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Wilmington Funds

Filed: 24 Sep 21, 12:22pm
     1

    

 

Wilmington Intermediate-Term Bond Fund

PORTFOLIO OF INVESTMENTS

July 31, 2021 (unaudited)

 

 Description

  Par Value   Value 

ADJUSTABLE RATE MORTGAGE – 0.0%**

 

  

FEDERAL NATIONAL MORTGAGE ASSOCIATION

(FNMA) – 0.0%**

 

 

Pool 612514, (12 Month USD

LIBOR + 1.72%, Cap 8.96%,

Floor 1.72%),
1.97%, 05/01/33D

  $7,727   $8,111 
    

 

 

 

TOTAL ADJUSTABLE RATE MORTGAGE

(COST $7,716)

 

 

  $8,111 

CORPORATE BONDS – 60.7%

    

AEROSPACE & DEFENSE – 2.8%

    

Boeing Co. (The), Sr. Unsecured

    

1.17%, 02/04/23

   250,000    250,617 

1.95%, 02/01/24

   350,000    359,080 

3.20%, 03/01/29

   150,000    158,451 
    

 

 

 

TOTAL AEROSPACE & DEFENSE

    $768,148 

AUTOMOTIVE – 3.2%

    

Ford Motor Credit Co. LLC, Sr. Unsecured

    

5.58%, 03/18/24

   250,000    273,031 

2.90%, 02/16/28

   250,000    252,538 

General Motors Financial Co., Inc., Sr.

Unsecured

    

1.05%, 03/08/24

   100,000    101,066 

2.90%, 02/26/25

   230,000    244,516 
    

 

 

 

TOTAL AUTOMOTIVE

    $871,151 

BIOTECHNOLOGY – 0.9%

 

  

Amgen, Inc., Sr. Unsecured,

2.25%, 08/19/23

   225,000    232,813 

BUILDING PRODUCTS – 2.5%

 

  

Carrier Global Corp., Sr. Unsecured,

2.49%, 02/15/27

   250,000    264,414 

Johnson Controls International PLC, Sr.

Unsecured,

3.63%, 07/02/24ÿ

   373,000    401,762 
    

 

 

 

TOTAL BUILDING PRODUCTS

    $666,176 

CAPITAL MARKETS – 5.1%

 

  

Bank of America Corp., Sr. Unsecured, MTN,

 

  

(SOFR + 1.15%),

1.32%, 06/19/26D

   250,000    251,804 

Goldman Sachs Group, Inc. (The),

Sr. Unsecured

    

0.48%, 01/27/23

   170,000    169,869 

(3 Month USD LIBOR + 1.20%),

3.27%, 09/29/25D

   210,000    225,233 

Morgan Stanley, Sr. Unsecured,

(SOFR + 0.72%),

0.99%, 12/10/26D

   175,000    173,349 

TD Ameritrade Holding Corp., Sr.

Unsecured,

2.95%, 04/01/22

   250,000    253,433 

Toronto-Dominion Bank (The), Sr.

Unsecured, GMTN,

3.25%, 03/11/24

   275,000    294,271 
    

 

 

 

TOTAL CAPITAL MARKETS

    $  1,367,959 

COMMERCIAL SERVICES & SUPPLIES – 1.1%

 

Global Payments, Inc., Sr. Unsecured,

2.65%, 02/15/25

   275,000    290,274 

 Description

  Par Value   Value 

COMPUTERS – 1.0%

    

Apple, Inc., Sr. Unsecured,

0.70%, 02/08/26

   $110,000   $109,415 

Hewlett Packard Enterprise Co., Sr.

Unsecured,

1.45%, 04/01/24

   150,000    152,594 
    

 

 

 

TOTAL COMPUTERS

    $262,009 

DIVERSIFIED FINANCIAL SERVICES – 11.4%

 

American Express Co., Sr. Unsecured,

3.13%, 05/20/26

   150,000    164,678 

Capital One Financial Corp., Sr. Unsecured

 

  

(3 Month USD LIBOR + 0.95%),

1.07%, 03/09/22D

   250,000    251,068 

3.90%, 01/29/24

   250,000    269,395 

Citigroup, Inc., Subordinated,

4.13%, 07/25/28

   250,000    283,792 

Fifth Third Bancorp, Subordinated,

4.30%, 01/16/24

   250,000    270,941 

Huntington Bancshares, Inc.,

Subordinated,

4.35%, 02/04/23

   150,000    157,982 

JPMorgan Chase & Co., Sr. Unsecured,

 

(SOFR + 1.59%),

2.01%, 03/13/26D

   150,000    155,701 

PNC Financial Services Group, Inc. (The), Sr.

 

Unsecured,

3.45%, 04/23/29

   100,000    112,866 

PNC Financial Services Group, Inc. (The),

 

Subordinated,

3.90%, 04/29/24

   200,000    217,281 

Truist Bank, Sr. Unsecured, BKNT,

3.20%, 04/01/24

   175,000    187,373 

Truist Bank, Subordinated, BKNT,

3.63%, 09/16/25

   250,000    276,726 

Truist Financial Corp., Sr. Unsecured,

2.70%, 01/27/22

   250,000    252,547 

Truist Financial Corp., Sr. Unsecured, MTN,

 

(3 Month USD LIBOR + 0.65%),

0.80%, 04/01/22D

   345,000    345,890 

Wells Fargo & Co., Sr. Unsecured, MTN,

 

(3 Month USD LIBOR + 0.75%),

2.16%, 02/11/26D

   140,000    146,108 
    

 

 

 

TOTAL DIVERSIFIED FINANCIAL SERVICES

 

  $  3,092,348 

ELECTRIC – 3.4%

 

  

American Electric Power Co., Inc.,

Series M, Sr. Unsecured,

    

0.75%, 11/01/23#

   250,000    250,290 

FirstEnergy Corp., Series A, Sr.

Unsecured,

1.60%, 01/15/26

   250,000    248,898 

Southern Co. (The), Series 21-B, Sr.

Unsecured,

1.75%, 03/15/28

   40,000    40,050 

Union Electric Co., 1st Mortgage,

3.50%, 03/15/29

   220,000    247,163 

WEC Energy Group, Inc., Sr. Unsecured,

1.80%, 10/15/30

   150,000    147,182 
    

 

 

 

TOTAL ELECTRIC

    $933,583 
 

 

    

 

 

July 31, 2021 (unaudited)

2 PORTFOLIO OF INVESTMENTS

    

 

     

Wilmington Intermediate-Term Bond Fund (continued)

 

 

    

 Description

  Par Value   Value 

ELECTRONICS – 0.6%

    

Honeywell International, Inc., Sr. Unsecured,
0.48%, 08/19/22

   $175,000   $175,062 

FOOD & STAPLES RETAILING – 1.3%

 

  

Conagra Brands, Inc., Sr. Unsecured,
1.38%, 11/01/27

   200,000    196,517 

McCormick & Co., Inc., Sr. Unsecured,
0.90%, 02/15/26

   150,000    148,486 
    

 

 

 

TOTAL FOOD & STAPLES RETAILING

    $345,003 

HEALTHCARE-SERVICES – 1.7%

    

CommonSpirit Health, Sr. Secured,
3.35%, 10/01/29

   150,000    164,561 

UnitedHealth Group, Inc., Sr. Unsecured,
2.38%, 10/15/22

   300,000    307,722 
    

 

 

 

TOTAL HEALTHCARE-SERVICES

    $472,283 

HOUSEHOLD PRODUCTS/WARES – 0.8%

 

  

Church & Dwight Co., Inc., Sr. Unsecured, 2.45%, 08/01/22

   225,000    229,296 

INSURANCE – 2.7%

    

Aon PLC, Company Guaranteed,
4.00%, 11/27/23

   250,000    268,040 

CNA Financial Corp., Sr. Unsecured,
7.25%, 11/15/23

   200,000    229,079 

Principal Life Global Funding II, Secured,
1.63%, 11/19/30W

   250,000    242,485 
    

 

 

 

TOTAL INSURANCE

    $739,604 

MACHINERY – 0.2%

    

Caterpillar Financial Services Corp., Sr. Unsecured,
0.65%, 07/07/23

   50,000    50,348 

OIL & GAS – 0.9%

    

Pioneer Natural Resources Co., Sr. Unsecured,
1.90%, 08/15/30

   240,000    233,156 

PHARMACEUTICALS – 5.8%

    

AbbVie, Inc., Sr. Unsecured,
3.75%, 11/14/23

   150,000    160,537 

AstraZeneca PLC, Sr. Unsecured, 0.70%, 04/08/26

   100,000    98,886 

Becton Dickinson and Co., Sr. Unsecured,
1.96%, 02/11/31

   100,000    99,279 

Bristol-Myers Squibb Co., Sr. Unsecured,
2.75%, 02/15/23

   260,000    268,978 

Cardinal Health, Inc., Sr. Unsecured,
3.20%, 03/15/23

   350,000    365,203 

Cigna Corp., Sr. Unsecured,
2.38%, 03/15/31

   250,000    258,835 

CVS Health Corp., Sr. Unsecured

    

3.70%, 03/09/23

   35,000    36,731 

1.30%, 08/21/27#

   145,000    143,921 

Zoetis, Inc., Sr. Unsecured,
3.00%, 09/12/27

   125,000    136,153 
    

 

 

 

TOTAL PHARMACEUTICALS

    $1,568,523 

PIPELINES – 1.4%

    

Plains All American Pipeline LP, Sr. Unsecured,
3.85%, 10/15/23

   366,000    387,044 

 Description

  Par Value   Value 

REAL ESTATE INVESTMENT TRUSTS – 6.0%

 

American Tower Corp., Sr. Unsecured,
5.00%, 02/15/24

  $250,000   $276,797 

Healthcare Realty Trust, Inc., Sr. Unsecured

    

3.88%, 05/01/25

   300,000    328,532 

3.63%, 01/15/28#

   300,000    334,408 

Healthpeak Properties, Inc., Sr. Unsecured,
3.25%, 07/15/26

   110,000    120,220 

Ventas Realty LP, Company Guaranteed,
4.00%, 03/01/28

   250,000    284,673 

Welltower, Inc., Sr. Unsecured,
3.63%, 03/15/24

   250,000    268,502 
    

 

 

 

TOTAL REAL ESTATE INVESTMENT TRUSTS

 

  $1,613,132 

RETAIL – 1.8%

    

Amazon.com, Inc., Sr. Unsecured,
1.20%, 06/03/27

   100,000    100,847 

Lowe’s Cos., Inc., Sr. Unsecured,
3.65%, 04/05/29

   200,000    226,304 

Walgreens Boots Alliance, Inc., Sr. Unsecured,
3.20%, 04/15/30#

   150,000    162,748 
    

 

 

 

TOTAL RETAIL

    $489,899 

SEMICONDUCTORS – 0.6%

    

QUALCOMM, Inc., Sr. Unsecured,
3.25%, 05/20/27

   150,000    165,960 

SOFTWARE – 0.7%

    

Oracle Corp., Sr. Unsecured,
2.50%, 04/01/25

   50,000    52,653 

Roper Technologies, Inc., Sr. Unsecured,
3.13%, 11/15/22

   125,000    128,548 
    

 

 

 

TOTAL SOFTWARE

    $181,201 

TELECOMMUNICATIONS – 1.8%

    

AT&T, Inc., Sr. Unsecured,
0.90%, 03/25/24

   125,000    125,186 

Verizon Communications, Inc., Sr. Unsecured

    

0.75%, 03/22/24

   50,000    50,193 

2.63%, 08/15/26

   240,000    256,290 

2.10%, 03/22/28

   50,000    51,425 
    

 

 

 

TOTAL TELECOMMUNICATIONS

    $483,094 

TRANSPORTATION – 1.0%

    

Ryder System, Inc., Sr. Unsecured, MTN,
2.50%, 09/01/22

   265,000  �� 270,617 

TRUCKING & LEASING – 2.0%

    

GATX Corp., Sr. Unsecured,
3.25%, 09/15/26

   505,000    548,026 
    

 

 

 

TOTAL CORPORATE BONDS

(COST $15,795,094)

    $16,436,709 

GOVERNMENT AGENCIES – 3.1%

    

FEDERAL HOME LOAN MORTGAGE CORPORATION

(FHLMC) – 2.4%

 

 

0.30%, 08/10/23

   400,000    400,020 

0.38%, 07/21/25#

   250,000    248,252 
    

 

 

 

TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC)

 

  $648,272 
 

 

July 31, 2021 (unaudited)

PORTFOLIO OF INVESTMENTS 3

    

 

Wilmington Intermediate-Term Bond Fund (continued)

 

 

 Description

  Par Value   Value 

FEDERAL NATIONAL MORTGAGE ASSOCIATION

(FNMA) – 0.7%

 

 

0.25%, 05/22/23

  $200,000   $200,350 
    

 

 

 

TOTAL GOVERNMENT AGENCIES

(COST $848,618)

 

 

  $    848,622 

MORTGAGE-BACKED SECURITIES – 1.7%

 

  

FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) – 0.3%

 

Pool C90504, 6.50%, 12/01/21

   449    453 

Pool G01625, 5.00%, 11/01/33

   15,423    17,475 

Pool A18401, 6.00%, 02/01/34

   19,884    22,762 

Pool G08097, 6.50%, 11/01/35

   13,883    16,320 

Pool G02390, 6.00%, 09/01/36

   4,869    5,779 

Pool G08193, 6.00%, 04/01/37

   14,391    16,940 
    

 

 

 

TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC)

 

  $79,729 

FEDERAL NATIONAL MORTGAGE ASSOCIATION

(FNMA) – 0.9%

 

 

Pool AE2520, 3.00%, 01/01/26

   153,751    161,318 

Pool 256639, 5.00%, 02/01/27

   11,636    12,679 

Pool 256752, 6.00%, 06/01/27

   11,748    13,506 

Pool 257007, 6.00%, 12/01/27

   18,672    21,455 

Pool 254240, 7.00%, 03/01/32

   19,259    21,865 

Pool 745412, 5.50%, 12/01/35

   11,322    13,070 
    

 

 

 

TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)

 

  $243,893 

GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) – 0.5%

 

Pool 780825, 6.50%, 07/15/28

   28,718    32,573 

Pool 2616, 7.00%, 07/20/28

   17,244    20,169 

Pool 2701, 6.50%, 01/20/29

   36,674    42,390 

Pool 426727, 7.00%, 02/15/29

   3,964    4,488 

Pool 781231, 7.00%, 12/15/30

   16,331    19,347 
    

 

 

 

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA)

 

  $118,967 
    

 

 

 

TOTAL MORTGAGE-BACKED SECURITIES

(COST $399,724)

 

 

  $442,589 

U.S. TREASURY OBLIGATIONS – 31.6%

 

  

U.S. TREASURY NOTES – 31.6%

 

  

1.88%, 07/31/22

   125,000    127,233 

1.50%, 08/15/22

   150,000    152,211 

2.00%, 02/15/23

   200,000    205,703 

2.50%, 03/31/23

   150,000    155,872 

2.75%, 05/31/23

   200,000    209,425 

0.25%, 06/15/23

   250,000    250,375 

2.50%, 08/15/23

   250,000    261,706 

1.63%, 10/31/23#

   290,000    299,096 

2.38%, 08/15/24

   500,000    530,547 

0.38%, 04/30/25

   250,000    248,874 

2.13%, 05/15/25

   300,000    318,246 

2.00%, 08/15/25

   650,000    687,658 

2.25%, 11/15/25

   500,000    535,300 

1.63%, 05/15/26

   775,000    809,987 

2.25%, 02/15/27

   30,000    32,396 

1.13%, 02/28/27

   250,000    254,729 

0.50%, 06/30/27

   450,000    441,358 

2.25%, 11/15/27

   300,000    324,985 

2.75%, 02/15/28

   750,000    836,845 

1.25%, 06/30/28

   500,000    508,756 

 Description

  Par Value   Value 

3.13%, 11/15/28

  $350,000   $401,691 

2.38%, 05/15/29

   400,000    438,766 

0.63%, 05/15/30

   550,000    525,276 
    

 

 

 

TOTAL U.S. TREASURY NOTES

    $  8,557,035 
    

 

 

 

TOTAL U.S. TREASURY OBLIGATIONS

(COST $8,111,037)

 

 

  $8,557,035 
    
   Number of
Shares
     

MONEY MARKET FUND – 2.5%

 

Dreyfus Government Cash Management Fund,

 

  

Institutional Shares, 0.03%^

   665,126    665,126 
    

 

 

 

TOTAL MONEY MARKET FUND

(COST $665,126)

 

 

  $665,126 
    
   

Par Value

     

CASH COLLATERAL INVESTED FOR SECURITIES ON

LOAN – 4.4%

 

 

REPURCHASE AGREEMENTS – 4.4%

 

  

Bank of America Securities, Inc., 0.05%, dated 7/30/21, due 8/02/21, repurchase price $226,747 collateralized by U.S. Government Agency Securities, 1.00% to 5.50%, maturing 11/01/28 to 8/01/51; total market value of $231,281.

  $226,746    226,746 

BNP Paribas SA, 0.05%, dated 7/30/21, due 8/02/21, repurchase price $226,747 collateralized by U.S. Government Agency & Treasury Securities, 0.00% to 8.13%, maturing 8/15/21 to 5/01/51; total market value of $231,281.

   226,746    226,746 

Daiwa Capital Markets America, 0.05%, dated 7/30/21, due 8/02/21, repurchase price $226,747 collateralized by U.S. Government Agency & Treasury Securities, 0.00% to 6.50%, maturing 9/16/21 to 8/01/51; total market value of $231,281.

   226,746    226,746 

Deutsche Bank Securities, Inc., 0.05%, dated 7/30/21, due 8/02/21, repurchase price $226,747 collateralized by U.S. Government Agency Securities, 0.00% to 7.25%, maturing 8/12/21 to 6/21/41; total market value of $231,281.

   226,746    226,746 

RBC Dominion Securities, Inc., 0.05%, dated 7/30/21, due 8/02/21, repurchase price $226,747 collateralized by U.S. Government Agency & Treasury Securities, 0.25% to 7.50%, maturing 4/15/24 to 4/01/53; total market value of $231,281.

   226,746    226,746 

 

    

 

 

July 31, 2021 (unaudited)

4 PORTFOLIO OF INVESTMENTS

    

 

     

Wilmington Intermediate-Term Bond Fund (continued)

 

 

    

 Description

  Par Value   Value 

TD Securities, Inc., 0.05%, dated 7/30/21, due 8/02/21, repurchase price $59,666 collateralized by U.S. Government Agency Securities, 2.00% to 4.50%, maturing 7/01/31 to 8/01/51; total market value of $60,859.

  $59,666   $59,666 
    

 

 

 

TOTAL REPURCHASE AGREEMENTS
(COST $1,193,396)

 

  $1,193,396 
    

 

 

 
TOTAL CASH COLLATERAL INVESTED FOR SECURITIES ON LOAN
(COST $1,193,396)

 

  $1,193,396 
    

 

 

 

TOTAL INVESTMENTS – 104.0%

(COST $27,020,711)

 

 

  $28,151,588 
    

 

 

 
COLLATERAL FOR SECURITIES ON LOAN – (4.4%)

 

   (1,193,396

OTHER ASSETS LESS LIABILITIES – 0.4%

 

   111,342 
    

 

 

 

TOTAL NET ASSETS – 100.0%

    $  27,069,534 
    

 

 

 

The Fund follows the authoritative guidance (U.S. generally accepted accounting principles) for fair value measurements. The guidance establishes a framework for measuring fair value and a hierarchy for inputs and techniques used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs and techniques by requiring that the most observable inputs be used when available. The guidance establishes three tiers of inputs that may be used to measure fair value. These inputs are summarized in the three broad levels listed below.

Level 1 – quoted prices in active markets for identical securities

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 The following is a summary of the inputs used as of July 31, 2021 in valuing the Fund’s assets carried at fair value:

 

   Level 1   Level 2   Level 3   Total 
  Investments in Securities        
  Adjustable Rate Mortgage  $   $8,111    $—     $8,111 
  Corporate Bonds       16,436,709        16,436,709 
  Government Agencies       848,622        848,622 
  Mortgage-Backed Securities       442,589        442,589 
  U.S. Treasury Obligations       8,557,035        8,557,035 
  Money Market Fund   665,126            665,126 
  Repurchase Agreements       1,193,396        1,193,396 
  

 

 

   

 

 

   

 

 

   

 

 

 
  Total  $665,126   $27,486,462    $—     $28,151,588 
  

 

 

   

 

 

   

 

 

   

 

 

 

The inputs or techniques used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Additional information on the Fund’s valuation policy is included in the most recent shareholder report.

 

 

 

** 

Represents less than 0.05%.

 

D 

Variable rate security. The rate disclosed is the rate in effect on the report date. The information in parenthesis represents the benchmark and reference rate for each relevant security and the rate floats based upon the reference rate and spread. The security may be further subject to interest rate floor and caps. Certain variable rate securities are not based on a published reference rate and spread, but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions.

 

ÿ 

Step coupon security. The rate disclosed is the rate in effect on the report date.

 

# 

Security, or a portion thereof, is on loan.

 

W 

Denotes a restricted security that may be resold without restriction to “qualified institutional buyers” as defined in Rule 144A under the Securities Act of 1933 and that the Fund has determined to be liquid under criteria established by the Fund’s Board of Trustees. At July 31, 2021, these liquid restricted securities amounted to $242,485, representing 0.90% of total net assets.

 

^ 

7-Day net yield.

 

 

July 31, 2021 (unaudited)

PORTFOLIO OF INVESTMENTS 5

    

 

Wilmington Intermediate-Term Bond Fund (concluded)

 

 

The following acronyms are used throughout this Fund:

BKNT

  

Bank Notes

GMTN

  

Global Medium Term Note

LIBOR

  

London Interbank Offered Rate

LLC

  

Limited Liability Corporation

LP

  

Limited Partnership

MTN

  

Medium Term Note

PLC

  

Public Limited Company

SOFR

  

Secured Overnight Financing Rate

USD

  

United States Dollar

For additional information about significant accounting policies, refer to Fund’s most recent semi-annual or annual report.

 

 

 

    

 

 

July 31, 2021 (unaudited)