NPORT-EX 2 MW80_Strategic_Income.htm HTML

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

BONDS – 87.81%

 

   

ASSET-BACKED SECURITIES — 13.35%**

 

   
Atrium XII, Series 12A, Class AR (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 0.83%)

 

   

2.78%

      04/22/27 1,2,3    $ 165,000      $ 164,769  
Barings CLO Ltd., Series 2013-IA, Class AR (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 0.80%)

 

   

2.77%

      01/20/28 1,2,3      250,000        249,876  
Barings CLO Ltd., Series 2018-3A, Class A1 (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 0.95%)

 

   

2.92%

      07/20/29 1,2,3      250,000        249,660  
Bayview Commercial Asset Trust, Series 2004-3, Class A1

 

   
(LIBOR USD 1-Month plus 0.56%)

 

   

2.35%

      01/25/35 2,3      142,430        141,804  
BlueMountain CLO Ltd., Series 2013-1A,
Class A1R2 (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 1.23%)

 

   

3.20%

      01/20/29 1,2,3      175,000        175,044  
Cedar Funding II CLO Ltd., Series 2013-1A,
Class A1R (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 1.23%)

 

   

3.12%

      06/09/30 1,2,3      250,000        250,116  
Corevest American Finance Trust, Series 2019-1, Class XA (IO)

 

   

2.16%

      03/15/52 3,4      586,126        53,246  
Crystal River CDO, Series 2005-1A, Class A (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 0.36%)

 

   

2.68%

      03/02/46 1,2,3,5,6      419,900        39,632  
Dryden 30 Senior Loan Fund, Series 2013-30A, Class AR (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 0.82%)

 

   

2.73%

      11/15/28 1,2,3      250,000        249,513  
Eaton Vance CLO Ltd., Series 2013-1A,
Class A1RR (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 1.16%)

 

   

3.16%

      01/15/28 1,2,3      85,000        85,011  
Education Loan Asset-Backed Trust I,
Series 2013-1, Class A2

 

   
(LIBOR USD 1-Month plus 0.80%)

 

   

2.59%

      04/26/32 2,3      645,000        640,566  
Flagship CLO VIII Ltd., Series 2014-8A, Class ARR (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 0.85%)

 

   

2.85%

      01/16/26 1,2,3      77,359        77,367  
Issues    Maturity
Date		     Principal
Amount		      Value  

ASSET-BACKED SECURITIES (continued)

 

   
Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)

 

   

3.09%

      07/17/29 1,3    $ 139,792      $ 139,718  
Higher Education Funding I, Series 2014-1, Class A

 

   
(LIBOR USD 3-Month plus 1.05%)

 

   

2.96%

      05/25/34 2,3      447,834        448,031  
LCM XX LP, Series 20A, Class AR (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 1.04%)

 

   

3.01%

      10/20/27 1,2,3      200,000        199,790  
Magnetite VII Ltd., Series 2012-7A, Class A1R2 (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 0.80%)

 

   

2.80%

      01/15/28 1,2,3      250,000        249,478  
Nelnet Student Loan Trust, Series 2014-4A,
Class A2

 

   
(LIBOR USD 1-Month plus 0.95%)

 

   

2.74%

      11/25/48 2,3      500,000        490,898  
Nelnet Student Loan Trust, Series 2015-3A,
Class A3

 

   
(LIBOR USD 1-Month plus 0.90%)

 

   

2.69%

      06/25/54 2,3      290,000        278,790  
Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 0.85%)

 

   

2.85%

      01/15/28 1,2,3      250,000        249,886  
Octagon Investment Partners 25 Ltd., Series 2015-1A, Class AR (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 0.80%)

 

   

2.77%

      10/20/26 1,2,3      240,000        240,029  
Panthera Aviation, Series 2013-1

 

   

10.00%

       01/25/22 3,5,6,†      338,214        74,407  
Scholar Funding Trust, Series 2012-B, Class A2

 

   
(LIBOR USD 1-Month plus 1.10%)

 

   

2.90%

      03/28/46 2,3      714,354        710,416  
SLC Student Loan Trust, Series 2004-1, Class B

 

   
(LIBOR USD 3-Month plus 0.29%)

 

   

2.20%

      08/15/31 2      172,814        154,966  
SLM Student Loan Trust, Series 2004-2, Class B

 

   
(LIBOR USD 3-Month plus 0.47%)

 

   

2.41%

      07/25/39 2      334,698        309,772  
 

 

December 2019 / 1

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

ASSET-BACKED SECURITIES (continued)

 

   
SLM Student Loan Trust, Series 2004-3A,
Class A6A

 

   
(LIBOR USD 3-Month plus 0.55%)

 

   

2.49%

      10/25/64 2,3    $ 270,000      $ 265,637  
SLM Student Loan Trust, Series 2005-9, Class B

 

   
(LIBOR USD 3-Month plus 0.30%)

 

   

2.24%

      01/25/41 2      256,522        238,786  
SLM Student Loan Trust, Series 2007-7, Class B

 

   
(LIBOR USD 3-Month plus 0.75%)

 

   

2.69%

      10/27/70 2      215,000        201,918  
SLM Student Loan Trust, Series 2008-1, Class A4

 

   
(LIBOR USD 3-Month plus 0.65%)

 

   

2.59%

      01/25/22 2      193,215        189,269  
SLM Student Loan Trust, Series 2008-2, Class B

 

   
(LIBOR USD 3-Month plus 1.20%)

 

   

3.14%

      01/25/83 2      340,000        326,213  
SLM Student Loan Trust, Series 2008-3, Class B

 

   
(LIBOR USD 3-Month plus 1.20%)

 

   

3.14%

      04/26/83 2      340,000        323,984  
SLM Student Loan Trust, Series 2008-4, Class B

 

   
(LIBOR USD 3-Month plus 1.85%)

 

   

3.79%

      04/25/73 2      340,000        332,240  
SLM Student Loan Trust, Series 2008-5, Class B

 

   
(LIBOR USD 3-Month plus 1.85%)

 

   

3.79%

      07/25/73 2      235,000        231,332  
SLM Student Loan Trust, Series 2008-6, Class B

 

   
(LIBOR USD 3-Month plus 1.85%)

 

   

3.79%

      07/26/83 2      340,000        329,565  
SLM Student Loan Trust, Series 2008-7, Class B

 

   
(LIBOR USD 3-Month plus 1.85%)

 

   

3.79%

      07/26/83 2      340,000        329,879  
SLM Student Loan Trust, Series 2008-8, Class B

 

   
(LIBOR USD 3-Month plus 2.25%)

 

   

4.19%

      10/25/75 2      340,000        342,128  
SLM Student Loan Trust, Series 2011-1, Class A2

 

   
(LIBOR USD 1-Month plus 1.15%)

 

   

2.94%

      10/25/34 2      310,000        310,408  
Store Master Funding, Series 2019-1, Class A2

 

   

3.65%

       11/20/49 3,†      249,571        249,833  
Issues    Maturity
Date		     Principal
Amount		      Value  

ASSET-BACKED SECURITIES (continued)

 

   
Structured Receivables Finance LLC,
Series 2010-A, Class B

 

   

7.61%

      01/16/46 3    $ 310,738      $ 359,972  
Structured Receivables Finance LLC,
Series 2010-B, Class B

 

   

7.97%

      08/15/36 3      321,105        377,183  
Treman Park CLO Ltd., Series 2015-1A,
Class ARR (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 1.07%)

 

   

3.04%

      10/20/28 1,2,3      450,000        449,933  
Wachovia Student Loan Trust, Series 2006-1, Class A6

 

   
(LIBOR USD 3-Month plus 0.17%)

 

   

2.11%

      04/25/40 2,3      278,943        267,716  
       

 

 

  
Total Asset-Backed Securities
(Cost $11,595,889)

 

      11,048,781  
       

 

 

  

CORPORATES — 30.04%*

 

   

Banking — 2.51%

 

   
Bank of America Corp.

 

   

2.74%

      01/23/22 4      270,000        272,010  

3.00%

      12/20/23 4      476,000        487,346  
JPMorgan Chase & Co.

 

   

3.56%

      04/23/24 4      250,000        260,648  
Lloyds Banking Group PLC (United Kingdom)

 

   

2.86%

      03/17/23 1,4      200,000        202,829  

2.91%

      11/07/23 1,4      200,000        203,089  
Santander UK Group Holdings PLC
(United Kingdom)

 

   

2.88%

      08/05/21 1      165,000        166,778  

3.37%

      01/05/24 1,4      200,000        204,701  

4.80%

      11/15/24 1,4      75,000        81,037  
Wells Fargo & Co.

 

   
(LIBOR USD 3-Month plus 1.23%)

 

   

3.16%

      10/31/23 2      150,000        152,849  
Wells Fargo Bank N.A. (BKNT)

 

   

2.08%

      09/09/22 4      45,000        45,068  
       

 

 

  
     2,076,355  
       

 

 

  

Communications — 3.76%

 

   
AT&T, Inc.

 

   

4.80%

      06/15/44       350,000        398,460  

5.25%

      03/01/37       265,000        317,537  
CCO Holdings LLC/CCO Holdings Capital Corp.

 

   

5.38%

      06/01/29 3      80,000        85,748  
CSC Holdings LLC

 

   

6.50%

      02/01/29 3      117,000        130,674  
Discovery Communications LLC

 

   

2.80%

      06/15/20       150,000        150,400  
 

 

2 / December 2019

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Communications (continued)

 

   
Intelsat Jackson Holdings SA (Luxembourg)

 

   

8.50%

      10/15/24 1,3    $ 180,000      $ 163,912  

9.75%

      07/15/25 1,3      71,000        65,823  
Koninklijke KPN NV (Netherlands)

 

   

8.38%

      10/01/30 1      50,000        69,678  
Level 3 Financing, Inc.

 

   

4.63%

      09/15/27 3      40,000        41,026  

5.38%

      01/15/24       40,000        40,750  

5.38%

      05/01/25       16,000        16,660  
Qwest Corp.

 

   

7.25%

      09/15/25       70,000        80,815  
SES GLOBAL Americas Holdings GP

 

   

5.30%

      03/25/44 3      200,000        196,369  
Sirius XM Radio, Inc.

 

   

3.88%

      08/01/22 3      75,000        76,687  
Sprint Communications, Inc.

 

   

7.00%

      03/01/20 3      87,000        87,566  
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC

 

   

3.36%

      09/20/21 3      120,313        121,534  

4.74%

      03/20/25 3      200,000        212,379  
Time Warner Cable LLC

 

   

5.50%

      09/01/41       230,000        257,434  
T-Mobile USA, Inc.

 

   

4.50%

      02/01/26       45,000        46,153  

4.75%

      02/01/28       45,000        47,151  

6.00%

      04/15/24       108,000        111,779  
ViacomCBS, Inc.

 

   

3.38%

      02/15/28       150,000        153,875  
Virgin Media Secured Finance PLC (United Kingdom)

 

   

5.50%

      05/15/29 1,3      115,000        121,969  
Vodafone Group PLC (United Kingdom)

 

   

4.88%

      06/19/49 1      48,000        55,897  

5.25%

      05/30/48 1      50,000        60,157  
  

 

 

  
     3,110,433  
  

 

 

  

Consumer Discretionary — 0.79%

 

   
Bacardi Ltd. (Bermuda)

 

   

5.30%

      05/15/48 1,3      100,000        116,377  
BAT Capital Corp.

 

   

4.54%

      08/15/47       75,000        75,440  
Reynolds American, Inc.

 

   

5.85%

      08/15/45       260,000        298,857  
Issues    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Consumer Discretionary (continued)

 

   
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA

 

   
(LIBOR USD 3-Month plus 3.50%)

 

   

5.50%

      07/15/21 2,3    $ 165,000      $ 165,577  
       

 

 

  
     656,251  
       

 

 

  

Electric — 1.95%

 

   
Entergy Texas, Inc.

 

   

3.45%

      12/01/27       150,000        155,418  
NextEra Energy Capital Holdings, Inc.

 

   
(LIBOR USD 3-Month plus 0.48%)

 

   

2.38%

      05/04/21 2      485,000        485,787  
Pennsylvania Electric Co.

 

   

5.20%

      04/01/20       400,000        403,022  
Puget Energy, Inc.

 

   

6.00%

      09/01/21       250,000        265,572  
Southwestern Electric Power Co., Series K

 

   

2.75%

      10/01/26       300,000        300,630  
       

 

 

  
     1,610,429  
       

 

 

  

Energy — 4.12%

 

   
Antero Resources Corp.

 

   

5.00%

      03/01/25       149,000        112,123  

5.13%

      12/01/22       35,000        31,419  
Cheniere Energy Partners LP

 

   

5.25%

      10/01/25       45,000        47,006  
Energy Transfer Operating LP

 

   

5.50%

      06/01/27       3,000        3,378  

5.88%

      01/15/24       70,000        77,613  
EQM Midstream Partners LP

 

   

4.13%

      12/01/26       350,000        329,777  
EQT Corp.

 

   

3.90%

      10/01/27       40,000        37,249  
Gulfport Energy Corp.

 

   

6.38%

      05/15/25       13,000        8,293  
KazMunayGas National Co. JSC, Series REGS (Kazakhstan)

 

   

5.38%

      04/24/30 1      200,000        232,370  
Matador Resources Co.

 

   

5.88%

      09/15/26       15,000        15,122  
NiSource, Inc.

 

   

2.65%

      11/17/22       150,000        151,838  
Parsley Energy LLC/Parsley Finance Corp.

 

   

5.25%

      08/15/25 3      10,000        10,304  

5.38%

      01/15/25 3      35,000        36,137  
 

 

December 2019 / 3

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues

    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Energy (continued)

 

   
Peru LNG SRL, Series REGS (Peru)

 

   

5.38%

      03/22/30 1    $ 200,000      $ 197,642  
Petroleos Mexicanos (Mexico)

 

   

6.50%

      01/23/29 1      190,000        200,034  

6.63%

      06/15/35 1      100,000        102,793  

6.75%

      09/21/47 1      50,000        50,440  

7.69%

      01/23/50 1,3      85,000        93,056  
Plains All American Pipeline LP/PAA Finance Corp.

 

   

4.65%

      10/15/25       125,000        133,664  
Range Resources Corp.

 

   

4.88%

      05/15/25       103,000        88,323  
Rockies Express Pipeline LLC

 

   

5.63%

      04/15/20 3      142,000        143,748  
Ruby Pipeline LLC

 

   

6.50%

      04/01/22 3      146,970        152,114  
Southern Co. Gas Capital Corp.

 

   

3.25%

      06/15/26       500,000        519,838  
Sunoco Logistics Partners Operations LP

 

   

5.40%

      10/01/47       174,000        188,746  
Targa Resources Partners LP/Targa Resources Partners Finance Corp.

 

   

6.88%

      01/15/29 3      39,000        43,362  
Texas Eastern Transmission LP

 

   

2.80%

      10/15/22 3      150,000        151,775  
TransMontaigne Partners LP/

 

   
TLP Finance Corp.

 

   

6.13%

      02/15/26       35,000        34,400  
Transocean Pontus Ltd. (Cayman Islands)

 

   

6.13%

      08/01/25 1,3      36,490        37,493  
Transocean Poseidon Ltd. (Cayman Islands)

 

   

6.88%

      02/01/27 1,3      109,000        115,793  
Transocean Proteus Ltd. (Cayman Islands)

 

   

6.25%

      12/01/24 1,3      13,300        13,738  
USA Compression Partners LP/USA Compression Finance Corp.

 

   

6.88%

      04/01/26       27,000        28,401  

6.88%

      09/01/27       22,000        22,956  
       

 

 

  
     3,410,945  
       

 

 

  

Finance — 3.10%

 

   
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)

 

   

3.95%

      02/01/22 1      125,000        129,194  
Avolon Holdings Funding Ltd. (Cayman Islands)

 

   

5.13%

      10/01/23 1,3      56,000        60,524  
Daimler Finance North America LLC

 

   
(LIBOR USD 3-Month plus 0.90%)

 

   

2.81%

      02/15/22 2,3      210,000        211,685  

Issues

    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Finance (continued)

 

   
Ford Motor Credit Co. LLC

 

   

3.16%

      08/04/20     $ 275,000      $ 276,072  

3.20%

      01/15/21       175,000        175,952  

3.81%

      10/12/21       55,000        56,034  

8.13%

      01/15/20       300,000        300,620  
(LIBOR USD 3-Month plus 1.27%)

 

   

3.23%

      03/28/22 2      115,000        114,194  
GE Capital International Funding Co. (Ireland)

 

   

2.34%

      11/15/20 1      275,000        274,821  
General Motors Financial Co., Inc.

 

   

3.55%

      04/09/21       95,000        96,823  

4.20%

      11/06/21       175,000        181,318  
Morgan Stanley

 

   
(LIBOR USD 3-Month plus 0.93%)

 

   

2.88%

      07/22/22 2      500,000        504,832  
Nationwide Building Society (United Kingdom)

 

   

3.77%

      03/08/24 1,3,4      85,000        88,047  
Park Aerospace Holdings Ltd. (Cayman Islands)

 

   

5.50%

      02/15/24 1,3      85,000        93,429  
       

 

 

  
     2,563,545  
       

 

 

  

Food — 1.29%

 

   
Campbell Soup Co.

 

   
(LIBOR USD 3-Month plus 0.50%)

 

   

2.39%

      03/16/20 2      140,000        140,050  
Kraft Heinz Foods Co.

 

   

3.00%

      06/01/26       30,000        30,034  

4.88%

      10/01/49 3      205,000        216,721  

5.00%

      06/04/42       439,000        470,015  

5.20%

      07/15/45       25,000        27,192  

7.13%

      08/01/39 3      35,000        44,978  
Kroger Co. (The)

 

   

5.40%

      01/15/49       46,000        56,172  
Post Holdings, Inc.

 

   

5.50%

      12/15/29 3      80,000        85,452  
       

 

 

  
     1,070,614  
       

 

 

  

Gaming — 0.16%

 

   
Churchill Downs, Inc.

 

   

4.75%

      01/15/28 3      125,000        129,294  
       

 

 

  

Health Care — 4.91%

 

   
AbbVie, Inc.

 

   

3.60%

      05/14/25       50,000        52,863  

4.25%

      11/21/49 3      220,000        234,601  

4.45%

      05/14/46       61,000        66,004  

4.50%

      05/14/35       50,000        56,483  
 

 

4 / December 2019

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Health Care (continued)

 

   
Allergan Finance LLC

 

   

3.25%

      10/01/22     $ 150,000      $ 153,617  
Amgen, Inc.

 

   

4.40%

      05/01/45       100,000        112,230  
Anthem, Inc.

 

   

3.65%

      12/01/27       145,000        153,682  
Bausch Health Americas, Inc.

 

   

9.25%

      04/01/26 3      7,000        8,049  
Bausch Health Cos., Inc. (Canada)

 

   

7.00%

      03/15/24 1,3      110,000        114,629  
Bayer U.S. Finance II LLC

 

   

4.38%

      12/15/28 3      290,000        316,826  

4.63%

      06/25/38 3      110,000        119,765  
Becton Dickinson and Co.

 

   
(LIBOR USD 3-Month plus 0.88%)

 

   

2.84%

      12/29/20 2      187,000        187,095  
Catalent Pharma Solutions, Inc.

 

   

4.88%

      01/15/26 3      75,000        77,839  
CHS/Community Health Systems, Inc.

 

   

8.00%

      03/15/26 3      18,000        18,692  

8.63%

      01/15/24 3      14,000        14,875  
Cigna Corp.

 

   

4.13%

      11/15/25       375,000        407,486  
CVS Health Corp.

 

   

5.05%

      03/25/48       315,000        373,879  
Elanco Animal Health, Inc.

 

   

4.90%

      08/28/28       160,000        174,254  
Encompass Health Corp.

 

   

4.75%

      02/01/30       119,000        123,683  
Fresenius Medical Care U.S. Finance II, Inc.

 

   

4.13%

      10/15/20 3      400,000        404,788  
Fresenius U.S. Finance II, Inc.

 

   

4.25%

      02/01/21 3      150,000        153,110  
HCA, Inc.

 

   

4.13%

      06/15/29       85,000        90,348  

4.75%

      05/01/23       30,000        32,164  

5.25%

      04/15/25       12,000        13,443  

5.25%

      06/15/49       35,000        39,248  
Hologic, Inc.

 

   

4.63%

      02/01/28 3      55,000        58,437  
Humana, Inc.

 

   

2.90%

      12/15/22       195,000        199,089  

4.95%

      10/01/44       35,000        41,410  
Molina Healthcare, Inc.

 

   

5.38%

      11/15/22       83,000        88,457  
Teleflex, Inc.

 

   

4.63%

      11/15/27       10,000        10,613  
Issues    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Health Care (continued)

 

   
Tenet Healthcare Corp.

 

   

4.63%

      07/15/24     $ 46,000      $ 47,188  

4.88%

      01/01/26 3      67,000        70,260  

5.13%

      11/01/27 3      4,000        4,230  
WellCare Health Plans, Inc.

 

   

5.25%

      04/01/25       40,000        41,700  
       

 

 

  
     4,061,037  
       

 

 

  

Industrials — 1.97%

 

   
Amcor Finance USA, Inc.

 

   

4.50%

      05/15/28 3      145,000        155,218  
BAE Systems Holdings, Inc.

 

   

2.85%

      12/15/20 3      200,000        201,389  
Ball Corp.

 

   

4.00%

      11/15/23       30,000        31,613  
Berry Global, Inc.

 

   

4.88%

      07/15/26 3      19,000        20,075  
General Electric Co. (GMTN)

 

   

4.63%

      01/07/21       100,000        102,293  

5.50%

      01/08/20       160,000        160,066  
General Electric Co. (MTN)

 

   
(LIBOR USD 3-Month plus 0.48%)

 

   

2.39%

      08/15/36 2      600,000        473,730  
General Electric Co., Series A (MTN)

 

   

6.75%

      03/15/32       110,000        141,424  
Graphic Packaging International LLC

 

   

4.75%

      07/15/27 3      40,000        42,975  

4.88%

      11/15/22       55,000        57,767  
Matthews International Corp.

 

   

5.25%

      12/01/25 3      30,000        30,150  
OI European Group BV (Netherlands)

 

   

4.00%

      03/15/23 1,3      15,000        15,156  
Sealed Air Corp.

 

   

5.50%

      09/15/25 3      70,000        77,204  
Silgan Holdings, Inc.

 

   

4.75%

      03/15/25       60,000        61,525  
Titan Acquisition Ltd./Titan Co-Borrower LLC (Canada)

 

   

7.75%

      04/15/26 1,3      55,000        54,794  
       

 

 

  
     1,625,379  
       

 

 

  

Information Technology — 0.57%

 

   
Broadcom, Inc.

 

   

3.13%

      04/15/21 3      290,000        293,593  
NXP BV/NXP Funding LLC (Netherlands)

 

   

4.63%

      06/15/22 1,3      115,000        121,281  
SS&C Technologies, Inc.

 

   

5.50%

      09/30/27 3      55,000        58,816  
       

 

 

  
     473,690  
       

 

 

  
 

 

December 2019 / 5

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Insurance — 1.07%

 

   
Farmers Exchange Capital II

 

   

6.15%

      11/01/53 3,4    $ 400,000      $ 488,500  
Nationwide Mutual Insurance Co.

 

   

4.18%

      12/15/24 3,4      400,000        398,500  
       

 

 

  
     887,000  
       

 

 

  

Materials — 0.35%

 

   
Indonesia Asahan Aluminum Persero PT (Indonesia)

 

   

6.53%

      11/15/28 1,3      200,000        246,250  
International Flavors & Fragrances, Inc.

 

   

5.00%

      09/26/48       40,000        44,890  
       

 

 

  
     291,140  
       

 

 

  

Real Estate Investment Trust (REIT) — 1.39%

 

   
American Campus Communities Operating Partnership LP

 

   

3.35%

      10/01/20       125,000        126,042  
CyrusOne LP/CyrusOne Finance Corp.

 

   

2.90%

      11/15/24       80,000        80,474  
GLP Capital LP/GLP Financing II, Inc.

 

   

4.00%

      01/15/30       60,000        61,286  

5.30%

      01/15/29       65,000        72,645  

5.38%

      04/15/26       205,000        226,986  
SL Green Realty Corp.

 

   

4.50%

      12/01/22       200,000        210,927  
Ventas Realty LP

 

   

4.40%

      01/15/29       150,000        165,222  
Welltower, Inc.

 

   

3.75%

      03/15/23       200,000        208,830  
       

 

 

  
     1,152,412  
       

 

 

  

Retail — 1.05%

 

   
Alimentation Couche-Tard, Inc. (Canada)

 

   

2.70%

      07/26/22 1,3      45,000        45,509  
Dollar Tree, Inc.

 

   
(LIBOR USD 3-Month plus 0.70%)

 

   

2.70%

      04/17/20 2      250,000        250,048  
Rite Aid Corp.

 

   

6.13%

      04/01/23 3      173,000        159,593  
Walgreens Boots Alliance, Inc.

 

   

3.80%

      11/18/24       400,000        416,787  
       

 

 

  
     871,937  
       

 

 

  

Services — 0.23%

 

   
IHS Markit Ltd. (Bermuda)

 

   

4.00%

      03/01/26 1,3      7,000        7,394  

5.00%

      11/01/22 1,3      170,000        181,434  
       

 

 

  
     188,828  
       

 

 

  
Issues    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Transportation — 0.82%

 

   
Continental Airlines Pass-Through Trust, Series 2007-1, Class B

 

   

6.90%

      04/19/22     $ 349,718      $ 368,355  
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1

 

   

6.72%

      01/02/23       290,604        310,517  
       

 

 

  
     678,872  
       

 

 

  
Total Corporates
(Cost $23,899,740)

 

      24,858,161  
       

 

 

  

FOREIGN GOVERNMENT OBLIGATIONS — 1.07%

 

Foreign Government Obligations — 1.07%

 

   
Bahrain Government International Bond, Series REGS (Bahrain)

 

   

7.00%

      10/12/28 1      200,000        236,875  
Brazilian Government International Bond (Brazil)

 

   

4.63%

      01/13/28 1      200,000        215,500  
Qatar Government International Bond (Qatar)

 

   

4.50%

      04/23/28 1      200,000        229,520  
Republic of South Africa Government International Bond (South Africa)

 

   

4.88%

      04/14/26 1      200,000        208,500  
       

 

 

  
Total Foreign Government Obligations
(Cost $794,943)

 

      890,395  
       

 

 

  

MORTGAGE-BACKED — 42.92%**

 

   
Non-Agency Commercial Mortgage-Backed — 4.24%

 

   
1345 Avenue of the Americas & Park Avenue Plaza Trust, Series 2005-1, Class A3

 

   

5.28%

      08/10/35 3      150,000        164,568  
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2016-ISQ, Class A

 

   

2.85%

      08/14/34 3      55,000        55,550  
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2018-PARK, Class A

 

   

4.09%

      08/10/38 3,4      190,000        209,241  
Banc of America Merrill Lynch Trust, Series 2011-FSHN, Class A

 

   

4.42%

      07/11/33 3      100,000        103,301  
Benchmark Mortgage Trust, Series 2019-B15, Class XA (IO)

 

   

0.95%

      12/15/72 4      1,250,000        79,819  
CALI Mortgage Trust, Series 2019-101C, Class A

 

   

3.96%

      03/10/39 3      210,000        229,500  
Century Plaza Towers, Series 2019-CPT, Class A

 

   

2.87%

      11/13/39 3      155,000        156,074  
 

 

6 / December 2019

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

Non-Agency Commercial Mortgage-Backed (continued)

 

   
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)

 

   

1.77%

      09/10/45 3,4    $ 1,474,969      $ 56,566  
COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class X (IO)

 

   

0.56%

      04/15/47 3,4      1,586,965        7,476  
Commercial Mortgage Trust, Series 2006-GG7,
Class AM

 

   

5.62%

      07/10/38 4      149,358        150,375  
Commercial Mortgage Trust, Series 2012-CR5,
Class XA (IO)

 

   

1.53%

      12/10/45 4      4,265,865        164,349  
Commercial Mortgage Trust, Series 2013-CR12, Class XA (IO)

 

   

1.15%

      10/10/46 4      1,892,213        67,173  
Commercial Mortgage Trust, Series 2013-CR13, Class XA (IO)

 

   

0.77%

      11/10/46 4      1,541,849        40,460  
Commercial Mortgage Trust, Series 2014-UBS5, Class XA (IO)

 

   

0.88%

      09/10/47 4,5,6      2,208,345        69,791  
Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class AJ

 

   

5.64%

      01/15/49 4      6,238        6,282  
DC Office Trust, Series 2019-MTC, Class A

 

   

2.97%

      09/15/45 3      150,000        152,245  
GS Mortgage Securities Trust, Series 2012-GC6, Class XB (IO)

 

   

0.20%

      01/10/45 3,4      5,749,132        24,653  
GS Mortgage Securities Trust, Series 2013-GC12, Class XA (IO)

 

   

1.42%

      06/10/46 4      7,370,662        274,553  
Hudson Yards Mortgage Trust, Series 2019-30HY, Class A

 

   

3.23%

      07/10/39 3      165,000        172,216  
Hudson Yards Mortgage Trust, Series 2019-55HY, Class A

 

   

3.04%

      12/10/41 3      150,000        152,707  
Hudson Yards Mortgage Trust, Series 2019-55HY, Class F

 

   

3.04%

      12/10/41 3,4      50,000        44,280  
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class XA (IO)

 

   

1.07%

      11/15/45 4      2,853,658        96,232  
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class XA (IO)

 

   

1.00%

      08/15/47 4      563,188        20,215  
JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class XA (IO)

 

   

0.93%

      11/15/47 4      2,735,238        83,005  
Issues    Maturity
Date		     Principal
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

Non-Agency Commercial Mortgage-Backed (continued)

 

   
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class XA (IO)

 

   

1.51%

      12/15/47 4    $ 2,044,675      $ 71,204  
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class XA (IO)

 

   

0.12%

      01/15/46 4      7,034,955        28,654  
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XA (IO)

 

   

1.26%

      04/15/46 4      1,506,059        52,664  
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-OSB, Class A

 

   

3.40%

      06/05/39 3      80,000        83,875  
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A2A

 

   

3.66%

      01/05/43 3,4      120,000        127,001  
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A2B

 

   

4.14%

      01/05/43 3,4      45,000        46,792  
UBS Commercial Mortgage Trust, Series 2012-C1, Class XA (IO)

 

   

2.08%

      05/10/45 3,4      1,703,324        64,501  
WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class XA (IO)

 

   

1.32%

      03/15/44 3,4      18,716,920        275,032  
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class XA (IO)

 

   

1.71%

      11/15/44 3,4      3,354,386        74,849  
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA (IO)

 

   

1.90%

      11/15/45 3,4      970,015        42,201  
WF-RBS Commercial Mortgage Trust, Series 2013-C14, Class XA (IO)

 

   

0.73%

      06/15/46 4      3,068,531        60,433  
       

 

 

  
     3,507,837  
       

 

 

  

Non-Agency Mortgage-Backed — 24.01%

 

   
ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE3, Class A2C

 

   
(LIBOR USD 1-Month plus 0.15%)

 

   

1.94%

      06/25/36 2      1,368,508        1,114,765  
Banc of America Funding Trust, Series 2006-3, Class 5A3

 

   

5.50%

      03/25/36       299,264        286,277  
BCAP LLC Trust, Series 2011-RR3, Class 5A3

 

   

3.58%

      11/27/37 3,4      30,674        30,762  
BX Trust, Series 2019-OC11, Class A

 

   

3.20%

      12/09/41 3      40,000        41,143  
 

 

December 2019 / 7

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

Non-Agency Mortgage-Backed (continued)

 

   
Chase Mortgage Finance Trust, Series 2007-A1, Class 8A1

 

   

4.25%

      02/25/37 4    $ 96,284      $ 100,836  
Conseco Finance Corp., Series 1996-7, Class M1

 

   

7.70%

      09/15/26 4      177,909        186,956  
Conseco Finance Corp., Series 1998-3, Class A6

 

   

6.76%

      03/01/30 4      124,721        127,054  
Conseco Finance Corp., Series 1998-4, Class A6

 

   

6.53%

      04/01/30 4      187,491        194,507  
Conseco Finance Corp., Series 1998-4, Class A7

 

   

6.87%

      04/01/30 4      92,840        96,700  
Conseco Finance Corp., Series 1999-5, Class A5

 

   

7.86%

      03/01/30 4      76,518        51,129  
Conseco Finance Home Equity Loan Trust, Series 2002-C, Class BF1

 

   

8.00%

      06/15/32 4      38,976        39,103  
Conseco Finance Home Equity Loan Trust, Series 2002-C, Class BF2

 

   

8.00%

      06/15/32 3,4      345,559        352,692  
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2,
Class A2B

 

   
(STEP-reset date 02/25/20)

 

   

3.96%

      02/25/37       998,303        788,610  
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2,
Class A2C

 

   
(STEP-reset date 02/25/20)

 

   

3.96%

      02/25/37       329,647        260,373  
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB3,
Class A3

 

   
(STEP-reset date 02/25/20)

 

   

3.75%

      03/25/37       1,011,838        584,484  
First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2B

 

   
(LIBOR USD 1-Month plus 0.11%)

 

   

1.90%

      12/25/37 2      463,187        428,191  
First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2D

 

   
(LIBOR USD 1-Month plus 0.22%)

 

   

2.01%

      01/25/38 2      2,125,449        1,517,627  
First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B

 

   
(LIBOR USD 1-Month plus 0.10%)

 

   

1.89%

      03/25/37 2      704,196        455,492  
Issues    Maturity
Date		     Principal
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

Non-Agency Mortgage-Backed (continued)

 

   
GMACM Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1

 

   

4.16%

      04/19/36 4    $ 304,709      $ 285,219  
GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A7

 

   

0.00%

      01/25/47 8      2,140,000        —    
GSR Mortgage Loan Trust, Series 2007-AR2,
Class 5A1A

 

   

4.18%

      05/25/37 4      408,395        371,957  
HSI Asset Loan Obligation Trust, Series 2007-2, Class 2A12

 

   

6.00%

      09/25/37       336,279        307,833  
Impac CMB Trust, Series 2004-4, Class 1A2

 

   
(LIBOR USD 1-Month plus 0.62%)

 

   

2.41%

      09/25/34 2      222,407        218,498  
IndyMac Index Mortgage Loan Trust, Series 2005-AR25, Class 2A1

 

   

3.52%

      12/25/35 4      357,625        338,731  
IndyMac Index Mortgage Loan Trust, Series 2007-FLX2, Class A1C

 

   
(LIBOR USD 1-Month plus 0.19%)

 

   

1.98%

      04/25/37 2      1,636,563        1,552,065  
IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1997-1, Class A3

 

   

6.61%

      02/25/28       120,491        121,525  
IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1997-1,

 

   
Class A4

 

   

6.75%

      02/25/28       50,723        51,221  
IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1998-1, Class A4

 

   

6.49%

      09/25/28       77,799        79,969  
IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1998-1, Class A5

 

   

6.96%

      09/25/28 4      187,522        194,742  
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF6

 

   
(STEP-reset date 02/25/20)

 

   

4.22%

      03/25/47       817,956        686,306  
JPMorgan Mortgage Trust, Series 2006-S2,
Class 2A2

 

   

5.88%

      06/25/21       124,943        117,405  
JPMorgan Mortgage Trust, Series 2007-S1,
Class 1A2

 

   

5.50%

      03/25/22       23,477        22,661  
Lehman XS Trust, Series 2006-13, Class 1A2

 

   
(LIBOR USD 1-Month plus 0.34%)

 

   

2.13%

      09/25/36 2      39,001        41,775  
 

 

8 / December 2019

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

Non-Agency Mortgage-Backed (continued)

 

   
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A4

 

   
(LIBOR USD 1-Month plus 0.28%)

 

   

2.07%

      05/25/37 2    $ 1,810,500      $ 1,603,091  
Merrill Lynch Alternative Note Asset Trust, Series 2007-A3, Class A2D

 

   
(LIBOR USD 1-Month plus 0.33%)

 

   

2.12%

      04/25/37 2,5,6      1,696,107        138,822  
Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class A2C

 

   
(LIBOR USD 1-Month plus 1.16%)

 

   

2.95%

      08/25/35 2      709,726        692,764  
Mid-State Capital Corp., Series 2004-1, Class B

 

   

8.90%

      08/15/37       506,090        574,502  
Mid-State Capital Corp., Series 2004-1, Class M1

 

   

6.50%

      08/15/37       350,015        369,303  
Mid-State Capital Corp., Series 2005-1, Class A

 

   

5.75%

      01/15/40       154,820        167,867  
Mid-State Trust XI, Series 2011, Class B

 

   

8.22%

      07/15/38       8,611        9,736  
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4

 

   

3.95%

      09/25/34 4      238,287        235,044  
Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2

 

   

5.96%

      06/25/36 4      2,312,616        927,125  
Oakwood Mortgage Investors, Inc., Series 1998-A, Class M

 

   

6.83%

      05/15/28 4      134,010        137,159  
Oakwood Mortgage Investors, Inc., Series 1999-B, Class A4

 

   

6.99%

      12/15/26       240,229        245,893  
Oakwood Mortgage Investors, Inc., Series 2001-D, Class A3

 

   

5.90%

      09/15/22 4      774,283        589,075  
Oakwood Mortgage Investors, Inc., Series 2002-A, Class A3

 

   

6.03%

      05/15/24 4      256,916        264,751  
Residential Accredit Loans Trust, Series 2005-QA3, Class NB1

 

   

3.74%

      03/25/35 4      267,001        175,004  
SG Mortgage Securities Trust, Series 2007-NC1, Class A2

 

   
(LIBOR USD 1-Month plus 0.24%)

 

   

2.03%

      12/25/36 2,3      1,409,351        915,118  
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A

 

   

4.10%

      09/25/34 4      281,492        281,242  
Issues    Maturity
Date		     Principal
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

Non-Agency Mortgage-Backed (continued)

 

   
Terwin Mortgage Trust, Series 2004-7HE, Class A1

 

   
(LIBOR USD 1-Month plus 0.55%)

 

   

2.34%

      07/25/34 2,3    $ 98,925      $ 98,046  
WaMu Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A

 

   
(LIBOR USD 1-Month plus 0.58%)

 

   

2.37%

      07/25/45 2      72,857        72,272  
Wells Fargo Home Equity Asset-Backed Securities Trust, Series 2007-1, Class A3

 

   
(LIBOR USD 1-Month plus 0.32%)

 

   

2.11%

      03/25/37 2      1,500,000        1,325,579  
       

 

 

  
     19,869,001  
       

 

 

  
U.S. Agency Commercial Mortgage-Backed — 7.61%

 

   
Fannie Mae-Aces, Series 2006-M2, Class A2A

 

   

5.27%

      10/25/32 4      294,937        331,183  
Fannie Mae-Aces, Series 2011-M5,
Class X (IO)

 

   

1.09%

      07/25/21 4      3,137,415        44,737  
Fannie Mae-Aces, Series 2012-M13,
Class X2 (IO)

 

   

0.64%

      05/25/22 4      18,349,613        216,924  
Fannie Mae-Aces, Series 2016-M11, Class AL

 

   

2.94%

      07/25/39       254,676        256,404  
Fannie Mae-Aces, Series 2016-M11,
Class X2 (IO)

 

   

2.72%

      07/25/39 4      1,458,597        45,999  
Fannie Mae-Aces, Series 2019-M24, Class A1

 

   

2.38%

      03/25/29       399,848        400,021  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021,
Class X3 (IO)

 

   

1.97%

      07/25/40 4      1,150,000        53,543  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K022,
Class X3 (IO)

 

   

1.81%

      08/25/40 4      850,000        35,690  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K034,
Class X1 (IO)

 

   

0.11%

      07/25/23 4      6,455,115        24,024  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K060,
Class X3 (IO)

 

   

1.89%

      12/25/44 4      700,000        78,384  
 

 

December 2019 / 9

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

U.S. Agency Commercial Mortgage-Backed (continued)

 

   
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K070, Class X3 (IO)

 

   

2.04%

      12/25/44 4    $ 700,000      $ 94,701  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K093, Class XAM (IO)

 

   

1.19%

      05/25/29 4      945,000        95,159  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K714, Class X1 (IO)

 

   

0.66%

      10/25/20 4      10,512,432        25,679  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K732, Class X3 (IO)

 

   

2.17%

      05/25/46 4      700,000        74,789  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K734, Class X1 (IO)

 

   

0.65%

      02/25/26 4      2,248,692        77,877  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K736, Class X1 (IO)

 

   

1.31%

      07/25/26 4      1,349,894        96,890  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K736, Class XAM (IO)

 

   

1.71%

      07/25/26 4      1,150,000        116,672  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KAIV, Class X2 (IO)

 

   

3.61%

      06/25/41 4      1,220,000        57,548  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KC07, Class X1 (IO)

 

   

0.85%

      09/25/26 4      2,000,000        79,069  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KIR1, Class X (IO)

 

   

1.07%

      03/25/26 4      1,360,885        76,437  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ23, Class A1

 

   

3.17%

      03/25/22       539,071        544,832  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ24, Class A1

 

   

2.28%

      05/25/26       468,637        469,241  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ26, Class A1

 

   

2.14%

      07/25/25       503,506        501,850  
Issues    Maturity
Date		     Principal
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

U.S. Agency Commercial Mortgage-Backed (continued)

 

   
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KLU2, Class X1 (IO)

 

   

1.16%

      08/25/29 4    $ 1,900,000      $ 143,600  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS11,
Class XFX (IO)

 

   

1.60%

      06/25/29 4      350,000        42,099  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class A2H

 

   

2.98%

      01/25/46 4      360,485        362,656  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q006, Class APT1

 

   

2.63%

      07/25/26 4      418,343        417,120  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q010, Class APT1

 

   

2.80%

      04/25/46 4      366,097        369,054  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q010, Class APT2

 

   

2.84%

      12/25/47 4      190,074        192,075  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q010,
Class XPT2 (IO)

 

   

0.36%

      08/25/24       5,836,310        67,008  
FREMF Mortgage Trust, Series 2012-K23, Class X2A (IO)

 

   

0.13%

      10/25/45 3      62,401,137        172,102  
Ginnie Mae, Series 2007-15, Class Z

 

   

4.30%

      03/16/47 4      282,610        292,016  
Ginnie Mae, Series 2008-92, Class E

 

   

5.56%

      03/16/44 4      177,388        181,826  
Ginnie Mae, Series 2009-114, Class IO (IO)

 

   

0.00%

      10/16/49 4      7,427,068        89  
Ginnie Mae, Series 2014-103, Class IO (IO)

 

   

0.55%

      05/16/55 4      2,273,790        59,358  
Ginnie Mae, Series 2014-125, Class IO (IO)

 

   

0.96%

      11/16/54 4      2,384,918        135,404  
Ginnie Mae, Series 2015-47, Class IO (IO)

 

   

0.82%

      10/16/56 4      1,257,986        64,161  
  

 

 

  
     6,296,221  
  

 

 

  

U.S. Agency Mortgage-Backed — 7.06%

 

   
Fannie Mae Pool 463408

 

   

5.25%

      08/01/24       255,714        281,916  
Fannie Mae Pool 874941

 

   

6.32%

      11/01/37       486,613        535,508  
Fannie Mae Pool AN3542

 

   

3.41%

      11/01/46       379,549        379,595  
 

 

10 / December 2019

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

U.S. Agency Mortgage-Backed (continued)

 

   
Fannie Mae Pool AN6168

 

   

3.13%

      07/01/32     $ 200,000      $ 210,402  
Fannie Mae Pool AN7345

 

   

3.21%

      11/01/37       452,814        470,253  
Fannie Mae Pool AN9420

 

   

3.77%

      07/01/43       242,014        268,407  
Fannie Mae Pool AN9619

 

   

3.77%

      06/01/33       285,000        314,722  
Fannie Mae Pool BL0242

 

   

3.82%

      11/01/30       250,000        277,170  
Fannie Mae Pool BL3643

 

   

2.92%

      08/01/31       200,000        205,737  
Fannie Mae Pool BL3644

 

   

2.85%

      08/01/31       200,000        205,432  
Fannie Mae REMICS, Series 1993-80, Class S

 

   
(-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap)

 

   

8.69%

      05/25/23 2      1,110        1,212  
Fannie Mae REMICS, Series 2000-45, Class SA (IO)

 

   
(-1.00 X LIBOR USD 1-Month plus 7.95%, 7.95% Cap)

 

   

6.21%

      12/18/30 2      168,481        18,709  
Fannie Mae REMICS, Series 2001-42, Class SB

 

   
(-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap)

 

   

8.50%

      09/25/31 2      457        512  
Fannie Mae REMICS, Series 2003-124, Class TS

 

   
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap)

 

   

9.80%

      01/25/34 2      5,566        6,449  
Fannie Mae REMICS, Series 2005-92, Class US (IO)

 

   
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)

 

   

4.31%

      10/25/25 2      873,919        72,223  
Fannie Mae REMICS, Series 2006-125,

 

   
Class SM (IO)

 

   
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)

 

   

5.41%

      01/25/37 2      944,819        204,659  
Fannie Mae REMICS, Series 2008-50, Class SA (IO)

 

   
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)

 

   

4.26%

      11/25/36 2      1,153,690        184,860  
Fannie Mae REMICS, Series 2010-43, Class KS (IO)

 

   
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)

 

   

4.63%

      05/25/40 2      1,003,345        193,080  
Freddie Mac Gold Pool WA3303

 

   

3.83%

      05/01/35       444,809        486,018  
Issues    Maturity
Date		     Principal
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

U.S. Agency Mortgage-Backed (continued)

 

   
Freddie Mac Gold Pool WN0023

 

   

3.83%

      04/01/30     $ 295,298      $ 313,298  
Freddie Mac REMICS, Series 1602, Class SN

 

   
(-4.25 X PRIME plus 46.22%, 10.09% Cap)

 

   

10.09%

      10/15/23 2      10,511        11,213  
Freddie Mac REMICS, Series 1673, Class SD

 

   
(-2.15 X US Treasury Yield Curve Rate T Note Constant Maturity 10 Year plus

 

   
19.39%, 18.31% Cap)

 

   

15.28%

      02/15/24 2      56,483        65,691  
Freddie Mac REMICS, Series 3242, Class SA (IO)

 

   
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap)

 

   

4.61%

      11/15/36 2      3,166,556        574,488  
Freddie Mac REMICS, Series 3247, Class SI (IO)

 

   
(-1.00 X LIBOR USD 1-Month plus 6.65%, 6.65% Cap)

 

   

0.15%

      08/15/36 2      13,350,919        66,279  
Freddie Mac REMICS, Series 3260, Class AS (IO)

 

   
(-1.00 X LIBOR USD 1-Month plus 6.38%, 6.38% Cap)

 

   

4.64%

      01/15/37 2      2,119,036        309,618  
Freddie Mac REMICS, Series 3289, Class SD (IO)

 

   
(-1.00 X LIBOR USD 1-Month plus 6.12%, 6.12% Cap)

 

   

4.38%

      03/15/37 2      724,306        48,307  
Ginnie Mae, Series 2004-8, Class SE

 

   
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)

 

   

10.72%

      11/26/23 2      36,541        40,671  
Ginnie Mae, Series 2010-148, Class IO (IO)

 

   

1.18%

      09/16/50 4      4,596,672        99,075  
       

 

 

  
     5,845,504  
       

 

 

  
Total Mortgage-Backed
(Cost $37,925,643)

 

      35,518,563  
       

 

 

  

MUNICIPAL BONDS — 0.43%*

 

   

New York — 0.43%

 

   
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Build America Bonds, Public Improvements

 

   

5.81%

      08/01/30       350,000        357,445  
       

 

 

  
Total Municipal Bonds
(Cost $356,614)

 

   
Total Bonds – 87.81%
(Cost $74,572,829)

 

      72,673,345  
       

 

 

  
 

 

December 2019 / 11

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues      Maturity  
Date		       Principal  
Amount/Shares		            Value        

SHORT-TERM INVESTMENTS — 12.08%

 

   

Commercial paper — 0.31%

 

   
Ford Motor Credit Co. LLC

 

   

3.20%9

      10/08/20     $ 260,000      $ 254,401  
       

 

 

  

Foreign Government Obligations — 2.00%

 

   
Japan Treasury Discount Bill, Series 808 (Japan)

 

   

0.00%9

      01/20/20 1      45,000,000        414,145  
Japan Treasury Discount Bill, Series 861 (Japan)

 

   

0.00%9

      01/14/20 1      45,000,000        414,097  
Japan Treasury Discount Bill, Series 865 (Japan)

 

   

0.00%9

      01/27/20 1      90,000,000        828,316  
       

 

 

  
     1,656,558  
       

 

 

  

Money Market Funds — 3.65%

 

   
Fidelity Investments Money Market Funds - Government Portfolio

 

   

1.50%10

 

     27,350        27,350  

Morgan Stanley Institutional Liquidity Funds-

Government Portfolio

 

 

   

1.52%10

 

     2,990,000        2,990,000  
       

 

 

  
     3,017,350  
       

 

 

  

U.S. Agency Discount Notes — 2.90%

 

   
Federal Home Loan Bank

 

   

1.58%9

      01/23/20       2,400,000        2,397,900  
       

 

 

  

U.S. Treasury Bills — 3.22%

 

   
U.S. Treasury Bills

 

   

1.54%9

      02/18/20       2,500,000        2,495,153  

1.54%9,11

      03/19/20       172,000        171,457  
       

 

 

  
     2,666,610  
       

 

 

  
Total Short-Term Investments
(Cost $10,001,217)

 

      9,992,819  
       

 

 

  

Total Investments – 99.89%

 

(Cost $84,574,046)

 

      82,666,164  
       

 

 

  

Cash and Other Assets, Less

 

   

Liabilities – 0.11%

 

      92,547  
       

 

 

  

Net Assets – 100.00%

 

    $ 82,758,711  
       

 

 

  

 

1 

U.S. dollar-denominated security issued by foreign-domiciled entity.

2 

Floating rate security. The rate disclosed was in effect at December 31, 2019.

3 

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

4 

Variable rate security. Interest rate disclosed is as of the most recent information available. 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.

5 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

6 

Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $322,652, which is 0.39% of total net assets.

7 

Non-income producing security.

8 

Security is currently in default with regard to scheduled interest or principal payments.

9 

Represents annualized yield at date of purchase.

10 

Represents the current yield as of December 31, 2019.

11 

Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $171,455.

† 

Fair valued security. The aggregate value of fair valued securities is $324,240, which is 0.39% of total net assets. Fair valued securities are not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale. See Notes to Financial Statements.

 

*

Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity.

**

Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date.

Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.

(BKNT): Banker’s Note, Inc.

(CDO): Collateralized Debt Obligations

(CLO): Collateralized Loan Obligation

(GMTN): Global medium-term note

(IO): Interest only (JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(USD): U.S. dollar

 

 

12 / December 2019

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Currency to

be Purchased

   

Currency to

be Sold

    Counterparty    Settlement
Date		    Unrealized
    Appreciation    

FOREIGN CURRENCY EXCHANGE CONTRACT

                    

USD 421,919

        JPY 45,000,000        Goldman Sachs International        01/14/20      $ 7,519

USD 420,970

        JPY 45,000,000        Goldman Sachs International        01/21/20        6,409

USD 834,914

        JPY 90,000,000        Citigroup Global Markets, Inc.        01/27/20        5,515
                   

 

 

  

NET UNREALIZED APPRECIATION

                     $ 19,443
                   

 

 

  

 

Description    Number
of Contracts		    Expiration Date    Notional Amount   Value   Unrealized
Appreciation/
(Depreciation)

FUTURES CONTRACTS: LONG POSITIONS

                       

U.S. Treasury Ultra Bond

        2        03/20/20      $ 363,313     $ (10,816 )     $ (10,816 )

FUTURES CONTRACTS: SHORT POSITIONS

                       

U.S. Treasury Five Year Note

        138        03/31/20        (16,368,094 )       53,293       53,293

U.S. Treasury Ten Year Ultra Bond

        19        03/20/20        (2,673,359 )       36,811       36,811
              

 

 

      

 

 

      

 

 

  

TOTAL FUTURES CONTRACTS

                $ (18,678,140 )     $ 79,288     $ 79,288
              

 

 

      

 

 

      

 

 

  

 

               Received by the Fund      Paid by the Fund                                           
Descriptions    Put/Call    Maturity
Date		    Rate     Frequency      Rate     Frequency      Notional
Amount
(000’s)		      Value     Premiums
Paid     		      Unrealized
Appreciation/
(Depreciation)		  

SWAPS: INTEREST RATE

 

                        

Interest Rate Swap1

    Call    04/11/22      2.26%       Semi-annually       
 3-month
USD LIBOR		  
 		     Quarterly      $ 4,765      $ 57,786               $ —           $ 57,786  

Interest Rate Swap1

    Call    05/08/22      2.28%       Semi-annually       
 3-month
USD LIBOR		  
 		     Quarterly        2,055        25,894          —             25,894  

Interest Rate Swap1

    Call    04/11/25     

 3 month

USD LIBOR

  

 

     Quarterly        2.34%       Semi-annually        1,960        (57,852 )         —             (57,852 ) 

Interest Rate Swap1

    Call    05/08/25     

 3 month

USD LIBOR

  

 

     Quarterly        2.37%       Semi-annually        840        (25,991 )         —             (25,991 ) 
                  

 

 

     

 

 

       

 

 

        

 

 

  

 

TOTAL SWAPS CONTRACTS

             

 

$

 

9,620

 

 

   

 

$

 

(163

 

) 

     

 

$

 

—  

 

 

      

 

$

 

(163

 

) 

                  

 

 

     

 

 

       

 

 

        

 

 

  

 

1 

Centrally cleared.

SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Fund:

Net Asset Value:

The Net Asset Value (“NAV”) of each class of the Fund is determined by dividing the net assets attributable to each class of shares of the Fund by the number of issued and outstanding shares of the class of the Fund on each business day as of 4 p.m. ET.

Security Valuation:

Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors or broker quotes. The Fund receives pricing information from independent pricing vendors approved by the Board of Trustees (the “Board” or the “Board of Trustees”). Securities with a demand feature exercisable within one to seven days are valued at par. The Fund also uses a benchmark pricing system to the extent vendors’ prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy composed of a relevant security (i.e., U.S. Treasury Note) or benchmark (e.g., LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. S&P 500 Index futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. Equity securities, including depository receipts, are valued at the last

 

December 2019 / 13

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Equity options are valued at the average of the bid and asked prices. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board.

Investments in registered open-ended investment companies, including those classified as money market funds, are valued based upon the reported NAV of such investments.

Fair value methods approved by the Board of Trustees include, but are not limited to, obtaining market quotations from secondary pricing services, broker-dealers, or widely used quotation systems. General factors considered in determining the fair value of securities include fundamental analytical data, the nature and duration of any restrictions on disposition of the securities, and an evaluation of the forces that influenced the market in which the investments are purchased and sold. These securities are either categorized as Level 2 or 3 depending on the relevant inputs used. In the event that the security or asset cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or asset will be determined in good faith by the Pricing Committee of the Board, generally based upon recommendation provided by the Adviser. When the Fund uses these fair valuation methods applied by the Adviser that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at their direction believe accurately reflect fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Fund’s policy is intended to result in a calculation of its NAV that fairly reflects security values as of the time of pricing, the Fund cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.

Fair Value Measurements:

Various inputs are used in determining the fair value of investments, which are as follows:

* Level 1 - unadjusted 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 that are not corroborated by observable market data

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

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.

In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, 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.

 

14 / December 2019

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

The summary of inputs used to value the Fund’s investments and other financial instruments carried at fair value as of December 31, 2019 is as follows:

 

    STRATEGIC INCOME FUND   LEVEL 1           LEVEL 2           LEVEL 3           TOTAL  

    Investments in Securities

              

    Assets

              

    Short-Term Investments:

              

    Commercial paper

       $ —             $ 254,401               $        —                   $ 254,401  

    Foreign Government Obligations

     —           1,656,558         —           1,656,558  

    Money Market Funds

     3,017,350         —           —           3,017,350  

    U.S. Agency Discount Notes

     —           2,397,900         —           2,397,900  

    U.S. Treasury Bills

     2,666,610         —           —           2,666,610  

    Long-Term Investments:

              

    Asset-Backed Securities

     —           10,934,742         114,039         11,048,781  

    Corporates

     —           24,858,161         —           24,858,161  

    Foreign Government Obligations

     —           890,395         —           890,395  

    Mortgage-Backed

     —           35,309,950         208,613         35,518,563  

    Municipal Bonds

     —           357,445         —           357,445  

    Other Financial Instruments *

              

    Assets:

              

    Foreign currency exchange contracts

     —           19,443         —           19,443  

    Interest rate contracts

     90,104         83,680         —           173,784  

    Liabilities:

              

    Interest rate contracts

     (10,816 )        (83,843 )        —           (94,659 ) 
 

 

 

      

 

 

      

 

 

      

 

 

  

    Total

     $5,763,248         $76,678,832         $    322,652         $82,764,732  
 

 

 

      

 

 

      

 

 

      

 

 

  

*Other financial instruments include foreign currency exchange contracts, futures and swaps. Interest rate contracts include futures and swaps.

Certain of the Fund’s investments are categorized as Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are unobservable. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

 

December 2019 / 15

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

For the period ended December 31, 2019, a reconciliation of Level 3 investments is presented when the Fund had a significant amount of 1evel 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

    STRATEGIC

    INCOME FUND

    ASSET-BACKED
SECURITIES		  

    MORTGAGE-BACKED     

SECURITIES

    

    Balance as of

    April 1, 2019

      $ 130,567     $ 407,696  

    Accrued discounts/premiums

        198       47,165  

    Realized (loss)

        —         (16,450 )  

    Change in unrealized (depreciation)*                

        (16,726 )       (69,320 )  

    Purchases

        —         —    

    Sales

        —         (160,478 )  

    Corporate action

        —         —    

    Transfers into Level 3**

        —         —    

    Transfers out of Level 3**

        —         —    
    

 

 

      

 

 

    

    Balance as of

    December 31, 2019

      $ 114,039     $ 208,613  
    

 

 

      

 

 

    

* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2019 was $(98,208) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended December 31, 2019.

Significant unobservable valuations inputs for Level 3 investments as of December 31, 2019, are as follows:

 

    STRATEGIC INCOME FUND    FAIR VALUE
AT 12/31/19		     

VALUATION

TECHNIQUE*

     

 

UNOBSERV-

ABLE

INPUT

      RANGE     

WEIGHTED  

AVERAGE  

  

    

               
    Asset-Backed Securities      $114,039              Benchmark Pricing              Offered Quote        $9.44 - $22.00        $17.63  
    Mortgage-Backed Securities-               
    Commercial Mortgage Backed      $69,791        Third-party Vendor        Vendor Prices        3.16        3.16  
    Mortgage-Backed Securities-Non-               
    Agency      $138,822        Third-party Vendor        Vendor Prices        8.18        8.18  

* The valuation technique employed on the Level 3 securities involves the use of vendor prices, broker quotes and benchmark pricing. The Adviser monitors the third-party brokers and vendors using the valuation process.

 

16 / December 2019