NPORT-EX 2 VIRGDW0SeixUSGovSecUltShBdFd.htm HTML

SEIX U.S. GOVERNMENT SECURITIES ULTRA-SHORT BOND FUND

SCHEDULE OF INVESTMENTS (Unaudited)

SEPTEMBER 30, 2019

($ reported in thousands)

 

         Par Value             Value                       
        

U.S. GOVERNMENT SECURITIES—2.7%

     

Federal Farm Credit Banks

     

(1 month LIBOR + 0.010%)

2.054%, 6/28/21(1)

      $  4,890     $ 4,882  

(1 month LIBOR + 0.550%)

2.596%, 1/26/27(1)

      14,700       14,798  

(1 month LIBOR + 0.600%)

2.642%, 12/8/26(1)

      4,700       4,749  

TOTAL U.S. GOVERNMENT SECURITIES

(Identified Cost $24,283)

              24,429  

 

MORTGAGE-BACKED SECURITIES—93.4%

     

 

Agency—93.4%

             

Federal Home Loan Mortgage Corp.

     

Pool #848744 (12 month LIBOR + 1.789%)

4.669%, 5/1/34(1)

      7,019       7,367  

Pool #848736 (12 month LIBOR + 1.750%)

4.589%, 5/1/35(1)

      10,800       11,330  

Pool #848747 (12 month LIBOR + 1.863%)

4.646%, 7/1/36(1)

      6,022       6,338  

Pool #1Q1195 (12 month LIBOR + 1.623%)

4.530%, 5/1/37(1)

      4,316       4,520  

Pool #848796 (12 month LIBOR + 1.816%)

4.782%, 5/1/37(1)

      11,254       11,860  

Pool #1Q1420 (12 month LIBOR + 1.841%)

4.609%, 9/1/39(1)

      5,333       5,637  

Pool #2B3257 (12 month LIBOR + 1.630%)

3.146%, 10/1/44(1)

      4,052       4,139  

Pool #840366 (12 month LIBOR + 1.628%)

2.471%, 7/1/46(1)

      4,704       4,750  

Federal Home Loan Mortgage Corp. Multifamily

     

Structured Pass-Through Certificates

     

K017, A2

2.873%, 12/25/21

      1,925       1,954  

KS05, A (1 month LIBOR + 0.500%)

2.589%, 1/25/23(1)

      5,783       5,780  

KF15, A (1 month LIBOR + 0.670%)

2.759%, 2/25/23(1)

      2,400       2,398  

KF22, A (1 month LIBOR + 0.500%)

2.589%, 7/25/23(1)

      4,234       4,230  

KF29, A (1 month LIBOR + 0.360%)

2.449%, 2/25/24(1)

      12,068       12,023  

W5FL, AFL (1 month LIBOR + 0.220%)

2.309%, 5/25/25(1)

      1,231       1,224  

KL3W, AFLW (1 month LIBOR + 0.450%)

2.539%, 8/25/25(1)

      9,285       9,295  

KL4L, ACR (1 month LIBOR + 0.500%)

2.589%, 11/25/25(1)

      5,212       5,200  

X3FL, AFL (1 month LIBOR + 0.240%)

2.329%, 3/25/27(1)

      1,181       1,161  

4203, PF (1 month LIBOR + 0.250%)

2.277%, 9/15/42(1)

      13,291       13,221  

Federal Home Loan Mortgage Corp. REMIC

     

2781, FA (1 month LIBOR + 0.350%)

2.378%, 4/15/34(1)

      5,477       5,476  

2796, F (1 month LIBOR + 0.500%)

2.527%, 5/15/34(1)

      3,528       3,550  

4057, CF (1 month LIBOR + 0.450%)

2.478%, 4/15/39(1)

      4,381       4,390  

3820, FA (1 month LIBOR + 0.350%)

2.378%, 3/15/41(1)

      13,655       13,656  

    

     
      
         Par Value             Value      
Agency—continued             

3990, GF (1 month LIBOR + 0.400%)

2.428%, 3/15/41(1)

    $ 6,187     $ 6,206  

Federal National Mortgage Association

     

Pool #AM2078

1.670%, 1/1/20

      10,535       10,506  

Pool #AM3610

1.780%, 6/1/20

      2,907       2,900  

Pool #465872

4.150%, 8/1/20

      855       854  

Pool #AE0918

3.666%, 10/1/20

      354       354  

Pool #AL4705

2.986%, 11/1/20

      978       986  

Pool #AM1999

1.870%, 7/1/21

      1,296       1,295  

Pool #AN3539 (1 month LIBOR + 0.470%)

2.694%, 11/1/21(1)

      16,539       16,555  

Pool #AN1278

2.360%, 5/1/22

      2,168       2,191  

2012-M13, A2

2.377%, 5/25/22

      1,937       1,953  

Pool #AM9651 (1 month LIBOR + 0.300%)

2.389%, 8/1/22(1)

      14,064       14,050  

Pool #AM1491

2.240%, 11/1/22

      9,872       9,961  

Pool #AN3414 (1 month LIBOR + 0.600%)

2.689%, 1/1/23(1)

      11,361       11,293  

2016-M3, ASQ2

2.263%, 2/25/23

      965       966  

Pool #AN9335 (1 month LIBOR + 0.200%)

2.289%, 5/1/23(1)

      5,415       5,356  

2013-M10, AFL (1 month LIBOR + 0.300%)

2.445%, 6/25/23(1)

      4,311       4,301  

Pool #AN2605 (1 month LIBOR + 0.460%)

2.549%, 8/1/23(1)

      10,000       10,008  

Pool #109518 (1 month LIBOR + 0.320%)

2.409%, 9/1/23(1)

      17,020       17,027  

Pool #109523 (1 month LIBOR + 0.320%)

2.409%, 9/1/23(1)

      21,760       21,769  

Pool #AN1582 (1 month LIBOR + 0.440%)

2.529%, 9/1/23(1)

      14,525       14,537  

2016-M9, FA (1 month LIBOR + 0.590%)

2.762%, 9/25/23(1)

      12,330       12,313  

Pool #BL0422 (1 month LIBOR + 0.370%)

2.459%, 11/1/23(1)

      21,000       21,020  

2016-M13, FA (1 month LIBOR + 0.670%)

2.968%, 11/25/23(1)

      5,037       5,030  

Pool #AN3845 (1 month LIBOR + 0.540%)

2.764%, 12/1/23(1)

      15,781       15,757  

Pool #AN4364 (1 month LIBOR + 0.590%)

2.679%, 1/1/24(1)

      2,954       2,957  

Pool #AN4300 (1 month LIBOR + 0.560%)

2.784%, 1/1/24(1)

      14,036       14,015  

2017-M2, FA (1 month LIBOR + 0.530%)

2.828%, 2/25/24(1)

      6,225       6,206  

2017-M11, FA (1 month LIBOR + 0.470%)

2.768%, 9/25/24(1)

      5,235       5,231  

2015-M14, FA (1 month LIBOR + 0.620%)

2.765%, 10/25/25(1)

      6,474       6,476  

Pool #AN3661 (1 month LIBOR + 0.580%)

2.669%, 11/1/26(1)

      2,949       2,950  

Pool #AD0064 (6 month LIBOR + 1.548%)

4.131%, 1/1/35(1)

      2,756       2,850  
 

 

See Notes to Schedule of Investments.

 

1

SEIX U.S. GOVERNMENT SECURITIES ULTRA-SHORT BOND FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

SEPTEMBER 30, 2019

($ reported in thousands)

 

         Par Value             Value                 
Agency—continued                  
        

Pool #AL2202 (12 month LIBOR + 1.715%)

4.622%, 6/1/36(1)

      $3,207     $ 3,371  

Pool #AL0960 (12 month LIBOR + 1.689%)

4.472%, 7/1/37(1)

      5,967       6,254  

Pool #AL0270 (12 month LIBOR + 1.674%)

4.536%, 8/1/38(1)

      2,762       2,899  

Pool #AL6516 (12 month LIBOR + 1.750%)

4.563%, 4/1/40(1)

      4,714       4,966  

Pool #AL7812 (12 month LIBOR + 1.733%)

4.333%, 11/1/40(1)

      8,902       9,333  

Pool #AE0544 (12 month LIBOR + 1.743%)

4.510%, 11/1/40(1)

      3,542       3,709  

Pool #AL7477 (12 month LIBOR + 1.797%)

4.464%, 12/1/40(1)

      3,733       3,929  

Pool #AL0323 (12 month LIBOR + 1.816%)

4.693%, 6/1/41(1)

      3,426       3,588  

Pool #AL8796 (12 month LIBOR + 1.812%)

4.605%, 9/1/41(1)

      11,080       11,597  

Pool #AL8872 (12 month LIBOR + 1.797%)

4.658%, 7/1/42(1)

      16,624       17,425  

Pool #BM4557 (12 month LIBOR + 1.753%)

3.985%, 5/1/45(1)

      5,802       5,997  

Pool #BM1805 (12 month LIBOR + 1.601%)

2.824%, 9/1/47(1)

      25,428       25,845  

Pool #BM4556 (12 month LIBOR + 1.599%)

3.313%, 10/1/48(1)

      17,639       17,910  

Federal National Mortgage Association REMIC

     

2013-62, FQ (1 month LIBOR + 0.250%)

2.268%, 9/25/32(1)

      7,821       7,810  

2018-92, AF (1 month LIBOR + 0.400%)

2.418%, 5/25/33(1)

      10,531       10,554  

2016-32, FA (1 month LIBOR + 0.400%)

2.418%, 10/25/34(1)

      17,074       17,076  

2005-17, FA (1 month LIBOR + 0.300%)

2.318%, 3/25/35(1)

      8,087       8,066  

2005-58, KF (1 month LIBOR + 0.500%)

2.518%, 7/25/35(1)

      4,962       4,972  

2018-96, FC (1 month LIBOR + 0.450%)

2.468%, 10/25/35(1)

      11,808       11,836  

2006-63, FD (1 month LIBOR + 0.450%)

2.468%, 7/25/36(1)

      6,259       6,268  

2006-113, NF (1 month LIBOR + 0.350%)

2.368%, 9/25/36(1)

      5,383       5,386  

2011-117, PF (1 month LIBOR + 0.350%)

2.368%, 7/25/39(1)

      3,963       3,972  

2010-137, WB

4.517%, 7/25/40(1)

      2,353       2,440  

2013-34, PF (1 month LIBOR + 0.350%)

2.368%, 8/25/42(1)

      8,728       8,719  

2013-58, FY (1 month LIBOR + 0.250%)

2.268%, 2/25/43(1)

      5,763       5,743  

FREMF Multifamily Aggregation Risk Transfer Trust

     

2017-KT01, A (1 month LIBOR + 0.320%)

2.357%, 2/25/20(1)

      9,013       9,013  
FRESB Mortgage Trust     

2016-SB16, A5F

1.830%, 4/25/21(1)(2)

      3,596       3,584  

2016-SB15, A7F

2.190%, 3/25/23(1)

      1,737       1,740  

2015-SB6, A5 (1 month LIBOR + 2.270%)

2.270%, 9/25/35(1)

      6,534       6,529  

2015-SB9, A5 (1 month LIBOR + 0.700%)

2.523%, 11/25/35(1)

      30,534       30,623  
         Par Value             Value      
Agency—continued             

2016-SB13, A5H (1 month LIBOR + 2.060%)

2.060%, 1/25/36(1)

      $14,859       $  14,841  

2016-SB18, A5H (1 month LIBOR + 2.110%)

2.110%, 5/25/36(1)

      10,091       10,089  

2016-SB16, A5H (1 month LIBOR + 2.130%)

2.130%, 5/25/36(1)

      5,361       5,363  

2016-SB23, A5H (1 month LIBOR + 1.980%)

1.980%, 9/25/36(1)

      2,007       2,003  

2016-SB22, A7H (1 month LIBOR + 2.190%)

2.190%, 9/25/36(1)

      1,157       1,159  

2016-SB23, A7H (1 month LIBOR + 2.200%)

2.200%, 9/25/36(1)

      10,249       10,265  

2018-SB50, A5H (1 month LIBOR + 3.000%)

3.000%, 4/25/38(1)

      1,196       1,225  

2015-SB3, A5 (1 month LIBOR + 2.012%)

2.012%, 8/25/42(1)

      3,880       3,872  

Government National Mortgage Association

     

2003-57, FA (1 month LIBOR + 0.450%)

2.478%, 7/16/33(1)

      5,012       5,032  

2003-67, FP (1 month LIBOR + 0.900%)

2.944%, 8/20/33(1)

      4,321       4,411  

2004-38, FA (1 month LIBOR + 0.400%)

2.428%, 5/16/34(1)

      6,490       6,531  

2004-106, F (1 month LIBOR + 0.250%)

2.277%, 12/16/34(1)

      5,310       5,291  

2005-41, FC (1 month LIBOR + 0.300%)

2.344%, 5/20/35(1)

      8,486       8,437  

2014-94, FB (1 month LIBOR + 0.250%)

2.294%, 9/20/35(1)

      11,296       11,220  

2009-88, FA (1 month LIBOR + 0.750%)

2.777%, 10/16/39(1)

      8,558       8,660  

Pool #MA4673 (U.S. Treasury Yield Curve CMT 1

year + 1.500%)

2.500%, 8/20/47(1)

      732       745  

Pool #MA4731 (U.S. Treasury Yield Curve CMT 1

year + 1.500%)

2.500%, 9/20/47(1)

      824       828  

Pool #MA4800 (U.S. Treasury Yield Curve CMT 1

year + 1.500%)

2.500%, 10/20/47(1)

      1,475       1,494  

Pool #BD4157 (U.S. Treasury Yield Curve CMT 1

year + 1.500%)

2.500%, 11/20/47(1)

      8,103       8,219  

Pool #MA5155 (U.S. Treasury Yield Curve CMT 1

year + 1.500%)

2.500%, 4/20/48(1)

      1,297       1,313  

Pool #BG8679 (U.S. Treasury Yield Curve CMT 1

year + 1.500%)

2.500%, 5/20/48(1)

      6,588       6,670  

Pool #BH1807 (U.S. Treasury Yield Curve CMT 1

year + 1.500%)

2.500%, 7/20/48(1)

      3,060       3,098  

2016-H22, FJ (1 month LIBOR + 0.390%)

2.619%, 10/20/66(1)

      6,338       6,336  

2017-H13, FJ (1 month LIBOR + 0.200%)

2.429%, 5/20/67(1)

      1,471       1,470  

2017-H24, FJ (1 month LIBOR + 0.250%)

2.478%, 10/20/67(1)

      1,835       1,833  

Loudoun FNMA SARM 3rd

     

2.706%, 9/1/26(1)

      8,700       8,703  

NCUA Guaranteed Notes Trust

     

2011-R1, 1A (1 month LIBOR + 0.450%)

2.507%, 1/8/20(1)

      9,833       9,834  
 

 

See Notes to Schedule of Investments.

 

2

SEIX U.S. GOVERNMENT SECURITIES ULTRA-SHORT BOND FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

SEPTEMBER 30, 2019

($ reported in thousands)

 

       Par Value         Value                 
Agency—continued                   
        

2010-R3, 1A (1 month LIBOR + 0.560%)

2.617%, 12/8/20(1)

        $ 7,695     $ 7,699  

Small Business Administration

     

Pool #510076 (PRIME minus 2.650%)

2.600%, 5/25/27(1)

      6,053       6,041  

Pool #510083 (PRIME minus 2.650%)

2.850%, 9/25/27(1)

      1,449       1,446  

Pool #510241 (PRIME minus 2.600%)

2.900%, 10/25/27(1)

      4,749       4,752  

Pool #510254 (PRIME minus 2.600%)

2.900%, 5/25/28(1)

      10,250       10,252  

Pool #510228 (PRIME minus 2.500%)

3.000%, 7/25/28(1)

      1,366       1,370  

Pool #510219 (PRIME minus 2.650%)

2.850%, 11/25/28(1)

      4,279       4,270  

Pool #510273 (PRIME minus 2.500%)

3.000%, 11/25/28(1)

      8,153       8,167  

Pool #510256 (PRIME minus 2.600%)

2.900%, 12/25/28(1)

      9,697       9,702  

Pool #510032 (PRIME minus 2.650%)

2.850%, 6/25/34(1)

      5,624       5,612  
    

 

 

  
       856,779  

TOTAL MORTGAGE-BACKED SECURITIES

(Identified Cost $852,379)

              856,779  

 

ASSET-BACKED SECURITY—2.1%

     

 

Student Loan—2.1%

     

NCUA Guaranteed Notes Trust 2010-A1, A (1 month
LIBOR + 0.350%)
2.399%, 12/7/20(1)

      19,708       19,697  
TOTAL ASSET-BACKED SECURITY
(Identified Cost $19,708)		              19,697  

 

TOTAL LONG-TERM INVESTMENTS—98.2%

(Identified Cost $896,370)

              900,905  
    
     Shares     Value  

SHORT-TERM INVESTMENT—1.5%

 

Money Market Mutual Fund—1.5%

 

Dreyfus Government Cash Management Fund -

Institutional Shares (seven-day effective yield

1.854%)(3)

      14,330,199     $ 14,330  

TOTAL SHORT-TERM INVESTMENT

(Identified Cost $14,330)

              14,330  

 

TOTAL INVESTMENTS—99.7%

(Identified Cost $910,700)

      $ 915,235  

Other assets and liabilities, net—0.3%

 

     2,382  
    

 

 

  

NET ASSETS—100.0%

 

   $ 917,617  
    

 

 

  
Abbreviations:
FNMA   Federal National Mortgage Association (“Fannie Mae”)
LIBOR   London Interbank Offered Rate
REMIC   Real Estate Mortgage Investment Conduit

Footnote Legend:

(1) 

Variable rate security. Rate disclosed is as of September 30, 2019. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. 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.

(2) 

The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments.

(3) 

Shares of this fund are publicly offered, and its prospectus and annual report are publicly available.

 

The following table summarizes the market value of the Fund’s investments as of September 30, 2019, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):

 

     Total
Value at
September 30, 2019		    Level 1
Quoted Prices		    Level 2
Significant
Observable
Inputs		    Level 3
Significant
Unobservable
Inputs

Assets:

                    

Debt Securities:

                    

Asset-Backed Security

      $ 19,697      $ —      $ 19,697      $ —

Mortgage-Backed Securities

        856,779        —        853,195        3,584

U.S. Government Securities

        24,429        —        24,429        —

Money Market Mutual Fund

        14,330        14,330        —        —
    

 

 

       

 

 

       

 

 

       

 

 

  

Total Investments

      $ 915,235      $ 14,330      $ 897,321      $ 3,584
    

 

 

       

 

 

       

 

 

       

 

 

  

There were no transfers into or out of Level 3 related to securities held at September 30, 2019.

Some of the Fund’s investments that were categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the rollforward of Level 3 securities and assumptions are not shown for the period ended September 30, 2019.

 

See Notes to Schedule of Investments.

 

3

SEIX U.S. GOVERNMENT SECURITIES ULTRA-SHORT BOND FUND

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

SEPTEMBER 30, 2019

 

Note 1. Security Valuation

The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.

 

•   Level 1 –

   quoted prices in active markets for identical securities (security types generally include listed equities).

•   Level 2 –

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

•   Level 3 –

   prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments).

A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:

Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.

Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange-traded funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.

Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer-supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are internally fair valued by the Valuation Committee are generally categorized as Level 3 in the hierarchy.

Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.

Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.

A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

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

 

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