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Frost Family of Funds

Filed: 8 Oct 21, 10:29am

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number 811-23410

 

 

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: July 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 of 1940, as amended (the “Act”) (17 CFR § 270.30e-1), is attached hereto.


LOGO

Frost
INVESTMENT ADVISORS
Frost Family of Funds
Annual Report
July 31, 2021
FROST GROWTH EQUITY FUND
FROST TOTAL RETURN BOND FUND
FROST CREDIT FUND
FROST LOW DURATION BOND FUND
FROST MUNICIPAL BOND FUND
Investment Adviser:
Frost Investment Advisors, LLC


FROST FAMILY OF FUNDS  

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TABLE OF CONTENTS 
  Page 

Shareholders’ Letter

  1 

Management’s Discussion of Fund Performance

  3 

Schedules of Investments

  17 

Statements of Assets and Liabilities

  44 

Statements of Operations

  46 

Statements of Changes in Net Assets

  48 

Financial Highlights

  52 

Notes to Financial Statements

  55 

Report of Independent Registered Public Accounting Firm

  66 

Trustees and Officers of the Frost Fund Family

  68 

Disclosure of Fund Expenses

  74 

Board Considerations in Approving the Advisory Agreement

  76 

Review of Liquidity Risk Management Program

  78 

Matters Submitted to a Vote of Shareholders

  79 

Notice to Shareholders

  80 

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 U L Y   3 1,   2 0 2 1

 

 

 

 

LETTER TO SHAREHOLDERS (Unaudited)  

 

Dear Shareholder,

It is my pleasure to address the shareholders of the Frost Family of Funds for the first time. The past year has seen many changes, both in the markets and at Frost Investment Advisors, the manager of the Frost Funds.

In the markets we’ve seen a remarkable recovery from the downturn of March last year, with the equity markets rising to and recording numerous all-time highs, and with the bond markets continuing to record gains, continuing almost 40 years of a bull market. Here at Frost we saw the retirement of our longtime leader, Tom Stringfellow, in February of this year.

I come back to Frost Investment Advisors as President, having previously served as one of the founding managing directors of the firm, with a stint as the lead of portfolio management for the wealth management group of our parent company, Frost Bank. I return to a firm that has seen continued success in many areas, evidenced by our growth as a mutual fund manager from a starting asset level of $1.6 billion in 2008 to approximately $4.3 billion at the end of this fiscal year (July 31, 2021).

I’m very proud of what our team has achieved, over the past year and over our history. We continue to perform very well against our peers in the fixed income and equity space, which is no small feat for our boutique firm. I am excited to see what we can accomplish over the coming years, as I believe we are very well-placed to continue our success.

I am also humbled to be in service to you, our loyal shareholders. We could not have seen the success we’ve had to date without you and your continued support.

Sincerely,

 

LOGO

Mace M. McCain

Past performance does not guarantee future results. The investment performance and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost, and current performance may be lower or higher than the performance quoted. Investment performance reflects voluntary fee waivers in effect. Absent these waivers, total return and yield would be reduced. There can be no assurance that Frost Investment Advisors, LLC will continue to waive fees. For performance data current to the most recent month end, please call 877.713.7678.

The information provided in this report should not be considered a recommendation to purchase or sell any particular security. These views are subject to change and are not intended to predict or guarantee the future performance of any individual security or the markets in general. There is no assurance that any securities discussed herein will remain in an account’s portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent an account’s entire portfolio and in the aggregate may represent only a small percentage of an account’s portfolio holdings.

Mutual fund investing involves risk including possible loss of principal. International investments may involve risk of capital loss from unfavorable fluctuation in currency values, from differences in generally accepted accounting principles or from social, economic or political instability in other nations. Bond and bond funds are subject to interest rate risk and will decline in value as interest rates rise. REIT investments are subject to changes in economic conditions, credit risk and interest rate fluctuations. Emerging markets involve heightened risks related to the same factors as well as increased volatility and lower trading volume. Derivatives are often more volatile than other investments and may magnify the Fund’s gains or losses. The primary risk of derivative instruments is that changes in the market value of securities held by the fund and of the derivative instruments relating to those securities may not be proportionate. Derivatives are also subject to illiquidity and counter party risk. Diversification does not protect against market loss.

 

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

 

 

 

 

 

The Bloomberg Barclays U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities.

The S&P 500 Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the Index proportionate to its market value.

 

 

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

 

 

 

 

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)  FROST GROWTH EQUITY FUND

 

Manager Commentary

Equity markets completed a strong 12-month period ending July 31, with the S&P 500 gaining more than 36% and the index having now strung together five consecutive quarters with at least a 5% gain since the market bottomed in March of last year. The stock market has been supported over much of the last 12 months by unprecedented monetary and fiscal stimulus, better-than-expected economic data, and exceptional resilience in corporate earnings. Interestingly, the National Bureau of Economic Research recently declared that the pandemic-sparked recession ended in April 2020, or just two months after it started, making it the shortest recession on record.

Looking at the fund’s performance, the portfolio generated solid absolute returns but underperformed its benchmark, the Russell 1000 Index. For the fiscal year 2021 period, the Frost Growth Equity Fund Institutional Class returned 31.83%, which compared to the Russell 1000 Growth Index return of 36.68%.

The majority of the underperformance occurred in the calendar fourth quarter of 2020, following the positive vaccine news, which sparked a powerful rotation into cyclical and smaller capitalization stocks, with the Russell 2000 small-cap index posting its best month ever in November. The fund is more heavily exposed to secular growth stocks, which are less reliant on a strong economy to grow, but also tend to underperform when investors want more leverage to an improving economy. At the sector level, the fund’s relative underperformance was largely isolated to the information technology, consumer discretionary, and health care sectors. In information technology, an underweight to semiconductor capital equipment hurt performance, as did an overweight in Salesforce.com. Salesforce has lagged behind the broader market as investors have been hesitant about the Slack acquisition that the company announced late last year. We like the Slack deal, and see tremendous synergies between the products of the two companies, viewing the underperformance in the stock as an opportunity. Performance in consumer discretionary was hurt by an overweight in Amazon, and an underweight in Tesla. Amazon’s stock price has been largely flat for the past year, even though the company’s business was significantly strengthened as a result of the COVID-19 pandemic; the stock is not the first place investors look when they want more economic sensitivity. Lastly, in health care, performance was negatively impacted by our biopharma holdings, in particular Vertex Pharmaceuticals. Vertex has a $7 billion-a-year cystic fibrosis business with long patent protection, but the company has had mixed results trying to build out a second franchise outside of cystic fibrosis.

Looking forward, despite uncertainty regarding the impact from the COVID-19 delta variant, we are generally constructive about the potential for continued solid economic growth. The backdrop still remains accommodative from a monetary perspective, and we are little more than a year into the current expansion. Global growth momentum is poised to moderate from unsustainably high levels, but we think the economic recovery should continue and even broaden out to include areas that were negatively impacted by the pandemic. We remain most focused on the structural business changes resulting from the pandemic, such as digital transformation, and on which companies are benefitting from or enabling such transformation. We continue to focus most of our time and effort on identifying innovative, competitively differentiated businesses led by great management teams that are often times disrupting large markets and that we feel can generate above-average earnings and cash flow growth on a sustainable basis.

 

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

 

 

 

 

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)  FROST GROWTH EQUITY FUND

 

Growth of a $1,000,000 Investment

 

LOGO

 

(1)

The graph is based on only Institutional Class Shares; performance for Investor Class Shares would be lower due to differences in fee structures.

 

(2)

Institutional Class Shares commenced operations on April 25, 2008.

 

(3)

Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy.

 

(4)

Investor Class Shares commenced operations on June 30, 2008.

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.

The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.

Please note that one cannot invest directly in an unmanaged index.

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.

 

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

 

 

 

 

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)  FROST TOTAL RETURN BOND FUND

 

Fund Recap

 

  

The Bloomberg Barclays U.S. Aggregate Bond Index (the Agg) returned negative 0.70% for the fiscal year ended July 31, 2021. The Frost Total Return Bond Fund Institutional Class returned 6.85% for the same period, bettering the benchmark by 7.55 percentage points.

 

  

For fiscal 2021, the fund maintained its rate profile in a range of 3.25 to 3.90 effective duration, with the lower end of the range met as the new year began, rising to the upper range at the end of the second quarter.

 

  

With the benchmark average duration now over 6.0 years, the fund’s underweight duration allocation resulted in positive outperformance in the first half as U.S. Treasury yields finished higher over this six-month period.

 

  

The fund was overweight the credit sectors (high yield, corporates, collateralized loan obligations and asset-backed securities) and underweight allocations to U.S. government bonds.

 

  

The allocation to credit resulted in outperformance relative to the benchmark as the credit markets outperformed U.S. government sectors.

 

  

The fund saw meaningful contribution from individual securities in the investment-grade high-yield corporates and asset-backed securities sectors.

 

  

The fund held an average allocation of 4% to energy during the period. This resulted in positive relative performance, as several of the fund’s oil holdings saw significant outperformance. Relative to the benchmark, the fund was underweight the U.S. Treasury, corporate and RMBS sectors and overweight ABS, CMBS and CLOs.

Strategy

Our one-year total return outlook for the U.S. bond market is for returns of between 0.0% and 1%, which is low by any historical measure but reflective of the exceptionally low rate environment. We are underweight interest rate risk entering the second half, as we have been for some time. We continue to feel that the risk/reward for holding any elevated levels of rate risk is poor, and as a result we expect to keep the fund’s effective duration meaningfully lower than that of the benchmark. We begin the second half with a target effective duration of approximately 4 for the fund compared to 6.50 for the benchmark.

Floating-rate coupon bonds remain a focus for the fund, with a targeted allocation of between 20-25%. This allocation supports our strategy to overweight the low duration portion of the yield curve. Credit spreads across virtually every sector sit at or near all-time lows. Credit is likely to benefit from aggressive central bank policies and most likely will outperform government bonds, but relative performance for the sector will likely be much tighter than what we saw last year.

The manager is lowering the fund’s allocation to generic risk, choosing to take the majority of its interest rate risk via U.S. Treasuries, minimizing undue rate risk within the credit sectors. We expect that any selloff on the long end of the yield curve due to rate rises is likely to pose as much downside risk to investment-grade corporate bonds as it will Treasuries. In other words, 30-year maturity BBB corporate bonds may decline more than 30-year Treasury bonds due to correlation in the face of a potential market selloff.

The fund remains focused on generating above-average dividend income relative to its benchmark. We expect that individual security selection will continue to be the focus going forward and we remain positioned to cut rate risk aggressively further if a selloff appears imminent.

 

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

 

 

 

 

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)  FROST TOTAL RETURN BOND FUND

 

Growth of a $1,000,000 Investment

 

LOGO

 

(1)

The graph is based on only Institutional Class Shares; performance for Investor Class Shares and A Class Shares would be lower due to differences in fee structures.

 

(2)

Institutional Class Shares commenced operations on April 25, 2008.

 

(3)

Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy.

 

(4)

Investor Class Shares commenced operations on June 30, 2008.

 

(5)

A Class Shares commenced operations on June 1, 2018.

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.

The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.

Please note that one cannot invest directly in an unmanaged index.

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.

 

6


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

 

 

 

 

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)  FROST TOTAL RETURN BOND FUND

 

Bond Credit Quality as of July 31, 2021

 

Credit Rating(1) Percentage of
Total Investments
 

AAA

  18

AA

  10

A

  7

BBB

  13

Below Investment Grade

  19

Treasury

  25

Agency

  7

Cash

  1

 

(1)

The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or more of the four major nationally recognized statistical rating organizations (“NRSRO”). These four NRSRO’s currently are Standard & Poor’s, Moody’s, Fitch, and DBRS. When a security is rated by more than one NRSRO, the highest rating is used. These credit quality ratings are shown without regard to gradations within a given rating category.

 

7


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MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)  FROST CREDIT FUND

 

Fund Recap

 

  

The fund’s hybrid benchmark (50% Bloomberg Barclays US Credit Index/50% Bloomberg Barclays US Corporate High Yield Index) returned 5.84% for the year. The Frost Credit Fund Institutional Class returned 11.12% over the same period.

 

  

The fund is underweight interest rate risk entering the second half. We continue to think the reward for holding material levels of rate risk is too low.

 

  

We expect to maintain the fund’s effective duration at a lower value than that of the benchmark. Our current target effective duration for the fund is between 2-2.25 years, compared to 2.6 for the benchmark.

 

  

While we expect to be underweight in duration and interest rate risk in the fund relative to the benchmark as long as this low-yield environment continues, we also believe that as the Fed continues to be highly accommodative, short-term yields will remain low.

 

  

With the significant underperformance in the lower-rated parts of the investment grade sector in the first half of 2020, BBB-rated bonds across ABS and corporates are currently undervalued in our view.

Strategy

With the continued rally in credit and compression of spreads, we remain cautious about the relative value of credit. The injection of monetary and fiscal stimulus into the economy has led to outsized returns over the past year, coupled with a potentially overheated economy. We expect volatility to continue and feel that security selection will be crucial throughout the rest of the year. We do not expect to make significant changes to our allocation to corporate, CLO, CMBS and ABS bonds.

We are underweight duration compared to our benchmark, and we intend to remain underweight over the next year. Even though we don’t expect rates to rise in a substantial way in the near term, we would not be surprised to see an increase and don’t see value in taking significant rate risk at this time.

We are underweight high-yield risk compared to the fund’s benchmark and within high-yield we are underweight in CCC exposure (less than a 5% allocation).

We are underweight in investment-grade and high-yield corporate bonds with an allocation of approximately 40%.

Our exposure to the ABS sector declined to 13% at the end of the first half as bonds matured or were called. Even though spreads remain on the low end of long-term ranges, we believe ABS still represents fair relative value. As such, we intend to maintain or slightly increase our allocation over the next several months.

We remain overweight in CLOs (30% allocation) due to the strong relative value offered by this sector. We have moved up in credit quality over the past few years as the underlying loans have deteriorated in quality. As such, now a large portion of the CLOs in the fund are rated A- or higher.

 

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MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)  FROST CREDIT FUND

 

Growth of a $1,000,000 Investment

 

LOGO

 

(1)

The graph is based on only Institutional Class Shares; performance for Investor Class Shares and A Class Shares would be lower due to differences in fee structures.

 

(2)

Both Institutional Class Shares and Investor Class Shares commenced operations on December 3, 2012.

 

(3)

Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy.

 

(4)

A Class Shares commenced operations on June 1, 2018.

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.

The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.

Please note that one cannot invest directly in an unmanaged index.

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.

 

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

 

 

 

 

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)  FROST CREDIT FUND

 

Bond Credit Quality as of July 31, 2021

 

Credit Rating(1) Percentage of
Total Investments
 

AAA

  1

AA

  7

A

  22

BBB

  22

Below Investment Grade

  39

Agency

  4

Cash

  5

 

(1)

The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or more of the four major nationally recognized statistical rating organizations (“NRSRO”). These four NRSRO’s currently are Standard & Poor’s, Moody’s, Fitch, and DBRS. When a security is rated by more than one NRSRO, the highest rating is used. These credit quality ratings are shown without regard to gradations within a given rating category.

 

10


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

 

 

 

 

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)  FROST LOW DURATION BOND FUND

 

Fund Recap

 

  

The Bloomberg U.S. Government Credit 1 to 5 Year Bond Index returned 0.43% over the past year. The Frost Low Duration Bond Fund Institutional Class returned 1.82% over the same period.

 

  

The fund maintained an underweight allocation to interest rate risk, with an effective duration profile of between 2.1 and 2.30 years.

 

  

Short-term interest rates in the first half of the year increased slightly, so the fund’s duration profile had a positive attribution effect of approximately 0.25% relative to its benchmark over the first half.

 

  

The fund is underweight the U.S. Treasury sector, with an average allocation of approximately 23% compared to over 60% in the benchmark. This weighting helped the fund’s relative performance to the benchmark.

 

  

The fund held a large allocation in the ABS sector, and this helped performance for the year. The fund’s largest ABS collateral type was auto loans.

 

  

The fund held an allocation of approximately 19% to the corporate sector in the first half of 2021. While this was a meaningful underweight allocation relative to the benchmark, it did not result in any meaningful attribution effect.

 

  

The fund was overweight credit risk, which had a small positive effect on performance.

 

  

The fund’s income generation declined with the fall in short-term interest rates in 2020. The typical result for a low duration short-maturity strategy such as this is that income will fall, lagging by a year to 18 months, after a major move in short-maturity yields.

Strategy

The fund is underweight interest rate risk. We continue to feel that the reward for holding material levels of rate risk is poor. We expect to maintain the fund’s effective duration at a level lower than that of the benchmark. Our current target for effective duration in the fund is between 2-2.25 years, compared to 2.6 for the benchmark.

While we expect to be underweight duration and interest rate risk in the fund relative to the benchmark as long as this low-yield environment continues, we also believe that as the Fed continues to be highly accommodative, short-term yields will remain low.

We continue to see the ABS sector as a source of value for the fund, and as we look ahead, we feel the sector is cheaper on a relative value basis than it has been in years. We expect to maintain the fund’s large overweight allocation to the ABS sector and may increase it further. Our focus in ABS continues to be consumer-related loans such as auto loans and credit card receivables. We expect the fund’s overall ABS allocation for the near term to sit at approximately 50%.

With the significant underperformance in the lower-rated areas of the investment grade sector during 2020, BBB-rated bonds across ABS and corporates are currently undervalued in our estimation. We would expect to increase this credit-risk allocation as the year progresses.

 

11


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

 

 

 

 

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)  FROST LOW DURATION BOND FUND

 

Growth of a $1,000,000 Investment

 

LOGO

 

(1)

The graph is based on only Institutional Class Shares; performance for Investor Class Shares would be lower due to differences in fee structures.

 

(2)

Institutional Class Shares commenced operations on April 25, 2008.

 

(3)

Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy.

 

(4)

Investor Class Shares commenced operations on June 30, 2008.

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.

The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

Please note that one cannot invest directly in an unmanaged index.

There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.

 

 

12


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

 

 

 

 

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)  FROST LOW DURATION BOND FUND

 

Bond Credit Quality as of July 31, 2021

 

Credit Rating(1) Percentage of
Total Investments
 

AAA

  21

AA

  17

A

  17

BBB

  18

Treasury

  23

Agency

  2

Cash

  2

 

(1)

The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or more of the four major nationally recognized statistical rating organizations (“NRSRO”). These four NRSRO’s currently are Standard & Poor’s, Moody’s, Fitch, and DBRS. When a security is rated by more than one NRSRO, the highest rating is used. These credit quality ratings are shown without regard to gradations within a given rating category.

 

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MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)  FROST MUNICIPAL BOND FUND

 

Fund Recap

 

  

The Bloomberg Municipal Bond Index returned 3.29% for the full fiscal year ending July 31, 2021. The Frost Municipal Bond Fund Institutional Class returned 2.77% during the same period, resulting in underperformance of 0.52 percentage points for the year.

 

  

The fund maintained an underweight allocation to interest rate risk throughout the year, with a modified adjusted duration of 2.85 versus 5.03 for the index.

 

  

For the period ending July 31, 2021, the fund had an average maturity of 6.67 years compared to 13.07 years for the index. The fund continues to be materially underweight the 20-year and long-bond (more than 22 years) maturity buckets with 3.01% and 8.71% of allocation, respectively.

 

  

The fund’s benchmark had weights of 12.47% and 19.75% to the aforementioned maturity buckets, both boasting the strongest returns for the full year at 4.70% and 5.56%, respectively. This was the primary contributor to the fund’s underperformance for the fiscal year ending July 31, 2021.

 

  

The fund ending position by collateral type at the end of the fiscal year was 17.45% to general obligation bonds, 73.20% to revenue bonds and 9.35% cash. Ending weights for revenue bonds, GO bonds and pre-refunded (cash-comparable) in the benchmark were 66.98%, 27.70% and 5.32%.

 

  

For the period ending July 31, 2021, the fund on average was overweight credit risk, partially offsetting underperformance of shorter maturities. The fund had an 11% weight to high-yield municipal bonds. The index only consists of investment grade securities. The fund’s average credit quality was A rated compared to AA- for the index.

 

  

The fund continues to be invested primarily in municipal bonds issued in Texas, with an ending allocation at 60.29%; no other state represents an allocation over 10% in the fund. The benchmark’s top three allocations by state are California (16.90%), New York (16.15%) and Texas (9.52%).

 

  

The fund finished the period with an average coupon of 4.17% versus 4.49% for the index, providing for decent income generation relative to the benchmark and considering the short duration of the securities held in the fund. The average coupon for the fund declined over the course of the year from 4.48% at the end of fiscal year 2020 given the low interest rate environment.

 

14


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

 

 

 

 

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)  FROST MUNICIPAL BOND FUND

 

Growth of a $1,000,000 Investment

 

LOGO

 

(1)

The graph is based on only Institutional Class Shares; performance for Investor Class Shares would be lower due to differences in fee structures.

 

(2)

Institutional Class Shares commenced operations on April 25, 2008.

 

(3)

Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy.

 

(4)

Investor Class Shares commenced operations on August 28, 2008.

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.

The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.

Please note that one cannot invest directly in an unmanaged index.

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.

 

 

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MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)  FROST MUNICIPAL BOND FUND

 

Bond Credit Quality as of July 31, 2021

 

Credit Rating(1) Percentage of
Total Investments
 

AAA

  19

AA

  32

A

  24

BBB

  5

Below Investment Grade

  11

Cash

  9

 

(1)

The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or more of the four major nationally recognized statistical rating organizations (“NRSRO”). These four NRSRO’s currently are Standard & Poor’s, Moody’s, Fitch, and DBRS. When a security is rated by more than one NRSRO, the highest rating is used. These credit quality ratings are shown without regard to gradations within a given rating category.

 

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FROST GROWTH EQUITY FUND  

 

SECTOR WEIGHTINGS (Unaudited)†

 

LOGO

 

Percentages are based on total investments.

 

SCHEDULE OF INVESTMENTS

 

Description  Shares       
Value
 

COMMON STOCK§ — 99.9%

 

Communication Services — 16.7%

 

  

Alphabet, Cl C*

   6,920   $18,714,586 

Alphabet, Cl A*

   7,054    19,007,215 

Facebook, Cl A*

   53,190    18,951,597 

Match Group*

   15,000    2,389,050 

Netflix*

   16,000    8,281,120 

Pinterest, Cl A*

   20,000    1,178,000 

Roku, Cl A*

   6,500    2,784,015 

Snap, Cl A*

   67,500    5,023,350 
    

 

 

 
     76,328,933 
    

 

 

 

Consumer Discretionary — 20.0%

 

  

Airbnb, Cl A*

   15,000    2,160,150 

Amazon.com*

   12,071    40,167,339 

Booking Holdings*

   2,170    4,726,824 

Chipotle Mexican Grill, Cl A*

   3,500    6,522,040 

Floor & Decor Holdings, Cl A*

   20,000    2,440,200 

Home Depot

   28,590    9,382,952 

Lululemon Athletica*

   7,500    3,001,275 

NIKE, Cl B

   32,500    5,444,075 

O’Reilly Automotive*

   6,000    3,623,040 

Starbucks

   47,550    5,773,997 

Tesla*

   6,000    4,123,200 

TJX

   65,500    4,507,055 
    

 

 

 
     91,872,147 
    

 

 

 

Consumer Staples — 0.9%

 

  

Costco Wholesale

   9,132    3,924,203 
    

 

 

 

Financials — 2.6%

 

  

JPMorgan Chase

   43,500    6,602,430 

Moody’s

   13,655    5,134,280 
    

 

 

 
     11,736,710 
    

 

 

 
Description  Shares       
Value
 

Health Care — 10.4%

 

  

Abbott Laboratories

   45,000   $5,444,100 

Boston Scientific*

   135,000    6,156,000 

Danaher

   27,000    8,032,230 

Edwards Lifesciences*

   36,000    4,041,720 

Eli Lilly and Co

   28,000    6,818,000 

Humana

   7,500    3,193,950 

Merck

   30,000    2,306,100 

Seagen*

   20,000    3,067,800 

UnitedHealth Group

   12,300    5,070,306 

Zoetis, Cl A

   17,235    3,493,534 
    

 

 

 
     47,623,740 
    

 

 

 

Industrials — 3.0%

 

  

Canadian Pacific Railway

   65,200    4,845,664 

Fortive

   32,000    2,325,120 

Uber Technologies*

   40,000    1,738,400 

Union Pacific

   24,000    5,250,240 
    

 

 

 
     14,159,424 
    

 

 

 

Information Technology — 44.6%

 

  

Adobe*

   19,750    12,277,192 

Advanced Micro Devices*

   32,500    3,451,175 

Apple

   233,584    34,070,562 

Autodesk*

   10,000    3,211,300 

Lam Research

   5,000    3,187,050 

Marvell Technology

   129,535    7,838,163 

Mastercard, Cl A

   39,910    15,402,865 

Microsoft

   166,750    47,508,743 

NVIDIA

   56,000    10,919,440 

PayPal Holdings*

   50,520    13,919,776 

QUALCOMM

   39,500    5,917,100 

salesforce.com*

   52,135    12,613,021 

ServiceNow*

   16,000    9,406,240 

Square, Cl A*

   10,000    2,472,600 

Twilio, Cl A*

   8,500    3,175,515 

Visa, Cl A

   65,600    16,163,184 

Workday, Cl A*

   12,500    2,930,000 
    

 

 

 
     204,463,926 
    

 

 

 

Materials — 1.2%

 

  

Sherwin-Williams

   19,500    5,675,085 
    

 

 

 

Real Estate — 0.5%

 

  

American Tower ‡

   8,500    2,403,800 
    

 

 

 

Total Common Stock
(Cost $174,311,774)

     458,187,968 
    

 

 

 

Total Investments — 99.9%
(Cost $174,311,774)

    $458,187,968 
    

 

 

 
 

 

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

 

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FROST GROWTH EQUITY FUND  

 

Percentages are based on Net Assets of $458,508,921.

*

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 July 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 year ended July 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.

 

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FROST TOTAL RETURN BOND FUND  

 

SECTOR WEIGHTINGS (Unaudited)†

 

LOGO

 

Percentages are based on total investments.

 

SCHEDULE OF INVESTMENTS

 

Description  Face Amount     Value 

U.S. TREASURY OBLIGATIONS — 23.0%

 

U.S. Treasury Bills

  

0.076%, 02/24/22 (A)

  $5,000,000     $4,998,569 

0.062%, 01/27/22 (A)

   5,000,000      4,998,579 

U.S. Treasury Bonds

  

2.331%, 02/15/51 (B)

   10,000,000      5,616,986 

1.875%, 02/15/41

   30,000,000      30,337,500 

1.375%, 11/15/40

   30,000,000      27,867,187 

1.250%, 05/15/50

   25,000,000      21,280,273 

U.S. Treasury Inflationary Protection Securities

  

1.000%, 02/15/46 to 02/15/48

   17,733,060      24,315,029 

0.875%, 01/15/29

   31,983,300      37,995,577 

U.S. Treasury Notes

  

2.875%, 05/15/28

   200,000,000      225,171,876 

2.375%, 05/15/29

   17,000,000      18,642,891 

1.625%, 05/15/31

   5,000,000      5,183,594 

1.500%, 08/15/26

   15,000,000      15,585,937 

1.250%, 03/31/28 to 04/30/28

   40,000,000      40,740,625 

1.125%, 02/15/31

   65,000,000      64,431,250 

0.875%, 11/15/30

   25,000,000      24,273,437 

0.375%, 07/15/24

   15,000,000      15,014,063 
Description  Face Amount     Value 

0.125%, 08/31/22 to 11/30/22

  $116,000,000     $116,028,946 

0.105%, VAR US Treasury 3 Month Bill Money Market Yield+0.055%, 10/31/22

   35,000,000      35,016,843 
      

 

 

 

Total U.S. Treasury Obligations
(Cost $677,328,907)

       717,499,162 
      

 

 

 

CORPORATE OBLIGATIONS — 20.2%

 

Communication Services — 0.6%

 

T-Mobile USA

  

3.500%, 04/15/31 (D)

   4,000,000      4,195,228 

2.625%, 02/15/29

   2,000,000      2,000,410 

2.550%, 02/15/31

   13,000,000      13,307,450 
      

 

 

 
       19,503,088 
      

 

 

 

Consumer Discretionary — 6.0%

 

Airswift Global
8.668%, VAR ICE LIBOR USD 3 Month+8.500%, 05/12/25 (D)

   13,000,000      12,870,000 

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

   418,000      471,295 

Choice Hotels International

  

3.700%, 01/15/31

   3,000,000      3,289,710 

3.700%, 12/01/29

   8,000,000      8,730,960 

Expedia
3.800%, 02/15/28

   5,915,000      6,483,525 

Expedia Group
4.625%, 08/01/27

   5,000,000      5,705,229 

Ford Motor

  

9.625%, 04/22/30

   5,750,000      8,301,563 

5.291%, 12/08/46

   5,500,000      6,294,062 

4.346%, 12/08/26

   15,033,000      16,225,493 

General Motors Financial
5.200%, 03/20/23

   4,000,000      4,290,256 

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

   6,000,000      5,887,800 

Macy’s
8.375%, 06/15/25 (D)

   7,000,000      7,630,000 

Macy’s Retail Holdings
5.875%, 04/01/29 (D)

   1,000,000      1,054,850 

MajorDrive Holdings IV
6.375%, 06/01/29 (D)

   12,500,000      12,312,500 

Marriott International

      

3.500%, 10/15/32

   3,000,000      3,237,213 

2.850%, 04/15/31

   3,000,000      3,072,463 

Mohawk Industries
3.625%, 05/15/30

   13,000,000      14,529,976 

QVC

      

4.850%, 04/01/24

   4,500,000      4,876,875 

4.750%, 02/15/27

   4,000,000      4,288,000 

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

   5,750,000      6,210,000 

Sodexo
2.718%, 04/16/31 (D)

   15,000,000      15,538,161 

STL Holding
7.500%, 02/15/26 (D)

   12,500,000      13,156,250 
 

 

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

 

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FROST TOTAL RETURN BOND FUND  

 

Description  Face Amount     Value 

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

  $1,484,526     $1,474,134 

Under Armour
3.250%, 06/15/26

   3,200,000      3,316,000 

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

   16,799,000      18,240,354 
      

 

 

 
       187,486,669 
      

 

 

 

Energy — 4.4%

 

Antero Midstream Partners

      

7.875%, 05/15/26 (D)

   4,000,000      4,429,240 

5.750%, 01/15/28 (D)

   15,000,000      15,675,000 

Apache
7.750%, 12/15/29

   4,138,000      4,913,875 

Intesa Sanpaolo
4.000%, 09/23/29 (D)

   5,000,000      5,550,932 

Marathon Oil
4.400%, 07/15/27

   3,000,000      3,422,422 

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

   5,000,000      4,751,501 

Noble Holdings International Ltd.

      

11.000%, 02/15/28

   1,893,334      2,063,734 

11.000%, 02/15/28

   869,000      947,210 

Petroleos Mexicanos

      

6.840%, 01/23/30

   4,000,000      4,172,800 

5.350%, 02/12/28

   7,000,000      6,898,500 

Seadrill New Finance

      

12.000%, 07/15/25

   13,575,356      7,737,953 

12.000%, 07/15/25 (D)

   65,338,161      37,242,752 

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

   1,500,000      1,368,240 

Tiger Holdco Pte
13.000%, 06/10/23 (D)

   15,200,000      15,344,005 

Transocean
11.500%, 01/30/27 (D)

   19,918,000      19,818,410 

Transocean Sentry
5.375%, 05/15/23 (D)

   4,594,861      4,330,656 
      

 

 

 
       138,667,230 
      

 

 

 

Financials — 3.3%

 

Aflac
3.600%, 04/01/30

   5,000,000      5,702,699 

Athene Holding
6.150%, 04/03/30

   10,000,000      12,834,707 

BAC Capital Trust XIV
4.000%, VAR ICE LIBOR USD
3 Month+0.400%, 09/15/21

   6,870,000      6,856,259 

BankUnited
5.125%, 06/11/30

   9,450,000      11,136,572 

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

   2,000,000      2,360,018 

Capital One Financial
3.800%, 01/31/28

   5,000,000      5,647,519 
Description  Face Amount     Value 

Chubb INA Holdings
1.375%, 09/15/30

  $5,000,000     $4,833,590 

Credit Suisse Group
5.100%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+3.293%, 07/24/70

   10,000,000      10,312,500 

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

   12,557,000      13,074,976 

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

   6,075,000      7,609,724 

Huntington Bancshares
2.550%, 02/04/30

   3,000,000      3,190,700 

Nasdaq
1.650%, 01/15/31

   5,000,000      4,808,752 

Raymond James Financial
3.750%, 04/01/51

   3,000,000      3,369,822 

Societe Generale
5.000%, 01/17/24 (D)

   4,025,000      4,373,256 

Wachovia
6.605%, 10/01/25

   5,650,000      6,832,717 
      

 

 

 
       102,943,811 
      

 

 

 

Industrials — 2.2%

 

American Airlines Group

      

11.750%, 07/15/25 (D)

   5,000,000      6,250,000 

3.750%, 03/01/25 (D)

   10,000,000      8,899,900 

Boeing

      

2.950%, 02/01/30

   3,344,000      3,463,267 

2.850%, 10/30/24

   1,625,000      1,700,263 

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

   5,000,000      7,743,421 

Diana Shipping
8.375%, 06/22/26 (D)

   3,300,000      3,395,700 

Equifax
3.100%, 05/15/30

   3,000,000      3,268,348 

FedEx
3.100%, 08/05/29

   5,000,000      5,474,307 

Flowserve
3.500%, 10/01/30

   4,000,000      4,253,437 

General Electric MTN
5.875%, 01/14/38

   4,377,000      6,052,150 

Leidos
2.300%, 02/15/31

   3,291,000      3,262,895 

Teekay
9.250%, 11/15/22 (D)

   13,750,000      14,214,063 
      

 

 

 
       67,977,751 
      

 

 

 

Information Technology — 2.8%

 

Amkor Technology
6.625%, 09/15/27 (D)

   10,372,000      11,141,073 

Avaya
6.125%, 09/15/28 (D)

   4,000,000      4,280,000 

Avnet
3.000%, 05/15/31

   7,000,000      7,089,611 
 

 

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

 

20


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FROST TOTAL RETURN BOND FUND  

 

Description  Face Amount     Value 

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

  $1,000,000     $1,042,680 

Citrix Systems
3.300%, 03/01/30

   6,000,000      6,387,833 

Diebold Nixdorf

      

9.375%, 07/15/25 (D)

   500,000      549,375 

8.500%, 04/15/24

   26,371,000      26,875,082 

Jabil
3.600%, 01/15/30

   4,496,000      4,875,649 

Motorola Solutions
4.600%, 05/23/29

   21,435,000      25,312,200 
      

 

 

 
       87,553,503 
      

 

 

 

Materials — 0.0%

 

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

   500,000      479,780 
      

 

 

 

Real Estate — 0.1%

      

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

   2,000,000      2,075,000 
      

 

 

 

Utilities — 0.8%

      

Georgia Power
3.250%, 03/15/51

   8,000,000      8,423,505 

Pacific Gas and Electric

      

4.500%, 07/01/40

   11,000,000      11,104,770 

3.750%, 08/15/42

   5,000,000      4,578,149 
      

 

 

 
       24,106,424 
      

 

 

 

Total Corporate Obligations
(Cost $599,016,884)

 

     630,793,256 
      

 

 

 

COLLATERALIZED LOAN OBLIGATIONS — 19.2%

 

Apidos CLO XI,
Ser 2021-11A, Cl CR3
2.134%, VAR ICE LIBOR USD
3 Month+2.000%, 04/17/34 (D)

   13,750,000      13,743,070 

Apidos CLO XI,
Ser 2021-11A, Cl ER3
6.704%, VAR ICE LIBOR USD
3 Month+6.570%, 04/17/34 (D)

   5,000,000      4,901,015 

Apidos Funding RR Subsidiary,
Ser 2018- 12RR, Cl A
1.656%, VAR ICE LIBOR USD
3 Month+1.530%, 04/15/31 (D)

   3,000,000      3,025,110 

Apidos XXVIII,
Ser 2017-28A, Cl A2
1.534%, VAR ICE LIBOR USD
3 Month+1.400%, 01/20/31 (D)

   15,000,000      14,992,470 

Avery Point IV,
Ser 2017-1A, Cl BR
1.725%, VAR ICE LIBOR USD
3 Month+1.600%, 04/25/26 (D)

   605,740      605,923 

Battalion Clo 17,
Ser 2021-17A, Cl B
1.734%, VAR ICE LIBOR USD
3 Month+1.600%, 03/09/34 (D)

   5,000,000      4,997,485 
Description  Face Amount     Value 

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

  $6,000,000     $6,060,986 

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

   500,000      504,099 

BCC Middle Market,
Ser 2018-1A, Cl A1A
1.684%, VAR ICE LIBOR USD
3 Month+1.550%, 10/20/30 (D)

   21,000,000      20,863,941 

Benefit Street Partners CLO III,
Ser 2021- IIIA, Cl BR2
2.534%, VAR ICE LIBOR USD
3 Month+2.400%, 07/20/29 (D)

   15,000,000      14,992,425 

Benefit Street Partners CLO IV,
Ser 2021- IVA, Cl A2AR 1.684%, VAR ICE LIBOR USD
3 Month+1.550%, 01/20/32 (D)

   8,750,000      8,745,608 

Benefit Street Partners III,
Ser 2017-IIIA, Cl DR
6.734%, VAR ICE LIBOR USD
3 Month+6.600%, 07/20/29 (D)

   5,000,000      4,671,190 

Benefit Street Partners VIII,
Ser 2018-8A, Cl A1AR
1.234%, VAR ICE LIBOR USD
3 Month+1.100%, 01/20/31 (D)

   5,450,000      5,450,218 

BlueMountain,
Ser 2019-2A, Cl A2R
1.955%, VAR ICE LIBOR USD
3 Month+1.800%, 08/20/32 (D)

   23,000,000      22,997,999 

Carlyle Global Market Strategies,
Ser 2018-1A, Cl CR2
1.934%, VAR ICE LIBOR USD
3 Month+1.800%, 04/17/31 (D)

   4,500,000      4,477,253 

Carlyle Global Market Strategies,
Ser 2018-3A, Cl A1A2
1.313%, VAR ICE LIBOR USD
3 Month+1.180%, 01/14/32 (D)

   24,855,641      24,366,979 

Carlyle Global Market Strategies,
Ser 2018-3A, Cl A2A2
1.983%, VAR ICE LIBOR USD
3 Month+1.850%, 01/14/32 (D)

   7,000,000      7,064,022 

Carlyle Global Market Strategies,
Ser 2018-3RA, Cl A1A
1.179%, VAR ICE LIBOR USD
3 Month+1.050%, 07/27/31 (D)

   14,877,491      14,883,442 

Carlyle Global Market Strategies,
Ser 2018-3RA, Cl A2
1.679%, VAR ICE LIBOR USD
3 Month+1.550%, 07/27/31 (D)

   9,000,000      8,985,636 

Carlyle Global Market Strategies,
Ser 2018-5A, Cl A1RR
1.266%, VAR ICE LIBOR USD
3 Month+1.140%, 07/15/31 (D)

   15,834,091      15,862,466 

Carlyle Global Market Strategies,
Ser 2019-2A, Cl A2A
1.876%, VAR ICE LIBOR USD
3 Month+1.750%, 07/15/32 (D)

   10,000,000      10,003,060 
 

 

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 U L Y   3 1,   2 0 2 1

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description  Face Amount     Value 

CIFC Funding,
Ser 2018-1A, Cl A
1.134%, VAR ICE LIBOR USD
3 Month+1.000%, 04/18/31 (D)

  $10,000,000     $10,007,070 

CIFC Funding,
Ser 2018-1A, Cl C
1.884%, VAR ICE LIBOR USD
3 Month+1.750%, 04/18/31 (D)

   2,000,000      1,993,534 

Dryden 68 CLO,
Ser 2021-68A, Cl BR
1.826%, VAR ICE LIBOR USD
3 Month+1.700%, 07/15/35 (D)

   11,750,000      11,744,078 

Fortress Credit Opportunities IX,
Ser 2017- 9A, Cl A1T
1.706%, VAR ICE LIBOR USD
3 Month+1.550%, 11/15/29 (D)

   21,000,000      20,970,348 

Galaxy XV CLO,
Ser 2021-15A, Cl CRR
1.976%, VAR ICE LIBOR USD
3 Month+1.850%, 10/15/30 (D)

   4,814,000      4,811,574 

Galaxy XXI,
Ser 2015-21A, Cl AR
1.154%, VAR ICE LIBOR USD
3 Month+1.020%, 04/20/31 (D)

   5,000,000      5,003,550 

GoldenTree Credit Opportunities Financing,
Ser 2018-1A, Cl A1R
1.799%, VAR ICE LIBOR USD
3 Month+1.680%, 06/15/34 (D)

   15,000,000      14,828,505 

Golub Capital Partners CLO,
Ser 2021- 19RA, Cl B1R2 1.684%, VAR ICE LIBOR USD
3 Month+1.550%, 04/20/34 (D)

   20,000,000      19,989,960 

Golub Capital Partners,
Ser 2017-17A, Cl A1R
1.775%, VAR ICE LIBOR USD
3 Month+1.650%, 10/25/30 (D)

   9,000,000      8,977,455 

Golub Capital Partners,
Ser 2017-21A, Cl AR
1.595%, VAR ICE LIBOR USD
3 Month+1.470%, 01/25/31 (D)

   11,000,000      10,919,931 

Golub Capital Partners,
Ser 2017-21A, Cl CR
2.575%, VAR ICE LIBOR USD
3 Month+2.450%, 01/25/31 (D)

   2,000,000      1,991,038 

Golub Capital Partners,
Ser 2017-22A, Cl AR
1.314%, VAR ICE LIBOR USD
3 Month+1.180%, 01/20/31 (D)

   9,000,000      9,005,706 

Golub Capital Partners,
Ser 2017-23A, Cl AR
1.334%, VAR ICE LIBOR USD
3 Month+1.200%, 01/20/31 (D)

   20,000,000      19,935,340 

Golub Capital Partners,
Ser 2017-23A, Cl BR
1.684%, VAR ICE LIBOR USD
3 Month+1.550%, 01/20/31 (D)

   4,000,000      4,035,564 
Description  Face Amount     Value 

Golub Capital Partners,
Ser 2017-24A, Cl AR
1.776%, VAR ICE LIBOR USD
3 Month+1.600%, 11/05/29 (D)

  $9,500,000     $9,497,758 

Golub Capital Partners,
Ser 2017-24A, Cl DR
4.076%, VAR ICE LIBOR USD
3 Month+3.900%, 11/05/29 (D)

   3,000,000      2,977,245 

Golub Capital Partners,
Ser 2018-26A, Cl BR
1.684%, VAR ICE LIBOR USD
3 Month+1.550%, 04/20/31 (D)

   12,000,000      11,942,544 

Golub Capital Partners,
Ser 2018-36A, Cl A
1.476%, VAR ICE LIBOR USD
3 Month+1.300%, 02/05/31 (D)

   11,000,000      10,974,953 

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

   7,000,000      6,959,260 

LCM Loan Income Fund I Income
Note Issuer,
Ser 2018-27A, Cl A1
1.206%, VAR ICE LIBOR USD
3 Month+1.080%, 07/16/31 (D)

   13,000,000      13,005,096 

MCF IV,
Ser 2017-1A, Cl AR
1.684%, VAR ICE LIBOR USD
3 Month+1.550%, 10/20/29 (D)

   10,000,000      9,953,570 

MCF IV,
Ser 2017-1A, Cl CR
2.784%, VAR ICE LIBOR USD
3 Month+2.650%, 10/20/29 (D)

   3,000,000      2,965,137 

NewStar Berkeley Fund,
Ser 2019-1A, Cl AR
1.725%, VAR ICE LIBOR USD
3 Month+1.600%, 10/25/28 (D)

   2,441,119      2,432,871 

NXT Capital CLO,
Ser 2021-1A, Cl BRR
2.134%, VAR ICE LIBOR USD
3 Month+2.000%, 07/20/33 (D)

   9,000,000      8,995,464 

NXT Capital,
Ser 2020-1A, Cl B
2.534%, VAR ICE LIBOR USD
3 Month+2.400%, 01/20/31 (D)

   2,250,000      2,248,373 

Oak Hill Credit Partners X-R,
Ser 2021- 10RA, Cl BR
1.684%, VAR ICE LIBOR USD
3 Month+1.550%, 04/20/34 (D)

   8,000,000      7,995,984 

Oak Hill Credit Partners X-R,
Ser 2021- 10RA, Cl CR
2.134%, VAR ICE LIBOR USD
3 Month+2.000%, 04/20/34 (D)

   5,100,000      5,097,430 

Oaktree EIF II,
Ser 2017-IIIA, Cl A2
1.584%, VAR ICE LIBOR USD
3 Month+1.450%, 07/17/29 (D)

   7,250,000      7,248,173 
 

 

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 U L Y   3 1,   2 0 2 1

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description  Face Amount     Value 

Oaktree,
Ser 2019-3A, Cl B
2.134%, VAR ICE LIBOR USD
3 Month+2.000%, 07/20/31 (D)

  $13,500,000     $13,512,163 

Oaktree,
Ser 2019-4A, Cl B
2.134%, VAR ICE LIBOR USD
3 Month+2.000%, 10/20/32 (D)

   25,000,000      25,046,125 

Octagon Investment Partners XX,
Ser 2019-4A, Cl B
2.068%, VAR ICE LIBOR USD
3 Month+1.900%, 05/12/31 (D)

   9,500,000      9,528,329 

OHA Credit Funding 7,
Ser 2020-7A, Cl A
1.384%, VAR ICE LIBOR USD
3 Month+1.250%, 10/19/32 (D)

   17,000,000      17,004,794 

OHA Credit Funding 7,
Ser 2020-7A, Cl E
7.384%, VAR ICE LIBOR USD
3 Month+7.250%, 10/19/32 (D)

   2,500,000      2,496,007 

OZLM Funding IV,
Ser 2017-4A, Cl A2R
1.838%, VAR ICE LIBOR USD
3 Month+1.700%, 10/22/30 (D)

   5,000,000      4,995,200 

Sudbury Mill,
Ser 2013-1A, Cl E
4.884%, VAR ICE LIBOR USD
3 Month+4.750%, 01/17/26 (D)

   1,500,000      1,394,707 

Thayer Park CLO,
Ser 2021-1A, Cl A2AR
1.534%, VAR ICE LIBOR USD
3 Month+1.400%, 04/20/34 (D)

   9,250,000      9,245,356 

Thayer Park CLO,
Ser 2021-1A, Cl BR
1.934%, VAR ICE LIBOR USD
3 Month+1.800%, 04/20/34 (D)

   9,500,000      9,495,221 

Venture XIX,
Ser 2018-19A, Cl ARR
1.386%, VAR ICE LIBOR USD
3 Month+1.260%, 01/15/32 (D)

   19,250,000      19,302,418 

Venture,
Ser 2019-37A, Cl B
1.877%, VAR ICE LIBOR USD
3 Month+1.750%, 07/15/32 (D)

   10,000,000      10,000,000 

Venture,
Ser 2019-37A, Cl BN
2.026%, VAR ICE LIBOR USD
3 Month+1.900%, 07/15/32 (D)

   10,000,000      10,017,650 

Zais,
Ser 2017-1A, Cl A2
1.626%, VAR ICE LIBOR USD
3 Month+1.500%, 07/15/29 (D)

   11,250,000      11,099,722 

Zais,
Ser 2018-1A, Cl B
1.576%, VAR ICE LIBOR USD
3 Month+1.450%, 04/15/29 (D)

   5,000,000      4,912,495 
      

 

 

 

Total Collateralized Loan Obligations
(Cost $607,398,655)

 

     606,752,095 
      

 

 

 
Description  Face Amount     Value 

MORTGAGE-BACKED SECURITIES — 16.7%

 

Agency Mortgage-Backed Obligation — 3.9%

 

FHLMC
3.061%, VAR ICE LIBOR USD
12 Month+1.620%, 01/01/45

  $4,042,472     $4,236,524 

2.358%, VAR ICE LIBOR USD
12 Month+1.650%, 06/01/43

   4,151,125      4,305,465 

FHLMC REMIC,
Ser 2011-3898, Cl FC
0.603%, VAR LIBOR USD
1 Month+0.510%, 11/15/36

   1,567,979      1,592,757 

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

   901,918      102,747 

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

   6,784,139      7,692,192 

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

   3,260,325      131,124 

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

   995,004      12,255 

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

   4,402,927      141,183 

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

   2,271,693      118,326 

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

   18,322,874      2,449,433 

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

   5,883,553      1,102,842 

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

   6,094,667      309,633 

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

   12,068,895      1,239,527 

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

   4,090,064      213,953 

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

   9,374,945      1,105,031 

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

   6,776,556      456,980 

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

   527,081      36,924 

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

   4,436,395      4,484,999 
 

 

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 U L Y   3 1,   2 0 2 1

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description  Face Amount     Value 

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

  $1,690,006     $1,699,819 

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

   4,707,000      4,990,268 

FHLMC,
Ser 2019-4908, Cl AS, IO
6.011%, 01/25/45

   14,554,302      2,921,248 

FNMA

      

5.500%, 05/01/44

   5,194,518      6,017,785 

4.500%, 08/01/41

   3,251,684      3,593,819 

4.000%, 03/01/47

   910,986      992,364 

3.227%, VAR ICE LIBOR USD
12 Month+1.744%, 02/01/42

   1,792,464      1,892,685 

3.000%, 10/01/32 to 01/01/50

   9,271,255      9,860,350 

2.863%, VAR ICE LIBOR USD
12 Month+1.700%, 10/01/42

   1,537,065      1,630,030 

2.710%, 08/01/23

   255,929      264,923 

2.250%, 10/30/24

   10,000,000      10,585,477 

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

   10,591,099      1,422,933 

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

   1,643,932      271,136 

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

   1,279,620      196,839 

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

   2,306,729      414,897 

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

   1,560,841      193,429 

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

   2,334,343      337,350 

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

   1,533,255      70,428 

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

   3,334,467      3,573,655 

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

   1,127,877      29,141 

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

   5,608,292      285,030 

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

   5,846,461      470,133 

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

   5,000,000      5,481,821 
Description  Face Amount     Value 

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

  $2,490,355     $102,983 

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

   2,957,991      2,999,664 

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

   6,450,736      637,991 

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

   359,140      1,516 

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

   3,855,174      308,240 

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

   1,303,409      1,302,959 

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

   460,834      462,615 

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

   8,584,742      1,599,673 

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

   8,936,156      951,839 

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

   1,605,882      15,536 

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

   10,850,580      1,978,118 

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

   1,396,453      40,741 

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

   4,575,908      341,423 

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

   3,192,380      285,334 

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

   19,041,649      2,046,151 

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

   19,311,175      4,216,736 

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

   37,940,326      4,925,148 

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

   27,040,100      3,190,626 

GNMA,
Ser 2020-191, Cl CT
1.250%, 12/20/50

   4,900,436      4,877,063 
 

 

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 U L Y   3 1,   2 0 2 1

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description  Face Amount     Value 

GNMA,
Ser 2021-8, Cl IG, IO
2.500%, 01/20/51

  $33,363,451     $3,741,851 

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

   5,950,957      339,701 

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

   5,482,949      280,243 

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

   2,445,618      54,632 
      

 

 

 
       121,628,238 
      

 

 

 

Commercial Mortgage-Backed Obligation — 10.0%

 

280 Park Avenue Mortgage Trust,
Ser 201- 280P, Cl F
2.920%, VAR ICE LIBOR USD
1 Month+2.827%, 09/15/34 (D)

   12,500,000      12,403,970 

Banc of America Commercial Mortgage Trust,
Ser 2008-1, Cl AJ
6.567%, 02/10/51 (F)

   240,943      239,290 

Banc of America Commercial Mortgage Trust,
Ser 2008-1, Cl B
6.567%, 02/10/51 (D)(F)

   4,925,000      2,807,250 

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

   10,000,000      11,288,027 

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

   10,000,000      11,372,728 

Bear Stearns Commercial Mortgage Securities Trust,
Ser 2007-T26, Cl AJ
5.431%, 01/12/45 (F)

   14,150,000      11,507,787 

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

   8,000,000      6,710,886 

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

   13,000,000      11,492,173 

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

   10,000,000      10,465,245 

Citigroup Commercial Mortgage Trust,
Ser 2015-GC31, Cl C
4.053%, 06/10/48 (F)

   5,000,000      5,264,788 

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

   1,000,000      1,000,197 

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

   224,200      213,515 
Description  Face Amount     Value 

Commercial Mortgage Trust,
Ser 2014- LC15, Cl D
4.998%, 04/10/47 (D)(F)

  $9,500,000     $9,562,031 

Commercial Mortgage Trust,
Ser 2014- UBS6, Cl C
4.444%, 12/10/47 (F)

   4,000,000      4,205,387 

Commercial Mortgage Trust,
Ser 2015- DC1, Cl D
4.307%, 02/10/48 (D)(F)

   9,000,000      7,779,392 

Credit Suisse Commercial Mortgage Trust,
Ser 2008-C1, Cl D
5.816%, 02/15/41 (D)(F)

   2,795,407      160,177 

Credit Suisse First Boston Mortgage Securities,
Ser 2005-C2, Cl AMFL
0.341%, VAR ICE LIBOR USD
1 Month+0.250%, 04/15/37

   68,329      67,995 

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

   6,107      6,226 

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

   10,000,000      11,507,282 

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

   6,311,484      6,402,080 

DROP Mortgage Trust,
Ser 2021-FILE, Cl D
2.840%, VAR ICE LIBOR USD
1 Month+2.750%, 04/15/26 (D)

   15,000,000      15,065,922 

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

   36,156,979      37,232,797 

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

   15,300,645      2,083,807 

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

   10,000,000      10,548,900 

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

   5,000,000      5,399,187 

FREMF Mortgage Trust,
Ser 2016-K57, Cl C
3.916%, 08/25/49 (D)(F)

   8,840,000      9,570,463 

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

   2,000,000      2,239,388 

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

   3,403,000      3,795,798 
 

 

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 U L Y   3 1,   2 0 2 1

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description  Face Amount     Value 

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

  $3,500,000     $3,865,873 

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

   10,000,000      11,458,878 

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

   2,500,000      2,741,735 

Impact Funding,
Ser 2001-AA, Cl D
4.714%, 07/25/33 (D)(F)

   27,634      27,542 

JPMDB Commercial Mortgage Securities Trust,
Ser 2016-C2, Cl C
3.361%, 06/15/49 (F)

   4,328,000      4,064,221 

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

   2,123,267      1,881,780 

JPMorgan Chase Commercial Mortgage Securities,
Ser 2007-LD12, Cl AJ
6.499%, 02/15/51 (F)

   1,857,226      1,705,305 

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

   1,000,000       

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

   3,000,000      3,119,609 

Morgan Stanley Bank of America Merrill Lynch Trust,
Ser 2016-C29, Cl C
4.734%, 05/15/49 (F)

   2,413,000      2,569,314 

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

   113,163      86,483 

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

   500,000      508,899 

UBS Commercial Mortgage Trust,
Ser 2012-C1, Cl C
5.551%, 05/10/45 (D)(F)

   9,160,000      9,367,296 

UBS-Barclays Commercial Mortgage Trust,
Ser 2012-C2, Cl D
4.886%, 05/10/63 (D)(F)

   7,245,000      4,362,775 

UBS-Barclays Commercial Mortgage Trust,
Ser 2012-C2, Cl E
4.886%, 05/10/63 (D)(F)

   15,614,806      1,467,792 

UBS-Barclays Commercial Mortgage Trust,
Ser 2012-C3, Cl C
5.038%, 08/10/49 (D)(F)

   3,000,000      3,103,417 
Description  Face Amount     Value 

UBS-Barclays Commercial Mortgage Trust,
Ser 2012-C4, Cl D
4.463%, 12/10/45 (D)(F)

  $13,624,000     $11,740,314 

Wells Fargo Commercial Mortgage Trust,
Ser 2016-C32, Cl C
4.714%, 01/15/59 (F)

   5,000,000      5,354,446 

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

   2,000,000      2,000,008 

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

   5,000,000      5,246,730 

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

   5,000,000      5,705,974 

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

   6,000,000      6,879,194 

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

   4,795,219      4,810,464 

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

   3,000,000      3,212,656 

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

   7,310,000      6,753,738 
      

 

 

 
       312,427,131 
      

 

 

 

Non-Agency Residential Mortgage-Backed Obligation — 2.8%

 

510 Asset Backed Trust,
Ser 2021-NPL1, Cl A2
3.967%, 06/25/61 (D)

   20,000,000      20,055,438 

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

   5,044,476      5,118,997 

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

   1,000,000       

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

   10,000,000      11,425,953 

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

   1,512,755      1,541,347 

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

   569,439      576,620 
 

 

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 U L Y   3 1,   2 0 2 1

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description  Face Amount     Value 

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

  $4,609,715     $4,685,046 

Homeward Opportunities Fund I Trust,
Ser 2019-3, Cl A1
2.675%, 11/25/59 (D)(F)

   2,895,036      2,922,696 

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

   543,059      554,458 

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

   1,173,679      1,189,679 

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

   1,558,178      1,577,172 

Sequoia Mortgage Trust,
Ser 2013-4, Cl AIO1, IO
0.874%, 04/25/43 (D)(F)

   74,974,221      1,302,362 

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

   234,447      234,639 

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

   442,285      446,217 

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

   716,821      722,971 

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

   701,356      705,678 

PRPM,
Ser 2021-5, Cl A2
3.721%, 06/25/26 (D)

   5,000,000      5,009,988 

Toorak Mortgage,
Ser 2021-1, Cl M1
5.805%, 06/25/24 (D)

   15,000,000      14,988,728 

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

   1,457,337      1,469,313 

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

   1,261,748      1,269,540 

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

   2,180,032      2,202,356 

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

   4,365,590      4,455,823 

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

   1,004,350      1,021,351 
Description  Face Amount     Value 

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

  $1,022,084     $1,032,341 

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

   258,563      268,065 

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

   638,115      659,292 

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

   766,581      792,118 

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

   969,426      991,752 
      

 

 

 
       87,219,940 
      

 

 

 

Total Mortgage-Backed Securities
(Cost $564,888,784)

 

     521,275,309 
      

 

 

 

ASSET-BACKED SECURITIES — 13.3%

 

Automotive — 8.5%

 

ACC Auto Trust,
Ser 2021-A, Cl D
6.100%, 06/15/29 (D)

   13,000,000      12,997,786 

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

   4,000,000      4,164,644 

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

   2,000,000      2,048,682 

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

   13,750,000      15,155,315 

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

   6,500,000      6,704,742 

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

   4,000,000      4,160,190 

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

   1,300,000      1,337,423 

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

   5,000,000      5,160,247 

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

   250,000      250,932 
 

 

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 U L Y   3 1,   2 0 2 1

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description  Face Amount     Value 

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

  $1,485,000     $1,509,073 

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

   1,000,000      1,046,130 

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

   447,950      448,343 

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

   8,000,000      8,646,907 

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

   5,000,000      5,258,804 

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

   6,000,000      6,305,616 

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

   6,500,000      6,516,307 

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

   8,000,000      8,137,722 

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

   6,055,000      6,334,306 

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

   3,000,000      3,059,273 

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

   6,000,000      6,191,400 

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

   4,500,000      4,683,578 

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

   2,000,000      2,031,781 

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

   1,000,000      998,750 

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

   4,299,345      4,380,362 

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

   2,500,000      2,571,082 

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

   1,700,000      1,754,899 

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

   4,000,000      4,152,989 
Description  Face Amount     Value 

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

  $5,510,000     $5,818,455 

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

   5,300,000      5,825,703 

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

   2,333,008      2,346,152 

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

   568,000      594,844 

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

   5,190,000      5,429,240 

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

   7,931,000      8,180,951 

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

   8,000,000      9,300,539 

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

   4,650,000      4,795,471 

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

   1,300,000      1,345,024 

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

   3,649,588      3,693,926 

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

   6,000,000      6,193,478 

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

   5,000,000      5,157,959 

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

   650,000      672,353 

Hertz Vehicle Financing,
Ser 2021-1A, Cl D
3.980%, 12/26/25 (D)

   10,000,000      10,092,659 

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

   6,095,000      6,193,706 

Pretium Mortgage Credit
Partners I,
Ser 2021-NPL2, Cl A2
3.844%, 06/27/60 (D)

   2,750,000      2,755,713 

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

   9,006,000      10,055,962 
 

 

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 U L Y   3 1,   2 0 2 1

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description  Face Amount     Value 

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

  $27,740,000     $30,694,055 

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

   6,250,000      6,672,290 

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

   1,000,000      1,020,155 

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

   2,300,000      2,344,431 

Tricolor Auto Securitization Trust,
Ser 2021-1A, Cl C
1.330%, 09/16/24 (D)

   2,000,000      2,000,138 

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

   3,680,000      3,898,070 

Veros Auto Receivables Trust,
Ser 2021-1, Cl C
3.640%, 08/15/28 (D)

   4,320,000      4,341,060 
      

 

 

 
       265,429,617 
      

 

 

 

Credit Card — 0.1%

 

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

   2,000,000      2,055,028 
      

 

 

 

Other Asset-Backed Securities — 3.9%

 

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

   1,673,299      1,842,018 

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

   616,037      778,770 

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

   1,663,501      2,055,402 

Amur Equipment Finance Receivables IX,
Ser 2021-1A, Cl D
2.300%, 11/22/27 (D)

   1,250,000      1,254,581 

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

   8,000,000      8,783,202 

BXMT,
Ser 2020-FL2, Cl A
1.061%, VAR SOFR30A+
1.014%, 02/15/38 (D)

   13,000,000      12,991,862 

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

   1,579,583      1,615,834 
Description  Face Amount     Value 

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

  $5,651,904     $5,771,990 

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

   2,295,608      2,367,366 

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

   10,253,989      9,941,098 

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

   6,000,000      5,396,436 

Harvest SBA Loan Trust,
Ser 2018-1, Cl A
2.342%, VAR ICE LIBOR USD
1 Month+2.250%, 08/25/44 (D)

   4,085,209      3,962,910 

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

   1,500,000      1,551,650 

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

   4,079,079      4,100,059 

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

   2,078,342      2,095,162 

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

   2,484,148      2,567,467 

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

   409,890      424,010 

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

   5,500,000      5,420,269 

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

   2,500,000      2,446,980 

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

   1,749,851      1,758,536 

Pretium Mortgage Credit Partners I,
Ser 2021-NPL1, Cl A2
4.213%, 09/27/60 (D)

   9,000,000      9,139,525 

Pretium Mortgage Credit Partners,
Ser 2021-NPL3, Cl A2
3.721%, 07/25/51 (D)

   2,000,000      2,004,308 

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

   2,011,922      1,767,870 

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

   11,000,000      11,015,738 
 

 

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

 

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FROST TOTAL RETURN BOND FUND  

 

Description  Face Amount     Value 

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

  $3,513,000     $3,719,951 

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

   1,844,438      1,898,534 

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

   929,167      960,477 

TRTX Issuer,
Ser 2021-FL4, Cl C
2.491%, VAR ICE LIBOR USD
1 Month+2.400%, 03/15/38 (D)

   10,000,000      10,009,380 

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

   4,541,250      4,596,605 
      

 

 

 
       122,237,990 
      

 

 

 

Student Loan — 0.8%

 

Brazos Student Finance,
Ser 2009-1, Cl B
2.647%, VAR ICE LIBOR USD
3 Month+2.500%, 12/27/39

   5,000,000      5,278,130 

College Ave Student Loans,
Ser 2018-A, Cl A1
1.289%, VAR ICE LIBOR USD
1 Month+1.200%, 12/26/47 (D)

   2,424,285      2,440,014 

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

   2,233,399      2,277,144 

Nelnet Student Loan Trust,
Ser 2013-3A, Cl B
1.589%, VAR ICE LIBOR USD
1 Month+1.500%, 07/25/47 (D)

   10,000,000      9,912,634 

SLM Student Loan Trust,
Ser 2012-7, Cl B
1.889%, VAR ICE LIBOR USD
1 Month+1.800%, 09/25/43

   5,000,000      5,001,551 
      

 

 

 
       24,909,473 
      

 

 

 

Total Asset-Backed Securities (Cost $394,791,426)

       414,632,108 
      

 

 

 

SOVEREIGN DEBT — 2.1%

 

Argentine Republic Government International Bond

      

1.500%, 07/09/35

   8,925,940      2,878,705 

1.000%, 07/09/29

   717,588      275,195 

0.750%, 07/09/30

   5,141,000      1,868,754 

Colombia Government International Bond
3.250%, 04/22/32

   1,000,000      977,710 

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

   4,000,000      4,413,600 

Mexico Government International Bond
4.280%, 08/14/41

   3,000,000      3,184,830 
Description  Face Amount     Value 

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

  $15,000,000     $14,871,750 

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

   8,000,000      7,918,860 

Province of Ontario Canada
1.600%, 02/25/31

   18,000,000      18,111,780 

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

   300,000      144,000 

Suriname Government International Bond
12.875%, 12/30/23

   8,000,000      5,060,000 

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

   5,000,000      5,136,500 
      

 

 

 

Total Sovereign Debt
(Cost $66,842,219)

       64,841,684 
      

 

 

 

MUNICIPAL BONDS — 1.8%

 

Dallas County Schools, Taxable Public Property Finance, GO

      

3.450%, 06/01/22

   339,678      339,678 

3.200%, 06/01/21

   333,260      333,260 

Dallas County, Schools Tax, GO

      

4.000%, 06/01/19

   343,423      343,423 

3.000%, 06/01/19

   195,813      195,814 

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

   8,265,919      7,728,634 

Mission, Economic Development, RB(E) Callable 09/07/21 @ 300

      

10.875%, 12/01/28 (C)

   3,315,000      33,150 

9.750%, 12/01/25 (C)

   3,045,000      30,450 

8.550%, 12/01/21 (C)

   2,125,000      637,500 

North Texas Tollway Authority, RB
8.410%, 02/01/30

   2,005,000      2,698,228 

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

      

1.776%, 02/15/31

   2,000,000      2,048,524 

1.836%, 02/15/32

   1,890,000      1,933,823 

Rhode Island State, Health & Educational System, Providence Public Schools,
Ser A, RB Callable 09/07/21 @ 100
8.000%, 05/15/29

   5,000,000      5,016,049 

San Juan, Higher Education Finance Authority,
RB Callable 09/07/21 @ 100
8.250%, 08/15/29

   4,400,000      4,416,329 

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

   14,460,000      15,032,240 
 

 

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

 

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FROST TOTAL RETURN BOND FUND  

 

Description  Face Amount/
Shares
     Value 

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

  $1,900,000     $2,325,404 

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

   3,000,000      3,724,111 

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

   3,980,000      4,974,780 

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

   3,000,000      4,206,482 
      

 

 

 

Total Municipal Bonds
(Cost $59,560,051)

       56,017,879 
    

 

 

 

TERM LOAN — 1.1%

 

Seamex Ltd., Term Loan
0.000%, 03/20/22

   33,397,427      32,395,504 
    

 

 

 

Total Term Loan
(Cost $33,474,825)

       32,395,504 
    

 

 

 

U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.5%

 

FFCB

      

2.920%, 04/29/26

   5,635,000      5,754,770 

2.070%, 12/21/40

   5,000,000      4,871,292 

1.940%, 06/30/31

   5,000,000      5,041,784 
    

 

 

 

Total U.S. Government Agency Obligations
(Cost $15,635,000)

 

     15,667,846 
    

 

 

 

COMMON STOCK — 0.2%

 

Noble Corp*

   258,261      5,681,742 

Seadrill Ltd.*

   39,323      11,593 

Seadrill New Finance Ltd.*

   206,695      52,991 
      

 

 

 

Total Common Stock
(Cost $3,382,443)

       5,746,326 
      

 

 

 

WARRANTS — 0.1%

 

Noble Corp, Expires 05/02/28

   538,018      3,530,743 
      

 

 

 

Total Warrants
(Cost $5,380)

       3,530,743 
      

 

 

 

COMMERCIAL PAPER — 1.1%

 

Amcor Finance USA
0.115%, 08/04/21 (D)

   2,000,000      1,999,964 

Banco Santander
0.090%, 08/02/21 (D)

   2,000,000      1,999,987 

Barton Capital
0.080%, 08/05/21 (D)

   2,000,000      1,999,970 

Basin Electric Power Cooperative
0.100%, 08/06/21 (D)

   1,752,000      1,751,973 

BNP Paribas
0.080%, 08/18/21

   1,500,000      1,499,937 
Description      
Face Amount
     Value 

Caterpillar Financial Services
0.050%, 08/12/21

  $2,000,000     $1,999,868 

CNPC Finance HK

      

0.230%, 08/03/21 (D)

   1,500,000      1,499,987 

0.220%, 08/09/21 (D)

   1,203,000      1,202,973 

DCAT
0.070%, 08/25/21

   1,750,000      1,749,852 

Duke Energy
0.220%, 08/19/21 (D)

   2,000,000      1,999,878 

Hitachi Capital America
0.150%, 08/10/21

   2,000,000      1,999,923 

Liberty Utilities
0.140%, 08/26/21

   1,500,000      1,499,835 

Nationwide Building Society
0.090%, 08/16/21 to 08/24/21 (D)

   3,250,000      3,249,842 

Prudential
0.060%, 08/20/21 (D)

   1,500,000      1,499,926 

Sheffield Receivables
0.080%, 08/23/21 (D)

   1,500,000      1,499,904 

Sinopec Century Bright Capital Investment America
0.260%, 08/11/21 (D)

   2,000,000      1,999,880 

Viatris
0.370%, 08/27/21 (D)

   1,200,000      1,199,657 

VW Credit

      

0.160%, 08/17/21 (D)

   2,250,000      2,249,840 

0.150%, 08/13/21 (D)

   2,000,000      1,999,892 
      

 

 

 

Total Commercial Paper
(Cost $34,903,358)

       34,903,088 
      

 

 

 

Total Investments — 99.3%
(Cost $3,057,227,932)

      $3,104,055,000 
      

 

 

 

Percentages are based on Net Assets of $3,117,029,322.

*

Non-income producing security.

Real Estate Investment Trust

(A)

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

(B)

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

(C)

Level 3 security in accordance with fair value hierarchy.

(D)

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 July 31, 2021 was $1,621,870,970 and represents 52.0% of Net Assets.

(E)

Security in default on interest payments.

(F)

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.

Cl — Class

CLO — Collateralized Loan Obligation

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

ICE — Intercontinental Exchange

IO — Interest Only – face amount represents notional amount

 

 

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

 

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FROST TOTAL RETURN BOND FUND  

 

LIBOR — London Interbank Offered Rate

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

VAR — Variable Rate

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

 

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

U.S. Treasury Obligations

 $717,499,162  $  $  $717,499,162 

Corporate Obligations

     630,793,256      630,793,256 

Collateralized Loan

    

Obligations

     606,752,095      606,752,095 

Mortgage-Backed Securities

     521,275,309      521,275,309 

Asset-Backed Securities

     414,632,108      414,632,108 

Sovereign Debt

     64,841,684      64,841,684 

Municipal Bonds

     55,316,779   701,100   56,017,879 

Commercial Paper

     34,903,088      34,903,088 

Term Loan

     32,395,504      32,395,504 

U.S. Government Agency

    

Obligations

     15,667,846      15,667,846 

Common Stock

  5,746,326         5,746,326 

Warrants

        3,530,743   3,530,743 
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Investments in Securities

 $723,245,488  $2,376,577,669  $4,231,843  $3,104,055,000 
 

 

 

  

 

 

  

 

 

  

 

 

 

 

(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 year ended July 31, 2021, there were transfers between Level 3 and Level 2 assets and liabilities in the amount of $5,396,436. The transfers were due to changes in the availability of observable inputs used to determine fair value.

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.

 

32


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FROST CREDIT FUND  

 

SECTOR WEIGHTINGS (Unaudited)†

 

LOGO

 

Percentages are based on total investments.

 

SCHEDULE OF INVESTMENTS

 

Description  Face Amount         
Value
 

CORPORATE OBLIGATIONS — 42.7%

 

Communication Services — 6.4%

 

ANGI Group
3.875%, 08/15/28 (A)

  $1,000,000     $998,750 

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

   1,000,000      1,066,990 

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

   1,500,000      1,638,750 

Sprint
7.875%, 09/15/23

   1,500,000      1,697,100 

T-Mobile USA
3.500%, 04/15/31 (A)

   1,000,000      1,048,807 

Twitter
3.875%, 12/15/27 (A)

   2,000,000      2,139,200 

ViacomCBS
5.850%, 09/01/43

   2,000,000      2,795,432 
      

 

 

 
       11,385,029 
      

 

 

 

Consumer Discretionary — 19.6%

 

Airswift Global
8.668%, VAR ICE LIBOR USD 3 Month+8.500%, 05/12/25 (A)

   2,000,000      1,980,000 

APX Group
5.750%, 07/15/29 (A)

   1,000,000      1,004,020 

Beazer Homes USA
7.250%, 10/15/29 (A)

   1,000,000      1,093,800 

Block Financial
3.875%, 08/15/30

   2,000,000      2,196,552 

Bloomin’ Brands
5.125%, 04/15/29 (A)

   500,000      513,750 

Choice Hotels International
3.700%, 12/01/29

   2,000,000      2,182,740 
Description  Face Amount         
Value
 

Dillard’s
7.000%, 12/01/28

  $500,000     $598,078 

Expedia
3.800%, 02/15/28

   2,000,000      2,192,231 

Ford Motor Credit
3.087%, 01/09/23

   1,000,000      1,017,810 

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

   2,000,000      1,962,600 

Macy’s
8.375%, 06/15/25 (A)

   500,000      545,000 

MajorDrive Holdings IV
6.375%, 06/01/29 (A)

   2,000,000      1,970,000 

Marriott International
3.500%, 10/15/32

   2,000,000      2,158,142 

Mohawk Industries
3.625%, 05/15/30

   2,000,000      2,235,381 

QVC
5.450%, 08/15/34

   1,000,000      1,060,500 

4.850%, 04/01/24

   500,000      541,875 

4.750%, 02/15/27

   1,000,000      1,072,000 

Rent-A-Center
6.375%, 02/15/29 (A)

   1,000,000      1,073,750 

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

   2,000,000      2,160,000 

STL Holding
7.500%, 02/15/26 (A)

   1,500,000      1,578,750 

Under Armour
3.250%, 06/15/26

   2,000,000      2,072,500 

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

   2,000,000      2,171,600 

Whirlpool
4.600%, 05/15/50

   1,000,000      1,272,208 
      

 

 

 
       34,653,287 
      

 

 

 

Energy — 1.4%

 

Murphy Oil
6.875%, 08/15/24

   500,000      508,750 

5.750%, 08/15/25

   1,000,000      1,020,000 

Tiger Holdco Pte
13.000%, 06/10/23 (A)

   1,012,500      1,022,093 
      

 

 

 
       2,550,843 
      

 

 

 

Financials — 3.7%

 

Athene Holding
6.150%, 04/03/30

   500,000      641,735 

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

   500,000      517,685 

HSBC Holdings
6.500%, 09/15/37

   1,500,000      2,113,521 

Springleaf Finance
5.375%, 11/15/29

   500,000      549,230 
 

 

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

 

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FROST CREDIT FUND  

 

Description  Face Amount         
Value
 

UBS
5.125%, 05/15/24

  $1,500,000     $1,650,990 

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

   1,000,000      1,044,275 
      

 

 

 
       6,517,436 
      

 

 

 

Industrials — 6.6%

 

Boeing
5.150%, 05/01/30

   500,000      595,394 

2.196%, 02/04/26

   1,000,000      1,009,064 

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

   1,000,000      1,045,000 

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

   894,000      956,580 

Diana Shipping
8.375%, 06/22/26 (A)

   2,000,000      2,058,000 

Flowserve
3.500%, 10/01/30

   1,000,000      1,063,359 

General Electric MTN
6.150%, 08/07/37

   945,000      1,320,844 

Masco
7.750%, 08/01/29

   1,088,000      1,512,417 

Teekay
9.250%, 11/15/22 (A)

   2,080,000      2,150,200 
      

 

 

 
       11,710,858 
      

 

 

 

Information Technology — 3.8%

 

Amkor Technology
6.625%, 09/15/27 (A)

   1,000,000      1,074,149 

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

   1,000,000      1,042,680 

Diebold Nixdorf
9.375%, 07/15/25 (A)

   500,000      549,375 

8.500%, 04/15/24

   2,000,000      2,038,230 

Shift4 Payments
4.625%, 11/01/26 (A)

   1,000,000      1,042,380 

VeriSign
4.750%, 07/15/27

   1,000,000      1,061,833 
      

 

 

 
       6,808,647 
      

 

 

 

Materials — 0.6%

 

NOVA Chemicals
4.875%, 06/01/24 (A)

   1,000,000      1,057,310 
      

 

 

 

Utilities — 0.6%

      

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

   1,000,000      1,009,525 
      

 

 

 

Total Corporate Obligations
(Cost $70,582,719)

       75,692,935 
      

 

 

 
Description  Face Amount         
Value
 

COLLATERALIZED LOAN OBLIGATIONS — 30.1%

 

Apidos CLO XI,
Ser 2021-11A, Cl ER3
6.704%, VAR ICE LIBOR USD 3 Month+6.570%, 04/17/34 (A)

  $1,000,000     $980,203 

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

   1,500,000      1,512,296 

BCC Middle Market,
Ser 2018-1A, Cl B
3.134%, VAR ICE LIBOR USD 3 Month+3.000%, 10/20/30 (A)

   1,000,000      998,992 

Benefit Street Partners III,
Ser 2017-IIIA, Cl CR
4.034%, VAR ICE LIBOR USD 3 Month+3.900%, 07/20/29 (A)

   2,000,000      1,980,406 

Benefit Street Partners III,
Ser 2017-IIIA, Cl DR
6.734%, VAR ICE LIBOR USD 3 Month+6.600%, 07/20/29 (A)

   2,500,000      2,335,595 

Carlyle Global Market Strategies,
Ser 2018-1A, Cl CR2
1.934%, VAR ICE LIBOR USD 3 Month+1.800%, 04/17/31 (A)

   1,250,000      1,243,681 

CARLYLE US,
Ser 2018-1A, Cl B
1.984%, VAR ICE LIBOR USD 3 Month+1.850%, 04/20/31 (A)

   2,000,000      1,944,350 

Chenango Park,
Ser 2018-1A, Cl B
1.976%, VAR ICE LIBOR USD 3 Month+1.850%, 04/15/30 (A)

   1,000,000      997,861 

CIFC Funding,
Ser 2018-1A, Cl C
1.884%, VAR ICE LIBOR USD 3 Month+1.750%, 04/18/31 (A)

   500,000      498,383 

Fortress Credit Opportunities IX,
Ser 2017- 9A, Cl C
2.806%, VAR ICE LIBOR USD 3 Month+2.650%, 11/15/29 (A)

   1,400,000      1,395,604 

Galaxy XXIX,
Ser 2018-29A, Cl D
2.556%, VAR ICE LIBOR USD 3 Month+2.400%, 11/15/26 (A)

   500,000      499,574 

Golub Capital Partners,
Ser 2017-17A, Cl BR
3.025%, VAR ICE LIBOR USD 3 Month+2.900%, 10/25/30 (A)

   1,500,000      1,492,569 

Golub Capital Partners,
Ser 2017-21A, Cl CR
2.575%, VAR ICE LIBOR USD 3 Month+2.450%, 01/25/31 (A)

   3,000,000      2,986,557 

Golub Capital Partners,
Ser 2017-22A, Cl CR
1.984%, VAR ICE LIBOR USD 3 Month+1.850%, 01/20/31 (A)

   1,500,000      1,457,257 
 

 

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

 

34


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

 

 

 

 

FROST CREDIT FUND  

 

Description  Face Amount         
Value
 

Golub Capital Partners,
Ser 2017-23A, Cl BR
1.684%, VAR ICE LIBOR USD 3 Month+1.550%, 01/20/31 (A)

  $1,000,000     $1,008,891 

Golub Capital Partners,
Ser 2017-23A, Cl CR
1.934%, VAR ICE LIBOR USD 3 Month+1.800%, 01/20/31 (A)

   2,000,000      1,951,240 

Golub Capital Partners,
Ser 2017-24A, Cl DR
4.076%, VAR ICE LIBOR USD 3 Month+3.900%, 11/05/29 (A)

   2,000,000      1,984,830 

Golub Capital Partners,
Ser 2018-26A, Cl BR
1.684%, VAR ICE LIBOR USD 3 Month+1.550%, 04/20/31 (A)

   1,000,000      995,212 

Golub Capital Partners,
Ser 2018-36A, Cl B
1.826%, VAR ICE LIBOR USD 3 Month+1.650%, 02/05/31 (A)

   2,000,000      1,953,342 

Golub Capital Partners,
Ser 2018-36A, Cl C
2.276%, VAR ICE LIBOR USD 3 Month+2.100%, 02/05/31 (A)

   1,500,000      1,477,442 

Jay Park,
Ser 2018-1A, Cl BR
2.134%, VAR ICE LIBOR USD 3 Month+2.000%, 10/20/27 (A)

   1,000,000      999,496 

LCM XXII,
Ser 2018-22A, Cl BR
2.134%, VAR ICE LIBOR USD 3 Month+2.000%, 10/20/28 (A)

   1,500,000      1,487,500 

Madison Park Funding XII,
Ser 2014-12A, Cl D
3.634%, VAR ICE LIBOR USD 3 Month+3.500%, 07/20/26 (A)

   3,000,000      2,995,467 

MCF IV,
Ser 2017-1A, Cl CR
2.784%, VAR ICE LIBOR USD 3 Month+2.650%, 10/20/29 (A)

   1,000,000      988,379 

MCF VIII,
Ser 2018-1A, Cl B
1.884%, VAR ICE LIBOR USD 3 Month+1.750%, 07/18/30 (A)

   3,000,000      2,917,092 

OZLM Funding IV,
Ser 2017-4A, Cl BR
2.338%, VAR ICE LIBOR USD 3 Month+2.200%, 10/22/30 (A)

   2,000,000      1,993,728 

Race Point IX,
Ser 2017-9A, Cl BR
2.276%, VAR ICE LIBOR USD 3 Month+2.150%, 10/15/30 (A)

   4,000,000      3,934,444 

Race Point IX,
Ser 2017-9A, Cl DR 7.026%, VAR ICE LIBOR USD 3 Month+6.900%, 10/15/30 (A)

   2,000,000      1,937,422 
Description  Face Amount         
Value
 

Sudbury Mill,
Ser 2013-1A, Cl E
4.884%, VAR ICE LIBOR USD 3 Month+4.750%, 01/17/26 (A)

  $4,700,000     $4,370,084 

TCI-Symphony,
Ser 2018-1A, Cl BR
1.779%, VAR ICE LIBOR USD 3 Month+1.650%, 10/13/29 (A)

   2,000,000      2,005,144 
      

 

 

 

Total Collateralized Loan Obligations
(Cost $53,551,596)

       53,323,041 
      

 

 

 

ASSET-BACKED SECURITIES — 14.7%

 

Automotive — 8.1%

 

ACC Auto Trust,
Ser 2021-A, Cl D
6.100%, 06/15/29 (A)

   1,000,000      999,830 

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

   1,000,000      1,016,527 

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

   1,584,000      1,712,087 

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

   1,000,000      1,050,936 

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

   1,500,000      1,503,763 

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

   1,155,000      1,174,884 

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

   500,000      523,064 

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

   2,000,000      2,063,800 

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

   694,632      701,801 

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

   2,000,000      2,082,655 

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

   1,500,000      1,559,904 
      

 

 

 
       14,389,251 
      

 

 

 

Credit Card — 0.6%

 

Mission Lane Credit Card Master Trust,
Ser 2021-A, Cl B
2.240%, 09/15/26 (A)

   1,000,000      1,002,060 
      

 

 

 
 

 

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   |   J U L Y   3 1,   2 0 2 1

 

 

 

 

FROST CREDIT FUND  

 

Description  Face Amount         
Value
 

Other Asset-Backed Securities — 6.0%

 

BXMT,
Ser 2020-FL2, Cl A
1.061%, VAR SOFR30A+1.014%, 02/15/38 (A)

  $1,000,000     $999,374 

Cold Storage Trust,
Ser 2020-ICE5, Cl E
2.859%, VAR ICE LIBOR USD 1 Month+2.766%,
11/15/37 (A)

   982,991      990,691 

Credible Asset Securitization II,
Ser 2021-1A, Cl B
3.380%, 04/15/26 (A)

   524,000      528,670 

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

   1,798,945      1,744,052 

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

   293,961      319,753 

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

   230,927      232,796 

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

   1,500,000      1,468,188 

Pretium Mortgage Credit Partners I,
Ser 2021-NPL1, Cl A2
4.213%, 09/27/60 (A)

   1,000,000      1,015,503 

Pretium Mortgage Credit Partners,
Ser 2021-NPL3, Cl A2
3.721%, 07/25/51 (A)

   500,000      501,077 

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

   335,320      294,645 

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

   1,500,000      1,502,146 

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

   975,833      1,033,320 
      

 

 

 
       10,630,215 
      

 

 

 

Total Asset-Backed Securities
(Cost $25,101,981)

 

     26,021,526 
      

 

 

 

MORTGAGE-BACKED SECURITIES — 6.5%

 

Commercial Mortgage-Backed Obligation — 6.5%

 

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

   1,000,000      884,013 

Commercial Mortgage Trust,
Ser 2014-UBS6, Cl C
4.444%, 12/10/47 (B)

   1,000,000      1,051,347 

Commercial Mortgage Trust,
Ser 2015-DC1, Cl D
4.307%, 02/10/48 (A)(B)

   1,517,000      1,311,260 
Description  Face Amount/
Shares
         
Value
 

Credit Suisse Commercial Mortgage Trust,
Ser 2008-C1, Cl D
5.816%, 02/15/41 (A)(B)

  $390,798     $22,393 

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

   1,000,000      1,079,837 

FREMF Mortgage Trust,
Ser 2016-K722, Cl B
3.858%, 07/25/49 (A)(B)

   1,500,000      1,577,025 

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

   2,000,000      2,230,854 

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

   1,250,000      1,389,497 

UBS Commercial Mortgage Trust,

      

Ser 2012-C1, Cl C

5.551%, 05/10/45 (A)(B)

   1,000,000      1,022,631 

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

   1,000,000      923,904 
      

 

 

 

Total Mortgage-Backed Securities
(Cost $10,870,772)

 

     11,492,761 
      

 

 

 

COMMON STOCK — 0.1%

 

Industrials — 0.1%

 

Erickson*(C)

   3,761      81,388 
      

 

 

 

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

 

     81,388 
      

 

 

 

PREFERRED STOCK — 0.0%

 

Communication Services — 0.0%

 

MYT Holdings LLC
10.000%, 06/07/29*

   64,528      66,980 
      

 

 

 

Total Preferred Stock
(Cost $64,528)

       66,980 
      

 

 

 

Total Investments — 94.1%
(Cost $162,001,163)

      $166,678,631 
      

 

 

 

 

Percentages

are based on Net Assets of $177,159,550.

*

Non-income producing security.

(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 July 31, 2021 was $124,027,714 and represents 70.0% 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

CLO — Collateralized Loan Obligation

DAC — Designated Activity Company

 

 

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   |   J U L Y   3 1,   2 0 2 1

 

 

 

 

FROST CREDIT FUND  

 

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 Rate Security

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

 

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

Corporate Obligations

 $  $75,692,935  $  $75,692,935 

Collateralized Loan Obligations

     53,323,041      53,323,041 

Asset-Backed Securities

     26,021,526      26,021,526 

Mortgage-Backed Securities

     11,492,761      11,492,761 

Common Stock

        81,388   81,388 

Preferred Stock

  66,980         66,980 
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Investments in Securities

 $66,980  $166,530,263  $81,388  $166,678,631 
 

 

 

  

 

 

  

 

 

  

 

 

 

 

(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 year ended July 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.

 

37


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

 

 

 

 

FROST LOW DURATION BOND FUND  

 

SECTOR WEIGHTINGS (Unaudited)†

 

LOGO

 

Percentages are based on total investments.

 

SCHEDULE OF INVESTMENTS

 

Description  Face Amount         
Value
 

ASSET-BACKED SECURITIES — 52.2%

 

Automotive — 42.2%

 

ACC Auto Trust 2021-A,
Ser 2021-A, Cl A
1.080%, 04/15/27 (A)

  $2,000,000     $2,000,080 

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

   4,552,789      4,594,767 

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

   5,000,000      5,058,672 

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

   1,500,000      1,517,140 

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

   969,342      969,852 

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

   8,250,000      8,333,914 

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

   1,258,546      1,259,024 

Amur Equipment Finance Receivables IX,
Ser 2021-1A, Cl C
1.750%, 06/21/27 (A)

   2,000,000      2,007,504 
Description  Face Amount         
Value
 

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

  $1,384,090     $1,416,551 

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

   1,556,093      1,559,780 

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

   2,550,000      2,638,523 

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

   5,000,000      5,133,749 

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

   17,000,000      17,946,767 

CARDS II Trust,
Ser 2021-1A, Cl B
0.931%, 04/15/27 (A)

   7,250,000      7,255,166 

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

   92,679      92,761 

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

   2,266,667      2,291,103 

Credit Acceptance Auto Loan Trust 2021-3,
Ser 2021-3A, Cl A
1.000%, 05/15/30 (A)

   2,000,000      2,008,561 

Credit Acceptance Auto Loan Trust 2021-3,
Ser 2021-3A, Cl C
1.630%, 09/16/30 (A)

   1,700,000      1,706,605 

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

   4,267,896      4,286,496 

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

   5,500,000      5,670,729 

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

   2,000,000      2,030,363 

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

   2,250,000      2,341,271 

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

   1,410,000      1,424,591 

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

   4,397,198      4,506,773 
 

 

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 U L Y   3 1,   2 0 2 1

 

 

 

 

FROST LOW DURATION BOND FUND  

 

Description  Face Amount         
Value
 

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

  $1,945,518     $1,963,705 

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

   1,500,000      1,525,058 

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

   1,250,000      1,263,983 

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

   2,500,000      2,495,196 

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

   8,516,713      8,603,933 

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

   6,000,000      6,118,742 

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

   3,000,000      3,114,742 

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

   4,935,000      5,159,446 

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

   6,686,000      6,899,412 

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

   4,550,000      4,659,022 

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

   1,365,000      1,403,913 

Foursight Capital Automobile Receivables Trust 2021-2,
Ser 2021-2, Cl D
1.920%, 09/15/27 (A)

   5,500,000      5,523,954 

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

   2,100,000      2,159,255 

Genesis Sales Finance Master Trust, Ser 2021-AA, Cl A
1.200%, 12/21/26 (A)

   2,000,000      2,000,571 

GLS Auto Receivables Issuer Trust 2021-1,
Ser 2021-1A, Cl C
1.200%, 01/15/27 (A)

   2,200,000      2,213,346 

GLS Auto Receivables Issuer Trust 2021-1,
Ser 2021-1A, Cl D
1.680%, 01/15/27 (A)

   6,000,000      6,040,399 
Description  Face Amount         
Value
 

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

  $1,750,000     $1,812,808 

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

   1,000,000      1,006,463 

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

   1,000,000      1,006,391 

Hertz Vehicle Financing,
Ser 2021-1A, Cl A 1.210%, 12/26/25 (A)

   3,000,000      3,019,966 

Marlette Funding Trust 2021-2,
Ser 2021-2A, Cl C
1.500%, 09/15/31 (A)

   2,000,000      2,006,434 

Octane Receivables Trust 2021-1,
Ser 2021-1A, Cl A
0.930%, 03/22/27 (A)

   2,280,660      2,283,312 

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

   3,750,000      3,781,526 

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

   55,000      55,027 

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

   2,000,000      2,019,856 

Prodigy Finance CM2021-1 DAC,
Ser 2021-1A, Cl A
1.351%, VAR ICE LIBOR USD 1 Month+1.250%, 07/25/51 (A)

   1,000,000      1,001,819 

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

   1,000,000      1,003,232 

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

   3,000,000      3,026,016 

United Auto Credit Securitization Trust,
Ser 2021-1, Cl C
0.840%, 06/10/26 (A)

   5,500,000      5,500,945 

Westlake Automobile Receivables Trust 2021-1,
Ser 2021-1A, Cl D
1.230%, 04/15/26 (A)

   11,000,000      11,042,657 

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

   6,575,000      6,731,273 

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

   2,750,000      2,802,276 
 

 

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

 

39


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

 

 

 

 

FROST LOW DURATION BOND FUND  

 

Description  Face Amount         
Value
 

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

  $4,500,000     $4,657,350 

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

   1,000,000      1,010,044 

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

   1,520,000      1,546,886 
      

 

 

 
       204,509,700 
      

 

 

 

Credit Card — 3.3%

      

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

   995,000      1,049,731 

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

   7,000,000      7,139,754 

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

   7,495,000      7,680,339 
      

 

 

 
       15,869,824 
      

 

 

 

Other Asset-Backed Securities — 4.0%

 

    

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

   918,243      946,946 

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

   312,603      342,045 

Oportun Issuance Trust 2021-B,
Ser 2021-B, Cl A
1.470%, 05/08/31 (A)

   1,750,000      1,751,247 

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

   5,000,000      4,927,517 

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

   2,916,418      2,930,893 

SCF Equipment Leasing 2021-1,
Ser 2021-1A, Cl D
1.930%, 09/20/30 (A)

   1,000,000      1,002,319 

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

   2,000,000      2,032,765 

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

   5,080      5,088 
Description  Face Amount         
Value
 

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

  $1,485,280     $1,491,847 

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

   3,893,333      4,066,056 
      

 

 

 
       19,496,723 
      

 

 

 

Student Loan — 2.7%

      

AccessLex Institute,
Ser 2002-A, Cl A2
2.772%, 09/25/37 (B)

   300,000      299,564 

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

   863,794      880,713 

Nelnet Student Loan Trust,
Ser 2012-6A, Cl B
1.589%, VAR ICE LIBOR USD 1 Month+1.500%, 08/26/52 (A)

   3,000,000      3,013,093 

Nelnet Student Loan Trust,
Ser 2013-3A, Cl B
1.589%, VAR ICE LIBOR USD 1 Month+1.500%, 07/25/47 (A)

   4,000,000      3,965,053 

Nelnet Student Loan Trust,
Ser 2015-3A, Cl B
1.589%, VAR ICE LIBOR USD 1 Month+1.500%, 06/25/54 (A)

   3,000,000      2,888,156 

SLM Student Loan Trust,
Ser 2013-2, Cl B
1.589%, VAR ICE LIBOR USD 1 Month+1.500%, 06/25/43

   2,000,000      1,984,420 
      

 

 

 
       13,030,999 
      

 

 

 

Total Asset-Backed Securities
(Cost $248,786,148)

       252,907,246 
      

 

 

 

U.S. TREASURY OBLIGATIONS — 23.2%

 

U.S. Treasury Note
1.625%, 12/15/22

   38,000,000      38,783,750 

1.500%, 01/15/23

   40,000,000      40,796,875 

0.750%, 05/31/26

   5,000,000      5,017,188 

0.250%, 05/31/25

   28,000,000      27,713,437 
      

 

 

 

Total U.S. Treasury Obligations
(Cost $110,808,288)

       112,311,250 
      

 

 

 

CORPORATE OBLIGATIONS — 17.3%

 

Financials — 8.0%

 

Capital One Financial
4.200%, 10/29/25

   10,000,000      11,232,693 

Danske Bank
3.875%, 09/12/23 (A)

   4,205,000      4,472,937 

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

   2,000,000      2,052,438 

Lloyds Banking Group
4.050%, 08/16/23

   9,000,000      9,625,816 
 

 

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

 

40


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

 

 

 

 

FROST LOW DURATION BOND FUND  

 

Description  Face Amount         
Value
 

Swedbank
1.300%, 06/02/23

  $1,000,000     $1,015,840 

0.600%, 09/25/23 (A)

   5,000,000      5,008,800 

Wells Fargo MTN
2.406%, VAR United States Secured Overnight Financing Rate+1.087%, 10/30/25

   5,000,000      5,228,485 
      

 

 

 
       38,637,009 
      

 

 

 

Health Care — 2.8%

      

Anthem
1.500%, 03/15/26

   5,000,000      5,087,851 

Eli Lilly
2.750%, 06/01/25

   8,000,000      8,579,677 
      

 

 

 
       13,667,528 
      

 

 

 

Industrials — 2.0%

      

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

   3,000,000      3,210,136 

1.750%, 01/30/26

   2,000,000      1,987,944 

Boeing
3.100%, 05/01/26

   4,290,000      4,582,303 
      

 

 

 
       9,780,383 
      

 

 

 

Information Technology — 1.8%

      

Broadcom
3.150%, 11/15/25

   8,000,000      8,602,584 
      

 

 

 

Materials — 0.3%

      

Steel Dynamics
5.000%, 12/15/26

   1,313,000      1,368,387 
      

 

 

 

Real Estate — 2.1%

      

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

   3,000,000      3,104,022 

Equinix
1.000%, 09/15/25 ‡

   5,000,000      4,995,460 

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

   2,000,000      2,008,038 
      

 

 

 
       10,107,520 
      

 

 

 

Utilities — 0.3%

      

Duke Energy
0.900%, 09/15/25

   1,400,000      1,394,179 
      

 

 

 

Total Corporate Obligations

(Cost $82,471,001)

 

 

     83,557,590 
      

 

 

 

MORTGAGE-BACKED SECURITIES — 3.4%

 

Commercial Mortgage-Backed Obligation — 3.4%

 

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

   1,305,000      1,332,651 

Cold Storage Trust,
Ser 2020-ICE5, Cl A
0.993%, VAR ICE LIBOR USD 1 Month+0.900%, 11/15/37 (A)

   5,406,448      5,425,093 

COMM 2021-LBA Mortgage Trust,
Ser 2021-LBA, Cl A
0.783%, VAR ICE LIBOR USD 1 Month+0.690%, 03/15/38 (A)

   9,900,000      9,902,984 
      

 

 

 

Total Mortgage-Backed Securities
(Cost $16,644,096)

       16,660,728 
      

 

 

 
Description  Face Amount         
Value
 

U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.6%

 

FFCB
0.570%, 08/12/25

  $5,000,000     $4,988,946 

FHLB
0.525%, 01/15/26

   2,520,000      2,505,229 
      

 

 

 

Total U.S. Government Agency Obligations
(Cost $7,518,307)

       7,494,175 
      

 

 

 

Total Investments — 97.7%
(Cost $466,227,840)

      $472,930,989 
      

 

 

 

Percentages are based on Net Assets of $484,245,849.

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 July 31, 2021 was $263,453,393 and represents 54.4% of Net Assets.

(B)

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

Cl — Class

DAC — Designated Activity Company

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

ICE — Intercontinental Exchange

LIBOR — London Interbank Offered Rate

MTN — Medium Term Note

Ser — Series

USD — U.S. Dollar

VAR — Variable Rate Security

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

 

Investments in Securities Level 1  Level 2  Level 3  Total 

Asset-Backed Securities

 $  $252,907,246  $  $252,907,246 

U.S. Treasury Obligations

  112,311,250         112,311,250 

Corporate Obligations

     83,557,590      83,557,590 

Mortgage-Backed Securities

     16,660,728      16,660,728 

U.S. Government Agency Obligations

     7,494,175      7,494,175 
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Investments in Securities

 $112,311,250  $360,619,739  $  $472,930,989 
 

 

 

  

 

 

  

 

 

  

 

 

 

For the year ended July 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.

 

41


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

 

 

 

 

FROST MUNICIPAL BOND FUND  

 

SECTOR WEIGHTINGS (Unaudited)†

 

LOGO

Percentages are based on total investments.

 

SCHEDULE OF INVESTMENTS

 

Description  Face Amount     

Value

 

MUNICIPAL BONDS — 89.5%

 

California — 3.8%

 

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

  $1,200,000     $1,240,793 

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

   370,000      391,717 
      

 

 

 
       1,632,510 
      

 

 

 

Colorado — 3.6%

 

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

   525,000      605,760 

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

   300,000      346,149 

5.000%, 12/15/26

   500,000      614,593 
      

 

 

 
       1,566,502 
      

 

 

 

District of Columbia — 2.1%

 

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

   895,000      919,442 
      

 

 

 

Idaho — 1.2%

      

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

   500,000      541,629 
      

 

 

 

Illinois — 2.0%

      

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

   760,000      845,852 
      

 

 

 

Kansas — 3.5%

      

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

   1,300,000      1,534,210 
      

 

 

 
Description  Face Amount     

Value

 

Michigan — 3.0%

      

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

  $1,175,000     $1,287,157 
      

 

 

 

Minnesota — 0.8%

      

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

   325,534      332,333 
      

 

 

 

Missouri — 3.8%

      

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

   1,575,000      1,646,008 
      

 

 

 

Oklahoma — 2.7%

      

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

   1,000,000      1,162,764 
      

 

 

 

South Carolina — 3.7%

      

Hilton Head Island,
Ser C, GO, ST AID WITHHLDG
Callable 03/01/26 @ 100
2.250%, 03/01/33

   530,000      548,539 

2.125%, 03/01/32

   520,000      537,483 

2.000%, 03/01/30

   495,000      512,874 
      

 

 

 
       1,598,896 
      

 

 

 

Texas — 59.3%

      

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

   1,000,000      1,172,710 

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

   2,000,000      2,222,783 

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

   110,000      110,173 

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

   1,185,000      1,354,526 

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

   700,000      798,312 

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

   1,025,000      1,067,666 

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

   460,000      540,463 

4.000%, 08/15/22

   525,000      541,657 

4.000%, 08/15/23

   500,000      536,460 
 

 

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

 

42


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

 

 

 

 

FROST MUNICIPAL BOND FUND  

 

Description  Face Amount     

Value

 

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

  $1,500,000     $1,956,744 

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

   1,000,000      1,065,106 

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

   1,000,000      1,162,996 

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

   1,000,000      1,180,162 

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

   1,070,000      1,253,894 

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

   1,005,000      1,025,766 

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

   500,000      535,119 

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

   1,435,000      1,593,970 

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

   1,000,000      1,059,612 

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

   1,000,000      1,298,025 

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

   2,000,000      2,101,026 

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

   545,000      602,381 

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

   1,000,000      1,173,614 

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

   1,400,000      1,416,014 
      

 

 

 
       25,769,179 
      

 

 

 

Total Municipal Bonds
(Cost $36,570,068)

       38,836,482 
      

 

 

 

Total Investments — 89.5%
(Cost $36,570,068)

      $38,836,482 
      

 

 

 

Percentages are based on Net Assets of $43,386,705.

(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

SAN — State Aid Note

Ser — Series

TA — Tax Allocation

As of July 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 year ended July 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.

 

43


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

 

 

 

 

  

 

STATEMENTS OF ASSETS AND LIABILITIES

 

   Growth
Equity
Fund
   Total
Return
Bond
Fund
 

Assets:

    

Investments at Value

  $458,187,968   $3,104,055,000 

Cash

       3,783,043 

Receivable for Investment Securities Sold

   541,007    46,603 

Receivable for Capital Shares Sold

   346,477    4,828,065 

Dividends and Interest Receivable

   88,971    16,685,548 

Cash Collateral on Futures Contracts

       38,786 

Foreign Tax Reclaim Receivable

   2,268     

Prepaid Expenses

   28,495    60,958 
  

 

 

   

 

 

 

Total Assets

   459,195,186    3,129,498,003 
  

 

 

   

 

 

 

Liabilities:

    

Payable for Investment Securities Purchased

       10,000,000 

Payable for Capital Shares Redeemed

   255,062    1,018,315 

Payable Due to Investment Adviser

   194,430    923,806 

Shareholder Servicing Fees Payable — A Class Shares

       1,010 

Professional Fees Payable

   33,984    79,520 

Payable Due to Administrator

   28,359    192,481 

Payable Due to Distributor — Investor Class Shares

   14,346    73,350 

Payable Due to Distributor — A Class Shares

       1,338 

Cash Overdraft

   138,400     

Payable Due to Trustees

   3,205    21,831 

Chief Compliance Officer Fees Payable

   791    5,390 

Transfer Agent Fees Payable

   10,410    67,830 

Pricing Fees Payable

   530    38,053 

Other Accrued Expenses

   6,748    45,757 
  

 

 

   

 

 

 

Total Liabilities

   686,265    12,468,681 
  

 

 

   

 

 

 

Net Assets

  $458,508,921   $3,117,029,322 
  

 

 

   

 

 

 

NET ASSETS:

    

Paid-in Capital

  $129,798,894   $3,186,853,419 

Total Distributable Earnings (Accumulated Loss)

   328,710,027    (69,824,097
  

 

 

   

 

 

 

Net Assets

  $458,508,921   $3,117,029,322 
  

 

 

   

 

 

 

Institutional Class Shares:

    

Net Assets

  $389,165,956   $2,741,353,059 

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

   19,190,485    263,470,031 

Net Asset Value, Offering and Redemption Price Per Share

  $20.28   $10.40 
  

 

 

   

 

 

 

Investor Class Shares:

    

Net Assets

  $69,342,965   $368,782,550 

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

   3,487,013    35,459,778 

Net Asset Value, Offering and Redemption Price Per Share

  $19.89   $10.40 
  

 

 

   

 

 

 

A Class Shares:

    

Net Assets

  $n/a   $6,893,713 

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

   n/a    663,111 

Net Asset Value, Offering and Redemption Price Per Share

  $n/a   $10.40 
  

 

 

   

 

 

 

Maximum Offering Price Per Share — Class A

  $n/a   $10.75 
  

 

 

   

 

 

 

Cost of Investments

  $174,311,774   $3,057,227,932 

“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.

 

44


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

 

 

 

 

  

 

STATEMENTS OF ASSETS AND LIABILITIES

 

   Credit
Fund
   Low
Duration
Bond
Fund
   Municipal
Bond
Fund
 

Assets:

      

Investments at Value

  $166,678,631   $472,930,989   $38,836,482 

Cash

   9,179,384    9,898,657    4,070,554 

Receivable for Capital Shares Sold

   129,671    654,655     

Dividends and Interest Receivable

   1,335,350    1,066,447    514,272 

Prepaid Expenses

   21,321    31,017    23,050 
  

 

 

   

 

 

   

 

 

 

Total Assets

   177,344,357    484,581,765    43,444,358 
  

 

 

   

 

 

   

 

 

 

Liabilities:

      

Payable for Capital Shares Redeemed

   16,762    110,262     

Payable Due to Investment Adviser

   75,408    123,208    9,382 

Shareholder Servicing Fees Payable — A Class Shares

   299         

Professional Fee Payable

   53,145    38,137    37,287 

Payable Due to Administrator

   10,998    29,950    2,737 

Payable Due to Distributor — Investor Class Shares

   1,902    5,869    947 

Payable Due to Distributor — A Class Shares

   274         

Payable Due to Trustees

   1,250    3,397    316 

Chief Compliance Officer Fees Payable

   309    839    78 

Transfer Agent Fees Payable

   8,638    11,025    4,684 

Pricing Fees Payable

   12,641    6,079    1,557 

Other Accrued Expenses

   3,181    7,150    665 
  

 

 

   

 

 

   

 

 

 

Total Liabilities

   184,807    335,916    57,653 
  

 

 

   

 

 

   

 

 

 

Net Assets

  $177,159,550   $484,245,849   $43,386,705 
  

 

 

   

 

 

   

 

 

 

NET ASSETS:

      

Paid-in Capital

  $173,910,228   $475,367,489   $40,607,892 

Distributable Earnings

   3,249,322    8,878,360    2,778,813 
  

 

 

   

 

 

   

 

 

 

Net Assets

  $177,159,550   $484,245,849   $43,386,705 
  

 

 

   

 

 

   

 

 

 

Institutional Class Shares:

      

Net Assets

  $166,805,440   $454,722,743   $38,589,804 

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

   16,484,225    43,412,694    3,766,957 

Net Asset Value, Offering and Redemption Price Per Share

  $10.12   $10.47   $10.24 
  

 

 

   

 

 

   

 

 

 

Investor Class Shares:

      

Net Assets

  $9,332,649   $29,523,106   $4,796,901 

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

   923,624    2,817,768    468,119 

Net Asset Value, Offering and Redemption Price Per Share

  $10.10   $10.48   $10.25 
  

 

 

   

 

 

   

 

 

 

A Class Shares:

      

Net Assets

  $1,021,461   $n/a   $n/a 

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

   101,143    n/a    n/a 

Net Asset Value, Offering and Redemption Price Per Share

  $10.10   $n/a   $n/a 
  

 

 

   

 

 

   

 

 

 

Maximum Offering Price Per Share — Class A

  $10.33   $n/a   $n/a 
  

 

 

   

 

 

   

 

 

 

Cost of Investments

  $162,001,163   $466,227,840   $36,570,068 

“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.

 

45


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

 

 

 

 

  

 

STATEMENTS OF OPERATIONS

 

     Growth
Equity
Fund
     Total
Return
Bond
Fund
 

Investment Income:

        

Dividend Income

    $2,385,642     $ 

Interest income

           106,170,645 

Foreign Taxes Withheld

     (13,897      
    

 

 

     

 

 

 

Total Investment Income

     2,371,745      106,170,645 
    

 

 

     

 

 

 

Expenses:

        

Investment Advisory Fees

     2,098,096      10,954,640 

Administration Fees

     306,025      2,282,504 

Distribution Fees — Investor Class Shares

     155,956      962,770 

Distribution Fees — A Class Shares

     n/a      9,651 

Trustees’ Fees

     11,467      85,432 

Chief Compliance Officer Fees

     2,110      14,960 

Transfer Agent Fees

     62,447      401,328 

Professional Fees

     48,265      185,904 

Registration Fees

     47,127      94,769 

Printing Fees

     24,259      167,828 

Custodian Fees

     10,422      62,238 

Insurance and Other Expenses

     19,760      302,389 
    

 

 

     

 

 

 

Total Expenses

     2,785,934      15,524,413 

Less: Fees Paid Indirectly

     (117     (2,055
    

 

 

     

 

 

 

Net Expenses

     2,785,817      15,522,358 
    

 

 

     

 

 

 

Net Investment Income

     (414,072     90,648,287 
    

 

 

     

 

 

 

Net Realized Gain (Loss) from Investments

     50,405,514      (71,141,129

Net Change in Unrealized Appreciation (Depreciation) on Investments

     66,508,904      187,714,310 
    

 

 

     

 

 

 

Net Realized and Unrealized Gain on Investments

     116,914,418      116,573,181 
    

 

 

     

 

 

 

Increase in Net Assets Resulting from Operations

    $116,500,346     $207,221,468 
    

 

 

     

 

 

 

Amounts designated as “—” are $0.

 

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

 

46


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

 

 

 

 

  

 

STATEMENTS OF OPERATIONS

 

     Credit
Fund
     Low
Duration
Bond
Fund
     Municipal
Bond
Fund
 

Investment Income:

            

Interest Income

    $8,409,082     $8,701,528     $1,576,636 

Dividend Income

     14,323             
    

 

 

     

 

 

     

 

 

 

Total Investment Income

     8,423,405      8,701,528      1,576,636 
    

 

 

     

 

 

     

 

 

 

Expenses:

            

Investment Advisory Fees

     938,742      1,352,343      148,174 

Administration Fees

     136,911      328,754      37,662 

Distribution Fees — Investor Class Shares

     24,082      74,102      11,841 

Distribution Fees — A Class Shares

     1,919      n/a      n/a 

Trustees’ Fees

     5,080      12,407      1,411 

Chief Compliance Officer Fees

     895      2,221      236 

Transfer Agent Fees

     52,996      64,985      28,520 

Registration Fees

     52,452      52,024      35,748 

Professional Fees

     60,036      53,341      39,450 

Printing Fees

     9,079      22,301      2,435 

Custodian Fees

     6,082      10,888      3,923 

Pricing Fee

           23,649      6,728 

Insurance and Other Expenses

     66,745      18,042      2,306 
    

 

 

     

 

 

     

 

 

 

Total Expenses

     1,355,019      2,015,057      318,434 

Less: Investment Advisory Fees Waived

                 (19,046

Less: Fees Paid Indirectly

     (74     (120     (8
    

 

 

     

 

 

     

 

 

 

Net Expenses

     1,354,945      2,014,937      299,380 
    

 

 

     

 

 

     

 

 

 

Net Investment Income

     7,068,460      6,686,591      1,277,256 
    

 

 

     

 

 

     

 

 

 

Net Realized Gain from Investments

     392,425      3,913,051      652,529 

Net Change in Unrealized Appreciation (Depreciation) on Investments

     12,589,926      (2,641,480     (552,234
    

 

 

     

 

 

     

 

 

 

Net Realized and Unrealized Gain (Loss) on Investments

     12,982,351      1,271,571      100,295 
    

 

 

     

 

 

     

 

 

 

Increase in Net Assets Resulting from Operations

    $20,050,811     $7,958,162     $1,377,551 
    

 

 

     

 

 

     

 

 

 

“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.

 

47


FROST FAMILY OF FUNDS  

 

 

 

 

  

 

STATEMENTS OF CHANGES IN NET ASSETS

 

    Growth Equity Fund 
    Year Ended
July 31,
2021
     Year Ended
July 31,
2020
 

Operations:

      

Net Investment Income (Loss)

  $(414,072    $568,009 

Net Realized Gain on Investments

   50,405,514      19,362,795 

Net Change in Unrealized Appreciation (Depreciation) on Investments

   66,508,904      68,019,731 
  

 

 

     

 

 

 

Net Increase in Net Assets Resulting from Operations

   116,500,346      87,950,535 
  

 

 

     

 

 

 

Distributions:

      

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

   30,109,348      36,374,424 

Reinvestment of Dividends

   6,400,714      13,734,711 

Redeemed

   (73,482,944     (47,331,688
  

 

 

     

 

 

 

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

   (36,972,882     2,777,447 
  

 

 

     

 

 

 

Investor Class Shares:

      

Issued

   1,984,810      2,867,306 

Reinvestment of Dividends

   2,109,846      4,729,005 

Redeemed

   (6,633,471     (5,518,481
  

 

 

     

 

 

 

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

   (2,538,815     2,077,830 
  

 

 

     

 

 

 

A Class Shares:

      

Issued

   n/a      n/a 

Reinvestment of Dividends

   n/a      n/a 

Redeemed

   n/a      n/a 
  

 

 

     

 

 

 

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

   n/a      n/a 
  

 

 

     

 

 

 

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

   (39,511,697     4,855,277 
  

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

   62,154,826      58,469,844 
  

 

 

     

 

 

 

Net assets:

      

Beginning of Year

   396,354,095      337,884,251 
  

 

 

     

 

 

 

End of Year

  $458,508,921     $396,354,095 
  

 

 

     

 

 

 

Share Transactions:

      

Institutional Class Shares:

      

Issued

   1,696,302      2,670,702 

Reinvestment of Dividends

   378,398      1,035,347 

Redeemed

   (4,175,427     (3,456,764
  

 

 

     

 

 

 

Total Increase (Decrease) in Institutional Class Shares

   (2,100,727     249,285 
  

 

 

     

 

 

 

Investor Class Shares:

      

Issued

   115,405      211,039 

Reinvestment of Dividends

   127,099      362,875 

Redeemed

   (379,342     (411,217
  

 

 

     

 

 

 

Total Increase (Decrease) in Investor Class Shares

   (136,838     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

   (2,237,565     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.

 

48


  F R O S T   F U N D S

 

 

 

 

 
 

 

Total Return Bond Fund 
Year Ended
July 31,
2021
     Year Ended
July 31,
2020
 
    
$90,648,287     $135,771,673 
 (71,141,129     4,524,747 
 187,714,310      (138,036,077

 

 

     

 

 

 
 207,221,468      2,260,343 

 

 

     

 

 

 
    
 (92,943,437     (125,231,018
 (12,055,313     (18,817,985
 (129,203     (69,877

 

 

     

 

 

 
 (105,127,953     (144,118,880

 

 

     

 

 

 
    
    
 679,270,244      814,585,252 
 56,666,242      72,744,679 
 (918,534,673     (1,124,079,814

 

 

     

 

 

 

 

(182,598,187

     (236,749,883

 

 

     

 

 

 
    
 48,444,334      172,446,248 
 10,600,030      16,980,474 
 (132,066,514     (258,805,689

 

 

     

 

 

 

 

(73,022,150

     (69,378,967

 

 

     

 

 

 
    
 5,233,940      2,069,964 
 55,945      42,319 
 (290,986     (1,249,029

 

 

     

 

 

 
 
    
4,998,899

 
     863,254 

 

 

     

 

 

 

 

(250,621,438

     (305,265,596

 

 

     

 

 

 
 (148,527,923     (447,124,133

 

 

     

 

 

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

 

 

     

 

 

 
$3,117,029,322     $3,265,557,245 

 

 

     

 

 

 
    
    
 66,179,958      79,535,260 
 5,525,109      7,166,892 
 (89,710,811     (111,528,936

 

 

     

 

 

 
 (18,005,744     (24,826,784

 

 

     

 

 

 
    
 4,710,938      16,716,875 
 1,034,267      1,672,615 
 (12,911,032     (25,724,465

 

 

     

 

 

 
 (7,165,827     (7,334,975

 

 

     

 

 

 
    
 508,201      199,402 
 5,454      4,202 
 (28,168     (121,865

 

 

     

 

 

 
 485,487      81,739 

 

 

     

 

 

 
 (24,686,084     (32,080,020

 

 

     

 

 

 

 

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

 

49


FROST FAMILY OF FUNDS  

 

 

 

 

  

 

STATEMENTS OF CHANGES IN NET ASSETS

 

    Credit Fund 
    Year Ended
July 31,
2021
     Year Ended
July 31,
2020
 

Operations:

      

Net Investment Income

  $7,068,460     $9,128,196 

Net Realized Gain (Loss) on Investments

   392,425      1,467,102 

Net Change in Unrealized Appreciation (Depreciation) on Investments

   12,589,926      (7,833,816
  

 

 

     

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   20,050,811      2,761,482 
  

 

 

     

 

 

 

Distributions:

      

Institutional Class Shares

   (6,879,760     (8,661,274

Investor Class Shares

   (347,885     (490,081

A Class Shares

   (28,668     (20,588
  

 

 

     

 

 

 

Total Distributions

   (7,256,313     (9,171,943
  

 

 

     

 

 

 

Capital Share Transactions:

      

Institutional Class Shares:

      

Issued

   19,378,061      37,159,580 

Reinvestment of Dividends

   1,322,182      1,647,783 

Redeemed

   (60,161,233     (38,439,618
  

 

 

     

 

 

 

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

   (39,460,990     367,745 
  

 

 

     

 

 

 

Investor Class Shares:

      

Issued

   1,123,988      1,414,840 

Reinvestment of Dividends

   340,475      480,065 

Redeemed

   (3,610,306     (4,031,933
  

 

 

     

 

 

 

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

   (2,145,843     (2,137,028
  

 

 

     

 

 

 

A Class Shares:

      

Issued

   403,241      310,042 

Reinvestment of Dividends

   25,318      19,157 

Redeemed

   (91,954     (69,939
  

 

 

     

 

 

 

Net Increase in Net Assets from
A Class Share Transactions

   336,605      259,260 
  

 

 

     

 

 

 

Net Increase in Net Assets from
Capital Share Transactions

   (41,270,228     (1,510,023
  

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

   (28,475,730     (7,920,484
  

 

 

     

 

 

 

Net assets:

      

Beginning of Year

   205,635,280      213,555,764 
  

 

 

     

 

 

 

End of Year

  $177,159,550     $205,635,280 
  

 

 

     

 

 

 

Share Transactions:

      

Institutional Class Shares:

      

Issued

   1,954,808      3,884,745 

Reinvestment of Dividends

   134,196      174,523 

Redeemed

   (6,108,857     (4,104,654
  

 

 

     

 

 

 

Total Increase (Decrease) in Institutional Class Shares

   (4,019,853     (45,386
  

 

 

     

 

 

 

Investor Class Shares:

      

Issued

   112,690      151,235 

Reinvestment of Dividends

   34,555      50,921 

Redeemed

   (367,361     (435,001
  

 

 

     

 

 

 

Total Increase (Decrease) in Investor Class Shares

   (220,116     (232,845
  

 

 

     

 

 

 

A Class Shares:

      

Issued

   40,503      32,436 

Reinvestment of Dividends

   2,561      2,046 

Redeemed

   (9,394     (7,195
  

 

 

     

 

 

 

Total Increase in A Class Shares

   33,670      27,287 
  

 

 

     

 

 

 

Net Increase (Decrease) in Shares Outstanding

   (4,206,299     (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.

 

50


  F R O S T   F U N D S

 

 

 

 

 
 

 

Low Duration Bond Fund    Municipal Bond Fund 
Year Ended
July 31,
2021
     Year Ended
July 31,
2020
    Year Ended
July 31,
2021
     Year Ended
July 31,
2020
 
          
$6,686,591     $7,235,891   $1,277,256     $2,501,812 
 3,913,051      1,033,047    652,529      1,898,942 
 (2,641,480     7,328,623    (552,234     (583,889

 

 

     

 

 

   

 

 

     

 

 

 
 7,958,162      15,597,561    1,377,551      3,816,865 

 

 

     

 

 

   

 

 

     

 

 

 
          
 (7,562,093     (6,816,119   (3,000,712     (2,608,571
 (467,537     (420,280   (285,958     (126,907
 n/a      n/a    n/a      n/a 

 

 

     

 

 

   

 

 

     

 

 

 
 (8,029,630     (7,236,399   (3,286,670     (2,735,478

 

 

     

 

 

   

 

 

     

 

 

 
          
          
 140,675,800      150,697,807    1,513,167      4,238,557 
 2,693,507      2,152,221    1,345,915      639,131 
 (91,563,625     (75,899,277   (17,811,310     (105,843,582

 

 

     

 

 

   

 

 

     

 

 

 
 
    
51,805,682

 
     76,950,751    (14,952,228     (100,965,894

 

 

     

 

 

   

 

 

     

 

 

 
          
 12,556,182      11,294,065    6,199,999      326,068 
 458,845      411,230    284,714      109,020 
 (10,895,962     (10,306,698   (6,251,678     (2,051,724

 

 

     

 

 

   

 

 

     

 

 

 
 
    
2,119,065

 
     1,398,597    233,035      (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 

 

 

     

 

 

   

 

 

     

 

 

 
 
    
53,924,747

 
     78,349,348    (14,719,193     (102,582,530

 

 

     

 

 

   

 

 

     

 

 

 
 53,853,279      86,710,510    (16,628,312     (101,501,143

 

 

     

 

 

   

 

 

     

 

 

 
          
 430,392,570      343,682,060    60,015,017      161,516,160 

 

 

     

 

 

   

 

 

     

 

 

 
$484,245,849     $430,392,570   $43,386,705     $60,015,017 

 

 

     

 

 

   

 

 

     

 

 

 
          
          
 13,406,520      14,667,017    143,631      402,897 
 256,776      208,486    130,793      60,856 
 (8,723,315     (7,368,009   (1,718,532     (10,024,880

 

 

     

 

 

   

 

 

     

 

 

 
 4,939,981      7,507,494    (1,444,108     (9,561,127

 

 

     

 

 

   

 

 

     

 

 

 
          
 1,195,247      1,099,000    583,169      31,047 
 43,729      39,819    27,664      10,376 
 (1,037,809     (999,666   (588,208     (194,614

 

 

     

 

 

   

 

 

     

 

 

 
 201,167      139,153    22,625      (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 

 

 

     

 

 

   

 

 

     

 

 

 
 5,141,148      7,646,647    (1,421,483     (9,714,318

 

 

     

 

 

   

 

 

     

 

 

 

 

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

 

51


FROST FAMILY OF FUNDS  F R O S T   F U N D S

 

 

 

 

  

 

FINANCIAL HIGHLIGHTS

 

For a Share Outstanding Throughout Each Year

For 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  $(0.01 $4.96  $4.95  $(0.01 $(0.61 $(0.62 $20.28   31.83 $389,166   0.63  0.63  (0.06)%   17

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 

Investor Class Shares

 

2021

 $15.68  $(0.05 $4.87  $4.82  $  $(0.61 $(0.61 $19.89   31.52 $69,343   0.88  0.88  (0.31)%   17

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 
              

Total Return Bond Fund

 

Institutional Class Shares

 

2021

 $10.07  $0.30  $0.38  $0.68  $(0.35 $  $(0.35 $10.40   6.85 $2,741,353   0.46  0.46  2.93  38

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 

Investor Class Shares

 

2021

 $10.07  $0.27  $0.38  $0.65  $(0.32 $  $(0.32 $10.40   6.59 $368,782   0.71  0.71  2.67  38

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 

A Class Shares

 

2021

 $10.06  $0.28  $0.39  $0.67  $(0.33 $  $(0.33 $10.40   6.71 $6,894   0.72  0.72  2.69  38

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** 

 

*

Annualized.

**

Not annualized.

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.

(a)

Commenced operations on June 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.

 

52


FROST FAMILY OF FUNDS  F R O S T   F U N D S

 

 

 

 

  

 

FINANCIAL HIGHLIGHTS

 

For a Share Outstanding Throughout Each Year

For 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
 
              

Credit Fund

 

Institutional Class Shares

 

2021

 $9.47  $0.37  $0.67   1.04  $(0.39 $   (0.39 $10.12   11.12 $166,805   0.71  0.71  3.78  21

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 

Investor Class Shares

 

2021

 $9.46  $0.35  $0.65   1.00  $(0.36 $   (0.36 $10.10   10.74 $9,333   0.96  0.96  3.52  21

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 

A Class Shares

 

2021

 $9.45  $0.35  $0.66   1.01  $(0.36 $   (0.36 $10.10   10.87 $1,022   0.96  0.96  3.51  21

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** 
              

Low Duration Bond Fund

 

Institutional Class Shares

 

2021

 $10.47  $0.16  $0.03   0.19  $(0.17 $(0.02  (0.19 $10.47   1.82 $454,723   0.43  0.43  1.50  49

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 

Investor Class Shares

 

2021

 $10.48  $0.13  $0.03   0.16  $(0.14 $(0.02  (0.16 $10.48   1.56 $29,523   0.68  0.68  1.25  49

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 

 

*

Annualized.

**

Not annualized.

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 $0.01 per share.

(a)

Commenced operations on June 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.

 

53


FROST FAMILY OF FUNDS  F R O S T   F U N D S

 

 

 

 

  

 

FINANCIAL HIGHLIGHTS

 

For a Share Outstanding Throughout Each Year

For the Years Ended July 31,

 

               
   Net Asset
Value,
Beginning
of Year
  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 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
to Average
Net Assets
  Portfolio
Turnover
Rate
 
              

Municipal Bond Fund

 

 

Institutional Class Shares

 

 

2021

 $10.61  $0.26  $0.02  $0.28  $(0.26 $(0.39 $(0.65 $10.24   2.77%††  $38,590   0.56  0.59  2.49  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 

Investor Class Shares

 

 

2021

 $10.61  $0.23  $0.03  $0.26  $(0.23 $(0.39 $(0.62 $10.25   2.61%††  $4,797   0.81  0.84  2.23  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 

 

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.

^^

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.

 

54


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

 

 

 

 

  

 

NOTES TO FINANCIAL STATEMENTS

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”). With the exception of the Growth Equity Fund, each Fund is classified as a “diversified” investment company under the 1940 Act. Effective May 17, 2021, the Growth Equity Fund was reclassified from a “diversified” to a “non-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.

 

55


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

 

 

 

 

  

 

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 year ended July 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 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.

 

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As of and during the year ended July 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 year ended July 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 year ended July 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 temporary or emergency purposes, subject to certain terms and conditions. Participation in the Interfund Lending Program is voluntary for both borrowing and lending Funds. For the year ended July 31, 2021, the Funds did not participate in the Interfund Lending Program.

 

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

 

 

 

 

  

 

Line of Credit — The Funds had entered into an agreement which enabled them to participate in a $50 million unsecured committed revolving line of credit on a first come, first serve basis, with MUFG Union Bank, N.A., the Funds’ former custodian. This line of credit was terminated on November 25, 2020.

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 year ended July 31, 2021, the Funds were charged as follows for these services: $306,025 in the Growth Equity Fund, $2,282,504 in the Total Return Bond Fund, $136,911 in the Credit Fund, $328,754 in the Low Duration Bond Fund, and $37,662 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. For the year ended July 31, 2021, there were no fees charged to the Funds.

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.

 

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

 

 

 

 

  

 

The table below shows the rate of each Fund’s investment advisory fee and the Adviser’s Contractual Expense Limitation, if any, for each Fund:

 

Fund    Advisory Fee
Before
Contractual Fee
Reduction
    

Institutional
Class Shares

Contractual Expense
Limitation

    

Investor Class Shares

Contractual Expense
Limitation*

    A Class Shares
Contractual Expense
Limitation**

Growth Equity Fund†

    0.50%    1.25%    1.50%    N/A

Total Return Bond Fund

    0.35%    0.95%    1.20%    1.35%

Credit Fund††

    0.50%    1.00%    1.25%    1.40%

Low Duration Bond Fund

    0.30%    0.95%    1.20%    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%.

Prior to November 28, 2020, the Adviser had contractually agreed to waive the advisory fee for the Municipal Bond Fund (which was 0.35% at the time) 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 year ended July 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 year ended July 31, 2021, were as follows:

 

   U.S. Government  Other  Total 

Growth Equity Fund

   
Purchases $  $69,536,213  $69,536,213 
Sales     118,125,747   118,125,747 

Total Return Bond Fund

   
Purchases  518,920,700   559,934,407   1,078,855,107 
Sales  331,274,307   1,081,291,680   1,412,565,987 

Credit Fund

   
Purchases     33,553,779   33,553,779 
Sales     63,459,244   63,459,244 
   U.S. Government  Other  Total 

Low Duration Bond Fund

   
Purchases $32,808,555  $252,833,002  $285,641,557 
Sales  4,012,149   204,003,007   208,015,156 

Municipal Bond Fund

   
Purchases         
Sales     18,961,923   18,961,923 
 

 

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. The permanent differences primarily

 

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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, net operating loss offset to short term, and distribution reclassification. There were no permanent difference that is credited or charged to Paid-in Capital and Distributable Earnings as of July 31, 2021.

The tax character of dividends and distributions declared during the years ended July 31, 2021, and July 31, 2020, was as follows:

 

      Tax Exempt     Ordinary
Income
     Long-Term
Capital Gains
     Return of
Capital
     Total 

Growth Equity Fund

                    

2021

    $     $380,085     $14,453,738     $     $14,833,823 

2020

           895,116      33,440,852            34,335,968 

Total Return Bond Fund

                    

2021

           105,127,953                  105,127,953 

2020

           144,118,880                  144,118,880 

Credit Fund

                    

2021

           7,256,313                  7,256,313 

2020

           9,171,943                  9,171,943 

Low Duration Bond Fund

                    

2021

           7,412,469      617,161            8,029,630 

2020

           7,236,399                  7,236,399 

Municipal Bond Fund

                    

2021

     1,269,060      442,879      1,574,731            3,286,670 

2020

     2,486,538      221,093      27,847            2,735,478 

As of July 31, 2021, 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

 $5,186,358  $  $39,647,469  $  $  $  $283,876,194  $6  $328,710,027 

Total Return Bond Fund

  5,566,301         (50,159,482  (51,666,073     26,435,149   8   (69,824,097

Credit Fund

  28,831         (1,159,602        4,380,096   (3  3,249,322 

Low Duration Bond Fund

        2,506,863            6,371,490   7   8,878,360 

Municipal Bond Fund

     8,087   504,314            2,266,414   (2  2,778,813 

Post-October capital losses represent capital losses realized on investment transactions from November 1, 2020, through July 31, 2021, 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, 2021, through July 31, 2021, and specified losses realized on investment transactions from November 1, 2020, through July 31, 2021, 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

    $12,000,223     $38,159,259     $50,159,482 

Credit Fund

     313,144      846,458      1,159,602 

During the year ended July 31, 2021, Low Duration Bond Fund and Credit Fund utilized $566,543 and 290,220 respectively in capital loss carryforwards to offset capital gains.

 

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The aggregate cost of investments for federal income tax purposes at July 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 July 31, 2021, were as follows:

 

      Federal
Tax Cost
     Appreciated
Securities
     Depreciated
Securities
     Net Unrealized
Appreciation
(Depreciation)
 

Growth Equity Fund

    $174,311,774     $284,889,269     $(1,013,075    $283,876,194 

Total Return Bond Fund

     3,077,619,851      157,478,574      (131,043,425     26,435,149 

Credit Fund

     162,298,535      7,252,149      (2,872,053     4,380,096 

Low Duration Bond Fund

     466,559,499      7,007,974      (636,484     6,371,490 

Municipal Bond Fund

     36,570,068      2,266,414            2,266,414 

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.

 

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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 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.

 

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

 

 

 

 

  

 

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.

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 finan