NPORT-EX 2 MW10_Low_Duration.htm HTML

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues      Maturity  
Date		       Principal  
Amount		      Value  

BONDS – 95.32%

 

   

ASSET-BACKED SECURITIES — 7.36%**

 

   

Access Group, Inc., Series 2015-1, Class A

(LIBOR USD 1-Month plus 0.70%)

 

 

   

2.49%

      07/25/56 1,2      $1,760,502      $ 1,723,630  
AMMC CLO 19 Ltd., Series 2016-19A, Class AR (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 1.14%)

 

   

3.14%

      10/16/28 1,2,3      2,200,000        2,200,029  
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      6,700,000        6,696,677  
Barings CLO Ltd., Series 2016-2A, Class AR (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 1.08%)

 

   

3.05%

      07/20/28 1,2,3      5,500,000        5,502,692  
Bayview Commercial Asset Trust, Series 2005-1A, Class A1

 

   
(LIBOR USD 1-Month plus 0.45%)

 

   

2.24%

      04/25/35 1,2      210,164        206,474  
Brazos Higher Education Authority, Inc., Series 2011-1, Class A2

 

   
(LIBOR USD 3-Month plus 0.80%)

 

   

2.71%

      02/25/30 1      85,332        85,356  
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3

 

   
(LIBOR USD 3-Month plus 1.00%)

 

   

2.94%

      10/27/36 1      5,075,000        5,070,603  
Education Loan Asset-Backed Trust I, Series 2013-1, Class A2

 

   
(LIBOR USD 1-Month plus 0.80%)

 

   

2.59%

      04/26/32 1,2      8,375,000        8,317,428  
GCO Education Loan Funding Trust II, Series 2006-2AR, Class A1RN

 

   
(LIBOR USD 1-Month plus 0.65%)

 

   

2.44%

      08/27/46 1,2      6,930,177        6,610,947  
Goal Capital Funding Trust, Series 2006-1, Class B

 

   
(LIBOR USD 3-Month plus 0.45%)

 

   

2.36%

      08/25/42 1      2,307,095        2,126,913  
Higher Education Funding I, Series 2014-1, Class A

 

   
(LIBOR USD 3-Month plus 1.05%)

 

   

2.96%

      05/25/34 1,2      1,074,801        1,075,274  
J.G. Wentworth XXX LLC, Series 2013-3A, Class A

 

   

4.08%

      01/17/73 2      3,778,534        4,024,501  
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      5,825,000        5,812,836  
Issues      Maturity  
Date		       Principal  
Amount		      Value  

ASSET-BACKED SECURITIES (continued)

 

Navient Student Loan Trust, Series 2015-2,
Class A3

 

   
(LIBOR USD 1-Month plus 0.57%)

 

   

2.36%

      11/26/40 1      $5,212,281      $ 5,118,685  
Navient Student Loan Trust, Series 2016-7A, Class A

 

   
(LIBOR USD 1-Month plus 1.15%)

 

   

2.95%

      03/25/66 1,2      9,796,383        9,777,223  
Navient Student Loan Trust, Series 2017-2A, Class A

 

   
(LIBOR USD 1-Month plus 1.05%)

 

   

2.84%

      12/27/66 1,2      2,831,148        2,817,542  
Nelnet Student Loan Trust, Series 2013-1A, Class A

 

   
(LIBOR USD 1-Month plus 0.60%)

 

   

2.39%

      06/25/41 1,2      2,570,787        2,513,484  
Nelnet Student Loan Trust, Series 2014-5A, Class A

 

   
(LIBOR USD 1-Month plus 0.55%)

 

   

2.34%

      07/25/46 1,2      8,331,322        8,200,723  
Northstar Education Finance, Inc., Series 2007-1, Class A1

 

   
(1.00 X LIBOR USD 3-Month plus 0.10%)

 

   

2.04%

      04/28/30 1      1,423,031        1,419,019  
PHEAA Student Loan Trust, Series 2016-1A, Class A

 

   
(LIBOR USD 1-Month plus 1.15%)

 

   

2.94%

      09/25/65 1,2      8,902,797        8,896,511  
Recette CLO Ltd., Series 2015-1A, Class AR (Cayman Islands)

 

   
(LIBOR USD 3-Month plus 0.92%)

 

   

2.89%

      10/20/27 1,2,3      4,441,287        4,441,409  
SLC Student Loan Trust, Series 2007-1,
Class A4

 

   
(LIBOR USD 3-Month plus 0.06%)

 

   

1.97%

      05/15/29 1      4,018,267        3,932,841  
SLM Student Loan Trust, Series 2003-10A,
Class A3

 

   
(LIBOR USD 3-Month plus 0.47%)

 

   

2.36%

      12/15/27 1,2      6,522,539        6,527,505  
SLM Student Loan Trust, Series 2003-11,
Class A6

 

   
(LIBOR USD 3-Month plus 0.55%)

 

   

2.44%

      12/15/25 1,2      3,517,885        3,503,647  
SLM Student Loan Trust, Series 2006-9,
Class A5

 

   
(LIBOR USD 3-Month plus 0.10%)

 

   

2.04%

      01/26/26 1      1,018,933        1,017,254  
SLM Student Loan Trust, Series 2007-6,
Class A4

 

   
(LIBOR USD 3-Month plus 0.38%)

 

   

2.32%

      10/25/24 1      3,118,366        3,120,728  
 

 

December 2019 / 1

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues      Maturity  
Date		       Principal  
Amount		      Value  

ASSET-BACKED SECURITIES (continued)

 

SLM Student Loan Trust, Series 2008-1,
Class A4

 

   
(LIBOR USD 3-Month plus 0.65%)

 

   

2.59%

      01/25/22 1    $ 5,410,019      $ 5,299,520  
SLM Student Loan Trust, Series 2008-4,
Class A4

 

   
(LIBOR USD 3-Month plus 1.65%)

 

   

3.59%

      07/25/22 1      4,606,679        4,638,148  
SLM Student Loan Trust, Series 2008-6,
Class A4

 

   
(LIBOR USD 3-Month plus 1.10%)

 

   

3.04%

      07/25/23 1      3,112,745        3,094,168  
SLM Student Loan Trust, Series 2011-1,
Class A1

 

   
(LIBOR USD 1-Month plus 0.52%)

 

   

2.31%

      03/25/26 1      37,300        37,310  
SLM Student Loan Trust, Series 2012-2, Class A

 

   
(LIBOR USD 1-Month plus 0.70%)

 

   

2.49%

      01/25/29 1      2,566,527        2,521,909  
SLM Student Loan Trust, Series 2012-7,
Class A3

 

   
(LIBOR USD 1-Month plus 0.65%)

 

   

2.44%

      05/26/26 1      10,097,084        9,861,368  
SLM Student Loan Trust, Series 2013-4, Class A

 

   
(LIBOR USD 1-Month plus 0.55%)

 

   

2.34%

      06/25/43 1      3,122,041        3,078,532  
SLM Student Loan Trust, Series 2014-1,
Class A3

 

   
(LIBOR USD 1-Month plus 0.60%)

 

   

2.39%

      02/26/29 1      5,035,395        4,911,830  
Student Loan Consolidation Center Student Loan Trust I, Series 2002-2, Class B2

 

   
(28 Day Auction Rate plus 0.00%)

 

   

1.61%

      07/01/42 1,2      3,500,000        3,278,786  
       

 

 

  

Total Asset-Backed Securities

(Cost $147,442,616)

 

 

      147,461,502  
       

 

 

  

BANK LOANS — 0.87%*

 

   

Automotive — 0.03%

 

   
Panther BF Aggregator 2 LP Term Loan B,
1st Lien

 

   
(LIBOR plus 3.50%)

 

   

5.30%

      04/30/26 1,2      598,500        601,681  
       

 

 

  

Communications — 0.45%

 

   
CSC Holdings LLC, Term Loan B, 1st Lien

 

   
(LIBOR plus 2.25%)

 

   

3.99%

      01/15/26 1,2      1,191,000        1,194,275  
Issues      Maturity  
Date		       Principal  
Amount		      Value  

BANK LOANS (continued)

 

   

Communications (continued)

 

   
Frontier Communications Corp., Term Loan B,
1st Lien

 

   
(LIBOR plus 3.75%)

 

   

5.55%

      06/17/24 1,2      $1,695,652      $ 1,707,547  
Intelsat Jackson Holdings SA, Term Loan B4,
1st Lien (Luxembourg)

 

   
(LIBOR plus 4.50%)

 

   

6.43%

      01/02/24 1,2,3      488,919        494,331  
Intelsat Jackson Holdings SA, Term Loan B5,
1st Lien (Luxembourg)

 

   

6.63%

      01/02/24 1,2,3      4,252,054        4,318,131  
Lamar Media Corp., Term Loan B, 1st Lien

 

   
(LIBOR plus 1.75%)

 

   

3.56%

      03/14/25 1,2      491,250        494,934  
Sprint Communications, Inc., Term Loan B,
1st Lien

 

   
(LIBOR plus 2.50%)

 

   

4.31%

      02/02/24 1,2      785,859        780,358  
       

 

 

  
     8,989,576  
       

 

 

  

Electric — 0.02%

 

   
Chief Power Finance LLC, Term Loan B, 1st Lien

 

   
(LIBOR plus 4.75%)

 

   

6.55%

      12/31/20 1,2,4,5      773,370        430,508  
       

 

 

  

Finance — 0.17%

 

   
Delos Finance SARL, Term Loan B, 1st Lien

 

   
(LIBOR plus 1.75%)

 

   

3.69%

      10/06/23 1,2      3,450,655        3,468,270  
       

 

 

  

Health Care — 0.04%

 

   
Valeant Pharmaceuticals International, Inc., Term Loan B, 1st Lien

 

   
(LIBOR plus 3.00%)

 

   

4.74%

      06/02/25 1,2      678,094        682,827  
       

 

 

  

Industrials — 0.03%

 

   
Berry Global, Inc., Term Loan U, 1st Lien

 

   
(LIBOR plus 2.50%)

 

   

4.22%

      07/01/26 1,2      597,000        599,448  
       

 

 

  

Information Technology — 0.13%

 

   
Broadcom, Inc., Delayed-Draw Term Loan A3

 

   
(LIBOR plus 1.25%)

 

   

1.25%

      11/04/22 1,2      1,250,000        1,245,050  
IQVIA, Inc., Term Loan B1, 1st Lien

 

   
(LIBOR plus 1.75%)

 

   

3.69%

      03/07/24 1,2      450,337        453,340  
 

 

2 / December 2019

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues      Maturity  
Date		       Principal  
Amount		      Value  

BANK LOANS (continued)

 

   

Information Technology (continued)

 

   
IQVIA, Inc., Term Loan B3, 1st Lien

 

   
(LIBOR plus 1.75%)

 

   

3.69%

      06/11/25 1,2    $ 492,500      $ 495,733  
SS&C Technologies Holdings Europe SARL, Term Loan B4, 1st Lien

 

   
(LIBOR plus 2.25%)

 

   

4.05%

      04/16/25 1,2      192,999        194,575  
SS&C Technologies, Inc., Term Loan B3,
1st Lien

 

   
(LIBOR plus 2.25%)

 

   

4.05%

      04/16/25 1,2      278,357        280,631  
       

 

 

  
     2,669,329  
       

 

 

  
Total Bank Loans
(Cost $17,719,943)

 

      17,441,639  
       

 

 

  

CORPORATES — 30.68%*

 

   

Banking — 5.48%

 

   
Bank of America Corp.

 

   

2.74%

      01/23/22 6      9,705,000        9,777,251  

3.00%

      12/20/23 6      2,159,000        2,210,464  
Bank of America Corp. (GMTN)

 

   

2.37%

      07/21/21 6      18,025,000        18,065,528  
Bank of America N.A.

 

   

3.34%

      01/25/23 6      1,015,000        1,042,211  
JPMorgan Chase Bank N.A. (BKNT)

 

   

2.60%

      02/01/21 6      13,950,000        13,956,984  

3.09%

      04/26/21 6      261,000        261,912  
Lloyds Bank PLC (United Kingdom)

 

   

3.30%

      05/07/21 3      6,475,000        6,582,640  

6.38%

      01/21/21 3      2,000,000        2,089,968  
Lloyds Bank PLC (United Kingdom) (MTN)

 

   

5.80%

      01/13/20 2,3      3,000,000        3,003,105  
Santander UK Group Holdings PLC

 

   
(United Kingdom)

 

   

2.88%

      08/05/21 3      13,000,000        13,140,090  
Santander UK PLC (United Kingdom)

 

   

2.50%

      01/05/21 3      2,250,000        2,264,161  
Wells Fargo & Co.

 

   
(LIBOR USD 3-Month plus 1.23%)

 

   

3.16%

      10/31/23 1      2,000,000        2,037,988  
Wells Fargo & Co., Series N (MTN)

 

   

2.15%

      01/30/20       9,535,000        9,536,538  
Wells Fargo Bank N.A. (BKNT)

 

   

2.08%

      09/09/22 6      1,105,000        1,106,682  

2.40%

      01/15/20       20,000,000        20,003,011  

3.33%

      07/23/21 6      4,620,000        4,656,611  
       

 

 

  
     109,735,144  
       

 

 

  
Issues      Maturity  
Date		       Principal  
Amount		      Value  

CORPORATES (continued)

 

   

Communications — 1.72%

 

   
AT&T, Inc.

 

   

3.40%

      05/15/25       $2,655,000      $ 2,782,597  

3.88%

      01/15/26       1,400,000        1,502,331  

3.90%

      03/11/24       1,700,000        1,807,712  
(LIBOR USD 3-Month plus 1.18%)

 

   

3.07%

      06/12/24 1      475,000        484,163  
Charter Communications Operating LLC/ Charter Communications Operating Capital

 

   

4.50%

      02/01/24       1,720,000        1,852,235  

4.91%

      07/23/25       2,200,000        2,419,318  
Comcast Corp.

 

   

3.45%

      10/01/21       3,265,000        3,361,799  
Cox Communications, Inc.

 

   

7.63%

      06/15/25       900,000        1,096,018  
Discovery Communications LLC

 

   

2.80%

      06/15/20       715,000        716,905  
Sprint Communications, Inc.

 

   

7.00%

      03/01/20 2      1,264,000        1,272,229  
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC

 

   

3.36%

      09/20/21 2      7,831,250        7,910,737  

4.74%

      03/20/25 2      1,000,000        1,061,895  
ViacomCBS, Inc.

 

   

2.50%

      02/15/23       2,095,000        2,110,243  

3.88%

      04/01/24       2,000,000        2,119,240  
Vodafone Group PLC (United Kingdom)

 

   

3.75%

      01/16/24 3      668,000        705,586  

4.13%

      05/30/25 3      3,000,000        3,259,991  
       

 

 

  
     34,462,999  
       

 

 

  

Consumer Discretionary — 0.71%

 

   
BAT Capital Corp.

 

   

2.76%

      08/15/22       8,530,000        8,658,486  
Molson Coors Beverage Co.

 

   

2.25%

      03/15/20       5,000,000        4,998,182  
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 1,2      550,000        551,925  
       

 

 

  
     14,208,593  
       

 

 

  

Electric — 2.27%

 

   
American Electric Power Co., Inc., Series I

 

   

3.65%

      12/01/21       5,000,000        5,158,917  
Black Hills Corp.

 

   

4.25%

      11/30/23       4,050,000        4,319,665  
Dominion Energy, Inc.

 

   

2.45%

      01/15/23 2      5,000,000        5,021,124  
Evergy Metro, Inc.

 

   

3.65%

      08/15/25       2,555,000        2,727,637  
 

 

December 2019 / 3

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues      Maturity  
Date		       Principal  
Amount		      Value  

CORPORATES (continued)

 

   

Electric (continued)

 

   
LG&E & KU Energy LLC

 

   

3.75%

      11/15/20     $ 3,400,000      $ 3,435,667  
Mississippi Power Co.

 

   
(LIBOR USD 3-Month plus 0.65%)

 

   

2.60%

      03/27/20 1      4,582,000        4,583,813  
NextEra Energy Capital Holdings, Inc.

 

   
(LIBOR USD 3-Month plus 0.48%)

 

   

2.38%

      05/04/21 1      7,700,000        7,712,494  
(LIBOR USD 3-Month plus 0.55%)

 

   

2.46%

      08/28/21 1      3,952,000        3,952,699  
Pennsylvania Electric Co.

 

   

5.20%

      04/01/20       1,262,000        1,271,534  
PNM Resources, Inc.

 

   

3.25%

      03/09/21       7,115,000        7,200,017  
       

 

 

  
     45,383,567  
       

 

 

  

Energy — 1.77%

 

   
Energy Transfer Operating LP

 

   

4.90%

      02/01/24       4,292,000        4,627,420  
Petroleos Mexicanos (Mexico)

 

   

5.35%

      02/12/28 3      6,470,000        6,456,073  
Plains All American Pipeline LP/PAA Finance Corp.

 

   

3.85%

      10/15/23       5,422,000        5,618,508  
Rockies Express Pipeline LLC

 

   

5.63%

      04/15/20 2      2,036,000        2,061,068  
Ruby Pipeline LLC

 

   

6.50%

      04/01/22 2      2,876,932        2,977,624  
Sabine Pass Liquefaction LLC

 

   

5.75%

      05/15/24       1,715,000        1,910,621  
Spectra Energy Partners LP

 

   

4.60%

      06/15/21       1,725,000        1,777,144  

4.75%

      03/15/24       4,519,000        4,928,883  
TC PipeLines LP

 

   

4.65%

      06/15/21       4,900,000        5,042,974  
       

 

 

  
     35,400,315  
       

 

 

  

Finance — 6.33%

 

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

 

   

3.95%

      02/01/22 3      1,935,000        1,999,921  

5.00%

      10/01/21 3      1,000,000        1,048,823  
Air Lease Corp.

 

   

2.13%

      01/15/20       5,000,000        4,999,756  

3.50%

      01/15/22       2,170,000        2,230,790  
BMW U.S. Capital LLC

 

   
(LIBOR USD 3-Month plus 0.38%)

 

   

2.28%

      04/06/20 1,2      8,000,000        8,005,671  
Citibank N.A. (BKNT)

 

   

3.05%

      05/01/20       11,605,000        11,640,501  
Issues      Maturity  
Date		       Principal  
Amount		      Value  

CORPORATES (continued)

 

   

Finance (continued)

 

   
Daimler Finance North America LLC

 

   
(LIBOR USD 3-Month plus 0.90%)

 

   

2.81%

      02/15/22 1,2    $ 8,195,000      $ 8,260,758  
Ford Motor Credit Co. LLC

 

   

2.43%

      06/12/20       2,500,000        2,498,672  

2.46%

      03/27/20       1,000,000        1,000,380  

3.20%

      01/15/21       5,000,000        5,027,187  

3.81%

      10/12/21       1,005,000        1,023,901  

5.60%

      01/07/22       1,662,000        1,752,072  

5.75%

      02/01/21       5,241,000        5,406,747  

5.88%

      08/02/21       1,000,000        1,047,187  

8.13%

      01/15/20       2,000,000        2,004,132  
(LIBOR USD 3-Month plus 0.79%)

 

   

2.68%

      06/12/20 1      2,080,000        2,081,375  
(LIBOR USD 3-Month plus 0.81%)

 

   

2.71%

      04/05/21 1      1,205,000        1,200,361  
(LIBOR USD 3-Month plus 0.88%)

 

   

2.88%

      10/12/21 1      2,500,000        2,479,235  
GE Capital International Funding Co. (Ireland)

 

   

2.34%

      11/15/20 3      17,475,000        17,463,644  
General Motors Financial Co., Inc.

 

   

4.20%

      03/01/21       3,000,000        3,064,134  

4.20%

      11/06/21       3,000,000        3,108,305  

4.38%

      09/25/21       4,000,000        4,145,780  
Goldman Sachs Group, Inc. (The)

 

   

2.63%

      04/25/21       1,880,000        1,896,842  

2.88%

      10/31/22 6      726,000        736,031  

2.91%

      07/24/23 6      6,814,000        6,935,870  
Morgan Stanley (GMTN)

 

   

5.50%

      01/26/20       2,805,000        2,811,005  

5.50%

      07/24/20       3,450,000        3,520,002  
(LIBOR USD 3-Month plus 0.55%)

 

   

2.45%

      02/10/21 1      10,000,000        10,004,978  
Nationwide Building Society (United Kingdom)

 

   

3.62%

      04/26/23 2,3,6      4,910,000        5,052,947  
Park Aerospace Holdings Ltd. (Cayman Islands)

 

   

3.63%

      03/15/21 2,3      860,000        869,580  

4.50%

      03/15/23 2,3      2,070,000        2,179,129  

5.25%

      08/15/22 2,3      1,165,000        1,244,467  
  

 

 

  
     126,740,183  
  

 

 

  

Food — 1.49%

 

   
Campbell Soup Co.

 

   

3.30%

      03/15/21       4,025,000        4,085,981  
(LIBOR USD 3-Month plus 0.50%)

 

   

2.39%

      03/16/20 1      1,000,000        1,000,359  
 

 

4 / December 2019

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues      Maturity  
Date		       Principal  
Amount		      Value  

CORPORATES (continued)

 

   

Food (continued)

 

   
Conagra Brands, Inc.

 

   
(LIBOR USD 3-Month plus 0.50%)

 

   

2.38%

      10/09/20 1    $ 8,203,000      $ 8,216,297  
(LIBOR USD 3-Month plus 0.75%)

 

   

2.70%

      10/22/20 1      3,000,000        3,000,309  
Kraft Heinz Foods Co.

 

   

3.95%

      07/15/25       1,500,000        1,589,531  

4.00%

      06/15/23       11,326,000        11,929,922  
       

 

 

  
     29,822,399  
       

 

 

  

Health Care — 4.29%

 

   
Aetna, Inc.

 

   

3.50%

      11/15/24       3,136,000        3,285,187  
Allergan Finance LLC

 

   

3.25%

      10/01/22       1,500,000        1,536,166  
Allergan Funding SCS (Luxembourg)

 

   

3.45%

      03/15/22 3      3,000,000        3,069,796  

3.80%

      03/15/25 3      2,615,000        2,753,521  

3.85%

      06/15/24 3      2,500,000        2,627,673  
Anthem, Inc.

 

   

2.38%

      01/15/25       6,000,000        6,000,021  

3.70%

      08/15/21       1,478,000        1,512,807  
Bausch Health Cos., Inc. (Canada)

 

   

7.00%

      03/15/24 2,3      5,000,000        5,210,425  
Bayer U.S. Finance II LLC

 

   

2.20%

      07/15/22 2      1,455,000        1,447,913  

2.75%

      07/15/21 2      635,000        639,023  

2.85%

      04/15/25 2      2,300,000        2,246,336  

3.50%

      06/25/21 2      1,825,000        1,859,111  

3.88%

      12/15/23 2      2,000,000        2,100,842  

4.25%

      12/15/25 2      1,000,000        1,080,055  
Becton Dickinson and Co.

 

   

2.40%

      06/05/20       2,260,000        2,262,583  

3.25%

      11/12/20       875,000        883,489  
Bristol-Myers Squibb Co.

 

   

3.25%

      08/15/22 2      2,278,000        2,353,014  
(LIBOR USD 3-Month plus 0.20%)

 

   

2.10%

      11/16/20 1,2      4,100,000        4,102,958  
Cigna Corp.

 

   

3.75%

      07/15/23       6,000,000        6,301,271  

4.50%

      03/15/21 2      5,335,000        5,454,235  
Cigna Holding Co.

 

   

5.13%

      06/15/20       1,725,000        1,748,685  
CVS Health Corp.

 

   

4.10%

      03/25/25       4,000,000        4,309,288  
Elanco Animal Health, Inc.

 

   

3.91%

      08/27/21       2,500,000        2,565,433  
Fresenius Medical Care U.S. Finance II, Inc.

 

   

4.13%

      10/15/20 2      3,353,000        3,393,135  
Issues      Maturity  
Date		       Principal  
Amount		      Value  

CORPORATES (continued)

 

   

Health Care (continued)

 

   
HCA, Inc.

 

   

5.00%

      03/15/24       $1,000,000      $ 1,094,209  
Humana, Inc.

 

   

2.50%

      12/15/20       5,675,000        5,698,506  

3.15%

      12/01/22       2,000,000        2,054,706  
Shire Acquisitions Investments Ireland DAC (Ireland)

 

   

2.40%

      09/23/21 3      1,000,000        1,005,946  
Sutter Health, Series 13-C

 

   

2.29%

      08/15/53       1,525,000        1,524,798  
Tenet Healthcare Corp.

 

   

4.63%

      09/01/24 2      3,000,000        3,131,550  
Zimmer Biomet Holdings, Inc.

 

   
(LIBOR USD 3-Month plus 0.75%)

 

   

2.65%

      03/19/21 1      2,685,000        2,685,281  
       

 

 

  
     85,937,963  
       

 

 

  

Industrials — 1.79%

 

   
BAE Systems Holdings, Inc.

 

   

2.85%

      12/15/20 2      1,070,000        1,077,428  
Bemis Co., Inc.

 

   

4.50%

      10/15/21 2      2,550,000        2,628,377  
General Electric Co. (GMTN)

 

   

4.63%

      01/07/21       1,030,000        1,053,613  
General Electric Co. (MTN)

 

   

2.00%

      02/15/21       7,000,000        6,932,178  
(LIBOR USD 3-Month plus 0.38%)

 

   

2.27%

      05/05/26 1      7,674,000        7,420,921  
(LIBOR USD 3-Month plus 0.48%)

 

   

2.39%

      08/15/36 1      2,182,000        1,722,798  
General Electric Co., Series NOTZ (MTN)

 

   
(LIBOR USD 3-Month plus 1.00%)

 

   

3.00%

      04/15/23 1      4,936,000        4,940,050  
Ingersoll-Rand Co.

 

   

9.00%

      08/15/21       1,100,000        1,201,735  
L3Harris Technologies, Inc.

 

   

4.95%

      02/15/21 2      1,525,000        1,562,303  
United Technologies Corp.

 

   
(LIBOR USD 3-Month plus 0.65%)

 

   

2.55%

      08/16/21 1      7,250,000        7,250,972  
       

 

 

  
     35,790,375  
       

 

 

  

Information Technology — 0.88%

 

   
Analog Devices, Inc.

 

   

2.85%

      03/12/20       4,030,000        4,035,717  
Broadcom Corp./Broadcom Cayman

 

   
Finance Ltd.

 

   

2.38%

      01/15/20       4,750,000        4,750,286  
Broadcom, Inc.

 

   

3.13%

      04/15/21 2      2,525,000        2,556,280  
 

 

December 2019 / 5

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues      Maturity  
Date		       Principal  
Amount		     

Value

 

  

CORPORATES (continued)

 

   

Information Technology (continued)

 

   
NXP BV/NXP Funding LLC (Netherlands)

 

   

4.13%

      06/01/21 2,3      $6,125,000      $ 6,282,040  
       

 

 

  
     17,624,323  
       

 

 

  

Insurance — 0.26%

 

   
Metropolitan Life Global Funding I

 

   

3.38%

      01/11/22 2      1,550,000        1,594,096  
Nationwide Mutual Insurance Co.

 

   

4.18%

      12/15/24 2,6      3,550,000        3,536,688  
       

 

 

  
     5,130,784  
       

 

 

  

Real Estate Investment Trust (REIT) — 2.68%

 

American Campus Communities Operating Partnership LP

 

   

3.35%

      10/01/20       7,700,000        7,764,192  
Boston Properties LP

 

   

4.13%

      05/15/21       1,495,000        1,525,190  
Digital Realty Trust LP

 

   

2.75%

      02/01/23       1,030,000        1,041,532  

3.63%

      10/01/22       2,430,000        2,513,277  
Essex Portfolio LP

 

   

5.20%

      03/15/21       1,405,000        1,446,811  
GLP Capital LP/GLP Financing II, Inc.

 

   

4.38%

      04/15/21       3,240,000        3,312,317  

4.88%

      11/01/20       694,000        706,442  

5.38%

      11/01/23       6,725,000        7,342,555  
Healthcare Realty Trust, Inc.

 

   

3.75%

      04/15/23       5,000,000        5,165,807  
Kimco Realty Corp.

 

   

3.40%

      11/01/22       4,000,000        4,134,572  
National Retail Properties, Inc.

 

   

3.80%

      10/15/22       4,750,000        4,936,151  
Realty Income Corp.

 

   

3.25%

      10/15/22       3,000,000        3,099,115  
Reckson Operating Partnership LP

 

   

7.75%

      03/15/20       1,650,000        1,668,274  
SL Green Operating Partnership LP

 

   
(LIBOR USD 3-Month plus 0.98%)

 

   

2.88%

      08/16/21 1      5,000,000        5,001,061  
WEA Finance LLC/Westfield UK & Europe Finance PLC

 

   

3.25%

      10/05/20 2      4,000,000        4,029,308  
       

 

 

  
     53,686,604  
       

 

 

  

Retail — 0.35%

 

   
Dollar Tree, Inc.

 

   
(LIBOR USD 3-Month plus 0.70%)

 

   

2.70%

      04/17/20 1      7,000,000        7,001,342  
       

 

 

  
Issues      Maturity  
Date		       Principal  
Amount		      Value  

CORPORATES (continued)

 

   

Services — 0.37%

 

   
IHS Markit Ltd. (Bermuda)

 

   

5.00%

      11/01/22 2,3    $ 7,046,000      $ 7,519,887  
       

 

 

  

Transportation — 0.29%

 

   
America West Airlines Pass-Through Trust, Series 2001-1, Class G

 

   

7.10%

      04/02/21       54,850        56,346  
American Airlines Pass-Through Trust, Series 2011-1, Class A

 

   

5.25%

      01/31/21       720,426        738,794  
American Airlines Pass-Through Trust, Series 2013-2, Class A

 

   

4.95%

      01/15/23       993,218        1,035,905  
Aviation Capital Group LLC

 

   
(LIBOR USD 3-Month plus 0.95%)

 

   

2.86%

      06/01/21 1,2      2,135,000        2,144,736  
Continental Airlines Pass-Through Trust, Series 2000-2, Class A1

 

   

7.71%

      04/02/21       351,816        360,871  
Northwest Airlines Pass-Through Trust, Series 2001-1, Class A1

 

   

7.04%

      04/01/22       1,376,694        1,498,751  
  

 

 

  
     5,835,403  
  

 

 

  

Total Corporates

(Cost $604,254,941)

 

 

      614,279,881  
  

 

 

  

MORTGAGE-BACKED — 33.33%**

 

   

Non-Agency Commercial

 

   

Mortgage-Backed — 7.89%

 

   
Benchmark Mortgage Trust, Series 2018-B4, Class A1

 

   

3.13%

      07/15/51       2,775,442        2,824,681  
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)

 

   

1.77%

      09/10/45 2,6      15,814,103        606,483  
Commercial Mortgage Trust, Series 2010-C1, Class A3

 

   

4.21%

      07/10/46 2      12,068,252        12,115,456  
Commercial Mortgage Trust, Series 2012-CR3, Class A3

 

   

2.82%

      10/15/45       10,852,512        10,990,221  
Commercial Mortgage Trust, Series 2013-LC6, Class ASB

 

   

2.48%

      01/10/46       7,427,606        7,458,203  
DBRR Trust, Series 2011-LC2, Class A4A

 

   

4.54%

      07/12/44 2,6      5,897,711        6,016,136  
DBUBS Mortgage Trust, Series 2011-LC2A, Class A4

 

   

4.54%

      07/10/44 2      7,768,038        7,939,460  
 

 

6 / December 2019

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues      Maturity  
Date		       Principal  
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

Non-Agency Commercial Mortgage-Backed (continued)

 

   
Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series 2006-4TS, Class A

 

   

5.40%

      12/13/28 2    $ 5,686,155      $ 5,865,029  
GE Business Loan Trust, Series 2007-1A,
Class A

 

   
(LIBOR USD 1-Month plus 0.17%)

 

   

1.91%

      04/15/35 1,2      772,918        758,456  
GS Mortgage Securities Corp. II, Series
2018-GS10, Class A1

 

   

3.20%

      07/10/51       6,084,862        6,202,336  
GS Mortgage Securities Trust, Series 2010-C1, Class A2

 

   

4.59%

      08/10/43 2      7,565,000        7,610,999  
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class A3

 

   

4.07%

      11/15/43 2      7,277,178        7,316,938  
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C5, Class A3

 

   

4.17%

      08/15/46       1,703,967        1,750,759  
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class ASB

 

   

3.14%

      05/15/45       8,421,630        8,532,949  
Morgan Stanley Capital Barclays Bank Trust, Series 2016-MART, Class A

 

   

2.20%

      09/13/31 2      4,565,000        4,555,736  
Morgan Stanley Capital I Trust, Series 2011-C1, Class A4

 

   

5.03%

      09/15/47 2,6      2,609,504        2,658,837  
Morgan Stanley Capital I Trust, Series 2011-C2, Class A4

 

   

4.66%

      06/15/44 2      5,250,000        5,368,382  
Morgan Stanley Capital I Trust, Series 2011-C3, Class A4

 

   

4.12%

      07/15/49       4,354,516        4,412,670  
One Lincoln Street Commercial Mortgage, Series 2004-C3, Class A1

 

   

5.72%

      10/15/30 2,6      8,232,397        9,025,434  
UBS Commercial Mortgage Trust, Series
2019-C16, Class A1

 

   

2.74%

      04/15/52       8,999,094        9,123,770  
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4

 

   

2.79%

      12/10/45       13,800,000        13,944,839  
VNDO Mortgage Trust, Series 2013-PENN, Class A

 

   

3.81%

      12/13/29 2      3,514,000        3,549,400  
Vornado DP LLC Trust, Series 2010-VNO, Class A1

 

   

2.97%

      09/13/28 2      1,739,843        1,742,344  
Issues      Maturity  
Date		       Principal  
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

Non-Agency Commercial Mortgage-Backed (continued)

 

   
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2

 

   

4.39%

      11/15/43 2    $ 6,077,016      $ 6,114,239  
Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class A2

 

   

2.55%

      06/15/48       3,310,923        3,311,501  
WF-RBS Commercial Mortgage Trust, Series 2013-C11, Class A4

 

   

3.04%

      03/15/45       8,050,000        8,246,211  
       

 

 

  
     158,041,469  
       

 

 

  

Non-Agency Mortgage-Backed — 7.77%

 

   
Accredited Mortgage Loan Trust, Series 2007-1, Class A4

 

   
(LIBOR USD 1-Month plus 0.22%)

 

   

2.01%

      02/25/37 1      11,753,441        11,638,150  
Aegis Asset-Backed Securities Trust, Series 2005-5, Class 2A

 

   
(LIBOR USD 1-Month plus 0.25%)

 

   

2.04%

      12/25/35 1      3,174,257        3,182,259  
Amresco Residential Securities Corp. Mortgage Loan Trust, Series 1998-1, Class A5 (STEP-reset date 02/25/20)

 

   

7.12%

      10/25/27       9,698        10,260  
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-W2, Class A1

 

   
(LIBOR USD 1-Month plus 0.26%)

 

   

2.05%

      10/25/35 1      778,743        780,885  
Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1

 

   

5.50%

      10/25/33       7,615,795        7,800,940  
Banc of America Funding Trust, Series
2015-R2, Class 9A1

 

   
(LIBOR USD 1-Month plus 0.22%)

 

   

2.01%

      03/27/36 1,2      2,629,025        2,629,418  
Banc of America Funding Trust, Series
2015-R4, Class 3A1

 

   
(LIBOR USD 1-Month plus 0.14%)

 

   

1.85%

      07/27/36 1,2      3,407,055        3,375,286  
Banc of America Funding Trust, Series
2016-R1, Class A1

 

   

2.50%

      03/25/40 2,6      7,993,017        7,985,951  
BCAP LLC Trust, Series 2008-IND2,

 

   
Class A1

 

   
(LIBOR USD 1-Month plus 1.65%)

 

   

3.44%

      04/25/38 1      3,544,735        3,580,933  
BCAP LLC Trust, Series 2013-RR5,

 

   
Class 2A1

 

   

3.70%

      03/26/37 2,6      2,520,655        2,551,228  
 

 

December 2019 / 7

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues      Maturity  
Date		       Principal  
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

Non-Agency Mortgage-Backed (continued)

 

   
Bear Stearns ARM Trust, Series 2004-3,
Class 4A

 

   

4.38%

      07/25/34 6    $ 810,568      $ 808,743  
Chase Funding Trust, Series 2002-2, Class 2M1

 

   
(LIBOR USD 1-Month plus 0.90%)

 

   

2.69%

      02/25/32 1      30,777        30,715  
Chase Mortgage Finance Trust, Series 2007-A1, Class 8A1

 

   

4.25%

      02/25/37 6      6,393,736        6,695,984  
Chase Mortgage Finance Trust, Series 2007-A2, Class 2A3

 

   

4.15%

      07/25/37 6      1,287,885        1,305,287  
Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates, Series 2005-2A, Class A1

 

   
(LIBOR USD 1-Month plus 0.18%)

 

   

1.97%

      05/25/36 1,2      728,228        701,592  
CIM Trust, Series 2018-R6, Class A1

 

   
(LIBOR USD 1-Month plus 1.08%)

 

   

2.77%

      09/25/58 1,2      7,092,210        7,057,075  
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41

 

   

3.98%

      02/25/34 6      99,338        97,453  
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class A2C

 

   
(LIBOR USD 1-Month plus 1.30%)

 

   

3.09%

      07/25/37 1      90,000        87,040  
Conseco Finance Corp., Series 1998-2, Class A5

 

   

6.24%

      12/01/28       365        367  
Countrywide Asset-Backed Certificates Trust, Series 2005-11, Class MV2

 

   
(LIBOR USD 1-Month plus 0.49%)

 

   

2.28%

      02/25/36 1      909,006        911,233  
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1

 

   

3.79%

      08/25/34 6      11,769        11,598  
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR1, Class 5A1

 

   

3.99%

      02/25/34 6      1,460,469        1,512,415  
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1

 

   
(LIBOR USD 1-Month plus 0.06%)

 

   

1.85%

      04/25/37 1      2,732,985        2,104,250  
DSLA Mortgage Loan Trust, Series 2005-AR2, Class 2A1A

 

   
(LIBOR USD 1-Month plus 0.21%)

 

   

1.97%

      03/19/45 1      727,476        703,707  
Issues      Maturity  
Date		       Principal  
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

Non-Agency Mortgage-Backed (continued)

 

   
Encore Credit Receivables Trust, Series 2005-2, Class M2

 

   
(LIBOR USD 1-Month plus 0.69%)

 

   

2.48%

      11/25/35 1      $1,557,952      $ 1,572,755  
First Franklin Mortgage Loan Trust, Series
2004-FF5, Class A3C

 

   
(LIBOR USD 1-Month plus 1.00%)

 

   

2.79%

      08/25/34 1      686,138        687,848  
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1

 

   

4.06%

      09/25/34 6      4,226        4,243  
GMACM Home Equity Loan Trust, Series
2000-HE2, Class A1

 

   
(LIBOR USD 1-Month plus 0.44%)

 

   

2.84%

      06/25/30 1      148,815        123,448  
GSAMP Trust, Series 2006-NC1, Class A3

 

   
(LIBOR USD 1-Month plus 0.29%)

 

   

2.08%

      02/25/36 1      6,718,105        6,681,720  
GSR Mortgage Loan Trust, Series 2005-AR7,
Class 2A1

 

   

4.65%

      11/25/35 6      330,192        326,897  
HSI Asset Securitization Corp. Trust, Series
2005-NC1, Class M1

 

   
(LIBOR USD 1-Month plus 0.77%)

 

   

2.56%

      07/25/35 1      2,007,963        2,037,401  
Impac CMB Trust, Series 2005-5, Class A1

 

   
(LIBOR USD 1-Month plus 0.64%)

 

   

2.43%

      08/25/35 1      2,292,888        2,240,247  
IndyMac Index Mortgage Loan Trust, Series
2004-AR12, Class A1

 

   
(LIBOR USD 1-Month plus 0.78%)

 

   

2.57%

      12/25/34 1      252,123        222,757  
IndyMac Index Mortgage Loan Trust, Series
2004-AR8, Class 2A2A

 

   
(LIBOR USD 1-Month plus 0.80%)

 

   

2.59%

      11/25/34 1      819,343        796,651  
IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1998-1, Class A4

 

   

6.49%

      09/25/28       455,602        468,308  
JPMorgan Mortgage Acquisition Trust, Series 2005-FRE1, Class A2F3 (STEP-reset date 02/25/20)

 

   

3.23%

      10/25/35       764,783        764,524  
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AV4

 

   
(LIBOR USD 1-Month plus 0.28%)

 

   

2.07%

      03/25/47 1      50,000        44,283  
 

 

8 / December 2019

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues      Maturity  
Date		       Principal  
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

Non-Agency Mortgage-Backed (continued)

 

   
JPMorgan Mortgage Trust, Series 2007-A1, Class 1A1

 

   

4.56%

      07/25/35 6    $ 894,847      $ 906,324  
JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2

 

   

4.31%

      07/25/35 6      218,024        223,512  
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class AIOC (IO)

 

   

0.55%

      04/15/40 4,5,6      100,516,544        1,792,416  
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2

 

   

3.93%

      01/25/34 6      6,926        7,008  
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1

 

   

4.70%

      11/21/34 6      720,142        740,389  
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3A3

 

   

4.24%

      04/25/34 6      114,052        114,614  
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1

 

   

4.13%

      06/25/34 6      30,768        30,332  
MASTR Alternative Loan Trust, Series 2003-1, Class 1A1

 

   

6.25%

      12/25/32       2,222,155        2,302,715  
MASTR Alternative Loan Trust, Series 2003-5, Class 4A1

 

   

5.50%

      07/25/33       3,567,399        3,912,604  
MASTR Alternative Loan Trust, Series 2003-9, Class 4A1

 

   

5.25%

      11/25/33       3,796,304        3,890,990  
MASTR Alternative Loan Trust, Series 2004-7, Class 1A1

 

   

5.50%

      07/25/34       3,530,536        3,648,268  
MASTR Seasoned Securitization Trust, Series 2004-1, Class 4A1

 

   

4.47%

      10/25/32 6      202,311        209,411  
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C

 

   
(LIBOR USD 1-Month plus 0.18%)

 

   

1.97%

      06/25/37 1      10,743,287        8,661,769  
Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A1

 

   

4.35%

      08/25/34 6      983,888        985,426  
Merrill Lynch Mortgage Investors Trust, Series 2006-F1, Class 1A2

 

   

6.00%

      04/25/36       1,341,459        1,079,590  
Merrill Lynch Mortgage Investors Trust, Series 2006-FF1, Class M3

 

   
(LIBOR USD 1-Month plus 0.31%)

 

   

2.10%

      08/25/36 1      2,055,743        2,060,751  
Issues      Maturity  
Date		       Principal  
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

Non-Agency Mortgage-Backed (continued)

 

   
Mid-State Capital Corp., Series 2004-1, Class B

 

   

8.90%

      08/15/37     $ 862,240      $ 978,796  
Mid-State Capital Corp., Series 2006-1, Class A

 

   

5.79%

      10/15/40 2      4,600,529        5,088,369  
Mid-State Trust, Series 2010-W, Class A2

 

   

5.82%

     02/15/36       566,531        614,102  
Morgan Stanley ABS Capital I Trust, Series
2004-NC7, Class M2

 

   
(LIBOR USD 1-Month plus 0.93%)

 

   

2.72%

      07/25/34 1      1,333,269        1,328,215  
Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 1A

 

   
(LIBOR USD 1-Month plus 0.90%)

 

   

2.69%

      07/25/34 1      114,435        114,906  
MortgageIT Trust, Series 2005-3, Class A1

 

   
(LIBOR USD 1-Month plus 0.60%)

 

   

2.39%

      08/25/35 1      266,106        264,858  
MortgageIT Trust, Series 2005-4, Class A1

 

   
(LIBOR USD 1-Month plus 0.28%)

 

   

2.07%

      10/25/35 1      3,879,974        3,841,915  
New Century Home Equity Loan Trust, Series 2005-D, Class A1

 

   
(LIBOR USD 1-Month plus 0.22%)

 

   

2.01%

      02/25/36 1      8,245,569        8,135,396  
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WCW2,
Class M2

 

   
(LIBOR USD 1-Month plus 0.98%)

 

   

2.77%

      10/25/34 1      4,417,711        4,474,047  
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCW2,
Class M1

 

   
(LIBOR USD 1-Month plus 0.75%)

 

   

2.54%

      07/25/35 1      727,816        730,011  
Residential Accredit Loans Trust, Series
2005-QA3, Class NB1

 

   

3.74%

      03/25/35 6      2,081,897        1,364,566  
Residential Asset Mortgage Products Trust,

 

   
Series 2004-SL4, Class A3

 

   

6.50%

      07/25/32       185,461        183,247  
Residential Asset Mortgage Products Trust,

 

   
Series 2005-SL1, Class A5

 

   

6.50%

      05/25/32       435,509        416,123  
Saxon Asset Securities Trust, Series 2005-3,

 

   
Class M2

 

   
(LIBOR USD 1-Month plus 0.72%)

 

   

2.03%

      11/25/35 1      6,180,941        6,166,646  
 

 

December 2019 / 9

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues      Maturity  
Date		       Principal  
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

Non-Agency Mortgage-Backed (continued)

 

   
Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2 (STEP-reset date 02/25/20)

 

   

3.29%

      01/25/36     $ 1,959,243      $ 1,702,946  
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF3, Class A5

 

   
(LIBOR USD 1-Month plus 0.14%)

 

   

1.93%

      09/25/36 1      513,235        512,600  
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-26A, Class 3A5

 

   

4.30%

      09/25/33 6      557,490        569,136  
Terwin Mortgage Trust, Series 2004-7HE, Class A1

 

   
(LIBOR USD 1-Month plus 0.55%)

 

   

2.34%

      07/25/34 1,2      115,413        114,387  
WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A

 

   

4.10%

      01/25/33 6      97,405        99,424  
WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1

 

   

3.94%

      01/25/35 6      570,035        590,711  
WaMu Mortgage Pass-Through Certificates, Series 2004-CB2, Class 2A

 

   

5.50%

      07/25/34       3,436,551        3,668,475  
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1

 

   
(LIBOR USD 1-Month plus 0.29%)

 

   

2.08%

      10/25/45 1      2,155,093        2,127,266  
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A21

 

   
(LIBOR USD 1-Month plus 0.33%)

 

   

2.12%

      01/25/45 1      336,615        332,173  
       

 

 

  
     155,518,285  
       

 

 

  

U.S. Agency Commercial

 

   

Mortgage-Backed — 8.46%

 

   
Fannie Mae-Aces, Series 2012-M2, Class A2

 

   

2.72%

      02/25/22       8,436,892        8,518,578  
Fannie Mae-Aces, Series 2016-M5, Class A1

 

   

2.07%

      04/25/26       11,771,888        11,755,880  
Fannie Mae-Aces, Series 2017-M14,

 

   
Class A1

 

   

2.88%

      11/25/27 6      12,317,937        12,671,967  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series J22F, Class A1

 

   

3.45%

      05/25/23       6,836,761        7,012,050  
Issues      Maturity  
Date		       Principal  
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

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

 

   
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class A2

 

   

3.81%

      08/25/20     $ 5,808,907      $ 5,839,446  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K010, Class A2

 

   

4.33%

      10/25/20 6      8,232,440        8,326,462  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KC01, Class A1

 

   

1.98%

      10/25/22       8,391,253        8,387,696  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF08, Class A

 

   
(LIBOR USD 1-Month plus 0.30%)

 

   

2.00%

      01/25/22 1      2,765,726        2,763,395  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF14, Class A

 

   
(LIBOR USD 1-Month plus 0.65%)

 

   

2.35%

      01/25/23 1      14,704,467        14,709,878  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF17, Class A

 

   
(LIBOR USD 1-Month plus 0.55%)

 

   

2.25%

      03/25/23 1      8,261,095        8,262,263  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF19, Class A

 

   
(LIBOR USD 1-Month plus 0.45%)

 

   

2.15%

      06/25/23 1      3,372,409        3,371,157  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF22, Class A

 

   
(LIBOR USD 1-Month plus 0.50%)

 

   

2.20%

      07/25/23 1      5,825,312        5,822,344  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ03, Class A1

 

   

1.67%

      01/25/21       2,645,126        2,637,588  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ11, Class A2

 

   

2.93%

      01/25/23       10,160,442        10,370,492  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ14, Class A1

 

   

2.20%

      11/25/23       2,096,656        2,104,232  
 

 

10 / December 2019

Low Duration Bond 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 KJ17, Class A1

 

   

2.40%

      10/25/24     $ 3,273,262      $ 3,317,193  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ18, Class A1

 

   

2.46%

      03/25/22       2,106,288        2,116,527  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ24, Class A1

 

   

2.28%

      05/25/26       13,229,625        13,246,664  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS05, Class A

 

   
(LIBOR USD 1-Month plus 0.50%)

 

   

2.20%

      01/25/23 1      11,782,329        11,777,127  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class A2H

 

   

2.98%

      01/25/46 6      8,224,204        8,273,734  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class AFL

 

   
(Federal Reserve US 12-Month Cumulative Average plus 0.74%)

 

   

2.98%

      05/25/44 1      3,315,635        3,318,077  
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q010,
Class APT1

 

   

2.80%

      04/25/46 6      9,143,506        9,217,341  
Ginnie Mae, Series 2007-12, Class C

 

   

5.28%

      04/16/41 6      1,083,824        1,087,785  
Ginnie Mae, Series 2009-115, Class D

 

   

4.59%

      01/16/50 6      4,297,113        4,423,507  
       

 

 

  
          169,331,383  
       

 

 

  

U.S. Agency Mortgage-Backed — 9.21%

 

   
Fannie Mae Pool 466973

 

   

3.85%

      01/01/21       13,212,358        13,342,232  
Fannie Mae Pool 468764

 

   

4.16%

      07/01/21       13,090,000        13,462,279  
Fannie Mae Pool 469058

 

   

3.02%

      02/01/22       4,939,368        5,011,693  
Fannie Mae Pool 470606

 

   

2.99%

      03/01/22       6,351,124        6,448,655  
Fannie Mae Pool 567002

 

   

8.00%

      05/01/23       15,149        15,979  
Fannie Mae Pool 735861

 

   

6.50%

      09/01/33       11,895        13,147  
Issues      Maturity  
Date		       Principal  
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

U.S. Agency Mortgage-Backed (continued)

 

   
Fannie Mae Pool 770900

 

   
(LIBOR USD 12-Month plus 1.55%)

 

   

4.43%

      04/01/34 1    $ 170,524      $ 174,741  
Fannie Mae Pool 995182

 

   

5.50%

      06/01/20       34        33  
Fannie Mae Pool AD0538

 

   

6.00%

      05/01/24       268,898        282,412  
Fannie Mae Pool AE0083

 

   

6.00%

      01/01/40       950,233        1,090,356  
Fannie Mae Pool AL0851

 

   

6.00%

      10/01/40       1,153,775        1,323,905  
Fannie Mae Pool AL2206

 

   

3.73%

      07/01/22       6,234,194        6,414,263  
Fannie Mae Pool AM4580

 

   

3.43%

      10/01/23       6,707,895        7,018,807  
Fannie Mae Pool FN0001

 

   

3.77%

      12/01/20       10,297,325        10,431,571  
Fannie Mae REMICS, Series 1997-76, Class FS

 

   
(LIBOR USD 1-Month plus 0.45%)

 

   

2.19%

      09/17/27 1      13,315        13,084  
Fannie Mae REMICS, Series 2001-60, Class OF

 

   
(LIBOR USD 1-Month plus 0.95%)

 

   

2.74%

      10/25/31 1      680,831        693,518  
Fannie Mae REMICS, Series 2003-130,
Class HF

 

   
(LIBOR USD 1-Month plus 0.45%)

 

   

2.24%

      12/25/33 1      117,119        117,112  
Fannie Mae REMICS, Series 2003-134,
Class FC

 

   
(LIBOR USD 1-Month plus 0.60%)

 

   

2.39%

      12/25/32 1      4,238,688        4,267,844  
Fannie Mae REMICS, Series 2005-59, Class NF

 

   
(LIBOR USD 1-Month plus 0.25%)

 

   

2.04%

      05/25/35 1      2,030,859        2,023,678  
Fannie Mae REMICS, Series 2007-61, Class AF

 

   
(LIBOR USD 1-Month plus 0.28%)

 

   

2.07%

      03/25/37 1      781,795        781,074  
Fannie Mae REMICS, Series 2007-64, Class FA

 

   
(LIBOR USD 1-Month plus 0.47%)

 

   

2.26%

      07/25/37 1      343,307        344,562  
Fannie Mae REMICS, Series 2009-111,
Class DA

 

   

5.00%

      12/25/39       98,058        98,771  
 

 

December 2019 / 11

Low Duration Bond 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 REMICS, Series 2009-33, Class FB

 

   
(LIBOR USD 1-Month plus 0.82%)

 

   

2.61%

      03/25/37 1      $2,106,229      $ 2,133,092  
Fannie Mae REMICS, Series 2009-85, Class LF

 

   
(LIBOR USD 1-Month plus 1.20%)

 

   

2.99%

      10/25/49 1      2,635,058        2,686,204  
Fannie Mae REMICS, Series 2009-96, Class FA

 

   
(LIBOR USD 1-Month plus 0.90%)

 

   

2.69%

      11/25/49 1      1,968,612        2,008,206  
Fannie Mae REMICS, Series 2010-109, Class PF

 

   
(LIBOR USD 1-Month plus 0.40%)

 

   

2.19%

      10/25/40 1      1,220,167        1,219,753  
Fannie Mae REMICS, Series 2010-26,
Class S (IO)

 

   
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)

 

   

4.44%

      11/25/36 1      7,018,587        1,269,396  
Fannie Mae REMICS, Series 2010-39, Class FE

 

   
(LIBOR USD 1-Month plus 0.77%)

 

   

2.56%

      06/25/37 1      3,944,222        3,990,517  
Fannie Mae REMICS, Series 2010-43, Class DP

 

   

5.00%

      05/25/40       954,955        1,034,059  
Fannie Mae REMICS, Series 2010-6, Class BF

 

   
(LIBOR USD 1-Month plus 0.76%)

 

   

2.55%

      02/25/40 1      1,475,448        1,500,014  
Fannie Mae REMICS, Series 2010-95,
Class S (IO)

 

   
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)

 

   

4.81%

      09/25/40 1      5,322,897        1,163,818  
Fannie Mae REMICS, Series 2011-118, Class FB

 

   
(LIBOR USD 1-Month plus 0.45%)

 

   

2.24%

      11/25/41 1      5,907,635        5,904,491  
Fannie Mae REMICS, Series 2011-71, Class FB

 

   
(LIBOR USD 1-Month plus 0.50%)

 

   

2.29%

      05/25/37 1      2,332,402        2,334,793  
Fannie Mae REMICS, Series 2012-33, Class F

 

   
(LIBOR USD 1-Month plus 0.52%)

 

   

2.31%

      04/25/42 1      5,122,686        5,123,111  
Fannie Mae REMICS, Series 2013-75, Class FC

 

   
(LIBOR USD 1-Month plus 0.25%)

 

   

2.04%

      07/25/42 1      4,101,498        4,084,285  
Issues      Maturity  
Date		       Principal  
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

U.S. Agency Mortgage-Backed (continued)

 

   
Fannie Mae REMICS, Series 2019-79, Class FA

 

   
(LIBOR USD 1-Month plus 0.50%)

 

   

2.20%

      01/25/50 1    $ 10,550,000      $ 10,531,887  
Fannie Mae REMICS, Series G92-10, Class Z

 

   

7.75%

      01/25/22       180        185  
Freddie Mac Gold Pool A45796

 

   

7.00%

      01/01/33       3,712        4,019  
Freddie Mac Gold Pool C46104

 

   

6.50%

      09/01/29       6,113        6,793  
Freddie Mac Gold Pool G13032

 

   

6.00%

      09/01/22       230,292        236,072  
Freddie Mac Gold Pool G13475

 

   

6.00%

      01/01/24       33,095        34,064  
Freddie Mac REMICS, Series 2174, Class PN

 

   

6.00%

      07/15/29       379,809        416,803  
Freddie Mac REMICS, Series 2454, Class FQ

 

   
(LIBOR USD 1-Month plus 1.00%)

 

   

2.74%

      06/15/31 1      6,418        6,548  
Freddie Mac REMICS, Series 2733, Class FB

 

   
(LIBOR USD 1-Month plus 0.60%)

 

   

2.34%

      10/15/33 1      2,834,879        2,854,337  
Freddie Mac REMICS, Series 3071, Class TF

 

   
(LIBOR USD 1-Month plus 0.30%)

 

   

2.04%

      04/15/35 1      2,751,684        2,745,071  
Freddie Mac REMICS, Series 3084, Class FN

 

   
(LIBOR USD 1-Month plus 0.50%)

 

   

2.24%

      12/15/34 1      1,695,888        1,695,518  
Freddie Mac REMICS, Series 3294, Class CB

 

   

5.50%

      03/15/37       218,514        245,724  
Freddie Mac REMICS, Series 3300, Class FA

 

   
(LIBOR USD 1-Month plus 0.30%)

 

   

2.04%

      08/15/35 1      747,746        743,855  
Freddie Mac REMICS, Series 3325, Class NF

 

   
(LIBOR USD 1-Month plus 0.30%)

 

   

2.04%

      08/15/35 1      1,928,322        1,918,289  
Freddie Mac REMICS, Series 3524, Class FC

 

   
(LIBOR USD 1-Month plus 0.94%)

 

   

2.68%

      06/15/38 1      343,439        348,610  
 

 

12 / December 2019

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues      Maturity  
Date		       Principal  
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

U.S. Agency Mortgage-Backed (continued)

 

   
Freddie Mac REMICS, Series 3531, Class FM

 

   
(LIBOR USD 1-Month plus 0.90%)

 

   

2.64%

      05/15/39 1    $ 364,936      $ 370,458  
Freddie Mac REMICS, Series 3672, Class A

 

   

6.00%

      05/15/40       143,338        158,041  
Freddie Mac REMICS, Series 3792, Class DF

 

   
(LIBOR USD 1-Month plus 0.40%)

 

   

2.14%

      11/15/40 1      337,129        337,098  
Freddie Mac REMICS, Series 4060, Class FJ

 

   
(LIBOR USD 1-Month plus 0.35%)

 

   

2.09%

      02/15/41 1      5,012,617        4,988,183  
Freddie Mac REMICS, Series 4109, Class KF

 

   
(LIBOR USD 1-Month plus 0.40%)

 

   

2.14%

      05/15/32 1      604,621        605,073  
Freddie Mac Strips, Series 240, Class F30

 

   
(LIBOR USD 1-Month plus 0.30%)

 

   

2.04%

      07/15/36 1      2,132,819        2,116,877  
Freddie Mac Strips, Series 263, Class F5

 

   
(LIBOR USD 1-Month plus 0.50%)

 

   

2.24%

      06/15/42 1      3,176,918        3,166,610  
Freddie Mac Strips, Series 319, Class F2

 

   
(LIBOR USD 1-Month plus 0.50%)

 

   

2.24%

      11/15/43 1      14,281,978        14,277,439  
Ginnie Mae II Pool 1849

 

   

8.50%

      08/20/24       247        249  
Ginnie Mae II Pool 2020

 

   

8.50%

      06/20/25       258        263  
Ginnie Mae II Pool 2286

 

   

8.50%

      09/20/26       401        434  
Ginnie Mae II Pool 2487

 

   

8.50%

      09/20/27       6,547        7,146  
Ginnie Mae II Pool 80059

 

   
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)

 

   

3.88%

      04/20/27 1      14,022        14,469  
Ginnie Mae II Pool 80589

 

   
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)

 

   

4.00%

      03/20/32 1      23,311        23,277  
Ginnie Mae II Pool 80610

 

   
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)

 

   

3.88%

      06/20/32 1      8,550        8,887  
Issues      Maturity  
Date		       Principal  
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

U.S. Agency Mortgage-Backed (continued)

 

   
Ginnie Mae II Pool 80968

 

   
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)

 

   

3.25%

      07/20/34 1    $ 299,461      $ 311,299  
Ginnie Mae II Pool 81201

 

   
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.00%)

 

   

4.50%

      01/20/35 1      9,931        10,033  
Ginnie Mae II Pool 8599

 

   
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)

 

   

4.00%

      02/20/25 1      11,093        11,153  
Ginnie Mae, Series 2003-11, Class FK

 

   
(LIBOR USD 1-Month plus 0.30%)

 

   

2.04%

      02/16/33 1      769,396        768,624  
Ginnie Mae, Series 2009-106, Class XI (IO)

 

   
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)

 

   

5.04%

      05/20/37 1      4,494,251        567,480  
Ginnie Mae, Series 2012-13, Class KF

 

   
(LIBOR USD 1-Month plus 0.30%)

 

   

2.06%

      07/20/38 1      391,410        391,259  
Ginnie Mae, Series 2013-53, Class AD

 

   

1.50%

      12/20/26       2,016,077        1,993,248  
NCUA Guaranteed Notes Trust, Series 2010-R1, Class 1A

 

   
(LIBOR USD 1-Month plus 0.45%)

 

   

2.16%

      10/07/20 1      6,508,655        6,511,371  
NCUA Guaranteed Notes Trust, Series 2010-R3, Class 1A

 

   
(LIBOR USD 1-Month plus 0.56%)

 

   

2.27%

      12/08/20 1      6,567,460        6,573,785  
NCUA Guaranteed Notes Trust, Series 2010-R3, Class 2A

 

   
(LIBOR USD 1-Month plus 0.56%)

 

   

2.27%

      12/08/20 1      3,012,578        3,014,382  
NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A

 

   
(LIBOR USD 1-Month plus 0.53%)

 

   

2.24%

      03/09/21 1      6,012,481        6,015,180  
NCUA Guaranteed Notes Trust, Series 2011-R1, Class 1A

 

   
(LIBOR USD 1-Month plus 0.45%)

 

   

2.16%

      01/08/20 1      1,584,602        1,584,639  
 

 

December 2019 / 13

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

Issues      Maturity  
Date		       Principal  
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

U.S. Agency Mortgage-Backed (continued)

 

   
NCUA Guaranteed Notes Trust, Series
2011-R3, Class 1A

 

   
(LIBOR USD 1-Month plus 0.40%)

 

   

2.12%

      03/11/20 1      $  1,016,311      $ 1,016,326  
       

 

 

  
          184,452,513  
       

 

 

  

Total Mortgage-Backed

(Cost $663,181,585)

 

 

      667,343,650  
       

 

 

  

U.S. TREASURY SECURITIES — 23.08%

 

U.S. Treasury Notes — 23.08%

 

   
U.S. Treasury Floating Rate Notes

 

   

1.75%

      07/31/21 1      10,000,000        10,001,531  
U.S. Treasury Notes

 

   

1.50%

      10/31/21       162,801,000        162,600,673  

1.50%

      11/30/21       224,705,000        224,437,284  

1.63%

      12/31/21       40,640,000        40,693,975  

1.63%

      12/15/22       24,384,000        24,409,718  
       

 

 

  

Total U.S. Treasury Securities

(Cost $461,695,820)

 

 

      462,143,181  
       

 

 

  

Total Bonds – 95.32%

(Cost $1,894,294,905)

 

 

      1,908,669,853  
       

 

 

  
       
Issues          Shares      Value  

COMMON STOCK — 0.02%

 

   

Electric — 0.02%

 

   
Homer City Holdings LLC2,4,5,7

 

     106,501        372,753  

Total Common Stock

(Cost $6,078,660)

 

 

   

Purchased Swaptions – 0.00%

(Cost $939,000)

 

 

          3,285  
       
Issues      Maturity  
Date		       Principal  
Amount/Shares		      Value  

SHORT-TERM INVESTMENTS — 3.94%

 

   

Commercial paper — 0.43%

 

   
Ford Motor Credit Co. LLC

 

   

3.20%8

      10/08/20       3,625,000        3,546,934  
Pfizer, Inc.

 

     

1.91%8

      02/19/20       5,090,000        5,077,970  
          8,624,904  
Issues      Maturity  
Date		        Principal  
Amount/Shares		      Value  

SHORT-TERM INVESTMENTS (continued)

 

   

Foreign Government Obligations — 2.02%

 

Japan Treasury Discount Bill, Series 861 (Japan)

 

   

0.00%3,8

      01/14/20        $2,185,000,000        $20,106,730  
Japan Treasury Discount Bill, Series 865 (Japan)

 

   

0.00%3,8

      01/27/20        2,215,000,000          20,385,783  
             40,492,513  

Money Market Funds — 0.81%

 

   
Fidelity Investments Money Market Funds - Government Portfolio

 

   

1.50%9

         237,484        237,484  
Morgan Stanley Institutional Liquidity Funds-Government Portfolio

 

   

1.52%9

         15,964,000          15,964,000  
             16,201,484  

U.S. Treasury Bills — 0.68%

 

   
U.S. Treasury Bills

 

   

1.54%8,10

      03/19/20        3,693,000        3,681,336  

1.56%8

      02/18/20        10,000,000            9,980,613  
             13,661,949  

Total Short-Term Investments

(Cost $79,196,608)

 

 

        78,980,850  
Total Investments Before Written
Swaptions – 99.28%

 

   

(Cost $1,980,509,173)

 

      1,988,026,741  
        

 

 

  

Written Swaptions – 0.00%

(Cost $(540,000))

 

 

      (1,974 ) 
        

 

 

  
Cash and Other Assets, Less

 

   
Liabilities – 0.72%

 

      14,388,050  
        

 

 

  
Net Assets – 100.00%

 

    $ 2,002,412,817  
        

 

 

  
 

 

14 / December 2019

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

1 

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

 

2 

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.

 

3 

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

 

4 

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

 

5 

Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $2,595,677, which is 0.13% of total net assets.

 

6 

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.

 

7 

Non-income producing security.

 

8 

Represents annualized yield at date of purchase.

 

9 

Represents the current yield as of December 31, 2019.

 

10 

Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $3,681,293.

 

*

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.

(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

 

 

Currency to

be Purchased

   

Currency to

be Sold

    Counterparty        Settlement    
Date		    Unrealized
Appreciation

FOREIGN CURRENCY EXCHANGE CONTRACT

 

                      

USD 20,486,520

        JPY 2,185,000,000        Goldman Sachs International        01/14/20      $ 365,084  

USD 10,482,812

        JPY 1,130,000,000        Citigroup Global Markets, Inc.        01/27/20        69,251  

USD 10,028,097

        JPY 1,085,000,000        Goldman Sachs International        01/27/20        29,235  
                   

 

 

    

NET UNREALIZED APPRECIATION

 

                $ 463,570  
                   

 

 

    

 

Description    Number
of Contracts		    Expiration Date    Notional Amount   Value  

Unrealized
Appreciation/

(Depreciation) 

FUTURES CONTRACTS: LONG POSITIONS

 

                             

U.S. Treasury Two Year Note

        2,948        03/31/20      $ 635,294,000     $ (278,484 )         $ (278,484 )  

U.S. Treasury Five Year Note

        354        03/31/20        41,987,719       (106,802 )           (106,802 )  
              

 

 

      

 

 

          

 

 

    
                 677,281,719       (385,286 )           (385,286 )  
              

 

 

      

 

 

          

 

 

    

FUTURES CONTRACTS: SHORT POSITIONS

 

                   

Euro-Bobl Five Year German Bond

        320        03/06/20        (47,999,820 )       194,488           194,488  
              

 

 

      

 

 

          

 

 

    

TOTAL FUTURES CONTRACTS

                $ 629,281,899     $ (190,798 )         $ (190,798 )  
              

 

 

      

 

 

          

 

 

    

 

            Received by the Fund  

Paid by the Fund             

                        
Descriptions   Counterparty     Maturity  
Date		   Rate    Frequency    Rate   Frequency     Notional  
Amount		      Value        Premiums  
Paid		     Unrealized
(Depreciation)  		  

PURCHASED SWAPTIONS

                

Option to enter

into a 30-year Interest Rate Swap

  

Goldman Sachs

International

   12/24/23   3 month USD LIBOR   Quarterly   6.00%   Quarterly     $30,000,000       $3,285       $939,000       $(935,715)  

 

December 2019 / 15

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

            Received by the Fund   Paid by the Fund                
Descriptions   Counterparty     Maturity  
Date		   Rate   Frequency   Rate    Frequency      Notional  
Amount		    Value      Premiums  
(Received)		   Unrealized
Appreciation

WRITTEN SWAPTIONS

                        
Option to enter into a 30-year Interest Rate Swap   Goldman Sachs International   12/24/23   7.50%   Quarterly   3 month USD LIBOR   Quarterly       $(30,000,000)         $(1,974)         $(540,000)         $538,026  

 

            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            $ 120,225                $ 1,457,981            $ —                  $ 1,457,981
Interest Rate Swap1   Call   05/08/22   2.28%   Semi-annually      

 3-month

USD LIBOR

      Quarterly         44,495           560,668         —           560,668
Interest Rate Swap1   Call   04/11/25  

3 month

USD LIBOR

   Quarterly       2.34%       Semi-annually         49,425           (1,458,848 )         —           (1,458,848 )
Interest Rate Swap1   Call   05/08/25  

3 month

USD LIBOR

   Quarterly       2.37%       Semi-annually         18,225           (563,918 )         —           (563,918 )
                     

 

 

          

 

 

        

 

 

        

 

 

  

TOTAL SWAPS CONTRACTS

                 $ 232,370         $ (4,117 )       $ —         $ (4,117 )
                     

 

 

          

 

 

        

 

 

        

 

 

  

 

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 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

 

16 / December 2019

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2019 (Unaudited)

 

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.

 

December 2019 / 17

Low Duration Bond 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:

 

    LOW DURATION BOND FUND       LEVEL 1             LEVEL 2             LEVEL 3             TOTAL      
   

 

    

 

    

 

    

 

  

Investments in Securities

                

Assets

                

Short-Term Investments:

                

Commercial paper

                        $                —                        $    8,624,904                      $            —                        $    8,624,904   

Foreign Government Obligations

       —           40,492,513         —           40,492,513   

Money Market Funds

       16,201,484          —           —           16,201,484   

U.S. Treasury Bills

       13,661,949          —           —           13,661,949   

Long-Term Investments:

                      

Asset-Backed Securities

       —           147,461,502         —           147,461,502   

Bank Loans

       —           17,011,131         430,508         17,441,639   

Common Stock

       —           —           372,753         372,753   

Corporates

       —           614,279,881         —           614,279,881   

Mortgage-Backed

       —           665,551,234         1,792,416         667,343,650   

Purchased Swaptions

       —           3,285         —           3,285   

U.S. Treasury Securities

       462,143,181          —           —           462,143,181   

Other Financial Instruments *

                

Assets:

                

Foreign currency exchange contracts

       —           463,570         —           463,570   

Interest rate contracts

       194,488          2,018,649         —           2,213,137   

Liabilities:

                

Interest rate contracts

       (385,286)         (2,024,740)         —           (2,410,026)  
   

 

 

      

 

 

      

 

 

      

 

 

  

Total

     $   491,815,816        $     1,493,881,929       $     2,595,677       $   1,988,293,422   
   

 

 

      

 

 

      

 

 

      

 

 

  

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

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.

 

18 / December 2019

Low Duration Bond 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:

 

    LOW DURATION

    BOND FUND

    BANK LOANS       COMMON STOCK      

MORTGAGE-BACKED

SECURITIES

  

                                     

    Balance as of April 1, 2019

      $  2,276,685     $  905,259     $ 2,104,368    

Accrued discounts/premiums

        1,152       —         (31,490 )    

Realized (loss)

        (91,777 )       —         —      

Change in unrealized (depreciation)*

        (285,825 )       (532,506 )       (280,462 )    

Purchases

        —         —         —      

Sales

        (1,469,727 )       —         —      

Transfers into Level 3**

        —         —         —      

Transfers out of Level 3**

        —         —         —      
    

 

 

      

 

 

      

 

 

      

    Balance as of December 31, 2019

      $ 430,508     $ 372,753     $ 1,792,416    
    

 

 

      

 

 

      

 

 

      

* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2019 was $(1,103,825) 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:

 

    LOW DURATION BOND FUND   

FAIR VALUE

AT 12/31/19

   

VALUATION

TECHNIQUE*

   

UNOBSERV-

ABLE

INPUT

    RANGE   

WEIGHTED    

AVERAGE    

    Bank Loans

    $430,508    Third-party Vendor    Vendor Prices    $55.67    $55.67

    Common Stock

    $372,753    Broker Quote    Offered Quote    3.50    3.50

    Mortgage-Backed Securities-Non- Agency

    $1,792,416    Third-party Vendor    Vendor Prices    1.78    1.78

* 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.

 

December 2019 / 19