NPORT-EX 2 MW70MWUltraShortBondFund.htm DOS

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

BONDS – 44.33%

 

     

ASSET-BACKED SECURITIES — 3.40%**

 

     

Countrywide Asset-Backed Certificates Trust,

 

     

Series 2005-11, Class MV3

 

     

(LIBOR USD 1-Month plus 0.53%)

 

     

0.71%

      02/25/36 1       $ 197,415        $ 193,591  

Countrywide Asset-Backed Certificates Trust,

 

     

Series 2005-3, Class MV5

 

     

(LIBOR USD 1-Month plus 1.01%)

 

     

1.19%

      08/25/35 1         649,487          644,733  

Countrywide Asset-Backed Certificates Trust,

 

     

Series 2005-4, Class MV5

 

     

(LIBOR USD 1-Month plus 1.01%)

 

     

1.19%

      10/25/35 1         800,000          768,501  

Higher Education Funding I,

 

     

Series 2014-1, Class A

 

     

(LIBOR USD 3-Month plus 1.05%)

 

     

1.41%

      05/25/34 1,2         395,906          392,313  

MASTR Asset-Backed Securities Trust,

 

     

Series 2005-OPT1, Class M3

 

     

(LIBOR USD 1-Month plus 0.69%)

 

     

0.87%

      03/25/35 1         1,032,659          1,028,682  

Morgan Stanley ABS Capital I Trust,

 

     

Series 2005-WMC3, Class M4

 

     

(LIBOR USD 1-Month plus 0.93%)

 

     

1.11%

      03/25/35 1         961,920          962,262  

Nelnet Student Loan Trust, Series 2012-5A,

 

     

Class A

 

     

(LIBOR USD 1-Month plus 0.60%)

 

     

0.78%

      10/27/36 1,2         353,427          342,975  

Park Place Securities, Inc., Asset-Backed

 

     

Pass-Through Certificates,

 

     

Series 2005-WHQ3, Class M4

 

     

(LIBOR USD 1-Month plus 0.95%)

 

     

1.13%

      06/25/35 1         548,000          537,685  

PFS Financing Corp.,

 

     

Series 2017-D, Class A

 

     

2.40%

      10/17/22 2         300,000          302,872  

PFS Financing Corp.,

 

     

Series 2018-B, Class A

 

     

2.89%

      02/15/23 2         300,000          305,127  

SLM Student Loan Trust, Series 2003-10A,

 

     

Class A3

 

     

(LIBOR USD 3-Month plus 0.47%)

 

     

0.78%

      12/15/27 1,2         209,902          208,292  

SLM Student Loan Trust, Series 2003-14,

 

     

Class A6

 

     

(LIBOR USD 3-Month plus 0.30%)

 

     

1.29%

      07/25/25 1         238,176          236,191  

SLM Student Loan Trust, Series 2005-8,

 

     

Class A4

 

     

(LIBOR USD 3-Month plus 0.55%)

 

     

1.54%

      01/25/28 1         176,217          175,898  
Issues    Maturity
Date		        Principal
Amount		        Value  

ASSET-BACKED SECURITIES (continued)

 

     

SLM Student Loan Trust, Series 2007-6,

Class A4

 

 

     

(LIBOR USD 3-Month plus 0.38%)

 

     

1.37%

      10/25/24 1       $ 154,865        $ 154,432  

SLM Student Loan Trust, Series 2007-8,

Class A4

 

 

     

(LIBOR USD 3-Month plus 0.47%)

 

     

1.46%

      01/26/26 1         153,438          152,442  

SLM Student Loan Trust, Series 2011-1,

Class A1

 

 

     

(LIBOR USD 1-Month plus 0.52%)

 

     

0.70%

      03/25/26 1         3,691          3,691  

SLM Student Loan Trust, Series 2013-4,

Class A

 

 

     

(LIBOR USD 1-Month plus 0.55%)

 

     

0.73%

      06/25/43 1         128,635          123,182  
    

 

 

  

Total Asset-Backed Securities

 

     

(Cost $6,463,105)

 

        6,532,869  
    

 

 

  

CORPORATES — 10.73%*

 

     

Banking — 1.82%

 

     

Bank of America Corp. (GMTN)

 

     

2.37%

      07/21/21 3         1,750,000          1,751,642  

JPMorgan Chase & Co.

 

     

(LIBOR USD 3-Month plus 1.00%)

 

     

2.22%

      01/15/23 1         200,000          201,567  

Lloyds Banking Group PLC

 

     

(United Kingdom)

 

     

2.91%

      11/07/23 3,4         145,000          150,598  

Santander UK Group Holdings PLC

 

     

(United Kingdom)

 

     

3.13%

      01/08/21 4         500,000          506,296  

3.57%

      01/10/23 4         150,000          155,716  

Wells Fargo & Co. (GMTN)

 

     

2.60%

      07/22/20          250,000          250,314  

Wells Fargo Bank N.A. (BKNT)

 

     

3.33%

      07/23/21 3         480,000          480,787  
    

 

 

  
       3,496,920  
    

 

 

  

Communications — 0.26%

 

     

Sprint Spectrum Co. LLC/Sprint Spectrum

 

     

Co. II LLC/Sprint Spectrum Co. III LLC

 

     

3.36%

      09/20/21 2         325,000          330,177  

4.74%

      03/20/25 2         150,000          163,330  
    

 

 

  
       493,507  
    

 

 

  
 

 

June 2020 / 1

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		      Principal
Amount		        Value  

CORPORATES (continued)

 

     

Consumer Discretionary — 0.28%

 

     

BAT Capital Corp.

 

     

2.76%

      08/15/22      $ 400,000        $ 414,348  

Constellation Brands, Inc.

 

     

(LIBOR USD 3-Month plus 0.70%)

 

     

1.09%

      11/15/21 1       125,000          125,019  
    

 

 

  
       539,367  
    

 

 

  

Electric — 1.08%

 

     

Dominion Energy, Inc., Series B

 

     

2.75%

      09/15/22        350,000          362,796  

Duquesne Light Holdings, Inc.

 

     

5.90%

      12/01/21 2       450,000          474,890  

Evergy, Inc.

 

     

4.85%

      06/01/21        325,000          333,976  

NextEra Energy Capital Holdings, Inc.

 

     

2.40%

      09/01/21        250,000          255,706  

(LIBOR USD 3-Month plus 0.55%)

 

     

0.92%

      08/28/21 1       250,000          250,091  

PNM Resources, Inc.

 

     

3.25%

      03/09/21        400,000          406,016  
    

 

 

  
       2,083,475  
    

 

 

  

Finance — 2.17%

 

     

AerCap Ireland Capital DAC/AerCap Global

 

     

Aviation Trust (Ireland)

 

     

4.45%

      12/16/21 4       100,000          101,013  

4.63%

      10/30/20 4       200,000          200,913  

5.00%

      10/01/21 4       150,000          151,757  

Air Lease Corp.

 

     

3.50%

      01/15/22        200,000          202,125  

Citigroup, Inc.

 

     

(LIBOR USD 3-Month plus 0.95%)

 

     

1.97%

      07/24/23 1       308,000          308,186  

Daimler Finance North America LLC

 

     

2.20%

      10/30/21 2       65,000          65,895  

(LIBOR USD 3-Month plus 0.90%)

 

     

1.29%

      02/15/22 1,2       290,000          286,625  

Ford Motor Credit Co. LLC

 

     

2.34%

      11/02/20        50,000          49,813  

3.20%

      01/15/21        250,000          247,500  

3.81%

      10/12/21        50,000          49,703  

(LIBOR USD 3-Month plus 0.81%)

 

     

1.11%

      04/05/21 1       480,000          462,292  

General Motors Financial Co., Inc.

 

     

4.38%

      09/25/21        545,000          559,866  

Morgan Stanley (GMTN)

 

     

5.50%

      07/24/20        500,000          501,535  

Nationwide Building Society

 

     

(United Kingdom)

 

     

3.62%

      04/26/23 2,3,4       500,000          519,794  
Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Finance (continued)

 

     

Park Aerospace Holdings Ltd.

 

     

(Cayman Islands)

 

     

3.63%

      03/15/21 2,4       $ 100,000        $ 96,788  

4.50%

      03/15/23 2,4         100,000          91,286  

5.25%

      08/15/22 2,4         295,000          277,044  
    

 

 

  
       4,172,135  
    

 

 

  

Food — 0.17%

 

     

Conagra Brands, Inc.

 

     

(LIBOR USD 3-Month plus 0.50%)

 

     

0.77%

      10/09/20 1         325,000          325,195  
    

 

 

  

Health Care — 1.84%

 

     

AbbVie, Inc.

 

     

3.25%

      10/01/22 2         200,000          210,645  

Anthem, Inc.

 

     

3.70%

      08/15/21          500,000          513,456  

Bausch Health Cos., Inc. (Canada)

 

     

7.00%

      03/15/24 2,4         280,000          291,080  

Bayer U.S. Finance II LLC

 

     

2.20%

      07/15/22 2         600,000          614,860  

3.88%

      12/15/23 2         140,000          153,685  

Becton Dickinson and Co.

 

     

(LIBOR USD 3-Month plus 0.88%)

 

     

1.18%

      12/29/20 1         243,000          243,020  

Cigna Corp.

 

     

3.20%

      09/17/20          200,000          201,126  

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

 

     

5.88%

      01/31/22 2         200,000          212,372  

Shire Acquisitions Investments Ireland DAC

 

     

(Ireland)

 

     

2.40%

      09/23/21 4         300,000          305,912  

Upjohn, Inc.

 

     

1.13%

      06/22/22 2         550,000          553,452  

Zimmer Biomet Holdings, Inc.

 

     

(LIBOR USD 3-Month plus 0.75%)

 

     

1.07%

      03/19/21 1         240,000          239,978  
    

 

 

  
       3,539,586  
    

 

 

  

Industrials — 0.84%

 

     

BAE Systems Holdings, Inc.

 

     

2.85%

      12/15/20 2         350,000          352,320  

Bemis Co., Inc.

 

     

4.50%

      10/15/21          385,000          394,761  

General Electric Co. (MTN)

 

     

(LIBOR USD 3-Month plus 0.38%)

 

     

0.92%

      05/05/26 1         150,000          131,576  
 

 

2 /  June 2020

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Industrials (continued)

 

     

General Electric Co., Series NOTZ

 

     

(LIBOR USD 3-Month plus 1.00%)

 

     

2.22%

      04/15/23 1       $ 750,000        $ 728,138  
    

 

 

  
       1,606,795  
    

 

 

  

Information Technology — 0.40%

 

     

Dell International LLC/EMC Corp.

 

     

4.42%

      06/15/21 2         250,000          257,009  

NXP BV/NXP Funding LLC (Netherlands)

 

     

4.13%

      06/01/21 2,4         495,000          509,883  
    

 

 

  
       766,892  
    

 

 

  

Materials — 0.16%

 

     

International Flavors & Fragrances, Inc.

 

     

3.40%

      09/25/20          300,000          301,355  
    

 

 

  

Real Estate Investment Trust (REIT) — 0.90%

 

     

Boston Properties LP

 

     

4.13%

      05/15/21          500,000          508,773  

Essex Portfolio LP

 

     

5.20%

      03/15/21          350,000          355,679  

Healthcare Realty Trust, Inc.

 

     

3.75%

      04/15/23          200,000          208,369  

Highwoods Realty LP

 

     

3.20%

      06/15/21          400,000          406,488  

Kimco Realty Corp.

 

     

3.20%

      05/01/21          250,000          253,043  
    

 

 

  
       1,732,352  
    

 

 

  

Services — 0.16%

 

     

IHS Markit Ltd. (Bermuda)

 

     

5.00%

      11/01/22 2,4         280,000          300,670  
    

 

 

  

Transportation — 0.65%

 

     

American Airlines Pass-Through Trust,

 

     

Series 2013-2, Class A

 

     

4.95%

      01/15/23          353,862          287,477  

Aviation Capital Group LLC

 

     

(LIBOR USD 3-Month plus 0.95%)

 

     

1.30%

      06/01/21 1,2         250,000          237,807  

Continental Airlines Pass-Through Trust,

 

     

Series 2000-1, Class A1

 

     

8.05%

      11/01/20          25          26  

Continental Airlines Pass-Through Trust,

 

     

Series 2007-1, Class A

 

     

5.98%

      04/19/22          303,569          287,758  

Delta Air Lines Pass-Through Trust,

 

     

Series 2002-1, Class G1

 

     

6.72%

      01/02/23          147,941          142,784  
Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Transportation (continued)

 

     

Northwest Airlines Pass-Through Trust,

 

     

Series 2001-1, Class A1

 

     

7.04%

      04/01/22        $ 295,680        $ 283,452  
    

 

 

  
       1,239,304  
    

 

 

  

Total Corporates

 

     

(Cost $20,647,642)

 

        20,597,553  
    

 

 

  

MORTGAGE-BACKED — 19.91%**

 

     

Non-Agency Commercial

 

     

Mortgage-Backed — 3.28%

 

     

20 Times Square Trust,

 

     

Series 2018-20TS, Class B

 

     

3.20%

      05/15/35 2,3         165,000          161,762  

BBCMS Mortgage Trust,

 

     

Series 2015-MSQ, Class D

 

     

4.12%

      09/15/32 2,3         44,000          43,424  

BBCMS Mortgage Trust,

 

     

Series 2017-C1, Class A2

 

     

3.19%

      02/15/50          145,000          148,342  

BX Commercial Mortgage Trust,

 

     

Series 2018-IND, Class A

 

     

(LIBOR USD 1-Month plus 0.75%)

 

     

0.93%

      11/15/35 1,2         106,975          106,120  

BX Commercial Mortgage Trust,

 

     

Series 2020-BXLP, Class A

 

     

(LIBOR USD 1-Month plus 0.80%)

 

     

0.98%

      12/15/36 1,2         250,000          248,150  

Commercial Mortgage Trust,

 

     

Series 2013-CR9, Class ASB

 

     

3.83%

      07/10/45          406,299          421,916  

Commercial Mortgage Trust,

 

     

Series 2013-LC6, Class XA (IO)

 

     

1.49%

      01/10/46 3         2,771,094          71,313  

DBRR Trust,

 

     

Series 2011-LC2, Class A4A

 

     

4.54%

      07/12/44 2,3         499,383          505,059  

GS Mortgage Securities Trust,

 

     

Series 2011-GC5, Class A3

 

     

3.82%

      08/10/44          329,418          331,938  

Irvine Core Office Trust,

 

     

Series 2013-IRV, Class A1

 

     

2.07%

      05/15/48 2         639,956          642,238  

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2011-C4,

 

     

Class A4

 

     

4.39%

      07/15/46 2         272,166          277,605  

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2011-C5,

 

     

Class A3

 

     

4.17%

      08/15/46          385,836          396,246  
 

 

June 2020 / 3

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Commercial

 

     

Mortgage-Backed (continued)

 

     

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2012-C6,

 

     

Class ASB

 

     

3.14%

      05/15/45        $ 310,306        $ 316,137  

Morgan Stanley Bank of America Merrill

 

     

Lynch Trust, Series 2013-C12, Class XA (IO)

 

     

0.76%

      10/15/46 3         2,843,277          47,036  

Morgan Stanley Bank of America Merrill

 

     

Lynch Trust, Series 2014-C15, Class A3

 

     

3.77%

      04/15/47          105,298          113,636  

Morgan Stanley Capital I Trust,

 

     

Series 2011-C3, Class A4

 

     

4.12%

      07/15/49          279,689          284,651  

UBS Commercial Mortgage Trust,

 

     

Series 2012-C1, Class XA (IO)

 

     

2.25%

      05/10/45 2,3         2,195,968          56,977  

UBS Commercial Mortgage Trust,

 

     

Series 2018-C11, Class A1

 

     

3.21%

      06/15/51          105,071          107,247  

UBS-Barclays Commercial Mortgage Trust,

 

     

Series 2013-C5, Class XA (IO)

 

     

1.08%

      03/10/46 2,3         3,912,868          76,531  

VNDO Mortgage Trust, Series 2013-PENN,

 

     

Class A

 

     

3.81%

      12/13/29 2         710,000          711,335  

Wells Fargo Commercial Mortgage Trust,

 

     

Series 2010-C1, Class A2

 

     

4.39%

      11/15/43 2         61,259          61,405  

Wells Fargo Commercial Mortgage Trust,

 

     

Series 2016-C34, Class A2

 

     

2.60%

      06/15/49          550,000          553,216  

Wells Fargo Commercial Mortgage Trust,

 

     

Series 2016-C36, Class A2

 

     

2.50%

      11/15/59          210,000          212,297  

Wells Fargo Commercial Mortgage Trust,

 

     

Series 2016-LC24, Class A2

 

     

2.50%

      10/15/49          244,593          246,098  

WF-RBS Commercial Mortgage Trust,

 

     

Series 2011-C5, Class XA (IO)

 

     

1.84%

      11/15/44 2,3         6,996,149          102,588  

WF-RBS Commercial Mortgage Trust,

 

     

Series 2012-C9, Class XA (IO)

 

     

2.05%

      11/15/45 2,3         1,460,117          50,948  
    

 

 

  
       6,294,215  
    

 

 

  

Non-Agency Mortgage-Backed — 6.99%

 

     

Aames Mortgage Investment Trust,

 

     

Series 2006-1, Class A4

 

     

(LIBOR USD 1-Month plus 0.56%)

 

     

0.74%

      04/25/36 1         479,922          460,220  
Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Mortgage-Backed

 

     

(continued)

 

     

Aames Mortgage Trust,

 

     

Series 2002-1, Class A3

 

     

(STEP-reset date 08/25/20)

 

     

7.40%

      06/25/32        $ 18,652        $ 18,856  

Adjustable Rate Mortgage Trust,

 

     

Series 2005-1, Class 1A1

 

     

3.99%

      05/25/35 3         52,349          52,066  

Ajax Mortgage Loan Trust,

 

     

Series 2019-F, Class A1

 

     

(STEP-reset date 07/25/20)

 

     

2.86%

      07/25/59 2         325,679          334,202  

Alternative Loan Trust,

 

     

Series 2004-J6, Class 2A1

 

     

6.50%

      11/25/31          57,893          60,651  

Banc of America Funding Trust,

 

     

Series 2003-2, Class 1A1

 

     

6.50%

      06/25/32          4,471          4,644  

Carrington Mortgage Loan Trust,

 

     

Series 2005-NC4, Class M2

 

     

(LIBOR USD 1-Month plus 0.50%)

 

     

0.68%

      09/25/35 1         655,641          654,163  

Centex Home Equity Loan Trust,

 

     

Series 2006-A, Class AV4

 

     

(LIBOR USD 1-Month plus 0.25%)

 

     

0.43%

      06/25/36 1         418,323          410,782  

Citigroup Mortgage Loan Trust, Inc.,

 

     

Series 2004-HYB1, Class A41

 

     

2.93%

      02/25/34 3         13,619          13,587  

Citigroup Mortgage Loan Trust, Inc.,

 

     

Series 2006-WFH2, Class A3

 

     

(LIBOR USD 1-Month plus 0.22%)

 

     

0.40%

      08/25/36 1         128,294          126,476  

Citigroup Mortgage Loan Trust, Inc.,

 

     

Series 2007-AMC4, Class A2D

 

     

(LIBOR USD 1-Month plus 0.27%)

 

     

0.45%

      05/25/37 1         500,000          466,753  

Credit Suisse First Boston Mortgage

 

     

Securities Corp., Series 2002-AR31,

 

     

Class 4A2

 

     

4.25%

      11/25/32 3         20,790          20,692  

Credit-Based Asset Servicing and

 

     

Securitization LLC, Series 2005-CB4,

 

     

Class M4

 

     

(LIBOR USD 1-Month plus 0.60%)

 

     

0.78%

      07/25/35 1         1,000,000          958,849  

DSLA Mortgage Loan Trust,

 

     

Series 2004-AR3, Class 2A2A

 

     

(LIBOR USD 1-Month plus 0.74%)

 

     

0.93%

      07/19/44 1         124,781          114,163  

GE Mortgage Services LLC,

 

     

Series 1998-HE1, Class A7

 

     

6.47%

      06/25/28          2          2  
 

 

4 /  June 2020

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Mortgage-Backed

 

     

(continued)

 

     

GSAA Home Equity Trust,

 

     

Series 2005-MTR1, Class A4

 

     

(LIBOR USD 1-Month plus 0.37%)

 

     

0.55%

      10/25/35 1       $ 504,917        $ 494,178  

HomeBanc Mortgage Trust,

 

     

Series 2005-4, Class A1

 

     

(LIBOR USD 1-Month plus 0.27%)

 

     

0.45%

      10/25/35 1         581,554          582,696  

HSI Asset Securitization Corp. Trust,

 

     

Series 2006-OPT1, Class M1

 

     

(LIBOR USD 1-Month plus 0.36%)

 

     

0.54%

      12/25/35 1         295,000          282,630  

IndyMac Index Mortgage Loan Trust,

 

     

Series 2004-AR12, Class A1

 

     

(LIBOR USD 1-Month plus 0.78%)

 

     

0.96%

      12/25/34 1         374,255          300,550  

IndyMac Index Mortgage Loan Trust,

 

     

Series 2004-AR6, Class 6A1

 

     

3.80%

      10/25/34 3         115,322          109,997  

JPMorgan Mortgage Acquisition Trust,

 

     

Series 2006-CH1, Class M1

 

     

(LIBOR USD 1-Month plus 0.22%)

 

     

0.40%

      07/25/36 1         649,579          647,588  

JPMorgan Mortgage Acquisition Trust,

 

     

Series 2006-NC2, Class A5

 

     

(LIBOR USD 1-Month plus 0.25%)

 

     

0.43%

      07/25/36 1         437,650          424,453  

JPMorgan Mortgage Trust, Series 2005-A2,

 

     

Class 9A1

 

     

3.86%

      04/25/35 3         173,137          167,774  

MASTR Adjustable Rate Mortgages Trust,

 

     

Series 2004-12, Class 5A1

 

     

4.58%

      10/25/34 3         157,994          157,994  

MASTR Adjustable Rate Mortgages Trust,

 

     

Series 2004-5, Class 3A1

 

     

4.12%

      06/25/34 3         5,782          5,964  

MASTR Seasoned Securitization Trust,

 

     

Series 2004-1, Class 4A1

 

     

4.46%

      10/25/32 3         37,990          37,070  

Merrill Lynch Mortgage Investors Trust,

 

     

Series 2003-A1, Class 2A

 

     

(LIBOR USD 12-Month plus 1.63%)

 

     

2.30%

      12/25/32 1         156,051          146,159  

Morgan Stanley ABS Capital I Trust,

 

     

Series 2006-NC1, Class A4

 

     

(LIBOR USD 1-Month plus 0.30%)

 

     

0.48%

      12/25/35 1         2,907          2,868  

Nomura Resecuritization Trust,

 

     

Series 2014-8R, Class 2A1

 

     

3.00%

      09/26/35 2,3         769,753          769,753  
Issues    Maturity
Date		      Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Mortgage-Backed

 

     

(continued)

 

     

Nomura Resecuritization Trust,

 

     

Series 2015-9R, Class 2A1

 

     

(STEP-reset date 08/25/20)

 

     

3.00%

      05/25/36 2     $ 996,772        $ 997,563  

Option One Mortgage Loan Trust,

 

     

Series 2005-4, Class M1

 

     

(LIBOR USD 1-Month plus 0.66%)

 

     

0.84%

      11/25/35 1       921,097          914,604  

Residential Asset Mortgage Products Trust,

 

     

Series 2004-SL1, Class A2

 

     

8.50%

      11/25/31        34,570          11  

Residential Asset Securities Corp.,

 

     

Series 2006-KS3, Class M1

 

     

(LIBOR USD 1-Month plus 0.33%)

 

     

0.51%

      04/25/36 1       780,000          749,838  

Residential Asset Securitization Trust,

 

     

Series 2004-IP2, Class 2A1

 

     

3.89%

      12/25/34 3       83,543          79,781  

Soundview Home Loan Trust,

 

     

Series 2006-1, Class A4

 

     

(LIBOR USD 1-Month plus 0.30%)

 

     

0.48%

      02/25/36 1       876,641          860,803  

Structured Asset Investment Loan Trust,

 

     

Series 2005-HE3, Class M1

 

     

(LIBOR USD 1-Month plus 0.72%)

 

     

0.90%

      09/25/35 1       554,920          548,495  

Structured Asset Securities Corp. Mortgage

 

     

Loan Trust, Series 2006-EQ1A, Class A1

 

     

(LIBOR USD 1-Month plus 0.14%)

 

     

0.32%

      07/25/36 1,2       504,170          471,142  

Structured Asset Securities Corp. Mortgage

 

     

Loan Trust, Series 2006-OPT1, Class A1

 

     

(LIBOR USD 1-Month plus 0.18%)

 

     

0.36%

      04/25/36 1       779,588          746,487  

Terwin NIMs Trust, Series 2004-13AL,

 

     

Class 2PX (IO)

 

     

0.34%

      08/25/34 2,5,6       1,670,200          24,359  

WaMu Mortgage Pass-Through Certificates,

 

     

Series 2002-AR6, Class A

 

     

(Federal Reserve US 12-Month Cumulative

 

     

Average plus 1.40%)

 

     

2.90%

      06/25/42 1       23,104          21,470  

WaMu Mortgage Pass-Through Certificates,

 

     

Series 2003-AR6, Class A1

 

     

3.10%

      06/25/33 3       52,548          51,856  

WaMu Mortgage Pass-Through Certificates,

 

     

Series 2005-4, Class CB13

 

     

(LIBOR USD 1-Month plus 0.50%)

 

     

0.68%

      06/25/35 1       146,171          117,802  
          

 

 

  
       13,409,991  
          

 

 

  
 

 

June 2020 / 5

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

U.S. Agency Commercial

 

     

Mortgage-Backed — 3.17%

 

     

Fannie Mae-Aces, Series 2012-M4,

 

     

Class X1 (IO)

 

     

0.53%

      04/25/22 3       $ 3,666,171        $ 15,199  

Fannie Mae-Aces, Series 2016-M11,

 

     

Class AL

 

     

2.94%

      07/25/39          323,760          332,014  

Fannie Mae-Aces, Series 2018-M1,

 

     

Class A1

 

     

3.08%

      12/25/27 3         398,169          425,426  

Fannie Mae-Aces, Series 2020-M10,

 

     

Class X1 (IO)

 

     

1.92%

      12/25/30 3         204,944          30,429  

Fannie Mae-Aces, Series 2020-M10,

 

     

Class X9 (IO)

 

     

0.99%

      12/25/27 3         205,682          9,279  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series J22F,

 

     

Class A1

 

     

3.45%

      05/25/23          88,436          89,777  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K021,

 

     

Class X1 (IO)

 

     

1.55%

      06/25/22 3         9,137,815          201,365  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KJ17,

 

     

Class A1

 

     

2.40%

      10/25/24          48,492          49,365  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KJ24,

 

     

Class A1

 

     

2.28%

      05/25/26          598,476          630,148  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KJ26,

 

     

Class A1

 

     

2.14%

      07/25/25          1,097,510          1,136,316  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KJ28,

 

     

Class A1

 

     

1.77%

      02/25/25          258,000          265,039  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KJ29,

 

     

Class A1

 

     

0.74%

      01/25/26          920,000          928,103  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KS07,

 

     

Class X (IO)

 

     

0.78%

      09/25/25 3         3,500,000          104,641  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series Q004,

 

     

Class A2H

 

     

2.95%

      01/25/46 3         195,117          196,085  
Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

U.S. Agency Commercial

 

     

Mortgage-Backed (continued)

 

     

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series Q004,

 

     

Class AFL

 

     

(Federal Reserve US 12-Month Cumulative

 

     

Average plus 0.74%)

 

     

2.24%

      05/25/44 1       $ 254,809        $ 254,891  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series Q010,

 

     

Class APT1

 

     

2.94%

      04/25/46 3         319,129          324,530  

Ginnie Mae, Series 2007-12, Class C

 

     

5.28%

      04/16/41 3         239,133          242,263  

Ginnie Mae, Series 2008-92, Class E

 

     

5.56%

      03/16/44 3         196,617          200,789  

Ginnie Mae, Series 2010-159, Class D

 

     

4.29%

      09/16/44 3         492,087          511,781  

Ginnie Mae, Series 2011-165, Class IO (IO)

 

     

0.34%

      10/16/51 3         7,875,902          40,589  

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

 

     

0.61%

      01/16/53 3         3,061,414          93,029  
    

 

 

  
       6,081,058  
    

 

 

  

U.S. Agency Mortgage-Backed — 6.47%

 

     

Fannie Mae Pool 254548

 

     

5.50%

      12/01/32          97,249          110,311  

Fannie Mae Pool 468764

 

     

4.16%

      07/01/21          630,000          637,504  

Fannie Mae Pool 555098

 

     

(LIBOR USD 12-Month plus 1.51%)

 

     

3.56%

      11/01/32 1         13,605          13,671  

Fannie Mae Pool 555424

 

     

5.50%

      05/01/33          63,941          73,848  

Fannie Mae Pool 567002

 

     

8.00%

      05/01/23          11,334          11,997  

Fannie Mae Pool 655133

 

     

7.00%

      08/01/32          6,490          6,894  

Fannie Mae Pool 655151

 

     

7.00%

      08/01/32          12,702          13,651  

Fannie Mae Pool 762525

 

     

6.50%

      11/01/33          20,239          22,899  

Fannie Mae Pool 770900

 

     

(LIBOR USD 12-Month plus 1.55%)

 

     

3.30%

      04/01/34 1         110,528          113,561  

Fannie Mae Pool AD0538

 

     

6.00%

      05/01/24          29,387          30,971  

Fannie Mae Pool AE0443

 

     

6.50%

      10/01/39          70,378          82,404  

Fannie Mae Pool AL0851

 

     

6.00%

      10/01/40          65,190          77,783  
 

 

6 /  June 2020

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

U.S. Agency Mortgage-Backed

 

     

(continued)

 

     

Fannie Mae Pool AM4580

 

     

3.43%

      10/01/23        $ 481,674        $ 514,223  

Fannie Mae REMICS, Series 1993-80,

 

     

Class S

 

     

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

 

     

10.65%

      05/25/23 1         482          539  

Fannie Mae REMICS, Series 2001-42,

 

     

Class SB

 

     

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

 

8.50%

      09/25/31 1         1,186          1,370  

Fannie Mae REMICS, Series 2001-60,

 

     

Class OF

 

     

(LIBOR USD 1-Month plus 0.95%)

 

     

1.13%

      10/25/31 1         92,096          93,716  

Fannie Mae REMICS, Series 2002-30,

 

     

Class FB

 

     

(LIBOR USD 1-Month plus 1.00%)

 

     

1.18%

      08/25/31 1         106,772          108,424  

Fannie Mae REMICS, Series 2003-124,

 

     

Class TS

 

     

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

 

9.80%

      01/25/34 1         14,348          17,534  

Fannie Mae REMICS, Series 2004-60,

 

     

Class FW

 

     

(LIBOR USD 1-Month plus 0.45%)

 

     

0.63%

      04/25/34 1         328,477          328,873  

Fannie Mae REMICS, Series 2004-96,

 

     

Class MT

 

     

(-17.15 X LIBOR USD 1-Month plus 125.13%, 7.00% Cap)

 

7.00%

      12/25/34 1         10,049          12,095  

Fannie Mae REMICS, Series 2005-114,

 

     

Class PF

 

     

(LIBOR USD 1-Month plus 0.38%)

 

     

0.56%

      08/25/35 1         165,346          165,357  

Fannie Mae REMICS, Series 2005-73,

 

     

Class DF

 

     

(LIBOR USD 1-Month plus 0.25%)

 

     

0.43%

      08/25/35 1         180,881          180,277  

Fannie Mae REMICS, Series 2006-84,

 

     

Class WF

 

     

(LIBOR USD 1-Month plus 0.30%)

 

     

0.48%

      02/25/36 1         7,400          7,397  

Fannie Mae REMICS, Series 2007-68,

 

     

Class SC (IO)

 

     

(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap)

 

     

6.52%

      07/25/37 1         95,282          22,647  

Fannie Mae REMICS, Series 2009-111,

 

     

Class DA

 

     

5.00%

      12/25/39          3,294          3,317  
Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

U.S. Agency Mortgage-Backed

 

     

(continued)

 

     

Fannie Mae REMICS, Series 2010-109,

 

     

Class PF

 

     

(LIBOR USD 1-Month plus 0.40%)

 

     

0.58%

      10/25/40 1       $ 66,829        $ 67,054  

Fannie Mae REMICS, Series 2010-26,

 

     

Class S (IO)

 

     

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

 

     

6.05%

      11/25/36 1         358,951          82,053  

Fannie Mae REMICS, Series 2011-47,

 

     

Class GF

 

     

(LIBOR USD 1-Month plus 0.57%)

 

     

0.75%

      06/25/41 1         119,047          119,894  

Fannie Mae REMICS, Series 2011-8,

 

     

Class PF

 

     

(LIBOR USD 1-Month plus 0.50%)

 

     

0.68%

      01/25/40 1         30,959          30,956  

Fannie Mae REMICS, Series 2012-19,

 

     

Class FP

 

     

(LIBOR USD 1-Month plus 0.50%)

 

     

0.68%

      12/25/39 1         355,943          357,493  

Fannie Mae REMICS, Series 2014-19,

 

     

Class FA

 

     

(LIBOR USD 1-Month plus 0.40%)

 

     

0.58%

      11/25/39 1         117,362          117,280  

Fannie Mae REMICS, Series 2018-79,

 

     

Class FA

 

     

(LIBOR USD 1-Month plus 0.25%)

 

     

0.43%

      11/25/48 1         95,332          94,412  

Fannie Mae REMICS, Series 2019-79,

 

     

Class FA

 

     

(LIBOR USD 1-Month plus 0.50%)

 

     

0.68%

      01/25/50 1         238,851          240,009  

Fannie Mae REMICS, Series 2020-10,

 

     

Class FA

 

     

(LIBOR USD 1-Month plus 0.50%)

 

     

0.68%

      03/25/50 1         1,082,330          1,086,197  

Freddie Mac Gold Pool C90474

 

     

7.00%

      08/01/21          3,448          3,524  

Freddie Mac REMICS, Series 1526,

 

     

Class L

 

     

6.50%

      06/15/23          1,036          1,099  

Freddie Mac REMICS, Series 2368,

 

     

Class AF

 

     

(LIBOR USD 1-Month plus 0.95%)

 

     

1.13%

      10/15/31 1         65,648          66,664  

Freddie Mac REMICS, Series 2733,

 

     

Class FB

 

     

(LIBOR USD 1-Month plus 0.60%)

 

     

0.78%

      10/15/33 1         642,328          647,832  
 

 

June 2020 / 7

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

U.S. Agency Mortgage-Backed

 

     

(continued)

 

     

Freddie Mac REMICS, Series 2763,

 

     

Class FC

 

     

(LIBOR USD 1-Month plus 0.35%)

 

     

0.53%

      04/15/32 1       $ 11,319        $ 11,316  

Freddie Mac REMICS, Series 2990,

 

     

Class LE

 

     

(LIBOR USD 1-Month plus 0.32%)

 

     

0.50%

      10/15/34 1         303,811          303,501  

Freddie Mac REMICS, Series 3066,

 

     

Class PF

 

     

(LIBOR USD 1-Month plus 0.30%)

 

     

0.48%

      04/15/35 1         212,579          212,560  

Freddie Mac REMICS, Series 3085,

 

     

Class FW

 

     

(LIBOR USD 1-Month plus 0.70%)

 

     

0.88%

      08/15/35 1         415,250          419,740  

Freddie Mac REMICS, Series 3196,

 

     

Class FA

 

     

(LIBOR USD 1-Month plus 0.35%)

 

     

0.53%

      04/15/32 1         220,369          220,341  

Freddie Mac REMICS, Series 3300,

 

     

Class FA

 

     

(LIBOR USD 1-Month plus 0.30%)

 

     

0.48%

      08/15/35 1         386,458          386,036  

Freddie Mac REMICS, Series 3325,

 

     

Class NF

 

     

(LIBOR USD 1-Month plus 0.30%)

 

     

0.48%

      08/15/35 1         77,634          77,549  

Freddie Mac REMICS, Series 3652,

 

     

Class PF

 

     

(LIBOR USD 1-Month plus 0.75%)

 

     

0.93%

      07/15/32 1         18,203          18,225  

Freddie Mac REMICS, Series 3767,

 

     

Class JF

 

     

(LIBOR USD 1-Month plus 0.30%)

 

     

0.48%

      02/15/39 1         132,701          132,811  

Freddie Mac REMICS, Series 3792,

 

     

Class DF

 

     

(LIBOR USD 1-Month plus 0.40%)

 

     

0.58%

      11/15/40 1         77,903          77,468  

Freddie Mac REMICS, Series 3806,

 

     

Class DF

 

     

(LIBOR USD 1-Month plus 0.40%)

 

     

0.58%

      08/15/25 1         61,923          61,860  

Freddie Mac REMICS, Series 3845,

 

     

Class FQ

 

     

(LIBOR USD 1-Month plus 0.25%)

 

     

0.43%

      02/15/26 1         151,760          151,797  
Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

U.S. Agency Mortgage-Backed

 

     

(continued)

 

     

Freddie Mac REMICS, Series 3879,

 

     

Class MF

 

     

(LIBOR USD 1-Month plus 0.35%)

 

     

0.53%

      09/15/38 1       $ 180,676        $ 180,835  

Freddie Mac REMICS, Series 3895,

 

     

Class BF

 

     

(LIBOR USD 1-Month plus 0.50%)

 

     

0.68%

      07/15/41 1         248,910          250,630  

Freddie Mac REMICS, Series 3907,

 

     

Class FM

 

     

(LIBOR USD 1-Month plus 0.35%)

 

     

0.53%

      05/15/26 1         86,778          87,106  

Freddie Mac REMICS, Series 3940,

 

     

Class PF

 

     

(LIBOR USD 1-Month plus 0.35%)

 

     

0.53%

      05/15/40 1         490,710          490,574  

Freddie Mac REMICS, Series 3946,

 

     

Class FG

 

     

(LIBOR USD 1-Month plus 0.35%)

 

     

0.53%

      10/15/39 1         247,330          247,107  

Freddie Mac REMICS, Series 4097,

 

     

Class TF

 

     

LIBOR USD 1-Month

 

     

0.58%

      05/15/39 1         114,140          114,250  

Freddie Mac Strips, Series 263,

 

     

Class F5

 

     

(LIBOR USD 1-Month plus 0.50%)

 

     

0.68%

      06/15/42 1         373,091          374,781  

Ginnie Mae II Pool 80546

 

     

(US Treasury Yield Curve Rate T Note

 

     

Constant Maturity 1 Year plus 1.50%)

 

     

3.13%

      10/20/31 1         7,778          8,161  

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         96,045          100,672  

Ginnie Mae II Pool 80614

 

     

(US Treasury Yield Curve Rate T Note

 

     

Constant Maturity 1 Year plus 1.50%)

 

     

3.25%

      07/20/32 1         10,607          11,130  

Ginnie Mae II Pool 80687

 

     

(US Treasury Yield Curve Rate T Note

 

     

Constant Maturity 1 Year plus 1.50%)

 

     

3.88%

      04/20/33 1         81,418          85,417  

Ginnie Mae II Pool 8339

 

     

(US Treasury Yield Curve Rate T Note

 

     

Constant Maturity 1 Year plus 1.50%)

 

     

3.13%

      12/20/23 1         8,659          8,894  
 

 

8 /  June 2020

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

U.S. Agency Mortgage-Backed

 

     

(continued)

 

     

Ginnie Mae II Pool 8684

 

     

(US Treasury Yield Curve Rate T Note

 

     

Constant Maturity 1 Year plus 1.50%)

 

     

3.25%

      08/20/25 1       $ 18,617        $ 19,169  

Ginnie Mae II Pool MA0331

 

     

(US Treasury Yield Curve Rate T Note

 

     

Constant Maturity 1 Year plus 1.50%)

 

     

3.25%

      08/20/42 1         92,985          95,545  

Ginnie Mae, Series 2002-72, Class FB

 

     

(LIBOR USD 1-Month plus 0.40%)

 

     

0.59%

      10/20/32 1         119,182          119,489  

Ginnie Mae, Series 2002-72, Class FC

 

     

(LIBOR USD 1-Month plus 0.40%)

 

     

0.59%

      10/20/32 1         175,807          176,259  

Ginnie Mae, Series 2003-42, Class FA

 

     

(LIBOR USD 1-Month plus 0.40%)

 

     

0.60%

      07/16/31 1         597,450          597,752  

Ginnie Mae, Series 2004-2, Class FW

 

     

(LIBOR USD 1-Month plus 1.40%)

 

     

1.57%

      01/16/34 1         487,898          500,055  

Ginnie Mae, Series 2009-92, Class FC

 

     

(LIBOR USD 1-Month plus 0.80%)

 

     

1.00%

      10/16/39 1         133,090          135,121  

Ginnie Mae, Series 2010-19, Class FD

 

     

(LIBOR USD 1-Month plus 0.45%)

 

     

0.65%

      07/16/39 1         54,416          54,772  

Ginnie Mae, Series 2011-70, Class IL (IO)

 

     

(-1.00 X LIBOR USD 1-Month plus 7.10%, 7.10% Cap)

 

0.60%

      06/16/37 1         1,828,880          26,919  

Ginnie Mae, Series 2012-10, Class FP

 

     

(LIBOR USD 1-Month plus 0.30%)

 

     

0.49%

      01/20/41 1         8          8  

Ginnie Mae, Series 2012-13, Class KF

 

     

(LIBOR USD 1-Month plus 0.30%)

 

     

0.49%

      07/20/38 1         39,825          39,823  

NCUA Guaranteed Notes Trust,

 

     

Series 2010-R1, Class 1A

 

     

(LIBOR USD 1-Month plus 0.45%)

 

     

0.62%

      10/07/20 1         608,755          606,358  

NCUA Guaranteed Notes Trust,

 

     

Series 2010-R3, Class 1A

 

     

(LIBOR USD 1-Month plus 0.56%)

 

     

0.73%

      12/08/20 1         457,539          456,762  
    

 

 

  
       12,426,523  
    

 

 

  

Total Mortgage-Backed

 

     

(Cost $38,123,061)

 

        38,211,787  
    

 

 

  
Issues    Maturity
Date		        Principal
Amount		        Value  

U.S. TREASURY SECURITIES — 10.29%

 

     

U.S. Treasury Notes — 10.29%

 

     

U.S. Treasury Floating Rate Notes

 

     

0.37%

      07/31/21 1       $ 10,100,000        $ 10,122,774  

U.S. Treasury Notes

 

     

0.25%

      05/31/25          2,045,000          2,042,763  

0.25%

      06/30/25          510,000          509,064  

1.13%

      09/30/21          7,000,000          7,084,219  
    

 

 

  

Total U.S. Treasury Securities

 

     

(Cost $19,681,497)

 

        19,758,820  
    

 

 

  

Total Bonds – 44.33%

 

     

(Cost $84,915,305)

 

        85,101,029  
    

 

 

  
            
Issues    Maturity
Date		        Principal
Amount/Shares		        Value  

SHORT-TERM INVESTMENTS — 54.86%

 

     

Commercial Paper — 0.16%

 

     

Ford Motor Credit Co. LLC

 

     

2.88%7

      01/08/21          150,000          146,127  

3.20%7

      10/08/20          165,000          163,635  
    

 

 

  
       309,762  
    

 

 

  

Money Market Funds — 4.62%

 

     

Dreyfus Government Cash Management

 

     

Fund

 

     

8.42%8

 

        8,832,000          8,832,000  

Fidelity Investments Money Market Funds -

 

     

Government Portfolio

 

     

5.23%8

 

        41,690          41,690  
    

 

 

  
       8,873,690  
    

 

 

  

U.S. Treasury Bills — 50.08%

 

     

U.S. Cash Management Bills

 

     

0.16%7

      11/03/20          5,000,000          4,997,135  

0.17%7

      11/10/20          3,000,000          2,998,185  

0.19%7

      09/22/20          11,000,000          10,996,409  

U.S. Cash Management Bills (WI)

 

     

0.15%7

      10/27/20          10,000,000          9,995,739  

U.S. Treasury Bills

 

     

0.12%7

      10/08/20          7,200,000          7,197,129  

0.14%7

      10/22/20          7,200,000          7,196,610  

0.14%7

      11/05/20          13,000,000          12,993,121  

0.14%7

      11/19/20          2,500,000          2,498,507  

0.16%7

      11/27/20          3,000,000          2,998,013  

0.17%7

      10/15/20          11,000,000          10,994,980  

0.18%7

      12/03/20          11,000,000          10,993,133  

0.29%7,9

      09/10/20          68,000          67,983  

1.51%7

      07/16/20          1,200,000          1,199,941  
 

 

June 2020 / 9

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount/Shares		        Value  

SHORT-TERM INVESTMENTS (continued)

 

     

U.S. Treasury Bills (continued)

 

     

U.S. Treasury Bills (WI)

 

     

0.17%7

      09/08/20          $11,000,000        $ 10,996,915  
    

 

 

  
       96,123,800  
    

 

 

  

Total Short-Term Investments

 

     

(Cost $105,305,392)

 

        105,307,252  
    

 

 

  

Total Investments – 99.19%

 

     

(Cost $190,220,697)

 

        190,408,281  
    

 

 

  

Cash and Other Assets, Less

 

     

Liabilities – 0.81%

 

        1,547,329  
    

 

 

  

Net Assets – 100.00%

 

      $ 191,955,610  
    

 

 

  

 

1 

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

 

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 

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.

 

4 

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

5 

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

 

6 

Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $24,359, which is 0.01% of total net assets.

 

7 

Represents annualized yield at date of purchase.

 

8 

Represents the current yield as of June 30, 2020.

 

9 

Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $67,983.

 

*

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.

(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
  (Depreciation)  

FUTURES CONTRACTS: SHORT POSITIONS

                       

U.S. Treasury Five Year Note

        93        09/30/20      $ (11,694,023 )     $ (30,000 )     $ (30,000 )
              

 

 

      

 

 

      

 

 

  

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.

 

10 /  June 2020

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

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

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

Fair Value Measurements:

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

* Level 1 - unadjusted quoted prices in active markets for identical securities

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

* Level 3 - significant unobservable inputs that are not corroborated by observable market data

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

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

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

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

June 2020 / 11

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

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:

 

    ULTRA SHORT BOND FUND    LEVEL 1     LEVEL 2      LEVEL 3      TOTAL  
                          

Investments in Securities

                       

Assets

                       

Short-Term Investments:

                       

Commercial Paper

                    $ —                       $ 309,762                      $ —                        $ 309,762  

Money Market Funds

         8,873,690          —             —             8,873,690  

U.S. Treasury Bills

         96,123,800          —             —             96,123,800  

Long-Term Investments:

                       

Asset-Backed Securities

         —            6,532,869           —             6,532,869  

Corporates

         —            20,597,553           —             20,597,553  

Mortgage-Backed

         —            38,187,428           24,359           38,211,787  

U.S. Treasury Securities

         19,758,820          —             —             19,758,820  

Other Financial Instruments *

                       

Liabilities:

                       

Interest rate contracts

         (30,000 )         —             —             (30,000 ) 
     

 

 

       

 

 

        

 

 

        

 

 

  

Total

       $ 124,726,310        $ 65,627,612         $ 24,359         $ 190,378,281  
     

 

 

       

 

 

        

 

 

        

 

 

  

*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.

For the period ended June 30, 2020, 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:

 

    ULTRA SHORT

    BOND FUND

 MORTGAGE-BACKED
SECURITIES		    

Balance as of

April 1, 2020

 $ 24,861

Accrued discounts/premiums

   (1,442 )

Realized gain/(loss)

   —  

Change in unrealized appreciation*

   940

Purchases

   —  

Sales

   —  

Transfers into Level 3**

   —  

Transfers out of Level 3**

   —  

 

 

  

Balance as of

June 30, 2020

 $ 24,359

 

 

  

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2020 was $940 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.

 

12 /  June 2020

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

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

 

    ULTRA SHORT BOND FUND    FAIR VALUE
AT 6/30/20		    VALUATION
TECHNIQUE*		   

UNOBSERVABLE

INPUT

    RANGE        WEIGHTED    
AVERAGE

Mortgage-Backed Securities - Non- Agency

    $24,359    Third-party Vendor    Vendor Prices    $1.46    $1.46

* 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