NPORT-EX 2 MW80MWStrategicIncomeFund.htm DOS

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		        Value  

BONDS – 91.57%

 

     

ASSET-BACKED SECURITIES — 11.69%**

 

     

Atrium XII, Series 12A, Class AR

 

     

(Cayman Islands)

 

     

(LIBOR USD 3-Month plus 0.83%)

 

     

1.93%

      04/22/27 1,2,3    $ 163,647        $ 161,169  

Bayview Commercial Asset Trust,

 

     

Series 2004-3, Class A1

 

     

(LIBOR USD 1-Month plus 0.56%)

 

     

0.74%

      01/25/35 2,3      133,051          123,412  

Cedar Funding II CLO Ltd., Series 2013-1A,

 

     

Class A1R (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 1.23%)

 

     

1.54%

      06/09/30 1,2,3      250,000          246,690  

Corevest American Finance Trust,

 

     

Series 2019-1, Class XA (IO)

 

     

2.35%

      03/15/52 3,4      582,699          46,603  

Corevest American Finance Trust,

 

     

Series 2020-1, Class A2

 

     

2.30%

      03/15/50 3      140,000          133,232  

Crystal River CDO, Series 2005-1A,

 

     

Class A (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 0.36%)

 

     

2.68%

      03/02/46 1,2,3,5,6      419,900          44,242  

Dryden 30 Senior Loan Fund,

 

     

Series 2013-30A, Class AR

 

     

(Cayman Islands)

 

     

(LIBOR USD 3-Month plus 0.82%)

 

     

1.21%

      11/15/28 1,2,3      250,000          246,047  

Eaton Vance CLO Ltd., Series 2013-1A,

 

     

Class A1RR (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 1.16%)

 

     

2.38%

      01/15/28 1,2,3      85,000          83,684  

Flagship CLO VIII Ltd., Series 2014-8A,

 

     

Class ARR (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 0.85%)

 

     

2.03%

      01/16/26 1,2,3      45,089          44,899  

Global SC Finance II SRL, Series 2014-1A,

 

     

Class A2 (Barbados)

 

     

3.09%

      07/17/29 1,3      124,542          122,376  

Nelnet Student Loan Trust, Series 2015-3A,

 

     

Class A3

 

     

(LIBOR USD 1-Month plus 0.90%)

 

     

1.08%

      06/25/54 2,3      290,000          274,199  

Neuberger Berman CLO XVI-S Ltd.,

 

     

Series 2017-16SA, Class A

 

     

(Cayman Islands)

 

     

(LIBOR USD 3-Month plus 0.85%)

 

     

2.07%

      01/15/28 1,2,3      245,210          241,905  

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      100,000          97,052  
Issues    Maturity
Date		      Principal
Amount		        Value  

ASSET-BACKED SECURITIES (continued)

 

     

Panthera Aviation, Series 2013-1

 

     

10.00%

       01/25/22 5,6,†     $ 338,214        $ 33,821  

Scholar Funding Trust, Series 2012-B,

 

     

Class A2

 

     

(LIBOR USD 1-Month plus 1.10%)

 

     

1.28%

      03/28/46 2,3       685,081          665,544  

SLC Student Loan Trust, Series 2004-1,

 

     

Class B

 

     

(LIBOR USD 3-Month plus 0.29%)

 

     

0.68%

      08/15/31 2       161,682          137,313  

SLM Student Loan Trust, Series 2004-2,

 

     

Class B

 

     

(LIBOR USD 3-Month plus 0.47%)

 

     

1.46%

      07/25/39 2       316,838          282,693  

SLM Student Loan Trust, Series 2004-3A,

 

     

Class A6A

 

     

(LIBOR USD 3-Month plus 0.55%)

 

     

1.54%

      10/25/64 2,3       258,911          246,449  

SLM Student Loan Trust, Series 2005-9,

 

     

Class B

 

     

(LIBOR USD 3-Month plus 0.30%)

 

     

1.29%

      01/25/41 2       242,840          211,747  

SLM Student Loan Trust, Series 2007-7,

 

     

Class B

 

     

(LIBOR USD 3-Month plus 0.75%)

 

     

1.74%

      10/27/70 2       215,000          190,215  

SLM Student Loan Trust, Series 2008-1,

 

     

Class A4

 

     

(LIBOR USD 3-Month plus 0.65%)

 

     

1.64%

      01/25/22 2       181,508          168,001  

SLM Student Loan Trust, Series 2008-2,

 

     

Class B

 

     

(LIBOR USD 3-Month plus 1.20%)

 

     

2.19%

      01/25/83 2       340,000          288,185  

SLM Student Loan Trust, Series 2008-3,

 

     

Class B

 

     

(LIBOR USD 3-Month plus 1.20%)

 

     

2.19%

      04/26/83 2       340,000          308,924  

SLM Student Loan Trust, Series 2008-4,

 

     

Class B

 

     

(LIBOR USD 3-Month plus 1.85%)

 

     

2.84%

      04/25/73 2       340,000          296,060  

SLM Student Loan Trust, Series 2008-5,

 

     

Class B

 

     

(LIBOR USD 3-Month plus 1.85%)

 

     

2.84%

      07/25/73 2       235,000          193,057  
 

 

June 2020 / 1

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		      Principal
Amount		        Value  

ASSET-BACKED SECURITIES (continued)

 

     

SLM Student Loan Trust, Series 2008-6,

 

     

Class B

 

     

(LIBOR USD 3-Month plus 1.85%)

 

     

2.84%

      07/26/83 2     $ 340,000        $ 283,971  

SLM Student Loan Trust, Series 2008-7,

 

     

Class B

 

     

(LIBOR USD 3-Month plus 1.85%)

 

     

2.84%

      07/26/83 2       340,000          298,934  

SLM Student Loan Trust, Series 2008-8,

 

     

Class B

 

     

(LIBOR USD 3-Month plus 2.25%)

 

     

3.24%

      10/25/75 2       340,000          329,075  

Store Master Funding, Series 2019-1,

 

     

Class A2

 

     

3.65%

      11/20/49 3       113,619          108,961  

Structured Receivables Finance LLC,

 

     

Series 2010-A, Class B

 

     

7.61%

      01/16/46 3       300,870          337,040  

Structured Receivables Finance LLC,

 

     

Series 2010-B, Class B

 

     

7.97%

      08/15/36 3       311,639          366,292  

Treman Park CLO Ltd., Series 2015-1A,

 

     

Class ARR (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 1.07%)

 

     

2.21%

      10/20/28 1,2,3       450,000          442,525  

Wachovia Student Loan Trust,

 

     

Series 2006-1, Class A6

 

     

(LIBOR USD 3-Month plus 0.17%)

 

     

1.16%

      04/25/40 2,3       259,510          245,244  
          

 

 

  

Total Asset-Backed Securities

 

     

(Cost $8,249,065)

 

        7,299,561  
          

 

 

  

CORPORATES — 36.89%*

 

     

Banking — 1.82%

 

     

Bank of America Corp. (MTN)

 

     

2.88%

      10/22/30 4       55,000          59,551  

4.08%

      03/20/51 4       115,000          142,780  

Comerica, Inc.

 

     

5.63%

      10/01/68 4       45,000          45,787  

JPMorgan Chase & Co.

 

     

2.18%

      06/01/28 4       120,000          124,373  

3.20%

      06/15/26        75,000          83,312  

Santander UK Group Holdings PLC

 

     

(United Kingdom)

 

     

3.37%

      01/05/24 1,4       200,000          210,070  

4.80%

      11/15/24 1,4       75,000          83,055  

Wells Fargo & Co.

 

     

3.07%

      04/30/41 4       90,000          94,228  

Wells Fargo & Co. (MTN)

 

     

2.39%

      06/02/28 4       75,000          77,565  

2.88%

      10/30/30 4       200,000          213,988  
          

 

 

  
       1,134,709  
          

 

 

  
Issues    Maturity
Date		      Principal
Amount		        Value  

CORPORATES (continued)

 

     

Communications — 5.15%

 

     

AT&T, Inc.

 

     

4.80%

      06/15/44      $ 350,000        $ 412,348  

4.90%

      08/15/37        205,000          246,956  

5.25%

      03/01/37        60,000          75,234  

CCO Holdings LLC/CCO Holdings Capital Corp.

 

     

4.50%

      08/15/30 3       127,000          130,810  

4.50%

      05/01/32 3       36,000          36,552  

5.38%

      06/01/29 3       80,000          84,491  

CenturyLink, Inc.

 

     

4.00%

      02/15/27 3       24,000          23,344  

CSC Holdings LLC

 

     

5.38%

      02/01/28 3       5,000          5,240  

6.50%

      02/01/29 3       117,000          128,188  

Intelsat Jackson Holdings SA (Luxembourg)7

 

     

8.50%

      10/15/24 1,3,8       180,000          110,025  

9.75%

      07/15/25 1,3,8       71,000          43,732  

Koninklijke KPN NV (Netherlands)

 

     

8.38%

      10/01/30 1       40,000          58,587  

Level 3 Financing, Inc.

 

     

4.63%

      09/15/27 3       45,000          45,466  

5.38%

      01/15/24        40,000          40,650  

5.38%

      05/01/25        16,000          16,500  

Qwest Corp.

 

     

7.25%

      09/15/25        70,000          79,625  

SES GLOBAL Americas Holdings GP

 

     

5.30%

      03/25/44 3       200,000          199,471  

Sirius XM Radio, Inc.

 

     

3.88%

      08/01/22 3       75,000          75,758  

Sprint Corp.

 

     

7.88%

      09/15/23        107,000          120,642  

Sprint Spectrum Co. LLC/Sprint Spectrum

 

     

Co. II LLC/Sprint Spectrum Co. III LLC

 

     

4.74%

      03/20/25 3       230,000          250,439  

Time Warner Cable LLC

 

     

5.50%

      09/01/41        230,000          278,327  

T-Mobile USA, Inc.

 

     

2.55%

      02/15/31 3       155,000          155,933  

4.50%

      02/01/26        45,000          45,949  

4.75%

      02/01/28        45,000          47,763  

6.00%

      04/15/24        108,000          110,680  

Virgin Media Secured Finance PLC

 

     

(United Kingdom)

 

     

5.50%

      05/15/29 1,3       120,000          125,617  

Vodafone Group PLC (United Kingdom)

 

     

4.25%

      09/17/50 1       10,000          11,718  

4.88%

      06/19/49 1       48,000          60,765  

5.25%

      05/30/48 1       40,000          52,323  
 

 

2 / June 2020

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Communications (continued)

 

     

Walt Disney Co. (The)

 

     

2.65%

      01/13/31        $ 45,000        $ 47,890  

3.60%

      01/13/51          85,000          95,135  
    

 

 

  
       3,216,158  
    

 

 

  

Consumer Discretionary — 1.40%

 

     

Anheuser-Busch InBev Worldwide, Inc.

 

     

4.50%

      06/01/50          140,000          166,696  

Bacardi Ltd. (Bermuda)

 

     

5.30%

      05/15/48 1,3         65,000          80,533  

BAT Capital Corp.

 

     

4.54%

      08/15/47          75,000          81,563  

Colt Merger Sub, Inc.

 

     

6.25%

      07/01/25 3         62,000          61,867  

Reynolds American, Inc.

 

     

5.85%

      08/15/45          260,000          320,889  

Reynolds Group Issuer, Inc./Reynolds Group

 

     

Issuer LLC/Reynolds Group Issuer

 

     

Luxembourg SA

 

     

(LIBOR USD 3-Month plus 3.50%)

 

     

4.72%

      07/15/21 2,3         165,000          164,227  
    

 

 

  
       875,775  
    

 

 

  

Electric — 1.60%

 

     

Dominion Energy, Inc., Series A

 

     

3.30%

      03/15/25          230,000          251,117  

Entergy Texas, Inc.

 

     

3.45%

      12/01/27          150,000          163,530  

Puget Energy, Inc.

 

     

6.00%

      09/01/21          250,000          263,825  

Southwestern Electric Power Co., Series K

 

     

2.75%

      10/01/26          300,000          319,802  
    

 

 

  
       998,274  
    

 

 

  

Energy — 5.44%

 

     

Antero Resources Corp.

 

     

5.00%

      03/01/25          149,000          88,376  

5.13%

      12/01/22          35,000          25,365  

BP Capital Markets America, Inc.

 

     

3.63%

      04/06/30          60,000          68,222  

Cheniere Energy Partners LP

 

     

5.25%

      10/01/25          50,000          49,885  

Chevron Corp.

 

     

2.24%

      05/11/30          90,000          94,687  

Energy Transfer Operating LP

 

     

3.75%

      05/15/30          25,000          24,915  

5.00%

      05/15/50          45,000          42,762  

5.50%

      06/01/27          3,000          3,349  

5.88%

      01/15/24          70,000          78,084  
Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Energy (continued)

 

     

Exxon Mobil Corp.

 

     

2.61%

      10/15/30        $ 90,000        $ 96,583  

4.23%

      03/19/40          55,000          66,285  

4.33%

      03/19/50          170,000          212,986  

Gulfport Energy Corp.

 

     

6.38%

      05/15/25          13,000          6,532  

KazMunayGas National Co. JSC,

 

     

Series REGS (Kazakhstan)

 

     

5.38%

      04/24/30 1         200,000          227,506  

Kinder Morgan Energy Partners LP

 

     

5.00%

      08/15/42          45,000          50,712  

Pertamina Persero PT (Indonesia)

 

     

3.10%

      08/25/30 1,3         200,000          201,810  

Petrobras Global Finance BV (Netherlands)

 

     

5.09%

      01/15/30 1,3         100,000          99,299  

Petroleos Mexicanos (Mexico)

 

     

5.95%

      01/28/31 1,3         90,000          74,281  

6.63%

      06/15/35 1         100,000          81,620  

6.75%

      09/21/47 1         50,000          38,531  

6.95%

      01/28/60 1,3         35,000          27,003  

Plains All American Pipeline LP/PAA

 

     

Finance Corp.

 

     

4.65%

      10/15/25          125,000          134,797  

Range Resources Corp.

 

     

4.88%

      05/15/25          47,000          35,543  

Rockies Express Pipeline LLC

 

     

4.80%

      05/15/30 3         100,000          93,380  

Ruby Pipeline LLC

 

     

7.00%

      04/01/22 3         136,364          127,811  

Saudi Arabian Oil Co.,

 

     

Series REGS (EMTN) (Saudi Arabia)

 

     

4.25%

      04/16/39 1         200,000          223,625  

Southern Co. Gas Capital Corp.

 

     

3.25%

      06/15/26          500,000          535,514  

Sunoco Logistics Partners Operations LP

 

     

5.40%

      10/01/47          174,000          171,334  

Targa Resources Partners LP/Targa

 

     

Resources Partners Finance Corp.

 

     

6.88%

      01/15/29          39,000          40,928  

Texas Eastern Transmission LP

 

     

2.80%

      10/15/22 3         150,000          153,469  

TransMontaigne Partners LP/

 

     

TLP Finance Corp.

 

     

6.13%

      02/15/26          35,000          33,906  

Transocean Pontus Ltd. (Cayman Islands)

 

     

6.13%

      08/01/25 1,3         34,235          30,127  

Transocean Poseidon Ltd. (Cayman Islands)

 

     

6.88%

      02/01/27 1,3         109,000          94,285  

Transocean Proteus Ltd. (Cayman Islands)

 

     

6.25%

      12/01/24 1,3         12,350          11,424  
 

 

June 2020 / 3

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Energy (continued)

 

     

USA Compression Partners LP/USA

 

     

Compression Finance Corp.

 

     

6.88%

      04/01/26        $ 32,000        $ 30,995  

6.88%

      09/01/27          22,000          21,031  
    

 

 

  
       3,396,962  
    

 

 

  

Entertainment — 0.05%

 

     

Live Nation Entertainment, Inc.

 

     

4.75%

      10/15/27 3         40,000          34,504  
    

 

 

  

Finance — 4.14%

 

     

AerCap Ireland Capital DAC/AerCap Global

 

     

Aviation Trust (Ireland)

 

     

3.30%

      01/23/23 1         60,000          58,716  

3.65%

      07/21/27 1         20,000          17,720  

3.88%

      01/23/28 1         40,000          36,102  

3.95%

      02/01/22 1         125,000          125,095  

4.13%

      07/03/23 1         75,000          73,426  

Air Lease Corp. (MTN)

 

     

2.30%

      02/01/25          100,000          95,842  

Avolon Holdings Funding Ltd.

 

     

(Cayman Islands)

 

     

2.88%

      02/15/25 1,3         75,000          63,282  

3.95%

      07/01/24 1,3         45,000          39,798  

5.13%

      10/01/23 1,3         61,000          56,498  

5.25%

      05/15/24 1,3         10,000          9,156  

Citigroup, Inc.

 

     

2.57%

      06/03/31 4         125,000          129,452  

Daimler Finance North America LLC

 

     

(LIBOR USD 3-Month plus 0.90%)

 

     

1.29%

      02/15/22 2,3         210,000          207,556  

Ford Motor Credit Co. LLC

 

     

3.16%

      08/04/20          275,000          275,344  

3.20%

      01/15/21          175,000          173,250  

3.81%

      10/12/21          55,000          54,673  

(LIBOR USD 3-Month plus 1.27%)

 

     

1.58%

      03/28/22 2         115,000          107,549  

GE Capital International Funding Co. (Ireland)

 

     

4.42%

      11/15/35 1         175,000          176,145  

General Motors Financial Co., Inc.

 

     

3.15%

      06/30/22          75,000          76,357  

3.20%

      07/06/21          25,000          25,281  

3.45%

      04/10/22          20,000          20,398  

3.55%

      04/09/21          95,000          96,154  

4.20%

      11/06/21          195,000          200,443  

4.38%

      09/25/21          25,000          25,682  

Goldman Sachs Group, Inc. (The)

 

     

2.60%

      02/07/30          30,000          31,569  

3.69%

      06/05/28 4         50,000          56,018  

3.81%

      04/23/29 4         75,000          85,114  
Issues    Maturity
Date		      Principal
Amount		        Value  

CORPORATES (continued)

 

     

Finance (continued)

 

     

Nationwide Building Society

 

     

(United Kingdom)

 

     

3.77%

      03/08/24 1,3,4     $ 85,000        $ 89,643  

Park Aerospace Holdings Ltd.

 

     

(Cayman Islands)

 

     

4.50%

      03/15/23 1,3       35,000          31,950  

5.25%

      08/15/22 1,3       50,000          46,957  

5.50%

      02/15/24 1,3       110,000          100,712  
    

 

 

  
       2,585,882  
    

 

 

  

Food — 1.53%

 

     

JBS USA LUX SA/JBS USA

 

     

Food Co./JBS USA Finance, Inc. (Canada)

 

     

5.50%

      01/15/30 1,3       5,000          5,133  

Kraft Heinz Foods Co.

 

     

4.88%

      10/01/49 3       215,000          223,037  

5.00%

      07/15/35        15,000          16,535  

5.00%

      06/04/42        439,000          463,157  

5.20%

      07/15/45        25,000          27,150  

7.13%

      08/01/39 3       35,000          44,115  

Kroger Co. (The)

 

     

4.45%

      02/01/47        20,000          24,570  

Pilgrim’s Pride Corp.

 

     

5.88%

      09/30/27 3       73,000          73,159  

Post Holdings, Inc.

 

     

4.63%

      04/15/30 3       45,000          44,129  

5.75%

      03/01/27 3       32,000          33,440  
    

 

 

  
       954,425  
    

 

 

  

Gaming — 0.32%

 

     

Churchill Downs, Inc.

 

     

4.75%

      01/15/28 3       125,000          120,914  

5.50%

      04/01/27 3       80,000          78,345  
    

 

 

  
       199,259  
    

 

 

  

Health Care — 6.08%

 

     

AbbVie, Inc.

 

     

3.20%

      11/21/29 3       50,000          55,240  

3.25%

      10/01/22 3       150,000          157,984  

3.60%

      05/14/25        50,000          55,324  

4.25%

      11/21/49 3       220,000          266,946  

4.45%

      05/14/46        61,000          74,781  

Amgen, Inc.

 

     

4.40%

      05/01/45        30,000          37,272  

Bausch Health Americas, Inc.

 

     

9.25%

      04/01/26 3       7,000          7,613  

Bausch Health Cos., Inc. (Canada)

 

     

7.00%

      03/15/24 1,3       110,000          114,353  
 

 

4 / June 2020

Strategic 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

 

     

4.25%

      12/15/25 3       $ 45,000        $ 51,739  

4.38%

      12/15/28 3         295,000          344,997  

4.63%

      06/25/38 3         110,000          134,395  

4.88%

      06/25/48 3         10,000          12,807  

Becton Dickinson and Co.

 

     

(LIBOR USD 3-Month plus 0.88%)

 

     

1.18%

      12/29/20 2         187,000          187,015  

Catalent Pharma Solutions, Inc.

 

     

4.88%

      01/15/26 3         75,000          76,407  

Centene Corp.

 

     

3.38%

      02/15/30          167,000          168,828  

4.63%

      12/15/29          85,000          89,887  

5.25%

      04/01/25 3         40,000          41,243  

Cigna Corp.

 

     

2.40%

      03/15/30          40,000          41,557  

CVS Health Corp.

 

     

5.05%

      03/25/48          185,000          242,404  

Elanco Animal Health, Inc.

 

     

5.65%

      08/28/28          160,000          178,108  

Encompass Health Corp.

 

     

4.75%

      02/01/30          119,000          113,846  

Fresenius U.S. Finance II, Inc.

 

     

4.25%

      02/01/21 3         150,000          152,652  

HCA, Inc.

 

     

4.75%

      05/01/23          30,000          32,563  

5.00%

      03/15/24          195,000          216,775  

5.25%

      04/15/25          12,000          13,771  

5.25%

      06/15/49          110,000          132,102  

Hologic, Inc.

 

     

4.63%

      02/01/28 3         55,000          57,888  

Molina Healthcare, Inc.

 

     

5.38%

      11/15/22          83,000          84,845  

Partners Healthcare System, Inc.,

 

     

Series 2020

 

     

3.34%

      07/01/60          80,000          85,973  

Teleflex, Inc.

 

     

4.63%

      11/15/27          10,000          10,525  

Tenet Healthcare Corp.

 

     

4.63%

      07/15/24          46,000          45,133  

4.88%

      01/01/26 3         67,000          65,343  

5.13%

      11/01/27 3         170,000          168,232  

UnitedHealth Group, Inc.

 

     

2.90%

      05/15/50          5,000          5,291  

3.70%

      08/15/49          50,000          59,532  

Zimmer Biomet Holdings, Inc.

 

     

3.55%

      03/20/30          195,000          211,026  
    

 

 

  
       3,794,397  
    

 

 

  
Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Industrials — 2.09%

 

     

Amcor Finance USA, Inc.

 

     

4.50%

      05/15/28        $ 145,000        $ 166,891  

BAE Systems PLC (United Kingdom)

 

     

3.40%

      04/15/30 1,3         60,000          65,484  

Ball Corp.

 

     

4.00%

      11/15/23          30,000          31,388  

Berry Global, Inc.

 

     

4.88%

      07/15/26 3         24,000          24,385  

General Electric Co. (MTN)

 

     

(LIBOR USD 3-Month plus 0.48%)

 

     

0.87%

      08/15/36 2         600,000          388,345  

General Electric Co., Series A (MTN)

 

     

6.75%

      03/15/32          110,000          133,934  

Graphic Packaging International LLC

 

     

4.75%

      07/15/27 3         40,000          42,600  

4.88%

      11/15/22          55,000          56,981  

Matthews International Corp.

 

     

5.25%

      12/01/25 3         30,000          27,600  

Mauser Packaging Solutions Holding Co.

 

     

5.50%

      04/15/24 3         5,000          4,922  

OI European Group BV (Netherlands)

 

     

4.00%

      03/15/23 1,3         15,000          14,829  

PowerTeam Services LLC

 

     

9.03%

      12/04/25 3         94,000          95,927  

Sealed Air Corp.

 

     

4.00%

      12/01/27 3         5,000          5,025  

5.50%

      09/15/25 3         70,000          76,034  

Titan Acquisition Ltd./Titan Co-Borrower LLC

 

     

(Canada)

 

     

7.75%

      04/15/26 1,3         55,000          52,318  

Trivium Packaging Finance BV (Netherlands)

 

     

5.50%

      08/15/26 1,3         115,000          117,112  
    

 

 

  
       1,303,775  
    

 

 

  

Information Technology — 1.43%

 

     

Broadcom Corp./Broadcom Cayman

 

     

Finance Ltd.

 

     

3.63%

      01/15/24          50,000          53,822  

Change Healthcare Holdings LLC/Change

 

     

Healthcare Finance, Inc.

 

     

5.75%

      03/01/25 3         5,000          4,963  

Dell International LLC/EMC Corp.

 

     

4.42%

      06/15/21 3         55,000          56,542  

Fiserv, Inc.

 

     

2.65%

      06/01/30          60,000          63,710  

Intel Corp.

 

     

3.73%

      12/08/47          220,000          264,109  

NXP BV/NXP Funding LLC (Netherlands)

 

     

4.63%

      06/15/22 1,3         365,000          388,944  
 

 

June 2020 / 5

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Information Technology (continued)

 

     

SS&C Technologies, Inc.

 

     

5.50%

      09/30/27 3       $ 60,000        $ 61,152  
    

 

 

  
       893,242  
    

 

 

  

Insurance — 1.77%

 

     

Aon Corp.

 

     

2.80%

      05/15/30          90,000          96,431  

Berkshire Hathaway Finance Corp.

 

     

4.25%

      01/15/49          95,000          122,267  

Farmers Exchange Capital II

 

     

6.15%

      11/01/53 3,4         400,000          487,000  

Nationwide Mutual Insurance Co.

 

     

2.60%

      12/15/24 3,4         400,000          398,508  
    

 

 

  
       1,104,206  
    

 

 

  

Materials — 0.46%

 

     

Indonesia Asahan Aluminum Persero PT

 

     

(Indonesia)

 

     

6.53%

      11/15/28 1,3         200,000          237,506  

International Flavors & Fragrances, Inc.

 

     

5.00%

      09/26/48          40,000          46,742  
    

 

 

  
       284,248  
    

 

 

  

Real Estate Investment Trust (REIT) — 1.86%

 

     

Boston Properties LP

 

     

3.25%

      01/30/31          60,000          64,845  

CyrusOne LP/CyrusOne Finance Corp.

 

     

2.90%

      11/15/24          80,000          84,147  

3.45%

      11/15/29          310,000          322,839  

GLP Capital LP/GLP Financing II, Inc.

 

     

5.30%

      01/15/29          65,000          71,047  

5.38%

      04/15/26          205,000          224,456  

5.75%

      06/01/28          25,000          27,615  

SL Green Realty Corp.

 

     

4.50%

      12/01/22          200,000          204,286  

Ventas Realty LP

 

     

4.40%

      01/15/29          150,000          163,783  
    

 

 

  
       1,163,018  
    

 

 

  

Retail — 0.42%

 

     

Alimentation Couche-Tard, Inc. (Canada)

 

     

2.70%

      07/26/22 1,3         45,000          46,100  

3.80%

      01/25/50 1,3         70,000          72,830  

Rite Aid Corp.

 

     

6.13%

      04/01/23 3         60,000          58,447  

Starbucks Corp.

 

     

2.25%

      03/12/30          80,000          83,311  
    

 

 

  
       260,688  
    

 

 

  
Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Services — 0.97%

 

     

Duke University, Series 2020

 

     

2.68%

      10/01/44        $ 60,000        $ 63,101  

Emory University, Series 2020

 

     

2.14%

      09/01/30          60,000          62,541  

GFL Environmental, Inc. (Canada)

 

     

5.13%

      12/15/26 1,3         44,000          45,589  

IHS Markit Ltd. (Bermuda)

 

     

4.00%

      03/01/26 1,3         7,000          7,702  

4.75%

      02/15/25 1,3         110,000          123,542  

5.00%

      11/01/22 1,3         170,000          182,549  

Waste Pro USA, Inc.

 

     

5.50%

      02/15/26 3         123,000          117,760  
    

 

 

  
       602,784  
    

 

 

  

Transportation — 0.36%

 

     

Continental Airlines Pass-Through Trust,

 

     

Series 2007-1, Class B

 

     

6.90%

      04/19/22          260,093          224,645  
            

 

 

  

Total Corporates

 

     

(Cost $22,292,959)

 

        23,026,951  
    

 

 

  

FOREIGN GOVERNMENT OBLIGATIONS — 2.27%

 

Foreign Government Obligations — 2.27%

 

     

Colombia Government International Bond

 

     

(Colombia)

 

     

3.00%

      01/30/30 1         200,000          198,022  

5.00%

      06/15/45 1         200,000          225,688  

Dominican Republic International Bond,

 

     

Series REGS (Dominican Republic)

 

     

6.00%

      07/19/28 1         150,000          151,570  

Mexico Government International Bond (Mexico)

 

     

3.25%

      04/16/30 1         200,000          198,388  

Qatar Government International Bond,

 

     

Series REGS (Qatar)

 

     

4.50%

      04/23/28 1         200,000          236,375  

Republic of South Africa Government

 

     

International Bond (South Africa)

 

     

4.88%

      04/14/26 1         200,000          200,572  

Saudi Government International Bond

 

     

(Saudi Arabia)

 

     

3.75%

      01/21/55 1,3         200,000          204,442  
            

 

 

  

Total Foreign Government Obligations

 

     

(Cost $1,435,353)

 

        1,415,057  
    

 

 

  

MORTGAGE-BACKED — 39.60%**

 

     

Non-Agency Commercial Mortgage-Backed — 3.50%

 

Banc of America Commercial Mortgage

 

     

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

 

     

1.25%

      09/15/48 3,4         1,500,000          64,044  
 

 

6 / June 2020

Strategic 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)

 

BBCMS Mortgage Trust,

 

     

Series 2020-C6, Class F5TB

 

     

3.69%

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

Citigroup Commercial Mortgage Trust,

 

     

Series 2012-GC8, Class XA (IO)

 

     

1.93%

      09/10/45 3,4       1,449,536          42,668  

COBALT CMBS Commercial Mortgage Trust,

 

     

Series 2007-C2, Class X (IO)

 

     

0.77%

      04/15/47 3,4       1,546,694          6,389  

Commercial Mortgage Trust,

 

     

Series 2013-CR12, Class XA (IO)

 

     

1.29%

      10/10/46 4       1,829,588          56,903  

Commercial Mortgage Trust,

 

     

Series 2013-CR7, Class XA (IO)

 

     

1.37%

      03/10/46 4       8,407,460          226,881  

Commercial Mortgage Trust,

 

     

Series 2014-UBS5, Class XA (IO)

 

     

1.03%

      09/10/47 4,5,6       2,185,500          61,221  

Commercial Mortgage Trust,

 

     

Series 2020-CBM, Class XCP (IO)

 

     

0.59%

      02/10/37 3,4       2,030,000          41,750  

Credit Suisse Commercial Mortgage Trust,

 

     

Series 2007-C2, Class AJ

 

     

5.75%

      01/15/49 4       1,801          1,807  

Credit Suisse Mortgage Capital Trust,

 

     

Series 2014-USA, Class X1 (IO)

 

     

0.69%

      09/15/37 3,4       9,920,007          210,121  

GS Mortgage Securities Trust,

 

     

Series 2012-GC6, Class XB (IO)

 

     

0.26%

      01/10/45 3,4       5,749,132          18,314  

GS Mortgage Securities Trust,

 

     

Series 2012-GCJ9, Class XA (IO)

 

     

2.10%

      11/10/45 4       2,755,422          100,177  

GS Mortgage Securities Trust,

 

     

Series 2013-GC12, Class XA (IO)

 

     

1.55%

      06/10/46 4       7,243,406          243,145  

GS Mortgage Securities Trust,

 

     

Series 2020-UPTN, Class XA (IO)

 

     

0.35%

      02/10/37 3,4       940,000          14,148  

Hudson Yards Mortgage Trust,

 

     

Series 2019-55HY, Class F

 

     

3.04%

      12/10/41 3,4       50,000          44,410  

JPMBB Commercial Mortgage Securities

 

     

Trust, Series 2014-C21, Class XA (IO)

 

     

1.16%

      08/15/47 4       558,239          17,645  

JPMBB Commercial Mortgage Securities

 

     

Trust, Series 2014-C24, Class XA (IO)

 

     

1.07%

      11/15/47 4       2,700,304          70,269  

JPMCC Commercial Mortgage Securities

 

     

Trust, Series 2017-JP5, Class XA (IO)

 

     

1.18%

      03/15/50 4       5,688,236          262,115  
Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Commercial Mortgage-Backed (continued)

 

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2012-LC9,

 

     

Class XA (IO)

 

     

1.65%

      12/15/47 4       $ 2,015,467        $ 57,133  

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2013-C13,

 

     

Class XA (IO)

 

     

0.24%

      01/15/46 4         6,542,234          22,833  

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2013-LC11,

 

     

Class XA (IO)

 

     

1.39%

      04/15/46 4         2,798,251          80,305  

SFAVE Commercial Mortgage Securities

 

     

Trust, Series 2015-5AVE, Class A2A

 

     

3.66%

      01/05/43 3,4         120,000          124,805  

SFAVE Commercial Mortgage Securities

 

     

Trust, Series 2015-5AVE, Class A2B

 

     

4.14%

      01/05/43 3,4         45,000          41,366  

UBS Commercial Mortgage Trust,

 

     

Series 2012-C1, Class XA (IO)

 

     

2.25%

      05/10/45 3,4         1,654,015          42,915  

WF-RBS Commercial Mortgage Trust,

 

     

Series 2011-C3, Class XA (IO)

 

     

1.48%

      03/15/44 3,4         17,740,295          132,005  

WF-RBS Commercial Mortgage Trust,

 

     

Series 2011-C5, Class XA (IO)

 

     

1.84%

      11/15/44 3,4         3,225,518          47,297  

WF-RBS Commercial Mortgage Trust,

 

     

Series 2012-C9, Class XA (IO)

 

     

2.05%

      11/15/45 3,4         952,250          33,227  

WF-RBS Commercial Mortgage Trust,

 

     

Series 2013-C14, Class XA (IO)

 

     

0.86%

      06/15/46 4         2,990,550          48,084  
    

 

 

  
       2,184,461  
    

 

 

  

Non-Agency Mortgage-Backed — 28.47%

 

     

ACE Securities Corp. Home Equity Loan

 

     

Trust, Series 2006-HE3, Class A2C

 

     

(LIBOR USD 1-Month plus 0.15%)

 

     

0.33%

      06/25/36 2         1,310,259          1,032,120  

Banc of America Funding Trust,

 

     

Series 2006-3, Class 5A3

 

     

5.50%

      03/25/36          260,043          245,547  

Chase Mortgage Finance Trust,

 

     

Series 2007-A1, Class 8A1

 

     

4.26%

      02/25/37 4         86,971          85,749  

Conseco Finance Corp., Series 1996-7,

 

     

Class M1

 

     

7.70%

      09/15/26 4         128,003          132,571  

Conseco Finance Corp., Series 1998-3,

 

     

Class A6

 

     

6.76%

      03/01/30 4         88,227          88,619  
 

 

June 2020 / 7

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Mortgage-Backed (continued)

 

     

Conseco Finance Corp., Series 1998-4, Class A6

 

     

6.53%

      04/01/30 4       $ 146,264        $ 149,839  

Conseco Finance Corp., Series 1998-4, Class A7

 

     

6.87%

      04/01/30 4         72,425          74,443  

Conseco Finance Corp., Series 1999-5, Class A5

 

     

7.86%

      03/01/30 4         85,357          52,040  

Conseco Finance Home Equity Loan Trust,

 

     

Series 2002-C, Class BF2

 

     

8.00%

      06/15/32 3,4         189,868          192,192  

Credit-Based Asset Servicing and

 

     

Securitization LLC, Mortgage Loan Trust,

 

     

Series 2007-CB2, Class A2B

 

     

(STEP-reset date 08/25/20)

 

     

3.92%

      02/25/37          954,508          759,623  

Credit-Based Asset Servicing and

 

     

Securitization LLC, Mortgage Loan Trust,

 

     

Series 2007-CB2, Class A2C

 

     

(STEP-reset date 08/25/20)

 

     

3.92%

      02/25/37          315,186          250,804  

Credit-Based Asset Servicing and

 

     

Securitization LLC, Mortgage Loan Trust,

 

     

Series 2007-CB3, Class A3

 

     

(STEP-reset date 08/25/20)

 

     

3.63%

      03/25/37          984,112          522,892  

First Franklin Mortgage Loan Trust,

 

     

Series 2006-FF18, Class A2B

 

     

(LIBOR USD 1-Month plus 0.11%)

 

     

0.29%

      12/25/37 2         436,611          388,162  

First Franklin Mortgage Loan Trust,

 

     

Series 2007-FF1, Class A2D

 

     

(LIBOR USD 1-Month plus 0.22%)

 

     

0.40%

      01/25/38 2         2,045,838          1,321,660  

First Franklin Mortgage Loan Trust,

 

     

Series 2007-FF2, Class A2B

 

     

(LIBOR USD 1-Month plus 0.10%)

 

     

0.28%

      03/25/37 2         674,214          410,668  

GMACM Mortgage Corp. Loan Trust,

 

     

Series 2006-AR1, Class 1A1

 

     

3.74%

      04/19/36 4         278,316          236,811  

GSR Mortgage Loan Trust,

 

     

Series 2007-AR2, Class 5A1A

 

     

4.15%

      05/25/37 4         371,076          320,146  

HSI Asset Loan Obligation Trust,

 

     

Series 2007-2, Class 2A12

 

     

6.00%

      09/25/37          308,779          289,615  

Impac CMB Trust, Series 2004-4,

Class 1A2

 

 

     

(LIBOR USD 1-Month plus 0.62%)

 

     

0.80%

      09/25/34 2         178,345          171,464  
Issues    Maturity
Date		      Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Mortgage-Backed (continued)

 

     

IndyMac Index Mortgage Loan Trust,

 

     

Series 2005-AR25, Class 2A1

 

     

3.31%

      12/25/35 4     $ 339,886        $ 314,201  

IndyMac Index Mortgage Loan Trust,

 

     

Series 2007-FLX2, Class A1C

 

     

(LIBOR USD 1-Month plus 0.19%)

 

     

0.37%

      04/25/37 2       1,636,563          1,445,189  

IndyMac Manufactured Housing Contract

 

     

Pass-Through Certificates, Series 1997-1,

Class A3

 

 

     

6.61%

      02/25/28        102,256          103,543  

IndyMac Manufactured Housing Contract

 

     

Pass-Through Certificates, Series 1997-1,

Class A4

 

 

     

6.75%

      02/25/28        43,047          43,637  

IndyMac Manufactured Housing Contract

 

     

Pass-Through Certificates, Series 1998-1,

Class A4

 

 

     

6.49%

      09/25/28        71,058          72,203  

IndyMac Manufactured Housing Contract

 

     

Pass-Through Certificates, Series 1998-1,

Class A5

 

 

     

6.96%

      09/25/28 4       171,274          181,532  

JPMorgan Mortgage Acquisition Trust,

 

     

Series 2007-HE1, Class AF6

 

     

(STEP-reset date 08/25/20)

 

     

4.23%

      03/25/47        783,810          608,730  

JPMorgan Mortgage Trust,

Series 2006-S2, Class 2A2

 

 

     

5.88%

      06/25/21        114,378          104,299  

JPMorgan Mortgage Trust, Series 2007-S1,

Class 1A2

 

 

     

5.50%

      03/25/22        19,992          18,704  

MASTR Asset-Backed Securities Trust,

 

     

Series 2007-HE1, Class A4

 

     

(LIBOR USD 1-Month plus 0.28%)

 

     

0.46%

      05/25/37 2       1,810,500          1,429,489  

Merrill Lynch Alternative Note Asset Trust,

 

     

Series 2007-A3, Class A2D

 

     

(LIBOR USD 1-Month plus 0.33%)

 

     

0.51%

      04/25/37 2,5,6       1,696,107          148,489  

Merrill Lynch Mortgage Investors Trust,

 

     

Series 2004-HE2, Class A2C

 

     

(LIBOR USD 1-Month plus 1.16%)

 

     

1.34%

      08/25/35 2       709,726          648,942  
 

 

8 / June 2020

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Mortgage-Backed (continued)

 

     

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

Class B

 

 

     

8.90%

      08/15/37        $ 446,558        $ 494,257  

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

Class M1

 

 

     

6.50%

      08/15/37          308,843          318,344  

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

Class A

 

 

     

5.75%

      01/15/40          142,908          154,910  

Mid-State Trust XI, Series 2011, Class B

 

     

8.22%

      07/15/38          7,950          8,925  

Morgan Stanley Mortgage Loan Trust,

 

     

Series 2004-7AR, Class 2A4

 

     

3.30%

      09/25/34 4         205,268          202,730  

Morgan Stanley Mortgage Loan Trust,

 

     

Series 2006-7, Class 5A2

 

     

5.96%

      06/25/36 4         2,248,250          946,862  

Oakwood Mortgage Investors, Inc.,

 

     

Series 1998-A, Class M

 

     

6.83%

      05/15/28 4         91,300          92,780  

Oakwood Mortgage Investors, Inc.,

 

     

Series 1999-B, Class A4

 

     

6.99%

      12/15/26          206,282          210,545  

Oakwood Mortgage Investors, Inc.,

 

     

Series 2001-D, Class A3

 

     

5.90%

      09/15/22 4         738,082          542,107  

Oakwood Mortgage Investors, Inc.,

 

     

Series 2002-A, Class A3

 

     

6.03%

      05/15/24 4         226,288          232,505  

Residential Accredit Loans Trust,

 

     

Series 2005-QA3, Class NB1

 

     

3.69%

      03/25/35 4         263,851          160,628  

SG Mortgage Securities Trust,

 

     

Series 2007-NC1, Class A2

 

     

(LIBOR USD 1-Month plus 0.24%)

 

     

0.42%

      12/25/36 2,3         1,351,210          942,476  

Structured Adjustable Rate Mortgage Loan

 

     

Trust, Series 2004-12, Class 2A

 

     

3.71%

      09/25/34 4         257,714          249,476  

Terwin Mortgage Trust, Series 2004-7HE,

Class A1

 

 

     

(LIBOR USD 1-Month plus 0.55%)

 

     

0.73%

      07/25/34 2,3         96,153          92,108  

Wells Fargo Home Equity Asset-Backed

 

     

Securities Trust, Series 2007-1, Class A3

 

     

(LIBOR USD 1-Month plus 0.32%)

 

     

0.50%

      03/25/37 2         1,500,000          1,279,743  
            

 

 

  
       17,772,319  
            

 

 

  
Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

U.S. Agency Commercial Mortgage-Backed — 4.33%

 

     

Fannie Mae-Aces, Series 2006-M2,

 

     

Class A2A

 

     

5.27%

      10/25/32 4       $ 143,353        $ 162,889  

Fannie Mae-Aces, Series 2011-M5,

 

     

Class X (IO)

 

     

1.17%

      07/25/21 4         2,171,392          19,123  

Fannie Mae-Aces, Series 2016-M11,

 

     

Class X2 (IO)

 

     

2.83%

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

Fannie Mae-Aces, Series 2019-M32,

 

     

Class X2 (IO)

 

     

1.19%

      10/25/29 4         2,000,000          149,980  

Freddie Mac Multifamily PC REMIC Trust,

 

     

Series 2019-P002, Class X (IO)

 

     

1.01%

      07/25/33 4         385,000          43,482  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K021,

 

     

Class X3 (IO)

 

     

2.03%

      07/25/40 4         1,150,000          42,807  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K022,

 

     

Class X3 (IO)

 

     

1.87%

      08/25/40 4         5,250,000          186,361  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K023,

 

     

Class X3 (IO)

 

     

1.75%

      10/25/40 4         4,050,000          137,687  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K027,

 

     

Class X3 (IO)

 

     

1.76%

      01/25/41 4         5,000,000          196,929  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K031,

 

     

Class X3 (IO)

 

     

1.71%

      07/25/41 4         5,999,569          260,596  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K034,

 

     

Class X1 (IO)

 

     

0.22%

      07/25/23 4         6,384,825          20,127  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K040,

 

     

Class X3 (IO)

 

     

2.10%

      11/25/42 4         1,100,000          85,222  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K060,

 

     

Class X3 (IO)

 

     

1.96%

      12/25/44 4         700,000          71,565  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K070,

Class X3 (IO)

 

 

     

2.11%

      12/25/44 4         700,000          86,861  
 

 

June 2020 / 9

Strategic 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)

 

     

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K105,

 

     

Class X3 (IO)

 

     

2.04%

      06/25/30 4       $ 410,000        $ 61,190  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K714,

 

     

Class X1 (IO)

 

     

1.01%

      10/25/20 4         4,777,473          3,584  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K732,

 

     

Class X3 (IO)

 

     

2.25%

      05/25/46 4         700,000          65,924  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KAIV,

 

     

Class X2 (IO)

 

     

3.61%

      06/25/41 4         1,220,000          38,655  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KC04,

 

     

Class X1 (IO)

 

     

1.41%

      12/25/26 4         2,269,898          133,089  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KC05,

 

     

Class X1 (IO)

 

     

1.20%

      06/25/27 4         1,998,008          120,010  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KIR1,

 

     

Class X (IO)

 

     

1.21%

      03/25/26 4         2,741,182          136,519  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KLU2,

 

     

Class X1 (IO)

 

     

1.16%

      08/25/29 4         1,897,282          140,956  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KS11,

 

     

Class XFX (IO)

 

     

1.76%

      06/25/29 4         350,000          38,822  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series Q010,

 

     

Class XPT2 (IO)

 

     

0.36%

      08/25/24          4,948,129          46,965  

FREMF Mortgage Trust, Series 2012-K23,

 

     

Class X2A (IO)

 

     

0.13%

      10/25/45 3         61,503,712          131,741  

Ginnie Mae, Series 2009-114, Class IO (IO)

 

     

0.07%

      10/16/49 4         5,055,568          1,236  

Ginnie Mae, Series 2010-148, Class IO (IO)

 

     

1.15%

      09/16/50 4         4,242,465          98,839  

Ginnie Mae, Series 2011-10, Class AC

 

     

3.62%

      11/16/44 4         2,632          2,636  

Ginnie Mae, Series 2014-103, Class IO (IO)

 

     

0.36%

      05/16/55 4         1,863,062          33,495  

Ginnie Mae, Series 2014-125, Class IO (IO)

 

     

0.95%

      11/16/54 4         1,786,369          91,621  
Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

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

 

     

Ginnie Mae, Series 2015-47, Class IO (IO)

 

     

0.80%

      10/16/56 4       $ 1,141,230        $ 52,598  
    

 

 

  
       2,706,193  
    

 

 

  

U.S. Agency Mortgage-Backed — 3.30%

 

     

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 2         874          977  

Fannie Mae REMICS, Series 2000-45,

 

     

Class SA (IO)

 

     

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

 

7.76%

      12/18/30 2         132,869          17,506  

Fannie Mae REMICS, Series 2001-42,

 

     

Class SB

 

     

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

 

8.50%

      09/25/31 2         437          505  

Fannie Mae REMICS, Series 2003-124, Class TS

 

     

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

 

9.80%

      01/25/34 2         4,911          6,002  

Fannie Mae REMICS, Series 2005-92,

 

     

Class US (IO)

 

     

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

 

5.92%

      10/25/25 2         739,905          61,423  

Fannie Mae REMICS, Series 2006-125,

 

     

Class SM (IO)

 

     

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

 

7.02%

      01/25/37 2         858,851          225,255  

Fannie Mae REMICS, Series 2008-50,

 

     

Class SA (IO)

 

     

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

 

5.87%

      11/25/36 2         1,084,847          240,920  

Fannie Mae REMICS, Series 2010-43,

 

     

Class KS (IO)

 

     

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

 

6.24%

      05/25/40 2         925,524          200,017  

Freddie Mac REMICS, Series 1602,

 

     

Class SN

 

     

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

 

     

10.09%

      10/15/23 2         8,111          8,740  

Freddie Mac REMICS, Series 1673,

 

     

Class SD

 

     

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

 

19.39%, 18.31% Cap)

 

     

17.84%

      02/15/24 2         46,921          56,575  
 

 

10 / June 2020

Strategic Income 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 3242,

 

     

Class SA (IO)

 

     

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

 

6.17%

      11/15/36 2       $ 2,854,402        $ 598,938  

Freddie Mac REMICS, Series 3247,

 

     

Class SI (IO)

 

     

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

 

0.15%

      08/15/36 2         12,636,704          61,327  

Freddie Mac REMICS, Series 3260,

 

     

Class AS (IO)

 

     

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

 

6.20%

      01/15/37 2         2,059,933          392,344  

Freddie Mac REMICS, Series 3289,

 

     

Class SD (IO)

 

     

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

 

5.94%

      03/15/37 2         696,314          153,358  

Ginnie Mae, Series 2004-8, Class SE

 

     

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

 

13.94%

      11/26/23 2         29,562          34,186  
    

 

 

  
       2,058,073  
    

 

 

  

Total Mortgage-Backed

 

     

(Cost $28,566,416)

 

        24,721,046  
    

 

 

  

MUNICIPAL BONDS — 1.12%*

 

     

California — 0.61%

 

     

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          205,000          213,977  

San Francisco City & County Airport

 

     

Comm-San Francisco International Airport,

 

     

Airport and Marina Improvements, Series A

 

     

5.00%

      05/01/49          140,000          167,835  
    

 

 

  
       381,812  
    

 

 

  

Massachusetts — 0.14%

 

     

Commonwealth of Massachusetts,

 

     

Public Improvements, Series C

 

     

3.00%

      03/01/48          85,000          90,343  
    

 

 

  

New York — 0.37%

 

     

Metropolitan Transportation Authority, Green

 

     

Taxable Bonds, Transit Improvements,

 

     

Series C2

 

     

5.18%

      11/15/49          90,000          105,320  
Issues    Maturity
Date		        Principal
Amount		        Value  

MUNICIPAL BONDS (continued)

 

     

New York (continued)

 

     

New York City Water & Sewer System

 

     

Revenue Bonds, Water Utility Improvements

 

     

3.00%

      06/15/50        $ 120,000        $ 125,458  
    

 

 

  
       230,778  
    

 

 

  

Total Municipal Bonds

 

     

(Cost $652,908)

 

        702,933  
    

 

 

  

Total Bonds – 91.57%

 

     

(Cost $61,196,701)

 

        57,165,548  
    

 

 

  
    
Issues    Maturity
Date		        Principal
Amount/Shares		        Value  

SHORT-TERM INVESTMENTS — 7.95%

 

     

Commercial Paper — 0.91%

 

     

Ford Motor Credit Co. LLC

 

     

2.88%9

      01/08/21          315,000          306,867  

3.20%9

      10/08/20          260,000          257,849  
    

 

 

  
       564,716  
    

 

 

  

Money Market Funds — 2.00%

 

     

Dreyfus Government Cash Management Fund

 

     

8.42%10

 

        1,201,000          1,201,000  

Fidelity Investments Money Market Funds -

 

     

Government Portfolio

 

     

5.23%10

 

        46,167          46,167  
    

 

 

  
       1,247,167  
    

 

 

  

U.S. Treasury Bills — 5.04%

 

     

U.S. Cash Management Bills

 

     

0.16%9

      11/03/20          400,000          399,771  

U.S. Treasury Bills

 

     

0.16%9

      11/27/20          500,000          499,669  

0.16%9

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

0.18%9

      12/10/20          900,000          899,382  

0.29%9,11

      09/10/20          351,000          350,913  
    

 

 

  
       3,149,111  
    

 

 

  

Total Short-Term Investments

 

     

(Cost $4,964,120)

 

        4,960,994  
    

 

 

  

Total Investments – 99.52%

 

     

(Cost $66,160,821)

 

        62,126,542  
    

 

 

  

Cash and Other Assets, Less

 

     

Liabilities – 0.48%

 

        299,588  
    

 

 

  

Net Assets – 100.00%

 

      $ 62,426,130  
            

 

 

  

 

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.

 

 

June 2020 / 11

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

3 

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

4 

Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

5 

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

6 

Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $287,773, which is 0.46% of total net assets.

7 

Non-income producing security.

8 

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

9 

Represents annualized yield at date of purchase.

10 

Represents the current yield as of June 30, 2020.

11 

Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $350,913.

† 

Fair valued security. The aggregate value of fair valued securities is $33,821, which is 0.05% of total net assets. Fair valued securities are not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale. See Notes to Financial Statements.

*

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

**

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

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

(CDO): Collateralized Debt Obligations

(CLO): Collateralized Loan Obligation

(EMTN): Euro medium-term note

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(USD): U.S. dollar

 

 

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

FUTURES CONTRACTS: SHORT POSITIONS

             

U.S. Treasury Five Year Note

    84      09/30/20      $ (10,562,344 )    $ (27,404 )    $ (27,404 ) 

U.S. Treasury Ten Year Ultra Bond

    3      09/21/20        (472,453 )      (1,987 )      (1,987 ) 

U.S. Treasury Ultra Bond

    17      09/21/20        (3,708,656 )      7,283       7,283  
        

 

 

    

 

 

    

 

 

  

TOTAL FUTURES CONTRACTS

          $ (14,743,453 )    $ (22,108 )    $ (22,108 ) 
        

 

 

    

 

 

    

 

 

  

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.

 

12 / June 2020

Strategic Income 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 / 13

Strategic Income 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:

 

    STRATEGIC INCOME FUND   LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  
                                                 

  Investments in Securities

                       

  Assets

                       

Short-Term Investments:

                       

Commercial Paper

      $ —            $ 564,716         $ —           $ 564,716   

Money Market Funds

        1,247,167            —             —             1,247,167   

U.S. Treasury Bills

        3,149,111            —             —             3,149,111   

Long-Term Investments:

                       

Asset-Backed Securities

        —              7,221,498           78,063           7,299,561   

Corporates

        —              23,026,951           —             23,026,951   

Foreign Government Obligations

        —              1,415,057           —             1,415,057   

Mortgage-Backed

        —              24,511,336           209,710           24,721,046   

Municipal Bonds

        —              702,933           —             702,933   

  Other Financial Instruments *

                       

Assets:

                       

Interest rate contracts

        7,283             —             —             7,283   

Liabilities:

                       

Interest rate contracts

        (29,391)           —             —             (29,391)  
    

 

 

        

 

 

        

 

 

        

 

 

  

Total

      $ 4,374,170          $ 57,442,491         $ 287,773         $ 62,104,434   
    

 

 

        

 

 

        

 

 

        

 

 

  

*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.

 

14 / June 2020

Strategic 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 1evel 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

  STRATEGIC

  INCOME FUND

    ASSET-BACKED
SECURITIES		   MORTGAGE-BACKED
SECURITIES		    

  Balance as of

           

  April 1, 2020

      $ 110,334     $ 216,306  

 Accrued discounts/premiums

        64       18,155  

 Realized gain/(loss)

        —         —    

 Change in unrealized (depreciation)*

        (32,335 )       (24,751 )  

 Purchases

        —         —    

 Sales

        —         —    

 Corporate action

        —         —    

 Transfers into Level 3**

        —         —    

 Transfers out of Level 3**

        —         —    
    

 

 

      

 

 

    

  Balance as of

  June 30, 2020

      $ 78,063     $ 209,710  
    

 

 

      

 

 

    

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2020 was $(57,087) 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:

 

  STRATEGIC INCOME FUND    FAIR VALUE
AT 6/30/20		    VALUATION
          TECHNIQUE*           		  

UNOBSERVABLE

INPUT

    RANGE    WEIGHTED  
AVERAGE  

  Asset-Backed Securities

    $78,063    Benchmark Pricing    Offered Quote    $10.00 - $10.54    $10.30

  Mortgage-Backed Securities-Commercial Mortgage Backed

    $61,221    Third-party Vendor    Vendor Prices    2.80    2.80

  Mortgage-Backed Securities-Non-Agency

    $148,489    Third-party Vendor    Vendor Prices    8.75    8.75

* 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 / 15