UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number (811-05037)
Professionally Managed Portfolios
(Exact name of registrant as specified in charter)
(Exact name of registrant as specified in charter)
615 East Michigan Street
Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)
(Address of principal executive offices) (Zip code)
Elaine E. Richards
Professionally Managed Portfolios
c/o U.S. Bank Global Fund Services
2020 E. Financial Way, Ste. 100
Glendora, CA 91741
(Name and address of agent for service)
2020 E. Financial Way, Ste. 100
Glendora, CA 91741
(Name and address of agent for service)
(626) 914-7363
Registrant's telephone number, including area code
Date of fiscal year end: December 31
Date of reporting period: June 30, 2021
Item 1. Report to Stockholders.
(a) | [Insert full text of semi-annual report here] |
Muzinich & Co.
Muzinich Credit Opportunities Fund
Muzinich U.S. High Yield Credit Fund
Muzinich Low Duration Fund
Muzinich High Income Floating Rate Fund
SEMI-ANNUAL REPORT
June 30, 2021
Muzinich Funds
TABLE OF CONTENTS |
Sector Allocations | 1 | |
Schedules of Investments | 5 | |
Statements of Assets and Liabilities | 34 | |
Statements of Operations | 36 | |
Statements of Changes in Net Assets | 37 | |
Financial Highlights | 41 | |
Notes to Financial Statements | 48 | |
Expense Examples | 62 | |
Statement Regarding Liquidity Risk Management Program | 64 | |
Additional Information | 65 | |
Privacy Notice | 66 |
(This Page Intentionally Left Blank.)
Muzinich Credit Opportunities Fund
(“Credit Opportunities Fund”)
SECTOR ALLOCATIONS at June 30, 2021 (Unaudited) |
Sector | % of Net Assets | ||||
Banking | 10.2 | % | |||
Healthcare | 8.7 | % | |||
Energy | 7.0 | % | |||
Telecommunications | 6.8 | % | |||
Automotive & Auto Parts | 6.5 | % | |||
Diversified Financial Services | 6.1 | % | |||
Technology | 4.5 | % | |||
Homebuilders/Real Estate | 4.3 | % | |||
Chemicals | 3.5 | % | |||
Airlines | 3.4 | % | |||
Food/Beverage/Tobacco | 3.4 | % | |||
Transportation Excluding Air/Rail | 3.0 | % | |||
Services | 2.4 | % | |||
Sovereign | 2.4 | % | |||
Capital Goods | 2.2 | % | |||
Super Retail | 1.9 | % | |||
Metals/Mining | 1.7 | % | |||
Cable/Satellite TV | 1.6 | % | |||
Leisure | 1.6 | % | |||
Utilities | 1.5 | % | |||
Consumer-Products | 1.4 | % | |||
Containers | 1.3 | % | |||
Steel | 1.2 | % | |||
Affiliated Mutual Funds | 1.1 | % | |||
Diversified Media | 1.0 | % | |||
Building Materials | 0.9 | % | |||
Insurance | 0.8 | % | |||
Broadcasting | 0.7 | % | |||
Paper | 0.6 | % | |||
Food & Drug Retail | 0.5 | % | |||
Gaming | 0.5 | % | |||
Quasi & Foreign Government | 0.5 | % | |||
Restaurants | 0.5 | % | |||
Aerospace/Defense | 0.3 | % | |||
Environmental | 0.2 | % | |||
Publishing/Printing | 0.2 | % | |||
Cash & Equivalents1 | 5.6 | % | |||
Total | 100.0 | % |
1 | Represents cash and other assets in excess of liabilities. |
1
Muzinich U.S. High Yield Credit Fund
(“U.S. High Yield Fund”)
SECTOR ALLOCATIONS at June 30, 2021 (Unaudited) |
Sector | % of Net Assets | ||||
Energy | 15.9 | % | |||
Healthcare | 8.4 | % | |||
Telecommunications | 7.6 | % | |||
Cable/Satellite TV | 5.4 | % | |||
Homebuilders/Real Estate | 5.0 | % | |||
Food/Beverage/Tobacco | 3.8 | % | |||
Services | 3.8 | % | |||
Automotive & Auto Parts | 3.7 | % | |||
Broadcasting | 3.7 | % | |||
Technology | 3.7 | % | |||
Airlines | 3.4 | % | |||
Restaurants | 3.3 | % | |||
Metals/Mining | 3.1 | % | |||
Leisure | 2.7 | % | |||
Utilities | 2.6 | % | |||
Banking | 2.4 | % | |||
Capital Goods | 2.4 | % | |||
Diversified Financial Services | 2.4 | % | |||
Building Materials | 2.3 | % | |||
Aerospace/Defense | 1.5 | % | |||
Super Retail | 1.5 | % | |||
Diversified Media | 1.4 | % | |||
Gaming | 1.3 | % | |||
Steel | 1.3 | % | |||
Chemicals | 1.0 | % | |||
Food & Drug Retail | 0.6 | % | |||
Publishing/Printing | 0.5 | % | |||
Transportation Excluding Air/Rail | 0.5 | % | |||
Consumer Products | 0.4 | % | |||
Hotels | 0.3 | % | |||
Containers | 0.3 | % | |||
Clothing Stores | 0.2 | % | |||
Entertainment/Film | 0.2 | % | |||
Cash & Equivalents1 | 3.4 | % | |||
Total | 100.0 | % |
1 | Represents cash and other assets in excess of liabilities. |
2
Muzinich Low Duration Fund
(“Low Duration Fund”)
SECTOR ALLOCATIONS at June 30, 2021 (Unaudited) |
Sector | % of Net Assets | ||||
Banking | 23.8 | % | |||
Diversified Financial Services | 17.6 | % | |||
Automotive & Auto Parts | 5.8 | % | |||
Homebuilders/Real Estate | 4.7 | % | |||
Telecommunications | 4.5 | % | |||
Airlines | 3.9 | % | |||
Energy | 3.8 | % | |||
Services | 3.3 | % | |||
Healthcare | 3.1 | % | |||
Super Retail | 2.5 | % | |||
Food/Beverage/Tobacco | 2.4 | % | |||
Collateralized Debt Obligation | 2.3 | % | |||
Utilities | 2.3 | % | |||
Technology | 1.9 | % | |||
Transportation Excluding Air/Rail | 1.8 | % | |||
Leisure | 1.6 | % | |||
Gaming | 1.5 | % | |||
Capital Goods | 1.2 | % | |||
Affiliated Mutual Funds | 1.0 | % | |||
Chemicals | 1.0 | % | |||
Hotels | 0.9 | % | |||
Building Materials | 0.8 | % | |||
Cable/Satellite TV | 0.8 | % | |||
Food & Drug Retail | 0.7 | % | |||
Consumer-Products | 0.6 | % | |||
Diversified Media | 0.6 | % | |||
Quasi & Foreign Government | 0.4 | % | |||
Containers | 0.3 | % | |||
Steel | 0.3 | % | |||
Broadcasting | 0.2 | % | |||
Metals/Mining | 0.2 | % | |||
Aerospace/Defense | 0.1 | % | |||
Cash & Equivalents1 | 4.1 | % | |||
Total | 100.0 | % |
1 | Represents cash and other assets in excess of liabilities. |
3
Muzinich High Income Floating Rate Fund
(“Floating Rate Fund”)
SECTOR ALLOCATIONS at June 30, 2021 (Unaudited) |
Sector | % of Net Assets | ||||
Healthcare | 14.6 | % | |||
Technology | 9.4 | % | |||
Diversified Financial Services | 7.9 | % | |||
Services | 7.2 | % | |||
Capital Goods | 6.1 | % | |||
Automotive & Auto Parts | 4.6 | % | |||
Cable/Satellite TV | 4.6 | % | |||
Telecommunications | 3.8 | % | |||
Food/Beverage/Tobacco | 3.6 | % | |||
Diversified Media | 3.5 | % | |||
Super Retail | 3.5 | % | |||
Gaming | 3.4 | % | |||
Chemicals | 3.1 | % | |||
Broadcasting | 2.9 | % | |||
Energy | 1.7 | % | |||
Airlines | 1.4 | % | |||
Steel | 1.4 | % | |||
Transportation Excluding Air/Rail | 1.4 | % | |||
Building Materials | 1.3 | % | |||
Publishing/Printing | 0.8 | % | |||
Environmental | 0.7 | % | |||
Utilities | 0.7 | % | |||
Consumer Products | 0.6 | % | |||
Leisure | 0.6 | % | |||
Paper | 0.6 | % | |||
Homebuilders/Real Estate | 0.5 | % | |||
Containers | 0.4 | % | |||
Metals/Mining | 0.3 | % | |||
Cash & Equivalents1 | 9.4 | % | |||
Total | 100.0 | % |
1 | Represents cash and other assets in excess of liabilities. |
4
Credit Opportunities Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) |
Principal | |||||||||
Amount† | Value | ||||||||
CORPORATE BONDS: 75.2% | |||||||||
Aerospace/Defense: 0.3% | |||||||||
TransDigm Inc | |||||||||
1,525,000 | 8.000%, 12/15/25 | $ | 1,652,017 | ||||||
Airlines: 2.8% | |||||||||
American Airlines Inc/ | |||||||||
AAdvantage Loyalty IP Ltd | |||||||||
550,000 | 5.500%, 4/20/26 | 583,000 | |||||||
425,000 | 5.750%, 4/20/29 | 459,357 | |||||||
Delta Air Lines Inc | |||||||||
950,000 | 7.375%, 1/15/26 | 1,115,834 | |||||||
Delta Air Lines Inc / SkyMiles IP Ltd | |||||||||
1,175,000 | 4.750%, 10/20/28 | 1,308,029 | |||||||
Emirates Airline | |||||||||
1,622,804 | 4.500%, 2/6/25 | 1,663,785 | |||||||
Mileage Plus Holdings LLC / | |||||||||
Mileage Plus Intellectual | |||||||||
Property Assets Ltd | |||||||||
3,150,000 | 6.500%, 6/20/27 | 3,472,088 | |||||||
Singapore Airlines Ltd | |||||||||
3,846,000 | 3.000%, 7/20/26 | 3,901,363 | |||||||
United Airlines Inc | |||||||||
1,850,000 | 4.375%, 4/15/26 | 1,917,062 | |||||||
550,000 | 4.625%, 4/15/29 | 569,938 | |||||||
14,990,456 | |||||||||
Automotive & Auto Parts: 5.7% | |||||||||
Aptiv PLC | |||||||||
1,275,000 | 4.250%, 1/15/26 | 1,441,505 | |||||||
FCA Bank SpA/Ireland | |||||||||
EUR | 750,000 | 0.250%, 2/28/23 | 894,689 | ||||||
Ford Motor Co | |||||||||
1,125,000 | 8.500%, 4/21/23 | 1,256,850 | |||||||
Ford Motor Credit Co LLC | |||||||||
2,725,000 | 4.063%, 11/1/24 | 2,901,853 | |||||||
1,237,000 | 4.271%, 1/9/27 | 1,327,041 | |||||||
General Motors Co | |||||||||
1,650,000 | 6.125%, 10/1/25 | 1,955,128 | |||||||
2,375,000 | 6.800%, 10/1/27 | 2,994,822 | |||||||
General Motors Financial Co Inc | |||||||||
2,550,000 | 2.700%, 8/20/27 | 2,654,155 | |||||||
2,425,000 | 2.700%, 6/10/31 | 2,449,506 | |||||||
IHO Verwaltungs GmbH | |||||||||
EUR | 900,000 | 3.625% Cash or 4.000% | |||||||
PIK, 5/15/25 | 1,085,458 | ||||||||
EUR | 400,000 | 3.750% Cash or 5.000% | |||||||
PIK, 9/15/26 | 484,595 | ||||||||
Kia Corp | |||||||||
470,000 | 3.250%, 4/21/26 | 504,108 | |||||||
570,000 | 3.500%, 10/25/27 | 623,491 | |||||||
Nissan Motor Co Ltd | |||||||||
481,000 | 3.043%, 9/15/23 | 501,823 | |||||||
325,000 | 3.522%, 9/17/25 | 347,401 | |||||||
EUR | 1,500,000 | 2.652%, 3/17/26 | 1,939,832 | ||||||
Renault SA | |||||||||
EUR | 2,100,000 | 2.375%, 5/25/26 | 2,530,192 | ||||||
Schaeffler AG | |||||||||
EUR | 900,000 | 2.750%, 10/12/25 | 1,141,875 | ||||||
Volkswagen International | |||||||||
Finance NV | |||||||||
EUR | 1,900,000 | 3.500% (5 Year Swap Rate | |||||||
EUR + 3.746%), 6/17/25 1,2,4 | 2,436,950 | ||||||||
ZF Finance GmbH | |||||||||
EUR | 700,000 | 3.000%, 9/21/25 | 881,575 | ||||||
30,352,849 | |||||||||
Banking: 10.2% | |||||||||
ABN AMRO Bank NV | |||||||||
4,800,000 | 4.400% (5 Year Swap Rate | ||||||||
USD + 2.197%), 3/27/28 1,2 | 5,054,918 | ||||||||
Australia & New Zealand | |||||||||
Banking Group Ltd | |||||||||
410,000 | 2.950% (5 Year CMT | ||||||||
Rate + 1.288%), 7/22/30 1,2 | 427,241 | ||||||||
Banco Bradesco SA | |||||||||
2,319,000 | 3.200%, 1/27/25 | 2,388,906 | |||||||
Banco Daycoval SA | |||||||||
850,000 | 4.250%, 12/13/24 | 882,300 | |||||||
Banco do Brasil SA | |||||||||
971,000 | 4.750%, 3/20/24 | 1,039,892 | |||||||
Bancolombia SA | |||||||||
500,000 | 4.875% (5 Year CMT | ||||||||
Rate + 2.929%), 10/18/27 1,2 | 509,775 | ||||||||
Bank Leumi Le-Israel BM | |||||||||
2,180,000 | 3.275% (5 Year CMT | ||||||||
Rate + 1.631%), 1/29/31 1,2 | 2,234,500 | ||||||||
Bank of Ireland Group PLC | |||||||||
2,075,000 | 4.125% (5 Year CMT | ||||||||
Rate + 2.500%), 9/19/27 1,2 | 2,125,514 | ||||||||
Bank of New Zealand | |||||||||
2,050,000 | 3.500%, 2/20/24 | 2,199,454 | |||||||
BBVA Bancomer SA/Texas | |||||||||
1,282,000 | 1.875%, 9/18/25 | 1,298,153 | |||||||
BPCE SA | |||||||||
2,400,000 | 4.500%, 3/15/25 | 2,648,668 | |||||||
Caixa Geral de Depositos SA | |||||||||
EUR | 900,000 | 5.750% (5 Year Swap Rate | |||||||
EUR + 5.500%), 6/28/28 1,2 | 1,172,556 | ||||||||
EUR | 1,000,000 | 6.750%, 12/13/69 1 | 1,339,894 | ||||||
CaixaBank SA | |||||||||
EUR | 2,400,000 | 2.750% (5 Year Swap Rate | |||||||
EUR + 2.350%), 7/14/28 1,2 | 2,973,147 | ||||||||
Danske Bank A/S | |||||||||
EUR | 480,000 | 2.500% (5 Year Swap Rate | |||||||
EUR + 2.500%), 6/21/29 1,2 | 600,153 |
The accompanying notes are an integral part of these financial statements.
5
Credit Opportunities Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | |||||||||
Amount† | Value | ||||||||
CORPORATE BONDS: 75.2% (Continued) | |||||||||
Banking: 10.2% (Continued) | |||||||||
Deutsche Bank AG | |||||||||
2,200,000 | 4.296% (5 Year Swap Rate | ||||||||
USD + 2.248%), 5/24/28 1,2 | $ | 2,281,180 | |||||||
1,000,000 | 4.875% (5 Year Mid Swap Rate | ||||||||
USD + 2.553%), 12/1/32 1,2 | 1,079,185 | ||||||||
Emirates NBD Bank PJSC | |||||||||
860,000 | 2.625%, 2/18/25 | 900,850 | |||||||
Erste Group Bank AG | |||||||||
EUR | 2,200,000 | 6.500% (5 Year Swap Rate | |||||||
EUR + 6.204%), 4/15/24 1,2,4 | 2,932,990 | ||||||||
Global Bank Corp | |||||||||
800,000 | 5.250% (3 Month LIBOR | ||||||||
USD + 3.300%), 4/16/29 1,2 | 840,400 | ||||||||
Ibercaja Banco SA | |||||||||
EUR | 1,100,000 | 2.750% (5 Year Swap Rate | |||||||
EUR + 2.882%), 7/23/30 1,2 | 1,305,116 | ||||||||
ING Groep NV | |||||||||
5,050,000 | 4.700% (5 Year Swap Rate | ||||||||
USD + 1.938%), 3/22/28 1,2 | 5,342,961 | ||||||||
Itau Unibanco Holding SA | |||||||||
450,000 | 5.125%, 5/13/23 | 475,312 | |||||||
QNB Finance Ltd | |||||||||
3,470,000 | 2.625%, 5/12/25 | 3,636,470 | |||||||
Societe Generale SA | |||||||||
2,400,000 | 5.000%, 1/17/24 | 2,613,167 | |||||||
EUR | 2,200,000 | 1.375% (5 Year Swap Rate | |||||||
EUR + 0.900%), 2/23/28 1,2 | 2,650,935 | ||||||||
Standard Chartered PLC | |||||||||
1,300,000 | 3.516% (5 Year CMT | ||||||||
Rate + 1.850%), 2/12/30 1,2 | 1,366,680 | ||||||||
UniCredit SPA | |||||||||
1,175,000 | 5.861% (5 Year Mid Swap | ||||||||
Rate USD + 3.703%), 6/19/32 1,2 | 1,298,892 | ||||||||
Volksbank Wien AG | |||||||||
EUR | 800,000 | 2.750% (5 Year Swap Rate | |||||||
EURIBOR + 2.550%), 10/6/27 1,2 | 973,603 | ||||||||
54,592,812 | |||||||||
Broadcasting: 0.5% | |||||||||
Sirius XM Radio Inc | |||||||||
1,425,000 | 3.875%, 8/1/22 | 1,429,346 | |||||||
TEGNA Inc | |||||||||
1,400,000 | 4.750%, 3/15/26 | 1,492,750 | |||||||
2,922,096 | |||||||||
Building Materials: 0.6% | |||||||||
Cemex SAB de CV | |||||||||
EUR | 910,000 | 2.750%, 12/5/24 | 1,094,568 | ||||||
900,000 | 7.375%, 6/5/27 | 1,014,750 | |||||||
640,000 | 5.200%, 9/17/30 | 705,639 | |||||||
500,000 | 5.200%, 9/17/30 | 551,280 | |||||||
3,366,237 | |||||||||
Cable/Satellite TV: 1.1% | |||||||||
CCO Holdings LLC / | |||||||||
CCO Holdings Capital Corp | |||||||||
2,925,000 | 5.000%, 2/1/28 | 3,072,682 | |||||||
CSC Holdings LLC | |||||||||
2,850,000 | 5.875%, 9/15/22 | 2,999,725 | |||||||
6,072,407 | |||||||||
Capital Goods: 2.0% | |||||||||
Alfa SAB de CV | |||||||||
2,430,000 | 5.250%, 3/25/24 | 2,653,366 | |||||||
General Electric Co | |||||||||
3,150,000 | 6.750%, 3/15/32 | 4,378,529 | |||||||
IDEX Corp | |||||||||
1,325,000 | 2.625%, 6/15/31 | 1,349,955 | |||||||
Westinghouse Air Brake | |||||||||
Technologies Corp | |||||||||
1,900,000 | 4.400%, 3/15/24 | 2,060,230 | |||||||
10,442,080 | |||||||||
Chemicals: 1.6% | |||||||||
Alpek SAB de CV | |||||||||
2,306,000 | 4.250%, 9/18/29 | 2,509,574 | |||||||
Equate Petrochemical BV | |||||||||
500,000 | 4.250%, 11/3/26 | 556,591 | |||||||
INEOS Quattro Finance 2 PLC | |||||||||
EUR | 775,000 | 2.500%, 1/15/26 | 929,269 | ||||||
MEGlobal Canada ULC | |||||||||
500,000 | 5.000%, 5/18/25 | 561,945 | |||||||
Orbia Advance Corp SAB de CV | |||||||||
1,000,000 | 4.000%, 10/4/27 | 1,099,110 | |||||||
Sherwin-Williams Co/The | |||||||||
650,000 | 3.450%, 6/1/27 | 718,143 | |||||||
UPL Corp Ltd | |||||||||
2,322,000 | 4.500%, 3/8/28 | 2,495,839 | |||||||
8,870,471 | |||||||||
Consumer-Products: 0.2% | |||||||||
Church & Dwight Co Inc | |||||||||
900,000 | 3.150%, 8/1/27 | 983,003 | |||||||
Containers: 1.3% | |||||||||
Ardagh Packaging Finance PLC / | |||||||||
Ardagh Holdings USA Inc | |||||||||
537,000 | 6.000%, 2/15/25 | 555,379 | |||||||
EUR | 1,525,000 | 2.125%, 8/15/26 | 1,811,560 | ||||||
2,550,000 | 4.125%, 8/15/26 | 2,636,279 | |||||||
Berry Global Inc | |||||||||
391,000 | 5.125%, 7/15/23 | 391,880 | |||||||
550,000 | 4.875%, 7/15/26 | 582,675 | |||||||
Klabin Austria GmbH | |||||||||
280,000 | 5.750%, 4/3/29 | 320,405 | |||||||
Silgan Holdings Inc | |||||||||
EUR | 500,000 | 2.250%, 6/1/28 | 597,294 | ||||||
6,895,472 |
The accompanying notes are an integral part of these financial statements.
6
Credit Opportunities Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | |||||||||
Amount† | Value | ||||||||
CORPORATE BONDS: 75.2% (Continued) | |||||||||
Diversified Financial Services: 5.8% | |||||||||
Alliance Data Systems Corp | |||||||||
1,800,000 | 4.750%, 12/15/24 | $ | 1,853,100 | ||||||
Credit Suisse AG | |||||||||
1,000,000 | 6.500%, 8/8/23 | 1,107,050 | |||||||
Credit Suisse Group AG | |||||||||
1,800,000 | 7.500% (5 Year Swap Rate | ||||||||
USD + 4.598%), 12/11/23 1,2,4 | 2,000,781 | ||||||||
Grupo de Inversiones | |||||||||
Suramericana SA | |||||||||
1,500,000 | 5.500%, 4/29/26 | 1,623,765 | |||||||
Icahn Enterprises LP / | |||||||||
Icahn Enterprises Finance Corp | |||||||||
1,200,000 | 4.750%, 9/15/24 | 1,255,566 | |||||||
1,425,000 | 6.375%, 12/15/25 | 1,477,582 | |||||||
ICD Funding Ltd | |||||||||
3,000,000 | 3.223%, 4/28/26 | 3,063,750 | |||||||
Intrum AB | |||||||||
EUR | 1,175,000 | 4.875%, 8/15/25 | 1,466,469 | ||||||
MDGH – GMTN BV | |||||||||
790,000 | 2.500%, 5/21/26 | 831,466 | |||||||
Nationstar Mortgage Holdings Inc | |||||||||
1,275,000 | 5.500%, 8/15/28 | 1,289,407 | |||||||
Nexi SPA | |||||||||
EUR | 1,325,000 | 1.625%, 4/30/26 | 1,566,143 | ||||||
OneMain Finance Corp | |||||||||
625,000 | 6.125%, 3/15/24 | 673,438 | |||||||
Power Finance Corp Ltd | |||||||||
2,000,000 | 3.950%, 4/23/30 | 2,065,169 | |||||||
SoftBank Group Corp | |||||||||
300,000 | 5.375%, 7/30/22 | 311,646 | |||||||
2,425,000 | 5.125%, 9/19/27 | 2,562,325 | |||||||
SPARC EM SPC Panama | |||||||||
Metro Line 2 SP | |||||||||
75,278 | N/A%, 12/5/22 3 | 73,674 | |||||||
UBS AG | |||||||||
3,400,000 | 5.125%, 5/15/24 | 3,755,640 | |||||||
UBS Group AG | |||||||||
3,500,000 | 7.000% (USSW5YF + | ||||||||
4.866%), 2/19/25 1,2,4 | 4,046,000 | ||||||||
31,022,971 | |||||||||
Diversified Media: 0.8% | |||||||||
Adevinta ASA | |||||||||
EUR | 1,575,000 | 2.625%, 11/15/25 | 1,917,976 | ||||||
EUR | 200,000 | 3.000%, 11/15/27 | 245,865 | ||||||
Prosus NV | |||||||||
1,760,000 | 5.500%, 7/21/25 | 2,014,848 | |||||||
4,178,689 | |||||||||
Energy: 6.9% | |||||||||
Antero Midstream Partners LP / | |||||||||
Antero Midstream Finance Corp | |||||||||
1,175,000 | 5.375%, 6/15/29 | 1,226,412 | |||||||
Blue Racer Midstream LLC / | |||||||||
Blue Racer Finance Corp | |||||||||
775,000 | 7.625%, 12/15/25 | 839,960 | |||||||
BP Capital Markets PLC | |||||||||
EUR | 1,250,000 | 3.250% (5 Year Swap Rate | |||||||
EUR + 3.880%), 3/22/26 1,2,4 | 1,586,308 | ||||||||
Cheniere Corpus Christi | |||||||||
Holdings LLC | |||||||||
1,375,000 | 5.125%, 6/30/27 | 1,602,602 | |||||||
DT Midstream Inc | |||||||||
575,000 | 4.125%, 6/15/29 | 584,533 | |||||||
575,000 | 4.375%, 6/15/31 | 586,500 | |||||||
Ecopetrol SA | |||||||||
1,000,000 | 6.875%, 4/29/30 | 1,208,260 | |||||||
Energean Israel Finance Ltd | |||||||||
1,370,000 | 4.500%, 3/30/24 | 1,402,551 | |||||||
EQT Corp | |||||||||
1,100,000 | 7.625%, 2/1/25 | 1,284,569 | |||||||
525,000 | 3.125%, 5/15/26 | 537,393 | |||||||
375,000 | 3.625%, 5/15/31 | 391,897 | |||||||
Galaxy Pipeline Assets Bidco Ltd | |||||||||
2,700,000 | 1.750%, 9/30/27 | 2,731,825 | |||||||
Leviathan Bond Ltd | |||||||||
630,000 | 5.750%, 6/30/23 | 660,784 | |||||||
775,000 | 6.125%, 6/30/25 | 854,438 | |||||||
870,000 | 6.500%, 6/30/27 | 970,050 | |||||||
Oleoducto Central SA | |||||||||
2,449,000 | 4.000%, 7/14/27 | 2,530,307 | |||||||
Petrobras Global Finance BV | |||||||||
3,427,000 | 7.375%, 1/17/27 | 4,228,147 | |||||||
3,950,000 | 5.093%, 1/15/30 | 4,316,402 | |||||||
Petroleos Mexicanos | |||||||||
2,300,000 | 6.875%, 10/16/25 | 2,548,975 | |||||||
Plains All American Pipeline LP / | |||||||||
PAA Finance Corp | |||||||||
2,025,000 | 3.600%, 11/1/24 | 2,170,924 | |||||||
Rockies Express Pipeline LLC | |||||||||
2,425,000 | 3.600%, 5/15/25 | 2,473,282 | |||||||
Wintershall Dea Finance 2 BV | |||||||||
EUR | 2,100,000 | 2.499% (5 Year Swap Rate | |||||||
EUR + 2.924%), 4/20/26 1,2,4 | 2,481,255 | ||||||||
37,217,374 | |||||||||
Environmental: 0.2% | |||||||||
GFL Environmental Inc | |||||||||
800,000 | 3.750%, 8/1/25 | 823,000 | |||||||
Food & Drug Retail: 0.5% | |||||||||
Albertsons Cos Inc / Safeway Inc / | |||||||||
New Albertsons LP / Albertsons LLC | |||||||||
1,825,000 | 7.500%, 3/15/26 | 2,008,522 | |||||||
Ingles Markets Inc | |||||||||
560,000 | 5.750%, 6/15/23 | 561,190 | |||||||
2,569,712 |
The accompanying notes are an integral part of these financial statements.
7
Credit Opportunities Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | |||||||||
Amount† | Value | ||||||||
CORPORATE BONDS: 75.2% (Continued) | |||||||||
Food/Beverage/Tobacco: 2.9% | |||||||||
Anheuser-Busch InBev | |||||||||
Worldwide Inc | |||||||||
2,000,000 | 4.375%, 4/15/38 | $ | 2,396,460 | ||||||
BRF SA | |||||||||
1,200,000 | 4.750%, 5/22/24 | 1,279,242 | |||||||
1,062,000 | 4.875%, 1/24/30 | 1,116,571 | |||||||
Bunge Ltd Finance Corp | |||||||||
1,200,000 | 1.630%, 8/17/25 | 1,216,221 | |||||||
Constellation Brands Inc | |||||||||
1,160,000 | 4.750%, 12/1/25 | 1,337,281 | |||||||
Grupo Bimbo SAB de CV | |||||||||
2,200,000 | 3.875%, 6/27/24 | 2,378,273 | |||||||
Herbalife Nutrition Ltd / | |||||||||
HLF Financing Inc | |||||||||
1,950,000 | 7.875%, 9/1/25 | 2,123,062 | |||||||
Kraft Heinz Foods Co | |||||||||
1,100,000 | 5.000%, 6/4/42 | 1,345,042 | |||||||
Post Holdings Inc | |||||||||
1,200,000 | 5.750%, 3/1/27 | 1,257,000 | |||||||
Sigma Alimentos S.A. de CV | |||||||||
1,048,000 | 4.125%, 5/2/26 | 1,144,935 | |||||||
15,594,087 | |||||||||
Gaming: 0.5% | |||||||||
Caesars Entertainment Inc | |||||||||
2,400,000 | 6.250%, 7/1/25 | 2,548,104 | |||||||
Healthcare: 6.1% | |||||||||
AbbVie Inc | |||||||||
1,400,000 | 2.950%, 11/21/26 | 1,506,944 | |||||||
Avantor Funding Inc | |||||||||
EUR | 1,475,000 | 2.625%, 11/1/25 | 1,792,929 | ||||||
Bausch Health Cos Inc | |||||||||
3,423,000 | 6.125%, 4/15/25 | 3,512,854 | |||||||
1,925,000 | 5.750%, 8/15/27 | 2,049,076 | |||||||
Centene Corp | |||||||||
1,000,000 | 5.375%, 6/1/26 | 1,045,020 | |||||||
1,000,000 | 5.375%, 8/15/26 | 1,046,395 | |||||||
CVS Health Corp | |||||||||
2,050,000 | 3.000%, 8/15/26 | 2,209,896 | |||||||
2,475,000 | 1.300%, 8/21/27 | 2,434,127 | |||||||
Grifols SA | |||||||||
EUR | 2,750,000 | 1.625%, 2/15/25 | 3,294,228 | ||||||
HCA Inc | |||||||||
2,075,000 | 5.250%, 4/15/25 | 2,376,645 | |||||||
IQVIA Inc | |||||||||
EUR | 675,000 | 1.750%, 3/15/26 | 809,503 | ||||||
Legacy LifePoint Health LLC | |||||||||
350,000 | 6.750%, 4/15/25 | 373,212 | |||||||
625,000 | 4.375%, 2/15/27 | 631,406 | |||||||
ModivCare Inc | |||||||||
350,000 | 5.875%, 11/15/25 | 375,412 | |||||||
MPH Acquisition Holdings LLC | |||||||||
1,675,000 | 5.750%, 11/1/28 | 1,685,444 | |||||||
Prime Healthcare Services Inc | |||||||||
1,375,000 | 7.250%, 11/1/25 | 1,483,364 | |||||||
Select Medical Corp | |||||||||
625,000 | 6.250%, 8/15/26 | 667,069 | |||||||
Tenet Healthcare Corp | |||||||||
675,000 | 4.625%, 7/15/24 | 686,532 | |||||||
1,550,000 | 7.500%, 4/1/25 | 1,674,016 | |||||||
Teva Pharmaceutical Finance Co BV | |||||||||
1,050,000 | 3.650%, 11/10/21 | 1,053,995 | |||||||
Teva Pharmaceutical Finance IV BV | |||||||||
1,000,000 | 3.650%, 11/10/21 | 1,008,830 | |||||||
Viatris Inc | |||||||||
775,000 | 1.650%, 6/22/25 | 786,074 | |||||||
32,502,971 | |||||||||
Homebuilders/Real Estate: 4.2% | |||||||||
ADLER Group SA | |||||||||
EUR | 2,000,000 | 1.875%, 1/14/26 | 2,330,643 | ||||||
CIFI Holdings Group Co Ltd | |||||||||
1,250,000 | 5.500%, 1/23/23 | 1,283,571 | |||||||
Country Garden Holdings Co Ltd | |||||||||
592,000 | 3.125%, 10/22/25 | 595,685 | |||||||
Crown Castle International Corp | |||||||||
3,475,000 | 1.050%, 7/15/26 | 3,398,739 | |||||||
1,350,000 | 3.650%, 9/1/27 | 1,489,134 | |||||||
Equinix Inc | |||||||||
1,925,000 | 1.800%, 7/15/27 | 1,952,359 | |||||||
Fastighets AB Balder | |||||||||
EUR | 1,725,000 | 2.873% (5 Year Swap Rate | |||||||
EUR + 3.188%), 6/2/81 1,2 | 2,031,350 | ||||||||
Global Infrastructure Solutions Inc | |||||||||
2,694,000 | 5.625%, 6/1/29 | 2,799,201 | |||||||
Rayonier LP | |||||||||
1,375,000 | 2.750%, 5/17/31 | 1,391,098 | |||||||
Samhallsbyggnadsbolaget i | |||||||||
Norden AB | |||||||||
EUR | 1,100,000 | 2.625% (5 Year Swap Rate | |||||||
EUR + 3.227%), 12/14/25 1,2,4 | 1,308,398 | ||||||||
SBA Communications Corp | |||||||||
1,850,000 | 4.875%, 9/1/24 | 1,887,675 | |||||||
Shimao Group Holdings Ltd | |||||||||
1,000,000 | 4.750%, 7/3/22 | 1,011,485 | |||||||
Yanlord Land HK Co Ltd | |||||||||
1,250,000 | 6.750%, 4/23/23 | 1,296,875 | |||||||
22,776,213 | |||||||||
Insurance: 0.1% | |||||||||
Mutuelle Assurance Des | |||||||||
Commercants et Industriels de | |||||||||
France et Des Cadres et Sal | |||||||||
EUR | 600,000 | 2.125% (3 Month | |||||||
EURIBOR + 3.449%), 6/21/52 1,2 | 718,377 |
The accompanying notes are an integral part of these financial statements.
8
Credit Opportunities Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | |||||||||
Amount† | Value | ||||||||
CORPORATE BONDS: 75.2% (Continued) | |||||||||
Leisure: 1.6% | |||||||||
Carnival Corp | |||||||||
3,650,000 | 11.500%, 4/1/23 | $ | 4,133,716 | ||||||
Expedia Group Inc | |||||||||
1,350,000 | 6.250%, 5/1/25 | 1,570,644 | |||||||
1,100,000 | 5.000%, 2/15/26 | 1,255,556 | |||||||
1,375,000 | 2.950%, 3/15/31 | 1,398,714 | |||||||
8,358,630 | |||||||||
Metals/Mining: 1.7% | |||||||||
Alcoa Nederland Holding BV | |||||||||
2,000,000 | 5.500%, 12/15/27 | 2,172,100 | |||||||
AngloGold Ashanti Holdings PLC | |||||||||
500,000 | 3.750%, 10/1/30 | 517,890 | |||||||
Corp Nacional del Cobre de Chile | |||||||||
EUR | 1,610,000 | 2.250%, 7/9/24 | 2,033,094 | ||||||
Gold Fields Orogen | |||||||||
Holdings BVI Ltd | |||||||||
900,000 | 6.125%, 5/15/29 | 1,069,920 | |||||||
Novelis Corp | |||||||||
1,889,000 | 5.875%, 9/30/26 | 1,967,402 | |||||||
Orano SA | |||||||||
EUR | 1,000,000 | 2.750%, 3/8/28 | 1,240,774 | ||||||
9,001,180 | |||||||||
Paper: 0.4% | |||||||||
Inversiones CMPC SA | |||||||||
1,200,000 | 4.375%, 4/4/27 | 1,333,074 | |||||||
Suzano Austria GmbH | |||||||||
800,000 | 6.000%, 1/15/29 | 953,800 | |||||||
2,286,874 | |||||||||
Quasi & Foreign Government: 0.5% | |||||||||
Indian Railway Finance Corp Ltd | |||||||||
1,450,000 | 3.730%, 3/29/24 | 1,539,408 | |||||||
1,175,000 | 3.249%, 2/13/30 | 1,193,291 | |||||||
2,732,699 | |||||||||
Restaurants: 0.4% | |||||||||
1011778 BC ULC / | |||||||||
New Red Finance Inc | |||||||||
1,979,000 | 4.250%, 5/15/24 | 2,002,006 | |||||||
Services: 1.4% | |||||||||
Aramark Services Inc | |||||||||
3,275,000 | 6.375%, 5/1/25 | 3,483,781 | |||||||
New Oriental Education & | |||||||||
Technology Group Inc | |||||||||
685,000 | 2.125%, 7/2/25 | 660,463 | |||||||
Techem Verwaltungsgesellschaft | |||||||||
675 mbH | |||||||||
EUR | 1,200,000 | 2.000%, 7/15/25 | 1,412,012 | ||||||
WASH Multifamily Acquisition Inc | |||||||||
475,000 | 5.750%, 4/15/26 | 496,541 | |||||||
WESCO Distribution Inc | |||||||||
1,525,000 | 7.125%, 6/15/25 | 1,649,974 | |||||||
7,702,771 | |||||||||
Steel: 1.1% | |||||||||
Gerdau Trade Inc | |||||||||
1,850,000 | 4.875%, 10/24/27 | 2,078,262 | |||||||
JSW Steel Ltd | |||||||||
1,250,000 | 5.950%, 4/18/24 | 1,339,254 | |||||||
Usiminas International SARL | |||||||||
2,212,000 | 5.875%, 7/18/26 | 2,401,502 | |||||||
5,819,018 | |||||||||
Super Retail: 1.3% | |||||||||
Advance Auto Parts Inc | |||||||||
1,350,000 | 1.750%, 10/1/27 | 1,338,906 | |||||||
Hanesbrands Inc | |||||||||
1,525,000 | 5.375%, 5/15/25 | 1,619,146 | |||||||
JSM Global SARL | |||||||||
400,000 | 4.750%, 10/20/30 | 416,128 | |||||||
Kohl’s Corp | |||||||||
3,525,000 | 3.375%, 5/1/31 | 3,652,293 | |||||||
7,026,473 | |||||||||
Technology: 2.3% | |||||||||
Arqiva Broadcast Finance PLC | |||||||||
GBP | 1,800,000 | 6.750%, 9/30/23 | 2,560,499 | ||||||
Broadcom Corp / Broadcom | |||||||||
Cayman Finance Ltd | |||||||||
2,725,000 | 3.875%, 1/15/27 | 3,012,200 | |||||||
1,325,000 | 3.500%, 1/15/28 | 1,455,586 | |||||||
Broadcom Inc | |||||||||
495,000 | 3.150%, 11/15/25 | 531,393 | |||||||
675,000 | 1.950%, 2/15/28 | 676,248 | |||||||
2,980,000 | 3.419%, 4/15/33 | 3,136,493 | |||||||
NXP BV / NXP Funding LLC / | |||||||||
NXP USA Inc | |||||||||
900,000 | 3.150%, 5/1/27 | 964,000 | |||||||
12,336,419 | |||||||||
Telecommunications: 6.2% | |||||||||
AT&T Inc | |||||||||
700,000 | 2.300%, 6/1/27 | 725,350 | |||||||
Bharti Airtel International | |||||||||
Netherlands BV | |||||||||
500,000 | 5.350%, 5/20/24 | 551,143 | |||||||
Level 3 Financing Inc | |||||||||
3,325,000 | 3.400%, 3/1/27 | 3,541,624 | |||||||
Lumen Technologies Inc | |||||||||
2,575,000 | 5.125%, 12/15/26 | 2,681,026 | |||||||
Ooredoo International Finance Ltd | |||||||||
950,000 | 5.000%, 10/19/25 | 1,095,564 | |||||||
PPF Telecom Group BV | |||||||||
EUR | 850,000 | 2.125%, 1/31/25 | 1,037,134 | ||||||
EUR | 1,225,000 | 3.250%, 9/29/27 | 1,565,105 |
The accompanying notes are an integral part of these financial statements.
9
Credit Opportunities Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | |||||||||
Amount† | Value | ||||||||
CORPORATE BONDS: 75.2% (Continued) | |||||||||
Telecommunications: 6.2% (Continued) | |||||||||
SES SA | |||||||||
EUR | 1,825,000 | 5.625% (5 Year Swap Rate | |||||||
EUR + 5.401%), 1/29/24 1,2,4 | $ | 2,366,893 | |||||||
Sprint Corp | |||||||||
1,850,000 | 7.125%, 6/15/24 | 2,136,750 | |||||||
TalkTalk Telecom Group PLC | |||||||||
GBP | 700,000 | 3.875%, 2/20/25 | 956,374 | ||||||
Telecom Italia SPA/Milano | |||||||||
EUR | 850,000 | 2.750%, 4/15/25 | 1,064,655 | ||||||
EUR | 400,000 | 2.875%, 1/28/26 | 504,900 | ||||||
Telefonica Europe BV | |||||||||
EUR | 1,000,000 | 5.875% (10 Year Swap Rate | |||||||
EUR + 4.301%), 3/31/24 1,2,4 | 1,321,894 | ||||||||
EUR | 700,000 | 3.875% (EUSA8 + | |||||||
2.967%), 6/22/26 1,2,4 | 894,681 | ||||||||
T-Mobile USA Inc | |||||||||
675,000 | 2.250%, 2/15/26 | 680,906 | |||||||
450,000 | 2.250%, 2/15/26 | 453,938 | |||||||
2,800,000 | 3.750%, 4/15/27 | 3,100,678 | |||||||
1,700,000 | 3.875%, 4/15/30 | 1,903,949 | |||||||
Verizon Communications Inc | |||||||||
2,650,000 | 4.500%, 8/10/33 | 3,173,899 | |||||||
Vmed O2 UK Financing I PLC | |||||||||
GBP | 1,710,000 | 4.000%, 1/31/29 | 2,343,661 | ||||||
Vodafone Group PLC | |||||||||
EUR | 1,075,000 | 2.625% (5 Year Swap Rate | |||||||
EUR + 3.002%), 8/27/80 1,2 | 1,321,589 | ||||||||
33,421,713 | |||||||||
Transportation Excluding Air/Rail: 2.8% | |||||||||
Abertis Infraestructuras Finance BV | |||||||||
EUR | 2,200,000 | 3.248% (5 Year Swap Rate | |||||||
EUR + 3.694%), 11/24/25 1,2,4 | 2,703,129 | ||||||||
Autostrade per l’Italia SPA | |||||||||
EUR | 1,075,000 | 1.625%, 6/12/23 | 1,300,860 | ||||||
EUR | 1,700,000 | 1.750%, 2/1/27 | 2,082,600 | ||||||
DP World Crescent Ltd | |||||||||
1,850,000 | 4.848%, 9/26/28 | 2,133,942 | |||||||
DP World PLC | |||||||||
EUR | 2,240,000 | 2.375%, 9/25/26 | 2,850,063 | ||||||
FedEx Corp | |||||||||
1,300,000 | 2.400%, 5/15/31 | 1,325,781 | |||||||
2,425,000 | 3.250%, 5/15/41 | 2,499,440 | |||||||
14,895,815 | |||||||||
Utilities: 1.2% | |||||||||
Cikarang Listrindo Tbk PT | |||||||||
232,000 | 4.950%, 9/14/26 | 238,273 | |||||||
Electricite de France SA | |||||||||
EUR | 2,200,000 | 2.875% (5 Year Swap Rate | |||||||
EUR + 3.373%), 12/15/26 1,2,4 | 2,694,036 | ||||||||
National Central Cooling Co PJSC | |||||||||
1,600,000 | 2.500%, 10/21/27 | 1,593,867 | |||||||
NextEra Energy Operating | |||||||||
Partners LP | |||||||||
1,925,000 | 4.250%, 7/15/24 | 2,033,483 | |||||||
6,559,659 | |||||||||
TOTAL CORPORATE BONDS | |||||||||
(Cost $391,270,875) | 403,234,655 | ||||||||
UNITED STATES GOVERNMENT NOTES/BONDS: 2.4% | |||||||||
Sovereign: 2.4% | |||||||||
United States Treasury Notes/Bonds | |||||||||
4,975,000 | 1.625%, 5/15/31 | 5,057,787 | |||||||
7,425,000 | 2.375%, 5/15/51 | 7,935,469 | |||||||
12,993,256 | |||||||||
TOTAL UNITED STATES GOVERNMENT NOTES/BONDS | |||||||||
(Cost $12,937,373) | 12,993,256 | ||||||||
Shares | |||||||||
AFFILIATED MUTUAL FUNDS: 1.1% | |||||||||
604,708 | Muzinich High Income | ||||||||
Floating Rate Fund | 6,101,504 | ||||||||
TOTAL AFFILIATED MUTUAL FUNDS | |||||||||
(Cost $6,000,000) | 6,101,504 | ||||||||
Principal | |||||||||
Amount† | |||||||||
BANK LOANS: 15.7% | |||||||||
Airlines: 0.6% | |||||||||
American Airlines Inc | |||||||||
1,100,000 | 5.500% (3 Months | ||||||||
LIBOR + 4.750%), 4/20/28 1,5 | 1,148,197 | ||||||||
United Airlines Inc | |||||||||
1,995,000 | 4.500% (3 Months | ||||||||
LIBOR + 3.750%), 4/21/28 1,5 | 2,023,957 | ||||||||
3,172,154 | |||||||||
Automotive & Auto Parts: 0.8% | |||||||||
Autokiniton US Holdings Inc | |||||||||
850,000 | 5.000% (1 Month | ||||||||
LIBOR + 4.500%), 4/6/28 1,5 | 857,705 | ||||||||
First Brands Group LLC | |||||||||
2,021,203 | 6.000% (3 Months | ||||||||
LIBOR + 5.000%), 3/30/27 1,5 | 2,048,155 | ||||||||
Truck Hero Inc | |||||||||
374,063 | 4.500% (1 Month | ||||||||
LIBOR + 3.750%), 1/31/28 1,5 | 374,601 | ||||||||
Wheel Pros (4/21) | |||||||||
1,125,000 | 5.250% (1 Month | ||||||||
LIBOR + 4.500%), 5/11/28 1,5 | 1,129,523 | ||||||||
4,409,984 |
The accompanying notes are an integral part of these financial statements.
10
Credit Opportunities Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | ||||||||
Amount† | Value | |||||||
BANK LOANS: 15.7% (Continued) | ||||||||
Broadcasting: 0.2% | ||||||||
The EW Scripps Co | ||||||||
1,237,406 | 3.313% (1 Month | |||||||
LIBOR + 2.563%), 5/1/26 1,5 | $ | 1,235,085 | ||||||
Building Materials: 0.3% | ||||||||
Harbor Freight Tools USA Inc | ||||||||
1,500,000 | 3.750% (1 Month | |||||||
LIBOR + 3.000%), 10/19/27 1,5 | 1,502,167 | |||||||
Cable/Satellite TV: 0.5% | ||||||||
CSC Holdings LLC | ||||||||
1,237,113 | 2.323% (1 Month | |||||||
LIBOR + 2.250%), 7/17/25 1,5 | 1,223,041 | |||||||
Virgin Media Bristol LLC | ||||||||
1,250,000 | 3.353% (1 Month | |||||||
LIBOR + 3.250%), 1/31/29 1,5 | 1,250,606 | |||||||
2,473,647 | ||||||||
Capital Goods: 0.2% | ||||||||
Arvos BidCo SARL | ||||||||
498,270 | 6.500% (3 Months | |||||||
LIBOR + 5.500%), 8/29/23 1,5 | 418,337 | |||||||
Raymond Bartlett Snow Holding LLC | ||||||||
498,270 | 6.500% (3 Months | |||||||
LIBOR + 5.500%), 8/29/23 1,5 | 418,338 | |||||||
836,675 | ||||||||
Chemicals: 1.9% | ||||||||
INEOS US Petrochem LLC | ||||||||
1,125,000 | 3.250% (1 Month | |||||||
LIBOR + 2.750%), 1/29/26 1,5 | 1,123,594 | |||||||
Lummus Technology Holdings V LLC | ||||||||
1,995,000 | 3.604% (1 Month | |||||||
LIBOR + 3.500%), 6/30/27 1,5 | 1,985,733 | |||||||
PQ Corp | ||||||||
600,000 | 3.250%, 6/9/28 1,5,6,7 | 600,252 | ||||||
Rohm Holding GmbH | ||||||||
2,493,671 | 4.978% (6 Months | |||||||
LIBOR + 4.750%), 7/31/26 1,5 | 2,501,464 | |||||||
Tronox Finance (2/21) | ||||||||
1,929,981 | 2.604% (1 Month | |||||||
LIBOR + 2.500%), 3/10/28 1,5 | 1,920,157 | |||||||
WR Grace & Co-Conn | ||||||||
2,175,000 | 2.147% (3 Months | |||||||
LIBOR + 2.000%), 6/1/28 1,5 | 2,170,922 | |||||||
10,302,122 | ||||||||
Consumer-Products: 1.2% | ||||||||
Energizer Holdings Inc | ||||||||
1,186,194 | 2.750% (1 Month | |||||||
LIBOR + 2.250%), 12/22/27 1,5 | 1,185,304 | |||||||
Journey Personal Care Corp | ||||||||
1,375,000 | 5.000% (3 Months | |||||||
LIBOR + 4.250%), 3/1/28 1,5 | 1,380,163 | |||||||
Kronos Acquisition Holdings Inc | ||||||||
1,990,000 | 4.250% (3 Months | |||||||
LIBOR + 3.750%), 12/22/26 1,5 | 1,978,597 | |||||||
Spectrum Brands Inc | ||||||||
673,313 | 2.500% (3 Months | |||||||
LIBOR + 2.000%), 3/3/28 1,5 | 671,208 | |||||||
Sunshine Luxembourg VII SARL | ||||||||
1,172,063 | 4.500% (3 Months | |||||||
LIBOR + 3.750%), 10/1/26 1,5 | 1,177,847 | |||||||
6,393,119 | ||||||||
Diversified Financial Services: 0.3% | ||||||||
Jane Street Group LLC | ||||||||
1,815,875 | 2.854% (1 Month | |||||||
LIBOR + 2.750%), 1/26/28 1,5 | 1,809,710 | |||||||
Diversified Media: 0.2% | ||||||||
Clear Channel Outdoor Holdings Inc | ||||||||
1,240,530 | 3.686% (3 Months | |||||||
LIBOR + 3.500%), 8/21/26 1,5 | 1,212,618 | |||||||
Energy: 0.1% | ||||||||
DT Midstream Inc | ||||||||
400,000 | 2.500%, 6/10/28 1,5,6,7 | 401,178 | ||||||
Food/Beverage/Tobacco: 0.5% | ||||||||
Triton Water Holdings Inc | ||||||||
525,000 | 4.000% (3 Months | |||||||
LIBOR + 3.500%), 3/31/28 1,5 | 525,073 | |||||||
Upfield USA Corp | ||||||||
1,984,655 | 3.260% (6 Months | |||||||
LIBOR + 3.000%), 7/2/25 1,5 | 1,944,714 | |||||||
2,469,787 | ||||||||
Healthcare: 2.6% | ||||||||
Auris Luxembourg III SARL | ||||||||
1,237,344 | 3.854% (1 Month | |||||||
LIBOR + 3.750%), 2/27/26 1,5 | 1,226,022 | |||||||
Carestream Health Inc | ||||||||
1,190,897 | 7.750% (3 Months | |||||||
LIBOR + 6.750%), 5/8/23 1,5 | 1,195,363 | |||||||
Gainwell Acquisition Corp | ||||||||
748,120 | 4.750% (3 Months | |||||||
LIBOR + 4.000%), 10/1/27 1,5 | 751,861 | |||||||
Grifols Worldwide | ||||||||
Operations B (11/19) | ||||||||
1,237,437 | 2.088% (1 Week | |||||||
LIBOR + 2.000%), 11/15/27 1,5 | 1,226,381 | |||||||
MPH Acquisition Holdings LLC | ||||||||
1,079,797 | 3.750% (3 Months | |||||||
LIBOR + 2.750%), 6/7/23 1,5 | 1,078,021 | |||||||
One Call Corp | ||||||||
2,100,000 | 6.250% (3 Months | |||||||
LIBOR + 5.500%), 4/22/27 1,2 | 2,126,250 |
The accompanying notes are an integral part of these financial statements.
11
Credit Opportunities Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | ||||||||
Amount† | Value | |||||||
BANK LOANS: 15.7% (Continued) | ||||||||
Healthcare: 2.6% (Continued) | ||||||||
Organon & Co | ||||||||
2,000,000 | 3.500% (3 Months | |||||||
LIBOR + 3.000%), 6/2/28 1,5 | $ | 2,004,590 | ||||||
Pluto Acquisition I Inc | ||||||||
350,000 | 4.104% (1 Month | |||||||
LIBOR + 3.250%), 6/20/26 1,5 | 350,766 | |||||||
Sedgwick Claims Management | ||||||||
Services Inc | ||||||||
1,163,071 | 3.354% (1 Month | |||||||
LIBOR + 3.250%), 12/31/25 1,5 | 1,152,022 | |||||||
US Radiology Specialists Inc | ||||||||
2,487,500 | 6.250% (1 Month | |||||||
LIBOR + 5.500%), 12/15/27 1,5 | 2,506,137 | |||||||
Verscend Holding Corp | ||||||||
575,000 | 4.104% (1 Month | |||||||
LIBOR + 4.000%), 8/27/25 1,5 | 577,260 | |||||||
14,194,673 | ||||||||
Homebuilders/Real Estate: 0.1% | ||||||||
Pike Corp | ||||||||
719,178 | 3.110% (1 Month | |||||||
LIBOR + 3.000%), 1/21/28 1,5 | 718,779 | |||||||
Insurance: 0.7% | ||||||||
Acrisure B (1/20) | ||||||||
1,240,578 | 3.604% (1 Month | |||||||
LIBOR + 3.500%), 2/16/27 1,5 | 1,229,078 | |||||||
AssuredPartners Inc | ||||||||
1,237,437 | 3.604% (1 Month | |||||||
LIBOR + 3.500%), 2/12/27 1,5 | 1,232,543 | |||||||
USI Incremental | ||||||||
1,237,147 | 3.147% (3 Months | |||||||
LIBOR + 3.000%), 5/16/24 1,5 | 1,227,094 | |||||||
3,688,715 | ||||||||
Paper: 0.2% | ||||||||
Ahlstrom-Munksjo Oyj | ||||||||
1,147,125 | 4.750% (3 Months | |||||||
LIBOR + 4.000%), 2/4/28 1,5 | 1,153,222 | |||||||
Publishing/Printing: 0.2% | ||||||||
Meredith Corporation B2 | ||||||||
1,000,000 | 2.604% (1 Month | |||||||
LIBOR + 2.500%), 1/31/25 1,5 | 997,190 | |||||||
Restaurants: 0.1% | ||||||||
IRB Holding Corp | ||||||||
298,500 | 4.250% (3 Months | |||||||
LIBOR + 3.250%), 12/15/27 1,5 | 298,851 | |||||||
Services: 1.0% | ||||||||
Franchise Group Inc | ||||||||
2,000,000 | 5.500% (3 Months | |||||||
LIBOR + 4.750%), 3/10/26 1,5 | 2,013,760 | |||||||
LBM Acquisition LLC | ||||||||
324,188 | 4.500% (3 Months | |||||||
LIBOR + 3.750%), 12/17/27 1,5 | 322,330 | |||||||
72,222 | 4.500% (1 Month | |||||||
LIBOR + 3.750%), 12/17/27 1,5 | 71,808 | |||||||
Revint Intermediate II LLC | ||||||||
1,496,250 | 5.750% (1 Month | |||||||
LIBOR + 5.000%), 10/15/27 1,5 | 1,510,749 | |||||||
Summer BC Holdco B SARL | ||||||||
1,240,554 | 4.884% (3 Months | |||||||
LIBOR + 4.750%), 12/4/26 1,5 | 1,231,765 | |||||||
5,150,412 | ||||||||
Steel: 0.1% | ||||||||
TMS International Corp/DE | ||||||||
597,000 | 3.750% (1 Month | |||||||
LIBOR + 2.750%), 8/14/24 1,5 | 596,254 | |||||||
Super Retail: 0.6% | ||||||||
CP Atlas Buyer Inc | ||||||||
448,875 | 4.250% (1 Month | |||||||
LIBOR + 3.750%), 11/23/27 1,5 | 448,383 | |||||||
S&S Holdings LLC | ||||||||
2,992,500 | 5.500% (3 Months | |||||||
LIBOR + 5.000%), 3/10/28 1,5 | 2,977,538 | |||||||
3,425,921 | ||||||||
Technology: 2.2% | ||||||||
Ahead DB Holdings LLC | ||||||||
1,250,000 | 4.500% (3 Months | |||||||
LIBOR + 3.750%), 10/18/27 1,5 | 1,254,000 | |||||||
Constant Contact Inc | ||||||||
2,025,000 | 4.750% (1 Month | |||||||
LIBOR + 4.000%), 2/10/28 1,5 | 2,022,469 | |||||||
550,000 | 4.750% (1 Month | |||||||
LIBOR + 4.000%), 2/10/28 1,5,6,7 | 549,312 | |||||||
CT Technologies Intermediate | ||||||||
Holdings Inc | ||||||||
623,438 | 6.000% (1 Month | |||||||
LIBOR + 5.000%), 12/10/25 1,5,6,7 | 625,663 | |||||||
Dawn Acquisition LLC | ||||||||
1,585,897 | 3.897% (3 Months | |||||||
LIBOR + 3.750%), 12/31/25 1,5,6,7 | 1,351,978 | |||||||
Dcert Buyer Inc | ||||||||
2,081,321 | 4.104% (1 Month | |||||||
LIBOR + 4.000%), 10/16/26 1,5 | 2,086,524 | |||||||
LogMeIn Inc | ||||||||
1,243,750 | 4.827% (1 Month | |||||||
LIBOR + 4.750%), 8/31/27 1,5 | 1,243,265 | |||||||
Proofpoint Inc | ||||||||
625,000 | 3.750%, 6/10/28 1,5,6,7 | 622,269 | ||||||
Surf Holdings LLC | ||||||||
1,237,504 | 3.628% (3 Months | |||||||
LIBOR + 3.500%), 3/5/27 1,5 | 1,230,933 |
The accompanying notes are an integral part of these financial statements.
12
Credit Opportunities Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | ||||||||
Amount† | Value | |||||||
BANK LOANS: 15.7% (Continued) | ||||||||
Technology: 2.2% (Continued) | ||||||||
Synamedia Americas Holdings Inc | ||||||||
908,820 | 6.147% (3 Months | |||||||
LIBOR + 6.000%), 10/31/24 1,5 | $ | 889,889 | ||||||
11,876,302 | ||||||||
Telecommunications: 0.6% | ||||||||
Lumen Technologies B (1/20) | ||||||||
1,240,554 | 2.354% (1 Month | |||||||
LIBOR + 2.250%), 3/15/27 1,5 | 1,225,512 | |||||||
Voyage Australia Pty Ltd | ||||||||
1,900,000 | 4.000%, 5/27/28 1,5,6,7 | 1,904,750 | ||||||
3,130,262 | ||||||||
Transportation Excluding Air/Rail: 0.2% | ||||||||
American Trailer World Corp | ||||||||
1,125,000 | 4.500% (1 Month | |||||||
LIBOR + 3.750%), 3/3/28 1,5 | 1,124,826 | |||||||
Utilities: 0.3% | ||||||||
Edgewater Generation LLC | ||||||||
1,212,576 | 3.854% (1 Month | |||||||
LIBOR + 3.750%), 12/12/25 1,5 | 1,159,241 | |||||||
Exgen Renewables IV LLC | ||||||||
659,810 | 3.500% (3 Months | |||||||
LIBOR + 2.500%), 12/15/27 1,5 | 660,774 | |||||||
1,820,015 | ||||||||
TOTAL BANK LOANS | ||||||||
(Cost $83,758,865) | 84,393,668 | |||||||
TOTAL INVESTMENTS IN SECURITIES: 94.4% | ||||||||
(Cost $493,967,113) | 506,723,083 | |||||||
Other Assets in Excess of Liabilities: 5.6% | 29,975,413 | |||||||
TOTAL NET ASSETS: 100.0% | $ | 536,698,496 |
† | In U.S. Dollars unless otherwise indicated. |
CMT – United States Constant Maturity Treasury Note
EUR – Euro
EURIBOR – Euro Interbank Offered Rate
GBP – Great Britain Pound
LIBOR – London Interbank Offered Rate
PIK – Payment-in-Kind – represents the security may pay interest in additional par.
USD – United States Dollar
1 | Variable rate security; rate shown is the rate in effect on June 30, 2021. An index may have a negative rate. Interest rate may also be subject to a cap or floor. |
2 | Fixed-to-variable or fixed-to-float bond; rate shown is the rate in effect on June 30, 2021. An index may have a negative rate. Interest rate may also be subject to a ceiling or floor. |
3 | Zero coupon security. |
4 | Perpetual call date security. Date shown is next call date. |
5 | Bank loans generally pay interest at rates which are periodically determined by reference to a base lending rate plus a premium. All loans carry a variable rate of interest. These base lending rates are generally (i) the Prime Rate offered by one or more major United States banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate (“LIBOR”) or (iii) the Certificate of Deposit rate. Bank Loans, while exempt from registration, under the Securities Act of 1933, contain certain restrictions on resale and cannot be sold publicly. Floating rate bank loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. |
6 | All or a portion of the loan may be unfunded. |
7 | Denotes investments purchased on a when-issued or delayed delivery basis. |
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at June 30, 2021 (Unaudited) |
The Credit Opportunities Fund had the following forward foreign currency exchange contracts outstanding with the Bank of New York.
U.S. Dollar Value | U.S. Dollar Value | Unrealized Appreciation | |||||||||||||||||||||
Settlement Date | Currency to be Delivered | at June 30, 2021 | Currency to be Received | at June 30, 2021 | (Depreciation) | ||||||||||||||||||
9/17/21 | EUR | 76,000,000 | $ | 90,267,679 | $ | 92,461,600 | $ | 92,461,600 | $ | 2,193,921 | |||||||||||||
9/17/21 | GBP | 4,300,000 | 5,949,265 | $ | 6,073,582 | 6,073,582 | 124,317 | ||||||||||||||||
9/17/21 | $ | 6,069,007 | 6,069,007 | EUR | 5,000,000 | 5,938,663 | (130,344 | ) | |||||||||||||||
$ | 102,285,951 | $ | 104,473,845 | $ | 2,187,894 |
The accompanying notes are an integral part of these financial statements.
13
U.S. High Yield Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) |
Principal | ||||||||
Amount | Value | |||||||
CORPORATE BONDS: 91.0% | ||||||||
Aerospace/Defense: 1.1% | ||||||||
Bombardier Inc | ||||||||
$ | 125,000 | 6.000%, 10/15/22 | $ | 125,412 | ||||
TransDigm Inc | ||||||||
95,000 | 6.250%, 3/15/26 | 100,344 | ||||||
75,000 | 5.500%, 11/15/27 | 78,281 | ||||||
304,037 | ||||||||
Airlines: 3.4% | ||||||||
American Airlines Inc | ||||||||
100,000 | 11.750%, 7/15/25 | 125,625 | ||||||
American Airlines Inc/ | ||||||||
AAdvantage Loyalty IP Ltd | ||||||||
175,000 | 5.500%, 4/20/26 | 185,500 | ||||||
175,000 | 5.750%, 4/20/29 | 189,147 | ||||||
Delta Air Lines Inc | ||||||||
225,000 | 7.375%, 1/15/26 | 264,276 | ||||||
Spirit Loyalty Cayman Ltd / | ||||||||
Spirit IP Cayman Ltd | ||||||||
104,719 | 8.000%, 9/20/25 | 118,647 | ||||||
United Airlines Inc | ||||||||
25,000 | 4.375%, 4/15/26 | 25,906 | ||||||
50,000 | 4.625%, 4/15/29 | 51,813 | ||||||
960,914 | ||||||||
Automotive & Auto Parts: 2.9% | ||||||||
American Axle & Manufacturing Inc | ||||||||
100,000 | 6.250%, 4/1/25 | 103,496 | ||||||
Clarios Global LP / Clarios US Finance Co | ||||||||
100,000 | 8.500%, 5/15/27 | 109,145 | ||||||
Ford Motor Co | ||||||||
325,000 | 9.000%, 4/22/25 | 401,097 | ||||||
The Goodyear Tire & Rubber Co | ||||||||
50,000 | 5.000%, 7/15/29 | 52,412 | ||||||
50,000 | 5.250%, 7/15/31 | 52,313 | ||||||
Tenneco Inc | ||||||||
100,000 | 7.875%, 1/15/29 | 113,217 | ||||||
831,680 | ||||||||
Banking: 2.4% | ||||||||
Deutsche Bank AG | ||||||||
200,000 | 4.875% (5 Year Mid Swap | |||||||
Rate USD + 2.553%), 12/1/32 1,3 | 215,837 | |||||||
Natwest Group PLC | ||||||||
200,000 | 2.467% (3 Month LIBOR | |||||||
USD + 2.320%), 9/30/27 1,2 | 198,960 | |||||||
Standard Chartered PLC | ||||||||
200,000 | 7.014% (3 Month LIBOR | |||||||
USD + 1.460%), 7/30/37 1,2,3 | 274,500 | |||||||
689,297 | ||||||||
Broadcasting: 3.7% | ||||||||
Audacy Capital Corp | ||||||||
50,000 | 6.500%, 5/1/27 | 52,186 | ||||||
50,000 | 6.750%, 3/31/29 | 52,000 | ||||||
Belo Corp | ||||||||
125,000 | 7.750%, 6/1/27 | 146,739 | ||||||
Diamond Sports Group LLC / | ||||||||
Diamond Sports Finance Co | ||||||||
100,000 | 5.375%, 8/15/26 | 65,000 | ||||||
iHeartCommunications Inc | ||||||||
100,000 | 8.375%, 5/1/27 | 107,251 | ||||||
Nexstar Broadcasting Inc | ||||||||
100,000 | 5.625%, 7/15/27 | 106,125 | ||||||
75,000 | 4.750%, 11/1/28 | 77,156 | ||||||
Scripps Escrow Inc | ||||||||
200,000 | 5.875%, 7/15/27 | 206,784 | ||||||
Sinclair Television Group Inc | ||||||||
125,000 | 5.875%, 3/15/26 | 129,500 | ||||||
50,000 | 5.125%, 2/15/27 | 50,287 | ||||||
Sirius XM Radio Inc | ||||||||
50,000 | 4.000%, 7/15/28 | 51,616 | ||||||
1,044,644 | ||||||||
Building Materials: 2.3% | ||||||||
Cornerstone Building Brands Inc | ||||||||
150,000 | 6.125%, 1/15/29 | 161,181 | ||||||
JELD-WEN Inc | ||||||||
75,000 | 4.875%, 12/15/27 | 78,091 | ||||||
New Enterprise Stone & Lime Co Inc | ||||||||
100,000 | 6.250%, 3/15/26 | 103,099 | ||||||
PGT Innovations Inc | ||||||||
150,000 | 6.750%, 8/1/26 | 158,754 | ||||||
SRM Escrow Issuer LLC | ||||||||
150,000 | 6.000%, 11/1/28 | 159,184 | ||||||
660,309 | ||||||||
Cable/Satellite TV: 5.4% | ||||||||
CCO Holdings LLC / | ||||||||
CCO Holdings Capital Corp | ||||||||
225,000 | 5.500%, 5/1/26 | 233,153 | ||||||
100,000 | 5.375%, 6/1/29 | 109,435 | ||||||
50,000 | 4.750%, 3/1/30 | 52,875 | ||||||
CSC Holdings LLC | ||||||||
200,000 | 7.500%, 4/1/28 | 220,093 | ||||||
200,000 | 5.750%, 1/15/30 | 208,000 | ||||||
DISH DBS Corp | ||||||||
75,000 | 7.375%, 7/1/28 | 80,803 | ||||||
100,000 | 5.125%, 6/1/29 | 98,958 | ||||||
Midcontinent Communications / | ||||||||
Midcontinent Finance Corp | ||||||||
275,000 | 5.375%, 8/15/27 | 289,710 | ||||||
Radiate Holdco LLC / Radiate Finance Inc | ||||||||
225,000 | 6.500%, 9/15/28 | 236,656 | ||||||
1,529,683 | ||||||||
Capital Goods: 2.4% | ||||||||
Griffon Corp | ||||||||
200,000 | 5.750%, 3/1/28 | 213,133 |
The accompanying notes are an integral part of these financial statements.
14
U.S. High Yield Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | ||||||||
Amount | Value | |||||||
CORPORATE BONDS: 91.0% (Continued) | ||||||||
Capital Goods: 2.4% (Continued) | ||||||||
JB Poindexter & Co Inc | ||||||||
$ | 100,000 | 7.125%, 4/15/26 | $ | 105,957 | ||||
Madison IAQ LLC | ||||||||
100,000 | 5.875%, 6/30/29 | 101,875 | ||||||
Manitowoc Co Inc | ||||||||
175,000 | 9.000%, 4/1/26 | 190,535 | ||||||
Patrick Industries Inc | ||||||||
75,000 | 4.750%, 5/1/29 | 74,737 | ||||||
686,237 | ||||||||
Chemicals: 1.0% | ||||||||
CVR Partners LP / CVR Nitrogen | ||||||||
Finance Corp | ||||||||
19,000 | 9.250%, 6/15/23 | 19,088 | ||||||
25,000 | 6.125%, 6/15/28 | 25,656 | ||||||
Rain CII Carbon LLC / CII Carbon Corp | ||||||||
50,000 | 7.250%, 4/1/25 | 51,794 | ||||||
Rayonier AM Products Inc | ||||||||
175,000 | 7.625%, 1/15/26 | 183,051 | ||||||
279,589 | ||||||||
Clothing Stores: 0.2% | ||||||||
VICTORIAS SECRET AND Co. | ||||||||
50,000 | 4.625%, 7/15/29 | 50,000 | ||||||
Consumer-Products: 0.4% | ||||||||
Kronos Acquisition Holdings Inc / | ||||||||
KIK Custom Products Inc | ||||||||
125,000 | 7.000%, 12/31/27 | 125,650 | ||||||
Containers: 0.3% | ||||||||
LABL Escrow Issuer LLC | ||||||||
75,000 | 10.500%, 7/15/27 | 82,837 | ||||||
Diversified Financial Services: 2.4% | ||||||||
Alliance Data Systems Corp | ||||||||
150,000 | 7.000%, 1/15/26 | 160,988 | ||||||
Fairstone Financial Inc | ||||||||
250,000 | 7.875%, 7/15/24 | 261,495 | ||||||
Icahn Enterprises LP / | ||||||||
Icahn Enterprises Finance Corp | ||||||||
100,000 | 6.250%, 5/15/26 | 106,270 | ||||||
75,000 | 5.250%, 5/15/27 | 77,707 | ||||||
Nationstar Mortgage Holdings Inc | ||||||||
75,000 | 6.000%, 1/15/27 | 77,871 | ||||||
684,331 | ||||||||
Diversified Media: 1.4% | ||||||||
Advantage Sales & Marketing Inc | ||||||||
150,000 | 6.500%, 11/15/28 | 158,401 | ||||||
Clear Channel Worldwide Holdings Inc | ||||||||
75,000 | 5.125%, 8/15/27 | 76,683 | ||||||
Nielsen Finance LLC / | ||||||||
Nielsen Finance Co | ||||||||
75,000 | 5.625%, 10/1/28 | 79,351 | ||||||
75,000 | 5.875%, 10/1/30 | 81,823 | ||||||
396,258 | ||||||||
Energy: 15.9% | ||||||||
Antero Midstream Partners LP / | ||||||||
Antero Midstream Finance Corp | ||||||||
75,000 | 5.375%, 6/15/29 | 78,282 | ||||||
Antero Resources Corp | ||||||||
100,000 | 8.375%, 7/15/26 | 113,875 | ||||||
50,000 | 5.375%, 3/1/30 | 51,094 | ||||||
Archrock Partners LP / | ||||||||
Archrock Partners Finance Corp | ||||||||
150,000 | 6.250%, 4/1/28 | 156,886 | ||||||
Ascent Resources Utica Holdings | ||||||||
LLC / ARU Finance Corp | ||||||||
75,000 | 5.875%, 6/30/29 | 75,094 | ||||||
Blue Racer Midstream LLC / | ||||||||
Blue Racer Finance Corp | ||||||||
200,000 | 7.625%, 12/15/25 | 216,764 | ||||||
131,000 | 6.625%, 7/15/26 | 137,381 | ||||||
CITGO Petroleum Corp | ||||||||
125,000 | 7.000%, 6/15/25 | 130,415 | ||||||
Comstock Resources Inc | ||||||||
50,000 | 5.875%, 1/15/30 | 51,062 | ||||||
Consolidated Energy Finance SA | ||||||||
350,000 | 6.875%, 6/15/25 | 357,235 | ||||||
Continental Resources Inc | ||||||||
125,000 | 5.750%, 1/15/31 | 149,881 | ||||||
50,000 | 4.900%, 6/1/44 | 56,689 | ||||||
CrownRock LP / CrownRock Finance Inc | ||||||||
75,000 | 5.625%, 10/15/25 | 77,838 | ||||||
Delek Logistics Partners LP / | ||||||||
Delek Logistics Finance Corp | ||||||||
75,000 | 6.750%, 5/15/25 | 77,349 | ||||||
DT Midstream Inc | ||||||||
50,000 | 4.125%, 6/15/29 | 50,829 | ||||||
50,000 | 4.375%, 6/15/31 | 51,000 | ||||||
EQM Midstream Partners LP | ||||||||
75,000 | 6.500%, 7/1/27 | 83,844 | ||||||
100,000 | 4.500%, 1/15/29 | 101,867 | ||||||
100,000 | 6.500%, 7/15/48 | 107,212 | ||||||
EQT Corp | ||||||||
25,000 | 3.625%, 5/15/31 | 26,127 | ||||||
Genesis Energy LP / | ||||||||
Genesis Energy Finance Corp | ||||||||
125,000 | 5.625%, 6/15/24 | 125,763 | ||||||
125,000 | 8.000%, 1/15/27 | 131,485 | ||||||
Global Partners LP / GLP Finance Corp | ||||||||
150,000 | 6.875%, 1/15/29 | 161,180 |
The accompanying notes are an integral part of these financial statements.
15
U.S. High Yield Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | ||||||||
Amount | Value | |||||||
CORPORATE BONDS: 91.0% (Continued) | ||||||||
Energy: 15.9% (Continued) | ||||||||
Gulfport Energy Corp | ||||||||
$ | 125,000 | 8.000%, 5/17/26 | $ | 133,681 | ||||
Harvest Midstream I LP | ||||||||
175,000 | 7.500%, 9/1/28 | 190,400 | ||||||
Hilcorp Energy I LP / Hilcorp Finance Co | ||||||||
100,000 | 6.000%, 2/1/31 | 106,035 | ||||||
Murphy Oil Corp | ||||||||
175,000 | 6.375%, 7/15/28 | 184,748 | ||||||
Northern Oil and Gas Inc | ||||||||
150,000 | 8.125%, 3/1/28 | 161,823 | ||||||
Occidental Petroleum Corp | ||||||||
75,000 | 8.875%, 7/15/30 | 100,402 | ||||||
175,000 | 6.450%, 9/15/36 | 209,459 | ||||||
Parkland Corp/Canada | ||||||||
75,000 | 4.500%, 10/1/29 | 76,434 | ||||||
PBF Holding Co LLC / PBF Finance Corp | ||||||||
75,000 | 9.250%, 5/15/25 | 75,652 | ||||||
Rockies Express Pipeline LLC | ||||||||
175,000 | 4.950%, 7/15/29 | 180,976 | ||||||
Southwestern Energy Co | ||||||||
100,000 | 7.500%, 4/1/26 | 105,998 | ||||||
75,000 | 8.375%, 9/15/28 | 84,851 | ||||||
Tallgrass Energy Partners LP / | ||||||||
Tallgrass Energy Finance Corp | ||||||||
158,000 | 7.500%, 10/1/25 | 173,535 | ||||||
100,000 | 6.000%, 12/31/30 | 104,231 | ||||||
USA Compression Partners LP / | ||||||||
USA Compression Finance Corp | ||||||||
75,000 | 6.875%, 9/1/27 | 80,271 | ||||||
4,537,648 | ||||||||
Entertainment/Film: 0.2% | ||||||||
Live Nation Entertainment Inc | ||||||||
50,000 | 4.750%, 10/15/27 | 51,937 | ||||||
Food & Drug Retail: 0.6% | ||||||||
Albertsons Cos Inc / Safeway Inc / | ||||||||
New Albertsons LP / Albertsons LLC | ||||||||
100,000 | 7.500%, 3/15/26 | 110,056 | ||||||
50,000 | 5.875%, 2/15/28 | 53,950 | ||||||
164,006 | ||||||||
Food/Beverage/Tobacco: 3.8% | ||||||||
Herbalife Nutrition Ltd / | ||||||||
HLF Financing Inc | ||||||||
200,000 | 7.875%, 9/1/25 | 217,750 | ||||||
HLF Financing SARL LLC / | ||||||||
Herbalife International Inc | ||||||||
125,000 | 4.875%, 6/1/29 | 125,788 | ||||||
Kraft Heinz Foods Co | ||||||||
125,000 | 4.625%, 1/30/29 | 145,623 | ||||||
100,000 | 5.000%, 7/15/35 | 122,969 | ||||||
100,000 | 4.375%, 6/1/46 | 113,439 | ||||||
Post Holdings Inc | ||||||||
100,000 | 4.625%, 4/15/30 | 101,625 | ||||||
75,000 | 4.500%, 9/15/31 | 74,928 | ||||||
Primo Water Holdings Inc | ||||||||
75,000 | 4.375%, 4/30/29 | 75,094 | ||||||
Simmons Foods Inc/Simmons Prepared | ||||||||
Foods Inc/Simmons Pet Food Inc/ | ||||||||
Simmons Feed | ||||||||
100,000 | 4.625%, 3/1/29 | 100,997 | ||||||
1,078,213 | ||||||||
Gaming: 1.3% | ||||||||
Caesars Entertainment Inc | ||||||||
150,000 | 6.250%, 7/1/25 | 159,257 | ||||||
100,000 | 8.125%, 7/1/27 | 111,345 | ||||||
Churchill Downs Inc | ||||||||
100,000 | 4.750%, 1/15/28 | 103,610 | ||||||
374,212 | ||||||||
Healthcare: 7.7% | ||||||||
AMN Healthcare Inc | ||||||||
100,000 | 4.625%, 10/1/27 | 104,120 | ||||||
50,000 | 4.000%, 4/15/29 | 50,535 | ||||||
Bausch Health Americas Inc | ||||||||
275,000 | 8.500%, 1/31/27 | 299,582 | ||||||
Bausch Health Cos Inc | ||||||||
96,000 | 6.125%, 4/15/25 | 98,520 | ||||||
75,000 | 5.000%, 2/15/29 | 70,033 | ||||||
75,000 | 6.250%, 2/15/29 | 74,272 | ||||||
Centene Corp | ||||||||
175,000 | 4.625%, 12/15/29 | 192,679 | ||||||
DaVita Inc | ||||||||
100,000 | 4.625%, 6/1/30 | 102,771 | ||||||
100,000 | 3.750%, 2/15/31 | 96,125 | ||||||
Legacy LifePoint Health LLC | ||||||||
325,000 | 6.750%, 4/15/25 | 346,554 | ||||||
Mallinckrodt International Finance SA / | ||||||||
Mallinckrodt CB LLC | ||||||||
100,000 | 5.750%, 8/1/22 7 | 70,183 | ||||||
MPH Acquisition Holdings LLC | ||||||||
150,000 | 5.750%, 11/1/28 | 150,935 | ||||||
Ortho-Clinical Diagnostics Inc / | ||||||||
Ortho-Clinical Diagnostics SA | ||||||||
143,000 | 7.375%, 6/1/25 | 154,128 | ||||||
Prime Healthcare Services Inc | ||||||||
200,000 | 7.250%, 11/1/25 | 215,762 | ||||||
Select Medical Corp | ||||||||
175,000 | 6.250%, 8/15/26 | 186,779 | ||||||
2,212,978 | ||||||||
Homebuilders/Real Estate: 5.0% | ||||||||
Ashton Woods USA LLC / | ||||||||
Ashton Woods Finance Co | ||||||||
75,000 | 6.625%, 1/15/28 | 80,190 |
The accompanying notes are an integral part of these financial statements.
16
U.S. High Yield Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | ||||||||
Amount | Value | |||||||
CORPORATE BONDS: 91.0% (Continued) | ||||||||
Homebuilders/Real Estate: 5.0% (Continued) | ||||||||
Brookfield Residential Properties Inc / | ||||||||
Brookfield Residential US LLC | ||||||||
$ | 125,000 | 6.250%, 9/15/27 | $ | 132,362 | ||||
Dycom Industries Inc | ||||||||
50,000 | 4.500%, 4/15/29 | 50,498 | ||||||
Global Infrastructure Solutions Inc | ||||||||
87,000 | 5.625%, 6/1/29 | 90,397 | ||||||
Iron Mountain Inc | ||||||||
200,000 | 5.250%, 7/15/30 | 211,983 | ||||||
Kennedy-Wilson Inc | ||||||||
75,000 | 4.750%, 3/1/29 | 77,358 | ||||||
75,000 | 5.000%, 3/1/31 | 77,250 | ||||||
Ladder Capital Finance Holdings LLLP / | ||||||||
Ladder Capital Finance Corp | ||||||||
25,000 | 4.750%, 6/15/29 | 25,062 | ||||||
PowerTeam Services LLC | ||||||||
300,000 | 9.033%, 12/4/25 | 330,375 | ||||||
Service Properties Trust | ||||||||
200,000 | 4.350%, 10/1/24 | 201,662 | ||||||
100,000 | 5.500%, 12/15/27 | 106,938 | ||||||
STARWOOD PPTY TR, Inc. | ||||||||
50,000 | 3.625%, 7/15/26 | 50,438 | ||||||
1,434,513 | ||||||||
Hotels: 0.3% | ||||||||
Hilton Grand Vacations Borrower | ||||||||
Escrow LLC / Hilton Grand | ||||||||
Vacations Borrower Esc | ||||||||
25,000 | 5.000%, 6/1/29 | 25,594 | ||||||
50,000 | 4.875%, 7/1/31 | 50,000 | ||||||
Marriott Ownership Resorts Inc | ||||||||
25,000 | 4.500%, 6/15/29 | 25,375 | ||||||
100,969 | ||||||||
Leisure: 2.4% | ||||||||
Carnival Corp | ||||||||
100,000 | 10.500%, 2/1/26 | 116,554 | ||||||
50,000 | 5.750%, 3/1/27 | 52,438 | ||||||
Life Time Inc | ||||||||
150,000 | 5.750%, 1/15/26 | 155,657 | ||||||
Royal Caribbean Cruises Ltd | ||||||||
175,000 | 9.125%, 6/15/23 | 192,286 | ||||||
175,000 | 5.500%, 4/1/28 | 183,496 | ||||||
700,431 | ||||||||
Metals/Mining: 3.1% | ||||||||
Cleveland-Cliffs Inc | ||||||||
175,000 | 6.750%, 3/15/26 | 189,000 | ||||||
First Quantum Minerals Ltd | ||||||||
275,000 | 7.500%, 4/1/25 | 286,037 | ||||||
Grinding Media Inc / | ||||||||
Moly-Cop AltaSteel Ltd | ||||||||
100,000 | 7.375%, 12/15/23 | 102,599 | ||||||
Hudbay Minerals Inc | ||||||||
75,000 | 6.125%, 4/1/29 | 79,969 | ||||||
Kaiser Aluminum Corp | ||||||||
125,000 | 4.500%, 6/1/31 | 128,490 | ||||||
SunCoke Energy Inc | ||||||||
100,000 | 4.875%, 6/30/29 | 100,000 | ||||||
886,095 | ||||||||
Publishing/Printing: 0.5% | ||||||||
Cimpress PLC | ||||||||
150,000 | 7.000%, 6/15/26 | 158,324 | ||||||
Restaurants: 3.3% | ||||||||
1011778 BC ULC / New Red Finance Inc | ||||||||
125,000 | 3.875%, 1/15/28 | 126,719 | ||||||
125,000 | 4.375%, 1/15/28 | 126,894 | ||||||
Bloomin’ Brands Inc / | ||||||||
OSI Restaurant Partners LLC | ||||||||
100,000 | 5.125%, 4/15/29 | 102,875 | ||||||
Carrols Restaurant Group Inc | ||||||||
200,000 | 5.875%, 7/1/29 | 198,500 | ||||||
CEC Entertainment LLC | ||||||||
175,000 | 6.750%, 5/1/26 | 179,812 | ||||||
IRB Holding Corp | ||||||||
200,000 | 6.750%, 2/15/26 | 207,400 | ||||||
942,200 | ||||||||
Services: 3.4% | ||||||||
Alta Equipment Group Inc | ||||||||
50,000 | 5.625%, 4/15/26 | 51,409 | ||||||
APX Group Inc | ||||||||
75,000 | 7.875%, 12/1/22 | 75,552 | ||||||
BCPE Empire Holdings Inc | ||||||||
100,000 | 7.625%, 5/1/27 | 102,541 | ||||||
Clarivate Science Holdings Corp | ||||||||
50,000 | 4.875%, 6/30/29 | 51,375 | ||||||
Garda World Security Corp | ||||||||
100,000 | 4.625%, 2/15/27 | 100,702 | ||||||
75,000 | 9.500%, 11/1/27 | 83,215 | ||||||
GPD Cos Inc | ||||||||
125,000 | 10.125%, 4/1/26 | 136,702 | ||||||
Herc Holdings Inc | ||||||||
200,000 | 5.500%, 7/15/27 | 211,094 | ||||||
LBM Acquisition LLC | ||||||||
50,000 | 6.250%, 1/15/29 | 50,447 | ||||||
WESCO Distribution Inc | ||||||||
100,000 | 7.250%, 6/15/28 | 111,519 | ||||||
974,556 | ||||||||
Steel: 1.3% | ||||||||
Allegheny Technologies Inc | ||||||||
125,000 | 7.875%, 8/15/23 | 137,187 | ||||||
TMS International Corp/DE | ||||||||
75,000 | 6.250%, 4/15/29 | 78,844 |
The accompanying notes are an integral part of these financial statements.
17
U.S. High Yield Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | ||||||||
Amount | Value | |||||||
CORPORATE BONDS: 91.0% (Continued) | ||||||||
Steel: 1.3% (Continued) | ||||||||
United States Steel Corp | ||||||||
$ | 150,000 | 6.875%, 3/1/29 | $ | 160,688 | ||||
376,719 | ||||||||
Super Retail: 1.5% | ||||||||
Ambience Merger Sub Inc | ||||||||
50,000 | 7.125%, 7/15/29 | 50,562 | ||||||
L Brands Inc | ||||||||
75,000 | 6.750%, 7/1/36 | 94,087 | ||||||
LCM Investments Holdings II LLC | ||||||||
25,000 | 4.875%, 5/1/29 | 25,656 | ||||||
LSF9 Atlantis Holdings LLC / | ||||||||
Victra Finance Corp | ||||||||
125,000 | 7.750%, 2/15/26 | 129,794 | ||||||
Magic Mergeco Inc | ||||||||
125,000 | 7.875%, 5/1/29 | 129,063 | ||||||
429,162 | ||||||||
Technology: 2.6% | ||||||||
CommScope Technologies LLC | ||||||||
209,000 | 6.000%, 6/15/25 | 213,702 | ||||||
J2 Global Inc | ||||||||
150,000 | 4.625%, 10/15/30 | 155,482 | ||||||
LogMeIn Inc | ||||||||
100,000 | 5.500%, 9/1/27 | 103,705 | ||||||
Veritas US Inc / Veritas Bermuda Ltd | ||||||||
100,000 | 7.500%, 9/1/25 | 104,403 | ||||||
VM Consolidated Inc | ||||||||
175,000 | 5.500%, 4/15/29 | 178,686 | ||||||
755,978 | ||||||||
Telecommunications: 6.2% | ||||||||
Altice France Holding SA | ||||||||
325,000 | 6.000%, 2/15/28 | 322,923 | ||||||
Consolidated Communications Inc | ||||||||
100,000 | 6.500%, 10/1/28 | 107,775 | ||||||
Embarq Corp | ||||||||
75,000 | 7.995%, 6/1/36 | 85,117 | ||||||
GCI LLC | ||||||||
250,000 | 4.750%, 10/15/28 | 256,375 | ||||||
Hughes Satellite Systems Corp | ||||||||
175,000 | 6.625%, 8/1/26 | 196,781 | ||||||
Intelsat Jackson Holdings SA | ||||||||
150,000 | 8.000%, 2/15/24 7 | 155,165 | ||||||
Lumen Technologies Inc | ||||||||
150,000 | 5.125%, 12/15/26 | 156,176 | ||||||
100,000 | 4.500%, 1/15/29 | 97,720 | ||||||
Sprint Capital Corp | ||||||||
250,000 | 6.875%, 11/15/28 | 320,938 | ||||||
Zayo Group Holdings Inc | ||||||||
75,000 | 6.125%, 3/1/28 | 76,698 | ||||||
1,775,668 | ||||||||
Utilities: 2.6% | ||||||||
Calpine Corp | ||||||||
50,000 | 5.125%, 3/15/28 | 51,008 | ||||||
100,000 | 4.625%, 2/1/29 | 98,595 | ||||||
100,000 | 5.000%, 2/1/31 | 99,700 | ||||||
Clearway Energy Operating LLC | ||||||||
125,000 | 5.000%, 9/15/26 | 128,841 | ||||||
100,000 | 3.750%, 2/15/31 | 99,635 | ||||||
Talen Energy Supply LLC | ||||||||
225,000 | 7.250%, 5/15/27 | 210,234 | ||||||
75,000 | 6.625%, 1/15/28 | 68,734 | ||||||
756,747 | ||||||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $24,794,272) | 26,035,822 | |||||||
BANK LOANS: 5.6% | ||||||||
Aerospace/Defense: 0.4% | ||||||||
Spirit AeroSystems Inc | ||||||||
109,450 | 6.000% (1 Month | |||||||
LIBOR + 5.250%), 1/15/25 1,4 | 110,499 | |||||||
Automotive & Auto Parts: 0.8% | ||||||||
First Brands Group LLC | ||||||||
105,704 | 6.000% (3 Months | |||||||
LIBOR + 5.000%), 3/24/27 1,4 | 107,113 | |||||||
Wheel Pros (4/21) | ||||||||
125,000 | 5.250% (1 Month | |||||||
LIBOR + 4.500%), 5/31/28 1,4,5,6 | 125,503 | |||||||
232,616 | ||||||||
Healthcare: 0.7% | ||||||||
BW NHHC Holdco Inc | ||||||||
198,974 | 5.155% (3 Months | |||||||
LIBOR + 5.000%), 5/15/25 1,4 | 183,642 | |||||||
US Radiology Specialists Inc | ||||||||
24,875 | 6.250% (1 Month | |||||||
LIBOR + 5.500%), 12/15/27 1,4 | 25,062 | |||||||
208,704 | ||||||||
Leisure: 0.3% | ||||||||
Carnival Corp | ||||||||
98,503 | 8.500% (1 Month | |||||||
LIBOR + 7.500%), 6/30/25 1,4 | 101,068 | |||||||
Services: 0.4% | ||||||||
Revint Intermediate II LLC | ||||||||
124,688 | 5.750% (1 Month | |||||||
LIBOR + 5.000%), 10/15/27 1,4 | 125,896 | |||||||
Technology: 1.1% | ||||||||
Ahead DB Holdings LLC | ||||||||
100,000 | 4.500% (3 Months | |||||||
LIBOR + 3.750%), 10/16/27 1,4 | 100,320 |
The accompanying notes are an integral part of these financial statements.
18
U.S. High Yield Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | ||||||||
Amount | Value | |||||||
BANK LOANS: 5.6% (Continued) | ||||||||
Technology: 1.1% (Continued) | ||||||||
CT Technologies Intermediate | ||||||||
Holdings Inc | ||||||||
$ | 74,813 | 6.000% (1 Month | ||||||
LIBOR + 5.000%), 12/16/25 1,4 | $ | 75,080 | ||||||
Dawn Acquisition LLC | ||||||||
149,235 | 3.897% (3 Months | |||||||
LIBOR + 3.750%), 12/31/25 1,4 | 127,222 | |||||||
302,622 | ||||||||
Telecommunications: 1.4% | ||||||||
Intelsat Jackson Holdings SA | ||||||||
134,636 | 6.500% (3 Months | |||||||
LIBOR + 5.500%), 7/13/21 1,4 | 135,815 | |||||||
250,000 | 6.625%, 1/2/24 4 | 255,045 | ||||||
390,860 | ||||||||
Transportation Excluding Air/Rail: 0.5% | ||||||||
Yak Access LLC | ||||||||
145,890 | 5.147% (1 Month | |||||||
LIBOR + 5.000%), 7/11/25 1,4 | 135,232 | |||||||
TOTAL BANK LOANS | ||||||||
(Cost $1,589,554) | 1,607,497 | |||||||
TOTAL INVESTMENTS IN SECURITIES: 96.6% | ||||||||
(Cost $26,383,826) | 27,643,319 | |||||||
Other Assets in Excess of Liabilities: 3.4% | 965,425 | |||||||
TOTAL NET ASSETS: 100.0% | $ | 28,608,744 |
LIBOR – London Interbank Offered Rate
USD – United States Dollar
1 | Variable rate security; rate shown is the rate in effect on June 30, 2021. An index may have a negative rate. Interest rate may also be subject to a cap or floor. |
2 | Perpetual call date security. Date shown is next call date. |
3 | Fixed-to-variable or fixed-to-float bond; rate shown is the rate in effect on June 30, 2021. An index may have a negative rate. Interest rate may also be subject to a cap or floor. |
4 | Bank loans generally pay interest at rates which are periodically determined by reference to a base lending rate plus a premium. All loans carry a variable rate of interest. These base lending rates are generally (i) the Prime Rate offered by one or more major United States banks, (ii) the lending rate offered by one or more European banks such as the LIBOR or (iii) the Certificate of Deposit rate. Bank loans, while exempt from registration, under the Securities Act of 1933, contain certain restrictions on resale and cannot be sold publicly. Floating rate bank loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. |
5 | All or a portion of the loan may be unfunded. |
6 | Denotes investments purchased on a when-issued or delayed delivery basis. |
7 | Security is in default. |
The accompanying notes are an integral part of these financial statements.
19
Low Duration Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) |
Principal | |||||||||
Amount† | Value | ||||||||
CORPORATE BONDS: 82.0% | |||||||||
Aerospace/Defense: 0.1% | |||||||||
Rolls-Royce PLC | |||||||||
EUR | 300,000 | 0.875%, 5/9/24 | $ | 351,067 | |||||
Airlines: 3.6% | |||||||||
Air France-KLM | |||||||||
EUR | 200,000 | 3.000%, 7/1/24 | 234,778 | ||||||
EUR | 300,000 | 3.875%, 7/1/26 | 350,676 | ||||||
American Airlines Inc/ | |||||||||
AAdvantage Loyalty IP Ltd | |||||||||
325,000 | 5.500%, 4/20/26 | 344,500 | |||||||
Delta Air Lines Inc | |||||||||
875,000 | 3.625%, 3/15/22 | 887,466 | |||||||
1,050,000 | 3.800%, 4/19/23 | 1,090,189 | |||||||
Deutsche Lufthansa AG | |||||||||
EUR | 1,200,000 | 2.875%, 2/11/25 | 1,451,782 | ||||||
EUR | 700,000 | 3.000%, 5/29/26 | 839,247 | ||||||
easyJet PLC | |||||||||
EUR | 1,700,000 | 1.750%, 2/9/23 | 2,058,882 | ||||||
EUR | 500,000 | 1.125%, 10/18/23 | 604,008 | ||||||
Mileage Plus Holdings LLC / Mileage | |||||||||
Plus Intellectual Property Assets Ltd | |||||||||
1,325,000 | 6.500%, 6/20/27 | 1,460,481 | |||||||
Singapore Airlines Ltd | |||||||||
900,000 | 3.000%, 7/20/26 | 912,956 | |||||||
United Airlines Inc | |||||||||
350,000 | 4.375%, 4/15/26 | 362,687 | |||||||
Wizz Air Finance Co BV | |||||||||
EUR | 1,300,000 | 1.350%, 1/19/24 | 1,575,703 | ||||||
12,173,355 | |||||||||
Automotive & Auto Parts: 5.8% | |||||||||
FCE Bank PLC | |||||||||
EUR | 700,000 | 1.134%, 2/10/22 | 834,910 | ||||||
GBP | 700,000 | 2.727%, 6/3/22 | 983,414 | ||||||
EUR | 800,000 | 1.615%, 5/11/23 | 968,389 | ||||||
Ford Motor Credit Co LLC | |||||||||
500,000 | 1.256% (3 Month LIBOR | ||||||||
USD + 1.080%), 8/3/22 1 | 498,221 | ||||||||
1,000,000 | 1.391% (3 Month LIBOR | ||||||||
USD + 1.235%), 2/15/23 1 | 996,570 | ||||||||
600,000 | 3.810%, 1/9/24 | 628,629 | |||||||
EUR | 555,000 | 3.021%, 3/6/24 | 691,167 | ||||||
650,000 | 3.375%, 11/13/25 | 674,375 | |||||||
General Motors Financial Co Inc | |||||||||
2,500,000 | 5.200%, 3/20/23 | 2,692,018 | |||||||
Harley-Davidson Financial | |||||||||
Services Inc | |||||||||
EUR | 500,000 | 0.900%, 11/19/24 | 606,419 | ||||||
IHO Verwaltungs GmbH | |||||||||
EUR | 900,000 | 3.625% Cash or 4.000% | |||||||
PIK, 5/15/25 | 1,085,459 | ||||||||
EUR | 700,000 | 3.750% Cash or 5.000% | |||||||
PIK, 9/15/26 | 848,041 | ||||||||
Jaguar Land Rover Automotive PLC | |||||||||
1,100,000 | 7.750%, 10/15/25 | 1,210,693 | |||||||
Kia Corp | |||||||||
650,000 | 1.000%, 4/16/24 | 653,838 | |||||||
Nemak SAB de CV | |||||||||
EUR | 1,550,000 | 3.250%, 3/15/24 | 1,870,638 | ||||||
Nissan Motor Co Ltd | |||||||||
1,894,000 | 3.043%, 9/15/23 | 1,975,995 | |||||||
1,500,000 | 3.522%, 9/17/25 | 1,603,390 | |||||||
Stellantis NV | |||||||||
1,000,000 | 5.250%, 4/15/23 | 1,079,530 | |||||||
19,901,696 | |||||||||
Banking: 22.2% | |||||||||
Abanca Corp Bancaria SA | |||||||||
EUR | 500,000 | 4.625% (5 Year Swap Rate | |||||||
EUR + 5.014%), 4/7/30 1,4 | 637,601 | ||||||||
ABN AMRO Bank NV | |||||||||
4,000,000 | 4.400% (5 Year Swap Rate | ||||||||
USD + 2.197%), 3/27/28 1,4 | 4,212,432 | ||||||||
AIB Group PLC | |||||||||
EUR | 1,700,000 | 1.875% (5 Year Swap Rate | |||||||
EUR + 2.150%), 11/19/29 1,4 | 2,068,211 | ||||||||
Banco Comercial Portugues SA | |||||||||
EUR | 600,000 | 3.871% (5 Year Swap Rate | |||||||
EUR + 4.231%), 3/27/30 1,4 | 720,893 | ||||||||
Banco de Sabadell SA | |||||||||
EUR | 1,500,000 | 5.375% (5 Year Swap Rate | |||||||
EUR + 5.100%), 12/12/28 1,4 | 1,949,813 | ||||||||
EUR | 900,000 | 2.500% (5 Year Swap Rate | |||||||
EUR + 2.950%), 4/15/31 1,4 | 1,075,988 | ||||||||
Bank of Ireland Group PLC | |||||||||
GBP | 800,000 | 3.125% (5 Year UK GILT | |||||||
Rate + 2.700%), 9/19/27 1,4 | 1,127,831 | ||||||||
1,890,000 | 4.125% (5 Year CMT | ||||||||
Rate + 2.500%), 9/19/27 1,4 | 1,936,010 | ||||||||
Barclays Bank PLC | |||||||||
200,000 | 7.625%, 11/21/22 | 218,192 | |||||||
Barclays PLC | |||||||||
EUR | 1,060,000 | 1.125% (5 Year Swap Rate | |||||||
EUR + 1.550%), 3/22/31 1,4 | 1,264,369 | ||||||||
BBVA Bancomer SA | |||||||||
1,800,000 | 6.750%, 9/30/22 | 1,914,804 | |||||||
150,000 | 4.375%, 4/10/24 | 163,337 | |||||||
BNP Paribas SA | |||||||||
EUR | 450,000 | 2.625% (5 Year Swap Rate | |||||||
EUR + 1.830%), 10/14/27 1,4 | 551,375 | ||||||||
GBP | 900,000 | 2.000% (5 Year UK GILT | |||||||
Rate + 1.650%), 5/24/31 1,4 | 1,256,109 | ||||||||
Caixa Geral de Depositos SA | |||||||||
EUR | 1,200,000 | 5.750% (5 Year Swap Rate | |||||||
EUR + 5.500%), 6/28/28 1,4 | 1,563,408 |
The accompanying notes are an integral part of these financial statements.
20
Low Duration Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | |||||||||
Amount† | Value | ||||||||
CORPORATE BONDS: 82.0% (Continued) | |||||||||
Banking: 22.2% (Continued) | |||||||||
CaixaBank SA | |||||||||
EUR | 3,000,000 | 2.750% (5 Year Swap Rate | |||||||
EUR + 2.350%), 7/14/28 1,4 | $ | 3,716,433 | |||||||
Commerzbank AG | |||||||||
500,000 | 8.125%, 9/19/23 | 569,876 | |||||||
EUR | 1,200,000 | 4.000% (5 Year Swap Rate | |||||||
EUR + 4.350%), 12/5/30 1,4 | 1,579,499 | ||||||||
Cooperatieve Rabobank UA | |||||||||
3,800,000 | 4.000% (5 Year Swap Rate | ||||||||
USD + 1.892%), 4/10/29 1,4 | 4,066,532 | ||||||||
Danske Bank A/S | |||||||||
EUR | 1,900,000 | 2.500% (5 Year Swap Rate | |||||||
EUR + 2.500%), 6/21/29 1,4 | 2,375,605 | ||||||||
Deutsche Bank AG | |||||||||
1,532,000 | 1.369% (3 Month LIBOR | ||||||||
USD + 1.230%), 2/27/23 1 | 1,548,292 | ||||||||
375,000 | 3.961% (SOFR + | ||||||||
2.581%), 11/26/25 1,4 | 405,697 | ||||||||
2,800,000 | 4.296% (5 Year Swap Rate | ||||||||
USD + 2.248%), 5/24/28 1,4 | 2,903,320 | ||||||||
Fab Sukuk Co Ltd | |||||||||
500,000 | 2.500%, 1/21/25 | 521,267 | |||||||
500,000 | 1.411%, 1/14/26 | 499,375 | |||||||
ING Groep NV | |||||||||
2,100,000 | 4.700% (5 Year Swap Rate | ||||||||
USD + 1.938%), 3/22/28 1,4 | 2,221,825 | ||||||||
EUR | 2,700,000 | 2.500% (5 Year Swap Rate | |||||||
EUR + 2.150%), 2/15/29 1,4 | 3,386,415 | ||||||||
Intesa Sanpaolo SPA | |||||||||
300,000 | 3.125%, 7/14/22 | 307,860 | |||||||
EUR | 2,900,000 | 1.360% (3 Month | |||||||
EURIBOR + 1.900%), 9/26/24 1,5 | 3,500,563 | ||||||||
EUR | 1,000,000 | 4.375% (5 Year Swap Rate | |||||||
EUR + 4.750%), 7/12/29 1,4 | 1,294,567 | ||||||||
Nationwide Building Society | |||||||||
EUR | 550,000 | 2.000% (5 Year Swap Rate | |||||||
EUR + 1.500%), 7/25/29 1,4 | 686,609 | ||||||||
Natwest Group PLC | |||||||||
2,325,000 | 3.754% (5 Year CMT | ||||||||
Rate + 2.100%), 11/1/29 1,4 | 2,473,219 | ||||||||
GBP | 300,000 | 3.622% (5 Year UK GILT | |||||||
Rate + 3.550%), 8/14/30 1,4 | 443,081 | ||||||||
QNB Finansbank AS | |||||||||
200,000 | 4.875%, 5/19/22 | 204,713 | |||||||
Societe Generale SA | |||||||||
EUR | 1,600,000 | 1.375% (5 Year Swap Rate | |||||||
EUR + 0.900%), 2/23/28 1,4 | 1,927,953 | ||||||||
Standard Chartered PLC | |||||||||
738,000 | 1.319% (1 Year CMT | ||||||||
Rate + 1.170%), 10/14/23 1,4 | 745,277 | ||||||||
1,000,000 | 3.516% (5 Year CMT | ||||||||
Rate + 1.850%), 2/12/30 1,4 | 1,051,292 | ||||||||
UniCredit SPA | |||||||||
2,950,000 | 4.086% (3 Month LIBOR | ||||||||
USD + 3.900%), 1/14/22 1 | 3,003,209 | ||||||||
EUR | 3,000,000 | 4.375% (5 Year Swap Rate | |||||||
EUR + 4.316%), 1/3/27 1,4 | 3,636,607 | ||||||||
EUR | 600,000 | 4.875% (EUAMDB05 + | |||||||
4.739%), 2/20/29 1,4 | 776,640 | ||||||||
Virgin Money UK PLC | |||||||||
GBP | 2,200,000 | 7.875% (5 Year UK GILT | |||||||
Rate + 7.128%), 12/14/28 1,4 | 3,490,152 | ||||||||
GBP | 300,000 | 5.125% (5 Year UK GILT | |||||||
Rate + 5.250%), 12/11/30 1,4 | 463,450 | ||||||||
Volksbank Wien AG | |||||||||
EUR | 2,800,000 | 2.750% (5 Year Swap Rate | |||||||
EURIBOR + 2.550%), 10/6/27 1,4 | 3,407,610 | ||||||||
Westpac Banking Corp | |||||||||
2,045,000 | 2.894% (5 Year CMT | ||||||||
Rate + 1.350%), 2/4/30 1,4 | 2,123,569 | ||||||||
Zuercher Kantonalbank | |||||||||
EUR | 1,450,000 | 2.625% (5 Year Swap Rate | |||||||
EUR + 1.850%), 6/15/27 1,4 | 1,761,217 | ||||||||
75,752,097 | |||||||||
Broadcasting: 0.2% | |||||||||
Pinewood Finance Co Ltd | |||||||||
GBP | 500,000 | 3.250%, 9/30/25 | 704,393 | ||||||
Building Materials: 0.8% | |||||||||
James Hardie International | |||||||||
Finance DAC | |||||||||
EUR | 1,355,000 | 3.625%, 10/1/26 | 1,646,927 | ||||||
922,000 | 5.000%, 1/15/28 | 979,625 | |||||||
2,626,552 | |||||||||
Cable/Satellite TV: 0.5% | |||||||||
Radiate Holdco LLC / | |||||||||
Radiate Finance Inc | |||||||||
625,000 | 4.500%, 9/15/26 | 648,484 | |||||||
United Group BV | |||||||||
EUR | 1,000,000 | 4.125% (3 Month | |||||||
EURIBOR + 4.125%), 5/15/25 1 | 1,186,331 | ||||||||
1,834,815 | |||||||||
Capital Goods: 1.2% | |||||||||
CNH Industrial Capital LLC | |||||||||
550,000 | 4.375%, 4/5/22 | 565,921 | |||||||
CNH Industrial NV | |||||||||
1,000,000 | 4.500%, 8/15/23 | 1,078,510 | |||||||
Platin 1426 GmbH | |||||||||
EUR | 800,000 | 5.375%, 6/15/23 | 957,159 | ||||||
Westinghouse Air Brake | |||||||||
Technologies Corp | |||||||||
1,425,000 | 4.400%, 3/15/24 | 1,545,173 | |||||||
4,146,763 |
The accompanying notes are an integral part of these financial statements.
21
Low Duration Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | |||||||||
Amount† | Value | ||||||||
CORPORATE BONDS: 82.0% (Continued) | |||||||||
Chemicals: 0.2% | |||||||||
CNAC HK Finbridge Co Ltd | |||||||||
250,000 | 3.375%, 6/19/24 | $ | 262,057 | ||||||
240,000 | 4.875%, 3/14/25 | 263,580 | |||||||
PTT Global Chemical PCL | |||||||||
200,000 | 4.250%, 9/19/22 | 207,784 | |||||||
733,421 | |||||||||
Consumer-Products: 0.6% | |||||||||
Kimberly-Clark de Mexico | |||||||||
SAB de CV | |||||||||
1,791,000 | 3.250%, 3/12/25 | 1,907,290 | |||||||
Containers: 0.3% | |||||||||
Ardagh Metal Packaging Finance | |||||||||
USA LLC / Ardagh Metal | |||||||||
Packaging Finance PLC | |||||||||
EUR | 475,000 | 2.000%, 9/1/28 | 565,573 | ||||||
Trivium Packaging Finance BV | |||||||||
EUR | 500,000 | 3.750% (3 Month | |||||||
EURIBOR + 3.750%), 8/15/26 1 | 593,375 | ||||||||
1,158,948 | |||||||||
Diversified Financial Services: 17.0% | |||||||||
AerCap Ireland Capital DAC / | |||||||||
AerCap Global Aviation Trust | |||||||||
700,000 | 4.500%, 9/15/23 | 750,770 | |||||||
1,801,000 | 3.150%, 2/15/24 | 1,891,825 | |||||||
Aircastle Ltd | |||||||||
1,200,000 | 4.400%, 9/25/23 | 1,285,393 | |||||||
897,000 | 4.125%, 5/1/24 | 956,956 | |||||||
AnaCap Financial Europe | |||||||||
SA SICAV-RAIF | |||||||||
EUR | 1,000,000 | 5.000% (3 Month | |||||||
EURIBOR + 5.000%), 8/1/24 1 | 1,129,774 | ||||||||
Ares Capital Corp | |||||||||
1,680,000 | 4.200%, 6/10/24 | 1,806,292 | |||||||
Aviation Capital Group LLC | |||||||||
1,500,000 | 5.500%, 12/15/24 | 1,696,988 | |||||||
Avolon Holdings Funding Ltd | |||||||||
700,000 | 5.125%, 10/1/23 | 756,953 | |||||||
BOC Aviation Ltd | |||||||||
460,000 | 2.750%, 12/2/23 | 475,832 | |||||||
1,200,000 | 1.750%, 1/21/26 | 1,189,650 | |||||||
BOC Aviation USA Corp | |||||||||
610,000 | 1.625%, 4/29/24 | 615,255 | |||||||
Bracken MidCo1 PLC | |||||||||
GBP | 946,688 | 8.875% Cash or 11.000% | |||||||
PIK, 10/15/23 | 1,357,270 | ||||||||
CDBL Funding 2 | |||||||||
1,050,000 | 3.000%, 8/1/22 | 1,068,808 | |||||||
CIT Group Inc | |||||||||
1,600,000 | 5.000%, 8/1/23 | 1,732,000 | |||||||
Credit Suisse AG | |||||||||
1,825,000 | 6.500%, 8/8/23 | 2,020,366 | |||||||
Credit Suisse Group AG | |||||||||
1,200,000 | 7.500% (5 Year Swap Rate | ||||||||
USD + 4.598%), 12/11/23 1,4 | 1,333,854 | ||||||||
450,000 | 6.250% (5 Year Swap Rate | ||||||||
USD + 3.455%), 12/18/24 1,4 | 493,825 | ||||||||
DAE Funding LLC | |||||||||
725,000 | 4.500%, 8/1/22 | 728,252 | |||||||
800,000 | 1.550%, 8/1/24 | 799,896 | |||||||
1,132,000 | 2.625%, 3/20/25 | 1,154,713 | |||||||
DAE Sukuk Difc Ltd | |||||||||
1,580,000 | 3.750%, 2/15/26 | 1,676,510 | |||||||
Encore Capital Group Inc | |||||||||
GBP | 775,000 | 5.375%, 2/15/26 | 1,133,350 | ||||||
Fortune Star BVI Ltd | |||||||||
EUR | 963,000 | 4.350%, 5/6/23 | 1,160,515 | ||||||
Garfunkelux Holdco 3 SA | |||||||||
EUR | 2,700,000 | 6.250% (3 Month | |||||||
EURIBOR + 6.250%), 5/1/26 1 | 3,265,548 | ||||||||
Hoist Finance AB | |||||||||
EUR | 2,500,000 | 2.750%, 4/3/23 | 3,059,118 | ||||||
Huarong Finance 2017 Co Ltd | |||||||||
2,000,000 | 1.320% (3 Month LIBOR | ||||||||
USD + 1.150%), 11/7/22 1 | 1,536,000 | ||||||||
Huarong Finance 2019 Co Ltd | |||||||||
520,000 | 1.275% (3 Month LIBOR | ||||||||
USD + 1.125%), 2/24/23 1 | 388,911 | ||||||||
Huarong Finance II Co Ltd | |||||||||
700,000 | 3.625%, 11/22/21 | 645,628 | |||||||
Huarong Universe Investment | |||||||||
Holding Ltd | |||||||||
EUR | 1,300,000 | 1.625%, 12/5/22 | 994,249 | ||||||
ICBCIL Finance Co Ltd | |||||||||
1,000,000 | 1.256% (3 Month LIBOR | ||||||||
USD + 1.100%), 5/15/23 1 | 995,375 | ||||||||
Intrum AB | |||||||||
EUR | 500,000 | 4.875%, 8/15/25 | 624,029 | ||||||
IS Hong Kong Investment Ltd | |||||||||
1,000,000 | 2.900%, 12/30/22 | 1,023,180 | |||||||
Jerrold Finco PLC | |||||||||
GBP | 1,075,000 | 4.875%, 1/15/26 | 1,533,404 | ||||||
Mirae Asset Securities Co Ltd | |||||||||
500,000 | 2.125%, 7/30/23 | 511,039 | |||||||
1,180,000 | 2.625%, 7/30/25 | 1,215,063 | |||||||
Mulhacen Pte Ltd | |||||||||
EUR | 1,583,876 | 6.500% Cash or 7.000% | |||||||
PIK, 8/1/23 | 1,614,113 | ||||||||
Nexi SPA | |||||||||
EUR | 850,000 | 1.625%, 4/30/26 | 1,004,695 | ||||||
Owl Rock Capital Corp | |||||||||
700,000 | 3.750%, 7/22/25 | 741,172 | |||||||
Park Aerospace Holdings Ltd | |||||||||
2,000,000 | 4.500%, 3/15/23 | 2,102,540 |
The accompanying notes are an integral part of these financial statements.
22
Low Duration Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | |||||||||
Amount† | Value | ||||||||
CORPORATE BONDS: 82.0% (Continued) | |||||||||
Diversified Financial Services: 17.0% (Continued) | |||||||||
REC Ltd | |||||||||
800,000 | 5.250%, 11/13/23 | $ | 864,581 | ||||||
400,000 | 3.375%, 7/25/24 | 416,634 | |||||||
200,000 | 3.500%, 12/12/24 | 209,990 | |||||||
SIHC International Capital Ltd | |||||||||
1,000,000 | 3.950%, 9/26/21 | 1,005,590 | |||||||
SOFTBANK GROUP Co. | |||||||||
750,000 | 3.125%, 1/6/25 | 750,000 | |||||||
1,475,000 | 4.000%, 7/6/26 | 1,475,000 | |||||||
TP ICAP Ltd | |||||||||
GBP | 500,000 | 5.250%, 1/26/24 | 759,940 | ||||||
UBS AG | |||||||||
2,000,000 | 5.125%, 5/15/24 | 2,209,200 | |||||||
UBS Group AG | |||||||||
EUR | 400,000 | 5.750% (5 Year Swap Rate | |||||||
EUR + 5.287%), 2/19/22 1,4 | 489,714 | ||||||||
1,260,000 | 7.000% (USSW5YF + | ||||||||
4.866%), 2/19/25 1,4 | 1,456,560 | ||||||||
58,106,320 | |||||||||
Diversified Media: 0.6% | |||||||||
Adevinta ASA | |||||||||
EUR | 675,000 | 2.625%, 11/15/25 | 821,990 | ||||||
Inter Media and | |||||||||
Communication SPA | |||||||||
EUR | 1,135,200 | 4.875%, 12/31/22 | 1,346,228 | ||||||
2,168,218 | |||||||||
Energy: 3.8% | |||||||||
Delek & Avner Tamar Bond Ltd | |||||||||
1,335,000 | 5.082%, 12/30/23 | 1,346,988 | |||||||
563,000 | 5.412%, 12/30/25 | 567,585 | |||||||
Energy Transfer LP | |||||||||
1,000,000 | 4.250%, 4/1/24 | 1,078,930 | |||||||
Galaxy Pipeline Assets Bidco Ltd | |||||||||
350,000 | 1.750%, 9/30/27 | 354,126 | |||||||
Perusahaan Gas Negara Tbk PT | |||||||||
1,200,000 | 5.125%, 5/16/24 | 1,332,113 | |||||||
Petroleos Mexicanos | |||||||||
EUR | 1,550,000 | 2.500%, 8/21/21 | 1,842,103 | ||||||
GBP | 1,962,000 | 8.250%, 6/2/22 | 2,867,642 | ||||||
Plains All American Pipeline LP / | |||||||||
PAA Finance Corp | |||||||||
2,176,000 | 4.650%, 10/15/25 | 2,436,466 | |||||||
Western Midstream Operating LP | |||||||||
1,000,000 | 4.350%, 2/1/25 | 1,057,935 | |||||||
12,883,888 | |||||||||
Food & Drug Retail: 0.7% | |||||||||
Bellis Acquisition Co PLC | |||||||||
GBP | 575,000 | 3.250%, 2/16/26 | 797,882 | ||||||
LION/POLARIS LUX | |||||||||
EUR | 400,000 | 4.000% (3 Month | |||||||
EURIBOR + 4.000%), 7/1/26 1,6 | 474,299 | ||||||||
Quatrim SASU | |||||||||
EUR | 1,000,000 | 5.875%, 1/15/24 | 1,234,476 | ||||||
2,506,657 | |||||||||
Food/Beverage/Tobacco: 2.4% | |||||||||
Asahi Group Holdings Ltd | |||||||||
EUR | 710,000 | 0.010%, 4/19/24 | 844,454 | ||||||
Coca-Cola Europacific Partners PLC | |||||||||
1,600,000 | 1.500%, 1/15/27 | 1,593,860 | |||||||
Coca-Cola Icecek AS | |||||||||
1,500,000 | 4.215%, 9/19/24 | 1,579,203 | |||||||
Herbalife Nutrition Ltd / | |||||||||
HLF Financing Inc | |||||||||
625,000 | 7.875%, 9/1/25 | 680,469 | |||||||
Louis Dreyfus Co BV | |||||||||
EUR | 1,225,000 | 2.375%, 11/27/25 | 1,541,755 | ||||||
Sigma Alimentos SA de CV | |||||||||
850,000 | 4.125%, 5/2/26 | 928,621 | |||||||
Smithfield Foods Inc | |||||||||
900,000 | 3.350%, 2/1/22 | 913,140 | |||||||
8,081,502 | |||||||||
Gaming: 1.1% | |||||||||
Caesars Entertainment Inc | |||||||||
1,000,000 | 6.250%, 7/1/25 | 1,061,710 | |||||||
Cirsa Finance International SARL | |||||||||
EUR | 325,000 | 6.250%, 12/20/23 | 391,692 | ||||||
International Game Technology PLC | |||||||||
EUR | 800,000 | 3.500%, 6/15/26 | 973,456 | ||||||
MGM Resorts International | |||||||||
1,250,000 | 6.750%, 5/1/25 | 1,340,581 | |||||||
3,767,439 | |||||||||
Healthcare: 1.8% | |||||||||
GN Store Nord A/S | |||||||||
EUR | 760,000 | 0.750%, 12/6/23 | 909,974 | ||||||
MPT Operating Partnership LP / | |||||||||
MPT Finance Corp | |||||||||
GBP | 1,310,000 | 2.550%, 12/5/23 | 1,862,708 | ||||||
EUR | 250,000 | 3.325%, 3/24/25 | 320,376 | ||||||
GBP | 1,300,000 | 2.500%, 3/24/26 | 1,834,196 | ||||||
Rossini SARL | |||||||||
EUR | 350,000 | 3.875% (3 Month | |||||||
EURIBOR + 3.875%), 10/30/25 1 | 415,815 | ||||||||
Teva Pharmaceutical Finance | |||||||||
Netherlands III BV | |||||||||
625,000 | 2.800%, 7/21/23 | 623,588 | |||||||
5,966,657 | |||||||||
Homebuilders/Real Estate: 4.7% | |||||||||
American Tower Corp | |||||||||
EUR | 1,000,000 | 0.450%, 1/15/27 | 1,187,236 | ||||||
CPI Property Group SA | |||||||||
1,850,000 | 4.750%, 3/8/23 | 1,976,414 |
The accompanying notes are an integral part of these financial statements.
23
Low Duration Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | |||||||||
Amount† | Value | ||||||||
CORPORATE BONDS: 82.0% (Continued) | |||||||||
Homebuilders/Real Estate: 4.7% (Continued) | |||||||||
CTP NV | |||||||||
EUR | 400,000 | 0.500%, 6/21/25 | $ | 472,609 | |||||
DEMIRE Deutsche Mittelstand | |||||||||
Real Estate AG | |||||||||
EUR | 1,800,000 | 1.875%, 10/15/24 | 2,089,364 | ||||||
Hammerson Ireland Finance DAC | |||||||||
EUR | 710,000 | 1.750%, 6/3/27 | 844,091 | ||||||
Immobiliare Grande | |||||||||
Distribuzione SIIQ SPA | |||||||||
EUR | 225,000 | 2.125%, 11/28/24 | 267,860 | ||||||
NE Property BV | |||||||||
EUR | 1,000,000 | 2.625%, 5/22/23 | 1,233,776 | ||||||
EUR | 2,500,000 | 1.750%, 11/23/24 | 3,051,138 | ||||||
Tritax EuroBox PLC | |||||||||
EUR | 600,000 | 0.950%, 6/2/26 | 710,772 | ||||||
Vivion Investments SARL | |||||||||
EUR | 1,800,000 | 3.000%, 8/8/24 | 2,132,275 | ||||||
Webuild SPA | |||||||||
EUR | 1,125,000 | 5.875%, 12/15/25 | 1,478,664 | ||||||
Westfield Stratford City | |||||||||
Finance NO 2 PLC | |||||||||
GBP | 500,000 | 1.642%, 8/4/26 | 700,678 | ||||||
16,144,877 | |||||||||
Hotels: 0.9% | |||||||||
Whitbread Group PLC | |||||||||
GBP | 2,000,000 | 3.375%, 10/16/25 | 2,940,654 | ||||||
Leisure: 1.6% | |||||||||
Carnival Corp | |||||||||
EUR | 800,000 | 1.875%, 11/7/22 | 940,910 | ||||||
CPUK Finance Ltd | |||||||||
GBP | 510,000 | 6.500%, 8/28/26 | 749,063 | ||||||
Expedia Group Inc | |||||||||
1,500,000 | 6.250%, 5/1/25 | 1,745,160 | |||||||
1,225,000 | 5.000%, 2/15/26 | 1,398,233 | |||||||
Royal Caribbean Cruises Ltd | |||||||||
625,000 | 9.125%, 6/15/23 | 686,734 | |||||||
5,520,100 | |||||||||
Metals/Mining: 0.2% | |||||||||
Novelis Corp | |||||||||
775,000 | 5.875%, 9/30/26 | 807,166 | |||||||
Quasi & Foreign Government: 0.4% | |||||||||
Arab Petroleum Investments Corp | |||||||||
500,000 | 1.260%, 2/10/26 | 499,301 | |||||||
Emirates Development Bank PJSC | |||||||||
900,000 | 1.639%, 6/15/26 | 905,640 | |||||||
1,404,941 | |||||||||
Services: 0.7% | |||||||||
RAC Bond Co PLC | |||||||||
GBP | 1,425,000 | 5.000%, 11/6/22 | 1,975,105 | ||||||
Verisure Holding AB | |||||||||
EUR | 365,000 | 3.875%, 7/15/26 | 443,259 | ||||||
2,418,364 | |||||||||
Steel: 0.3% | |||||||||
ArcelorMittal SA | |||||||||
EUR | 400,000 | 1.000%, 5/19/23 | 482,447 | ||||||
JSW Steel Ltd | |||||||||
470,000 | 5.250%, 4/13/22 | 482,033 | |||||||
964,480 | |||||||||
Super Retail: 1.7% | |||||||||
AA Bond Co Ltd | |||||||||
GBP | 2,207,000 | 2.875%, 1/31/22 | 3,067,614 | ||||||
GBP | 300,000 | 2.750%, 7/31/23 | 421,804 | ||||||
GBP | 560,000 | 4.875%, 7/31/24 | 825,491 | ||||||
PVH Corp | |||||||||
EUR | 1,275,000 | 3.625%, 7/15/24 | 1,661,730 | ||||||
5,976,639 | |||||||||
Technology: 1.5% | |||||||||
ams AG | |||||||||
EUR | 300,000 | 6.000%, 7/31/25 | 381,831 | ||||||
EUR | 1,800,000 | 6.000%, 7/31/25 | 2,290,984 | ||||||
Arqiva Broadcast Finance PLC | |||||||||
GBP | 1,500,000 | 6.750%, 9/30/23 | 2,133,749 | ||||||
Dell International LLC / EMC Corp | |||||||||
325,000 | 5.450%, 6/15/23 | 352,638 | |||||||
5,159,202 | |||||||||
Telecommunications: 3.7% | |||||||||
Bharti Airtel International | |||||||||
Netherlands BV | |||||||||
1,000,000 | 5.125%, 3/11/23 | 1,060,181 | |||||||
1,800,000 | 5.350%, 5/20/24 | 1,984,115 | |||||||
Iliad SA | |||||||||
EUR | 1,500,000 | 0.750%, 2/11/24 | 1,777,360 | ||||||
LCPR Senior Secured | |||||||||
Financing DAC | |||||||||
600,000 | 6.750%, 10/15/27 | 648,138 | |||||||
PLT VII Finance SARL | |||||||||
EUR | 375,000 | 4.625%, 1/5/26 | 460,474 | ||||||
EUR | 375,000 | 4.625% (3 Month | |||||||
EURIBOR + 4.625%), 1/5/26 1 | 449,759 | ||||||||
PPF Telecom Group BV | |||||||||
EUR | 1,600,000 | 3.500%, 5/20/24 | 2,025,256 | ||||||
Sprint Spectrum Co LLC / | |||||||||
Sprint Spectrum Co II LLC / | |||||||||
Sprint Spectrum Co III LLC | |||||||||
539,063 | 4.738%, 3/20/25 | 579,762 | |||||||
TalkTalk Telecom Group PLC | |||||||||
GBP | 1,650,000 | 3.875%, 2/20/25 | 2,254,311 |
The accompanying notes are an integral part of these financial statements.
24
Low Duration Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | |||||||||
Amount† | Value | ||||||||
CORPORATE BONDS: 82.0% (Continued) | |||||||||
Telecommunications: 3.7% (Continued) | |||||||||
Telecom Italia SPA/Milano | |||||||||
EUR | 1,000,000 | 4.000%, 4/11/24 | $ | 1,281,334 | |||||
12,520,690 | |||||||||
Transportation Excluding Air/Rail: 1.1% | |||||||||
Gatwick Funding Ltd | |||||||||
GBP | 400,000 | 6.125%, 3/2/26 | 664,258 | ||||||
GXO Logistics Inc | |||||||||
975,000 | 1.650%, 7/15/26 | 971,305 | |||||||
Pelabuhan Indonesia II PT | |||||||||
200,000 | 4.250%, 5/5/25 | 218,300 | |||||||
Rail Transit International | |||||||||
Development Co Ltd | |||||||||
EUR | 1,500,000 | 1.625%, 6/22/22 | 1,786,987 | ||||||
3,640,850 | |||||||||
Utilities: 2.3% | |||||||||
Beijing Gas Singapore Capital Corp | |||||||||
1,500,000 | 2.750%, 5/31/22 | 1,522,448 | |||||||
ContourGlobal Power Holdings SA | |||||||||
EUR | 1,000,000 | 2.750%, 1/1/26 | 1,206,623 | ||||||
Drax Finco PLC | |||||||||
EUR | 300,000 | 2.625%, 11/1/25 | 369,935 | ||||||
EEW Energy from Waste GmbH | |||||||||
EUR | 400,000 | 0.361%, 6/30/26 | 475,611 | ||||||
Hero Asia Investment Ltd | |||||||||
200,000 | 1.500%, 11/18/23 | 200,336 | |||||||
Tabreed Sukuk Spc Ltd | |||||||||
350,000 | 5.500%, 10/31/25 | 404,426 | |||||||
Thames Water Utilities Finance PLC | |||||||||
GBP | 400,000 | 2.375%, 5/3/23 | 561,703 | ||||||
Vena Energy Capital Pte Ltd | |||||||||
3,000,000 | 3.133%, 2/26/25 | 3,077,936 | |||||||
7,819,018 | |||||||||
TOTAL CORPORATE BONDS | |||||||||
(Cost $272,852,666) | 280,088,059 | ||||||||
COLLATERALIZED LOAN OBLIGATIONS: 2.3% | |||||||||
Collateralized Debt Obligations: 2.3% | |||||||||
Aurium Clo VIII DAC | |||||||||
EUR | 780,000 | 0.850% (3 Month | |||||||
EURIBOR + 0.850%), 6/23/34 1 | 919,947 | ||||||||
Carlyle Global Market | |||||||||
Strategies Euro CLO 2015-1 Ltd | |||||||||
EUR | 500,000 | 0.960% (3 Month | |||||||
EURIBOR + 0.960%), 1/16/33 1 | 593,962 | ||||||||
CVC Cordatus Loan Fund VIII DAC | |||||||||
EUR | 1,000,000 | 0.850% (3 Month | |||||||
EURIBOR + 0.850%), 7/15/34 1 | 1,180,787 | ||||||||
Euro-Galaxy VII CLO DAC | |||||||||
EUR | 750,000 | 0.830% (3 Month | |||||||
EURIBOR + 0.830%), 7/25/35 1 | 888,031 | ||||||||
Hayfin Emerald CLO I DAC | |||||||||
EUR | 1,000,000 | 0.820% (3 Month | |||||||
EURIBOR + 0.820%), 4/17/34 1 | 1,183,490 | ||||||||
Madison Park Euro | |||||||||
Funding VIII DAC | |||||||||
EUR | 1,000,000 | 0.950% (3 Month | |||||||
EURIBOR + 0.950%), 4/15/32 1 | 1,187,777 | ||||||||
Penta CLO 7 DAC | |||||||||
EUR | 500,000 | 0.950% (3 Month | |||||||
EURIBOR + 0.950%), 1/25/33 1 | 593,066 | ||||||||
RRE 2 Loan Management DAC | |||||||||
EUR | 500,000 | 0.860% (3 Month | |||||||
EURIBOR + 0.860%), 7/15/35 1 | 592,906 | ||||||||
RRE 6 Loan Management DAC | |||||||||
EUR | 500,000 | 0.870% (3 Month | |||||||
EURIBOR + 0.870%), 4/15/35 1 | 592,948 | ||||||||
7,732,914 | |||||||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS | |||||||||
(Cost $7,700,451) | 7,732,914 | ||||||||
CONVERTIBLE BONDS: 2.2% | |||||||||
Banking: 1.6% | |||||||||
Abanca Corp Bancaria SA | |||||||||
EUR | 500,000 | 6.125% (5 Year Swap Rate | |||||||
EUR + 5.927%), 1/18/29 1,4 | 650,833 | ||||||||
ABN AMRO Bank NV | |||||||||
500,000 | 4.750%, 7/28/25 | 561,284 | |||||||
Barclays PLC | |||||||||
EUR | 2,800,000 | 2.000% (5 Year Swap Rate | |||||||
EUR + 1.900%), 2/7/28 1,4 | 3,405,404 | ||||||||
Natwest Group PLC | |||||||||
GBP | 410,000 | 2.105% (5 Year UK GILT | |||||||
Rate + 1.750%), 11/28/31 1,4 | 570,360 | ||||||||
Virgin Money UK PLC | |||||||||
GBP | 290,000 | 2.625% (5 Year UK GILT | |||||||
Rate + 2.250%), 8/19/31 1,4 | 407,169 | ||||||||
5,595,050 | |||||||||
Diversified Financial Services: 0.2% | |||||||||
Arrow Global Finance PLC | |||||||||
GBP | 400,000 | 5.125%, 9/15/24 | 558,549 | ||||||
Telecommunications: 0.4% | |||||||||
Telecom Italia SPA/Milano | |||||||||
EUR | 1,000,000 | 1.125%, 3/26/22 | 1,189,892 | ||||||
TOTAL CONVERTIBLE BONDS | |||||||||
(Cost $7,117,460) | 7,343,491 |
The accompanying notes are an integral part of these financial statements.
25
Low Duration Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Shares | Value | ||||||||
AFFILIATED MUTUAL FUNDS: 1.0% | |||||||||
351,978 | Muzinich High Income | ||||||||
Floating Rate Fund – | |||||||||
Institutional Class | $ | 3,551,458 | |||||||
TOTAL AFFILIATED MUTUAL FUNDS | |||||||||
(Cost $3,519,780) | 3,551,458 | ||||||||
Principal | |||||||||
Amount† | |||||||||
BANK LOANS: 8.4% | |||||||||
Airlines: 0.3% | |||||||||
British Airways T/L | |||||||||
GBP | 700,000 | 4.650%, 2/21/25 1,2,5,6,7 | 997,357 | ||||||
Cable/Satellite TV: 0.3% | |||||||||
Virgin Media SFA Finance Ltd | |||||||||
EUR | 1,000,000 | 3.500% (6 Months | |||||||
EURIBOR + 3.500%), 7/15/29 1,2 | 1,181,763 | ||||||||
Chemicals: 0.8% | |||||||||
ColourOZ Investment 1 GmbH | |||||||||
EUR | 1,430,425 | 5.000% (2 Months | |||||||
EURIBOR + 4.250%), 9/21/23 1,2 | 1,690,297 | ||||||||
LSF11 Skyscraper Holdco SARL | |||||||||
EUR | 1,000,000 | 3.500% (3 Months | |||||||
EURIBOR + 3.500%), 9/29/27 1,2 | 1,180,560 | ||||||||
2,870,857 | |||||||||
Diversified Financial Services: 0.4% | |||||||||
Citadel Securities LP | |||||||||
1,500,000 | 2.604% (1 Month | ||||||||
LIBOR + 2.500%), 2/2/28 1,2 | 1,486,410 | ||||||||
Gaming: 0.4% | |||||||||
Gamesys Group PLC | |||||||||
GBP | 1,050,000 | 4.306% (1 Month | |||||||
LIBOR + 4.250%), 12/5/24 1,2 | 1,451,330 | ||||||||
Healthcare: 1.3% | |||||||||
Hera SAS/Paris France | |||||||||
EUR | 1,500,000 | 3.500% (3 Months | |||||||
EURIBOR + 3.500%), 9/20/24 1,2 | 1,736,877 | ||||||||
Indigo Merger Sub Inc | |||||||||
350,000 | 3.000%, 7/1/28 1,2,5,6 | 350,957 | |||||||
Ramsay Generale de Sante | |||||||||
EUR | 1,000,000 | 2.750%, 4/22/27 1,2,5,6 | 1,187,413 | ||||||
Rodenstock Holding GmbH | |||||||||
EUR | 1,000,000 | 5.250%, 6/15/26 1,2,5,6 | 1,166,479 | ||||||
4,441,726 | |||||||||
Services: 2.6% | |||||||||
Assystem Technologies | |||||||||
Services SASU | |||||||||
EUR | 3,000,000 | 4.250% (6 Months | |||||||
EURIBOR + 4.250%), 9/27/24 1,2 | 3,443,410 | ||||||||
Fugue Finance BV | |||||||||
EUR | 2,000,000 | 3.250% (3 Months | |||||||
EURIBOR + 3.250%), 8/30/24 1,2 | 2,355,464 | ||||||||
Global University Systems B | |||||||||
(Markermeer) (1/20) | |||||||||
EUR | 1,000,000 | 3.500% (6 Months | |||||||
EURIBOR + 3.500%), 1/29/27 1,3,6 | 1,171,459 | ||||||||
SUMMER (BC) BIDCO B LLC | |||||||||
200,000 | 5.250%, 12/4/26 1,3,6 | 200,292 | |||||||
Summer BC Holdco B SARL | |||||||||
EUR | 1,500,000 | 4.750% (3 Months | |||||||
EURIBOR + 4.750%), 12/4/26 1,2 | 1,783,539 | ||||||||
8,954,164 | |||||||||
Super Retail: 0.8% | |||||||||
L1R HB Finance Ltd | |||||||||
GBP | 2,015,319 | 5.337% (3 Months | |||||||
LIBOR + 5.250%), 8/30/24 1,2 | 2,700,166 | ||||||||
Technology: 0.4% | |||||||||
GFK SE | |||||||||
EUR | 1,000,000 | 3.750%, 5/10/28 1,2,5,6 | 1,187,864 | ||||||
Telecommunications: 0.4% | |||||||||
Eunetworks Holdings 2 Ltd | |||||||||
EUR | 1,000,000 | 3.500% (1 Month | |||||||
EURIBOR + 3.500%), 1/9/25 1,2 | 1,185,012 | ||||||||
Transportation Excluding Air/Rail: 0.7% | |||||||||
Hurtigruten Group AS | |||||||||
EUR | 2,000,000 | 4.000% (6 Months | |||||||
EURIBOR + 4.000%), 2/24/25 1,2 | 2,218,391 | ||||||||
TOTAL BANK LOANS | |||||||||
(Cost $27,957,394) | 28,675,040 | ||||||||
TOTAL INVESTMENTS IN SECURITIES: 95.9% | |||||||||
(Cost $319,147,751) | 327,390,962 | ||||||||
Other Assets in Excess of Liabilities: 4.1% | 14,066,175 | ||||||||
TOTAL NET ASSETS: 100.0% | $ | 341,457,137 |
† | In USD unless otherwise indicated. |
CMT – United States Constant Maturity Treasury Note
EUAMDB05 – EURIBOR ICE Swap 5 Year Rate
EUR – Euro
EURIBOR – Euro Interbank Offered Rate
GBP – Great Britain Pound
LIBOR – London Interbank Offered Rate
PIK – Payment-in-Kind – represents the security may pay interest in additional par.
UK GILT – United Kingdom Government Issued Long Term Stock
USD – United States Dollar
The accompanying notes are an integral part of these financial statements.
26
Low Duration Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
1 | Variable rate security; rate shown is the rate in effect on June 30, 2021. An index may have a negative rate. Interest rate may also be subject to a cap or floor. |
2 | Bank loans generally pay interest at rates which are periodically determined by reference to a base lending rate plus a premium. All loans carry a variable rate of interest. These base lending rates are generally (i) the Prime Rate offered by one or more major United States banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate (“LIBOR”) or (iii) the Certificate of Deposit rate. Bank Loans, while exempt from registration, under the Securities Act of 1933, contain certain restrictions on resale and cannot be sold publicly. Floating rate bank loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. |
3 | Perpetual call date security. Date shown is next call date. |
4 | Fixed-to-variable or fixed-to-float bond; rate shown is the rate in effect on June 30, 2021. An index may have a negative rate. Interest rate may also be subject to a cap or floor. |
5 | All or a portion of the loan may be unfunded. |
6 | Denotes investments purchased on a when-issued or delayed delivery basis. |
7 | Security is fair valued under the Board of Trustees and is categorized as a Level 3 security. Significant unobservable inputs were used to determine fair value. |
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at June 30, 2021 (Unaudited) |
The Low Duration Fund had the following forward foreign currency exchange contracts outstanding with the Bank of New York.
U.S. Dollar Value | U.S. Dollar Value | Unrealized Appreciation | |||||||||||||||||||||
Settlement Date | Currency to be Delivered | at June 30, 2021 | Currency to be Received | at June 30, 2021 | (Depreciation) | ||||||||||||||||||
7/20/21 | EUR | 62,200,000 | $ | 73,785,132 | $ | 74,582,995 | $ | 74,582,995 | $ | 797,863 | |||||||||||||
9/20/21 | EUR | 71,800,000 | 85,284,875 | $ | 86,983,772 | 86,983,772 | 1,698,897 | ||||||||||||||||
7/20/21 | GBP | 31,600,000 | 43,714,834 | $ | 43,589,353 | 43,589,353 | (125,481 | ) | |||||||||||||||
7/20/21 | $ | 6,655,660 | 6,655,660 | EUR | 5,500,000 | 6,524,409 | (131,251 | ) | |||||||||||||||
$ | 209,440,501 | $ | 211,680,529 | $ | 2,240,028 |
The accompanying notes are an integral part of these financial statements.
27
Floating Rate Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) |
Principal | ||||||||
Amount† | Value | |||||||
CORPORATE BONDS: 5.0% | ||||||||
Automotive & Auto Parts: 0.7% | ||||||||
Ford Motor Co | ||||||||
100,000 | 9.000%, 4/22/25 | $ | 123,414 | |||||
Tenneco Inc | ||||||||
100,000 | 7.875%, 1/15/29 | 113,217 | ||||||
236,631 | ||||||||
Building Materials: 0.4% | ||||||||
SRM Escrow Issuer LLC | ||||||||
100,000 | 6.000%, 11/1/28 | 106,123 | ||||||
Chemicals: 0.3% | ||||||||
Rayonier AM Products Inc | ||||||||
100,000 | 7.625%, 1/15/26 | 104,601 | ||||||
Diversified Financial Services: 0.7% | ||||||||
Alliance Data Systems Corp | ||||||||
100,000 | 7.000%, 1/15/26 | 107,325 | ||||||
Icahn Enterprises LP / | ||||||||
Icahn Enterprises Finance Corp | ||||||||
100,000 | 6.750%, 2/1/24 | 102,452 | ||||||
209,777 | ||||||||
Energy: 0.3% | ||||||||
Blue Racer Midstream LLC / | ||||||||
Blue Racer Finance Corp | ||||||||
100,000 | 6.625%, 7/15/26 | 104,871 | ||||||
Healthcare: 1.3% | ||||||||
Bausch Health Cos Inc | ||||||||
100,000 | 6.250%, 2/15/29 | 99,030 | ||||||
Legacy LifePoint Health LLC | ||||||||
100,000 | 6.750%, 4/15/25 | 106,632 | ||||||
Ortho-Clinical Diagnostics Inc / | ||||||||
Ortho-Clinical Diagnostics SA | ||||||||
100,000 | 7.375%, 6/1/25 | 107,781 | ||||||
Tenet Healthcare Corp | ||||||||
100,000 | 7.500%, 4/1/25 | 108,001 | ||||||
421,444 | ||||||||
Homebuilders/Real Estate: 0.3% | ||||||||
Service Properties Trust | ||||||||
100,000 | 4.350%, 10/1/24 | 100,831 | ||||||
Leisure: 0.4% | ||||||||
Carnival Corp | ||||||||
100,000 | 10.500%, 2/1/26 | 116,554 | ||||||
Metals/Mining: 0.3% | ||||||||
SunCoke Energy Partners LP / | ||||||||
SunCoke Energy Partners | ||||||||
Finance Corp | ||||||||
100,000 | 7.500%, 6/15/25 | 103,905 | ||||||
Telecommunications: 0.3% | ||||||||
GCI LLC | ||||||||
100,000 | 4.750%, 10/15/28 | 102,550 | ||||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $1,592,505) | 1,607,287 | |||||||
BANK LOANS: 85.6% | ||||||||
Airlines: 1.4% | ||||||||
American Airlines Inc | ||||||||
175,000 | 5.500% (3 Months | |||||||
LIBOR + 4.750%), 4/20/28 1,2 | 182,667 | |||||||
United Airlines Inc | ||||||||
249,375 | 4.500% (3 Months | |||||||
LIBOR + 3.750%), 4/21/28 1,2 | 252,995 | |||||||
435,662 | ||||||||
Automotive & Auto Parts: 3.9% | ||||||||
Autokiniton US Holdings Inc | ||||||||
150,000 | 5.000% (1 Month | |||||||
LIBOR + 4.500%), 4/6/28 1,2 | 151,360 | |||||||
Clarios Global B1 | ||||||||
137,328 | 3.354% (1 Month | |||||||
LIBOR + 3.250%), 4/30/26 1,2 | 136,341 | |||||||
First Brands Group LLC | ||||||||
166,988 | 6.000% (3 Months | |||||||
LIBOR + 5.000%), 3/30/27 1,2 | 169,215 | |||||||
225,000 | 9.500% (3 Months | |||||||
LIBOR + 8.500%), 3/24/28 1,2 | 227,812 | |||||||
IXS Holdings Inc | ||||||||
247,561 | 5.000% (3 Months | |||||||
LIBOR + 4.250%), 3/5/27 1,2 | 248,722 | |||||||
Truck Hero Inc | ||||||||
49,875 | 4.500% (1 Month | |||||||
LIBOR + 3.750%), 1/31/28 1,2 | 49,947 | |||||||
Wheel Pros (4/21) | ||||||||
275,000 | 5.250% (1 Month | |||||||
LIBOR + 4.500%), 5/11/28 1,2 | 276,106 | |||||||
1,259,503 | ||||||||
Broadcasting: 2.9% | ||||||||
EW Scripps Co | ||||||||
466,250 | 3.750% (1 Month | |||||||
LIBOR + 3.000%), 1/7/28 1,2 | 466,639 | |||||||
Gray Television Inc | ||||||||
63,723 | 2.592% (1 Month | |||||||
LIBOR + 2.500%), 1/2/26 1,2 | 63,501 | |||||||
iHeartCommunications Inc | ||||||||
74,250 | 4.750% (1 Month | |||||||
LIBOR + 4.000%), 5/1/26 1,2 | 74,398 | |||||||
Univision Communications Inc | ||||||||
325,000 | 4.000%, 5/7/28 1,2,3,4 | 324,324 | ||||||
928,862 |
The accompanying notes are an integral part of these financial statements.
28
Floating Rate Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | |||||||||
Amount† | Value | ||||||||
BANK LOANS: 85.6% (Continued) | |||||||||
Building Materials: 0.9% | |||||||||
CULLIGAN (OSMOSIS) T/L (6/21) | |||||||||
125,000 | 4.500%, 6/16/28 1,2,3,4 | $ | 125,469 | ||||||
13,889 | 4.500%, 6/16/28 1,2,3,4 | 13,941 | |||||||
USIC Holdings Inc | |||||||||
152,203 | 4.250% (1 Month | ||||||||
LIBOR + 3.500%), 5/12/28 1,2 | 152,108 | ||||||||
291,518 | |||||||||
Cable/Satellite TV: 4.6% | |||||||||
Charter Communications | |||||||||
Operating LLC | |||||||||
497,468 | 1.860% (1 Month | ||||||||
LIBOR + 1.750%), 2/1/27 1,2 | 494,255 | ||||||||
CSC Holdings LLC | |||||||||
498,701 | 2.323% (1 Month | ||||||||
LIBOR + 2.250%), 7/17/25 1,2 | 493,029 | ||||||||
Virgin Media Bristol LLC | |||||||||
500,000 | 3.353% (1 Month | ||||||||
LIBOR + 3.250%), 1/31/29 1,2 | 500,242 | ||||||||
1,487,526 | |||||||||
Capital Goods: 6.1% | |||||||||
Arvos BidCo Sarl | |||||||||
99,080 | 6.500% (3 Months | ||||||||
LIBOR + 5.500%), 8/29/23 1,2 | 83,186 | ||||||||
Raymond Bartlett Snow Holding LLC | |||||||||
99,080 | 6.500% (3 Months | ||||||||
LIBOR + 5.500%), 8/29/23 1,2 | 83,185 | ||||||||
Safety Products/JHC Acquisition Corp | |||||||||
343,847 | 4.593% (3 Months | ||||||||
LIBOR + 5.500%), 6/28/26 1,2 | 333,532 | ||||||||
42,482 | 4.593% (1 Month | ||||||||
LIBOR + 4.500%), 6/28/26 1,2 | 41,208 | ||||||||
SLV GmbH | |||||||||
EUR | 459,854 | 4.250% (1 Month | |||||||
EURIBOR + 4.250%), 1/3/24 1,2 | 543,000 | ||||||||
US Farathane LLC | |||||||||
271,563 | 5.250% (1 Month | ||||||||
LIBOR + 4.250%), 12/23/24 1,2 | 270,205 | ||||||||
Wittur | |||||||||
EUR | 500,000 | 4.500%, 10/2/26 1,2,3,4, | 592,052 | ||||||
1,946,368 | |||||||||
Chemicals: 2.8% | |||||||||
PQ Corp | |||||||||
150,000 | 3.250% (6 Months | ||||||||
LIBOR + 4.750%), 6/9/28 1,2,3,4 | 150,063 | ||||||||
Rohm Holding GMBH | |||||||||
198,494 | 4.978% (3 Months | ||||||||
LIBOR + 4.000%), 7/31/26 1,2 | 199,114 | ||||||||
SCIH Salt Holdings Inc | |||||||||
249,375 | 4.750% (3 Months | ||||||||
LIBOR + 4.000%), 3/16/27 1,2 | 250,181 | ||||||||
Tronox Finance (2/21) | |||||||||
309,750 | 2.604% (1 Month | ||||||||
LIBOR + 2.500%), 3/10/28 1,2 | 308,173 | ||||||||
907,531 | |||||||||
Consumer-Products: 0.6% | |||||||||
Sunshine Luxembourg VII SARL | |||||||||
199,500 | 4.500% (3 Months | ||||||||
LIBOR + 3.750%), 10/1/26 1,2 | 200,485 | ||||||||
Containers: 0.4% | |||||||||
Liqui-Box Holdings Inc | |||||||||
123,750 | 5.500% (3 Months | ||||||||
LIBOR + 4.500%), 2/26/27 1,2 | 118,986 | ||||||||
Diversified Financial Services: 7.2% | |||||||||
Citadel Securities LP | |||||||||
498,750 | 2.604% (1 Month | ||||||||
LIBOR + 2.500%), 2/2/28 1,2 | 494,232 | ||||||||
Cowen Inc | |||||||||
273,625 | 4.000% (3 Months | ||||||||
LIBOR + 3.250%), 3/24/28 1,2 | 273,625 | ||||||||
DRW Holdings LLC | |||||||||
519,122 | 3.854% (1 Month | ||||||||
LIBOR + 3.750%), 2/24/28 1,2 | 518,797 | ||||||||
GBT III BV | |||||||||
446,579 | 2.591% (1 Month | ||||||||
LIBOR + 2.500%), 8/13/25 1,2 | 429,274 | ||||||||
IG Investments Holdings LLC | |||||||||
299,252 | 4.750% (3 Months | ||||||||
LIBOR + 3.750%), 5/23/25 1,2 | 300,290 | ||||||||
Jane Street Group LLC | |||||||||
149,250 | 2.854% (1 Month | ||||||||
LIBOR + 2.750%), 1/26/28 1,2 | 148,743 | ||||||||
Mermaid Bidco Inc | |||||||||
149,625 | 5.000% (1 Month | ||||||||
LIBOR + 4.250%), 12/22/27 1,2 | 150,373 | ||||||||
2,315,334 | |||||||||
Diversified Media: 3.5% | |||||||||
Adevinta ASA | |||||||||
500,000 | 3.750%, 11/4/27 1,2,3,4 | 501,018 | |||||||
Advantage Sales & Marketing Inc | |||||||||
223,875 | 6.000% (2 Months | ||||||||
LIBOR + 5.250%), 10/28/27 1,2 | 226,574 | ||||||||
Allen Media LLC | |||||||||
74,051 | 5.703% (3 Months | ||||||||
LIBOR + 5.500%), 2/10/27 1,2 | 74,224 | ||||||||
Clear Channel Outdoor Holdings Inc | |||||||||
347,348 | 3.686% (3 Months | ||||||||
LIBOR + 3.500%), 8/21/26 1,2 | 339,533 | ||||||||
1,141,349 |
The accompanying notes are an integral part of these financial statements.
29
Floating Rate Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | |||||||||
Amount† | Value | ||||||||
BANK LOANS: 85.6% (Continued) | |||||||||
Energy: 1.4% | |||||||||
BW Gas & Convenience | |||||||||
Holdings LLC | |||||||||
350,000 | 4.000% (1 Month | ||||||||
LIBOR + 3.500%), 3/31/28 1,2 | $ | 350,437 | |||||||
DT Midstream Inc | |||||||||
100,000 | 2.500%, 6/10/28 1,2,3,4 | 100,295 | |||||||
450,732 | |||||||||
Environmental: 0.7% | |||||||||
Gopher Resource LLC | |||||||||
248,037 | 4.250% (1 Month | ||||||||
LIBOR + 3.250%), 3/6/25 1,2 | 222,201 | ||||||||
Food/Beverage/Tobacco: 3.6% | |||||||||
H-Food Holdings LLC | |||||||||
121,236 | 3.792% (1 Month | ||||||||
LIBOR + 3.688%), 5/23/25 1,2 | 120,658 | ||||||||
Triton Water Holdings Inc | |||||||||
100,000 | 4.000% (3 Months | ||||||||
LIBOR + 3.500%), 3/31/28 1,2 | 100,014 | ||||||||
Upfield BV | |||||||||
EUR | 500,000 | 3.500% (1 Month | |||||||
EURIBOR + 3.500%), 7/2/25 1,2 | 578,577 | ||||||||
Whole Earth Brands Inc | |||||||||
199,500 | 5.500% (3 Months | ||||||||
LIBOR + 4.500%), 2/2/28 1,2 | 199,126 | ||||||||
Winterbotham Darby & Co Ltd | |||||||||
GBP | 125,000 | 6.113% (3 Months | |||||||
LIBOR + 6.000%), 2/7/28 1,2 | 169,238 | ||||||||
1,167,613 | |||||||||
Gaming: 3.4% | |||||||||
Caesars Resort Collection LLC | |||||||||
497,423 | 2.854% (1 Month | ||||||||
LIBOR + 2.750%), 12/23/24 1,2 | 493,759 | ||||||||
198,500 | 4.604% (1 Month | ||||||||
LIBOR + 4.500%), 7/21/25 1,2 | 199,368 | ||||||||
PCI Gaming Authority | |||||||||
389,490 | 2.604% (1 Month | ||||||||
LIBOR + 2.500%), 5/29/26 1,2 | 388,382 | ||||||||
1,081,509 | |||||||||
Healthcare: 13.3% | |||||||||
Air Methods Corp | |||||||||
146,565 | 4.500% (3 Months | ||||||||
LIBOR + 3.500%), 4/22/24 1,2 | 144,758 | ||||||||
athenahealth Inc | |||||||||
124,688 | 4.319% (1 Month | ||||||||
LIBOR + 4.250%), 2/11/26 1,2 | 125,194 | ||||||||
Auris Luxembourg III SARL | |||||||||
197,975 | 3.854% (1 Month | ||||||||
LIBOR + 3.750%), 2/27/26 1,2 | 196,163 | ||||||||
Bowtie Germany BidCo GmbH | |||||||||
EUR | 500,000 | 3.750% (3 Months | |||||||
EURIBOR + 3.750%), 3/31/28 1,2 | 592,966 | ||||||||
BW NHHC Holdco Inc | |||||||||
148,849 | 5.155% (3 Months | ||||||||
LIBOR + 5.000%), 5/15/25 1,2 | 137,379 | ||||||||
Carestream Health Inc | |||||||||
333,448 | 7.750% (3 Months | ||||||||
LIBOR + 6.750%), 5/8/23 1,2 | 334,698 | ||||||||
Gainwell Acquisition Corp | |||||||||
498,747 | 4.750% (3 Months | ||||||||
LIBOR + 4.000%), 10/1/27 1,2 | 501,241 | ||||||||
Heartland Dental LLC | |||||||||
124,042 | 3.604% (1 Month | ||||||||
LIBOR + 3.500%), 4/30/25 1,2 | 122,836 | ||||||||
Indigo Merger Sub Inc | |||||||||
125,000 | 3.000%, 7/1/28 1,2,3,4 | 125,342 | |||||||
Mallinckrodt International Finance SA | |||||||||
433,873 | 6.000% (1 Month | ||||||||
LIBOR + 5.250%), 9/24/24 1,2 | 422,213 | ||||||||
NMN Holdings III Corp | |||||||||
122,062 | 3.593% (1 Month | ||||||||
LIBOR + 3.500%), 11/13/25 1,2 | 121,808 | ||||||||
26,188 | 3.604% (1 Month | ||||||||
LIBOR + 3.500%), 11/13/25 1,2 | 26,134 | ||||||||
One Call Corp | |||||||||
350,000 | 6.250% (3 Months | ||||||||
LIBOR + 5.500%), 4/22/27 1,2 | 354,374 | ||||||||
Organon & Co | |||||||||
325,000 | 3.500% (3 Months | ||||||||
LIBOR + 3.000%), 6/2/28 1,2 | 325,746 | ||||||||
PetVet Care Centers (01/21) | |||||||||
49,622 | 4.250% (1 Month | ||||||||
LIBOR + 3.500%), 2/14/25 1,2 | 49,832 | ||||||||
Pluto Acquisition I Inc | |||||||||
100,000 | 4.104%, 6/20/26 1,2,3,4 | 100,219 | |||||||
Sedgwick Claims Management | |||||||||
Services Inc | |||||||||
24,625 | 5.250% (1 Month | ||||||||
LIBOR + 4.250%), 9/3/26 1,2 | 24,722 | ||||||||
TIVITY HEALTH T/L B (06/21) | |||||||||
125,000 | 4.250% (1 Month | ||||||||
LIBOR + 4.250%), 6/23/28 1,2,3,4 | 125,469 | ||||||||
US Radiology Specialists Inc | |||||||||
74,625 | 6.250% (1 Month | ||||||||
LIBOR + 5.500%), 12/15/27 1,2 | 75,185 | ||||||||
US Renal Care Inc | |||||||||
347,348 | 5.125% (1 Month | ||||||||
LIBOR + 5.000%), 7/26/26 1,2 | 349,158 | ||||||||
4,255,437 | |||||||||
Homebuilders/Real Estate: 0.2% | |||||||||
Pike Corp | |||||||||
67,123 | 3.110% (1 Month | ||||||||
LIBOR + 3.000%), 1/21/28 1,2 | 67,086 |
The accompanying notes are an integral part of these financial statements.
30
Floating Rate Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | |||||||||
Amount† | Value | ||||||||
BANK LOANS: 85.6% (Continued) | |||||||||
Leisure: 0.2% | |||||||||
United PF Holdings LLC | |||||||||
68,420 | 4.203% (3 Months | ||||||||
LIBOR + 4.000%), 12/30/26 1,2 | $ | 66,846 | |||||||
Paper: 0.6% | |||||||||
Ahlstrom-Munksjo Oyj | |||||||||
200,000 | 4.750% (3 Months | ||||||||
LIBOR + 4.000%), 2/4/28 1,3 | 201,063 | ||||||||
Publishing/Printing: 0.8% | |||||||||
Cimpress USA Inc | |||||||||
250,000 | 4.000% (1 Month | ||||||||
LIBOR + 3.500%), 5/17/28 1,2 | 249,531 | ||||||||
Services: 7.2% | |||||||||
APi Group DE Inc | |||||||||
95,000 | 2.604% (1 Month | ||||||||
LIBOR + 2.500%), 10/1/26 1,2 | 95,000 | ||||||||
Assystem Technologies | |||||||||
Services SASU | |||||||||
EUR | 500,000 | 4.250% (6 Months | |||||||
EURIBOR + 4.250%), 9/27/24 1,2 | 573,902 | ||||||||
Brand Industrial Services Inc | |||||||||
1,295 | 5.250% (3 Months | ||||||||
LIBOR + 4.250%), 6/21/24 1,2 | 1,276 | ||||||||
Franchise Group Inc | |||||||||
149,625 | 5.500% (3 Months | ||||||||
LIBOR + 4.750%), 3/10/26 1,2 | 150,654 | ||||||||
Gems Menasa Cayman Ltd | |||||||||
147,026 | 6.000% (6 Months | ||||||||
LIBOR + 5.000%), 7/30/26 1,2 | 147,853 | ||||||||
Gloves Buyer Inc | |||||||||
64,000 | 4.750% (1 Month | ||||||||
LIBOR + 4.000%), 12/29/27 1,2 | 64,140 | ||||||||
KAR Auction Services Inc | |||||||||
497,468 | 2.375% (1 Month | ||||||||
LIBOR + 2.250%), 9/21/26 1,2 | 492,183 | ||||||||
LBM Acquisition LLC | |||||||||
99,750 | 4.500% (3 Months | ||||||||
LIBOR + 3.750%), 12/17/27 1,2 | 99,178 | ||||||||
22,222 | 4.500% (1 Month | ||||||||
LIBOR + 3.750%), 12/17/27 1,2 | 22,095 | ||||||||
OSMOSE UTILITIES T/L (6/21) | |||||||||
150,000 | 3.750%, 6/16/28 1,2,3,4 | 149,625 | |||||||
Revint Intermediate II LLC | |||||||||
199,500 | 5.750% (1 Month | ||||||||
LIBOR + 5.000%), 10/15/27 1,2 | 201,433 | ||||||||
SRS Distribution Inc | |||||||||
150,000 | 4.250% (1 Month | ||||||||
LIBOR + 3.750%), 6/4/28 1,2 | 150,094 | ||||||||
Summer BC Holdco B SARL | |||||||||
148,867 | 4.884% (3 Months | ||||||||
LIBOR + 4.750%), 12/4/26 1,2 | 147,812 | ||||||||
2,295,245 | |||||||||
Steel: 1.4% | |||||||||
TMS International Corp/DE | |||||||||
453,458 | 3.750% (1 Month | ||||||||
LIBOR + 2.750%), 8/14/24 1,2 | 452,891 | ||||||||
Super Retail: 3.5% | |||||||||
84 Lumber Co | |||||||||
497,500 | 3.750% (1 Month | ||||||||
LIBOR + 3.000%), 11/13/26 1,2 | 498,495 | ||||||||
Ambience Merger Sub Inc | |||||||||
50,000 | 4.750%, 6/25/28 1,2,3,4 | 50,125 | |||||||
CP Atlas Buyer Inc | |||||||||
74,813 | 4.250% (1 Month | ||||||||
LIBOR + 3.750%), 11/23/27 1,2 | 74,731 | ||||||||
S&S Holdings LLC | |||||||||
498,750 | 5.500% (3 Months | ||||||||
LIBOR + 5.000%), 3/10/28 1,2 | 496,256 | ||||||||
1,119,607 | |||||||||
Technology: 9.4% | |||||||||
Ahead DB Holdings LLC | |||||||||
350,000 | 4.500% (3 Months | ||||||||
LIBOR + 3.750%), 10/18/27 1,2 | 351,120 | ||||||||
Centralsquare Technologies LLC | |||||||||
292,500 | 3.897% (3 Months | ||||||||
LIBOR + 3.750%), 8/29/25 1,2 | 274,219 | ||||||||
Constant Contact Inc | |||||||||
325,000 | 4.750% (1 Month | ||||||||
LIBOR + 4.000%), 2/10/28 1,2 | 324,594 | ||||||||
86,765 | 4.750% (1 Month | ||||||||
LIBOR + 4.000%), 2/10/28 1,2,3,4 | 86,656 | ||||||||
CT Technologies Intermediate | |||||||||
Holdings Inc | |||||||||
174,563 | 6.000% (1 Month | ||||||||
LIBOR + 5.000%), 12/10/25 1,2 | 175,186 | ||||||||
Dawn Acquisition LLC | |||||||||
352,910 | 3.897% (3 Months | ||||||||
LIBOR + 3.750%), 12/31/25 1,2 | 300,856 | ||||||||
Dcert Buyer Inc | |||||||||
248,116 | 4.104% (1 Month | ||||||||
LIBOR + 4.000%), 10/16/26 1 | 248,736 | ||||||||
GI Consilio Parent LLC | |||||||||
325,000 | 4.500% (1 Month | ||||||||
LIBOR + 4.000%), 5/12/28 1,2 | 325,153 | ||||||||
LogMeIn Inc | |||||||||
�� | 149,250 | 4.827% (1 Month | |||||||
LIBOR + 4.750%), 8/31/27 1,2 | 149,192 | ||||||||
Proofpoint Inc | |||||||||
150,000 | 3.750%, 6/10/28 1,2,3,4 | 149,344 | |||||||
Synamedia Americas Holdings Inc | |||||||||
350,733 | 6.147% (3 Months | ||||||||
LIBOR + 6.000%), 10/31/24 1,2 | 343,427 | ||||||||
Veritas US Inc | |||||||||
148,877 | 6.000% (3 Months | ||||||||
LIBOR + 6.000%), 9/1/25 1,2 | 150,030 |
The accompanying notes are an integral part of these financial statements.
31
Floating Rate Fund
SCHEDULE OF INVESTMENTS at June 30, 2021 (Unaudited) (Continued) |
Principal | ||||||||
Amount† | Value | |||||||
BANK LOANS: 85.6% (Continued) | ||||||||
Technology: 9.4% (Continued) | ||||||||
Xperi Holding Corp | ||||||||
150,000 | 3.581% (1 Month | |||||||
LIBOR + 3.500%), 6/8/25 1,2 | $ | 149,869 | ||||||
3,028,382 | ||||||||
Telecommunications: 3.5% | ||||||||
Crown Subsea Communications | ||||||||
Holding Inc | ||||||||
407,534 | 5.750% (1 Month | |||||||
LIBOR + 5.000%), 4/27/27 1,2 | 411,269 | |||||||
Lumen Technologies B (1/20) | ||||||||
248,737 | 2.354% (1 Month | |||||||
LIBOR + 2.250%), 3/15/27 1,2 | 245,721 | |||||||
Voyage Australia Pty Ltd | ||||||||
325,000 | 4.000%, 5/27/28 1,2,3,4 | 325,813 | ||||||
Xplornet Communications Inc | ||||||||
123,750 | 4.854% (1 Month | |||||||
LIBOR + 4.750%), 6/10/27 1,2 | 123,971 | |||||||
1,106,774 | ||||||||
Transportation Excluding Air/Rail: 1.4% | ||||||||
Yak Access LLC | ||||||||
474,092 | 5.104% (1 Month | |||||||
LIBOR + 5.000%), 7/11/25 1,2 | 439,457 | |||||||
Utilities: 0.7% | ||||||||
Edgewater Generation LLC | ||||||||
239,353 | 3.854% (1 Month | |||||||
LIBOR + 3.750%), 12/12/25 1,2 | 228,825 | |||||||
TOTAL BANK LOANS | ||||||||
(Cost $27,249,078) | 27,466,323 | |||||||
TOTAL INVESTMENTS IN SECURITIES: 90.6% | ||||||||
(Cost $28,841,583) | 29,073,610 | |||||||
Other Assets in Excess of Liabilities: 9.4% | 3,002,780 | |||||||
TOTAL NET ASSETS: 100.0% | $ | 32,076,390 |
† | In USD unless otherwise indicated. |
EUR – Euro
EURIBOR – Euro Interbank Offered Rate
LIBOR – London Interbank Offered Rate
USD – United States Dollar
1 | Bank loans generally pay interest at rates which are periodically determined by reference to a base lending rate plus a premium. All loans carry a variable rate of interest. These base lending rates are generally (i) the Prime Rate offered by one or more major United States banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate (“LIBOR”) or (iii) the Certificate of Deposit rate. Bank Loans, while exempt from registration, under the Securities Act of 1933, contain certain restrictions on resale and cannot be sold publicly. Floating rate bank loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. |
2 | Variable rate security; rate shown is the rate in effect on June 30, 2020. An index may have a negative rate. Interest rate may also be subject to a cap or floor. |
3 | All or a portion of the loan may be unfunded. |
4 | Denotes investments purchased on a when-issued or delayed delivery basis. |
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at June 30, 2021 (Unaudited) |
The Floating Rate Fund had the following forward foreign currency exchange contracts outstanding with the Bank of New York:
U.S. Dollar Value | U.S. Dollar Value | Unrealized Appreciation | ||||||||||||||||||||||||
Settlement Date | Currency to be Delivered | at June 30, 2021 | Currency to be Received | at June 30, 2021 | (Depreciation) | |||||||||||||||||||||
9/17/21 | EUR | 2,500,000 | $ | 2,969,332 | $ | 3,047,305 | $ | 3,047,305 | $ | 77,973 | ||||||||||||||||
9/17/21 | GBP | 200,000 | 276,710 | 282,999 | 282,999 | 6,289 | ||||||||||||||||||||
$ | 3,246,042 | $ | 3,330,304 | $ | 84,262 |
The accompanying notes are an integral part of these financial statements.
32
Muzinich Funds
(This Page Intentionally Left Blank.)
33
Muzinich Funds
STATEMENTS OF ASSETS AND LIABILITIES at June 30, 2021 (Unaudited) |
Credit | Low | |||||||||||||||
Opportunities | U.S. High | Duration | Floating Rate | |||||||||||||
Fund | Yield Fund | Fund | Fund | |||||||||||||
ASSETS | ||||||||||||||||
Investments in unaffiliated securities, at value (Cost $487,967,113, | ||||||||||||||||
$26,383,826, $315,627,971, and $28,841,583) (Note 2) | $ | 500,621,579 | $ | 27,643,319 | $ | 323,839,504 | $ | 29,073,610 | ||||||||
Investments in securities of affiliated issuers, at value (Cost $6,000,000, | ||||||||||||||||
$—, $3,519,780 and $—) | 6,101,504 | — | 3,551,458 | — | ||||||||||||
Deposits at broker | 2,765,556 | — | — | 218,789 | ||||||||||||
Cash | 19,008,629 | 694,726 | 5,469,220 | 3,503,421 | ||||||||||||
Foreign currency, at value | ||||||||||||||||
(Cost $6,148,508, $—, $7,214,086, and $224,229) | 6,120,871 | — | 7,166,107 | 219,611 | ||||||||||||
Receivables: | ||||||||||||||||
Fund shares sold | 3,118,977 | — | 2,851,385 | — | ||||||||||||
Investment securities sold | 9,574,471 | 260,912 | 2,591,281 | 2,991,299 | ||||||||||||
Interest receivable | 4,815,715 | 444,075 | 3,061,164 | 192,812 | ||||||||||||
Distribution receivable from affiliate | — | — | 7,752 | — | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 2,318,238 | — | 2,496,760 | 84,262 | ||||||||||||
Due from advisor, net | — | 7,399 | — | — | ||||||||||||
Prepaid expenses | 29,423 | 36,356 | 33,897 | 25,558 | ||||||||||||
Total assets | 554,474,963 | 29,086,787 | 351,068,528 | 36,309,362 | ||||||||||||
LIABILITIES | ||||||||||||||||
Payables: | ||||||||||||||||
Investment securities purchased | 15,476,391 | 353,481 | 8,661,862 | 4,144,220 | ||||||||||||
Fund shares purchased | 899,772 | — | 439,545 | 221 | ||||||||||||
Distribution to shareholders | 971,855 | 79,796 | 1,054 | 63,341 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 130,344 | — | 256,732 | — | ||||||||||||
Investment advisory fees, net | 186,997 | — | 82,144 | 3,004 | ||||||||||||
Fund accounting fees | 18,589 | 15,700 | 39,905 | 524 | ||||||||||||
Administration fees | 26,920 | 8,182 | 52,767 | 1,047 | ||||||||||||
Transfer agent fees | 12,219 | 2,541 | 24,539 | 1,917 | ||||||||||||
Audit fees | 12,415 | 11,690 | 11,690 | 10,876 | ||||||||||||
Chief Compliance Officer fees | 1,844 | 1,852 | 1,852 | 1,843 | ||||||||||||
Custody fees | 10,791 | 699 | 20,912 | 1,918 | ||||||||||||
Trustee fees | 5,226 | 3,788 | 6,522 | 3,395 | ||||||||||||
Shareholder service fees – Institutional Class | 21,580 | 94 | — | — | ||||||||||||
Other accrued expenses | 1,524 | 220 | 11,867 | 666 | ||||||||||||
Total liabilities | 17,776,467 | 478,043 | 9,611,391 | 4,232,972 | ||||||||||||
NET ASSETS | $ | 536,698,496 | $ | 28,608,744 | $ | 341,457,137 | $ | 32,076,390 |
The accompanying notes are an integral part of these financial statements.
34
Muzinich Funds
STATEMENTS OF ASSETS AND LIABILITIES at June 30, 2021 (Unaudited) (Continued) |
Credit | Low | |||||||||||||||
Opportunities | U.S. High | Duration | Floating Rate | |||||||||||||
Fund | Yield Fund | Fund | Fund | |||||||||||||
COMPONENTS OF NET ASSETS | ||||||||||||||||
Paid-in capital | $ | 509,719,869 | $ | 25,442,227 | $ | 340,415,215 | $ | 31,791,159 | ||||||||
Total distributable (accumulated) earnings (losses) | 26,978,627 | 3,166,517 | 1,041,922 | 285,231 | ||||||||||||
Net assets | $ | 536,698,496 | $ | 28,608,744 | $ | 341,457,137 | $ | 32,076,390 | ||||||||
COMPONENTS OF NET ASSET VALUE (Unlimited Shares Authorized) | ||||||||||||||||
Supra Institutional Class1: | ||||||||||||||||
Net assets | $ | 308,615,097 | $ | 24,387,238 | $ | 340,009,633 | $ | — | ||||||||
Shares of beneficial interest issued and outstanding | 27,494,672 | 2,443,725 | 33,687,161 | — | ||||||||||||
Net asset value, offering and redemption price per share | $ | 11.22 | $ | 9.98 | $ | 10.09 | $ | — | ||||||||
Institutional Class: | ||||||||||||||||
Net assets | $ | 228,083,399 | $ | 4,221,506 | $ | 1,447,504 | $ | 32,076,390 | ||||||||
Shares of beneficial interest issued and outstanding | 20,325,919 | 422,794 | 140,972 | 3,179,011 | ||||||||||||
Net asset value, offering and redemption price per share | $ | 11.22 | $ | 9.98 | $ | 10.27 | $ | 10.09 |
1 This class is not offered for Floating Rate Fund as of June 30, 2021. |
The accompanying notes are an integral part of these financial statements.
35
Muzinich Funds
STATEMENTS OF OPERATIONS For the Six Months Ended June 30, 2021 (Unaudited) |
Credit | Low | |||||||||||||||
Opportunities | U.S. High | Duration | Floating Rate | |||||||||||||
Fund | Yield Fund | Fund | Fund | |||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Interest | $ | 8,884,083 | $ | 1,275,060 | $ | 5,743,772 | $ | 568,531 | ||||||||
Consent income | 175,504 | 844 | — | — | ||||||||||||
Dividends from affiliated investments | 78,316 | — | 51,344 | — | ||||||||||||
Other income | — | — | 372 | — | ||||||||||||
Total investment income | 9,137,903 | 1,275,904 | 5,795,488 | 568,531 | ||||||||||||
EXPENSES | ||||||||||||||||
Investment advisory fees | 1,575,960 | 118,345 | 824,191 | 64,395 | ||||||||||||
Administration fees | 99,568 | 20,883 | 104,883 | 8,768 | ||||||||||||
Fund accounting fees | 87,135 | 41,476 | 83,803 | 18,440 | ||||||||||||
Shareholder service fees – Institutional Class | 68,810 | 32 | — | — | ||||||||||||
Custody fees | 49,997 | 5,556 | 60,529 | 5,020 | ||||||||||||
Transfer agent fees | 47,840 | 6,233 | 47,580 | 1,174 | ||||||||||||
Registration fees | 25,462 | 17,385 | 20,928 | 12,678 | ||||||||||||
Trustees fees | 12,523 | 8,858 | 12,868 | 8,478 | ||||||||||||
Audit fees | 12,415 | 11,690 | 11,690 | 10,876 | ||||||||||||
Miscellaneous expenses | 10,347 | 3,274 | 12,866 | 2,828 | ||||||||||||
Chief Compliance Officer fees | 5,677 | 5,685 | 5,685 | 5,676 | ||||||||||||
Reports to shareholders | 3,943 | 970 | 12,757 | 755 | ||||||||||||
Legal fees | 3,792 | 2,970 | 3,478 | 3,520 | ||||||||||||
Insurance expense | 2,473 | 1,806 | 2,568 | 1,750 | ||||||||||||
Interest expense | — | 107 | 66 | — | ||||||||||||
Total expenses | 2,005,942 | 245,270 | 1,203,892 | 144,358 | ||||||||||||
Less: affiliated advisory fees waived | (19,603 | ) | — | (14,198 | ) | — | ||||||||||
Less: advisory fees waived and expenses absorbed | (361,171 | ) | (120,436 | ) | (288,059 | ) | (60,745 | ) | ||||||||
Net expenses | 1,625,168 | 124,834 | 901,635 | 83,613 | ||||||||||||
Net investment income (loss) | 7,512,735 | 1,151,070 | 4,893,853 | 484,918 | ||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||
Realized gain (loss) on: | ||||||||||||||||
Unaffiliated investments | 10,213,182 | 2,614,170 | 19,933,672 | 127,760 | ||||||||||||
Affiliated investments | — | — | 19,780 | — | ||||||||||||
Forward foreign currency exchange contracts | (526,125 | ) | — | (3,004,165 | ) | (34,325 | ) | |||||||||
Foreign currency and foreign currency transactions | (39,057 | ) | — | (104,033 | ) | 6,146 | ||||||||||
Futures contracts | (285,312 | ) | — | — | — | |||||||||||
Swap contracts | (51,010 | ) | — | — | — | |||||||||||
Net realized gain (loss) | 9,311,678 | 2,614,170 | 16,845,254 | 99,581 | ||||||||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||||||
Unaffiliated investments | (14,909,974 | ) | (2,668,829 | ) | (23,154,198 | ) | 41,573 | |||||||||
Affiliated investments | 108,848 | — | 94,678 | — | ||||||||||||
Forward foreign currency exchange contracts | 2,977,290 | — | 9,397,609 | 95,996 | ||||||||||||
Foreign currency and foreign currency translation | (145,824 | ) | — | (284,613 | ) | (24,788 | ) | |||||||||
Change in net unrealized appreciation/depreciation | (11,969,660 | ) | (2,668,829 | ) | (13,946,524 | ) | 112,781 | |||||||||
Net realized and unrealized gain (loss) on investments | (2,657,982 | ) | (54,659 | ) | 2,898,730 | 212,362 | ||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 4,854,753 | $ | 1,096,411 | $ | 7,792,583 | $ | 697,280 |
The accompanying notes are an integral part of these financial statements.
36
Credit Opportunities Fund
STATEMENTS OF CHANGES IN NET ASSETS |
Six Months Ended | ||||||||
June 30, 2021 | Year Ended | |||||||
(Unaudited) | December 31, 2020 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 7,512,735 | $ | 12,881,817 | ||||
Net realized gain (loss) on investments, forward foreign currency exchange contracts, | ||||||||
foreign currency, foreign currency translation, futures contracts and swap contracts | 9,311,678 | (1,235,475 | ) | |||||
Change in unrealized appreciation/depreciation on investments, forward foreign currency | ||||||||
exchange contracts, foreign currency, and foreign currency translation | (11,969,660 | ) | 18,336,154 | |||||
Net increase (decrease) in net assets resulting from operations | 4,854,753 | 29,982,496 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
From earnings: | ||||||||
Supra Institutional Class | (2,925,107 | ) | (9,250,936 | ) | ||||
Institutional Class | (2,044,075 | ) | (5,955,575 | ) | ||||
Total distributions to shareholders | (4,969,182 | ) | (15,206,511 | ) | ||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Net increase (decrease) in net assets derived from net change in outstanding shares – | ||||||||
Supra Institutional Class1 | (12,614,803 | ) | 50,432,322 | |||||
Net increase (decrease) in net assets derived from net change in outstanding shares – | ||||||||
Institutional Class1 | 8,301,889 | 58,592,581 | ||||||
Total increase (decrease) in net assets from capital share transactions | (4,312,914 | ) | 109,024,903 | |||||
Total increase (decrease) in net assets | (4,427,343 | ) | 123,800,888 | |||||
NET ASSETS | ||||||||
Beginning of period/year | 541,125,839 | 417,324,951 | ||||||
End of period/year | $ | 536,698,496 | $ | 541,125,839 |
1 Summary of share transactions is as follows: |
Six Months Ended | ||||||||||||||||
June 30, 2021 | Year Ended | |||||||||||||||
(Unaudited) | December 31, 2020 | |||||||||||||||
Supra Institutional Class: | Shares | Value | Shares | Value | ||||||||||||
Shares sold | 2,228,296 | $ | 24,940,854 | 7,471,905 | $ | 81,847,942 | ||||||||||
Shares issued in reinvestment of distributions | 125,932 | 1,404,632 | 398,207 | 4,358,534 | ||||||||||||
Shares redeemed2 | (3,478,476 | ) | (38,960,289 | ) | (3,283,707 | ) | (35,774,154 | ) | ||||||||
Net increase (decrease) | (1,124,248 | ) | $ | (12,614,803 | ) | 4,586,405 | $ | 50,432,322 | ||||||||
Six Months Ended | ||||||||||||||||
June 30, 2021 | Year Ended | |||||||||||||||
(Unaudited) | December 31, 2020 | |||||||||||||||
Institutional Class: | Shares | Value | Shares | Value | ||||||||||||
Shares sold | 3,346,853 | $ | 37,530,836 | 9,884,205 | $ | 107,504,481 | ||||||||||
Shares issued in reinvestment of distributions | 109,018 | 1,215,743 | 371,324 | 4,050,168 | ||||||||||||
Shares redeemed3 | (2,718,028 | ) | (30,444,690 | ) | (4,940,373 | ) | (52,962,068 | ) | ||||||||
Net increase (decrease) | 737,843 | $ | 8,301,889 | 5,315,156 | $ | 58,592,581 |
2 Net of redemption fees of $1,596 and $21,646, respectively. |
3 Net of redemption fees of $1,120 and $22,921, respectively. |
The accompanying notes are an integral part of these financial statements.
37
U.S. High Yield Fund
STATEMENTS OF CHANGES IN NET ASSETS |
Six Months Ended | ||||||||
June 30, 2021 | Year Ended | |||||||
(Unaudited) | December 31, 2020 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 1,151,070 | $ | 3,050,203 | ||||
Net realized gain (loss) on investments | 2,614,170 | (205,222 | ) | |||||
Net change in unrealized appreciation/depreciation on investments | (2,668,829 | ) | 2,815,828 | |||||
Net increase (decrease) in net assets resulting from operations | 1,096,411 | 5,660,809 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
From earnings: | ||||||||
Supra Institutional Class | (1,019,422 | ) | (2,845,562 | ) | ||||
Institutional Class | (127,709 | ) | (200,655 | ) | ||||
Total distributions to shareholders | (1,147,131 | ) | (3,046,217 | ) | ||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Net increase (decrease) in net assets derived from net change in outstanding shares – | ||||||||
Supra Institutional Class1 | (38,396,369 | ) | 16,977,580 | |||||
Net increase (decrease) in net assets derived from net change in outstanding shares – | ||||||||
Institutional Class1 | (1,708,569 | ) | 4,066,754 | |||||
Total increase (decrease) in net assets from capital share transactions | (40,104,938 | ) | 21,044,334 | |||||
Total increase (decrease) in net assets | (40,155,658 | ) | 23,658,926 | |||||
NET ASSETS | ||||||||
Beginning of period/year | 68,764,402 | 45,105,476 | ||||||
End of period/year | $ | 28,608,744 | $ | 68,764,402 |
1 Summary of share transactions is as follows: |
Six Months Ended | ||||||||||||||||
June 30, 2021 | Year Ended | |||||||||||||||
(Unaudited) | December 31, 2020 | |||||||||||||||
Supra Institutional Class: | Shares | Value | Shares | Value | ||||||||||||
Shares sold | 152,564 | $ | 1,516,000 | 2,314,085 | $ | 20,942,127 | ||||||||||
Shares issued in reinvestment of distributions | 33,303 | 330,653 | 107,291 | 1,014,857 | ||||||||||||
Shares redeemed2 | (4,052,917 | ) | (40,243,022 | ) | (531,473 | ) | (4,979,404 | ) | ||||||||
Net increase (decrease) | (3,867,050 | ) | $ | (38,396,369 | ) | 1,889,903 | $ | 16,977,580 |
2 Net of redemption fees of $2,264 and $—, respectively. |
Six Months Ended | ||||||||||||||||
June 30, 2021 | Year Ended | |||||||||||||||
(Unaudited) | December 31, 2020 | |||||||||||||||
Institutional Class: | Shares | Value | Shares | Value | ||||||||||||
Shares sold | 168,324 | $ | 1,669,743 | 610,779 | $ | 5,751,486 | ||||||||||
Shares issued in reinvestment of distributions | 12,217 | 121,434 | 17,168 | 166,044 | ||||||||||||
Shares redeemed3 | (350,004 | ) | (3,499,746 | ) | (202,458 | ) | (1,850,776 | ) | ||||||||
Net increase (decrease) | (169,463 | ) | $ | (1,708,569 | ) | 425,489 | $ | 4,066,754 |
3 Net of redemption fees of $254 and $—, respectively. |
The accompanying notes are an integral part of these financial statements.
38
Low Duration Fund
STATEMENTS OF CHANGES IN NET ASSETS |
Six Months Ended | ||||||||
June 30, 2021 | Year Ended | |||||||
(Unaudited) | December 31, 2020 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 4,893,853 | $ | 16,945,320 | ||||
Net realized gain (loss) on investments, forward foreign currency exchange contracts, | ||||||||
foreign currency, and foreign currency translation | 16,845,254 | (32,720,986 | ) | |||||
Change in unrealized appreciation/depreciation on investments, forward foreign currency | ||||||||
exchange contracts, foreign currency, and foreign currency translation | (13,946,524 | ) | 32,565,309 | |||||
Net increase (decrease) in net assets resulting from operations | 7,792,583 | 16,789,643 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
From earnings: | ||||||||
Supra Institutional Class | (6,727,255 | ) | (12,915,384 | ) | ||||
Institutional Class | (32,361 | ) | (58,952 | ) | ||||
Total distributions to shareholders | (6,759,616 | ) | (12,974,336 | ) | ||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Net increase (decrease) in net assets derived from net change in outstanding shares – | ||||||||
Supra Institutional Class1 | (253,525,087 | ) | (143,074,632 | ) | ||||
Net increase (decrease) in net assets derived from net change in outstanding shares – | ||||||||
Institutional Class1 | (2,469,636 | ) | 3,575,719 | |||||
Total increase (decrease) in net assets from capital share transactions | (255,994,723 | ) | (139,498,913 | ) | ||||
Total increase (decrease) in net assets | (254,961,756 | ) | (135,683,606 | ) | ||||
NET ASSETS | ||||||||
Beginning of period/year | 596,418,893 | 732,102,499 | ||||||
End of period/year | $ | 341,457,137 | $ | 596,418,893 |
1 | Summary of share transactions is as follows: |
Six Months Ended | ||||||||||||||||
June 30, 2021 | Year Ended | |||||||||||||||
(Unaudited) | December 31, 2020 | |||||||||||||||
Supra Institutional Class: | Shares | Value | Shares | Value | ||||||||||||
Shares sold | 5,622,478 | $ | 56,747,584 | 24,568,694 | $ | 235,487,913 | ||||||||||
Shares issued in reinvestment of distributions | 664,780 | 6,689,916 | 1,297,389 | 12,880,826 | ||||||||||||
Shares redeemed2 | (31,292,274 | ) | (316,962,587 | ) | (39,981,912 | ) | (391,443,371 | ) | ||||||||
Net increase (decrease) | (25,005,016 | ) | $ | (253,525,087 | ) | (14,115,829 | ) | $ | (143,074,632 | ) |
2 | Net of redemption fees of $— and $21,853, respectively. |
Six Months Ended | ||||||||||||||||
June 30, 2021 | Year Ended | |||||||||||||||
(Unaudited) | December 31, 2020 | |||||||||||||||
Institutional Class: | Shares | Value | Shares | Value | ||||||||||||
Shares sold | — | $ | — | 1,060,367 | $ | 10,518,831 | ||||||||||
Shares issued in reinvestment of distributions | 2,967 | 30,379 | 5,593 | 56,898 | ||||||||||||
Shares redeemed3 | (242,015 | ) | (2,500,015 | ) | (695,826 | ) | (7,000,010 | ) | ||||||||
Net increase (decrease) | (239,048 | ) | $ | (2,469,636 | ) | 370,134 | $ | 3,575,719 |
3 | Net of redemption fees of $— and less than $1, respectively. |
The accompanying notes are an integral part of these financial statements.
39
Floating Rate Fund
STATEMENTS OF CHANGES IN NET ASSETS |
Six Months Ended | ||||||||
June 30, 2021 | Year Ended | |||||||
(Unaudited) | December 31, 2020 | |||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 484,918 | $ | 515,900 | ||||
Net realized gain (loss) on investments, forward foreign currency | ||||||||
exchange contracts, foreign currency, and foreign currency translation | 99,581 | (249,902 | ) | |||||
Change in unrealized appreciation/depreciation on investments, forward foreign | ||||||||
currency exchange contracts, foreign currency, and foreign currency translation | 112,781 | 362,081 | ||||||
Net increase (decrease) in net assets resulting from operations | 697,280 | 628,079 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
From earnings: | ||||||||
Institutional Class | (357,044 | ) | (543,140 | ) | ||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Net increase (decrease) in net assets derived from net change in outstanding shares – | ||||||||
Institutional Class1 | 14,028,099 | 6,184,854 | ||||||
Total increase (decrease) in net assets | 14,368,335 | 6,269,793 | ||||||
NET ASSETS | ||||||||
Beginning of period/year | 17,708,055 | 11,438,262 | ||||||
End of period/year | $ | 32,076,390 | $ | 17,708,055 |
1 | A summary of share transactions is as follows: |
Six Months Ended | ||||||||||||||||
June 30, 2021 | Year Ended | |||||||||||||||
(Unaudited) | December 31, 2020 | |||||||||||||||
Institutional Class: | Shares | Value | Shares | Value | ||||||||||||
Shares sold | 1,737,317 | $ | 17,505,000 | 626,883 | $ | 6,159,751 | ||||||||||
Shares issued to holders in reinvestment of distributions | 2,424 | 24,400 | 2,684 | 25,529 | ||||||||||||
Shares redeemed | (348,151 | ) | (3,501,301 | ) | (43 | ) | (426 | ) | ||||||||
Net increase (decrease) | 1,391,590 | $ | 14,028,099 | 629,524 | $ | 6,184,854 |
The accompanying notes are an integral part of these financial statements.
40
Credit Opportunities Fund
FINANCIAL HIGHLIGHTS For a capital share outstanding throughout each period/year |
Six Months Ended | ||||||||||||||||||||||||
June 30, 2021 | Year Ended December 31, | |||||||||||||||||||||||
Supra Institutional Class | (Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Net asset value, beginning of period/year | $ | 11.23 | $ | 10.90 | $ | 10.49 | $ | 10.69 | $ | 10.50 | $ | 10.27 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)1 | 0.16 | 0.30 | 0.35 | 0.29 | 0.34 | 0.32 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.06 | ) | 0.37 | 0.77 | (0.27 | ) | 0.15 | 0.33 | ||||||||||||||||
Total from investment operations | 0.10 | 0.67 | 1.12 | 0.02 | 0.49 | 0.65 | ||||||||||||||||||
Redemption fee proceeds | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | ||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.11 | ) | (0.27 | ) | (0.31 | ) | (0.08 | ) | (0.27 | ) | (0.31 | ) | ||||||||||||
From return of capital | — | — | — | (0.02 | ) | — | — | |||||||||||||||||
From net realized gain | — | (0.07 | ) | (0.40 | ) | (0.12 | ) | (0.03 | ) | (0.11 | ) | |||||||||||||
Total distributions | (0.11 | ) | (0.34 | ) | (0.71 | ) | (0.22 | ) | (0.30 | ) | (0.42 | ) | ||||||||||||
Net asset value, end of period/year | $ | 11.22 | $ | 11.23 | $ | 10.90 | $ | 10.49 | $ | 10.69 | $ | 10.50 | ||||||||||||
Total return | 0.87 | %3 | 6.30 | % | 10.77 | % | 0.22 | % | 4.70 | % | 6.34 | % | ||||||||||||
SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period/year (millions) | $ | 308.6 | $ | 321.3 | $ | 261.9 | $ | 240.1 | $ | 208.4 | $ | 176.9 | ||||||||||||
Portfolio turnover rate | 64 | %3 | 174 | % | 293 | % | 244 | % | 135 | % | 260 | % | ||||||||||||
RATIO OF EXPENSES TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 0.74 | %4 | 0.75 | % | 0.76 | % | 0.80 | % | 0.83 | % | 0.84 | % | ||||||||||||
After fees waived and expenses absorbed | 0.59 | %4 | 0.59 | % | 0.59 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||||
RATIO OF NET INVESTMENT INCOME (LOSS) TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.74 | %4 | 2.61 | % | 3.01 | % | 2.61 | % | 3.00 | % | 2.77 | % | ||||||||||||
After fees waived and expenses absorbed | 2.89 | %4 | 2.77 | % | 3.18 | % | 2.81 | % | 3.23 | % | 3.01 | % |
1 | Calculated using the average shares outstanding method. |
2 | Does not round to $0.01 or $(0.01), as applicable. |
3 | Not annualized. |
4 | Annualized. |
The accompanying notes are an integral part of these financial statements.
41
Credit Opportunities Fund
FINANCIAL HIGHLIGHTS For a capital share outstanding throughout each period/year |
Six Months Ended | ||||||||||||||||||||||||
June 30, 2021 | Year Ended December 31, | |||||||||||||||||||||||
Institutional Class | (Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Net asset value, beginning of period/year | $ | 11.22 | $ | 10.89 | $ | 10.49 | $ | 10.69 | $ | 10.49 | $ | 10.27 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)1 | 0.16 | 0.30 | 0.34 | 0.29 | 0.34 | 0.33 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.06 | ) | 0.36 | 0.76 | (0.27 | ) | 0.15 | 0.31 | ||||||||||||||||
Total from investment operations | 0.10 | 0.66 | 1.10 | 0.02 | 0.49 | 0.64 | ||||||||||||||||||
Redemption fee proceeds | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | — | |||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.10 | ) | (0.26 | ) | (0.30 | ) | (0.08 | ) | (0.26 | ) | (0.31 | ) | ||||||||||||
From return of capital | — | — | — | (0.02 | ) | — | — | |||||||||||||||||
From net realized gain | — | (0.07 | ) | (0.40 | ) | (0.12 | ) | (0.03 | ) | (0.11 | ) | |||||||||||||
Total distributions | (0.10 | ) | (0.33 | ) | (0.70 | ) | (0.22 | ) | (0.29 | ) | (0.42 | ) | ||||||||||||
Net asset value, end of period/year | $ | 11.22 | $ | 11.22 | $ | 10.89 | $ | 10.49 | $ | 10.69 | $ | 10.49 | ||||||||||||
Total return | 0.93 | %3 | 6.24 | % | 10.60 | % | 0.20 | % | 4.73 | % | 6.20 | % | ||||||||||||
SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period/year (millions) | $ | 228.1 | $ | 219.8 | $ | 155.5 | $ | 154.0 | $ | 181.9 | $ | 74.6 | ||||||||||||
Portfolio turnover rate | 64 | %3 | 174 | % | 293 | % | 244 | % | 135 | % | 260 | % | ||||||||||||
RATIO OF EXPENSES TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 0.80 | %4 | 0.81 | % | 0.82 | % | 0.83 | % | 0.91 | % | 0.90 | % | ||||||||||||
After fees waived and expenses absorbed | 0.65 | %4 | 0.65 | % | 0.65 | % | 0.63 | % | 0.67 | % | 0.64 | % | ||||||||||||
RATIO OF NET INVESTMENT INCOME (LOSS) TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.67 | %4 | 2.55 | % | 2.95 | % | 2.57 | % | 2.92 | % | 2.81 | % | ||||||||||||
After fees waived and expenses absorbed | 2.82 | %4 | 2.71 | % | 3.12 | % | 2.77 | % | 3.16 | % | 3.08 | % |
1 | Calculated using the average shares outstanding method. |
2 | Does not round to $0.01 or $(0.01), as applicable. |
3 | Not annualized. |
4 | Annualized. |
The accompanying notes are an integral part of these financial statements.
42
U.S. High Yield Fund
FINANCIAL HIGHLIGHTS For a capital share outstanding throughout each period/year |
Six Months Ended | Period Ended | |||||||||||||||||||||||
June 30, 2021 | Year Ended December 31, | December 31, | ||||||||||||||||||||||
Supra Institutional Class | (Unaudited) | 2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||
Net asset value, beginning of period/year | $ | 9.96 | $ | 9.83 | $ | 9.11 | $ | 9.85 | $ | 10.45 | $ | 10.00 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)2 | 0.26 | 0.51 | 0.51 | 0.50 | 0.51 | 0.41 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.05 | 0.12 | 0.72 | (0.74 | ) | 0.14 | 0.35 | |||||||||||||||||
Total from investment operations | 0.31 | 0.63 | 1.23 | (0.24 | ) | 0.65 | 0.76 | |||||||||||||||||
Redemption fee proceeds | 0.00 | 3 | — | — | — | — | — | |||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
Distributions from net investment income | (0.29 | ) | (0.50 | ) | (0.51 | ) | (0.50 | ) | (0.58 | ) | (0.30 | ) | ||||||||||||
Distributions from net realized gain | — | — | — | — | (0.67 | ) | (0.01 | ) | ||||||||||||||||
Total distributions | (0.29 | ) | (0.50 | ) | (0.51 | ) | (0.50 | ) | (1.25 | ) | (0.31 | ) | ||||||||||||
Net asset value, end of period/year | $ | 9.98 | $ | 9.96 | $ | 9.83 | $ | 9.11 | $ | 9.85 | $ | 10.45 | ||||||||||||
Total return | 3.19 | %4 | 6.82 | % | 13.71 | % | (2.59 | )% | 6.30 | % | 7.74 | %4 | ||||||||||||
SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period/year (millions) | $ | 24.4 | $ | 62.9 | $ | 43.5 | $ | 29.5 | $ | 19.5 | $ | 83.0 | ||||||||||||
Portfolio turnover rate | 51 | %4 | 113 | % | 89 | % | 71 | % | 120 | % | 140 | %4 | ||||||||||||
RATIO OF EXPENSES TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 1.13 | %5 | 0.98 | % | 1.21 | % | 1.63 | % | 1.03 | % | 1.83 | %5 | ||||||||||||
After fees waived and expenses absorbed | 0.58 | %5 | 0.58 | % | 0.58 | % | 0.58 | % | 0.58 | % | 0.58 | %5 | ||||||||||||
RATIO OF NET INVESTMENT INCOME (LOSS) TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 4.80 | %5 | 4.97 | % | 4.68 | % | 4.18 | % | 4.39 | % | 4.01 | %5 | ||||||||||||
After fees waived and expenses absorbed | 5.35 | %5 | 5.37 | % | 5.30 | % | 5.23 | % | 4.84 | % | 5.25 | %5 |
1 | Commenced operations on March 31, 2016. Information presented is for the period from March 31, 2016 to December 31, 2016. |
2 | Calculated based on the average number of shares outstanding. |
3 | Does not round to $0.01 or $(0.01), as applicable. |
4 | Not annualized. |
5 | Annualized. |
The accompanying notes are an integral part of these financial statements.
43
U.S. High Yield Fund
FINANCIAL HIGHLIGHTS For a capital share outstanding throughout each period/year |
Six Months Ended | Period Ended | |||||||||||||||||||
June 30, 2021 | Year Ended December 31, | December 31, | ||||||||||||||||||
Institutional Class | (Unaudited) | 2020 | 2019 | 2018 | 20171 | |||||||||||||||
Net asset value, beginning of period/year | $ | 9.97 | $ | 9.84 | $ | 9.12 | $ | 9.86 | $ | 10.46 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income (loss)2 | 0.27 | 0.52 | 0.51 | 0.49 | 0.39 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.03 | 0.11 | 0.72 | (0.74 | ) | 0.17 | ||||||||||||||
Total from investment operations | 0.30 | 0.63 | 1.23 | (0.25 | ) | 0.56 | ||||||||||||||
Redemption fee proceeds | 0.00 | 3 | — | — | — | — | ||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
Distributions from net investment income | (0.29 | ) | (0.50 | ) | (0.51 | ) | (0.49 | ) | (0.49 | ) | ||||||||||
Distributions from net realized gain | — | — | — | — | (0.67 | ) | ||||||||||||||
Total distributions | (0.29 | ) | (0.50 | ) | (0.51 | ) | (0.49 | ) | (1.16 | ) | ||||||||||
Net asset value, end of period/year | $ | 9.98 | $ | 9.97 | $ | 9.84 | $ | 9.12 | $ | 9.86 | ||||||||||
Total return | 3.18 | %4 | 6.81 | % | 13.68 | % | (2.67 | )% | 5.47 | %4 | ||||||||||
SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of period/year (millions) | $ | 4.2 | $ | 5.9 | $ | 1.6 | $ | 0.7 | $ | 2.6 | ||||||||||
Portfolio turnover rate | 51 | %4 | 113 | % | 89 | % | 71 | % | 120 | %4,5 | ||||||||||
RATIO OF EXPENSES TO AVERAGE NET ASSETS: | ||||||||||||||||||||
Before fees waived and expenses absorbed | 1.22 | %6 | 0.98 | % | 1.17 | % | 1.68 | % | 1.61 | %6 | ||||||||||
After fees waived and expenses absorbed | 0.58 | %6 | 0.58 | % | 0.59 | % | 0.64 | % | 0.68 | %6 | ||||||||||
RATIO OF NET INVESTMENT INCOME (LOSS) TO AVERAGE NET ASSETS: | ||||||||||||||||||||
Before fees waived and expenses absorbed | 4.75 | %6 | 4.97 | % | 4.74 | % | 4.02 | % | 3.87 | %6 | ||||||||||
After fees waived and expenses absorbed | 5.39 | %6 | 5.37 | % | 5.32 | % | 5.06 | % | 4.81 | %6 |
1 | Commenced operations on March 27, 2017. Information presented is for the period from March 27, 2017 to December 31, 2017. |
2 | Calculated based on the average number of shares outstanding. |
3 | Does not round to $0.01 or $(0.01), as applicable. |
4 | Not annualized. |
5 | Portfolio turnover calculated at the Fund level. |
6 | Annualized. |
The accompanying notes are an integral part of these financial statements.
44
Low Duration Fund
FINANCIAL HIGHLIGHTS For a capital share outstanding throughout each period/year |
Six Months Ended | Period Ended | |||||||||||||||||||||||
June 30, 2021 | Year Ended December 31, | December 31, | ||||||||||||||||||||||
Supra Institutional Class | (Unaudited) | 2020 | 2019 | 2018 | 2017 | 20161 | ||||||||||||||||||
Net asset value, beginning of period/year | $ | 10.10 | $ | 10.05 | $ | 9.53 | $ | 10.27 | $ | 10.04 | $ | 10.00 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)2 | 0.13 | 0.27 | 0.26 | 0.25 | 0.24 | 0.09 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.06 | (0.01 | ) | 0.48 | (0.17 | ) | 0.18 | 0.03 | ||||||||||||||||
Total from investment operations | 0.19 | 0.26 | 0.74 | 0.08 | 0.42 | 0.12 | ||||||||||||||||||
Redemption fee proceeds | — | — | — | — | 0.00 | 3 | — | |||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
Distributions from net investment income | (0.20 | ) | (0.21 | ) | (0.13 | ) | (0.29 | ) | (0.19 | ) | (0.08 | ) | ||||||||||||
Distributions from net realized gain | — | — | (0.09 | ) | (0.53 | ) | (0.00 | )3 | — | |||||||||||||||
Total distributions | (0.20 | ) | (0.21 | ) | (0.22 | ) | (0.82 | ) | (0.19 | ) | (0.08 | ) | ||||||||||||
Net asset value, end of period/year | $ | 10.09 | $ | 10.10 | $ | 10.05 | $ | 9.53 | $ | 10.27 | $ | 10.04 | ||||||||||||
Total return | 1.93 | %4 | 2.64 | % | 7.86 | % | 0.79 | % | 4.26 | % | 1.19 | %4 | ||||||||||||
SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period/year (millions) | $ | 340.0 | $ | 592.5 | $ | 732.0 | $ | 571.9 | $ | 705.8 | $ | 263.8 | ||||||||||||
Portfolio turnover rate | 41 | %4 | 75 | % | 47 | % | 72 | % | 57 | % | 7 | %4 | ||||||||||||
RATIO OF EXPENSES TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 0.65 | %5 | 0.60 | % | 0.59 | % | 0.62 | % | 0.71 | % | 0.96 | %5 | ||||||||||||
After fees waived and expenses absorbed | 0.49 | %5 | 0.49 | % | 0.49 | % | 0.50 | % | 0.50 | % | 0.50 | %5 | ||||||||||||
RATIO OF NET INVESTMENT INCOME (LOSS) TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.51 | %5 | 2.67 | % | 2.50 | % | 2.32 | % | 2.16 | % | 1.40 | %5 | ||||||||||||
After fees waived and expenses absorbed | 2.67 | %5 | 2.77 | % | 2.60 | % | 2.44 | % | 2.37 | % | 1.86 | %5 |
1 | Commenced operations on June 30, 2016. Information presented is for the period from June 30, 2016 to December 31, 2016. |
2 | Calculated using the average shares outstanding method. |
3 | Does not round to $0.01 or $(0.01), as applicable. |
4 | Not annualized. |
5 | Annualized. |
The accompanying notes are an integral part of these financial statements.
45
Low Duration Fund
FINANCIAL HIGHLIGHTS For a capital share outstanding throughout each period/year |
Six Months Ended | Year Ended | Period Ended | ||||||||||
June 30, 2021 | December 31, | December 31, | ||||||||||
Institutional Class | (Unaudited) | 2020 | 20191 | |||||||||
Net asset value, beginning of period/year | $ | 10.26 | $ | 10.20 | $ | 10.00 | ||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||
Net investment income (loss)2 | 0.14 | 0.28 | 0.17 | |||||||||
Net realized and unrealized gain (loss) on investments | 0.07 | (0.01 | ) | 0.19 | ||||||||
Total from investment operations | 0.21 | 0.27 | 0.36 | |||||||||
LESS DISTRIBUTIONS: | ||||||||||||
Distributions from net investment income | (0.20 | ) | (0.21 | ) | (0.07 | ) | ||||||
Distributions from net realized gain | — | — | (0.09 | ) | ||||||||
Total distributions | (0.20 | ) | (0.21 | ) | (0.16 | ) | ||||||
Net asset value, end of period/year | $ | 10.27 | $ | 10.26 | $ | 10.20 | ||||||
Total return | 2.09 | %3 | 2.70 | % | 3.60 | %3 | ||||||
SUPPLEMENTAL DATA: | ||||||||||||
Net assets, end of period/year (millions) | $ | 1.4 | $ | 3.9 | $ | 0.1 | ||||||
Portfolio turnover rate | 41 | %3 | 75 | % | 47 | %3,4 | ||||||
RATIO OF EXPENSES TO AVERAGE NET ASSETS: | ||||||||||||
Before fees waived and expenses absorbed | 0.65 | %5 | 0.61 | % | 0.53 | %5 | ||||||
After fees waived and expenses absorbed | 0.49 | %5 | 0.50 | % | 0.46 | %5 | ||||||
RATIO OF NET INVESTMENT INCOME (LOSS) TO AVERAGE NET ASSETS: | ||||||||||||
Before fees waived and expenses absorbed | 2.52 | %5 | 2.68 | % | 2.31 | %5 | ||||||
After fees waived and expenses absorbed | 2.68 | %5 | 2.79 | % | 2.38 | %5 |
1 | Commenced operations on April 30, 2019. Information presented is for the period from April 30, 2019 to December 31, 2019. |
2 | Calculated using the average shares outstanding method. |
3 | Not annualized. |
4 | Portfolio turnover calculated at the Fund level. |
5 | Annualized. |
The accompanying notes are an integral part of these financial statements.
46
Floating Rate Fund
FINANCIAL HIGHLIGHTS For a capital share outstanding throughout each period/year |
Six Months Ended | Period Ended | |||||||||||||||
June 30, 2021 | Year Ended December 31, | December 31, | ||||||||||||||
Institutional Class | (Unaudited) | 2020 | 2019 | 20181 | ||||||||||||
Net asset value, beginning of period/year | $ | 9.91 | $ | 9.88 | $ | 9.65 | $ | 10.00 | ||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||
Net investment income (loss)2 | 0.19 | 0.41 | 0.43 | 0.15 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.12 | 0.04 | 0.26 | (0.28 | ) | |||||||||||
Total from operations | 0.31 | 0.45 | 0.69 | (0.13 | ) | |||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||
Distributions from net investment income | (0.13 | ) | (0.42 | ) | (0.38 | ) | (0.13 | ) | ||||||||
Distributions from net realized gain | — | — | (0.08 | ) | (0.09 | ) | ||||||||||
Total distributions | (0.13 | ) | (0.42 | ) | (0.46 | ) | (0.22 | ) | ||||||||
Net asset value, end of period/year | $ | 10.09 | $ | 9.91 | $ | 9.88 | $ | 9.65 | ||||||||
Total return | 3.13 | %3 | 4.83 | % | 7.34 | % | (1.45 | )%3 | ||||||||
SUPPLEMENTAL DATA: | ||||||||||||||||
Net assets, end of period/year (millions) | $ | 32.1 | $ | 17.7 | $ | 11.4 | $ | 11.1 | ||||||||
Portfolio turnover rate | 49 | %3 | 73 | % | 78 | % | 22 | %3 | ||||||||
RATIO OF EXPENSES TO AVERAGE NET ASSETS: | ||||||||||||||||
Before fees waived and expenses absorbed | 1.12 | %4 | 1.81 | % | 1.86 | % | 2.37 | %4 | ||||||||
After fees waived and expenses absorbed | 0.64 | %4 | 0.65 | % | 0.65 | % | 0.65 | %4 | ||||||||
RATIO OF NET INVESTMENT INCOME (LOSS) TO AVERAGE NET ASSETS: | ||||||||||||||||
Before fees waived and expenses absorbed | 3.29 | %4 | 3.11 | % | 3.13 | % | 1.26 | %4 | ||||||||
After fees waived and expenses absorbed | 3.77 | %4 | 4.27 | % | 4.34 | % | 2.98 | %4 |
1 | Commenced operations on June 29, 2018. Information presented is for the period from June 29, 2018 to December 31, 2018. |
2 | Calculated based on average shares outstanding during the period. |
3 | Not Annualized. |
4 | Annualized. |
The accompanying notes are an integral part of these financial statements.
47
Muzinich Funds
NOTES TO FINANCIAL STATEMENTS June 30, 2021 (Unaudited) |
NOTE 1 – ORGANIZATION |
The Muzinich Credit Opportunities Fund (“Credit Opportunities Fund”), Muzinich U.S. High Yield Credit Fund (“U.S. High Yield Fund”), Muzinich Low Duration Fund (“Low Duration Fund”) and Muzinich High Income Floating Rate Fund (“Floating Rate Fund”) (each a “Fund,” collectively the “Funds”) are diversified series of shares of beneficial interest of Professionally Managed Portfolios (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services—Investment Companies.” The Funds commenced operations on January 3, 2013, March 31, 2016, June 30, 2016 and June 29, 2018, respectively.
The Funds offer two classes of shares: Institutional shares, and Supra Institutional shares (Class A shares are not available for purchase). Each class of shares has equal rights as to earnings and assets except that each class bears different distribution and shareholder servicing expenses. Each class of shares has exclusive voting rights with respect to matters that affect just that class. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains/losses on investments are allocated to each class of shares based on its relative net assets. Currently, the Credit Opportunities Fund offers Supra Institutional and Institutional Class shares, the U.S. High Yield Fund offers Supra Institutional and Institutional Class shares, the Low Duration Fund offers Supra Institutional and Institutional Class shares and the Floating Rate Fund offers Institutional Class shares.
The investment objective of the Credit Opportunities Fund is primarily to provide a high level of income and capital appreciation. The investment objective of the U.S. High Yield Fund is to provide a high level of income on a risk-adjusted basis over a full market cycle. The investment objective of the Low Duration Fund is to protect capital and generate positive returns under most market conditions. The investment objective of the Floating Rate Fund is to provide a high level of income with a focus on principal preservation and reduced exposure to changes in interest rates.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).
A. | Security Valuation. All equity securities, which may include Real Estate Investment Trusts (“REITs”), Business Development Companies (“BDCs”) and Master Limited Partnerships (“MLPs”), that are traded on U.S. national or foreign securities exchanges are valued either at the last reported sale price on the exchange on which the security is principally traded or the exchange’s official closing price. If, on a particular day, an exchange-traded security does not trade, then the mean between the most recent quoted bid and asked prices will be used. All equity securities, which may include REITs, BDCs and MLPs that are not traded on a listed exchange are valued at the last sale price in the over-the- counter market. If a non-exchange traded security does not trade on a particular day, then the mean between the last quoted closing bid and asked price will be used. | |
Debt securities are valued by using an evaluated mean of the bid and asked prices provided by an independent pricing service. The independent pricing service may use various valuation methodologies including matrix pricing and other analytical pricing models as well as market transactions and dealer quotations. These models generally consider such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings and general market conditions. In the absence of a price from a pricing service, securities are valued at their respective fair values as determined in good faith by the Valuation Committee. | ||
Exchange traded options are valued at the composite price, using the National Best Bid and Offer quotes (“NBBO”). NBBO consists of the highest bid price and lowest ask price across any of the exchanges on which an option is quoted, thus providing a view across the entire U.S. options marketplace. Composite option pricing calculates the mean of the highest bid price and lowest ask price across the exchanges where the option is traded. | ||
Forward foreign currency exchange contracts are presented at fair value measured by the difference between the forward exchange rates (“forward rates”) at the dates of entry into the contracts and the forward rates at the reporting date, and such differences are included in the Statements of Assets and Liabilities. | ||
Swap contracts, such as credit default swaps, total return swaps, interest rate swaps and currency swaps, are priced by an approved independent pricing service. The independent pricing service includes observable market data inputs in an evaluated valuation methodology. |
48
Muzinich Funds
NOTES TO FINANCIAL STATEMENTS June 30, 2021 (Unaudited) (Continued) |
Futures contracts are priced by an approved independent pricing service. Futures contracts are valued at the settlement price on the exchange on which they are principally traded. | |
Securities for which quotations are not readily available are valued at their respective fair values as determined in good faith by the Valuation Committee. When a security is “fair valued,” consideration is given to the facts and circumstances relevant to the particular situation, including a review of various factors set forth in the pricing procedures adopted by the Board of Trustees (the “Board”). Fair value pricing is an inherently subjective process, and no single standard exists for determining fair value. Different funds could reasonably arrive at different values for the same security. The use of fair value pricing by a fund may cause the net asset value of its shares to differ significantly from the net asset value that would be calculated without regard to such considerations. | |
As described above, the Funds utilize various methods to measure the fair value of their investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are: |
Level 1 – | Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. | |
Level 2 – | Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. | |
Level 3 – | Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. | |
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety. | |
The following is a summary of the inputs used to value the Funds’ investments and derivative instruments as of June 30, 2021. See the Schedules of Investments for the industry breakouts. |
Credit Opportunities Fund | |||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | |||||||||||||||||
Corporate Bonds | $ | — | $ | 403,234,655 | $ | — | $ | 403,234,655 | |||||||||
United States Government Notes/Bonds | — | 12,993,256 | — | 12,993,256 | |||||||||||||
Affiliated Mutual Funds | 6,101,504 | — | — | 6,101,504 | |||||||||||||
Bank Loans | — | 84,393,668 | — | 84,393,668 | |||||||||||||
Total Assets | $ | 6,101,504 | $ | 500,621,579 | $ | — | $ | 506,723,083 | |||||||||
Other Financial Instruments1: | |||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 2,187,894 | $ | — | $ | 2,187,894 | |||||||||
$ | — | $ | 2,187,894 | $ | — | $ | 2,187,894 |
1 | Other Financial Instruments are derivative instruments not reflected in the Schedule of Investments and are presented at the net unrealized appreciation/(depreciation) on the investment. |
49
Muzinich Funds
NOTES TO FINANCIAL STATEMENTS June 30, 2021 (Unaudited) (Continued) |
U.S. High Yield Fund | |||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | |||||||||||||||||
Corporate Bonds | $ | — | $ | 26,035,822 | $ | — | $ | 26,035,822 | |||||||||
Bank Loans1 | — | 1,607,497 | — | 1,607,497 | |||||||||||||
Total Assets | $ | — | $ | 27,643,319 | $ | — | $ | 27,643,319 | |||||||||
Low Duration Fund | |||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | |||||||||||||||||
Corporate Bonds | $ | — | $ | 280,088,059 | $ | — | $ | 280,088,059 | |||||||||
Collateralized Loan Obligations | — | 7,732,914 | — | 7,732,914 | |||||||||||||
Convertible Bonds | — | 7,343,491 | — | 7,343,491 | |||||||||||||
Affiliated Mutual Funds | 3,551,458 | — | — | 3,551,458 | |||||||||||||
Bank Loans1 | — | 27,677,683 | 997,357 | 28,675,040 | |||||||||||||
Total Assets | $ | 3,551,458 | $ | 322,842,147 | $ | 997,357 | $ | 327,390,962 | |||||||||
Other Financial Instruments2: | |||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 2,240,028 | $ | — | $ | 2,240,028 | |||||||||
$ | — | $ | 2,240,028 | $ | — | $ | 2,240,028 |
1 | See Schedule of Investments for disclosure of Level 3 securities. | |
2 | Other Financial Instruments are derivative instruments not reflected in the Schedule of Investments and are presented at the net unrealized appreciation/(depreciation) on the instruments. |
The following is a reconciliation of the Low Duration Fund’s Level 3 assets for which significant unobservable inputs were used to determine fair value: |
Bank Loans | Total | ||||||||
Balance as of December 31, 2020 | $ | — | $ | — | |||||
Acquisitions | 864,144 | 864,144 | |||||||
Dispositions | — | — | |||||||
Accrued discounts/premiums | 2,608 | 2,608 | |||||||
Realized gain (loss) | — | — | |||||||
Change in unrealized appreciation/depreciation | 130,605 | 130,605 | |||||||
Transfer in and/or out of Level 3 | — | — | |||||||
Balance as of June 30, 2021 | $ | 997,357 | $ | 997,357 | |||||
Change in unrealized appreciation/depreciation for | |||||||||
Level 3 investments held at June 30, 2021 | $ | 130,605 | $ | 130,605 |
Type of Security | Fair Value at 6/30/21 | Valuation Techniques | Unobservable Input | Input Value(s) | |
Bank Loans | $997,357 | Comparable Securities | Adjustment to yield | 94 bps |
Significant increases (decreases) in any of those inputs in isolation would result in a significantly higher (lower) fair value measurement. Increases in the adjustment to yield would decrease price and decreases in the adjustment to yield would increase price. | |
The Trust’s valuation procedures have been adopted by the Trust’s Board, which has established a Valuation Committee to oversee valuation techniques. The Board ratifies valuation techniques quarterly. |
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NOTES TO FINANCIAL STATEMENTS June 30, 2021 (Unaudited) (Continued) |
Floating Rate Fund | |||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | |||||||||||||||||
Corporate Bonds | $ | — | $ | 1,607,287 | $ | — | $ | 1,607,287 | |||||||||
Bank Loans | — | 27,466,323 | — | 27,466,323 | |||||||||||||
Total Assets | $ | — | $ | 29,073,610 | $ | — | $ | 29,073,610 | |||||||||
Other Financial Instruments1: | |||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 84,262 | $ | — | $ | 84,262 | |||||||||
$ | — | $ | 84,262 | $ | — | $ | 84,262 |
1 | Other Financial Instruments are derivative instruments not reflected in the Schedule of Investments and are presented at the net unrealized appreciation/(depreciation) on the instruments. |
The Funds have provided additional disclosures below regarding derivatives and hedging activity intending to improve financial reporting by enabling investors to understand how and why the Funds use forward contracts and swap contracts (types of derivatives), how they are accounted for, and how they affect an entity’s results of operations and financial position. The Funds may use derivatives in various ways. The Funds may, but are not required to, use derivatives for risk management purposes or as part of its investment strategies. Derivatives are financial contracts whose values depend on, or are derived from, the value of an underlying asset, reference rate or index. The Funds may use derivatives to earn income and enhance returns, to hedge or adjust the risk profile of its portfolio, to replace more traditional direct investments and to obtain exposure to otherwise inaccessible markets. | |
The average notional value of forward foreign currency exchange contracts outstanding during the six months ended June 30, 2021 for the Credit Opportunities Fund, Low Duration Fund, and Floating Rate Fund was $100,369,061 $292,659,937, and $2,454,503, respectively. Forward foreign currency exchange contracts entered into during the six months ended June 30, 2021 were with the Bank of New York for the Credit Opportunities Fund, Low Duration Fund and Floating Rate Fund. The Credit Opportunities Fund’s average notional value of exchange traded futures contracts outstanding during the six months ended June 30, 2021 was $17,750,173 and were entered into with Morgan Stanley. The Credit Opportunities Fund entered into swap contract transactions with Barclays Investment Bank and Credit Suisse Group AG during the six months ended June 30, 2021, at an average transaction notional value of $15,000,000 and $10,000,000, respectively. | |
The notional amount for forward foreign currency exchange contracts is calculated based on the currency being sold converted to U.S. dollars. The average notional amount for forward foreign currency exchange contracts is calculated by the dollar value of open contracts at the end of the previous fiscal year and at each quarter end in the current fiscal year. The notional amount for futures contracts represents the U.S. dollar value of the contract as of the day of opening the transaction or latest contract reset date. The notional amount for swap contracts is the principal value. The average notional amounts are based on the notional amounts at each month end during the period for futures and the daily notional amounts for swaps. | |
The following tables show the effects of derivative instruments on the financial statements. | |
Statements of Assets and Liabilities | |
Fair values of derivative instruments as of June 30, 2021: | |
Credit Opportunities Fund |
Asset Derivatives as of June 30, 2021 | Liability Derivatives as of June 30, 2021 | |||||||||||
Instrument | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | ||||||||
Forward Foreign Currency | Unrealized Appreciation on | Unrealized Depreciation on | ||||||||||
Exchange Contracts | Forward Foreign Currency | Forward Foreign Currency | ||||||||||
Exchange Contracts | $ | 2,318,238 | Exchange Contracts | $ | 130,344 | |||||||
$ | 2,318,238 | $ | 130,344 |
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Muzinich Funds
NOTES TO FINANCIAL STATEMENTS June 30, 2021 (Unaudited) (Continued) |
Low Duration Fund | ||||||||||||
Asset Derivatives as of June 30, 2021 | Liability Derivatives as of June 30, 2021 | |||||||||||
Instrument | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | ||||||||
Forward Foreign Currency | Unrealized Appreciation on | Unrealized Depreciation on | ||||||||||
Exchange Contracts | Forward Foreign Currency | Forward Foreign Currency | ||||||||||
Exchange Contracts | $ | 2,496,760 | Exchange Contracts | $ | 256,732 | |||||||
$ | 2,496,760 | $ | 256,732 | |||||||||
Floating Rate Fund | ||||||||||||
Asset Derivatives as of June 30, 2021 | Liability Derivatives as of June 30, 2021 | |||||||||||
Instrument | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | ||||||||
Forward Foreign Currency | Unrealized Appreciation on | Unrealized Depreciation on | ||||||||||
Exchange Contracts | Forward Foreign Currency | Forward Foreign Currency | ||||||||||
Exchange Contracts | $ | 84,262 | Exchange Contracts | $ | — | |||||||
$ | 84,262 | $ | — |
Statements of Operations | |
The effect of derivative instruments on the Statements of Operations for the six months ended June 30, 2021: | |
Credit Opportunities Fund |
Location of Gain (Loss) | Realized Gain (Loss) | Change in Unrealized | ||||||||||
on Derivatives | on Derivatives | Appreciation/Depreciation on | ||||||||||
Instrument | Recognized in Income | Recognized in Income | Derivatives Recognized in Income | |||||||||
Forward Foreign | Net realized and unrealized | |||||||||||
Currency Exchange | gain (loss) on forward foreign | |||||||||||
Contracts | currency exchange contracts | $ | (526,125 | ) | $ | 2,977,290 | ||||||
Credit Default – | Net realized and unrealized | |||||||||||
Swap Contracts | gain (loss) on swap contracts | (51,010 | ) | — | ||||||||
Treasury Futures | Net realized and unrealized | |||||||||||
Contracts | gain (loss) on futures contracts | (285,312 | ) | — | ||||||||
$ | (862,447 | ) | $ | 2,977,290 | ||||||||
Low Duration Fund | ||||||||||||
Location of Gain (Loss) | Realized Gain (Loss) | Change in Unrealized | ||||||||||
on Derivatives | on Derivatives | Appreciation/Depreciation on | ||||||||||
Instrument | Recognized in Income | Recognized in Income | Derivatives Recognized in Income | |||||||||
Forward Foreign | Net realized and unrealized | |||||||||||
Currency Exchange | gain (loss) on forward foreign | |||||||||||
Contracts | currency exchange contracts | $ | (3,004,165 | ) | $ | 9,397,609 | ||||||
Floating Rate Fund | ||||||||||||
Location of Gain (Loss) | Realized Gain (Loss) | Change in Unrealized | ||||||||||
on Derivatives | on Derivatives | Appreciation/Depreciation on | ||||||||||
Instrument | Recognized in Income | Recognized in Income | Derivatives Recognized in Income | |||||||||
Forward Foreign | Net realized and unrealized | |||||||||||
Currency Exchange | gain (loss) on forward foreign | |||||||||||
Contracts | currency exchange contracts | $ | (34,325 | ) | $ | 95,996 |
The U.S. High Yield Fund did not have derivatives activity during the six months ended June 30, 2021. | ||
B. | Swap Contracts. A swap, which may be a customized and privately negotiated agreement or a standardized and exchange- traded contract, obligates two parties to exchange a series of cash flows at specified intervals (payment dates) based upon, or calculated by, reference to changes in specified prices or rates for a specified amount of an underlying asset (the “notional” principal amount). Swaps are entered into on a net basis (i.e., the two payment streams are netted out, with a fund receiving |
52
Muzinich Funds
NOTES TO FINANCIAL STATEMENTS June 30, 2021 (Unaudited) (Continued) |
or paying, as applicable, only the net amount of the two payments). Examples of such swaps may include, but are not limited to, currency swaps, interest rate swaps, total return swaps, and credit default swaps. Payments received by the Funds from swap agreements will result in taxable income, either as ordinary income or capital gains. Except for currency swaps, the notional principal amount is used solely to calculate the payment streams but is not exchanged. With respect to currency swaps, actual principal amounts of currencies may be exchanged by the counterparties at the initiation, and again upon the termination, of the transaction. The swap market has grown substantially in recent years, with a large number of banks and investment banking firms acting both as principals and as agents utilizing standardized swap documentation. As a result, the swap market has become well-established and relatively liquid. The Credit Opportunities Fund had swap contracts activity during the six months ended June 30, 2021. Realized and unrealized gains and losses are included in the Statements of Operations. The U.S. High Yield Fund, Low Duration Fund and Floating Rate Fund did not have swap contracts activity during the six months ended June 30, 2021. | ||
C. | Futures Contracts. Each Fund may purchase or sell futures contracts and options thereon to hedge against changes in interest rates, securities (through index futures or options) or currencies. The purchase of futures contracts may be more efficient or cost effective than actually buying the underlying securities or assets. A futures contract is an agreement that obligates the buyer to buy and the seller to sell a specified quantity of an underlying asset (or settle for cash the value of a contract based on an underlying asset, rate or index) at a specific price on the contract maturity date. Upon entering into a futures contract, each Fund is required to pledge to the counterparty an amount of cash, U.S. Government securities or other high quality debt securities equal to the minimum “initial margin” requirements of the exchange or the broker. Pursuant to a contract entered into with a futures commission merchant, each Fund agrees to receive from or pay to the firm an amount of cash equal to the cumulative daily fluctuation in the value of the contract. Such receipts or payments are known as “variation margin” and are recorded by the Funds as unrealized gains or losses. When the contract is closed, the Funds record a gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Each Fund will cover its current obligations under futures contracts by the segregation of liquid assets or by entering into offsetting transactions or owning positions covering its obligations. The Funds’ use of futures contracts may involve risks that are different from, or possibly greater than, the risks associated with investing directly in securities or other more traditional instruments. These risks include the risk that the value of the futures contracts may not correlate perfectly, or at all, with the value of the assets, reference rates, or indexes that they are designed to track. Other risks include: an illiquid secondary market for a particular instrument and possible exchange- imposed price fluctuation limits, either of which may make it difficult or impossible to close out a position when desired; the risk that adverse price movements in an instrument can result in a loss substantially greater than the Funds’ initial investment in that instrument (in some cases, the potential loss is unlimited); and the risk that a counterparty will not perform its obligations. The Credit Opportunities Fund had futures contracts activity during the six months ended June 30, 2021. Realized and unrealized gains and losses are included in the Statements of Operations. The U.S. High Yield Fund, Low Duration Fund and Floating Rate Fund did not have futures contracts activity during the six months ended June 30, 2021. | |
D. | Forward Foreign Currency Exchange Contracts. During the six months ended June 30, 2021, the Credit Opportunities Fund, Low Duration Fund and Floating Rate Fund entered into transactions to purchase or sell foreign currencies to protect the U.S. dollar value of the underlying non-U.S. portfolio securities against the effect of possible adverse movements in foreign exchange rates. When entering into a forward foreign currency exchange contract, the Funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. The unrealized gain or loss on the contracts and the forward rates at the reporting date is included in the Statements of Assets and Liabilities. Realized and unrealized gains and losses are included in the Statements of Operations. The U.S. High Yield Fund did not have forward foreign currency exchange contract activity during the six months ended June 30, 2021. | |
E. | Foreign Currency. Foreign currency amounts, other than the cost of investments, are translated into U.S. dollar values based upon the spot exchange rate prior to the close of regular trading. The cost of investments is translated at the rates of exchange prevailing on the dates the portfolio securities were acquired. The Funds include foreign exchange gains and losses from interest receivable and other foreign currency denominated payables and receivables in “Change in net unrealized appreciation/depreciation on foreign currency translation” and “Net realized gain (loss) on foreign currency.” The Funds do not isolate that portion of realized and unrealized gain (loss) on investments resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in the market price of securities for financial reporting purposes. Fluctuations in foreign exchange rates on investments are thus included in “Change in net unrealized appreciation/depreciation on investments” and “Net realized gain (loss) on investments” as shown in the Statements of Operations. |
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Muzinich Funds
NOTES TO FINANCIAL STATEMENTS June 30, 2021 (Unaudited) (Continued) |
F. | Federal Income Taxes. Each Fund has elected to be taxed as a “regulated investment company” and intends to distribute substantially all taxable income to its shareholders and otherwise comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. Therefore, no provision for federal income taxes or excise taxes has been made. | |
In order to avoid imposition of the excise tax applicable to regulated investment companies, each Fund intends to declare each year as dividends in each calendar year at least 98.0% of its net investment income (earned during the calendar year) and at least 98.2% of its net realized capital gains (earned during the twelve months ended October 31) plus undistributed amounts, if any, from prior years. | ||
Net capital losses incurred after October 31, and within the taxable year, are deemed to arise on the first business day of each Fund’s next taxable year. | ||
As of the most recent fiscal year ended December 31, 2020, the Credit Opportunities Fund deferred, on a tax basis, post-October losses of $1,741,240. The U.S. High Yield Fund, Low Duration Fund, and Floating Rate Fund did not defer any post-October losses as of December 31, 2020. | ||
As of the most recent fiscal year ended December 31, 2020, the Funds had the following capital loss carryovers, which do not expire and retain their original character. |
Credit Opportunities Fund | U.S. High Yield Fund | Low Duration Fund | Floating Rate Fund | ||||||||||||||
Short-Term Capital Loss Carryovers | $ | — | $ | 130,464 | $ | 14,532,857 | $ | 84,363 | |||||||||
Long-Term Capital Loss Carryovers | — | 588,029 | 19,178,802 | 219,409 | |||||||||||||
Total | $ | — | $ | 718,493 | $ | 33,711,659 | $ | 303,772 |
As of June 30, 2021, the Funds did not have any tax positions that did not meet the “more likely-than-not” threshold of being sustained by the applicable tax authority. Generally, tax authorities can examine all the tax returns filed for the last three years. The Funds identify their major tax jurisdictions as U.S. Federal and the Commonwealth of Massachusetts; however, the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially. | ||
G. | Securities Transactions and Investment Income. Investment securities transactions are accounted for on the trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Discounts/premiums on debt securities purchased are accreted/amortized over the life of the respective securities using the effective interest method. Dividend income is recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Other non-cash dividends are recognized as investment income at the fair value of the property received. Withholding taxes on foreign dividends and interest have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and rates. | |
H. | Distributions to Shareholders. Distributions to shareholders from net investment income for the Credit Opportunities Fund normally are declared and paid on a quarterly basis. Distributions to shareholders from net investment income for the U.S. High Yield Fund, Low Duration Fund and Floating Rate Fund normally are declared and paid on a monthly basis. Distributions are recorded on the ex-dividend date. Distributions to shareholders from net realized gains for the Funds normally are declared and paid on an annual basis, if applicable. | |
I. | Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amount of revenue and expenses during the reporting period. Actual results could differ from those estimates. | |
J. | Share Valuation. The net asset value (“NAV”) per share of each Fund is calculated by dividing the sum of the value of the securities held by each Fund, plus cash or other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding for each Fund, rounded to the nearest cent. The Funds’ shares will not be priced on the days on which the NYSE is closed for trading. The offering and redemption price per share for each Fund is equal to each Fund’s net asset value per share. The Funds charge a 1% redemption fee on shares held less than 90 days. The fee is deducted from the redemption proceeds otherwise payable to the shareholder. The Funds will retain the fee charged as paid-in capital and such fees become part of that Funds’ daily NAV calculation. | |
K. | Guarantees and Indemnifications. In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. |
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Muzinich Funds
NOTES TO FINANCIAL STATEMENTS June 30, 2021 (Unaudited) (Continued) |
L. | Illiquid Securities. Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a Board approved liquidity risk management program that requires, among other things, that the Funds limit their illiquid investments that are assets to no more than 15% of net assets. An illiquid investment is any investment that each Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. | |
M. | Variable and Floating Rate Securities. The Funds may invest in variable and floating rate securities. Fixed income securities that have variable or floating rates of interest may, under certain limited circumstances, have varying principal amounts. These securities pay interest at rates that are adjusted periodically according to a specified formula, usually with reference to one or more interest rate indices or market interest rates (the “underlying index”). The interest paid on these securities is a function primarily of the underlying index upon which the interest rate adjustments are based. These adjustments minimize changes in the market value of the obligation. Similar to fixed rate debt instruments, variable and floating rate instruments are subject to changes in value based on changes in market interest rates or changes in the issuer’s creditworthiness. The rate of interest on securities may be tied to U.S. Government Securities or indices on those securities as well as any other rate of interest or index. | |
Variable and floating rate demand notes of corporations are redeemable upon a specified period of notice. These obligations include master demand notes that permit investment of fluctuating amounts at varying interest rates under direct arrangements with the issuer of the instrument. The issuer of these obligations often has the right, after a given period, to prepay the outstanding principal amount of the obligations upon a specified number of days’ notice. | ||
Certain securities may have an initial principal amount that varies over time based on an interest rate index, and, accordingly, a Fund might be entitled to less than the initial principal amount of the security upon the security’s maturity. A Fund intends to purchase these securities only when the Advisor believes the interest income from the instrument justifies any principal risks associated with the instrument. The Advisor may attempt to limit any potential loss of principal by purchasing similar instruments that are intended to provide an offsetting increase in principal. There can be no assurance that the Advisor will be able to limit the effects of principal fluctuations and, accordingly, a Fund may incur losses on those securities even if held to maturity without issuer default. | ||
N. | When-Issued Securities and Forward Commitments. The Funds may purchase securities offered on a “when-issued” and “forward commitment” basis (including a delayed delivery basis). Securities purchased on a “when-issued” or “forward commitment basis” are securities not available for immediate delivery despite the fact that a market exists for those securities. A purchase is made on a “delayed delivery” basis when the transaction is structured to occur sometime in the future. | |
When these transactions are negotiated, the price, which is generally expressed in yield terms, is fixed at the time the commitment is made, but delivery and payment for the securities take place at a later date. Normally, the settlement date occurs within two months after the transaction, but delayed settlements beyond two months may be negotiated. During the period between a commitment and settlement, no payment is made for the securities purchased by the purchaser and, thus, no interest accrues to the purchaser from the transaction. At the time a Fund makes the commitment to purchase securities on a when-issued basis or forward commitment, the Fund will record the transaction as a purchase and thereafter reflect the value each day of such securities in determining its NAV. No when-issued or forward commitments will be made by a Fund if, as a result, more than 5% of the Fund’s total assets would be committed to such transactions. | ||
O. | Deposits at Broker. Deposits at broker represents amounts that are held by third parties under certain of the Funds’ derivative transactions. Such deposits are excluded from cash and equivalents in the Statements of Assets and Liabilities. Interest income earned on such deposits is recorded in “Other income” on the Statements of Operations, if applicable. | |
P. | Offsetting Agreements. The Funds may be subject to netting arrangements, which govern the terms of certain transactions with counterparties. The arrangements allow the Funds to close out and net its total exposure to a counterparty in the event of a default with respect to all transactions governed under a single agreement with a counterparty. |
55
Muzinich Funds
NOTES TO FINANCIAL STATEMENTS June 30, 2021 (Unaudited) (Continued) |
The following table presents derivative financial instruments that are subject to enforceable netting arrangements, collateral arrangements or other similar agreements as of June 30, 2021: | |
Credit Opportunities Fund |
Gross Amounts Offset | Net Amounts Presented | Cash Collateral | ||||||||||||||||||||||||
in the Statements | in the Statements | Financial | Pledged | |||||||||||||||||||||||
Description | Gross Amounts | of Assets and Liabilities | of Assets and Liabilities | Instruments | (Received) | Net Amount | ||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Forward foreign | ||||||||||||||||||||||||||
currency exchange | ||||||||||||||||||||||||||
contracts | $ | 2,318,238 | $ | — | $ | 2,318,238 | $ | (130,344 | ) | $ | — | $ | 2,187,894 | |||||||||||||
Liabilities | ||||||||||||||||||||||||||
Forward foreign | ||||||||||||||||||||||||||
currency exchange | ||||||||||||||||||||||||||
contracts | 130,344 | — | 130,344 | (130,344 | ) | — | — | |||||||||||||||||||
Low Duration Fund | ||||||||||||||||||||||||||
Gross Amounts Offset | Net Amounts Presented | Cash Collateral | ||||||||||||||||||||||||
in the Statements | in the Statements | Financial | Pledged | |||||||||||||||||||||||
Description | Gross Amounts | of Assets and Liabilities | of Assets and Liabilities | Instruments | (Received) | Net Amount | ||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Forward foreign | ||||||||||||||||||||||||||
currency exchange | ||||||||||||||||||||||||||
contracts | $ | 2,496,760 | $ | — | $ | 2,496,760 | $ | (256,732 | ) | $ | — | $ | 2,240,028 | |||||||||||||
Liabilities | ||||||||||||||||||||||||||
Forward foreign | ||||||||||||||||||||||||||
currency exchange | ||||||||||||||||||||||||||
contracts | 256,732 | — | 256,732 | (256,732 | ) | — | — | |||||||||||||||||||
Floating Rate Fund | ||||||||||||||||||||||||||
Gross Amounts Offset | Net Amounts Presented | Cash Collateral | ||||||||||||||||||||||||
in the Statements | in the Statements | Financial | Pledged | |||||||||||||||||||||||
Description | Gross Amounts | of Assets and Liabilities | of Assets and Liabilities | Instruments | (Received) | Net Amount | ||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Forward foreign | ||||||||||||||||||||||||||
currency exchange | ||||||||||||||||||||||||||
contracts | $ | 84,262 | $ | — | $ | 84,262 | $ | — | $ | — | $ | 84,262 | ||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Forward foreign | ||||||||||||||||||||||||||
currency exchange | ||||||||||||||||||||||||||
contracts | — | — | — | — | — | — |
The above forward foreign currency exchange contracts had Bank of New as their counterparty. | ||
Q. | Recently Issued Accounting Pronouncements. On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Funds will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager. The Funds are currently evaluating the impact, if any, of applying this provision. | |
In December 2020, the SEC adopted a new rule providing a framework for fund valuation practices (“Rule 2a-5”). Rule 2a-5 establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit fund boards to designate certain parties to perform fair value determinations, subject to board oversight and certain other conditions. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. In connection with Rule 2a-5, the SEC also adopted related recordkeeping requirements and is rescinding previously issued guidance, including with respect to the role of a |
56
Muzinich Funds
NOTES TO FINANCIAL STATEMENTS June 30, 2021 (Unaudited) (Continued) |
board in determining fair value and the accounting and auditing of fund investments. The Funds will be required to comply with the rules by September 8, 2022. The Funds are currently evaluating the impact, if any, of applying this provision. | ||
In October 2020, the SEC adopted new Rule 12d1-4 under the 1940 Act and other regulatory changes which are expected to be effective on or about January 19, 2022. Those changes are intended to streamline and enhance the regulatory framework for investments by one fund into another fund or ‘fund-of-funds arrangements.’ These regulatory changes may limit the Funds’ ability to pursue their principal investment strategies by investing in other investment companies or pooled investment vehicles or to invest in those investment companies or pooled investment vehicles they believe are most desirable. The Funds are currently assessing the potential impact of the new rule on the Funds’ financial statements. | ||
R. | Subsequent Events. In preparing these financial statements, the Funds have evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued. On July 7, 2021, Foreside Financial Group, LLC (“Foreside”), the parent company of Quasar Distributors, LLC (or “Distributor”), the Funds’ distributor, announced that it had entered into a definitive purchase and sale agreement with Genstar Capital (“Genstar”) such that Genstar would acquire a majority stake in Foreside. The transaction is expected to close at the end of the third quarter of 2021. Quasar will remain the Funds’ distributor at the close of the transaction, subject to Board approval. |
NOTE 3 – COMMITMENTS AND OTHER RELATED PARTY TRANSACTIONS |
Muzinich & Co., Inc. (the “Advisor”) provides the Funds with investment management services under an Investment Advisory Agreement (the “Advisory Agreement”). Under the Advisory Agreement, the Advisor furnishes all investment advice, office space, facilities, and most of the personnel needed by each Fund. As compensation for its services, the Advisor is entitled to receive a monthly fee. For the Credit Opportunities Fund, the Advisor is entitled to a monthly fee at the annual rate of 0.60% based upon the average daily net assets of the Fund. For the U.S. High Yield Fund, the Advisor is entitled to a monthly fee at the annual rate of 0.55% based upon the average daily net assets of the Fund. For the Low Duration Fund, the Advisor is entitled to a monthly fee at the annual rate of 0.45% based upon the average daily net assets of the Fund. For the Floating Rate Fund, the Advisor is entitled to a monthly fee at the annual rate of 0.50% based upon the average daily net assets of the Fund. The investment advisory fees incurred by the Funds for the six months ended June 30, 2021, are disclosed in the Statements of Operations. The investment advisory fees incurred are paid monthly to the Advisor, net of any monthly waiver or reimbursement discussed below.
The Advisor has contractually agreed to waive its fees and reimburse certain expenses (excluding taxes, interest expenses, interest on short positions, portfolio transaction expenses, acquired fund fees and expenses, extraordinary expenses, Rule 12b-1 fees, shareholder servicing fees and any other class specific expenses) to limit total expenses to 0.60%, 0.58%, 0.50%, and 0.55% of the Credit Opportunities Fund’s, U.S. High Yield Fund’s, Low Duration Fund’s, and Floating Rate Fund’s average daily net assets, respectively. The Operating Expenses Limitation Agreements have an indefinite term and may be terminated at any time, and without payment of any penalty, by the Board, on behalf of the Funds, upon sixty (60) days’ written notice to the Advisor. Any fees waived and/or Fund expenses absorbed by the Advisor pursuant to an agreed-upon expense cap shall be reimbursed by the Funds to the Advisor, if so requested by the Advisor, any time before the end of the third year following the fee waiver and/or expense absorption, provided the aggregate amount of the Funds’ current operating expenses for such year does not exceed the lesser expense cap in place at the time of waiver or at the time of reimbursement. The Funds must pay their current ordinary operating expenses before the Advisor is entitled to any reimbursement of fees and/or expenses. Any such reimbursement is also contingent upon the Board’s review and approval. The amounts of fees waived and expenses absorbed by the Advisor during the six months ended June 30, 2021, are disclosed in the Statements of Operations. Any amount due from the Advisor is paid monthly to the Funds, if applicable.
As of June 30, 2021, the remaining cumulative amounts that may be recouped by the Advisor on behalf of the Funds are shown in the following tables. The Advisor may recapture a portion of the unreimbursed amounts no later than the dates as stated.
Expiration | Credit Opportunities Fund | U.S. High Yield Fund | Low Duration Fund | Floating Rate Fund | |||||||||||||
December 31, 2021 | $ | 338,112 | $ | 146,352 | $ | 362,523 | $ | 93,217 | |||||||||
December 31, 2022 | 627,223 | 241,670 | 617,857 | 138,558 | |||||||||||||
December 31, 2023 | 705,367 | 225,751 | 608,830 | 140,042 | |||||||||||||
June 30, 2024 | 361,171 | 120,436 | 288,059 | 60,745 | |||||||||||||
Total | $ | 2,031,873 | $ | 734,209 | $ | 1,877,269 | $ | 432,562 |
If a Fund invested in other investment vehicles sponsored by the Advisor (“Affiliated Mutual Fund”) during the period, the Advisor waived its advisory fee to the Fund in an amount equal to the overall operating expenses of the other Muzinich Funds Affiliated Mutual Fund in respect to Fund assets so invested. Any amount waived with respect to an investment in an Affiliated
57
Muzinich Funds
NOTES TO FINANCIAL STATEMENTS June 30, 2021 (Unaudited) (Continued) |
Mutual Fund is voluntary and not eligible for reimbursement to the Advisor. Accordingly, the Advisor waived the following fees for the six months ended June 30, 2021:
Fund | Amount Waived | ||||
Credit Opportunities Fund | $ | 19,603 | |||
Low Duration Fund | 14,198 |
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), acts as the Funds’ administrator, fund accountant and transfer agent. In those capacities Fund Services maintains the Funds’ books and records, calculates the Funds’ NAV, prepares various federal and state regulatory filings, coordinates the payment of fund expenses, reviews expense accruals and prepares materials supplied to the Board. The officers of the Trust and the Chief Compliance Officer are also employees of Fund Services. Fees paid by the Funds to Fund Services for these services for the six months ended June 30, 2021, are disclosed in the Statements of Operations.
The Distributor acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ shares. U.S. Bank N.A. serves as custodian to the Funds. U.S. Bank N.A. is an affiliate of Fund Services.
The Funds have adopted a Distribution Plan in accordance with Rule 12b-1 under the 1940 Act with respect to Class A shares. The Distribution Plan provides that each Fund may pay a fee to the Distributor, at an annual rate of up to 0.25% of the average daily net assets of Class A shares. No distribution fees are paid by Supra Institutional or Institutional Class shares. These fees may be used by the Distributor to provide compensation for sales support, distribution activities, or shareholder servicing activities. As of June 30, 2021, Class A shares are not offered for the U.S. High Yield Fund, Low Duration Fund and Floating Rate Fund.
Pursuant to a Shareholder Service Plan adopted by the Trust and established by the Funds with respect to the Class A shares and Institutional Class shares of the Funds, the Advisor is authorized to provide, or arrange for others to provide, personal shareholder services relating to the servicing and maintenance of shareholder accounts not otherwise provided to the Funds (“Shareholder Servicing Activities”). Under the Shareholder Service Plan, the Advisor may enter into shareholder service agreements with securities broker-dealers and other securities professionals who provide Shareholder Servicing Activities for their clients invested in the Funds. The shareholder servicing fees incurred by the Funds for the six months ended June 30, 2021, are disclosed in the Statements of Operations. As of June 30, 2021, Class A shares are not offered for the U.S. High Yield Fund, Low Duration Fund and Floating Rate Fund.
NOTE 4 – PURCHASES AND SALES OF SECURITIES |
For the six months ended June 30, 2021, the cost of purchases and proceeds from the sales and maturities of securities, excluding short-term investments, were as follows:
Purchases | Sales/Maturities | ||||||||
Credit Opportunities Fund | $ | 316,657,030 | $ | 321,525,288 | |||||
U.S. High Yield Fund | 21,756,568 | 60,690,123 | |||||||
Low Duration Fund | 146,861,873 | 397,246,334 | |||||||
Floating Rate Fund | 23,863,574 | 12,017,315 |
For the six months ended June 30, 2021, the cost of purchases and proceeds from the sales and maturities of long-term U.S. Government obligations included in the above, were as follows:
Purchases | Sales/Maturities | ||||||||
Credit Opportunities Fund | $ | 18,436,413 | $ | 5,467,170 |
There were no purchases or sales/maturities of long-term U.S. Government securities for the U.S. High Yield Fund, Low Duration Fund or Floating Rate Fund during the six months ended June 30, 2021.
58
Muzinich Funds
NOTES TO FINANCIAL STATEMENTS June 30, 2021 (Unaudited) (Continued) |
NOTE 5 – TRANSACTIONS WITH AFFILIATES |
The Muzinich Funds’ transactions with affiliates represent holdings for which the respective Fund and the underlying investee fund have the same investment advisor. The following is a reconciliation of the Muzinich Funds’ transactions with affiliates during the six months ended June 30, 2021:
Credit Opportunities Fund
Share/Par | Change in | |||||||
Balance | Value as of | Unrealized | Value as of | |||||
Controlled Company | June 30, | December 31, | Realized | Appreciation/ | June 30, | Dividend and | ||
Affiliated Mutual Fund | 2021 | 2020 | Acquisitions | Dispositions | Gain (Loss) | Depreciation | 2021 | Interest Income |
Floating Rate Fund | 604,708 | $5,992,656 | $ — | $ — | $ — | $108,848 | $6,101,504 | $78,316 |
Low Duration Fund
Share/Par | Change in | |||||||
Balance | Value as of | Unrealized | Value as of | |||||
Controlled Company | June 30, | December 31, | Realized | Appreciation/ | June 30, | Dividend and | ||
Affiliated Mutual Fund | 2021 | 2020 | Acquisitions | Dispositions | Gain (Loss) | Depreciation | 2021 | Interest Income |
Floating Rate Fund | 351,978 | $6,937,000 | $ — | $(3,500,000) | $19,780 | $94,678 | $3,551,458 | $51,344 |
The Funds did not have investments in majority-owned subsidiaries or other controlled companies.
The U.S. High Yield Fund and Floating Rate Fund had no transactions with Affiliated Companies during the six months ended June 30, 2021.
NOTE 6 – DISTRIBUTIONS TO SHAREHOLDERS |
The tax character of distributions paid during the six months ended June 30, 2021, and the year ended December 31, 2020, was as follows:
Ordinary Income | ||||||||
June 30, 2021 | ||||||||
(Estimated) | December 31, 2020 | |||||||
Credit Opportunities Fund | $ | 4,969,182 | $ | 13,943,065 | ||||
U.S. High Yield Fund | 1,147,131 | 3,046,217 | ||||||
Low Duration Fund | 6,759,616 | 12,974,336 | ||||||
Floating Rate Fund | 357,044 | 543,140 | ||||||
Long-Term Capital Gains1 | ||||||||
June 30, 2021 | ||||||||
(Estimated) | December 31, 2020 | |||||||
Credit Opportunities Fund | $ | — | $ | 1,263,446 | ||||
U.S. High Yield Fund | — | — | ||||||
Low Duration Fund | — | �� | — | |||||
Floating Rate Fund | — | — |
1 Designated as long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3).
The Funds also designate as distributions of long-term gains, to the extent necessary to fully distribute such capital gains, earnings and profits distributed to shareholders on the redemption of shares.
59
Muzinich Funds
NOTES TO FINANCIAL STATEMENTS June 30, 2021 (Unaudited) (Continued) |
The cost basis of investments for federal income tax purposes as of the most recent fiscal year ended December 31, 2020, was as follows:
Credit | Low | |||||||||||||||
Opportunities | U.S. High | Duration | Floating | |||||||||||||
Fund | Yield Fund | Fund | Rate Fund | |||||||||||||
Cost of investments | $ | 494,167,346 | $ | 63,006,137 | $ | 547,889,119 | $ | 16,884,568 | ||||||||
Gross tax unrealized appreciation | 27,725,075 | 4,149,128 | 33,665,938 | 301,032 | ||||||||||||
Gross tax unrealized depreciation | (363,315 | ) | (221,063 | ) | (2,363,207 | ) | (110,578 | ) | ||||||||
Net tax unrealized appreciation (depreciation) | 27,361,760 | 3,928,065 | 31,302,731 | 190,454 | ||||||||||||
Undistributed ordinary income (loss) | 1,364,122 | 7,665 | 2,194,614 | 38,522 | ||||||||||||
Undistributed long-term capital gains (losses) | — | — | — | — | ||||||||||||
Total distributable earnings | 1,364,122 | 7,665 | 2,194,614 | 38,522 | ||||||||||||
Other distributable (accumulated) gains (losses) | (1,632,827 | ) | (718,493 | ) | (33,488,390 | ) | (283,981 | ) | ||||||||
Total distributable (accumulated) earnings (losses) | $ | 27,093,055 | $ | 3,217,237 | $ | 8,955 | $ | (55,005 | ) |
NOTE 7 – CREDIT FACILITY |
U.S. Bank N.A. has made available to the Credit Opportunities Fund, U.S. High Yield Fund and Low Duration Fund credit facilities pursuant to a separate Loan and Security Agreement for temporary or extraordinary purposes. Credit facility details for the six months ended June 30, 2021, are as follows:
Credit Opportunities Fund | ||||
Maximum available credit | $20,000,000 | |||
Largest amount outstanding on an individual day | — | |||
Average daily loan outstanding when in use | — | |||
Credit facility outstanding as of June 30, 2021 | — | |||
Average interest rate when in use | — | % | ||
U.S. High Yield Fund | ||||
Maximum available credit | $4,000,000 | |||
Largest amount outstanding on an individual day | 3,755,000 | |||
Average daily loan outstanding when in use | 2,060,357 | |||
Credit facility outstanding as of June 30, 2021 | — | |||
Average interest rate when in use | 3.25 | % | ||
Low Duration Fund | ||||
Maximum available credit | $50,000,000 | |||
Largest amount outstanding on an individual day | 922,000 | |||
Average daily loan outstanding when in use | 489,750 | |||
Credit facility outstanding as of June 30, 2021 | — | |||
Average interest rate when in use | 3.25 | % |
Interest expense for the six months ended June 30, 2021, is disclosed in the Statements of Operations, if applicable.
NOTE 8 – SIGNIFICANT SHAREHOLDER HOLDINGS |
As of June 30, 2021, shareholders affiliated with the Funds and/or Advisor owned shares of the Funds as follows:
% of Total Shares Outstanding Owned | ||
Total Shares Outstanding | by Affiliated Shareholders | |
Muzinich High Income Floating Rate Fund | 3,179,011 | 30% |
60
Muzinich Funds
NOTES TO FINANCIAL STATEMENTS June 30, 2021 (Unaudited) (Continued) |
NOTE 9 – RISKS ASSOCIATED WITH THE DISCONTINUATION OF THE LONDON INTERBANK OFFERED RATE (“LIBOR”) |
The Funds invest significantly in corporate bonds that have interest rate provisions linked to LIBOR. LIBOR is used extensively in the U.S. and globally as a “benchmark” or “reference rate” for such loans. It is expected that a number of private-sector banks currently reporting information used to set LIBOR will stop doing so after 2021 when their current reporting commitment ends, which could either cause LIBOR to stop publication immediately or cause LIBOR’s regulator to determine that its quality has degraded to the degree that it is no longer representative of its underlying market. The expected discontinuation of LIBOR may impact the functioning, liquidity, and value of these investments.
NOTE 10 – (COVID-19) PANDEMIC |
The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.
61
Muzinich Funds
EXPENSE EXAMPLES For the Six Months Ended June 30, 2021 (Unaudited) |
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including investment advisory fees, service fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2021 – June 30, 2021).
Actual Expenses
The “Actual” lines for each respective class of the following tables provide information about actual account values based on actual returns and actual expenses. You will be assessed fees for outgoing wire transfers, returned checks and stop payment orders at prevailing rates charged by Fund Services, the Funds’ transfer agent. If you request that a redemption be made by wire transfer, Fund Services currently charges a $15.00 fee. The Funds charge a redemption fee equal to 1.00% of the net amount of the redemption if you redeem shares within 90 calendar days after you purchase them. To the extent the Funds invest in shares of other investment companies as part of their strategies, you will indirectly bear your proportionate share of any fees and expenses charged by the underlying funds in which the Funds invest in addition to the expenses of the Funds. Actual expenses of the underlying funds may vary. These expenses are not included in the following examples.
The following examples include, but are not limited to, investment advisory fees, shareholder servicing fees, fund accounting fees, fund administration fees, custody fees, and transfer agent fees. However, the following examples do not include portfolio trading commissions and related expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The “Hypothetical” line for each respective class of the following tables provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, each hypothetical line of the tables is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Credit Opportunities Fund
Beginning | Ending | Expenses Paid | |
Account Value | Account Value | During the Period | |
1/1/21 | 6/30/21 | 1/1/2021 – 6/30/20211 | |
Supra Institutional Class Actual | $1,000.00 | $1,008.70 | $2.94 |
Hypothetical (5% annual return before taxes) | $1,000.00 | $1,021.87 | $2.96 |
Beginning | Ending | Expenses Paid | |
Account Value | Account Value | During the Period | |
1/1/21 | 6/30/21 | 1/1/2021 – 6/30/20211 | |
Institutional Class Actual | $1,000.00 | $1,009.30 | $3.24 |
Hypothetical (5% annual return before taxes) | $1,000.00 | $1,021.57 | $3.26 |
1 | Expenses are equal to the annualized net expense ratio for the most recent six-month period. The annualized six-month expense ratios for Supra Institutional Class and Institutional Class shares were 0.59% and 0.65% (reflecting fee waivers in effect), respectively, multiplied by the average account value over the period multiplied by 181/365 (to reflect the one half-year period). |
62
Muzinich Funds
EXPENSE EXAMPLES For the Six Months Ended June 30, 2021 (Unaudited) (Continued) |
U.S. High Yield Fund | |||
Beginning | Ending | Expenses Paid | |
Account Value | Account Value | During the Period | |
1/1/21 | 6/30/21 | 1/1/2021 – 6/30/20212 | |
Supra Institutional Class Actual | $1,000.00 | $1,031.90 | $2.92 |
Hypothetical (5% annual return before taxes) | $1,000.00 | $1,021.92 | $2.91 |
Beginning | Ending | Expenses Paid | |
Account Value | Account Value | During the Period | |
1/1/21 | 6/30/21 | 1/1/2021 – 6/30/20212 | |
Institutional Class Actual | $1,000.00 | $1,031.80 | $2.92 |
Hypothetical (5% annual return before taxes) | $1,000.00 | $1,021.92 | $2.91 |
Low Duration Fund | |||
Beginning | Ending | Expenses Paid | |
Account Value | Account Value | During the Period | |
1/1/21 | 6/30/21 | 1/1/2021 – 6/30/20213 | |
Supra Institutional Class Actual | $1,000.00 | $1,019.30 | $2.45 |
Hypothetical (5% annual return before taxes) | $1,000.00 | $1,022.36 | $2.46 |
Beginning | Ending | Expenses Paid | |
Account Value | Account Value | During the Period | |
1/1/21 | 6/30/21 | 1/1/2021 – 6/30/20213 | |
Institutional Class Actual | $1,000.00 | $1,020.90 | $2.46 |
Hypothetical (5% annual return before taxes) | $1,000.00 | $1,022.36 | $2.46 |
Floating Rate Fund | |||
Beginning | Ending | Expenses Paid | |
Account Value | Account Value | During the Period | |
1/1/21 | 6/30/21 | 1/1/2021 – 6/30/20214 | |
Institutional Class Actual | $1,000.00 | $1,031.30 | $3.22 |
Hypothetical (5% annual return before taxes) | $1,000.00 | $1,021.62 | $3.21 |
2 | Expenses are equal to the annualized net expense ratio for the most recent six-month period. The annualized six-month expense ratios for Supra Institutional Class and Institutional Class shares were 0.58% and 0.58% (reflecting fee waivers in effect), respectively, multiplied by the average account value over the period multiplied by 181/365 (to reflect the one half-year period). |
3 | Expenses are equal to the annualized net expense ratio for the most recent six-month period. The annualized six-month expense ratios for Supra Institutional Class and Institutional Class shares were 0.49% and 0.49% (reflecting fee waivers in effect), multiplied by the average account value over the period multiplied by 181/365 (to reflect the one half-year period). |
4 | Expenses are equal to the annualized net expense ratio for the most recent six-month period. The annualized six-month expense ratios for Institutional Class shares was 0.64% (reflecting fee waivers in effect), multiplied by the average account value over the period multiplied by 181/365 (to reflect the one half-year period). |
63
Muzinich Funds
STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM |
Each Fund has adopted a liquidity risk management program (the “program”). The Board has designated a committee of the Advisor to serve as the administrator of the program. Personnel of Muzinich conduct the day-to-day operation of the program pursuant to policies and procedures administered by the committee.
Under the program, the committee manages each Fund’s liquidity risk, which is the risk that the Fund could not meet shareholder redemption requests without significant dilution of remaining shareholders’ interests in the Fund. This risk is managed by monitoring the degree of liquidity of each Fund’s investments, limiting the amount of each Fund’s illiquid investments, and utilizing various risk management tools and facilities available to each Fund for meeting shareholder redemptions, among other means. The committee’s process of determining the degree of liquidity of each Fund’s investments is supported by one or more third-party liquidity assessment vendors.
The Board reviewed a report prepared by the committee regarding the operation and effectiveness of the program for the period January 1, 2020 through December 31, 2020. No significant liquidity events impacting the Funds were noted in the report. In addition, the Advisor provided its assessment that the program had been effective in managing each Fund’s liquidity risk.
64
Muzinich Funds
INFORMATION ABOUT PROXY VOTING (Unaudited) |
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 1-855-MUZINICH (1-855-689-4642). Furthermore, you can obtain the description on the SEC’s website at www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent period ended June 30 is available without charge, upon request, by calling 1-855-MUZINICH (1-855-689-4642). Furthermore, you can obtain the Funds’ proxy voting records on the SEC’s website at www.sec.gov.
INFORMATION ABOUT THE PORTFOLIO HOLDINGS (Unaudited) |
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Part F of Form N-PORT. The Funds’ Form N-PORT is available on the SEC’s website at www.sec.gov. The Funds’ Form N-PORT may also be obtained by calling toll-free 1-855-MUZINICH (1-855-689-4642).
INFORMATION ABOUT HOUSEHOLDING (Unaudited) |
Each year, you are automatically sent an updated prospectus as well as annual and semi-annual reports for the Funds, if applicable. To reduce expenses, the Funds may mail only one copy of each Fund’s prospectus and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call us at 1-855-MUZINICH (1-855-689-4642) (or contact your financial institution). We will begin sending you individual copies thirty days after receiving your request.
INFORMATION ABOUT THE FUNDS’ TRUSTEES (Unaudited) |
The Statement of Additional Information (“SAI”) includes additional information about the Funds’ Trustees and is available without charge, upon request, by calling 1-855-MUZINICH (1-855-689-4642). Furthermore, you can obtain the SAI on the SEC’s web site at www.sec.gov or the Funds’ website at www.muzinichusfunds.com.
65
Muzinich Funds
PRIVACY NOTICE (Unaudited) |
The Funds collect non-public information about you from the following sources:
• Information we receive about you on applications or other forms;
• Information you give us orally; and
• Information about your transactions with us or others.
We do not disclose any non-public personal information about our shareholders or former shareholders without the shareholder’s authorization, except as permitted by law or in response to inquiries from governmental authorities. We may share information with affiliated parties and unaffiliated third parties with whom we have contracts for servicing the Funds. We will provide unaffiliated third parties with only the information necessary to carry out their assigned responsibility. We maintain physical, electronic and procedural safeguards to protect your non-public personal information and require third parties to treat your non-public information with the same high degree of confidentiality.
In the event that you hold shares of a Fund through a financial intermediary, including, but not limited to, a brokerdealer, bank or trust company, the privacy policy of your financial intermediary would govern how your non-public personal information would be shared by those entities with unaffiliated third parties.
66
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Advisor
MUZINICH & CO., INC
450 Park Avenue
New York, New York 10022
Distributor
QUASAR DISTRIBUTORS, LLC
111 East Kilbourne Avenue, Suite 2200
Milwaukee, Wisconsin 53202
Custodian
U.S. BANK N.A.
Custody Operations
1555 North RiverCenter Drive, Suite 302
Milwaukee, Wisconsin 53212
Transfer Agent, Fund Accountant,
and Fund Administrator
U.S. BANCORP FUND SERVICES, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202
Independent Registered Public Accounting Firm
TAIT, WELLER & BAKER LLP
Two Liberty Place
50 South 16th Street, Suite 2900
Philadelphia, Pennsylvania 19102-2529
Legal Counsel
SULLIVAN & WORCESTER LLP
1633 Broadway, 32nd Floor
New York, New York 10019
Fund | Class | Symbol | CUSIP |
Muzinich Credit Opportunities Fund | Supra Institutional Class | MZCSX | 74316J532 |
Institutional Class | MZCIX | 74316J540 | |
Muzinich U.S. High Yield Credit Fund | Supra Institutional Class | MZHSX | 74316J565 |
Institutional Class | MZHIX | 74316J573 | |
Muzinich Low Duration Fund | Supra Institutional Class | MZLSX | 74316P132 |
Institutional Class | MZLIX | 74316P124 | |
Muzinich High Income Floating Rate Fund | Institutional Class | MZFIX | 74316J615 |
(b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. Investments.
(a) Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed‑End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has adopted a nominating committee charter that contains the procedures by which shareholders may recommend nominees to the registrant’s board of trustees. There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees for the period.
Item 11. Controls and Procedures.
(a) | The Registrant’s Principal Executive Officer and Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to open-end investment companies.
Item 13. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Incorporated by reference to previous Form N-CSR filing. |
(3) Any written solicitation to purchase securities under Rule 23c‑1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Professionally Managed Portfolios
By (Signature and Title) /s/Elaine E. Richards
Elaine E. Richards, President/Principal Executive Officer
Date August 30, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) /s/Elaine E. Richards
Elaine E. Richards, President/Principal Executive Officer
Date August 30, 2021
By (Signature and Title) /s/Aaron J. Perkovich
Aaron J. Perkovich, Treasurer/Principal Financial Officer
Date August 30, 2021
* Print the name and title of each signing officer under his or her signature.