NPORT-EX 2 MW11MWFlexibleIncomeFund.htm DOS

Flexible Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		      Principal
Amount		        Value  

BONDS – 62.68%

 

     

ASSET-BACKED SECURITIES — 6.07%**

 

     

AMMC CLO 19 Ltd., Series 2016-19A,

 

     

Class AR (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 1.14%)

 

     

2.36%

      10/16/28 1,2,3     $ 15,000        $ 14,761  

AMMC CLO XIV Ltd., Series 2014-14A,

 

     

Class A1LR (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 1.25%)

 

     

2.24%

      07/25/29 1,2,3       10,000          9,835  

Conseco Finance Securitizations Corp.,

 

     

Series 2000-1, Class A5

 

     

8.06%

      09/01/29 4       152,989          52,858  

Corevest American Finance Trust,

 

     

Series 2019-3, Class XA (IO)

 

     

2.19%

      10/15/52 3,4       971,785          82,730  

Dryden XXVI Senior Loan Fund,

 

     

Series 2013-26A, Class AR

 

     

(Cayman Islands)

 

     

(LIBOR USD 3-Month plus 0.90%)

 

     

2.12%

      04/15/29 1,2,3       64,000          62,827  

Dryden XXVIII Senior Loan Fund,

 

     

Series 2013-28A, Class A1LR

 

     

(Cayman Islands)

 

     

(LIBOR USD 3-Month plus 1.20%)

 

     

1.59%

      08/15/30 1,2,3       10,000          9,848  

GCO Education Loan Funding Trust II,

 

     

Series 2006-2AR, Class A1RN

 

     

(LIBOR USD 1-Month plus 0.65%)

 

     

0.83%

      08/27/46 2,3       67,480          62,595  

J.G. Wentworth XXX LLC,

 

     

Series 2013-3A, Class A

 

     

4.08%

      01/17/73 3       51,014          56,846  

J.G. Wentworth XXXII LLC,

 

     

Series 2014-2A, Class A

 

     

3.61%

      01/17/73 3       52,452          56,809  

Nelnet Student Loan Trust, Series 2015-3A,

 

     

Class A3

 

     

(LIBOR USD 1-Month plus 0.90%)

 

     

1.08%

      06/25/54 2,3       100,000          94,551  

Palmer Square Loan Funding Ltd.,

 

     

Series 2019-4A, Class A1 (Cayman Islands)

 

     

1.92%

      10/24/27 1,2,3       34,725          34,173  

Palmer Square Loan Funding Ltd.,

 

     

Series 2020-2A, Class A2 (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 1.55%)

 

     

2.66%

      04/20/28 1,2,3       10,000          9,705  

PHEAA Student Loan Trust, Series 2014-3A,

 

     

Class A

 

     

(LIBOR USD 1-Month plus 0.59%)

 

     

0.77%

      08/25/40 2,3       48,693          46,798  

Rockford Tower CLO Ltd., Series 2017-2A,

 

     

Class AR (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 1.02%)

 

     

2.24%

      10/15/29 1,2,3       55,000          53,908  
Issues    Maturity
Date		      Principal
Amount		        Value  

ASSET-BACKED SECURITIES (continued)

 

     

SLM Student Loan Trust, Series 2004-1,

 

     

Class B

 

     

(LIBOR USD 3-Month plus 0.50%)

 

     

1.49%

      07/25/39 2     $ 70,013        $ 61,565  

SLM Student Loan Trust, Series 2007-2,

 

     

Class B

 

     

(LIBOR USD 3-Month plus 0.17%)

 

     

1.16%

      07/25/25 2       115,000          90,020  

SLM Student Loan Trust, Series 2008-5,

 

     

Class A4

 

     

(LIBOR USD 3-Month plus 1.70%)

 

     

2.69%

      07/25/23 2       9,650          9,501  

SLM Student Loan Trust, Series 2008-7,

 

     

Class A4

 

     

(LIBOR USD 3-Month plus 0.90%)

 

     

1.89%

      07/25/23 2       19,553          18,479  

SLM Student Loan Trust, Series 2008-7,

 

     

Class B

 

     

(LIBOR USD 3-Month plus 1.85%)

 

     

2.84%

      07/26/83 2       10,000          8,792  

TCI-Flatiron CLO Ltd., Series 2016-1A,

 

     

Class AR (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 1.22%)

 

     

2.35%

      07/17/28 1,2,3       10,000          9,879  
    

 

 

  

Total Asset-Backed Securities

 

     

(Cost $874,935)

 

        846,480  
    

 

 

  

CORPORATES — 23.13%*

 

     

Banking — 1.79%

 

     

Bank of America Corp.

 

     

2.59%

      04/29/31 4       5,000          5,306  

Bank of America Corp. (MTN)

 

     

1.32%

      06/19/26 4       5,000          5,018  

2.88%

      10/22/30 4       5,000          5,414  

4.08%

      03/20/51 4       30,000          37,247  

Comerica, Inc.

 

     

5.63%

      10/01/68 4       15,000          15,263  

Fifth Third Bancorp

 

     

2.55%

      05/05/27        10,000          10,729  

JPMorgan Chase & Co.

 

     

2.18%

      06/01/28 4       20,000          20,729  

2.52%

      04/22/31 4       5,000          5,292  

3.20%

      06/15/26        5,000          5,554  

Lloyds Banking Group PLC

 

     

(United Kingdom)

 

     

3.87%

      07/09/25 1,4       30,000          32,626  

Santander UK Group Holdings PLC

 

     

(United Kingdom)

 

     

4.80%

      11/15/24 1,4       35,000          38,759  

Wells Fargo & Co.

 

     

3.07%

      04/30/41 4       15,000          15,705  
 

 

June 2020 / 1

Flexible Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Banking (continued)

 

   

Wells Fargo & Co. (MTN)

 

   

2.39%

      06/02/28 4      $15,000      $ 15,513  

2.57%

      02/11/31 4      15,000        15,707  

5.01%

      04/04/51 4      15,000        20,912  
  

 

 

  
     249,774  
  

 

 

  

Communications — 3.37%

 

   

AT&T, Inc.

 

   

4.35%

      06/15/45       55,000        61,771  

4.50%

      03/09/48       15,000        17,503  

CCO Holdings LLC/CCO Holdings

 

   

Capital Corp.

 

   

4.50%

      08/15/30 3      8,000        8,240  

4.50%

      05/01/32 3      77,000        78,180  

Charter Communications Operating LLC/

 

   

Charter Communications Operating Capital

 

   

5.38%

      05/01/47       26,000        30,938  

Intelsat Jackson Holdings SA (Luxembourg)5

 

   

8.50%

      10/15/24 1,3,6      20,000        12,225  

9.75%

      07/15/25 1,3,6      35,000        21,558  

Koninklijke KPN NV (Netherlands)

 

   

8.38%

      10/01/30 1      5,000        7,323  

Sprint Spectrum Co. LLC/Sprint Spectrum

 

   

Co. II LLC/Sprint Spectrum Co. III LLC

 

   

5.15%

      03/20/28 3      70,000        80,749  

T-Mobile USA, Inc.

 

   

2.55%

      02/15/31 3      25,000        25,151  

3.88%

      04/15/30 3      8,000        8,919  

4.38%

      04/15/40 3      15,000        17,416  

Verizon Communications, Inc.

 

   

3.15%

      03/22/30       5,000        5,620  

4.13%

      03/16/27       5,000        5,901  

Virgin Media Secured Finance PLC

 

   

(United Kingdom)

 

   

5.50%

      05/15/29 1,3      36,000        37,685  

Vodafone Group PLC (United Kingdom)

 

   

4.38%

      05/30/28 1      5,000        5,951  

Walt Disney Co. (The)

 

   

2.65%

      01/13/31       10,000        10,642  

3.60%

      01/13/51       30,000        33,577  
       

 

 

  
     469,349  
       

 

 

  

Consumer Discretionary — 0.78%

 

   

Anheuser-Busch InBev Worldwide, Inc.

 

   

4.50%

      06/01/50       25,000        29,767  

Bacardi Ltd. (Bermuda)

 

   

4.70%

      05/15/28 1,3      5,000        5,663  

Colt Merger Sub, Inc.

 

   

6.25%

      07/01/25 3      32,000        31,931  
Issues    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Consumer Discretionary (continued)

 

   

Reynolds American, Inc.

 

   

4.45%

      06/12/25       $10,000      $ 11,275  

5.70%

      08/15/35       10,000        12,348  

5.85%

      08/15/45       15,000        18,513  
  

 

 

  
     109,497  
  

 

 

  

Electric — 0.57%

 

   

Evergy, Inc.

 

   

4.85%

      06/01/21       20,000        20,552  

Eversource Energy, Series O

 

   

4.25%

      04/01/29       8,000        9,386  

Pennsylvania Electric Co.

 

   

4.15%

      04/15/25 3      5,000        5,585  

Public Service Co. of New Mexico

 

   

3.85%

      08/01/25       40,000        44,046  
  

 

 

  
     79,569  
  

 

 

  

Energy — 2.73%

 

   

Antero Resources Corp.

 

   

5.00%

      03/01/25       15,000        8,897  

5.63%

      06/01/23       7,000        4,480  

BP Capital Markets America, Inc.

 

   

3.63%

      04/06/30       10,000        11,370  

Energy Transfer Operating LP

 

   

4.75%

      01/15/26       10,000        10,857  

4.90%

      03/15/35       20,000        20,351  

EQT Corp.

 

   

3.90%

      10/01/27       5,000        4,083  

Exxon Mobil Corp.

 

   

3.48%

      03/19/30       10,000        11,404  

4.23%

      03/19/40       10,000        12,052  

4.33%

      03/19/50       20,000        25,057  

Hess Corp.

 

   

5.60%

      02/15/41       20,000        21,014  

Kinder Morgan Energy Partners LP

 

   

3.50%

      09/01/23       8,000        8,547  

4.25%

      09/01/24       5,000        5,508  

NGPL PipeCo LLC

 

   

4.38%

      08/15/22 3      25,000        25,803  

Petroleos Mexicanos (Mexico)

 

   

5.95%

      01/28/31 1,3      5,000        4,127  

6.63%

      06/15/35 1      5,000        4,081  

6.75%

      09/21/47 1      15,000        11,559  

6.95%

      01/28/60 1,3      5,000        3,857  

7.69%

      01/23/50 1,3      15,000        12,570  

Plains All American Pipeline LP/PAA

 

   

Finance Corp.

 

   

4.65%

      10/15/25       18,000        19,411  
 

 

2 / June 2020

Flexible Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Energy (continued)

 

     

Rockies Express Pipeline LLC

 

     

4.95%

      07/15/29 3       $ 35,000        $ 32,649  

Sabine Pass Liquefaction LLC

 

     

5.75%

      05/15/24          5,000          5,657  

Spectra Energy Partners LP

 

     

4.75%

      03/15/24          10,000          11,180  

Sunoco Logistics Partners Operations LP

 

     

5.40%

      10/01/47          28,000          27,571  

TC PipeLines LP

 

     

3.90%

      05/25/27          20,000          21,170  

4.38%

      03/13/25          8,000          8,617  

Transocean Poseidon Ltd. (Cayman Islands)

 

     

6.88%

      02/01/27 1,3         35,000          30,275  

USA Compression Partners LP/USA

 

     

Compression Finance Corp.

 

     

6.88%

      09/01/27          8,000          7,648  

Williams Cos., Inc. (The)

 

     

4.30%

      03/04/24          10,000          10,949  
    

 

 

  
       380,744  
    

 

 

  

Entertainment — 0.12%

 

     

Live Nation Entertainment, Inc.

 

     

4.75%

      10/15/27 3         19,000          16,389  
    

 

 

  

Finance — 2.51%

 

     

AerCap Ireland Capital DAC/AerCap Global

 

     

Aviation Trust (Ireland)

 

     

3.88%

      01/23/28 1         5,000          4,513  

4.50%

      05/15/21 1         10,000          10,063  

5.00%

      10/01/21 1         25,000          25,293  

Air Lease Corp.

 

     

2.25%

      01/15/23          25,000          24,731  

Citigroup, Inc.

 

     

2.57%

      06/03/31 4         20,000          20,712  

4.41%

      03/31/31 4         15,000          17,819  

Ford Motor Credit Co. LLC

 

     

3.20%

      01/15/21          30,000          29,700  

3.81%

      10/12/21          6,000          5,964  

4.25%

      09/20/22          30,000          29,519  

5.60%

      01/07/22          5,000          5,053  

5.75%

      02/01/21          10,000          10,097  

(LIBOR USD 3-Month plus 0.81%)

 

     

1.11%

      04/05/21 2         5,000          4,816  

GE Capital International Funding Co.

 

     

(Ireland)

 

     

4.42%

      11/15/35 1         5,000          5,033  

General Motors Financial Co., Inc.

 

     

3.20%

      07/06/21          30,000          30,338  

4.38%

      09/25/21          10,000          10,273  
Issues    Maturity
Date		      Principal
Amount		        Value  

CORPORATES (continued)

 

     

Finance (continued)

 

     

Goldman Sachs Group, Inc. (The)

 

     

2.60%

      02/07/30      $ 5,000        $ 5,262  

3.69%

      06/05/28 4       5,000          5,602  

3.81%

      04/23/29 4       5,000          5,674  

Morgan Stanley (GMTN)

 

     

4.43%

      01/23/30 4       15,000          17,944  

Nationwide Building Society

 

     

(United Kingdom)

 

     

3.77%

      03/08/24 1,3,4       10,000          10,546  

4.36%

      08/01/24 1,3,4       25,000          27,069  

Park Aerospace Holdings Ltd.

 

     

(Cayman Islands)

 

     

4.50%

      03/15/23 1,3       30,000          27,386  

5.50%

      02/15/24 1,3       5,000          4,578  

Raymond James Financial, Inc.

 

     

4.65%

      04/01/30        10,000          11,942  
    

 

 

  
       349,927  
    

 

 

  

Food — 0.79%

 

     

Campbell Soup Co.

 

     

4.15%

      03/15/28        10,000          11,622  

Conagra Brands, Inc.

 

     

4.85%

      11/01/28        10,000          12,023  

(LIBOR USD 3-Month plus 0.50%)

 

     

0.77%

      10/09/20 2       10,000          10,006  

Kraft Heinz Foods Co.

 

     

4.38%

      06/01/46        15,000          14,739  

4.88%

      10/01/49 3       20,000          20,748  

5.00%

      07/15/35        10,000          11,023  

6.88%

      01/26/39        10,000          12,460  

7.13%

      08/01/39 3       5,000          6,302  

Kroger Co. (The)

 

     

4.50%

      01/15/29        5,000          6,113  

Smithfield Foods, Inc.

 

     

5.20%

      04/01/29 3       5,000          5,414  
    

 

 

  
       110,450  
    

 

 

  

Gaming — 0.54%

 

     

Churchill Downs, Inc.

 

     

5.50%

      04/01/27 3       77,000          75,408  
    

 

 

  

Health Care — 4.27%

 

     

AbbVie, Inc.

 

     

3.85%

      06/15/24 3       10,000          10,965  

4.05%

      11/21/39 3       5,000          5,857  

4.25%

      11/21/49 3       35,000          42,469  

Aetna, Inc.

 

     

3.50%

      11/15/24        10,000          10,849  

Amgen, Inc.

 

     

4.66%

      06/15/51        5,000          6,676  
 

 

June 2020 / 3

Flexible Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Health Care (continued)

 

     

Bayer U.S. Finance II LLC

 

     

4.38%

      12/15/28 3         $10,000        $ 11,695  

4.88%

      06/25/48 3         45,000          57,630  

Becton Dickinson and Co.

 

     

3.73%

      12/15/24          10,000          11,038  

Centene Corp.

 

     

3.38%

      02/15/30          42,000          42,460  

4.75%

      05/15/22          55,000          55,741  

Cigna Corp.

 

     

2.40%

      03/15/30          16,000          16,623  

3.40%

      03/01/27 3         10,000          11,025  

4.90%

      12/15/48          15,000          19,805  

CVS Health Corp.

 

     

5.05%

      03/25/48          30,000          39,309  

(LIBOR USD 3-Month plus 0.72%)

 

     

1.03%

      03/09/21 2         10,000          10,039  

Elanco Animal Health, Inc.

 

     

5.02%

      08/28/23          29,000          30,577  

Fresenius Medical Care U.S. Finance II, Inc.

 

     

4.13%

      10/15/20 3         10,000          10,066  

HCA, Inc.

 

     

4.13%

      06/15/29          20,000          22,102  

5.00%

      03/15/24          10,000          11,117  

5.25%

      06/15/49          10,000          12,009  

NYU Langone Hospitals, Series 2020

 

     

3.38%

      07/01/55          25,000          25,043  

Partners Healthcare System, Inc.,

 

     

Series 2020

 

     

3.34%

      07/01/60          10,000          10,747  

Tenet Healthcare Corp.

 

     

4.63%

      09/01/24 3         43,000          42,530  

UnitedHealth Group, Inc.

 

     

2.90%

      05/15/50          10,000          10,581  

3.70%

      08/15/49          5,000          5,953  

Upjohn, Inc.

 

     

1.13%

      06/22/22 3         40,000          40,251  

Zimmer Biomet Holdings, Inc.

 

     

3.55%

      03/20/30          20,000          21,644  
    

 

 

  
       594,801  
    

 

 

  

Industrials — 1.13%

 

     

BAE Systems PLC (United Kingdom)

 

     

3.40%

      04/15/30 1,3         10,000          10,914  

General Electric Co. (MTN)

 

     

(LIBOR USD 3-Month plus 0.38%)

 

     

0.92%

      05/05/26 2         60,000          52,631  

(LIBOR USD 3-Month plus 0.48%)

 

     

0.87%

      08/15/36 2         52,000          33,657  
Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Industrials (continued)

 

     

General Electric Co., Series A (MTN)

 

     

6.75%

      03/15/32          $30,000        $ 36,527  

PowerTeam Services LLC

 

     

9.03%

      12/04/25 3         15,000          15,307  

Titan Acquisition Ltd./Titan Co-Borrower LLC

 

     

(Canada)

 

     

7.75%

      04/15/26 1,3         9,000          8,561  
    

 

 

  
       157,597  
    

 

 

  

Information Technology — 0.72%

 

     

Broadcom Corp./Broadcom Cayman

 

     

Finance Ltd.

 

     

3.63%

      01/15/24          5,000          5,382  

Dell International LLC/EMC Corp.

 

     

4.42%

      06/15/21 3         5,000          5,140  

Fiserv, Inc.

 

     

2.65%

      06/01/30          10,000          10,618  

Intel Corp.

 

     

4.75%

      03/25/50          25,000          35,403  

SS&C Technologies, Inc.

 

     

5.50%

      09/30/27 3         43,000          43,825  
    

 

 

  
       100,368  
    

 

 

  

Insurance — 0.64%

 

     

Aon Corp.

 

     

2.80%

      05/15/30          15,000          16,072  

Berkshire Hathaway Finance Corp.

 

     

4.25%

      01/15/49          10,000          12,870  

Metropolitan Life Global Funding I

 

     

2.95%

      04/09/30 3         15,000          16,459  

New York Life Insurance Co.

 

     

3.75%

      05/15/50 3         15,000          16,987  

Teachers Insurance & Annuity

 

     

Association of America

 

     

4.38%

      09/15/54 3,4         25,000          26,563  
    

 

 

  
       88,951  
    

 

 

  

Materials — 0.13%

 

     

International Flavors & Fragrances, Inc.

 

     

5.00%

      09/26/48          15,000          17,528  
    

 

 

  

Real Estate Investment Trust (REIT) — 1.55%

 

     

American Campus Communities

 

     

Operating Partnership LP

 

     

2.85%

      02/01/30          10,000          9,668  

Boston Properties LP

 

     

2.75%

      10/01/26          10,000          10,678  

3.25%

      01/30/31          10,000          10,807  

Crown Castle International Corp.

 

     

3.30%

      07/01/30          35,000          38,576  
 

 

4 / June 2020

Flexible Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Real Estate Investment Trust (REIT) (continued)

 

     

CyrusOne LP/CyrusOne Finance Corp.

 

     

2.90%

      11/15/24        $ 5,000        $ 5,259  

3.45%

      11/15/29          30,000          31,243  

GLP Capital LP/GLP Financing II, Inc.

 

     

4.00%

      01/15/30          5,000          4,981  

4.00%

      01/15/31          15,000          14,912  

5.25%

      06/01/25          5,000          5,462  

5.38%

      11/01/23          10,000          10,692  

5.75%

      06/01/28          10,000          11,046  

Healthcare Trust of America Holdings LP

 

     

3.70%

      04/15/23          30,000          31,408  

Healthpeak Properties, Inc.

 

     

3.40%

      02/01/25          25,000          26,977  

Hudson Pacific Properties LP

 

     

3.95%

      11/01/27          5,000          5,190  
    

 

 

  
       216,899  
    

 

 

  

Retail — 0.17%

 

     

Alimentation Couche-Tard, Inc. (Canada)

 

     

3.80%

      01/25/50 1,3         20,000          20,809  

Rite Aid Corp.

 

     

6.13%

      04/01/23 3         3,000          2,922  
    

 

 

  
       23,731  
    

 

 

  

Services — 0.58%

 

     

Emory University, Series 2020

 

     

2.14%

      09/01/30          10,000          10,423  

GFL Environmental, Inc. (Canada)

 

     

5.13%

      12/15/26 1,3         18,000          18,650  

IHS Markit Ltd. (Bermuda)

 

     

4.75%

      02/15/25 1,3         20,000          22,462  

5.00%

      11/01/22 1,3         10,000          10,738  

Waste Pro USA, Inc.

 

     

5.50%

      02/15/26 3         20,000          19,148  
    

 

 

  
       81,421  
    

 

 

  

Transportation — 0.74%

 

     

American Airlines Pass-Through Trust,

 

     

Series 2016-2, Class A

 

     

3.65%

      06/15/28          41,600          34,015  

Continental Airlines Pass-Through Trust,

 

     

Series 2000-1, Class A1

 

     

8.05%

      11/01/20          3          3  

Continental Airlines Pass-Through Trust,

 

     

Series 2001-1, Class A1

 

     

6.70%

      06/15/21          3,003          2,945  

Delta Air Lines Pass-Through Trust,

 

     

Series 2020-1, Class AA

 

     

2.00%

      06/10/28          25,000          23,965  
Issues    Maturity
Date		      Principal
Amount		        Value  

CORPORATES (continued)

 

     

Transportation (continued)

 

     

JetBlue Airways Pass-Through Trust,

 

     

Series 2019-1, Class AA

 

     

2.75%

      05/15/32      $ 29,634        $ 26,569  

U.S. Airways Pass-Through Trust,

 

     

Series 2012-1, Class A

 

     

5.90%

      10/01/24        16,540          15,167  
    

 

 

  
       102,664  
    

 

 

  

Total Corporates

 

     

(Cost $3,116,759)

 

        3,225,067  
    

 

 

  

MORTGAGE-BACKED — 32.73%**

 

     

Non-Agency Commercial

 

     

Mortgage-Backed — 12.50%

 

     

20 Times Square Trust,

 

     

Series 2018-20TS, Class G

 

     

3.20%

      05/15/35 3,4       5,000          4,093  

Banc of America Commercial Mortgage

 

     

Trust, Series 2015-UBS7, Class XE (IO)

 

     

1.25%

      09/15/48 3,4       500,000          21,348  

BANK, Series 2017-BNK5, Class XA (IO)

 

     

1.22%

      06/15/60 4       141,673          7,002  

BBCMS Mortgage Trust,

 

     

Series 2015-SRCH, Class D

 

     

5.12%

      08/10/35 3,4       70,000          74,165  

BBCMS Mortgage Trust,

 

     

Series 2017-C1, Class XA (IO)

 

     

1.66%

      02/15/50 4       141,578          9,942  

BBCMS Mortgage Trust,

 

     

Series 2020-C6, Class F5TB

 

     

3.69%

      02/15/53 3,4       75,000          72,484  

BB-UBS Trust,

 

     

Series 2012-SHOW, Class XA (IO)

 

     

0.73%

      11/05/36 3,4       575,000          13,913  

CCRESG Commercial Mortgage Trust,

 

     

Series 2016-HEAT, Class X (IO)

 

     

1.54%

      04/10/29 3,4       1,280,000          6,364  

Commercial Mortgage Trust,

 

     

Series 2012-CR1, Class XA (IO)

 

     

2.03%

      05/15/45 4       756,853          19,563  

Commercial Mortgage Trust,

 

     

Series 2012-CR4, Class XA (IO)

 

     

1.85%

      10/15/45 4       804,529          27,124  

Commercial Mortgage Trust,

 

     

Series 2012-LC4, Class XB (IO)

 

     

0.64%

      12/10/44 3,4       1,800,000          15,694  

Commercial Mortgage Trust,

 

     

Series 2014-CR19, Class XC (IO)

 

     

0.85%

      08/10/47 3,4       1,200,000          31,305  

Commercial Mortgage Trust,

 

     

Series 2014-UBS5, Class XA (IO)

 

     

1.03%

      09/10/47 4,7,8       745,904          20,895  
 

 

June 2020 / 5

Flexible Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Commercial

 

     

Mortgage-Backed (continued)

 

     

DBUBS Mortgage Trust,

 

     

Series 2011-LC1A, Class XB (IO)

 

     

0.38%

      11/10/46 3,4       $ 300,000        $ 571  

DBUBS Mortgage Trust,

 

     

Series 2011-LC3A, Class XA (IO)

 

     

0.34%

      08/10/44 3,4         25,083,857          38,716  

GS Mortgage Securities Trust,

 

     

Series 2010-C1, Class X (IO)

 

     

1.23%

      08/10/43 3,4         17,284,364          209,179  

GS Mortgage Securities Trust,

 

     

Series 2011-GC3, Class X (IO)

 

     

0.81%

      03/10/44 3,4         3,065,502          5,526  

GS Mortgage Securities Trust,

 

     

Series 2011-GC5, Class XA (IO)

 

     

1.49%

      08/10/44 3,4         4,391,173          41,269  

GS Mortgage Securities Trust,

 

     

Series 2012-GCJ9, Class XA (IO)

 

     

2.10%

      11/10/45 4         688,855          25,044  

GS Mortgage Securities Trust,

 

     

Series 2015-GS1, Class XA (IO)

 

     

0.92%

      11/10/48 4         958,562          33,913  

GS Mortgage Securities Trust,

 

     

Series 2016-GS2, Class XA (IO)

 

     

1.80%

      05/10/49 4         344,024          21,844  

Hudson Yards Mortgage Trust,

 

     

Series 2019-55HY, Class F

 

     

3.04%

      12/10/41 3,4         85,000          75,497  

JPMBB Commercial Mortgage Securities

 

     

Trust, Series 2014-C19, Class XA (IO)

 

     

0.90%

      04/15/47 4         1,799,300          32,211  

JPMDB Commercial Mortgage Securities

 

     

Trust, Series 2016-C2, Class XA (IO)

 

     

1.82%

      06/15/49 4         337,543          18,863  

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2011-C3,

 

     

Class XA (IO)

 

     

1.14%

      02/15/46 3,4         16,052,270          52,338  

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2012-LC9,

 

     

Class XA (IO)

 

     

1.65%

      12/15/47 4         1,791,526          50,785  

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2013-C10,

 

     

Class XA (IO)

 

     

1.11%

      12/15/47 4         1,249,813          26,651  

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2020-ACE, Class XA (IO)

 

0.47%

      01/10/37 3,4         2,000,000          26,427  

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2020-LOOP,

 

     

Class XB (IO)

 

     

0.25%

      12/05/38 3,4         2,010,000          27,934  
Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Commercial

 

     

Mortgage-Backed (continued)

 

     

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2020-NNN,

 

     

Class XAFX (IO)

 

     

1.88%

      01/16/37 3,4       $ 450,000        $ 32,432  

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2020-NNN,

 

     

Class XBFX (IO)

 

     

0.57%

      01/16/37 3,4         1,450,000          32,712  

Morgan Stanley Bank of America Merrill

 

     

Lynch Trust, Series 2012-C5, Class XC (IO)

 

     

0.14%

      08/15/45 3,4         35,000,000          81,907  

Morgan Stanley Bank of America Merrill

 

     

Lynch Trust, Series 2014-C18, Class XA (IO)

 

     

0.87%

      10/15/47 4         116,835          2,543  

Morgan Stanley Capital I Trust,

 

     

Series 2011-C2, Class XB (IO)

 

     

0.39%

      06/15/44 3,4         21,644,659          175,644  

Morgan Stanley Capital I Trust,

 

     

Series 2012-C4, Class XA (IO)

 

     

2.25%

      03/15/45 3,4         684,867          16,801  

MSBAM Commercial Mortgage Securities

 

     

Trust, Series 2012-CKSV, Class XA (IO)

 

     

1.19%

      10/15/30 3,4         1,130,644          20,797  

Natixis Commercial Mortgage Securities

 

     

Trust, Series 2018-ALXA, Class E

 

     

4.46%

      01/15/43 3,4         70,000          68,627  

UBS-Barclays Commercial Mortgage Trust,

 

     

Series 2012-C4, Class XA (IO)

 

     

1.76%

      12/10/45 3,4         781,381          22,086  

Wells Fargo Commercial Mortgage Trust,

 

     

Series 2012-LC5, Class XA (IO)

 

     

1.91%

      10/15/45 3,4         901,569          27,507  

Wells Fargo Commercial Mortgage Trust,

 

     

Series 2015-LC20, Class XF (IO)

 

     

1.89%

      04/15/50 3,4         415,000          22,448  

WF-RBS Commercial Mortgage Trust,

 

     

Series 2011-C2, Class XA (IO)

 

     

0.98%

      02/15/44 3,4         1,035,354          2,381  

WF-RBS Commercial Mortgage Trust,

 

     

Series 2011-C3, Class XA (IO)

 

     

1.48%

      03/15/44 3,4         2,217,537          16,501  

WF-RBS Commercial Mortgage Trust,

 

     

Series 2012-C10, Class XA (IO)

 

     

1.68%

      12/15/45 3,4         1,177,145          36,560  

WF-RBS Commercial Mortgage Trust,

 

     

Series 2012-C10, Class XB (IO)

 

     

0.56%

      12/15/45 3,4         4,000,000          44,792  

WF-RBS Commercial Mortgage Trust,

 

     

Series 2012-C7, Class XB (IO)

 

     

0.15%

      06/15/45 3,4         29,387,219          67,497  
 

 

6 / June 2020

Flexible Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		      Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Commercial

 

     

Mortgage-Backed (continued)

 

     

WF-RBS Commercial Mortgage Trust,

 

     

Series 2014-C24, Class XA (IO)

 

     

0.98%

      11/15/47 4     $ 2,309,331        $ 60,361  
    

 

 

  
       1,742,256  
    

 

 

  

Non-Agency Mortgage-Backed — 10.69%

 

     

Alternative Loan Trust,

 

     

Series 2007-16CB, Class 1A7

 

     

6.00%

      08/25/37        11,822          11,643  

American Home Mortgage Assets Trust,

 

     

Series 2006-6, Class XP (IO)

 

     

3.18%

      12/25/46 4,7,8       489,347          45,103  

American Home Mortgage Investment Trust,

 

     

Series 2006-1, Class 11A1

 

     

(LIBOR USD 1-Month plus 0.28%)

 

     

0.46%

      03/25/46 2       22,148          19,901  

Banc of America Funding Trust,

 

     

Series 2006-3, Class 5A3

 

     

5.50%

      03/25/36        11,557          10,913  

Banc of America Funding Trust,

 

     

Series 2014-R7, Class 1A1

 

     

(LIBOR USD 1-Month plus 0.15%)

 

     

0.33%

      05/26/36 2,3       36,716          35,609  

Banc of America Funding Trust,

 

     

Series 2015-R4, Class 5A1

 

     

(LIBOR USD 1-Month plus 0.15%)

 

     

0.32%

      10/25/36 2,3       23,895          22,981  

Bear Stearns ALT-A Trust, Series 2004-6,

 

     

Class 1A

 

     

(LIBOR USD 1-Month plus 0.64%)

 

     

0.82%

      07/25/34 2       4,527          4,541  

Bear Stearns ARM Trust, Series 2004-3,

 

     

Class 2A

 

     

3.27%

      07/25/34 4       12,485          12,258  

Bombardier Capital Mortgage Securitization

 

     

Corp., Series 2000-A, Class A4

 

     

8.29%

      06/15/30 4       142,144          45,086  

Citigroup Mortgage Loan Trust, Inc.,

 

     

Series 2006-WF1, Class A2C

 

     

(STEP-reset date 08/25/20)

 

     

4.83%

      03/25/36        38,645          25,359  

Citigroup Mortgage Loan Trust, Inc.,

 

     

Series 2015-2, Class 1A1

 

     

(LIBOR USD 1-Month plus 0.20%)

 

     

0.37%

      06/25/47 2,3       12,336          12,286  

CitiMortgage Alternative Loan Trust,

 

     

Series 2007-A3, Class 1A7

 

     

5.75%

      03/25/37        46,865          47,211  

Countrywide Home Loan Mortgage

 

     

Pass-Through Trust, Series 2007-14,

 

     

Class A3

 

     

6.25%

      09/25/37        30,704          25,128  
Issues    Maturity
Date		      Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Mortgage-Backed (continued)

 

     

Credit-Based Asset Servicing and

 

     

Securitization LLC, Series 2006-CB7,

 

     

Class A4

 

     

(LIBOR USD 1-Month plus 0.16%)

 

     

0.34%

      10/25/36 2     $ 54,929        $ 42,397  

Credit-Based Asset Servicing and

 

     

Securitization LLC, Series 2006-MH1,

 

     

Class B1 (STEP-reset date 08/25/20)

 

     

6.25%

      10/25/36 3       61,000          60,674  

Fremont Home Loan Trust, Series 2005-E,

 

     

Class 2A4

 

     

(LIBOR USD 1-Month plus 0.33%)

 

     

0.51%

      01/25/36 2       31,710          30,148  

GreenPoint Mortgage Funding Trust,

 

     

Series 2005-AR3, Class 1A1

 

     

(LIBOR USD 1-Month plus 0.24%)

 

     

0.42%

      08/25/45 2       9,775          9,103  

GSAA Trust, Series 2007-3, Class 2A1B

 

     

(LIBOR USD 1-Month plus 0.10%)

 

     

0.28%

      03/25/47 2       166,316          12,647  

GSR Mortgage Loan Trust,

 

     

Series 2005-AR6, Class 2A1

 

     

4.07%

      09/25/35 4       7,564          7,529  

HarborView Mortgage Loan Trust,

 

     

Series 2005-9, Class 2A1A

 

     

(LIBOR USD 1-Month plus 0.34%)

 

     

0.53%

      06/20/35 2       23,375          20,911  

HarborView Mortgage Loan Trust,

 

     

Series 2005-9, Class 2X (IO)

 

     

2.58%

      06/20/35 3,4,7,8       1,714,130          109,255  

IndyMac Index Mortgage Loan Trust,

 

     

Series 2007-F2, Class 1A4

 

     

6.00%

      07/25/37        12,535          12,276  

JPMorgan Mortgage Acquisition Trust,

 

     

Series 2007-CH1, Class AF6

 

     

(STEP-reset date 08/25/20)

 

     

4.85%

      11/25/36        40,349          41,369  

Lehman ABS Manufactured Housing

 

     

Contract Trust, Series 2001-B, Class M1

 

     

6.63%

      04/15/40 4       59,743          63,573  

Lehman Mortgage Trust, Series 2006-7,

 

     

Class 2A5 (IO)

 

     

(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)

 

     

6.37%

      11/25/36 2,7,8       213,473          78,075  

Lehman Mortgage Trust, Series 2007-5,

 

     

Class 10A2 (IO)

 

     

(-1.00 X LIBOR USD 1-Month plus 6.34%, 6.34% Cap)

 

     

6.16%

      06/25/37 2,7,8       281,227          56,946  

MASTR Alternative Loan Trust,

 

     

Series 2005-2, Class 4A3

 

     

(LIBOR USD 1-Month plus 0.40%)

 

     

0.58%

      03/25/35 2       33,373          31,903  
 

 

June 2020 / 7

Flexible Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		      Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Mortgage-Backed (continued)

 

     

Merrill Lynch Mortgage Investors Trust,

 

     

Series 2004-B, Class A1

 

     

(LIBOR USD 1-Month plus 0.50%)

 

     

0.68%

      05/25/29 2     $ 21,387        $ 20,386  

Mid-State Capital Corp., Series 2005-1,

 

     

Class A

 

     

5.75%

      01/15/40        9,527          10,327  

Mid-State Capital Corp., Series 2006-1,

 

     

Class A

 

     

5.79%

      10/15/40 3       58,176          62,818  

Mid-State Trust XI, Series 2011, Class A1

 

     

4.86%

      07/15/38        4,297          4,623  

Nationstar Home Equity Loan Trust,

 

     

Series 2007-C, Class 2AV4

 

     

(LIBOR USD 1-Month plus 0.25%)

 

     

0.43%

      06/25/37 2       35,000          32,190  

Nomura Resecuritization Trust,

 

     

Series 2015-5R, Class 4A1

 

     

(LIBOR USD 1-Month plus 0.14%)

 

     

2.33%

      07/26/37 2,3       16,174          16,172  

Oakwood Mortgage Investors, Inc.,

 

     

Series 2002-A, Class A2

 

     

5.01%

      08/01/20 4       18,594          19,008  

Park Place Securities, Inc., Asset-Backed

 

     

Pass-Through Certificates,

 

     

Series 2005-WCH1, Class M4

 

     

(LIBOR USD 1-Month plus 1.25%)

 

     

1.43%

      01/25/36 2       24,365          24,307  

Residential Asset Mortgage Products Trust,

 

     

Series 2006-EFC2, Class A4

 

     

(LIBOR USD 1-Month plus 0.22%)

 

     

0.40%

      12/25/36 2       100,000          91,568  

Residential Asset Securitization Trust,

 

     

Series 2003-A15, Class 1A3 (IO)

 

     

(-1.00 X LIBOR USD 1-Month plus 7.55%, 7.55% Cap)

 

     

7.37%

      02/25/34 2,7,8       724,647          96,207  

Residential Asset Securitization Trust,

 

     

Series 2005-A6CB, Class A1

 

     

5.50%

      06/25/35        55,539          47,333  

Residential Asset Securitization Trust,

 

     

Series 2006-A12, Class A1

 

     

6.25%

      11/25/36        72,860          44,081  

Residential Asset Securitization Trust,

 

     

Series 2007-A3, Class 1A4

 

     

5.75%

      04/25/37        65,242          45,669  

Structured Adjustable Rate Mortgage Loan

 

     

Trust, Series 2004-1, Class 4A1

 

     

3.77%

      02/25/34 4       2,469          2,461  

Structured Asset Mortgage Investments II

 

     

Trust, Series 2006-AR2, Class A1

 

     

(LIBOR USD 1-Month plus 0.23%)

 

     

0.41%

      02/25/36 2       28,080          24,499  
Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Mortgage-Backed (continued)

 

     

WaMu Mortgage Pass-Through Certificates,

 

     

Series 2006-2, Class 1A6

 

     

6.00%

      03/25/36        $ 38,057        $ 38,307  

Wells Fargo Mortgage-Backed Securities

 

     

Trust, Series 2006-AR4, Class 2A1

 

     

4.02%

      04/25/36 4         16,791          15,722  
            

 

 

  
       1,490,503  
            

 

 

  

U.S. Agency Commercial

 

     

Mortgage-Backed — 5.02%

 

     

Fannie Mae-Aces, Series 2016-M11,

 

     

Class X2 (IO)

 

     

2.83%

      07/25/39 4         1,030,145          44,684  

Fannie Mae-Aces, Series 2016-M2,

 

     

Class X3 (IO)

 

     

2.05%

      04/25/36 4         800,639          17,150  

Fannie Mae-Aces, Series 2016-M4,

 

     

Class X2 (IO)

 

     

2.71%

      01/25/39 4         1,322,472          91,556  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K013,

 

     

Class X1 (IO)

 

     

0.64%

      01/25/21 4         44,086,476          90,523  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K017,

 

     

Class X3 (IO)

 

     

2.27%

      12/25/39 4         2,147,000          66,300  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K022,

 

     

Class X3 (IO)

 

     

1.87%

      08/25/40 4         900,000          31,948  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K031,

 

     

Class X3 (IO)

 

     

1.71%

      07/25/41 4         1,170,000          50,820  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K037,

 

     

Class X3 (IO)

 

     

2.28%

      01/25/42 4         390,000          27,901  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K715,

 

     

Class X1 (IO)

 

     

1.24%

      01/25/21 4         4,188,649          14,774  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KLU1,

 

     

Class X3 (IO)

 

     

4.10%

      01/25/31 4         346,498          66,361  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KS05,

 

     

Class X (IO)

 

     

0.76%

      01/25/23 4         4,766,714          73,352  

FREMF Mortgage Trust, Series 2012-K20,

 

     

Class X2A (IO)

 

     

0.20%

      05/25/45 3         3,667,665          10,473  
 

 

8 / June 2020

Flexible Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

U.S. Agency Commercial

 

     

Mortgage-Backed (continued)

 

     

Ginnie Mae, Series 2009-111, Class IO (IO)

 

     

0.22%

      09/16/51 4       $ 1,046,155        $ 53,313  

Ginnie Mae, Series 2011-119, Class IO (IO)

 

     

0.33%

      08/16/51 4         2,129,268          16,006  

Ginnie Mae, Series 2011-78, Class IX (IO)

 

     

0.09%

      08/16/46 4         1,144,370          12,056  

Ginnie Mae, Series 2012-135, Class IO (IO)

 

     

0.61%

      01/16/53 4         502,582          15,272  

Ginnie Mae, Series 2013-33, Class IO (IO)

 

     

0.73%

      04/16/54 4         722,433          17,012  
            

 

 

  
       699,501  
            

 

 

  

U.S. Agency Mortgage-Backed — 4.52%

 

     

Fannie Mae Pool 462209

 

     

(US Treasury Yield Curve Rate T Note

 

     

Constant Maturity 1 Year plus 2.18%)

 

     

3.62%

      04/01/36 2         58,948          60,166  

Fannie Mae Pool AN6241

 

     

3.46%

      09/01/37          80,000          94,284  

Fannie Mae REMICS, Series 2005-56,

 

     

Class SP

 

     

(-6.50 X LIBOR USD 1-Month plus 42.30%, 6.00% Cap)

 

     

6.00%

      08/25/33 2         11,133          11,976  

Fannie Mae REMICS, Series 2011-116,

 

     

Class SA (IO)

 

     

(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)

 

5.82%

      11/25/41 2         283,296          48,065  

Fannie Mae REMICS, Series 2012-139,

 

     

Class AI (IO)

 

     

3.00%

      12/25/27          427,059          29,720  

Freddie Mac Strips, Series 240,

 

     

Class IO (IO)

 

     

5.50%

      07/15/36          450,636          89,861  

Ginnie Mae, Series 2003-11, Class S (IO)

 

     

(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)

 

6.35%

      02/16/33 2         911,766          78,040  

Ginnie Mae, Series 2003-110, Class S (IO)

 

     

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

 

6.41%

      10/20/33 2         508,501          108,351  

Ginnie Mae, Series 2012-73, Class NK

 

     

3.00%

      08/20/40          6,455          6,486  

Ginnie Mae, Series 2018-124, Class NW

 

     

3.50%

      09/20/48          70,038          75,548  

Ginnie Mae, Series 2018-154, Class BP

 

     

3.50%

      11/20/48          27,180          28,115  
            

 

 

  
       630,612  
            

 

 

  

Total Mortgage-Backed

 

     

(Cost $4,924,930)

 

        4,562,872  
            

 

 

  
Issues    Maturity
Date		        Principal
Amount		        Value  

MUNICIPAL BONDS — 0.75%*

 

     

California — 0.35%

 

     

Regents of the University of California

 

     

Medical Center Pooled Revenue, Taxable

 

     

Bonds, Health, Hospital and Nursing Home

 

     

Improvements, Series N

 

     

3.26%

      05/15/60        $ 30,000        $ 31,314  

San Francisco City & County Airport

 

     

Comm-San Francisco International Airport,

 

     

Airport and Marina Improvements, Series A

 

     

5.00%

      05/01/49          15,000          17,982  
            

 

 

  
       49,296  
            

 

 

  

Massachusetts — 0.08%

 

     

Commonwealth of Massachusetts,

 

     

Public Improvements, Series C

 

     

3.00%

      03/01/48          10,000          10,629  
            

 

 

  

New York — 0.32%

 

     

Metropolitan Transportation Authority, Green

 

     

Taxable Bonds, Transit Improvements,

 

     

Series C2

 

     

5.18%

      11/15/49          15,000          17,553  

New York City Transitional Finance Authority

 

     

Future Tax Secured Revenue Bonds, Public

 

     

Improvements, Series B-1

 

     

4.00%

      08/01/38          10,000          11,306  

New York City Water & Sewer System

 

     

Revenue Bonds, Water Utility Improvements

 

     

3.00%

      06/15/50          10,000          10,455  

New York State Dormitory Authority,

 

     

Revenue Bonds, Health, Hospital and

 

     

Nursing Home Improvements, Series A

 

     

4.00%

      07/01/50          5,000          5,595  
            

 

 

  
       44,909  
            

 

 

  

Total Municipal Bonds

 

     

(Cost $96,846)

 

        104,834  
            

 

 

  

Total Bonds – 62.68%

 

     

(Cost $9,013,470)

 

        8,739,253  
            

 

 

  
            
Issues    Maturity
Date		        Principal
Amount/Shares		        Value  

SHORT-TERM INVESTMENTS — 36.06%

 

     

Commercial Paper — 0.14%

 

     

Ford Motor Credit Co. LLC

 

     

3.20%9

      10/08/20          20,000          19,835  
            

 

 

  

Money Market Funds — 11.71%

 

     

Dreyfus Government Cash Management

 

     

Fund

 

     

8.42%10

 

        637,000          637,000  

Fidelity Investments Money Market Funds -

 

     

Government Portfolio

 

     

5.23%10

 

        20,484          20,484  
 

 

June 2020 / 9

Flexible Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount/Shares		        Value  

SHORT-TERM INVESTMENTS (continued)

 

     

Money Market Funds (continued)

 

     

JPMorgan U.S. Government

 

     

Money Market Fund

 

     

7.20%10

 

        599,000        $ 599,000  

Morgan Stanley Institutional Liquidity

 

     

Funds-Government Portfolio

 

     

5.22%10

 

        377,000          377,000  
            

 

 

  
       1,633,484  
            

 

 

  

U.S. Treasury Bills — 24.21%

 

     

U.S. Cash Management Bills

 

     

0.16%9

      11/03/20        $ 300,000          299,828  

0.17%9

      11/10/20          200,000          199,879  

U.S. Cash Management Bills (WI)

 

     

0.15%9

      10/27/20          800,000          799,659  

U.S. Treasury Bills

 

     

0.14%9

      11/12/20          200,000          199,885  

0.16%9

      11/05/20          250,000          249,868  

0.16%9

      11/27/20          400,000          399,735  

0.17%9

      12/03/20          1,000,000          999,376  

0.18%9

      12/10/20          200,000          199,863  

0.27%9,11

      09/10/20          27,000          26,993  
            

 

 

  
       3,375,086  
            

 

 

  

Total Short-Term Investments

 

     

(Cost $5,028,241)

 

        5,028,405  
            

 

 

  

Total Investments – 98.74%

 

     

(Cost $14,041,711)

 

        13,767,658  
            

 

 

  

Cash and Other Assets, Less

 

     

Liabilities – 1.26%

 

        175,544  
            

 

 

  

Net Assets – 100.00%

 

      $ 13,943,202  
            

 

 

  
1 

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

 

2 

Floating rate security. The rate disclosed was in effect at June 30, 2020.

 

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 

Non-income producing security.

 

6 

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

 

7 

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

 

8 

Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $406,481, which is 2.92% of total net assets.

 

9 

Represents annualized yield at date of purchase.

 

10 

Represents the current yield as of June 30, 2020.

 

11 

Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $26,993.

 

*

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.

(CLO): Collateralized Loan Obligation

(GMTN): Global medium-term note

(IO): Interest only

(LIBOR): London InterBank Offer Rate (MTN): Medium-term note

(STEP): Step coupon bond

(USD): U.S. dollar

(WI): When Issued

 

 

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

FUTURES CONTRACTS: LONG POSITIONS

                         

U.S. Treasury Five Year Note

        1        09/30/20      $ 125,742      $ 271      $ 271
FUTURES CONTRACTS: SHORT POSITIONS                         

U.S. Treasury Ten Year Ultra Bond

        2        09/21/20        (314,969 )        (1,285 )        (1,285 )

U.S. Treasury Ultra Bond

        1        09/21/20        (218,156 )        858        858
              

 

 

       

 

 

       

 

 

  
                 (533,125 )        (427 )        (427 )
              

 

 

       

 

 

       

 

 

  

TOTAL FUTURES CONTRACTS

                $ (407,383 )      $ (156 )      $ (156 )
              

 

 

       

 

 

       

 

 

  

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.

 

10 / June 2020

Flexible Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

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 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.

 

June 2020 / 11

Flexible Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

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.

The summary of inputs used to value the Fund’s investments and other financial instruments carried at fair value as of June 30, 2020 is as follows:

 

  FLEXIBLE INCOME FUND            LEVEL 1                        LEVEL 2                        LEVEL 3                        TOTAL        

  Investments in Securities

                                                     

  Assets

                                

  Short-Term Investments:

                                

  Commercial Paper

      $ —            $ 19,835          $ —            $ 19,835

  Money Market Funds

        1,633,484            —              —              1,633,484

  U.S. Treasury Bills

        3,375,086            —              —              3,375,086

  Long-Term Investments:

                                

  Asset-Backed Securities

        —              846,480            —              846,480

  Corporates

        —              3,225,067            —              3,225,067

  Mortgage-Backed

        —              4,156,391            406,481            4,562,872

  Municipal Bonds

        —              104,834            —              104,834

  Other Financial Instruments *

                                

  Assets:

                                

  Interest rate contracts

        1,129            —              —              1,129

  Liabilities:

                                

  Interest rate contracts

        (1,285 )            —              —              (1,285 )
    

 

 

           

 

 

           

 

 

           

 

 

  

  Total

      $ 5,008,414          $ 8,352,607          $ 406,481          $ 13,767,502
    

 

 

           

 

 

           

 

 

           

 

 

  

*Other financial instruments include futures. Interest rate contracts include futures.

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.

 

12 /  June 2020

Flexible Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

For the period ended June 30, 2020, a reconciliation of Level 3 investments is presented when the Fund had a significant amount of level 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:

 

  FLEXIBLE INCOME
  FUND		    MORTGAGE-BACKED
SECURITIES		    

  Balance as of

       

  April 1, 2020

      $ 357,614  

  Accrued discounts/premiums

        (6,391 )  

  Realized gain/(loss)

        —    

  Change in unrealized appreciation*

        13,107  

  Purchases

        42,151  

  Sales

        —    

  Transfers into Level 3**

        —    

  Transfers out of Level 3**

        —    
    

 

 

    

  Balance as of

       

  June 30, 2020

      $ 406,481  
    

 

 

    

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2020 was $9,840 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 June 30, 2020.

Significant unobservable valuations inputs for Level 3 investments as of June 30, 2020, are as follows:

 

  FLEXIBLE INCOME FUND   

 

FAIR VALUE
AT 6/30/20

   

 

VALUATION
TECHNIQUE*

   

 

UNOBSERVABLE
INPUT

    RANGE   

 

WEIGHTED    
AVERAGE    

  Mortgage-Backed Securities-

  Commercial Mortgage-Backed

    $20,895    Third-party Vendor    Vendor Prices    $2.80    $2.80

  Mortgage-Backed Securities-Non-

  Agency

    $385,586    Third-party Vendor    Vendor Prices    6.37 - 36.57    16.59

* 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.

 

June 2020 / 13