N-CSR 1 dunham_ncsr.htm N-CSR

united states
securities and exchange commission
washington, d.c. 20549

form n-csr

certified shareholder report of registered management
investment companies

Investment Company Act file number 811-22153

 

Dunham Funds

(Exact name of registrant as specified in charter)

 

6256 Greenwich Dr. Ste 550, San Diego, CA 92122

(Address of principal executive offices) (Zip code)

 

Timothy Burdick

Ultimus Fund Solutions LLC., 4221 N 203rd St., Suite 100, Elkhorn, NE 68022

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 631-470-2649

 

Date of fiscal year end: 10/31

 

Date of reporting period: 10/31/22

 

Item 1. Reports to Stockholders.

 

(COVER PAGE)

 

 

Dear Fellow Shareholders:

 

One of the persistent themes throughout this fiscal year has been “uncertainty”. This was and still is applicable to the outlook for containing substantially-elevated inflation, the War in Ukraine, and the severity of a U.S. recession (and a global recession). These significant unknowns have translated into volatile declines in both equity and bond markets around the globe. Although there have been some parallels identified between the current economic environment and the Global Financial Crisis, one of the notable contrasts relates to how bond markets have suffered. In the Global Financial Crisis, adequate refuge could be found in investment-grade bonds. However, in the current environment global bonds1 on average were punished even more than global stocks2. The same was true when solely considering the past 12 months for the United States – U.S. investment-grade bonds3 fell more than U.S. stocks4, in general. Without bonds as a potential safe haven, on the surface it appeared that many investors were relegated to a nearly 20 percent decline irrespective of their allocation to bonds versus equities. However, as we have exposure to numerous asset classes below the broad categorizations of “equities” and “bonds”, this environment provided opportunities for some asset classes and strategies to shine – or to at least provide significant downside protection where broad bonds failed to do so.

 

As the Federal Open Market Committee pursued aggressive monetary policy in its attempt to cool rampantly rising inflation, securities with the highest sensitivities to changes in interest rates experienced substantial principal declines. However, some asset classes within the bond market, such as bank loans5, have coupons that adjust along with the rising rates. This resulted in those securities on average experiencing a much more muted decline during this fiscal year. Similarly, fixed income-oriented strategies that do not primarily rely on collecting meaningful yields, such as long/short credit strategies, also found opportunities to prevail on a relative basis. A commonality with the Global Financial Crisis was the high correlations between most equity asset classes. This does not mean that all equity styles or capitalizations performed the same, but they broadly traveled in the same direction during the fiscal year, despite having disparate fundamental drivers. As we look toward an eventual recovery in the equity and bond markets, we believe it is important to maintain diversification across asset classes and to remain disciplined and methodical, especially when many other investors are not.

 

I continue to personally invest alongside you, and I remain confident that we at Dunham have the tools and the discipline to succeed as our economy recovers. You can continue to rely on us to apply a rational and unemotional approach. We thank you for your continued trust and the confidence you have placed in us. We take that trust very seriously. We look forward to servicing the investment needs for you and your family for generations to come.

 

Sincerely,

 

(-s-Jeffrey A. Dunham)

 

Jeffrey A. Dunham

President

Dunham & Associates

October 31, 2022

 

1As measured by the Bloomberg Global Aggregate Bond Index

 

2As measured by the MSCI All Country World Index NR

 

3As measured by the Bloomberg U.S. Aggregate Bond Index

 

4As measured by the S&P 500 Index

 

5As measured by the Morningstar LSTA US Leveraged Loan Index

1

 

Dunham Corporate/Government Bond Fund (Unaudited)
Message from the Sub-Adviser (Virtus Fixed Income Advisers, LLC)

 

Asset Class Recap

 

Investment-grade bonds have historically exhibited negative correlation to equities during times of heightened volatility. However, in the most recent fiscal quarter and fiscal year, investment-grade bonds have sold off in tandem with equity markets as the asset classes’ duration adversely impacted performance. During the year, the Federal Open Market Committee became increasingly hawkish as persistent inflation, coupled with data illustrating a strong consumer and resilient job market, helped provide justification for a series of hikes in the Fed Funds rate. The Federal Reserve hiked 50 basis points in May, 75 basis points in June, and another 75 basis points in July. This represented the largest 3 -month percentage change in the Fed Funds rate since the early 1980s. Although some economic data showed signs of a slowing economy, inflation remained persistent prompting the Federal Reserve to raise rates another 75 basis points in September and retain their hawkish stance on their outlook. Meanwhile, the U.S. Treasury yield curve inverted as the 2-year U.S. Treasury yield rose 398 basis points to 4.48 percent, and the 10-year U.S. Treasury yield increased 243 basis points to 4.05 percent. A yield curve inversion has historically preceded a recession, exacerbating concerns of an upcoming economic slowdown. During the fiscal year, intermediate- term BBB-rated corporate bond spreads increased 279 basis points, intermediate-term single-B rated bonds experienced 162 basis points of widening, and intermediate-term CCC-rated corporate bonds jumped 179 basis points. Intermediate-term BBB-rated corporate bond yields reached 6.31% in October, the highest point since coming out of the Great Financial Crisis in 2009. For the fiscal year, investment-grade bonds as measured by the Bloomberg U.S. Aggregate Bond Index, declined 15.7 percent, underperforming equity markets, as measured by the S&P 500 index, which declined 14.6 percent.

 

Allocation Review

 

Nearly two-thirds of broad U.S. investment-grade bonds in the benchmark index are represented by Treasury and government agency bonds. Therefore, most of the performance of the benchmark index is dictated by how those U.S. government-related bonds perform, and far less is dependent on the performance of corporate bonds and non-agency mortgage-backed securities. During the fiscal year, U.S. Treasury bonds, as measured by the BofA U.S. Treasury & Agency Index, fell 14.4 percent. As the Fund had approximately 17 percent allocated to Treasury and government agency bonds, this is far less than what is represented by the benchmark index, and this significant underweight generally contributed to relative performance during the year. The Fund’s largest exposure was to investment-grade corporate bonds, comprising more than 27 percent of the Fund. Investment-grade corporate bonds, as measured by the BofA U.S. Corporate Index, declined 19.3 percent during the fiscal year. The Fund’s off-benchmark exposure to bank loans was one of the strongest positive contributions to Fund performance. The Fund had an approximate 8.0 percent allocation and increased approximately 1.2 percent over the fiscal year. Throughout the fiscal year, the Sub-Adviser decreased the allocations to government bonds, high-yield bonds, and bank loans and increased the allocation to municipal bonds and securitized products. The Fund did not have any exposure to derivatives during the fiscal quarter that meaningfully affected performance.

 

Holdings Insights

 

The bank loan exposure within the Fund provided one of the strongest contributors to relative and absolute performance over the fiscal year. This includes the Caesars Resort Collection, LLC Floating Rate, Due 10/02/2024 (BL252667) (holding weight*: 0.25 percent), an American hotel and casino entertainment company. This loan performed well over the fiscal year as a result of the market’s expectations for a refinancing, solid operating performance, and declining digital losses. The gaming consumer remained resilient over the fiscal year with encouraging trends in Las Vegas while regional markets have leveled back down to more consistent pre-covid levels. Another bank loan that contributed to Fund performance over the fiscal year was the INEOS US Finance, LLC Floating Rate, Due 03/31/2024 (BL2552414) (holding weight*: 0.40 percent), a chemical manufacturer. As a result of this company’s credit strength and strong fundamentals, it was able to refinance its short-maturity loans amid a difficult commodity chemical environment. Despite the allocation to investment-grade corporates detracting from Fund performance, the General Electric Company Floating Rate, Due 06/15/2169 (369604BQ5) (holding weight*: 0.30 percent), an American multinational conglomerate, was one of the strongest contributors to Fund performance over the fiscal year. This credit pays a floating rate, so the coupon has risen from 3.5 percent to begin the year to 6.6 percent by the end of the fiscal year. This credit benefited from the rise in interest rates and received a tailwind as the company made progress toward the spinoff of its Healthcare unit. Over the fiscal year, this credit increased by 4.7 percent.

 

Investment-grade corporate bonds that detracted from Fund performance include the Bank of America Corporation 2.687%, Until 04/22/2031, Due 04/22/2032 (06051GJT7) (holding weight*: 0.96 percent) and the JPMorgan Chase & Company 1.953%, Due 02/4/2032 (46647PBX3) (holding weight*: 0.96 percent). These bonds underperformed due to their relatively longer duration plus robust issuance from the major banks during the most recent fiscal quarter and year. This heavy issuance came while demand drivers were weak, exacerbating the spread widening for banks. These credits declined by 21.4 percent and 21.8 percent, respectively. The exposure to municipal bonds also detracted from Fund performance as the asset class fell in-line with the taxable fixed income market as the appetite for long-duration securities ceased. A municipal bond within the Fund that detracted from Fund performance was the State of Texas 3.211%, Due 04/01/2044 (882724QP5) (holding weight*: 0.78 percent). Over the fiscal quarter, the price of this credit declined from $105.25 to $74.82.

 

Sub-Adviser Outlook

 

The Sub-Adviser is cautiously optimistic for the remainder of the year; however, Federal Reserve hawkishness and Russia remain a key area of focus for investors. The Sub-Adviser believes that markets now face a mild version of stagflation as they absorb the impact of the end of 13 years of monetary and fiscal policy stimulus. Policy rate hikes, central bank balance sheet run-offs, and fiscal contraction all hitting at the same time have darkened the outlook for global growth and inflation. While nowhere as bad as the late 1970s and 80s, the Sub-Adviser expects weaker growth that falls short of a deep recession combined with lower (but still elevated) inflation will stop financial markets from a robust rally. At the same time, equity, Treasury, and credit markets have corrected meaningfully. As a result, the Sub-Adviser sees long-term value in certain areas of the bond market. The Sub- Adviser will look to use selloffs to add small amounts of select bonds in sectors where it has de-risked and now have lower relative exposure.

 

*Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned as of 10/31/2022.

 

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2022

 

    Annualized Annualized
  One Year Five Years Ten Years
Class N (15.12)% (0.66)% 0.66%
Class A with load of 4.50% (19.11)% (1.80)% (0.04)%
Class A without load (15.29)% (0.89)% 0.42%
Class C (15.68)% (1.39)% (0.08)%
Bloomberg US Aggregate Bond Index (15.68)% (0.54)% 0.74%
Morningstar Intermediate Core Plus Bond Category (15.92)% (0.41)% 1.00%

 

(a)Total Returns are calculated based on traded NAVs.

 

The Bloomberg US Aggregate Bond Index is an unmanaged index which represents the U.S. investment-grade fixed-rate bond market (including government and corporate securities, mortgage pass-through securities and asset-backed securities). Investors cannot invest directly in an index or benchmark.

 

The Morningstar Intermediate Core Plus Bond Category is generally representative of intermediate-term bond mutual funds that primarily invest in corporate and other investment-grade U.S. fixed-income securities and typically have durations of 3.5 to 6.0 years. Funds in this category also invest in high-yield and foreign bonds.

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.25% for Class N, 2.00% for Class C and 1.50% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

2

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 32.4%              
     AUTO LOAN — 6.6%              
 280,000   American Credit Acceptance Receivables Trust Series 2021-2 C(a)     0.9700  07/13/27  $272,425 
 220,000   American Credit Acceptance Receivables Trust Series 2022-1 D(a)     2.4600  03/13/28   195,236 
 112,638   Americredit Automobile Receivables Trust Series 2018-1 D     3.8200  03/18/24   112,531 
 230,000   AmeriCredit Automobile Receivables Trust Series 2020-3 C     1.0600  08/18/26   215,255 
 155,000   Avis Budget Rental Car Funding AESOP, LLC Series 2019-3A A(a)     2.3600  03/20/26   143,905 
 140,000   Carmax Auto Owner Trust Series 2019-1 C     3.7400  01/15/25   139,568 
 175,000   Carvana Auto Receivables Trust Series 2019-3A D(a)     3.0400  04/15/25   173,341 
 225,000   Carvana Auto Receivables Trust Series 2021-P3 B     1.4200  08/10/27   195,183 
 107,556   Carvana Auto Receivables Trust Series 2021-N1 C     1.3000  01/10/28   101,363 
 178,222   Carvana Auto Receivables Trust Series 2021-N2 C     1.0700  03/10/28   168,520 
 225,000   CPS Auto Receivables Trust Series 2019-D E(a)     3.8600  10/15/25   218,054 
 89,579   Credito Real USA Auto Receivables Trust Series 2021-1A A(a)     1.3500  02/16/27   87,146 
 7,291   First Investors Auto Owner Trust Series 2019-1A C(a)     3.2600  03/17/25   7,285 
 180,000   Flagship Credit Auto Trust Series 2020-4 C(a)     1.2800  02/16/27   171,466 
 180,000   Foursight Capital Automobile Receivables Trust Series 2022-1 B(a)     2.1500  05/17/27   166,239 
 86,581   LAD Auto Receivables Trust Series 2022-1A A(a)     5.2100  06/15/27   85,035 
 140,000   OneMain Direct Auto Receivables Trust Series 2021-1A B(a)     1.2600  07/14/28   120,731 
 275,000   Santander Drive Auto Receivables Trust Series 2021-3 C     0.9500  09/15/27   263,066 
 195,000   Santander Drive Auto Receivables Trust Series 2022-5 C     4.7400  10/15/28   187,442 
 263,748   United Auto Credit Securitization Trust Series 2021-1 C(a)     0.8400  06/10/26   260,686 
 17,814   Veros Automobile Receivables Trust Series 2020-1 B(a)     2.1900  06/16/25   17,777 
 170,000   Westlake Automobile Receivables Trust Series 2020-3A C(a)     1.2400  11/17/25   164,796 
 345,000   Westlake Automobile Receivables Trust Series 2022-1A B(a)     2.7500  03/15/27   331,565 
                  3,798,615 
     COLLATERALIZED MORTGAGE OBLIGATIONS — 8.7%              
 134,532   AJAX Mortgage Loan Trust Series 2021-A A1(a),(b)     1.0650  09/25/65   115,509 
 120,825   Angel Oak Mortgage Trust Series 2020-R1 A2(a),(b)     1.2470  12/26/24   106,577 
 71,724   Angel Oak Mortgage Trust Series 2021-8 A1(a),(b)     1.8200  11/25/66   57,578 
 103,837   Arroyo Mortgage Trust Series 2019-1 A1(a),(b)     3.8050  01/25/49   96,911 
 44,000   Arroyo Mortgage Trust Series 2019-2 A1(a),(b)     3.3470  04/25/49   40,971 
 88,229   Bunker Hill Loan Depositary Trust Series 2019-2 A1(a),(c)     2.8790  07/25/49   81,445 
 38,334   Chase Mortgage Finance Corporation Series 2016-SH2 M2(a),(b)     3.7500  02/25/44   33,303 
 51,322   Chase Mortgage Finance Corporation Series 2016-SH1 M2(a),(b)     3.7500  04/25/45   42,903 
 132,234   CIM Trust Series 2021-NR4 A1(a),(c)     2.8160  10/25/61   121,585 

 

See accompanying notes which are an integral part of these financial statements.

3

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 32.4% (Continued)              
     COLLATERALIZED MORTGAGE OBLIGATIONS — 8.7% (Continued)              
 137,502   COLT A1Trust Series 2020-RPL1 A1(a),(b)     1.3900  01/25/65  $118,056 
 74,776   COLT Funding, LLC Series 2021-3R A1(a),(b)     1.0510  12/25/64   60,270 
 69,045   CSMC Series 2021-NQM1 A1(a),(b)     0.8090  05/25/65   63,050 
 154,271   CSMC Trust Series 2020-RPL4 A1(a),(b)     2.0000  01/25/60   136,031 
 25,315   CSMC Trust Series 2020-NQM1 A1(a),(c)     1.2080  05/25/65   22,763 
 21,640   Ellington Financial Mortgage Trust Series 2019-2 A3(a),(b)     3.0460  11/25/59   20,417 
 23,406   Flagstar Mortgage Trust Series 2017-1 1A3(a),(b)     3.5000  03/25/47   20,684 
 11,549   Galton Funding Mortgage Trust Series 2018-1 A23(a),(b)     3.5000  11/25/57   10,379 
 34,804   JP Morgan Mortgage Series 2017-5 A1(a),(b)     3.1780  12/15/47   33,364 
 220,000   LHOME Mortgage Trust Series 2021-RTL1 A1(a),(b)     2.0900  09/25/26   211,203 
 100,000   METLIFE S.E.CURITIZATION TRUST Series 2017-1A M1(a),(b)     3.4240  04/25/55   88,826 
 40,612   METLIFE S.E.CURITIZATION TRUST Series 2019-1A A1A(a),(b)     3.7500  04/25/58   39,576 
 199,632   Mill City Mortgage Loan Trust Series 2019-1 M2(a),(b)     3.5000  10/25/69   166,461 
 170,000   New Residential Mortgage Loan Trust Series 2022-RTL1 A1F(a)     4.3360  12/25/26   161,426 
 169,939   New Residential Mortgage Loan Trust Series 2014-3A AFX3(a),(b)     3.7500  11/25/54   156,522 
 163,994   New Residential Mortgage Loan Trust Series 2016-3A B1(a),(b)     4.0000  09/25/56   149,239 
 42,476   New Residential Mortgage Loan Trust Series 2016-4A A1(a),(b)     3.7500  11/25/56   38,865 
 333,017   New Residential Mortgage Loan Trust Series 2017-2A A3(a),(b)     4.0000  03/25/57   312,509 
 89,318   New Residential Mortgage Loan Trust Series 2018-1A A1A(a),(b)     4.0000  12/25/57   84,064 
 54,517   New Residential Mortgage Loan Trust Series 2021-NQ2R A1(a),(b)     0.9410  09/25/58   50,953 
 215,000   New Residential Mortgage Loan Trust Series 2019-RPL2 M2(a),(b)     3.7500  02/25/59   177,605 
 419,890   New Residential Mortgage Loan Trust Series 2020-1A A1B(a),(b)     3.5000  10/25/59   385,722 
 15,370   OBX Trust Series 2019-INV1 A3(a),(b)     4.5000  11/25/48   14,626 
 97,239   Onslow Bay Mortgage Loan Trust Series 2021-NQM4 A1(a)     1.9570  08/25/61   75,877 
 135,000   Palisades Mortgage Loan Trust Series 2021-RTL1 A1(a),(c)     2.8570  06/25/26   127,311 
 191,360   PRET, LLC Series 2021-RN3 A1(a),(c)     1.8430  09/25/51   173,107 
 32,368   Provident Funding Mortgage Loan Trust Series 2019-1 A2(a),(b)     3.0000  12/25/49   26,797 
 182,175   PRPM, LLC Series 2021-2 A1(a),(b)     2.1150  03/25/26   168,702 
 62,255   RCKT Mortgage Trust Series 2020-1 A1(a),(b)     3.0000  02/25/50   50,948 
 104,277   RCO VI Mortgage, LLC Series 2022-1 A1(a),(c)     3.0000  01/25/27   97,780 
 79,207   Residential Mortgage Loan Trust Series 2020-1 A1(a),(b)     2.3760  02/25/24   74,955 
 13,543   Residential Mortgage Loan Trust Series 2019-2 A1(a),(b)     2.9130  05/25/59   13,283 
 225,000   ROC Securities Trust Series 2021-RTL1 A1(a),(b)     2.4870  08/25/26   212,526 
 165,627   SG Residential Mortgage Trust Series 2021-1 A3(a),(b)     1.5600  07/25/61   131,256 

 

See accompanying notes which are an integral part of these financial statements.

4

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 32.4% (Continued)              
     COLLATERALIZED MORTGAGE OBLIGATIONS — 8.7% (Continued)              
 78,459   Starwood Mortgage Residential Trust Series 2020-1 A1(a),(b)     2.2750  02/25/50  $77,807 
 25,646   Starwood Mortgage Residential Trust Series 2020-3 A1(a),(b)     1.4860  04/25/65   24,625 
 365,000   Towd Point Mortgage Trust Series 2021-1 A2(a),(b)     2.7500  11/25/61   279,981 
 50,441   Verus Securitization Trust Series 2019-INV2 A1(a),(b)     2.9130  07/25/59   49,343 
 100,000   Verus Securitization Trust Series 2019-4 M1(a),(b)     3.2070  11/25/59   86,757 
 26,047   Verus Securitization Trust Series 2020-1 A1(a),(c)     2.4170  01/25/60   24,614 
 49,161   Verus Securitization Trust Series 2021-2 A1(a),(b)     1.0310  02/25/66   39,614 
 30,202   Wells Fargo Mortgage Backed Securities Series 2020-4 A1(a),(b)     3.0000  07/25/50   24,669 
                  4,979,345 
     CREDIT CARD — 0.7%              
 410,000   Genesis Sales Finance Master Trust Series 2020-AA A(a)     1.6500  09/22/25   399,983 
                    
     NON AGENCY CMBS — 2.5%              
 144,979   Angel Oak SB Commercial Mortgage Trust Series 2020-SBC1 A1(a),(b)     2.0680  05/25/50   137,689 
 90,000   BPR Trust Series 2021-KEN A(a),(d)  US0001M + 1.250%  4.6620  02/15/29   87,447 
 160,000   BX Trust Series 2019-OC11 B(a)     3.6050  12/09/41   127,407 
 130,000   BX Trust Series 2019-OC11 D(a),(b)     4.0750  12/09/41   101,899 
 233,239   CHC Commercial Mortgage Trust Series 2019-CHC A(a),(d)  US0001M + 1.120%  4.5320  06/15/34   228,850 
 100,475   Citigroup Commercial Mortgage Trust Series 2015-GC27 A4     2.8780  02/10/48   95,266 
 305,000   GCT Commercial Mortgage Trust Series 2021-GCT A(a),(d)  US0001M + 0.800%  4.2120  02/15/23   287,191 
 185,000   Hilton USA Trust Series 2016-SFP B(a)     3.3230  11/05/35   170,175 
 157,297   Onslow Bay Mortgage Loan Trust Series 2021-NQM2 A1(a),(b)     1.1010  05/25/61   121,861 
 62,000   WFRBS Commercial Mortgage Trust Series 2014-C24 AS     3.9310  11/15/47   58,809 
                  1,416,594 
     OTHER ABS — 9.6%              
 230,000   American Homes 4 Rent Trust Series 2014-SFR2 C(a)     4.7050  10/17/36   222,829 
 220,000   American Homes 4 Rent Trust Series 2015-SFR2 C(a)     4.6910  10/17/45   210,646 
 175,000   AMSR Trust Series 2020-SFR1 B(a)     2.1200  04/17/37   158,355 
 250,000   AMSR Trust Series 2020-SFR2 C(a)     2.5330  07/17/37   227,459 
 100,000   AMSR Trust Series 2020-SFR2 D(a)     3.2820  07/17/37   91,752 
 83,664   Aqua Finance Trust Series 2019-A A(a)     3.1400  07/16/40   78,513 
 275,000   Aqua Finance Trust Series 2019-A C(a)     4.0100  07/16/40   251,507 
 270,000   Aqua Finance Trust Series 2020-AA B(a)     2.7900  07/17/46   235,087 
 100,000   CCG Receivables Trust Series 2019-2 B(a)     2.5500  03/15/27   98,715 

 

See accompanying notes which are an integral part of these financial statements.

5

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 32.4% (Continued)              
     OTHER ABS — 9.6% (Continued)              
 220,000   CCG Receivables Trust Series 2021-1 C(a)     0.8400  06/14/27  $203,668 
 105,152   CF Hippolyta, LLC Series 2020-1 A1(a)     1.6900  07/15/60   92,540 
 64,269   Corevest American Finance Trust Series 2020-1 A1(a)     1.8320  03/15/50   59,692 
 100,000   Corevest American Finance Trust Series 2019-3 C(a)     3.2650  10/15/52   81,326 
 198,556   Corevest American Finance Trust Series 2020-4 A(a)     1.1740  12/15/52   173,612 
 240,000   Dext A.B.S, LLC Series 2020-1 B(a)     1.9200  11/15/27   228,816 
 285,000   FirstKey Homes Trust Series 2021-SFR1 D(a)     2.1890  08/17/28   234,620 
 375,000   FirstKey Homes Trust Series 2020-SFR2 B(a)     1.5670  10/19/37   325,447 
 26,554   Foundation Finance Trust Series 2019-1A A(a)     3.8600  11/15/34   25,953 
 97,752   HIN Timeshare Trust Series 2020-A C(a)     3.4200  10/09/39   89,239 
 129,025   Jersey Mike’s Funding Series 2019-1A A2(a)     4.4330  02/15/50   115,350 
 69,670   MVW, LLC Series 2020-1A A(a)     1.7400  10/20/37   60,868 
 33,268   Octane Receivables Trust Series 2020-1A A(a)     1.7100  02/20/25   32,846 
 152,572   Oportun Funding, LLC Series 2022-1 A(a)     3.2500  06/15/29   148,920 
 46,319   Orange Lake Timeshare Trust Series 2019-A B(a)     3.3600  04/09/38   43,422 
 265,000   Progress Residential Series 2021-SFR3 D(a)     2.2880  05/17/26   223,079 
 201,000   Progress Residential Series 2021-SFR1 C(a)     1.5550  04/17/38   168,526 
 550,000   Progress Residential Trust Series 2020-SFR2 E(a)     5.1150  06/17/37   517,120 
 275,000   Purchasing Power Funding, LLC Series 2021-A A(a)     1.5700  10/15/25   263,925 
 265,000   Regional Management Issuance Trust Series 2021-1 A(a)     1.6800  03/17/31   240,358 
 60,614   Sierra Timeshare Receivables Funding, LLC Series 2020-2A B(a)     2.3200  07/20/37   55,652 
 85,275   Taco Bell Funding, LLC Series 2016-1A A23(a)     4.9700  05/25/46   81,118 
 200,000   Tricon American Homes Trust Series 2020-SFR2 D(a)     2.2810  11/17/27   161,962 
 165,000   Tricon American Homes Trust Series 2019-SFR1 C(a)     3.1490  03/17/38   147,907 
 160,000   Tricon Residential Trust Series 2021-SFR1 B(a)     2.2440  07/17/38   138,257 
                  5,489,086 
     RESIDENTIAL MORTGAGE — 4.2%              
 89,087   Ajax Mortgage Loan Trust Series 2019-D A1(a),(c)     2.9560  09/25/65   82,572 
 155,874   Pretium Mortgage Credit Partners, LLC Series 2021-NPL1 A1(a),(c)     2.2390  09/27/60   147,665 
 135,000   Towd Point Mortgage Trust Series 2016-4 B1(a),(b)     3.8300  07/25/56   122,286 
 115,000   Towd Point Mortgage Trust Series 2017-1 M1(a),(b)     3.7500  10/25/56   106,183 
 460,000   Towd Point Mortgage Trust Series 2017-4 A2(a),(b)     3.0000  06/25/57   408,011 
 160,000   Towd Point Mortgage Trust Series 2017-6 A2(a),(b)     3.0000  10/25/57   144,506 
 140,000   Towd Point Mortgage Trust Series 2018-6 A1B(a),(b)     3.7500  03/25/58   129,257 

 

See accompanying notes which are an integral part of these financial statements.

6

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 32.4% (Continued)              
     RESIDENTIAL MORTGAGE — 4.2% (Continued)              
 300,000   Towd Point Mortgage Trust Series 2018-6 A2(a),(b)     3.7500  03/25/58  $264,303 
 100,886   Towd Point Mortgage Trust Series 2018-4 A1(a),(b)     3.0000  06/25/58   91,314 
 255,000   Towd Point Mortgage Trust Series 2019-2 A2(a),(b)     3.7500  12/25/58   211,865 
 235,000   Towd Point Mortgage Trust Series 2019-4 A2(a),(b)     3.2500  10/25/59   191,818 
 100,000   Towd Point Mortgage Trust Series 2020-1 M1(a),(b)     3.5000  01/25/60   76,151 
 97,249   VCAT Asset Securitization, LLC Series 2021-NPL3 A1(a),(c)     1.7430  05/25/51   86,500 
 58,201   VCAT, LLC Series 2021-NPL2 A1(a),(c)     2.1150  03/27/51   53,097 
 69,896   VOLT C, LLC Series 2021-NPL9 A1(a),(c)     1.9920  05/25/51   63,071 
 79,054   VOLT CVI, LLC Series 2021-NP12 A1(a),(c)     2.7340  12/26/51   72,713 
 175,639   VOLT XCII, LLC Series 2021-NPL1 A1(a),(c)     1.8920  02/27/51   159,224 
                  2,410,536 
     STUDENT LOANS — 0.1%              
 72,354   Commonbond Student Loan Trust Series 2020-1 A(a)     1.6900  10/25/51   62,916 
                    
     TOTAL ASSET BACKED SECURITIES (Cost $20,679,892)            18,557,075 
                    
     CORPORATE BONDS — 34.3%              
     AEROSPACE & DEFENSE — 0.7%              
 108,000   Boeing Company (The)     5.9300  05/01/60   91,198 
 236,000   Huntington Ingalls Industries, Inc.     2.0430  08/16/28   189,660 
 80,000   Spirit AeroSystems, Inc.(a)     5.5000  01/15/25   77,310 
 85,000   TransDigm, Inc.     5.5000  11/15/27   77,211 
                  435,379 
     ASSET MANAGEMENT — 1.4%              
 92,000   Blackstone Private Credit Fund     2.6250  12/15/26   75,570 
 125,000   Blue Owl Finance, LLC(a)     3.1250  06/10/31   90,759 
 245,000   Charles Schwab Corporation (The)(d)  H15T10Y + 3.079%  4.0000  03/01/69   182,280 
 155,000   Citadel, L.P.(a)     4.8750  01/15/27   143,456 
 250,000   Drawbridge Special Opportunities Fund, L.P. /(a)     3.8750  02/15/26   226,878 
 128,000   OWL Rock Core Income Corporation     4.7000  02/08/27   112,644 
                  831,587 

 

See accompanying notes which are an integral part of these financial statements.

7

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 34.3% (Continued)              
     AUTOMOTIVE — 0.5%              
 106,000   Ford Motor Company     3.2500  02/12/32  $79,562 
 70,000   Ford Motor Company(g)     4.7500  01/15/43   48,961 
 140,000   Tenneco, Inc.(a)     5.1250  04/15/29   139,049 
                  267,572 
     BANKING — 4.8%              
 200,000   Banco Mercantil del Norte S.A.(a),(d)  H15T10Y + 5.034%  6.6250  01/24/70   150,300 
 715,000   Bank of America Corporation(d)  SOFRRATE + 1.320%  2.6870  04/22/32   552,967 
 230,000   Bank of America Corporation(d)  H15T5Y + 1.200%  2.4820  09/21/36   164,501 
 200,000   Barclays plc(d)  H15T1Y + 3.500%  7.4370  11/02/33   199,621 
 200,000   BBVA Bancomer S.A.(a),(d)  H15T5Y + 2.650%  5.1250  01/18/33   162,246 
 113,000   Citigroup, Inc.(d)  SOFRRATE + 1.280%  4.0020  02/24/28   108,061 
 175,000   JPMorgan Chase & Company(d)  SOFRRATE + 1.180%  3.8800  02/24/28   169,576 
 425,000   JPMorgan Chase & Company(d)  SOFRRATE + 1.065%  1.9530  02/04/32   311,481 
 140,000   JPMorgan Chase & Company(d)  SOFRRATE + 2.580%  5.7170  09/14/33   130,662 
 47,000   JPMorgan Chase & Company Series HH(d)  SOFRRATE + 3.125%  4.6000  08/01/68   42,060 
 205,000   Santander Holdings USA, Inc.     4.4000  07/13/27   185,369 
 200,000   Texas Capital Bancshares, Inc.(d)  H15T5Y + 3.150%  4.0000  05/06/31   173,309 
 185,000   Truist Financial Corporation(d)  H15T10Y + 4.349%  5.1000  03/01/69   162,836 
 330,000   Wells Fargo & Company(d) (g)  H15T5Y + 3.453%  3.9000  03/15/69   280,376 
                  2,793,365 
     BEVERAGES — 0.4%              
 200,000   Bacardi Ltd.(a)     4.7000  05/15/28   185,943 
 75,000   Central American Bottling Corp / CBC Bottling(a)     5.2500  04/27/29   65,865 
                  251,808 
     BIOTECH & PHARMA — 0.7%              
 40,000   Bausch Health Companies, Inc.(a)     5.7500  08/15/27   25,335 
 160,000   Mylan N.V.     3.9500  06/15/26   145,817 
 45,000   Par Pharmaceutical, Inc.(a)     7.5000  04/01/27   34,506 
 120,000   Teva Pharmaceutical Finance Netherlands III BV(g)     3.1500  10/01/26   101,609 
 681   Viatris, Inc.(a)     2.3000  06/22/27   560 
 150,000   Viatris, Inc.     2.3000  06/22/27   123,416 
                  431,243 

 

See accompanying notes which are an integral part of these financial statements.

8

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 34.3% (Continued)              
     CABLE & SATELLITE — 0.1%              
 14,000   CCO Holdings, LLC / CCO Holdings Capital(a)     6.3750  09/01/29  $12,936 
 40,000   CCO Holdings, LLC / CCO Holdings Capital(a)     4.7500  03/01/30   33,687 
 45,000   CCO Holdings, LLC / CCO Holdings Capital(a) (g)     4.5000  08/15/30   36,904 
                  83,527 
     CHEMICALS — 1.1%              
 185,000   Albemarle Corporation     5.0500  06/01/32   168,885 
 80,000   Avient Corporation(a)     7.1250  08/01/30   76,608 
 235,000   Bayport Polymers, LLC(a)     5.1400  04/14/32   203,551 
 245,000   Nutrition & Biosciences, Inc.(a)     2.3000  11/01/30   184,254 
                  633,298 
     COMMERCIAL SUPPORT SERVICES — 0.1%              
 50,000   Aramark Services, Inc.(a)     6.3750  05/01/25   49,595 
                    
     CONSUMER SERVICES — 0.1%              
 60,000   Carriage Services, Inc.(a)     4.2500  05/15/29   46,262 
                    
     DIVERSIFIED INDUSTRIALS — 0.3%              
 181,000   General Electric Company Series D(d)  US0003M + 3.330%  6.6230  06/15/69   175,118 
                    
     ELECTRIC UTILITIES — 0.8%              
 238,000   Puget Energy, Inc.     2.3790  06/15/28   196,806 
 244,000   Southern Company (The)(d)  H15T5Y + 2.915%  3.7500  09/15/51   193,233 
 80,000   Vistra Corporation(a),(d)  H15T5Y + 6.930%  8.0000  04/15/70   76,194 
                  466,233 
     ENGINEERING & CONSTRUCTION — 0.5%              
 140,000   Global Infrastructure Solutions, Inc.(a)     7.5000  04/15/32   103,816 
 238,000   Sempra Infrastructure Partners, L.P.(a)     3.2500  01/15/32   186,390 
                  290,206 
     FORESTRY, PAPER & WOOD PRODUCTS — 0.1%              
 90,000   Suzano Austria GmbH     2.5000  09/15/28   71,784 

 

See accompanying notes which are an integral part of these financial statements.

9

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 34.3% (Continued)              
     GAS & WATER UTILITIES — 0.3%              
 220,000   Brooklyn Union Gas Company (The)(a)     4.8660  08/05/32  $197,418 
                    
     HEALTH CARE FACILITIES & SERVICES — 0.4%              
 125,000   HCA, Inc.(g)     5.2500  06/15/49   101,135 
 205,000   Universal Health Services, Inc.(a)     2.6500  01/15/32   146,021 
                  247,156 
     HOME CONSTRUCTION — 0.8%              
 100,000   M/I Homes, Inc.     4.9500  02/01/28   85,949 
 105,000   Masco Corporation     2.0000  02/15/31   77,555 
 105,000   Masco Corporation     3.1250  02/15/51   60,504 
 235,000   PulteGroup, Inc.     6.3750  05/15/33   218,520 
                  442,528 
     HOUSEHOLD PRODUCTS — 0.3%              
 170,000   Church & Dwight Company, Inc.     5.0000  06/15/52   148,449 
                    
     INDUSTRIAL SUPPORT SERVICES — 0.3%              
 200,000   Ashtead Capital, Inc.(a)     5.5000  08/11/32   180,893 
                    
     INSTITUTIONAL FINANCIAL SERVICES — 2.9%              
 125,000   Bank of New York Mellon Corporation (The)(d)  SOFRINDX + 2.074%  5.8340  10/25/33   125,165 
 160,000   Bank of New York Mellon Corporation (The)(d)  H15T5Y + 4.358%  4.7000  09/20/68   153,600 
 370,000   Brookfield Finance, Inc.     2.7240  04/15/31   286,678 
 175,000   Goldman Sachs Group, Inc. (The)(d)  SOFRRATE + 1.090%  1.9920  01/27/32   127,770 
 290,000   Jefferies Group, LLC / Jefferies Group Capital     2.6250  10/15/31   206,373 
 285,000   Morgan Stanley(g)     3.1250  07/27/26   260,242 
 175,000   Morgan Stanley(g)     6.3750  07/24/42   177,215 
 175,000   Northern Trust Corporation     6.1250  11/02/32   175,199 
 160,000   State Street Corporation(d) (g)  SOFRRATE + 1.726%  4.1640  08/04/33   141,829 
                  1,654,071 
     INSURANCE — 2.5%              
 150,000   Allstate Corporation (The)(d)  US0003M + 2.938%  5.7500  08/15/53   137,858 
 185,000   Ascot Group Ltd.(a)     4.2500  12/15/30   153,561 

 

See accompanying notes which are an integral part of these financial statements.

10

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 34.3% (Continued)              
     INSURANCE — 2.5% (Continued)              
 170,000   Brighthouse Financial, Inc.     5.6250  05/15/30  $158,219 
 156,000   Corebridge Financial, Inc.(a),(d)  H15T5Y + 3.846%  6.8750  12/15/52   139,965 
 175,000   Liberty Mutual Group, Inc.(a),(d)  H15T5Y + 3.315%  4.1250  12/15/51   132,765 
 275,000   Lincoln National Corporation(d)  US0003M + 2.040%  6.2830  04/20/67   208,159 
 160,000   MetLife, Inc.(d)  H15T5Y + 3.576%  3.8500  03/15/69   140,998 
 76,000   MetLife, Inc.(d)  US0003M + 2.959%  5.8750  09/15/66   68,220 
 230,000   Prudential Financial, Inc.(d)  US0003M + 3.920%  5.6250  06/15/43   227,753 
 59,000   Prudential Financial, Inc.(d)  H15T5Y + 3.162%  5.1250  03/01/52   50,438 
 33,000   Prudential Financial, Inc.(d) (g)  H15T5Y + 3.234%  6.0000  09/01/52   30,123 
                  1,448,059 
     LEISURE PRODUCTS — 0.2%              
 166,000   Brunswick Corporation     2.4000  08/18/31   115,618 
                    
     MACHINERY — 0.3%              
 155,000   Pentair Finance Sarl     5.9000  07/15/32   145,974 
                    
     MEDICAL EQUIPMENT & DEVICES — 0.8%              
 124,000   Bio-Rad Laboratories, Inc.     3.3000  03/15/27   111,931 
 39,000   Bio-Rad Laboratories, Inc.     3.7000  03/15/32   32,463 
 175,000   DENTSPLY SIRONA, Inc.     3.2500  06/01/30   136,647 
 243,000   Illumina, Inc.     2.5500  03/23/31   185,551 
                  466,592 
     METALS & MINING — 1.5%              
 135,000   Alliance Resource Operating Partners, L.P. /(a)(g)     7.5000  05/01/25   132,625 
 70,000   Cleveland-Cliffs, Inc.(a)     6.7500  03/15/26   69,609 
 140,000   FMG Resources August 2006 Pty Ltd.(a)     5.8750  04/15/30   124,559 
 205,000   Freeport-McMoRan, Inc. (g)     5.4500  03/15/43   169,040 
 185,000   Glencore Funding, LLC(a)     2.8500  04/27/31   143,296 
 205,000   Teck Resources Ltd.     6.1250  10/01/35   192,252 
                  831,381 
     OIL & GAS PRODUCERS — 3.8%              
 70,000   Chesapeake Escrow Issuer, LLC B(a)     5.5000  02/01/26   67,956 
 125,000   DT Midstream, Inc.(a)     4.1250  06/15/29   108,373 
 170,000   Enbridge, Inc.(d)  H15T5Y + 4.418%  7.6250  01/15/83   162,790 

 

See accompanying notes which are an integral part of these financial statements.

11

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 34.3% (Continued)              
     OIL & GAS PRODUCERS — 3.8% (Continued)              
 175,000   Energy Transfer, L.P.(d)  H15T5Y + 5.694%  6.5000  11/15/69  $150,938 
 125,000   EQM Midstream Partners, L.P.(a)     7.5000  06/01/30   121,731 
 245,000   Flex Intermediate Holdco, LLC(a)     3.3630  06/30/31   189,070 
 165,000   HF Sinclair Corporation(a)     5.8750  04/01/26   160,575 
 45,000   Kinder Morgan, Inc.     7.7500  01/15/32   48,937 
 200,000   Lundin Energy Finance BV(a)     2.0000  07/15/26   172,438 
 105,000   Occidental Petroleum Corporation(g)     6.1250  01/01/31   105,657 
 70,000   Parsley Energy, LLC / Parsley Finance Corporation(a)     4.1250  02/15/28   63,735 
 200,000   Pertamina Persero PT(a)     6.4500  05/30/44   180,988 
 185,000   Petroleos Mexicanos     7.6900  01/23/50   120,845 
 250,000   Reliance Industries Ltd.(a)     2.8750  01/12/32   188,180 
 65,000   Sabine Pass Liquefaction, LLC     4.2000  03/15/28   59,304 
 225,000   Transcanada Trust(d)  H15T5Y + 3.986%  5.6000  03/07/82   192,766 
 95,000   Venture Global Calcasieu Pass, LLC(a)     3.8750  08/15/29   82,194 
                  2,176,477 
     OIL & GAS SERVICES & EQUIPMENT — 0.0%(e)              
 21,712   Transocean Guardian Ltd.(a)     5.8750  01/15/24   21,133 
                    
     REAL ESTATE INVESTMENT TRUSTS — 2.0%              
 220,000   EPR Properties     4.7500  12/15/26   189,578 
 155,000   GLP Capital, L.P. / GLP Financing II, Inc.     5.7500  06/01/28   144,021 
 23,000   GLP Capital, L.P. / GLP Financing II, Inc.     3.2500  01/15/32   17,196 
 25,000   MPT Operating Partnership, L.P. / MPT Finance(g)     4.6250  08/01/29   19,603 
 125,000   MPT Operating Partnership, L.P. / MPT Finance(g)     3.5000  03/15/31   86,292 
 170,000   Office Properties Income Trust     4.5000  02/01/25   141,388 
 240,000   Phillips Edison Grocery Center Operating     2.6250  11/15/31   171,786 
 105,000   Retail Opportunity Investments Partnership, L.P.     4.0000  12/15/24   100,128 
 225,000   Retail Properties of America, Inc.     4.7500  09/15/30   192,277 
 75,000   Service Properties Trust     4.9500  02/15/27   60,827 
                  1,123,096 
     REAL ESTATE OWNERS & DEVELOPERS — 0.4%              
 275,000   Ontario Teachers’ Cadillac Fairview Properties(a)     2.5000  10/15/31   207,824 

 

See accompanying notes which are an integral part of these financial statements.

12

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 34.3% (Continued)              
     RETAIL - DISCRETIONARY — 0.5%              
 175,000   BlueLinx Holdings, Inc.(a)     6.0000  11/15/29  $142,891 
 159,000   Dick’s Sporting Goods, Inc.     3.1500  01/15/32   120,643 
                  263,534 
     SEMICONDUCTORS — 0.6%              
 171,000   Broadcom, Inc.     4.1500  11/15/30   147,160 
 222,000   Entegris Escrow Corporation(a)     4.7500  04/15/29   196,547 
                  343,707 
     SOFTWARE — 0.2%              
 90,000   Consensus Cloud Solutions, Inc.(a)     6.5000  10/15/28   79,570 
 45,000   Oracle Corporation     3.8500  04/01/60   27,142 
                  106,712 
     SPECIALTY FINANCE — 1.2%              
 214,000   Ally Financial, Inc. Series B(d)  H15T5Y + 3.868%  4.7000  08/15/69   155,820 
 145,000   Aviation Capital Group, LLC(a)     3.5000  11/01/27   117,840 
 125,000   Avolon Holdings Funding Ltd.(a)     4.3750  05/01/26   109,952 
 182,000   Capital One Financial Corporation(d)  SOFRRATE + 1.337%  2.3590  07/29/32   125,373 
 120,000   Ladder Capital Finance Holdings LLLP / Ladder(a)     4.2500  02/01/27   101,117 
 65,000   OneMain Finance Corporation     6.8750  03/15/25   63,252 
                  673,354 
     TECHNOLOGY HARDWARE — 1.4%              
 289,000   CDW, LLC / CDW Finance Corporation     3.5690  12/01/31   227,979 
 154,000   Dell International, LLC / EMC Corporation     8.1000  07/15/36   163,233 
 200,000   HP, Inc.     5.5000  01/15/33   177,957 
 50,000   Motorola Solutions, Inc.     4.6000  05/23/29   45,988 
 210,000   TD SYNNEX Corporation     2.3750  08/09/28   167,169 
                  782,326 
     TECHNOLOGY SERVICES — 0.6%              
 137,000   Kyndryl Holdings, Inc.     2.7000  10/15/28   99,232 
 245,000   Leidos, Inc.     2.3000  02/15/31   181,270 
 75,000   Science Applications International Corporation(a)     4.8750  04/01/28   68,403 
                  348,905 
     TELECOMMUNICATIONS — 0.9%              
 160,000   Level 3 Financing, Inc.(a)     4.2500  07/01/28   132,437 

 

See accompanying notes which are an integral part of these financial statements.

13

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 34.3% (Continued)              
     TELECOMMUNICATIONS — 0.9% (Continued)              
 125,000   Sprint Spectrum Company, LLC / Sprint Spectrum(a)     4.7380  03/20/25  $123,121 
 265,000   T-Mobile USA, Inc.     3.8750  04/15/30   234,117 
                  489,675 
     TOBACCO & CANNABIS — 0.4%              
 215,000   BAT Capital Corporation     7.7500  10/19/32   219,915 
                    
     TRANSPORTATION & LOGISTICS — 0.4%              
 219,238   Alaska Airlines 2020-1 Class A Pass Through Trust(a)     4.8000  08/15/27   205,323 
                    
     TOTAL CORPORATE BONDS (Cost $23,433,241)            19,667,097 
                    
     MUNICIPAL BONDS — 6.2%              
     CITY — 0.7%              
 340,000   City of Bristol VA     4.2100  01/01/42   277,849 
 145,000   City of San Antonio TX     1.9630  02/01/33   107,491 
                  385,340 
     GOVERNMENT LEASE — 0.2%              
 145,000   Texas Public Finance Authority     2.1400  02/01/35   102,651 
                    
     HOSPITALS — 0.2%              
 135,000   Idaho Health Facilities Authority     5.0200  03/01/48   117,364 
                    
     LOCAL AUTHORITY — 1.4%              
 320,000   San Diego County Regional Airport Authority     5.5940  07/01/43   304,985 
 600,000   State of Texas     3.2110  04/01/44   448,940 
 35,000   Texas Transportation Commission State Highway Fund     4.0000  10/01/33   30,395 
                  784,320 
     MISCELLANEOUS TAX — 1.4%              
 765,000   Metropolitan Transportation Authority     5.0000  11/15/45   778,804 
                    
     SALES TAX — 0.0%(e)              
 20,000   Sales Tax Securitization Corporation     3.4110  01/01/43   14,345 

 

See accompanying notes which are an integral part of these financial statements.

14

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)         (%)  Maturity  Fair Value 
     MUNICIPAL BONDS — 6.2% (Continued)              
     WATER AND SEWER — 2.3%              
 705,000   Broward County FL Water & Sewer Utility Revenue     4.0000  10/01/47  $626,495 
 625,000   New York State Environmental Facilities     5.0000  06/15/51   650,902 
 160,000   Santa Clara Valley Water District     2.9670  06/01/50   101,099 
                  1,378,496 
     TOTAL MUNICIPAL BONDS (Cost $4,284,017)            3,561,320 
                    
     NON U.S. GOVERNMENT & AGENCIES — 1.0%              
     SOVEREIGN — 1.0%              
 300,000   Dominican Republic International Bond(a) (g)     4.8750  09/23/32   232,290 
 200,000   Emirate of Dubai Government International Bonds     5.2500  01/30/43   168,312 
 200,000   Mexico Government International Bond     2.6590  05/24/31   155,799 
     TOTAL NON U.S. GOVERNMENT & AGENCIES (Cost $677,101)            556,401 
                    
        Spread           
     TERM LOANS — 4.9%              
     AEROSPACE & DEFENSE — 0.1%              
 70,876   TransDigm, Inc.(d)  US0001M + 2.250%  5.9240  05/30/25   69,373 
                    
     AUTOMOTIVE — 0.1%              
 71,356   Cooper-Standard Automotive, Inc.(d)  US0002M + 2.000%  5.1150  11/02/23   65,211 
                    
     BIOTECH & PHARMA — 0.1%              
 64,838   Perrigo Investments, LLC(d)  TSFR1M + 2.500%  5.6340  04/07/29   64,108 
                    
     CABLE & SATELLITE — 0.1%              
 79,130   Directv Financing, LLC(d)  US0001M + 5.000%  8.1150  07/22/27   75,609 
                    
     CHEMICALS — 0.4%              
 230,487   INEOS US Finance, LLC(d)  US0002M + 2.000%  5.1150  03/31/24   229,006 

 

See accompanying notes which are an integral part of these financial statements.

15

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     TERM LOANS — 4.9% (Continued)              
     CONTAINERS & PACKAGING — 0.1%              
 70,837   Berry Global, Inc.(d)  US0001M + 1.750%  5.0500  07/01/26  $69,926 
                    
                    
     ELECTRICAL EQUIPMENT — 0.1%              
 70,242   Brookfield WEC Holdings, Inc.(d)  US0001M + 2.750%  5.8650  08/01/25   69,163 
                    
     FOOD — 0.1%              
 87,272   Hostess Brands, LLC(d)  US0001M + 2.250%  5.3650  08/03/25   86,093 
                    
     HEALTH CARE FACILITIES & SERVICES — 0.2%              
 54,436   Agiliti Health, Inc.(d)  US0001M + 2.750%  5.9380  10/18/25   53,619 
 71,596   Legacy LifePoint Health, LLC(d)  US0001M + 3.750%  6.8710  11/16/25   63,542 
                  117,161 
     INDUSTRIAL SUPPORT SERVICES — 0.1%              
 68,613   Resideo Funding, Inc.(d)  US0001M + 2.250%  5.5700  02/09/28   67,713 
                    
     INSTITUTIONAL FINANCIAL SERVICES — 0.1%              
 39,000   Citadel Securities, L.P.(d)  TSFR1M + 3.000%  6.1490  02/02/28   38,870 
                    
     LEISURE FACILITIES & SERVICES — 0.7%              
 143,645   Caesars Resort Collection, LLC(d)  US0001M + 2.750%  5.8650  10/02/24   142,287 
 70,000   Hilton Worldwide Finance, LLC(d)  US0001M + 1.750%  5.3360  06/21/26   68,871 
 39,900   Scientific Games Corporation(d)  SOFRRATE + 3.000%  6.4020  04/07/29   39,460 
 68,581   Station Casinos, LLC(d)  US0001M + 2.250%  5.3700  01/31/27   67,299 
 68,968   UFC Holdings, LLC(d)  US0006M + 2.750%  7.1100  04/29/26   67,572 
                  385,489 
     MACHINERY — 0.2%              
 71,268   Alliance Laundry Systems, LLC(d)  US0003M + 3.500%  7.4090  09/30/27   68,951 
 71,551   Standard Industries, Inc.(d)  US0006M + 2.500%  6.6750  08/06/28   70,219 
                  139,170 
     OIL & GAS PRODUCERS — 0.3%              
 57,181   CITGO Petroleum Corporation(d)  US0001M + 6.250%  9.3650  03/27/24   57,353 
 69,283   Freeport LNG Investments LLLP(d)  US0003M + 3.500%  7.7430  11/17/28   64,996 

 

See accompanying notes which are an integral part of these financial statements.

16

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     TERM LOANS — 4.9% (Continued)              
     OIL & GAS PRODUCERS — 0.3% (Continued)              
 69,200   Oryx Midstream Services Permian Basin, LLC(d)  US0001M + 3.250%  6.2110  09/30/28  $68,320 
                  190,669 
     PUBLISHING & BROADCASTING — 0.1%              
 41,179   Nexstar Broadcasting, Inc.(d)  US0001M + 2.500%  5.6150  06/20/26   40,852 
                    
     SOFTWARE — 0.5%              
 111,830   Applied Systems, Inc.(d)  US0001M + 2.000%  5.2500  09/19/24   110,602 
 69,313   CCC Intelligent Solutions, Inc.(d)  US0003M + 2.500%  5.3650  09/17/28   68,043 
 68,098   Sophia, L.P.(d)  US0003M + 3.250%  7.1740  10/07/27   65,658 
 66,908   UKG, Inc.(d)  US0001M + 3.250%  6.9980  05/03/26   64,715 
                  309,018 
     TECHNOLOGY HARDWARE — 0.1%              
 69,412   NCR Corporation(d)  US0001M + 2.500%  5.3100  08/08/26   66,809 
                    
     TECHNOLOGY SERVICES — 0.6%              
 58,685   Blackhawk Network Holdings, Inc.(d)  US0001M + 3.000%  7.0770  05/22/25   56,558 
 64,932   Dun & Bradstreet Corporation (The)(d)  US0001M + 3.250%  6.8460  02/08/26   64,040 
 69,226   NAB Holdings, LLC(d)  SOFRRATE + 3.000%  6.7030  11/18/28   66,630 
 57,040   Peraton Corporation(d)  US0001M + 3.750%  6.8650  02/24/28   55,044 
 69,164   Tenable, Inc.(d)  US0006M + 2.750%  5.5560  06/17/28   67,146 
                  309,418 
     TELECOMMUNICATIONS — 0.2%              
 23,965   CenturyLink, Inc.(d)  US0001M + 2.250%  5.3650  03/15/27   22,370 
 96,533   SBA Senior Finance II, LLC(d)  US0001M + 1.750%  4.8700  04/11/25   95,871 
                  118,241 
     TRANSPORTATION & LOGISTICS — 0.7%              
 24,644   Air Canada(d)  US0006M + 3.500%  6.4210  07/27/28   24,108 
 101,387   Brown Group Holding, LLC(d)  US0003M + 2.500%  5.6150  04/22/28   98,768 
 66,500   Mileage Plus Holdings, LLC(d)  US0003M + 5.250%  8.7770  06/25/27   68,024 
 73,506   PODS, LLC(d)  US0001M + 3.000%  6.1150  03/19/28   70,934 
 70,000   SkyMiles IP Ltd.(d)  US0003M + 3.750%  7.9930  09/16/27   70,744 
                  332,578 
     TOTAL TERM LOANS (Cost $2,898,912)            2,844,477 

 

See accompanying notes which are an integral part of these financial statements.

17

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal      Coupon Rate       
Amount ($)      (%)  Maturity  Fair Value 
     U.S. GOVERNMENT & AGENCIES — 18.1%           
     AGENCY FIXED RATE — 0.8%           
 8,409   Fannie Mae Pool 735061  6.0000  11/01/34  $8,631 
 10,793   Fannie Mae Pool 866009  6.0000  03/01/36   11,183 
 76,025   Fannie Mae Pool 938574  5.5000  09/01/36   77,757 
 26,884   Fannie Mae Pool 310041  6.5000  05/01/37   28,653 
 12,166   Fannie Mae Pool 962752  5.0000  04/01/38   12,178 
 15,200   Fannie Mae Pool 909175  5.5000  04/01/38   15,586 
 56,806   Fannie Mae Pool 909220  6.0000  08/01/38   58,198 
 49,085   Fannie Mae Pool AS7026  4.0000  04/01/46   46,039 
 86,197   Fannie Mae Pool BJ9260  4.0000  04/01/48   79,785 
 84,807   Freddie Mac Gold Pool G01980  5.0000  12/01/35   85,000 
 11,525   Freddie Mac Gold Pool G05888  5.5000  10/01/39   11,832 
               434,842 
     U.S. TREASURY BONDS — 5.3%           
 1,040,000   United States Treasury Bond  2.8750  05/15/49   806,914 
 1,440,000   United States Treasury Bond  2.0000  02/15/50   912,206 
 2,500,000   United States Treasury Bond  1.3750  08/15/50   1,326,270 
               3,045,390 
     U.S. TREASURY NOTES — 12.0%           
 625,000   United States Treasury Note  2.5000  04/30/24   605,688 
 2,505,000   United States Treasury Note  2.6250  02/15/29   2,281,311 
 485,000   United States Treasury Note  0.8750  11/15/30   381,180 
 715,000   United States Treasury Note  1.6250  05/15/31   590,350 
 540,000   United States Treasury Note  2.8750  05/15/32   488,869 
 2,045,000   United States Treasury Note  1.8750  02/15/51   1,246,092 
 1,135,000   United States Treasury Note  1.8750  11/15/51   688,005 
 175,000   United States Treasury Note  2.2500  02/15/52   116,785 
 655,000   United States Treasury Note  2.8750  05/15/52   505,885 
               6,904,165 
     TOTAL U.S. GOVERNMENT & AGENCIES (Cost $14,577,068)         10,384,397 

 

See accompanying notes which are an integral part of these financial statements.

18

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     SHORT-TERM INVESTMENTS — 6.5%     
     MONEY MARKET FUNDS - 3.5%     
 1,988,883   Fidelity Government Portfolio, Class I, 2.86% (Cost $1,988,883)(f)  $1,988,883 
           
     COLLATERAL FOR SECURITIES LOANED – 3.0%     
 1,727,778   Mount Vernon Liquid Assets Portfolio, LLC, 3.24% (Cost $1,727,778) (f),(h)   1,727,778 
           
     TOTAL INVESTMENTS – 103.4% (Cost $70,266,892)  $59,287,428 
     LIABILITIES IN EXCESS OF OTHER ASSETS- (3.4%)   (1,749,810)
     NET ASSETS - 100.0%  $57,537,618 

 

LLC- Limited Liability Company

 

LP- Limited Partnership

 

LTD- Limited Company

 

NV- Naamioze Vennootschap

 

PLC- Public Limited Company

 

REIT- Real Estate Investment Trust

 

S/A- Société Anonyme

 

H15T1YUS Treasury Yield Curve Rate T Note Constant Maturity 1 Year

 

H15T5YUS Treasury Yield Curve Rate T Note Constant Maturity 5 Year

 

H15T10YUS Treasury Yield Curve Rate T Note Constant Maturity 10 Year

 

SOFRINDXSecured Overnight Financing Rate Compounded

 

SOFRRATESecured Overnight Financing Rate

 

TSFR1MSecured Overnight Financing Rate 1 month

 

US0001MICE LIBOR USD 1 Month

 

US0002MICE LIBOR USD 2 Month

 

US0003MICE LIBOR USD 3 Month

 

US0006MICE LIBOR USD 6 Month

 

See accompanying notes which are an integral part of these financial statements.

19

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

(a)Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of October 31, 2022 the total market value of 144A securities is 23,826,876 or 41.1% of net assets.

 

(b)Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

 

(c)Step bond. Coupon rate is fixed rate that changes on a specified date. The rate shown is the current rate at October 31, 2022.

 

(d)Variable rate security; the rate shown represents the rate on October 31, 2022.

 

(e)Percentage rounds to less than 0.1%.

 

(f)Rate disclosed is the seven day effective yield as of October 31, 2022.

 

(g)All or a portion of these securities are on loan. Total loaned securities had a value of $1,687,743 at October 31, 2022.

 

(h)The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

Portfolio Composition * - (Unaudited)
Corporate Bonds   33.2%  Term Loans   4.8%
Asset Backed Securities   31.3%  Short-Term Investments   3.4%
U.S. Government & Agencies   17.5%  Collateral for Securities Loaned   2.9%
Municipal Bonds   6.0%  Non U.S. Government & Agencies   0.9%
        Total   100.0%

 

*Based on total value of investments as of October 31, 2022. Does not include derivative holdings. Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes which are an integral part of these financial statements.

20

 

Dunham Floating Rate Bond Fund (Unaudited)
Message from the Sub-Adviser (PineBridge Investments, LLC)

 

Asset Class Recap

 

The most recent market environment has seen nearly all risk assets experience significant declines. This included investment-grade corporate bonds, as measured by the Bloomberg US Credit Index, which declined 8.7 percent in the fourth fiscal quarter and plummeted 18.9 percent since the start of the fiscal year. High-yield bonds, as measured by the ICE BofA U.S. Cash Pay High-Yield Index, decreased 3.6 percent during the final fiscal quarter and 11.3 percent during the 12-month period ended October 31, 2022. This dispersion in returns was primarily due to the lower interest rate sensitivity generally exhibited by high-yield bonds versus their investment-grade counterparts. As the 5-year and 10-year U.S. Treasury Bond yields increased 3.0 percent and 2.5 percent, respectively during the fiscal year, the bonds with higher interest rate sensitivity broadly experienced significant declines. However, bonds with low interest rate sensitivity, such as floating rate securities, generally sustained smaller losses. For example, the Morningstar LSTA US Leveraged Loan 100 Index, which is comprised of bank loans with coupons tied to a market reference rate such as LIBOR or SOFR, only declined 2.3 percent over the fiscal year and was only down 0.1 percent during the fourth fiscal quarter. Securitized asset pools, known as collateralized loan obligations (CLO), comprised of these floating rate securities, as measured by the Palmer Square CLO Debt Index, declined 1.2 percent over the fourth fiscal quarter and fell 6.9 percent during the fiscal year. During the fiscal year, 3-month LIBOR increased 4.3 percent, which exceeded the yield increases on intermediate-term and long-term U.S. Treasuries. As the Federal Reserve has indicated that its pace of interest rate increases will remain aggressive until inflation has been tempered, interest rate sensitive bonds may remain under pressure, while floating rate securities may see the focus shift toward concerns regarding credit quality and increases in default rates. In mid-October, Fitch Ratings projected that the U.S. high yield default rate may finish 2023 between 2.5 percent and 3.5 percent, reflecting growing macroeconomic headwinds and its expectation of a U.S. recession. However, the forecast remains below both the 3.8 percent 21-year historic average and the 5.2 percent default rate reached in 2020.

 

Allocation Review

 

The Fund continued to primarily hold floating rate securities, which was predominately comprised of bank loans and CLOs. In aggregate, the Fund held 91 percent in these two categories, with close to 10 percent allocated to CLOs and 81 percent allocated to bank loans. The Fund’s allocation to CLOs generally detracted from overall performance, as the demand for CLOs declined, particularly demand for the higher rated tranches. The Fund also had approximately 7 percent allocated to fixed coupon high-yield corporate bonds, which provided mixed results, but as a whole fell more than the average bank loan in the Fund during the fiscal year. The Fund also had a higher allocation to single- B and CCC rated securities versus the Morningstar LSTA US Leveraged Loan 100 Index. The Fund’s lower exposure to BBB-rated bank loans was the largest underweight versus the benchmark index, as the Fund had less than one percent in BBB-rated loans and the benchmark index had nearly 8 percent. The Fund’s largest credit quality overweight was in the single-B space, as the Fund had close to 77 percent exposure versus 59 percent in the benchmark index. The largest sector overweights were to the consumer services and diversified financial services sectors, while the largest underweights were to the software & services and telecommunication services sectors. The Fund did not have any exposure to derivatives during the twelve-month period that meaningfully affected performance.

 

Holdings Insights

 

While the second half of the fiscal year began with a negative reversal for some of the stronger performers from the first half of the fiscal year, the final three months of the fiscal year saw some of those holdings rebound. For example, within the bank loan holdings, the Fund continued to hold Playa Resorts Holding BV Floating Rate due 4/27/2024 (BL2699181) (holding weight*: 0.64 percent). Playa Resorts is an owner, operator, and developer of all - inclusive resorts in Mexico and the Caribbean. The bank loan’s price had declined 2.3 percent in the third fiscal quarter, but rebounded 1.3 percent in the fourth fiscal quarter. This strong finish to the fiscal year brought the price decline for the Playa Resorts bank loan to a negative 0.1 percent for the 12-month period ended October 31, 2022, which made it a positive total return when including the floating coupon of 3-month LIBOR plus 275 basis points. One of the strongest contributors during the final fiscal quarter was Hornblower Sub, LLC due 4/27/2025 (BL3489657) (holding weight*: 1.06 percent), a charter yacht, dining cruise, and ferry service company. The Hornblower bank loan was one of the largest detractors from the Fund for the fiscal year, with its price declining 22.0 percent, but surged 6.0 percent in the final fiscal quarter. When considering its floating coupon of 1-month LIBOR plus 475 basis points, the impact for the fiscal year was marginally offset.

 

Performance that persisted throughout most of the fiscal year was the adverse effect of the CLO exposure. For example, the Fund continued to hold Benefit Street Partners CLO III Ltd. due 7/20/2029 (08180GAG4) (holding weight*: 0.99 percent), an investment manager that invests across the credit spectrum and in both liquid and illiquid credit, and Carlyle Global Market Strategies CLO 2015- 4 Ltd. due 7/20/2032 (14311PAS8) (holding weight*: 0.91 percent), a global equity and fixed income manager. During the most recent fiscal quarter, the Benefit Street Partners CLO and Carlyle Global Markets Strategies CLO saw their prices decline 3.4 percent and 4.3 percent, respectively. These additional declines contributed toward the fiscal year’s 9.0 percent decline for the Benefit Street Partners CLO and the 14.9 percent decline for the Carlyle Global Markets Strategies CLO. However, each of these CLOs had coupons close to 10.9 percent at the end of October 2022, which offset a significant amount of the price declines.

 

Sub-Adviser Outlook

 

The U.S. economy grew 2.6 percent on an annualized basis in the third calendar quarter, however the outlook remains in flux while markets wait to discern the aggregate impact from higher interest rates on economic activity. The Fed raised its benchmark interest rate another 75 basis points at the latest Federal Open Market Committee meeting and the commentary from Fed Chair Jerome Powell shifted from dovish, in terms of considering a slower pace for future rate hikes, to hawkish, in terms of higher rates for longer and the likelihood of a higher terminal rate than previously expected. Economic data failed to provide additional clarity as a resilient labor market and steadfast consumer spending belied any evidence of softening economic activity even while the housing sector continued to deteriorate and large-cap tech companies posted notable earnings misses and softened guidance. The Sub-Adviser believes that current conditions will likely persist and frustrate forecasts until additional clarity emerges around where rates will peak.

 

*Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned as of 10/31/2022.

 

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2022

 

      Annualized
    Annualized Since Inception
  One Year Five Years (11/1/13)
Class N (3.57)% 1.31% 1.90%
Class A with load of 4.50% (8.12)% 0.13% 1.12%
Class A without load (3.81)% 1.07% 1.64%
Class C (4.18)% 0.59% 1.15%
Morningstar LSTA U.S. Leveraged Loan 100 Index (2.32)% 2.73% 2.91%
Morningstar Bank Loan Category (3.79)% 1.68% 2.28%

 

(a)Total Returns are calculated based on traded NAVs.

 

The Credit Suisse Leveraged Loan Total Return Index tracks the investable market of the U.S. dollar denominated leveraged loan market. It consists of issues rated “5B” or lower, meaning that the highest rated issues included in this index are Moody’s/S&P ratings of Baa1/BB+ or Ba1/BBB+. All loans are funded term loans with a tenor of at least one year and are made by issuers domiciled in developed countries. Investors cannot invest directly in an index or benchmark.

 

The Morningstar LSTA U.S. Leveraged Loan 100 Index is designed to reflect the performance of the largest facilities in the leveraged loan market. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Bank Loan Category is generally representative of mutual funds that primarily invest in floating- rate bank loans instead of bonds. These bank loans generally offer interest payments that typically float above a common short-term benchmark such as the London interbank offered rate (LIBOR), or the Secured Overnight Financing Rate (SOFR).

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including cost of underlying funds, are 1.06% for Class N, 1.81% for Class C and 1.31% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

21

 

DUNHAM FLOATING RATE BOND FUND
SCHEDULE OF INVESTMENTS
October 31, 2022

 

Shares               Fair Value 
     COMMON STOCKS — 0.2%              
     METALS & MINING - 0.2%              
 23,114   Covia Holdings, LLC(a)           $319,262 
                    
     TOTAL COMMON STOCKS (Cost $183,467)            319,262 
                    
Principal         Coupon Rate        
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 9.6%              
     CLO — 9.6%              
 1,500,000   Apidos CLO XX Series 2015-20A DR(b),(c)  US0003M + 5.700%  9.7790  07/16/31   1,182,032 
 1,540,000   Atrium IX Series 9A ER(b),(c)  US0003M + 6.450%  9.4930  05/28/30   1,259,038 
 2,900,000   Benefit Street Partners CLO II Ltd. Series 2013-IIA DR(b),(c)  US0003M + 6.550%  10.6290  07/15/29   2,454,513 
 2,000,000   Benefit Street Partners CLO III Ltd. Series 2013-IIIA DR(b),(c)  US0003M + 6.600%  10.8430  07/20/29   1,757,318 
 2,000,000   Benefit Street Partners CLO XII Ltd. Series 2017-12A D(b),(c)  US0003M + 6.410%  10.4890  10/15/30   1,736,702 
 2,000,000   Carlyle Global Market Strategies CLO 2015-4 Ltd. Series 2015-4A DR(b),(c)  US0003M + 6.700%  10.9430  07/20/32   1,617,752 
 250,000   CIFC Funding 2013-II Ltd. Series 2013-2A B2LR(b),(c)  US0003M + 6.520%  10.7140  10/18/30   196,252 
 275,000   CIFC Funding 2017-I Ltd. Series 2017-1A E(b),(c)  US0003M + 6.350%  10.6280  04/23/29   244,776 
 1,250,000   Goldentree Loan Management US CLO 2 Ltd. Series 2017-2A E(b),(c)  US0003M + 4.700%  8.9430  11/28/30   1,024,576 
 3,005,000   THL Credit Wind River 2014-2 CLO Ltd. Series 2014-2A ER(b),(c)  US0003M + 5.750%  9.8290  01/15/31   2,281,423 
 1,750,000   THL Credit Wind River 2019-3 CLO Ltd. Series 2019-3A E2R(b),(c)  US0003M + 6.750%  10.8290  04/15/31   1,364,777 
 700,000   TICP CLO I-2 Ltd. Series 2018-IA D(b),(c)  US0003M + 5.770%  10.0970  04/26/28   636,912 
 1,850,000   Voya CLO 2015-1 Ltd. Series 2015-1A DR(b),(c)  US0003M + 5.650%  9.8440  01/18/29   1,516,948 
                  17,273,019 
     TOTAL ASSET BACKED SECURITIES (Cost $20,311,555)            17,273,019 
                    
     CORPORATE BONDS — 7.1%              
     CABLE & SATELLITE — 0.2%              
 500,000   CSC Holdings, LLC(b)     5.7500  01/15/30   387,668 
                    
     CHEMICALS — 0.2%              
 500,000   Consolidated Energy Finance S.A.(b)     5.6250  10/15/28   420,670 
                    
     COMMERCIAL SUPPORT SERVICES — 0.2%              
 450,000   Deluxe Corporation(b),(d)     8.0000  06/01/29   378,833 

 

See accompanying notes which are an integral part of these financial statements.

22

 

DUNHAM FLOATING RATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 7.1% (Continued)              
     CONSUMER SERVICES — 0.2%              
 437,000   PROG Holdings, Inc.(b)     6.0000  11/15/29  $356,135 
                    
     ELECTRIC UTILITIES — 0.2%              
 471,000   Calpine Corporation(b)     5.0000  02/01/31   398,882 
                    
     ENTERTAINMENT CONTENT — 0.2%              
 424,000   Paramount Global(e)  H15T5Y + 3.999%  6.3750  03/30/62   359,516 
                    
     FOOD — 0.2%              
 524,000   HLF Financing Sarl, LLC / Herbalife International,(b)     4.8750  06/01/29   390,444 
                    
     HEALTH CARE FACILITIES & SERVICES — 0.2%              
 459,000   CHS/Community Health Systems, Inc.(b)     5.6250  03/15/27   365,075 
                    
     LEISURE FACILITIES & SERVICES — 1.1%              
 440,000   Carnival Corporation(b),(d)     10.5000  06/01/30   342,100 
 439,000   CEC Entertainment Company, LLC(b)     6.7500  05/01/26   411,740 
 593,000   Melco Resorts Finance Ltd.(b),(d)     5.3750  12/04/29   332,377 
 502,000   NCL Corporation Ltd.(b),(d)     7.7500  02/15/29   400,415 
 523,000   Royal Caribbean Cruises Ltd.(b),(d)     5.5000  04/01/28   404,227 
                  1,890,859 
     METALS & MINING — 0.1%              
 127,000   Mineral Resources Ltd.(b)     8.5000  05/01/30   125,271 
                    
     OIL & GAS PRODUCERS — 1.3%              
 422,000   Genesis Energy, L.P. / Genesis Energy Finance     8.0000  01/15/27   409,453 
 446,000   Hilcorp Energy I, L.P. / Hilcorp Finance Company(b)     5.7500  02/01/29   409,105 
 416,000   Howard Midstream Energy Partners, LLC(b)     6.7500  01/15/27   378,043 
 424,000   Independence Energy Finance, LLC(b)     7.2500  05/01/26   394,259 
 494,000   ITT Holdings, LLC(b)     6.5000  08/01/29   399,448 
 450,000   Strathcona Resources Ltd.(b)     6.8750  08/01/26   379,742 
                  2,370,050 

 

See accompanying notes which are an integral part of these financial statements.

23

 

DUNHAM FLOATING RATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 7.1% (Continued)              
     REAL ESTATE INVESTMENT TRUSTS — 0.2%              
 514,000   Service Properties Trust     4.3750  02/15/30  $366,950 
                    
     REAL ESTATE OWNERS & DEVELOPERS — 0.2%              
 458,000   Kennedy-Wilson, Inc.     4.7500  03/01/29   372,877 
                    
     RETAIL - DISCRETIONARY — 0.2%              
 474,000   Ken Garff Automotive, LLC(b)     4.8750  09/15/28   394,229 
                    
     SPECIALTY FINANCE — 0.9%              
 450,000   AerCap Global Aviation Trust(b),(e)  US0003M + 4.300%  6.5000  06/15/45   411,637 
 505,000   Apollo Commercial Real Estate Finance, Inc.(b)     4.6250  06/15/29   398,493 
 216,000   Burford Capital Global Finance, LLC(b)     6.2500  04/15/28   188,386 
 236,000   Burford Capital Global Finance, LLC(b)     6.8750  04/15/30   205,023 
 500,000   Cobra AcquisitionCo, LLC(b)     6.3750  11/01/29   330,133 
                  1,533,672 
     TECHNOLOGY SERVICES — 0.2%              
 475,000   ION Trading Technologies Sarl(b)     5.7500  05/15/28   378,319 
                    
     TELECOMMUNICATIONS — 0.8%              
 500,000   Altice France S.A.(b),(d)     5.5000  10/15/29   382,213 
 423,000   Hughes Satellite Systems Corporation     6.6250  08/01/26   399,587 
 464,000   Sable International Finance Ltd.(b),(d)     5.7500  09/07/27   411,938 
 550,000   Telesat Canada / Telesat, LLC(b)     4.8750  06/01/27   242,649 
                  1,436,387 
     TRANSPORTATION & LOGISTICS — 0.2%              
 372,000   American Airlines, Inc.(b),(d)     11.7500  07/15/25   407,342 
                    
     WHOLESALE - CONSUMER STAPLES — 0.3%              
 571,000   C&S Group Enterprises, LLC(b)     5.0000  12/15/28   422,932 
                    
     TOTAL CORPORATE BONDS (Cost $15,200,859)            12,756,111 

 

See accompanying notes which are an integral part of these financial statements.

24

 

DUNHAM FLOATING RATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     TERM LOANS — 80.9%              
     ADVERTISING & MARKETING — 0.3%              
 537,861   Terrier Media Buyer, Inc.(c)  US0001M + 3.500%  6.6150  12/17/26  $503,825 
                    
                    
     AEROSPACE & DEFENSE — 1.3%              
 1,195,000   Cobham Ultra US Co-Borrower, LLC(c)  US0001M + 3.750%  6.8650  12/24/28   1,156,658 
 772,456   Dynasty Acquisition Company, Inc.(c)  US0001M + 3.500%  6.6150  04/08/26   726,885 
 416,369   Standard Aero Ltd.(c)  US0001M + 3.500%  6.6150  04/08/26   391,806 
                  2,275,349 
     APPAREL & TEXTILE PRODUCTS — 1.4%              
 1,357,563   Birkenstock US BidCo, Inc.(c)  US0001M + 3.250%  5.0980  04/28/28   1,293,418 
 1,127,273   Samsonite IP Holdings Sarl(c)  US0001M + 3.000%  6.1150  04/25/25   1,107,242 
                  2,400,660 
     ASSET MANAGEMENT — 2.5%              
 1,186,949   Advisor Group Holdings, Inc.(c)  US0001M + 4.500%  7.6150  07/31/26   1,143,382 
 1,189,995   Hightower Holding, LLC(c)  US0001M + 4.000%  8.2780  04/21/28   1,109,670 
 1,187,786   Nexus Buyer, LLC(c)  US0001M + 3.750%  6.8650  11/08/26   1,144,135 
 1,200,000   NFP Corporation(c)  US0001M + 3.250%  3.3420  02/04/27   1,140,504 
                  4,537,691 
     AUTOMOTIVE — 0.6%              
 1,197,000   Dexko Global, Inc.(c)  US0001M + 3.750%  7.4240  09/24/28   1,091,407 
                    
     BEVERAGES — 0.7%              
 1,349,494   Pegasus Bidco BV(c)  TSFR1M + 4.250%  6.9620  05/05/29   1,305,636 
                    
     BIOTECH & PHARMA — 0.4%              
 773,186   Curium Bidco Sarl(c)  US0001M + 4.250%  7.9240  09/10/27   734,527 
                    
     CABLE & SATELLITE — 1.3%              
 1,194,839   CSC Holdings, LLC(c)  US0003M + 2.250%  5.6620  07/17/25   1,160,117 
 1,150,000   UPC Financing Partnership(c)  US0001M + 3.000%  6.3370  01/31/29   1,126,856 
                  2,286,973 
     CHEMICALS — 2.5%              
 1,190,003   Diamond BC BV(c)  US0001M + 2.750%  5.5560  09/15/28   1,115,925 
 1,405,505   Groupe Solmax, Inc.(c)  US0001M + 4.750%  8.3920  07/23/28   1,231,574 

 

See accompanying notes which are an integral part of these financial statements.

25

 

DUNHAM FLOATING RATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     TERM LOANS — 80.9% (Continued)              
     CHEMICALS — 2.5% (Continued)              
 1,280,464   Iris Holding, Inc.(c)  TSFR1M + 4.770%  7.8850  06/15/28  $1,176,427 
 1,188,817   NIC Acquisition Corporation(c)  US0001M + 3.750%  7.4240  01/14/28   946,744 
                  4,470,670 
     COMMERCIAL SUPPORT SERVICES — 5.0%              
 1,178,100   Allied Universal Holdco, LLC(c)  US0001M + 3.750%  6.8650  05/05/28   1,072,336 
 779,891   Amentum Government Services Holdings, LLC(c)  SOFRRATE + 4.000%  7.5580  02/07/29   757,142 
 1,188,000   APX Group, Inc.(c)  US0001M + 2.500%  6.7300  07/01/28   1,096,209 
 787,692   Cast & Crew Payroll, LLC(c)  US0001M + 3.500%  6.6150  02/07/26   776,097 
 1,188,000   CHG Healthcare Services, Inc.(c)  US0003M + 3.250%  6.3650  09/30/28   1,155,330 
 1,187,786   Creative Artists Agency, LLC(c)  US0001M + 3.750%  6.8650  11/26/26   1,178,510 
 904,462   Garda World Security Corporation(c)  US0001M + 4.250%  7.2400  10/30/26   864,042 
 773,990   Prime Security Services Borrower, LLC(c)  US0001M + 2.750%  6.5050  09/23/26   764,315 
 1,187,970   Sotheby’s(c)  US0001M + 4.500%  8.5790  01/15/27   1,166,289 
                  8,830,270 
     CONSTRUCTION MATERIALS — 2.0%              
                    
 1,135,061   Foley Products Company, LLC(c)  SOFRRATE + 4.750%  8.4530  02/10/29   1,083,984 
 1,388,025   Quikrete Holdings, Inc.(c)  US0001M + 3.000%  6.1150  06/11/28   1,355,441 
 1,187,047   US Silica Company(c)  US0003M + 4.000%  7.1250  05/01/25   1,155,424 
                  3,594,849 
     CONSUMER SERVICES — 0.6%              
                    
 1,183,479   Mckissock Investment Holdings, LLC(c)  SOFRRATE + 5.000%  8.8720  03/04/29   1,142,057 
                    
     CONTAINERS & PACKAGING — 3.7%              
 1,153,066   Charter Next Generation, Inc.(c)  US0001M + 3.750%  6.5560  12/01/27   1,120,048 
 1,187,257   Clydesdale Acquisition Holdings, Inc.(c)  TSFR1M + 4.250%  7.4090  03/30/29   1,145,519 
 1,278,475   LABL, Inc.(c)  US0001M + 5.000%  8.1150  10/22/28   1,183,299 
 1,036,018   Mauser Packaging Solutions Holding Company(c)  US0003M + 3.250%  6.3780  03/23/24   988,102 
 1,193,500   Patriot Container Corporation(c)  US0003M + 3.750%  6.8650  03/16/25   1,029,393 
 0   Reynolds Group Holdings, Inc.(c)  US0001M + 3.250%  5.7740  02/16/26   — 
 582,992   Trident TPI Holdings, Inc.(c)  US0003M + 3.250%  6.9240  10/05/24   574,979 
 517,179   Trident TPI Holdings, Inc.(c)  US0001M + 4.000%  7.6740  07/29/28   491,873 

 

See accompanying notes which are an integral part of these financial statements.

26

 

DUNHAM FLOATING RATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     TERM LOANS — 80.9% (Continued)              
     CONTAINERS & PACKAGING — 3.7% (Continued)              
 46,111   Trident TPI Holdings, Inc.(c)  US0001M + 4.000%  7.6740  07/29/28  $43,855 
                  6,577,068 
     E-COMMERCE DISCRETIONARY — 0.8%              
 1,046,095   CNT Holdings I Corporation(c)  US0001M + 3.500%  7.2390  10/16/27   1,020,989 
 524,000   CNT Holdings I Corporation(c)  US0001M + 3.805%  6.7500  11/06/28   500,420 
                  1,521,409 
     ELECTRIC UTILITIES — –%(f)              
 635,000   Texas Competitive Electric Holdings Company, LLC (g)     0.0000  11/22/49   — 
                    
     ELECTRICAL EQUIPMENT — 1.2%              
 993,091   Brookfield WEC Holdings, Inc.(c)  US0001M + 2.750%  5.8650  08/01/25   977,832 
 476,590   Brookfield WEC Holdings, Inc.(c)  TSFR1M + 3.750%  6.7840  08/01/25   474,319 
 556,141   Icebox Holdco III, Inc.(c)  US0001M + 3.750%  7.4240  12/14/28   516,691 
 115,642   Icebox Holdco III, Inc.(c)  US0001M + 3.775%  7.5800  12/14/28   107,439 
 179,825   Icebox Holdco III, Inc.(c)  US0001M + 6.750%  10.4240  12/15/29   160,044 
                  2,236,325 
     ENGINEERING & CONSTRUCTION — 1.8%              
 1,188,000   Osmose Utilities Services, Inc.(c)  US0001M + 3.250%  6.8820  06/17/28   1,103,913 
 1,188,000   USIC Holdings, Inc.(c)  US0001M + 3.500%  6.6150  05/14/28   1,131,939 
 1,061,873   VM Consolidated, Inc.(c)  US0001M + 3.250%  6.1270  03/26/28   1,055,900 
                  3,291,752 
     ENTERTAINMENT CONTENT — 1.5%              
 1,190,746   NEP Group, Inc.(c)  US0003M + 3.250%  6.3650  10/20/25   1,066,712 
 1,723,169   Univision Communications, Inc.(c)  TSFR1M + 4.675%  7.7900  06/10/29   1,693,013 
                  2,759,725 
     HEALTH CARE FACILITIES & SERVICES — 5.8%              
 1,188,000   Bella Holding Company, LLC(c)  US0001M + 3.750%  6.8650  04/01/28   1,108,404 
 1,180,644   Corgi BidCo, Inc.(c)  TSFR1M + 5.000%  8.7840  09/20/29   1,112,757 
 1,192,432   Legacy LifePoint Health, LLC(c)  US0001M + 3.750%  6.8710  11/16/25   1,058,284 
 1,197,386   Milano Acquisition Corporation(c)  US0001M + 4.000%  7.6740  08/17/27   1,141,258 
 1,190,746   Outcomes Group Holdings, Inc.(c)  US0003M + 3.250%  7.1740  10/24/25   1,149,069 
 1,205,165   Packaging Coordinators Midco, Inc.(c)  US0001M + 3.750%  7.4240  09/25/27   1,167,696 
 1,328,699   Phoenix Newco, Inc.(c)  US0001M + 3.250%  5.7740  08/11/28   1,282,700 

 

See accompanying notes which are an integral part of these financial statements.

27

 

DUNHAM FLOATING RATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     TERM LOANS — 80.9% (Continued)              
     HEALTH CARE FACILITIES & SERVICES — 5.8% (Continued)              
 1,190,977   Radnet Management, Inc.(c)  US0001M + 3.000%  6.1150  04/23/28  $1,158,970 
 1,371,145   Team Health Holdings, Inc.(c)  SOFRRATE + 5.250%  8.2840  02/17/27   1,148,334 
                  10,327,472 
     INDUSTRIAL INTERMEDIATE PROD — 0.7%              
 649,864   AZZ, Inc.(c)  SOFRRATE + 4.250%  7.4840  05/06/29   645,802 
 644,037   Crosby US Acquisition Corporation(c)  TSFR1M + 5.000%  8.7610  06/27/26   566,753 
                  1,212,555 
     INSTITUTIONAL FINANCIAL SERVICES — 1.2%              
 1,183,925   Aretec Group, Inc.(c)  US0003M + 4.250%  7.3840  10/01/25   1,152,355 
 1,012,893   Deerfield Dakota Holding, LLC(c)  US0001M + 3.750%  6.7840  03/06/27   960,096 
                  2,112,451 
     INSURANCE — 3.7%              
 581,146   Alliant Holdings Intermediate, LLC(c)  US0001M + 3.500%  6.9800  11/06/27   562,049 
 604,000   Alliant Holdings Intermediate, LLC(c)  US0001M + 3.500%  6.9800  11/12/27   584,153 
 759,017   Asurion, LLC(c)  US0001M + 3.250%  6.3650  12/18/26   676,356 
 665,529   Asurion, LLC(c)  US0001M + 3.250%  6.3650  07/28/27   588,577 
 355,000   Asurion, LLC(c)  US0001M + 5.250%  8.3650  01/29/28   251,830 
 365,000   Asurion, LLC(c)  US0001M + 5.250%  8.3650  01/14/29   256,108 
 1,187,909   Howden Group Holdings Ltd.(c)  US0001M + 3.260%  6.3750  11/12/27   1,162,501 
 1,187,909   HUB International Ltd.(c)  US0001M + 3.250%  7.5280  04/25/25   1,168,945 
 62,020   HUB International Ltd.(c)  TSFR1M + 4.000%  7.7610  11/10/29   59,539 
 1,045,127   Sedgwick Claims Management Services, Inc.(c)  US0003M + 3.250%  6.3650  11/05/25   1,010,413 
 189,150   Sedgwick Claims Management Services, Inc.(c)  US0001M + 3.750%  6.8650  09/03/26   184,776 
                  6,505,247 
     LEISURE FACILITIES & SERVICES — 7.1%              
 1,747,990   Aimbridge Acquisition Company, Inc.(c)  US0003M + 3.750%  6.8650  02/01/26   1,584,665 
 1,302,874   AMC Entertainment Holdings, Inc.(c)  US0003M + 3.000%  6.3140  04/22/26   929,601 
 523,024   Carnival Corporation(c)  US0001M + 3.000%  5.8770  06/30/25   492,297 
 641,571   Carnival Corporation(c)  US0001M + 3.250%  6.1270  10/08/28   590,046 
 1,344,164   Dave & Buster’s, Inc.(c)  TSFR1M + 5.073%  8.1880  06/23/29   1,317,980 
 1,200,000   Fogo De Chao, Inc.(c)  US0003M + 4.250%  7.3650  04/05/25   1,120,716 

 

See accompanying notes which are an integral part of these financial statements.

28

 

DUNHAM FLOATING RATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     TERM LOANS — 80.9% (Continued)              
     LEISURE FACILITIES & SERVICES — 7.1% (Continued)              
 2,554,718   Hornblower Sub, LLC(c)  US0001M + 4.500%  8.6700  04/27/25  $1,894,744 
 347   Motion Finco, LLC(c)  US0001M + 3.250%  6.9240  11/04/26   329 
 1,168,652   Playa Resorts Holding BV(c)  US0003M + 2.750%  5.8700  04/27/24   1,141,259 
 444,529   Scientific Games Corporation(c)  TSFR1M + 3.000%  6.4020  04/07/29   439,621 
 408,707   Scientific Games Holdings, L.P.(c)  SOFRRATE + 3.500%  7.0970  02/04/29   385,821 
 1,441,474   William Morris Endeavor Entertainment, LLC(c)  US0003M + 2.750%  5.8700  05/29/25   1,409,495 
 1,455,997   Wok Holdings, Inc.(c)  US0003M + 6.250%  9.5700  03/01/26   1,278,846 
                  12,585,420 
     LEISURE PRODUCTS — 0.8%              
 1,582,510   Varsity Brands Holding Company, Inc.(c)  US0003M + 3.500%  6.6150  12/15/24   1,474,155 
                    
     MACHINERY — 1.1%              
 828,176   Alliance Laundry Systems, LLC(c)  US0001M + 3.500%  7.4090  09/30/27   801,260 
 724   Filtration Group Corporation(c)  US0003M + 3.000%  6.1150  03/29/25   710 
 1,187,532   STS Operating, Inc.(c)  US0003M + 4.250%  7.3650  12/07/24   1,128,525 
                  1,930,495 
     MEDICAL EQUIPMENT & DEVICES — 0.8%              
 1,574,045   Mozart Borrower, L.P.(c)  US0001M + 3.250%  6.3650  09/30/28   1,450,089 
                    
     OIL & GAS PRODUCERS — 3.1%              
 1,555,166   CQP Holdco, L.P.(c)  US0001M + 3.750%  7.4240  06/04/28   1,537,872 
 787,619   EG America, LLC(c)  US0003M + 4.000%  7.6740  02/05/25   716,438 
 1,175,719   M6 ETX Holdings II Midco, LLC(c)  TSFR1M + 4.852%  7.9670  08/11/29   1,170,087 
 1,191,057   Medallion Midland Acquisition, L.P.(c)  US0001M + 3.750%  7.4240  10/14/28   1,177,288 
 977,206   TransMontaigne Operating Company, L.P.(c)  US0001M + 3.500%  7.0720  11/05/28   946,463 
                  5,548,148 
     PUBLISHING & BROADCASTING — 0.6%              
 1,206,975   Sinclair Television Group, Inc.(c)  TSFR1M + 3.750%  6.8840  04/13/29   1,133,802 
                    
     REAL ESTATE INVESTMENT TRUSTS — 0.7%              
 1,191,000   Claros Mortgage Trust, Inc.(c)  US0001M + 4.500%  7.8680  08/09/26   1,174,624 

 

See accompanying notes which are an integral part of these financial statements.

29

 

DUNHAM FLOATING RATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     TERM LOANS — 80.9% (Continued)              
     RETAIL - DISCRETIONARY — 3.3%              
 870,808   Hertz Corporation (The)(c)  US0001M + 3.250%  6.3700  06/14/28  $841,553 
 1,218,205   JP Intermediate B, LLC(c)  US0003M + 5.500%  8.3060  11/20/25   924,313 
 1,282,348   LBM Acquisition, LLC(c)  US0001M + 3.750%  7.1210  12/18/27   1,104,505 
 937,179   Mavis Tire Express Services TopCo, L.P.(c)  US0001M + 4.000%  7.7500  04/30/28   885,756 
 536,825   Petco Health & Wellness Company, Inc.(c)  US0001M + 3.250%  6.9240  02/25/28   516,147 
 513,500   PetSmart, Inc.(c)  US0003M + 3.750%  7.5000  01/29/28   495,422 
 1,194,062   Specialty Building Products Holdings, LLC(c)  US0001M + 3.750%  6.8220  10/05/28   1,043,318 
                  5,811,014 
     SEMICONDUCTORS — 0.6%              
 1,128,940   Altar Bidco, Inc.(c)  SOFRRATE + 3.350%  5.5000  11/17/28   1,058,500 
 57,359   Altar Bidco, Inc.(c)  SOFRRATE + 5.600%  7.3550  11/17/29   49,544 
                  1,108,044 
     SOFTWARE — 11.2%              
 706,560   Applied Systems, Inc.(c)  US0003M + 2.000%  5.2500  09/19/24   698,798 
 190,250   Applied Systems, Inc.(c)  US0001M + 5.500%  9.1740  09/19/25   187,661 
 2,181,633   athenahealth, Inc.(c)  SOFRRATE + 3.500%     01/27/29   1,998,921 
 599,325   Barracuda Networks, Inc.(c)  US0003M + 3.750%  7.5340  02/12/25   575,019 
 585,839   Barracuda Networks, Inc.(c)  TSFR1M + 4.419%  7.5340  05/17/29   562,081 
 1,158,119   Central Parent, Inc.(c)  TSFR1M + 4.500%  8.1120  06/09/29   1,136,404 
 1,814,651   Condor Merger Sub, Inc.(c)  SOFRRATE + 4.000%  6.8700  02/03/29   1,666,458 
 593,909   Dcert Buyer, Inc.(c)  US0003M + 4.000%  6.9030  08/08/26   573,368 
 600,000   Dcert Buyer, Inc.(c)  US0001M + 7.000%  9.9030  02/16/29   562,200 
 1,189,760   Epicor Software Corporation(c)  US0001M + 3.250%  6.3650  07/31/27   1,135,328 
 1,785,301   Greeneden US Holdings II, LLC(c)  US0001M + 4.000%  7.1150  10/08/27   1,744,578 
 1,200,000   Helios Software Holdings, Inc.(c)  US0001M + 3.750%  7.4530  03/11/28   1,159,002 
 1,095,111   MedAssets Software Intermediate Holdings, Inc.(c)  US0001M + 4.000%  7.1150  11/19/28   1,043,093 
 121,719   MedAssets Software Intermediate Holdings, Inc.(c)  US0001M + 6.750%  9.8650  11/19/29   105,226 
 1,187,755   Project Boost Purchaser, LLC(c)  US0003M + 3.500%  6.6150  05/30/26   1,146,332 
 1,181,075   Proofpoint, Inc.(c)  US0001M + 3.250%  6.3200  06/10/28   1,126,781 

 

See accompanying notes which are an integral part of these financial statements.

30

 

DUNHAM FLOATING RATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     TERM LOANS — 80.9% (Continued)              
     SOFTWARE — 11.2% (Continued)              
 1,089,621   RealPage, Inc.(c)  US0001M + 3.000%  6.1150  02/18/28  $1,026,700 
 781,147   Sophia, L.P.(c)  US0003M + 3.250%  7.1740  09/23/27   753,155 
 267,673   Sophia, L.P.(c)  SOFRRATE + 4.250%  7.0340  10/07/27   259,811 
 269,322   UKG, Inc.(c)  US0003M + 3.250%  6.9980  05/03/26   260,493 
 99,791   UKG, Inc.(c)  US0001M + 5.250%  7.5350  05/03/27   92,473 
 1,190,816   Ultimate Software Group, Inc. (The)(c)  US0003M + 3.750%  6.8650  04/08/26   1,160,772 
 1,328,329   Waystar Technologies, Inc.(c)  US0001M + 4.000%  7.1150  10/23/26   1,295,539 
                  20,270,193 
     SPECIALTY FINANCE — 0.3%              
 624,196   Apollo Commercial Real Estate Finance, Inc.(c)  US0001M + 3.500%  7.0760  03/11/28   599,228 
                    
     TECHNOLOGY HARDWARE — 1.2%              
 1,187,661   VeriFone Systems, Inc.(c)  US0003M + 4.000%  6.9970  08/20/25   1,062,659 
 1,217,013   Viasat, Inc.(c)  SOFRRATE + 4.500%  7.7630  02/24/29   1,163,014 
                  2,225,673 
     TECHNOLOGY SERVICES — 4.9%              
 177,750   ION Trading Finance Ltd.(c)  US0001M + 4.750%  8.4240  03/26/28   165,604 
 1,143,000   MoneyGram International, Inc.(c)  US0001M + 4.500%  7.6150  07/21/26   1,123,352 
 1,218,715   MPH Acquisition Holdings, LLC(c)  US0001M + 4.250%  7.3200  08/17/28   1,134,928 
 1,188,392   Peraton Corporation(c)  US0001M + 3.750%  6.8650  02/24/28   1,146,798 
 1,172,040   Sitel Worldwide Corporation(c)  US0001M + 3.750%  6.8700  07/29/28   1,156,657 
 670,741   Tempo Acquisition, LLC(c)  US0001M + 3.000%  6.0340  10/01/26   663,027 
 1,290,670   Travelport Finance Luxembourg Sarl(c)  US0001M + 1.500%  5.1740  02/28/25   1,280,506 
 1,309,759   Travelport Finance Luxembourg Sarl(c)  US0003M + 5.000%  8.6740  05/29/26   895,961 
 1,165,051   Verscend Holding Corporation(c)  US0001M + 4.000%  7.1150  08/27/25   1,152,672 
                  8,719,505 
     TELECOMMUNICATIONS — 2.9%              
 615,875   Altice France S.A.(c)  US0003M + 2.750%  5.5560  06/22/25   561,121 
 758,793   Altice France S.A.(c)  US0003M + 3.688%  7.7670  01/09/26   686,392 
 226,188   Altice France S.A.(c)  US0003M + 4.000%  6.9050  01/31/26   207,999 

 

See accompanying notes which are an integral part of these financial statements.

31

 

DUNHAM FLOATING RATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     TERM LOANS — 80.9% (Continued)              
     TELECOMMUNICATIONS — 2.9% (Continued)              
 1,594,425   CCI Buyer, Inc.(c)  US0001M + 4.000%  7.5530  12/12/27  $1,532,976 
 1,587,792   Connect Finco S.A.RL(c)  US0001M + 3.500%  6.6200  12/12/26   1,538,967 
 1,235   Intelsat Jackson Holdings S.A.     8.6250  01/02/24   — 
 1,201,429   Telesat, LLC(c)  US0001M + 2.750%  5.8700  12/06/26   634,835 
                  5,162,290 
     TRANSPORTATION & LOGISTICS — 2.7%              
 680,000   AAdvantage Loyalty IP Ltd.(c)  US0003M + 4.750%  7.4600  03/10/28   674,536 
 975,086   Air Canada(c)  US0001M + 3.500%  6.4210  07/27/28   953,858 
 1,187,615   Kenan Advantage Group, Inc. (The)(c)  US0001M + 3.750%  6.8650  03/24/26   1,138,775 
 400,250   Mileage Plus Holdings, LLC(c)  US0003M + 5.250%  8.7770  06/25/27   409,422 
 694,425   United Airlines, Inc.(c)  US0001M + 3.750%  8.1080  04/14/28   679,717 
 1,211,344   WestJet Airlines Ltd.(c)  US0003M – 1.533%  5.9930  10/08/26   1,063,923 
                  4,920,231 
     WHOLESALE - DISCRETIONARY — 0.6%              
 1,190,769   Fastlane Parent Company, Inc.(c)  US0001M + 4.500%  7.6150  02/04/26   1,155,642 
                    
     TOTAL TERM LOANS (Cost $152,410,278)            144,986,471 
                    
Shares      Expiration Date  Exercise Price     Fair Value 
     RIGHT — 0.0%(f)              
     NON-LISTED RIGHT - 0.0% (f)              
 10,588   TRA Rights  11/22/2024  —      12,706 
                    
     TOTAL RIGHT (Cost $17,470)            12,706 
                    
Shares      Expiration Date  Exercise Price     Fair Value 
     WARRANT — 0.1%              
     PUBLISHING & BROADCASTING - 0.1%              
 14,905   iHeartMedia, Inc.  05/02/2039  $               0.00      106,198 
                    
     TOTAL WARRANT (Cost $287,609)            106,198 

 

See accompanying notes which are an integral part of these financial statements.

32

 

DUNHAM FLOATING RATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     SHORT-TERM INVESTMENTS — 3.2%     
     MONEY MARKET FUND -1.6%     
 2,926,305   Fidelity Government Portfolio Institutional Class I, 2.86%(h)  $2,926,305 
           
     COLLATERAL FOR SECURITIES LOANED - 1.6%     
 2,857,500   Mount Vernon Liquid Assets Portfolio, LLC, 3.24% (h)  $2,857,500 
     TOTAL SHORT-TERM INVESTMENTS (Cost $5,783,805)   5,783,805 
           
     TOTAL INVESTMENTS – 101.1% (Cost $194,195,043)  $181,237,572 
     LIABILITIES IN EXCESS OF OTHER ASSETS – (1.1)%   (2,039,319)
     NET ASSETS - 100.0%  $179,198,253 

 

LLC - Limited Liability Company
   
LP - Limited Partnership
   
LTD - Limited Company
   
REIT - Real Estate Investment Trust
   
S/A - Société Anonyme
   
H15T5Y US Treasury Yield Curve Rate T Note Constant Maturity 5 Year
   
SOFRRATE United States SOFR Secured Overnight Financing Rate
   
TSFR1M CME Term SOFR 1M
   
US0001M ICE LIBOR USD 1 Month
   
US0003M ICE LIBOR USD 3 Month

 

(a)Non-income producing security.

 

(b)Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of October 31, 2022 the total market value of 144A securities is 28,120,747 or 15.7% of net assets.

 

(c)Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

 

(d)All or a portion of these securities are on loan. Total loaned securities had a value of $2,798,661 at October 31, 2022.

 

(e)Variable rate security; the rate shown represents the rate on October 31, 2022.

 

(f)Percentage rounds to less than 0.1%.

 

(g)Represents issuer in default on interest payments; non-income producing security.

 

(h)Rate disclosed is the seven day effective yield as of October 31, 2022.

 

(i)The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

See accompanying notes which are an integral part of these financial statements.

33

 

DUNHAM FLOATING RATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Portfolio Composition * - (Unaudited)
Term Loans   80.0%  Collateral for Securities Loaned   1.6%
Asset Backed Securities   9.5%  Common Stock   0.2%
Corporate Bonds   7.0%  Warrant   0.1%
Short-Term Investment   1.6%  Right   0.0%
        Total   100.0%

 

*Based on total value of investments as of October 31, 2022. Does not include derivative holdings.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes which are an integral part of these financial statements.

34

 

Dunham High-Yield Bond Fund (Unaudited)
Message from the Sub-Adviser (PineBridge Investments, LLC)

 

Asset Class Recap

 

High-yield bonds struggled over the fiscal year period ended October 31, 2022, as persistent inflation and the Federal Reserve’s (Fed’s) response in the form of monetary tightening, lead to a sell-off in the higher-risk asset class. At the beginning of the fiscal year, the Federal Funds rate stood at 0.0-0.25 percent, a level that had been maintained for approximately two years following the onset of the global COVID pandemic. Given the restrictive lockdowns during COVID and resulting supply chain bottlenecks, inflation, as measured by the Consumer Price Index, reached year-over-year levels not seen since the early 1980’s. To potentially curb inflation, the Fed instrumented a series of aggressive interest rate increases beginning in March of 2022, implementing an interest rate increase at every Federal Open Market Committee (FOMC) meeting between March and fiscal year-end. By the end of the fiscal year, the policy rate reached levels not seen since the Great Financial Crisis, closing at 3.0-3.25 percent. The 3 percent increase in the policy rate over the fiscal year led to a steep sell-off in higher duration assets. Investment-grade bonds and government bonds, as measured by the Bloomberg U.S. Aggregate Bond Index, fell 15.7 percent over the fiscal year, while high-yield bonds, as measured by the ICE BofA Cash Pay High Yield Index, fared marginally better, only falling 11.4 percent. Lever aged loans, as measured by the Credit Suisse Leveraged Loan Index, one of the few asset classes that has historically maintained a duration of less than a year, fell 2.0 percent over the fiscal year, outperforming the broader fixed income markets.

 

Allocation Review

 

The sector that contributed the most to performance over the fiscal year was the energy sector, as superior credit selection, coupled with an overweight allocation, provided strong relative returns. The geopolitical conflict between Russia and Ukraine, coupled with ongoing supply chain bottlenecks due to lingering COVID cases, limited the supply of oil, further driving up the price per barrel. Other sectors that contributed to relative Fund performance were the consumer staples and communications sectors. Strong security selection with a marginal contribution from sector allocation boosted performance in these sectors. The sector that detracted the most from Fund performance over the fiscal year was the consumer cyclical sector. Poor security selection hurt performance, however, a slight sector underweight mitigated the relative loss. In addition, the capital goods and financial services sectors detracted from Fund performance as security selection dragged down returns.

 

Holdings Insights

 

The largest contributor to Fund performance over the fiscal year was PBF Holding Company, LLC / PBF Finance Corporation 6%, due 02/15/2028 (69318FAJ7) (holding weight* 0.46 percent). PBF is a special purpose entity and holding company for its underlying subsidiaries that operate in the petroleum refining industry. Over the fiscal year, the price of oil and gas rose significantly, translating to an increase in sales for PBF’s subsidiary businesses. Over the fiscal year, the PBF bond gained 36.0 percent. Another contributor over the fiscal year was Genesis Energy, L.P. / Genesis Energy Finance Corporation 5.625%, due 06/15/2024 (37185LAF9) (holding weight*: 0.74 percent). Like PBF, Genesis Energy benefitted from the rise in oil and natural gas prices, leading to a boost in sales. Given the geopolitical uncertainty in Europe, coupled with persistent supply chain bottlenecks as a result of COVID, the demand and price for gas is likely to stay elevated, a tailwind for Genesis Energy. Over the fiscal year, the Genesis Energy bond rose 3.9 percent. Within the consumer cyclical sector, SeaWorld Parks & Entertainment, Inc. 8.75%, due 05/01/2025 (81282UAC6) (holding weight*: 0.48 percent), a leading theme park and entertainment company providing zoological experiences, contributed to relative Fund performance over the fiscal year. SeaWorld received a credit rating upgrade as a result of increased consumer demand coming out of the pandemic, pricing initiatives, and effective expense management. In addition, SeaWorld’s most recent earnings report that beat expectations, while providing an optimistic outlook. Over the fiscal year, the SeaWorld bond added 4.1 percent.

 

The largest detractor to Fund performance over the fiscal year was Ford Motor Company 4.75%, due 1/15/2043 (345370CQ1) (holding weight*: 0.29 percent). Ford Motor Company is a developer and distributor of automobiles, automobile parts, and accessories across North America, South America, Europe, and China. Given the increase in interest rates, these longer-dated bonds sold off over the fiscal period, as their higher duration weighed on returns. Additionally, rising costs have affected the automobile manufacturer’s bottom line, with negative earnings over the most recent fiscal quarter. The Ford Motor Company bond lost 32.3 percent over the fiscal period. Another detractor over the fiscal year was Carvana Company 5.5% due 4/15/2027 (146869AF9) (holding weight*: 0.23 percent). Carvana is an operator of an e-commerce platform for buying and selling used cars. Carvana had been outperforming the broader market at the onset of the pandemic as consumers flocked to the platform to buy and sell cars at discount prices. With inflation now at 40-year highs, consumer spending has pulled back considerably, leading to a decline in sales, as reported in Carvana’s most recent earnings. Over the fiscal year, Carvana dropped 48.3 percent. Within the communications sector, Telesat Canada / Telesat, LLC 4.88% due 6/1/2027 (87952VAP1) (holding weight*: 0.35 percent), one of the largest global satellite operators, detracted from relative Fund performance. Telesat reported some significant contract terminations and a reduction in contract renewals of certain services over the fiscal year. Over the fiscal year, the Telesat bond declined 45.7 percent.

 

Sub-Adviser Outlook

 

While the current market environment poses many threats to the high-yield asset class, the Sub-Adviser believes there is still opportunity. Inflation remains well-above historical averages, however, has not curtailed spending as much as anticipated, as corporations have been able to pass the rising input costs onto the consumer. In addition, volatility has led to some significant dislocations in the market, with some sectors of the market appearing attractive. As always, the Sub-Adviser will remain disciplined in their investment approach, seeking out those sectors and issuers in the market that provide what it believes to be the most attractive risk-adjusted returns.

 

*Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 10/31/2022.

 

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2022
 
    Annualized Annualized
  One Year Five Years Ten Years
Class N (10.88)% 1.72% 3.00%
Class A with load of 4.50% (14.95)% 0.57% 2.29%
Class A without load (10.98)% 1.50% 2.76%
Class C (11.50)% 1.00% 2.26%
Bloomberg U.S. Corporate High-Yield Bond Ba/B 2% Issuer Capped Index (11.33)% 2.25% 3.77%
Morningstar High-Yield Bond Category (11.11)% 1.19% 3.06%

 

(a)Total Returns are calculated based on traded NAVs.

 

Bloomberg U.S. Corporate High-Yield Bond Ba/B 2% Issuer Capped Index is an issuer-constrained version of the flagship US Corporate High Yield Index, which measures the USD -denominated, high yield, fixed-rate corporate bond market. Investors cannot invest directly in an index or benchmark.

 

The Morningstar High-Yield Bond Category is generally representative of mutual funds that primarily invest in U.S. high-income debt securities where at least 65% or more of bond assets are not rated or are rated by a major agency such as Standard & Poor’s or Moody’s at the level of BB (considered speculative for taxable bonds) and below.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.17% for Class N, 1.92% for Class C and 1.42% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

35

 

DUNHAM HIGH-YIELD BOND FUND
SCHEDULE OF INVESTMENTS
October 31, 2022

  

Shares                  Fair Value 
     COMMON STOCK — 2.4%         
     OIL & GAS SERVICES & EQUIPMENT - 2.4%         
 50   Hi-Crush(a),(h)      $2,317,450 
     TOTAL COMMON STOCK (Cost $1,196,933)       2,317,450 
Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 92.4%              
     AEROSPACE & DEFENSE — 1.7%              
 545,000   Moog, Inc.(b)     4.2500  12/15/27   485,919 
 493,000   Rolls-Royce plc(b)     5.7500  10/15/27   446,826 
 748,000   Spirit AeroSystems, Inc.(b)     7.5000  04/15/25   728,473 
                  1,661,218 
     ASSET MANAGEMENT — 0.7%              
 415,000   AG Issuer, LLC(b)     6.2500  03/01/28   386,975 
 333,000   NFP Corporation(b)     4.8750  08/15/28   288,159 
                  675,134 
     AUTOMOTIVE — 0.8%              
 185,000   Ford Motor Company     3.2500  02/12/32   138,858 
 404,000   Ford Motor Company     4.7500  01/15/43   282,576 
 211,000   Ford Motor Credit Co LLC     4.0000  11/13/30   171,216 
 205,000   Ford Motor Credit Company, LLC     4.9500  05/28/27   187,989 
                  780,639 
     BIOTECH & PHARMA — 1.2%              
 587,000   Grifols Escrow Issuer S.A.(b),(c)     4.7500  10/15/28   459,372 
 200,000   Organon Finance 1, LLC(b)     4.1250  04/30/28   176,547 
 589,000   Organon Finance 1, LLC(b),(c)     5.1250  04/30/31   501,209 
                  1,137,128 
     CABLE & SATELLITE — 5.8%              
 1,290,000   Altice Financing S.A.(b),(c)     5.0000  01/15/28   1,024,815 
 555,000   Block Communications, Inc.(b)     4.8750  03/01/28   483,424 
 378,000   CCO Holdings, LLC / CCO Holdings Capital(b),(c)     5.0000  02/01/28   343,693 
 825,000   CCO Holdings, LLC / CCO Holdings Capital(b)     5.3750  06/01/29   737,039 
 800,000   CCO Holdings, LLC / CCO Holdings Capital(b)     6.3750  09/01/29   739,204 
 590,000   CSC Holdings, LLC(b)     5.3750  02/01/28   542,655 

 

See accompanying notes which are an integral part of these financial statements.

36

 

DUNHAM HIGH-YIELD BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 92.4% (Continued)              
     CABLE & SATELLITE — 5.8% (Continued)              
 535,000   CSC Holdings, LLC(b)     5.7500  01/15/30  $414,804 
 680,000   CSC Holdings, LLC(b)     4.6250  12/01/30   490,734 
 610,000   Sirius XM Radio, Inc.(b)     4.0000  07/15/28   525,316 
 435,000   UPC Broadband Finco BV(b)     4.8750  07/15/31   361,776 
                  5,663,460 
     CHEMICALS — 1.5%              
 604,000   Consolidated Energy Finance S.A.(b)     5.6250  10/15/28   508,170 
 572,000   Methanex Corporation(c)     5.1250  10/15/27   520,542 
 531,000   Minerals Technologies, Inc.(b)     5.0000  07/01/28   462,074 
                  1,490,786 
     COMMERCIAL SUPPORT SERVICES — 4.8%              
 400,000   Allied Universal Holdco, LLC / Allied Universal(b)     4.6250  06/01/28   335,788 
 585,000   Brink’s Company (The)(b)     4.6250  10/15/27   542,087 
 344,000   Covanta Holding Corporation     5.0000  09/01/30   287,240 
 456,000   Covert Mergeco, Inc.(b)     4.8750  12/01/29   389,358 
 630,000   Deluxe Corporation(b)     8.0000  06/01/29   530,366 
 228,000   Garda World Security Corporation(b)     4.6250  02/15/27   202,657 
 222,000   Garda World Security Corporation(b)     6.0000  06/01/29   173,340 
 578,000   Harsco Corporation(b),(c)     5.7500  07/31/27   410,996 
 380,000   Korn Ferry(b)     4.6250  12/15/27   346,210 
 515,000   Prime Security Services Borrower, LLC / Prime(b)     5.7500  04/15/26   502,093 
 505,000   Sotheby’s(b)     7.3750  10/15/27   493,244 
 580,000   TriNet Group, Inc.(b)     3.5000  03/01/29   481,513 
                  4,694,892 
     CONSTRUCTION MATERIALS — 0.7%              
 328,000   Standard Industries, Inc.(b)     4.7500  01/15/28   288,220 
 505,000   Standard Industries, Inc.(b)     3.3750  01/15/31   379,048 
                  667,268 
     CONSUMER SERVICES — 0.9%              
 600,000   PROG Holdings, Inc.(b)     6.0000  11/15/29   488,973 
 561,000   Rent-A-Center, Inc.(b),(c)     6.3750  02/15/29   437,861 
                  926,834 
     CONTAINERS & PACKAGING — 2.7%              
 414,000   Ardagh Metal Packaging Finance USA, LLC / Ardagh(b)     3.2500  09/01/28   340,511 

 

See accompanying notes which are an integral part of these financial statements.

37

 

DUNHAM HIGH-YIELD BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 92.4% (Continued)              
     CONTAINERS & PACKAGING — 2.7% (Continued)              
 139,000   Ball Corporation     5.2500  07/01/25  $137,507 
 199,000   Ball Corporation     2.8750  08/15/30   154,882 
 580,000   Clydesdale Acquisition Holdings, Inc.(b),(c)     6.6250  04/15/29   550,149 
 479,000   Crown Americas, LLC(b)     5.2500  04/01/30   438,902 
 507,000   LABL, Inc.(b)     5.8750  11/01/28   441,502 
 90,000   Sealed Air Corporation(b)     5.0000  04/15/29   82,222 
 465,000   Silgan Holdings, Inc.     4.1250  02/01/28   426,689 
                  2,572,364 
     ELECTRIC UTILITIES — 1.7%              
 453,000   Calpine Corporation(b)     5.0000  02/01/31   383,638 
 332,000   Calpine Corporation(b)     3.7500  03/01/31   272,815 
 165,000   Clearway Energy Operating, LLC(b)     3.7500  01/15/32   130,961 
 510,000   NRG Energy Inc(b),(c)     3.6250  02/15/31   408,581 
 510,000   Vistra Operations Company, LLC(b)     5.0000  07/31/27   471,365 
                  1,667,360 
     ENGINEERING & CONSTRUCTION — 0.5%              
 557,000   VM Consolidated, Inc.(b)     5.5000  04/15/29   486,035 
                    
     ENTERTAINMENT CONTENT — 1.6%              
 445,000   Banijay Entertainment S.A.SU(b)     5.3750  03/01/25   413,009 
 354,000   Paramount Global(d)  H15T5Y + 3.999%  6.3750  03/30/62   300,162 
 735,000   Univision Communications, Inc.(b),(c)     6.6250  06/01/27   727,312 
 131,000   Univision Communications, Inc.(b)     7.3750  06/30/30   126,900 
                  1,567,383 
     FOOD — 2.0%              
 208,000   Herbalife Nutrition Ltd. / HLF Financing, Inc.(b)     7.8750  09/01/25   194,668 
 675,000   HLF Financing Sarl, LLC / Herbalife International,(b)     4.8750  06/01/29   502,958 
 209,000   Land O’Lakes Capital Trust I(b)     7.4500  03/15/28   208,228 
 345,000   Pilgrim’s Pride Corporation(b)     5.8750  09/30/27   337,686 
 570,000   Post Holdings, Inc.(b)     4.5000  09/15/31   472,613 
 381,000   Simmons Foods, Inc./Simmons Prepared Foods,(b)     4.6250  03/01/29   318,819 
                  2,034,972 

 

See accompanying notes which are an integral part of these financial statements.

38

 

DUNHAM HIGH-YIELD BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

  

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 92.4% (Continued)              
     FORESTRY, PAPER & WOOD PRODUCTS — 0.3%              
 456,000   Glatfelter Corporation(b)     4.7500  11/15/29  $294,469 
                    
     GAS & WATER UTILITIES — 0.6%              
 615,000   Ferrellgas Escrow, LLC / FG Operating Finance(b)     5.3750  04/01/26   561,089 
 30,000   Ferrellgas Escrow, LLC / FG Operating Finance(b)     5.8750  04/01/29   25,213 
                  586,302 
     HEALTH CARE FACILITIES & SERVICES — 3.0%              
 750,000   CHS/Community Health Systems, Inc.(b)     5.6250  03/15/27   596,528 
 815,000   DaVita, Inc.(b)     4.6250  06/01/30   636,735 
 597,000   HCA, Inc.     3.5000  09/01/30   496,486 
 530,000   Legacy LifePoint Health, LLC(b)     4.3750  02/15/27   421,286 
 695,000   Select Medical Corporation(b),(c)     6.2500  08/15/26   660,323 
 215,000   Tenet Healthcare Corporation     4.6250  07/15/24   208,740 
                  3,020,098 
     HOME CONSTRUCTION — 0.9%              
 361,000   Mattamy Group Corporation(b),(c)     5.2500  12/15/27   309,009 
 210,000   Mattamy Group Corporation(b)     4.6250  03/01/30   165,557 
 475,000   PGT Innovations, Inc.(b)(c)     4.3750  10/01/29   396,624 
                  871,190 
     HOUSEHOLD PRODUCTS — 1.4%              
 456,000   Coty, Inc.(b)     5.0000  04/15/26   430,402 
 600,000   Edgewell Personal Care Company(b)     4.1250  04/01/29   516,867 
 461,000   Energizer Holdings, Inc.(b),(c)     4.3750  03/31/29   372,258 
                  1,319,527 
     INSTITUTIONAL FINANCIAL SERVICES — 0.8%              
 550,000   Aretec Escrow Issuer, Inc.(b)     7.5000  04/01/29   451,830 
 414,000   LPL Holdings, Inc.(b)     4.0000  03/15/29   362,385 
                  814,215 
     INSURANCE — 0.4%              
 345,000   NMI Holdings, Inc.(b)     7.3750  06/01/25   345,136 
                    
     INTERNET MEDIA & SERVICES — 0.3%              
 375,000   GrubHub Holdings, Inc.(b)     5.5000  07/01/27   252,010 

 

See accompanying notes which are an integral part of these financial statements.

39

 

DUNHAM HIGH-YIELD BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 92.4% (Continued)              
     LEISURE FACILITIES & SERVICES — 7.3% (Continued)              
 400,000   AMC Entertainment Holdings, Inc.(b),(e)     10.0000  06/15/26  $212,750 
 306,000   Brinker International, Inc.(b)     5.0000  10/01/24   297,251 
 530,000   Caesars Entertainment, Inc.(b)     6.2500  07/01/25   515,243 
 104,000   Carnival Corporation(b),(c)     7.6250  03/01/26   78,377 
 835,000   Carnival Corporation(b)     5.7500  03/01/27   581,841 
 127,000   Carnival Corporation(b)     6.0000  05/01/29   84,446 
 195,000   Carnival Corporation(b)     10.5000  06/01/30   151,613 
 715,000   CEC Entertainment Company, LLC(b)     6.7500  05/01/26   670,603 
 295,000   Dave & Buster’s, Inc. B(b)     7.6250  11/01/25   294,618 
 211,000   Hilton Grand Vacations Borrower Escrow, LLC (b)     5.0000  06/01/29   181,003 
 555,000   Hilton Grand Vacations Borrower Escrow, LLC (b)     4.8750  07/01/31   454,306 
 629,000   Melco Resorts Finance Ltd.(b),(c)     5.3750  12/04/29   352,555 
 710,000   NCL Corporation Ltd.(b),(c)     3.6250  12/15/24   617,819 
 187,000   NCL Corporation Ltd.(b)     5.8750  03/15/26   153,496 
 243,000   NCL Corporation Ltd.(b),(c)     7.7500  02/15/29   193,827 
 603,000   Royal Caribbean Cruises Ltd.(b)     4.2500  07/01/26   477,832 
 126,000   Royal Caribbean Cruises Ltd.(b),(c)     5.5000  04/01/28   97,385 
 445,000   SeaWorld Parks & Entertainment, Inc.(b)     8.7500  05/01/25   456,408 
 430,000   SeaWorld Parks & Entertainment, Inc.(b)     5.2500  08/15/29   370,455 
 517,000   Wyndham Destinations, Inc.     5.7500  04/01/27   480,180 
 665,000   Wynn Macau Ltd.(b),(c)     5.1250  12/15/29   403,915 
                  7,125,923 
     MEDICAL EQUIPMENT & DEVICES — 0.9%              
 510,000   Embecta Corporation(b)     5.0000  02/15/30   437,902 
 482,000   Mozart Debt Merger Sub, Inc.(b)     3.8750  04/01/29   396,035 
                  833,937 
     METALS & MINING — 2.0%              
 637,000   FMG Resources August 2006 Pty Ltd.(b)     4.5000  09/15/27   571,816 
 555,000   Hudbay Minerals, Inc.(b)     6.1250  04/01/29   460,828 
 305,000   Mineral Resources Ltd.(b)     8.1250  05/01/27   304,135 
 180,000   Mineral Resources Ltd.(b)     8.5000  05/01/30   177,549 
 480,000   Warrior Met Coal, Inc.(b)     7.8750  12/01/28   473,919 
                  1,988,247 

 

See accompanying notes which are an integral part of these financial statements.

40

 

DUNHAM HIGH-YIELD BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 92.4% (Continued)              
     OIL & GAS PRODUCERS — 16.0%              
 576,000   Antero Midstream Partners, L.P. / Antero Midstream(b)     5.7500  01/15/28  $543,951 
 680,000   Antero Resources Corporation(b),(c)     5.3750  03/01/30   630,128 
 442,000   Apache Corporation     4.3750  10/15/28   395,571 
 377,000   Apache Corporation     4.7500  04/15/43   283,233 
 554,000   Buckeye Partners, L.P.(b)     4.5000  03/01/28   481,412 
 494,000   California Resources Corporation(b)     7.1250  02/01/26   485,535 
 480,000   Civitas Resources, Inc.(b)     5.0000  10/15/26   442,586 
 132,000   DCP Midstream Operating, L.P.(b)     6.7500  09/15/37   127,741 
 235,000   DCP Midstream Operating, L.P.     5.6000  04/01/44   206,443 
 302,000   DT Midstream, Inc.(b)     4.3750  06/15/31   256,336 
 498,000   Earthstone Energy Holdings, LLC(b)     8.0000  04/15/27   472,037 
 605,000   eG Global Finance plc(b)     6.7500  02/07/25   545,873 
 286,000   EnLink Midstream, LLC(b)     6.5000  09/01/30   281,353 
 70,000   EQM Midstream Partners, L.P.(b)     7.5000  06/01/27   69,207 
 233,000   EQM Midstream Partners, L.P.     5.5000  07/15/28   208,647 
 264,000   EQM Midstream Partners, L.P.(b)     7.5000  06/01/30   257,096 
 724,000   Genesis Energy, L.P. / Genesis Energy Finance     5.6250  06/15/24   708,586 
 36,000   Genesis Energy, L.P. / Genesis Energy Finance     6.2500  05/15/26   33,441 
 307,000   Genesis Energy, L.P. / Genesis Energy Finance     8.0000  01/15/27   297,873 
 677,000   Harvest Midstream I, L.P.(b)     7.5000  09/01/28   653,332 
 434,000   Hilcorp Energy I, L.P. / Hilcorp Finance Company(b)     5.7500  02/01/29   398,097 
 279,000   Hilcorp Energy I, L.P. / Hilcorp Finance Company(b)     6.0000  02/01/31   254,219 
 814,000   Holly Energy Partners, L.P. / Holly Energy Finance(b)     5.0000  02/01/28   737,059 
 550,000   Howard Midstream Energy Partners, LLC(b)     6.7500  01/15/27   499,816 
 509,000   Independence Energy Finance, LLC(b)     7.2500  05/01/26   473,296 
 695,000   ITT Holdings, LLC(b)     6.5000  08/01/29   561,976 
 35,000   Murphy Oil Corporation     6.3750  07/15/28   34,152 
 405,000   Murphy Oil USA, Inc.(c)     4.7500  09/15/29   365,158 
 650,000   NGL Energy Operating, LLC / NGL Energy Finance(b)     7.5000  02/01/26   588,418 
 425,000   NGL Energy Partners, L.P. / NGL Energy Finance(c)     6.1250  03/01/25   332,157 
 152,000   NuStar Logistics, L.P.     5.7500  10/01/25   146,975 
 379,000   NuStar Logistics, L.P.     6.3750  10/01/30   352,099 
 452,000   Oasis Petroleum, Inc.(b)(c)     6.3750  06/01/26   442,221 

 

See accompanying notes which are an integral part of these financial statements.

41

 

DUNHAM HIGH-YIELD BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 92.4% (Continued)              
     OIL & GAS PRODUCERS — 16.0% (Continued)              
 251,000   Occidental Petroleum Corporation(c)     6.1250  01/01/31  $252,571 
 503,000   Occidental Petroleum Corporation     6.3750  09/01/28   511,650 
 486,000   PBF Holding Company, LLC / PBF Finance Corporation     6.0000  02/15/28   442,530 
 197,000   Rockcliff Energy II, LLC(b)     5.5000  10/15/29   175,944 
 415,000   Southwestern Energy Company(c)     5.3750  02/01/29   387,616 
 344,000   Southwestern Energy Company     5.3750  03/15/30   318,664 
 600,000   Strathcona Resources Ltd.(b)     6.8750  08/01/26   506,323 
 526,000   Venture Global Calcasieu Pass, LLC(b)     3.8750  08/15/29   455,093 
 60,000   Western Midstream Operating, L.P.     4.5000  03/01/28   55,132 
                  15,671,547 
     OIL & GAS SERVICES & EQUIPMENT — 2.2%              
 491,000   Archrock Partners, L.P. / Archrock Partners(b)     6.8750  04/01/27   468,306 
 480,000   Nabors Industries Ltd.(b)     7.2500  01/15/26   464,369 
 434,000   Nabors Industries, Inc.(b)     7.3750  05/15/27   427,483 
 510,000   USA Compression Partners, L.P. / USA Compression(c)     6.8750  04/01/26   490,801 
 337,000   Weatherford International Ltd.(b)     6.5000  09/15/28   322,378 
                  2,173,337 
     PUBLISHING & BROADCASTING — 0.7%              
 735,000   Belo Corporation     7.7500  06/01/27   721,968 
                    
     REAL ESTATE INVESTMENT TRUSTS — 2.0%              
 595,000   CTR Partnership, L.P. / CareTrust Capital(b)     3.8750  06/30/28   502,616 
 650,000   HAT Holdings I, LLC / HAT Holdings II, LLC(b)     3.3750  06/15/26   532,597 
 302,000   Service Properties Trust     5.2500  02/15/26   260,000 
 300,000   Service Properties Trust     4.7500  10/01/26   244,800 
 46,000   Service Properties Trust     5.5000  12/15/27   39,631 
 57,000   Service Properties Trust     3.9500  01/15/28   42,024 
 165,000   Service Properties Trust     4.9500  10/01/29   120,020 
 374,000   Service Properties Trust     4.3750  02/15/30   267,002 
                  2,008,690 
     REAL ESTATE OWNERS & DEVELOPERS — 0.5%              
 438,000   Kennedy-Wilson, Inc.     4.7500  03/01/29   356,594 
 119,000   Kennedy-Wilson, Inc.     4.7500  02/01/30   93,710 
                  450,304 

 

See accompanying notes which are an integral part of these financial statements.

42

 

DUNHAM HIGH-YIELD BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 92.4% (Continued)              
     REAL ESTATE SERVICES — 0.6% (Continued)              
 602,000   Cushman & Wakefield US Borrower, LLC(b)    6.7500  05/15/28  $574,811 
                    
     RENEWABLE ENERGY — 0.5%              
 554,000   EnerSys(b)     4.3750  12/15/27   487,296 
                    
     RETAIL - CONSUMER STAPLES — 1.0%              
 440,000   Albertsons Companies Inc / Safeway Inc / New(b)     4.6250  01/15/27   408,476 
 600,000   Albertsons Companies Inc / Safeway Inc / New(b)     5.8750  02/15/28   561,732 
                  970,208 
     RETAIL - DISCRETIONARY — 2.1%              
 462,000   Carvana Company(b)     5.5000  04/15/27   220,798 
 133,000   Carvana Company(b)     5.8750  10/01/28   61,491 
 230,000   Carvana Company(b)     4.8750  09/01/29   101,105 
 195,000   Hertz Corporation (The)(b)     5.0000  12/01/29   155,001 
 575,000   Ken Garff Automotive, LLC(b)     4.8750  09/15/28   478,231 
 248,000   LBM Acquisition, LLC(b)     6.2500  01/15/29   174,074 
 600,000   Metis Merger Sub, LLC(b)     6.5000  05/15/29   484,733 
 569,000   Park River Holdings, Inc.(b)     6.7500  08/01/29   375,466 
                  2,050,899 
     SEMICONDUCTORS — 0.8%              
 520,000   Entegris Escrow Corporation(b)     5.9500  06/15/30   476,303 
 354,000   ON Semiconductor Corporation(b)     3.8750  09/01/28   311,865 
                  788,168 
     SOFTWARE — 2.0%              
 335,000   Central Parent, Inc. / Central Merger Sub, Inc.(b),(c)     7.2500  06/15/29   320,260 
 800,000   Condor Merger Sub, Inc.(b),(c)     7.3750  02/15/30   662,985 
 200,000   Helios Software Holdings, Inc. / ION Corporate(b)     4.6250  05/01/28   154,683 
 164,000   NortonLifeLock, Inc.(b)     6.7500  09/30/27   162,526 
 321,000   NortonLifeLock, Inc.(b),(c)     7.1250  09/30/30   316,217 
 595,000   Rackspace Technology Global, Inc.(b)     3.5000  02/15/28   394,002 
                  2,010,673 
     SPECIALTY FINANCE — 7.6%              
 570,000   AerCap Global Aviation Trust(b),(c),(d)  US0003M + 4.300%  6.5000  06/15/45   521,408 

 

See accompanying notes which are an integral part of these financial statements.

43

 

DUNHAM HIGH-YIELD BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 92.4% (Continued)              
     SPECIALTY FINANCE — 7.6% (Continued)              
 555,000   Alliance Data Systems Corporation(b)     4.7500  12/15/24  $485,859 
 625,000   Apollo Commercial Real Estate Finance, Inc.(b)     4.6250  06/15/29   493,184 
 660,000   Burford Capital Global Finance, LLC(b)     6.2500  04/15/28   575,625 
 831,000   Cobra AcquisitionCo, LLC(b)     6.3750  11/01/29   548,680 
 439,000   Curo Group Holdings Corporation(b)     7.5000  08/01/28   260,307 
 215,000   Enova International, Inc.(b)     8.5000  09/01/24   202,040 
 430,000   Enova International, Inc.(b)     8.5000  09/15/25   386,528 
 512,000   FirstCash, Inc.(b)     4.6250  09/01/28   444,849 
 202,000   FirstCash, Inc.(b)     5.6250  01/01/30   178,631 
 418,000   Genworth Mortgage Holdings, Inc.(b)     6.5000  08/15/25   412,737 
 324,000   goeasy Ltd.(b)     4.3750  05/01/26   278,353 
 682,000   Ladder Capital Finance Holdings LLLP / Ladder(b)     4.2500  02/01/27   574,683 
 483,000   LFS Topco, LLC(b)     5.8750  10/15/26   378,682 
 475,000   Pattern Energy Operations, L.P. / Pattern Energy(b)     4.5000  08/15/28   427,438 
 342,000   Quicken Loans, LLC / Quicken Loans Co-Issuer, Inc.(b)     3.6250  03/01/29   264,233 
 567,000   Scientific Games Holdings, L.P./Scientific Games(b)     6.6250  03/01/30   488,762 
 345,000   Starwood Property Trust, Inc.     4.7500  03/15/25   324,536 
 125,000   Starwood Property Trust, Inc.(b)     3.6250  07/15/26   108,945 
 80,000   Starwood Property Trust, Inc.(b)     4.3750  01/15/27   70,776 
                  7,426,256 
     STEEL — 1.0%              
 433,000   Allegheny Technologies, Inc.     4.8750  10/01/29   364,633 
 287,000   Cleveland-Cliffs, Inc.     6.2500  10/01/40   221,392 
 477,000   Commercial Metals Company     3.8750  02/15/31   387,037 
                  973,062 
     TECHNOLOGY HARDWARE — 1.6%              
 585,000   Imola Merger Corporation(b)     4.7500  05/15/29   505,408 
 295,000   NCR Corporation(b),(c)     5.1250  04/15/29   248,246 
 405,000   Seagate HDD Cayman     4.0910  06/01/29   324,946 
 605,000   TTM Technologies, Inc.(b),(c)     4.0000  03/01/29   506,124 
                  1,584,724 
     TECHNOLOGY SERVICES — 2.1%              
 610,000   Ahead DB Holdings, LLC(b)     6.6250  05/01/28   496,519 
 880,000   ION Trading Technologies Sarl(b)     5.7500  05/15/28   700,884 

 

See accompanying notes which are an integral part of these financial statements.

44

 

DUNHAM HIGH-YIELD BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 92.4% (Continued)              
     TECHNOLOGY SERVICES — 2.1% (Continued)              
 566,000   MPH Acquisition Holdings, LLC(b),(c)     5.7500  11/01/28  $438,823 
 520,000   Paysafe Finance plc / Paysafe Holdings US(b),(c)     4.0000  06/15/29   372,557 
                  2,008,783 
     TELECOMMUNICATIONS — 3.6%              
 1,035,000   Altice France S.A.(b),(c)     5.5000  10/15/29   791,180 
 625,000   Cogent Communications Group, Inc.(b)     7.0000  06/15/27   594,768 
 680,000   Connect Finco S.A.RL / Connect US Finco, LLC(b)     6.7500  10/01/26   640,322 
 535,000   Hughes Satellite Systems Corporation     6.6250  08/01/26   505,388 
 690,000   Iliad Holding S.A.SU(b)     7.0000  10/15/28   626,254 
 760,000   Telesat Canada / Telesat, LLC(b)     4.8750  06/01/27   335,297 
                  3,493,209 
     TRANSPORTATION & LOGISTICS — 2.4%              
 1,081,000   American Airlines, Inc.(b),(c)     11.7500  07/15/25   1,183,702 
 500,000   Cargo Aircraft Management, Inc.(b)     4.7500  02/01/28   447,163 
 271,000   United Airlines, Inc.(b)     4.3750  04/15/26   247,825 
 510,000   United Airlines, Inc.(b)     4.6250  04/15/29   438,353 
                  2,317,043 
     WHOLESALE - CONSUMER STAPLES — 1.2%              
 963,000   C&S Group Enterprises, LLC(b)     5.0000  12/15/28   713,280 
 450,000   Performance Food Group, Inc.(b),(c)     5.5000  10/15/27   426,535 
                  1,139,815 
     TOTAL CORPORATE BONDS (Cost $103,655,548)            90,327,320 

 

Shares      Fair Value 
     SHORT-TERM INVESTMENTS — 17.4%     
     MONEY MARKET FUND – 4.1%     
 3,984,330   First American Government Obligations Fund, Class Z, 2.87%(f)  $3,984,330 

 

See accompanying notes which are an integral part of these financial statements.

45

 

DUNHAM HIGH-YIELD BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COLLATERAL FOR SECURITIES LOANED - 13.3%     
 12,986,938   Mount Vernon Liquid Assets Portfolio, LLC, 3.24% (f),(g)  $12,986,938 
     TOTAL SHORT-TERM INVESTMENTS (Cost $16,971,268)   16,971,268 
           
     TOTAL INVESTMENTS - 112.2% (Cost $121,823,749)  $109,616,038 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (12.2)%   (11,892,169)
     NET ASSETS - 100.0%  $97,723,869 

 

LLC- Limited Liability Company

 

LP- Limited Partnership

 

LTD- Limited Company

 

PLC- Public Limited Company

 

REIT- Real Estate Investment Trust

 

S/A- Société Anonyme

 

H15T5YUS Treasury Yield Curve Rate T Note Constant Maturity 5 Year

 

US0003MICE LIBOR USD 3 Month

 

(a)Non-income producing security.

 

 

(b)Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of October 31, 2022 the total market value of 144A securities is 76,437,273 or 78.2% of net assets.

 

(c)All or a portion of these securities are on loan. Total loaned securities had a value of $12,732,323 at October 31, 2022.

 

(d)Variable rate security; the rate shown represents the rate on October 31, 2022.

 

(e)Payment-in-kind

 

(f)Rate disclosed is the seven day effective yield as of October 31, 2022.

 

(g)The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

(h)Level 3 securities fair value under procedures established by the Board of Trustees, represents 2.4% of net assets. The total value of these securities is $2,317,450.

 

Portfolio Composition * - (Unaudited)
Ba3   16.4%  Ba1   5.0%
B1   16.1%  Caa1   4.7%
B2   15.9%  Other/Not Rated   7.5%
Collateral for Securities Loaned   11.9%  Caa2   2.4%
B3   9.6%  Baa3   0.9%
Ba2   9.4%  Caa3   0.2%
        Total   100.0%

 

*Based on total value of investments as of October 31, 2022. Does not include derivative holdings. Bond Ratings provided by Moody’s Ratings.
   
 Percentage may differ from Schedule of Investments which is based on Fund net assets.

 

See accompanying notes which are an integral part of these financial statements.

46

 

Dunham International Opportunity Bond Fund (Unaudited)
Message from the Sub-Adviser (Virtus Fixed Income Advisers, LLC)

 

Asset Class Recap

 

Fixed income markets across the globe declined to begin the fiscal year amid elevated inflation, the emergence of the omicron variant, and hawkish developed markets central banks, prompting interest rates to rise. The theme of rising interest rates to combat stubbornly high inflation and the uncertain impact of the conflict between Ukraine and Russia on the global economy persisted through the most recent fiscal quarter and fiscal year. Although rising interest rates in the U.S. have been top-of-mind for fixed -income investors, it is not the only marketplace that saw the adverse effects on bond prices. Overseas, central banks not only had to contend with high inflation and geopolitical tensions but also faced the surging strength of the U.S. Dollar. This forced the hand of many foreign central banks, including the European Central Bank (“ECB”), which increased rates at the fastest pace in the ECB’s history, underscoring the bank’s determination to control prices. ECB President Christine Lagarde acknowledged the risk that the Eurozone may be pushing into recession but expects to keep hiking interest rates since inflation remains far too high. For the fiscal year ending October 31, 2022, foreign bonds, as measured by the Bloomberg Global Bond Aggregate ex U.S. Index, declined 11.3 percent, outperforming U.S. investment-grade bonds, as measured by the Bloomberg U.S. Aggregate Bond Index, which fell 15.7 percent. The historically more volatile foreign high -yield bonds, as measured by the Bloomberg Pan- European High-Yield Total Return Index Unhedged, and emerging market debt, as measured by the Bloomberg Emerging Markets USD Aggregate Total Return Index Unhedged, also declined as they gave back 11.1percent and 21.3 percent, respectively. During the fiscal year, the strength of the U.S. Dollar was evident as it increased 15.0 percent against a broad basket of currencies, as measured by the Bloomberg Dollar Spot Index, exacerbating foreign currency losses.

 

Allocation Review

 

To begin the fiscal year, the Fund held an approximate 55 percent allocation to emerging market debt and 45 percent to developed markets. The Sub-Adviser reduced the allocation to emerging market debt to approximately 51 percent during the fiscal year, with the remaining 49 percent dedicated to developed markets. Although the Sub-Adviser largely retained the emerging markets and developed markets allocations over the fiscal year, the exposures within each allocation shifted. In emerging markets, the Sub-Adviser reduced the allocation to local currency bonds and emerging market corporate but increased the exposure to emerging market government debt. Within developed markets, the Sub-Adviser added to the investment-grade corporate, government bond, and Pan-European high-yield exposure. The allocation to emerging markets debt and high-yield bonds represented the most significant allocation differences between the Fund and the benchmark index. These off-benchmark allocations represented the most significant detraction from Fund performance over the fiscal year. The Sub-Adviser also maintained an overall duration lower than the benchmark index, close to 6.9 years instead of the benchmark index duration of 8.1 years. As rates increased overall during the fiscal year, the lower duration aided the Fund’s relative performance. Still, the positive impact was not enough to offset the declines in emerging markets debt and high-yield bonds.

 

Holdings Insights

 

The exposure to emerging markets corporate debt was the most significant detraction from positive Fund performance over the fiscal year. The declines could largely be attributed to the Chinese housing sector. After being one of the decade’s hottest bond markets, the Chinese real estate market experienced unprecedented declines. New home prices have fallen for nearly a year, even as the government has supported the industry. Numerous developers have defaulted on their debt or pushed out maturities. Two credits that were adversely affected by the weakness in this market were China SCE Group Holdings Ltd. 7.375%, Due 04/09/2024 (G21190AB2) (holding weight*: 0.25 percent) a residential property developer, and Wanda Properties International Company Ltd. 7.25%, Due 01/29/2024 (G9429CAA8) (holding weight*: 0.87 percent) a multinational conglomerate based in China. Over the fiscal year, China SCE declined 80.5 percent, while Wanda Properties lost 48.8 percent. Not all emerging market corporate debt detracted from performance over the fiscal year. For example, the YPF S.A. 8.5%, Due 07/28/2025 (984245AL4) (holding weight*: 1.20 percent), an Argentinian state-owned energy company, added 1.5 percent over the fiscal year.

 

Unlike emerging market corporate bonds, emerging market local currency bonds aided performance. This includes the Indonesia Treasury Bond 8.25%, Due 06/15/2032 (B6W43X5) (holding weight*: 0.14 percent) and the Brazilian Government International Bond 8.5%, Due 01/05/2024 (105756BT6) (holding weight*: 0.07 percent). Over the fiscal year, these credits contributed to relative Fund performance as they added 10.3 percent and gave back just 1.4 percent, respectively. The relatively more defensive exposure to investment-grade corporate bonds has historically contributed during periods of higher volatility; however, the exposure’s relatively higher duration caused the exposure to detract from Fund performance. Investment- grade bonds within the fund include the Deutsche Bank AG 2.129%, Due 11/24/2026 (251526CE7) (holding weight*: 0.61 percent) and the Standard Chartered plc 3.265% Due 02/18/2036 (853254BU3) (holding weight*: 0.31 percent). Throughout the fiscal year, the Deutsche Bank credit declined 5.9 percent, while the Standard Chartered credit gave back 13.3 percent.

 

Derivates within the Fund were implemented to express the views of the Sub -Adviser further and provided mixed results over the fiscal year. For example, the short positions in the CBOT 5 Year U.S. Treasury Note 12/30/2022 (FVZ2 COM) (holding notional weight*: -4.97 percent) and the CBOT 10 Year U.S. Treasury Note 10 Year US Treasury Note 12/20/2022 (TYZ2 COM) (holding notional weight*: -12.58 percent) contributed to Fund performance as the positions declined 4.1 percent and 5.8 percent, respectively since being added to the Fund. Conversely, the long position in the Long Gilt Future 12/28/2022 (G Z2 COM) (holding notional weight*: 6.83 percent) detracted from Fund performance. Since being added to the Fund in August, this position declined 9.2 percent.

 

Sub-Adviser Outlook

 

The Sub-Adviser is optimistic that the worst may be behind us, and central banks could slow the pace of rate rises in early 2023. Although the Sub-Adviser anticipates a recession, it believes it to be shallow and short-lived. Within the Fund, the Sub-Adviser believes international investment-grade corporate bonds may offer an attractive risk and return profile over the next 12 months as it views the asset class as reasonably priced with attractive fundamentals and valuations. The Sub-Adviser also has conviction in high-yield bonds due to their strong fundamental positions and could add to the exposure visibility if potential economic weakness becomes more clear. Despite attractive valuations, the Sub-Adviser Is less enamored with emerging markets debt as it believes the asset class face fundamental challenges and many idiosyncratic issues. The Sub-Adviser will continually monitor these issues for potential opportunities and risks on the horizon.

 

*Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned as of 10/31/2022.
   

 

Growth of $100,000 Investment

 

LINE GRAPH) 

 

Total Returns (a) as of October 31, 2022
 
      Annualized
    Annualized Since Inception
  One Year Five Years (11/1/13)
Class N (20.52)% (3.73)% (2.65)%
Class A with load of 4.50% (24.21)% (4.85)% (3.38)%
Class A without load (20.62)% (3.96)% (2.88)%
Class C (21.01)% (4.43)% (3.38)%
Bloomberg Global Aggregate Bond ex -US Index Hedged (9.02)% 3.41% 2.19%
Morningstar Global Bond Category (18.51)% (2.11)% (0.60)%

 

(a)Total Returns are calculated based on traded NAVs.

 

The Bloomberg Global ex US Aggregate Bond Index Hedged is designed to be a broad-based measure of the global investment-grade, fixed rate, fixed income corporate markets outside the United States. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Global Bond Category is generally representative of funds that invest at least 40% of bonds in foreign markets.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.78% for Class N, 2.53% for Class C and 2.03% for Class A. Class A shares are subject to a sales load of 4.50% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

47

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS
October 31, 2022

 

Principal         Coupon Rate       
Amount      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 0.2%              
     RESIDENTIAL MORTGAGE — 0.2%              
 47,488 EUR   Bankinter FTA Series 10 A2(a)  EUR003M + 0.160%  1.2260  06/21/43  $46,390 
 18,539 EUR   Fondo de Titulizacion de Activos Santander Series 2 A(a)  EUR003M + 0.150%  1.5530  01/18/49   17,833 
     TOTAL ASSET BACKED SECURITIES (Cost $70,204)            64,223 
                    
     CORPORATE BONDS — 65.6%              
     ASSET MANAGEMENT — 0.7%              
 300,000 EUR   JAB Holdings BV     1.0000  12/20/27   247,611 
                    
     AUTOMOTIVE — 4.4%              
 300,000 EUR   Daimler A.G.     0.7500  02/08/30   246,333 
 100,000 EUR   Dana Financing Luxembourg Sarl     3.0000  07/15/29   79,047 
 250,000 EUR   Faurecia S.E.     2.3750  06/15/27   203,348 
 120,000 EUR   Grupo Antolin-Irausa S.A.     3.5000  04/30/28   80,211 
 200,000 USD   Hyundai Capital America(b)     3.0000  02/10/27   173,916 
 210,000 EUR   Jaguar Land Rover Automotive plc     5.8750  11/15/24   197,436 
 325,000 USD   Nissan Motor Acceptance Company, LLC(b)     1.8500  09/16/26   255,156 
 58,000 USD   Uzauto Motors AJ(b)     4.8500  05/04/26   42,920 
 200,000 EUR   Volkswagen International Finance N.V.     1.8750  03/30/27   180,241 
 100,000 EUR   ZF Finance GmbH     3.7500  09/21/28   81,557 
                  1,540,165 
     BANKING — 6.2%              
 250,000 EUR   AIB Group plc     2.2500  07/03/25   232,839 
 300,000 EUR   Banco Bilbao Vizcaya Argentaria S.A.     3.5000  02/10/27   285,120 
 358,000 USD   Banco Mercantil del Norte S.A.(b),(a)  H15T5Y + 4.967%  6.7500  09/27/68   329,664 
 350,000 USD   Barclays plc(i)     4.8360  05/09/28   296,833 
 225,000 EUR   Cooperatieve Rabobank UA     1.3750  02/03/27   205,504 
 250,000 USD   Danske Bank A/S(b),(a)  H15T1Y + 1.350%  1.6210  09/11/26   212,544 
 250,000 USD   Deutsche Bank AG/New York NY(a)  SOFRRATE + 1.870%  2.1290  11/24/26   210,267 
 100,000 USD   HSBC Holdings PLC(a)  SOFRRATE + 1.290%  1.5890  05/24/27   82,243 
 250,000 EUR   Natwest Group plc(a)  EUR003M + 1.080%  1.7500  03/02/26   230,899 

 

See accompanying notes which are an integral part of these financial statements.

48

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

  

Principal         Coupon Rate       
Amount      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 65.6% (Continued)              
     BANKING — 6.2% (Continued)              
 150,000 USD   Standard Chartered plc(b),(a)  H15T5Y + 2.300%  3.2650  02/18/36  $104,639 
                  2,190,552 
     BIOTECH & PHARMA — 2.2%              
 300,000 EUR   Bayer A.G.     1.3750  07/06/32   224,194 
 250,000 GBP   GlaxoSmithKline Capital plc     1.2500  10/12/28   231,917 
 100,000 EUR   Grifols S.A.     2.2500  11/15/27   81,878 
 300,000 EUR   Mylan N.V.     3.1250  11/22/28   259,621 
                  797,610 
     CABLE & SATELLITE — 1.2%              
 100,000 EUR   United Group BV     3.1250  02/15/26   77,369 
 200,000 EUR   UPCB Finance VII Ltd.     3.6250  06/15/29   167,971 
 100,000 EUR   Ziggo Bond Company BV(b)     3.3750  02/28/30   73,178 
 100,000 EUR   Ziggo BV     2.8750  01/15/30   77,653 
                  396,171 
     CHEMICALS — 2.0%              
 469,000 USD   Braskem Idesa S.A.PI(b)     6.9900  02/20/32   314,837 
 100,000 EUR   INEOS Quattro Finance 1 plc     3.7500  07/15/26   78,049 
 190,000 EUR   INEOS Quattro Finance 1 plc(b)     3.7500  07/15/26   148,294 
 200,000 EUR   Nobian Finance BV(b)     3.6250  07/15/26   151,638 
                  692,818 
     CONSTRUCTION MATERIALS — 0.6%              
 264,000 USD   Cemex S.A.B. de C.V.(b),(a)  H15T5Y + 4.534%  5.1250  09/08/69   218,460 
                    
     CONTAINERS & PACKAGING — 1.4%              
 200,000 EUR   Ardagh Metal Packaging Finance USA, LLC / Ardagh     3.0000  09/01/29   141,879 
 200,000 GBP   Ardagh Packaging Finance plc / Ardagh Holdings     4.7500  07/15/27   150,469 
 200,000 EUR   Trivium Packaging Finance BV     3.7500  08/15/26   178,210 
                  470,558 
     ELEC & GAS MARKETING & TRADING — 0.6%              
 250,000 EUR   Orsted A/S     1.5000  11/26/29   215,695 
                    
     ELECTRIC UTILITIES — 7.0%              
 23,000 USD   Comision Federal de Electricidad(b)     4.6880  05/15/29   19,492 
 250,000 USD   Electricite de France S.A.(b)     4.5000  09/21/28   226,082 

 

See accompanying notes which are an integral part of these financial statements.

49

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 65.6% (Continued)              
     ELECTRIC UTILITIES — 7.0% (Continued)              
 250,000 USD   Enel Finance International N.V.(b)     5.5000  06/15/52  $180,548 
 610,000 USD   Eskom Holdings SOC Ltd.(b)     6.7500  08/06/23   598,706 
 95,000 USD   Eskom Holdings SOC Ltd.(b)     7.1250  02/11/25   89,139 
 158,000 USD   Eskom Holdings SOC Ltd.(b)     8.4500  08/10/28   139,120 
 301,780 USD   Greenko Dutch BV(b)     3.8500  03/29/26   236,898 
 200,000 EUR   Iberdrola Finanzas S.A.     1.0000  03/07/25   188,975 
 180,000 USD   Inkia Energy Ltd.(b)     5.8750  11/09/27   160,630 
 250,000 EUR   innogy Finance BV     1.0000  04/13/25   234,062 
 7,000 USD   Minejesa Capital BV(b)     5.6250  08/10/37   4,497 
 300,000 EUR   Naturgy Finance BV     1.5000  01/29/28   261,391 
 8,000 USD   Perusahaan Perseroan Persero PT Perusahaan Listrik     3.3750  02/05/30   6,333 
 33,000 USD   Star Energy Geothermal Darajat II / Star Energy(b)     4.8500  10/14/38   24,614 
                  2,370,487 
     ELECTRICAL EQUIPMENT — 1.4%              
 300,000 GBP   Siemens Financieringsmaatschappij N.V.     1.0000  02/20/25   317,481 
 200,000 EUR   Vertical Midco GmbH     4.3750  07/15/27   168,006 
                  485,487 
     ENGINEERING & CONSTRUCTION — 1.4%              
 563,000 USD   IHS Holding Ltd.(b)     6.2500  11/29/28   410,314 
 98,000 USD   IHS Netherlands Holdco BV(b)     8.0000  09/18/27   76,606 
                  486,920 
     ENTERTAINMENT CONTENT — 0.5%              
 185,000 EUR   Banijay Group S.A.S     6.5000  03/01/26   170,273 
                    
     FOOD — 1.2%              
 66,000 USD   Adecoagro S.A.(b)(i)     6.0000  09/21/27   59,826 
 445,000 USD   Minerva Luxembourg S.A.(b)     4.3750  03/18/31   338,730 
                  398,556 
     FORESTRY, PAPER & WOOD PRODUCTS — 0.2%              
 100,000 EUR   WEPA Hygieneprodukte GmbH     2.8750  12/15/27   73,220 
                    
     HOUSEHOLD PRODUCTS — 0.4%              
 100,000 EUR   Energizer Gamma Acquisition BV(b)     3.5000  06/30/29   72,757 
 110,000 EUR   Energizer Gamma Acquisition BV     3.5000  06/30/29   80,033 
                  152,790 

 

See accompanying notes which are an integral part of these financial statements.

50

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 65.6% (Continued)              
     INDUSTRIAL INTERMEDIATE PROD — 1.4%              
 551,000 USD   HTA Group Ltd./Mauritius(b)     7.0000  12/18/25  $486,257 
                    
     INDUSTRIAL SUPPORT SERVICES — 0.7%              
 210,000 EUR   Loxam S.A.S     3.7500  07/15/26   181,516 
 87,920 EUR   Techem Verwaltungsgesellschaft 674 mbH     6.0000  07/30/26   81,537 
                  263,053 
     INSTITUTIONAL FINANCIAL SERVICES — 0.8%              
 250,000 USD   Credit Suisse Group A.G.(b),(a)  SOFRRATE + 0.980%  1.3050  02/02/27   198,664 
 75,000 USD   Nomura Holdings, Inc.     2.7100  01/22/29   60,306 
                  258,970 
     INSURANCE — 1.1%              
 200,000 EUR   Allianz S.E.(a)  EUR003M + 3.350%  3.0990  07/06/47   181,053 
 250,000 EUR   NN Group N.V.     1.6250  06/01/27   224,488 
                  405,541 
     INTERNET MEDIA & SERVICES — 0.0%(c)              
 10,000 USD   Prosus N.V.(b)     3.0610  07/13/31   6,720 
                    
     LEISURE FACILITIES & SERVICES — 1.9%              
 215,000 EUR   Carnival Corporation     7.6250  03/01/26   155,589 
 100,000 EUR   Gamma Bidco SpA(b)     5.1250  07/15/25   92,250 
 100,000 EUR   Gamma Bidco SpA     6.2500  07/15/25   94,031 
 140,000 GBP   Stonegate Pub Company Financing 2019 plc(b)     8.2500  07/31/25   145,758 
 200,000 USD   Studio City Company Ltd.     7.0000  02/15/27   159,136 
 73,000 USD   Studio City Finance Ltd.(b)     6.0000  07/15/25   35,107 
                  681,871 
     MACHINERY — 0.5%              
 180,000 EUR   Renk A.G./Frankfurt am Main     5.7500  07/15/25   160,704 
                    
     MEDICAL EQUIPMENT & DEVICES — 0.6%              
 300,000 EUR   Medtronic Global Holdings SCA     0.7500  10/15/32   224,322 

 

See accompanying notes which are an integral part of these financial statements.

51

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 65.6% (Continued)              
     METALS & MINING — 1.4%              
 10,000 USD   Corp Nacional del Cobre de Chile     3.0000  09/30/29  $8,343 
 71,000 USD   First Quantum Minerals Ltd.(b)     6.8750  03/01/26   66,805 
 7,000 USD   Freeport Indonesia PT(b)     6.2000  04/14/52   5,293 
 300,000 EUR   Glencore Capital Finance DAC     1.1250  03/10/28   241,688 
 20,000 USD   Indika Energy Capital IV Pte Ltd.(b)     8.2500  10/22/25   18,896 
 88,000 USD   Indika Energy Capital IV Pte Ltd.     8.2500  10/22/25   83,141 
 26,000 USD   Indonesia Asahan Aluminium Persero PT(b)     5.8000  05/15/50   18,822 
 63,000 USD   Vedanta Resources Finance II plc(b)     8.9500  03/11/25   39,859 
                  482,847 
     OIL & GAS PRODUCERS — 10.1%              
 68,000 USD   AI Candelaria Spain S.A.(b)     5.7500  06/15/33   44,345 
 54,000 USD   AI Candelaria Spain SLU(b)     7.5000  12/15/28   45,580 
 175,000 USD   Cenovus Energy, Inc. (i)     6.7500  11/15/39   172,034 
 350,000 USD   Ecopetrol S.A.     5.8750  05/28/45   213,770 
 200,000 EUR   eG Global Finance plc     6.2500  10/30/25   171,667 
 97,000 USD   Geopark Ltd.(b)     5.5000  01/17/27   78,862 
 176,000 USD   Gran Tierra Energy International Holdings Ltd.(b)     6.2500  02/15/25   150,045 
 42,000 USD   Gran Tierra Energy, Inc.(b)     7.7500  05/23/27   32,574 
 54,000 USD   KazMunayGas National Company JSC(b)     5.7500  04/19/47   37,403 
 300,000 USD   Kosmos Energy Ltd.     7.7500  05/01/27   242,718 
 330,000 USD   MC Brazil Downstream Trading S.A.RL     7.2500  06/30/31   252,694 
 19,000 USD   Petroleos del Peru S.A.     4.7500  06/19/32   14,045 
 170,000 USD   Petroleos del Peru S.A.     5.6250  06/19/47   107,647 
 67,000 USD   Petroleos Mexicanos     6.5000  01/23/29   54,301 
 53,000 USD   Petroleos Mexicanos     6.8400  01/23/30   42,392 
 329,000 USD   Petroleos Mexicanos     6.7000  02/16/32   249,353 
 82,000 USD   Petroleos Mexicanos     6.6250  06/15/35   57,083 
 13,000 USD   Petroleos Mexicanos     6.6250  06/15/38   8,528 
 205,000 USD   Petroleos Mexicanos     7.6900  01/23/50   133,909 
 462,000 USD   SierraCol Energy Andina, LLC(b)     6.0000  06/15/28   306,015 
 673,000 USD   Tullow Oil plc(b)     7.0000  03/01/25   438,951 
 305,000 USD   Tullow Oil plc(b)     10.2500  05/15/26   260,735 
 569,000 USD   YPF S.A.(b)     8.5000  07/28/25   410,949 
                  3,525,600 

 

See accompanying notes which are an integral part of these financial statements.

52

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 65.6% (Continued)              
     OIL & GAS SERVICES & EQUIPMENT — 0.9%              
 362,700 USD   Poinsettia Finance Ltd.     6.6250  06/17/31  $312,308 
                    
     PUBLISHING & BROADCASTING — 0.7%              
 250,000 EUR   Informa plc     2.1250  10/06/25   231,738 
                    
     REAL ESTATE OWNERS & DEVELOPERS — 3.7%              
 636,000 USD   China SCE Group Holdings Ltd.     7.3750  04/09/24   85,860 
 700,000 USD   China SCE Group Holdings Ltd.     7.0000  05/02/25   52,500 
 330,000 USD   MAF Global Securities Ltd.(a)  H15T5Y + 3.539%  6.3750  09/20/70   304,195 
 300,000 USD   Theta Capital Pte Ltd.     8.1250  01/22/25   205,800 
 250,000 USD   Theta Capital Pte Ltd.     6.7500  10/31/26   139,625 
 700,000 USD   Wanda Properties International Company Ltd.     7.2500  01/29/24   297,500 
 200,000 USD   Wanda Properties Overseas Ltd.     6.9500  12/05/22   188,000 
                  1,273,480 
     REIT — 0.7%              
 400,000 USD   LMIRT Capital Pte Ltd.     7.2500  06/19/24   250,000 
                    
     RENEWABLE ENERGY — 1.1%              
 439,000 USD   Aydem Yenilenebilir Enerji A/S(b)     7.7500  02/02/27   329,382 
 80,000 USD   Investment Energy Resources Ltd.(b)     6.2500  04/26/29   67,514 
                  396,896 
     RETAIL - CONSUMER STAPLES — 0.5%              
 100,000 GBP   Bellis Acquisition Company plc(b)     3.2500  02/16/26   93,740 
 100,000 GBP   Bellis Finco plc(b)     4.0000  02/16/27   80,647 
                  174,387 
     SEMICONDUCTORS — 0.4%              
 150,000 USD   TSMC Arizona Corporation     4.5000  04/22/52   123,254 
                    
     SPECIALTY FINANCE — 0.2%              
 184,000 USD   Studio City Finance Ltd.(b)     6.5000  01/15/28   77,369 
                    
     STEEL — 1.0%              
 870,000 USD   Metinvest BV(b)     7.7500  10/17/29   359,746 

 

See accompanying notes which are an integral part of these financial statements.

53

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 65.6% (Continued)              
     TELECOMMUNICATIONS — 3.4%              
 100,000 EUR   Altice France Holding S.A.(b)     8.0000  05/15/27  $72,367 
 100,000 EUR   Altice France S.A.(b)     2.1250  02/15/25   87,388 
 219,000 USD   Digicel International Finance Ltd./Digicel(b)     8.7500  05/25/24   187,386 
 40,500 USD   Millicom International Cellular S.A.(b)     5.1250  01/15/28   34,596 
 270,000 USD   Network i2i Ltd.(a)  H15T5Y + 4.274%  5.6500  04/15/71   238,235 
 300,000 EUR   Orange S.A.     2.0000  01/15/29   275,617 
 210,000 EUR   SoftBank Group Corporation     2.8750  01/06/27   168,455 
 250,000 USD   VF Ukraine PAT via VFU Funding plc(b)     6.2000  02/11/25   132,500 
                  1,196,544 
     TRANSPORTATION & LOGISTICS — 3.1%              
 200,000 EUR   Abertis Infraestructuras S.A.     2.3750  09/27/27   180,569 
 6,000 USD   DP World plc(b)     4.7000  09/30/49   4,298 
 662,000 USD   Gol Finance S.A.(b)     7.0000  01/31/25   286,113 
 300,000 USD   Gol Finance S.A.(b)     8.0000  06/30/26   179,072 
 100,000 GBP   Heathrow Funding Ltd.     7.1250  02/14/24   114,412 
 200,000 EUR   International Consolidated Airlines Group S.A.     3.7500  03/25/29   147,698 
 218,000 USD   Simpar Europe S.A.(b)     5.2000  01/26/31   158,004 
                  1,070,166 
     TOTAL CORPORATE BONDS (Cost $31,382,102)            22,869,146 
                    
     NON U.S. GOVERNMENT & AGENCIES — 26.8%              
     GOVERNMENT GUARANTEED — 0.1%              
 33,600 USD   Brazil Minas SPE via State of Minas Gerais(b)     5.3330  02/15/28   32,354 
                    
     GOVERNMENT OWNED, NO GUARANTEE — 0.3%              
 165,000 USD   Gabon Government International Bond(b)     7.0000  11/24/31   116,003 
                    
     LOCAL AUTHORITY — 0.7%              
 150,000 CAD   Province of British Columbia Canada     3.2000  06/18/44   91,991 
 250,000 CAD   Province of Ontario Canada     2.8000  06/02/48   139,270 
                  231,261 

 

See accompanying notes which are an integral part of these financial statements.

54

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount      Spread  (%)  Maturity  Fair Value 
     NON U.S. GOVERNMENT & AGENCIES — 26.8% (Continued)              
     NON U.S. TREASURY — 10.7%              
 860,000 AUD   Australia Government Bond     1.2500  05/21/32  $440,867 
 20,000,000 CLP   Bonos de la Tesoreria de la Republica en pesos     4.5000  03/01/26   19,823 
 550,000 CAD   Canadian Government Bond     2.2500  06/01/29   379,817 
 279,300,000 COP   Colombian TES     6.0000  04/28/28   40,410 
 1,426,000,000 IDR   Indonesia Treasury Bond     7.0000  09/15/30   88,483 
 710,000,000 IDR   Indonesia Treasury Bond     8.2500  06/15/32   47,732 
 76,000 EUR   Ireland Government Bond     5.4000  03/13/25   80,815 
 50,000 EUR   Ireland Government Bond     0.9000  05/15/28   45,829 
 130,000 EUR   Ireland Government Bond     1.3000  05/15/33   112,405 
 240,000 EUR   Italy Buoni Poliennali Del Tesoro     4.5000  03/01/24   242,821 
 750,000 EUR   Italy Buoni Poliennali Del Tesoro     2.8000  12/01/28   706,755 
 640,000 EUR   Italy Buoni Poliennali Del Tesoro(b)     2.4500  09/01/33   530,513 
 180,000 EUR   Italy Buoni Poliennali Del Tesoro     5.0000  08/01/39   189,329 
 235,000 EUR   Italy Buoni Poliennali Del Tesoro     5.0000  09/01/40   247,447 
 2,420,000 MXN   Mexican Bonos     7.7500  11/13/42   98,599 
 430,000 RON   Romania Government Bond     5.0000  02/12/29   69,691 
 100,000 RON   Romania Government Bond     3.6500  09/24/31   13,718 
 170,000 EUR   Spain Government Bond     4.2000  01/31/37   182,837 
 250,000 EUR   Spain Government Bond     2.7000  10/31/48   209,334 
                  3,747,225 
     SOVEREIGN — 14.5%              
 64,000 USD   Angolan Government International Bond(b)     8.2500  05/09/28   54,128 
 337,000 USD   Angolan Government International Bond(b)     8.7500  04/14/32   272,933 
 38,000 USD   Angolan Government International Bond(b)     9.1250  11/26/49   28,800 
 133,000 USD   Argentine Republic Government International Bond(e)     0.5000  07/09/30   28,345 
 878,000 USD   Argentine Republic Government International Bond(e)     1.5000  07/09/35   175,337 
 76,000 USD   Argentine Republic Government International Bond(e)     3.5000  07/09/41   18,280 
 200,000 EUR   Banque Centrale de Tunisie International Bond     5.6250  02/17/24   146,643 
 200,000 EUR   Benin Government International Bond(b)     4.8750  01/19/32   135,973 
 140,000 BRL   Brazilian Government International Bond     8.5000  01/05/24   25,567 
 550,000 BRL   Brazilian Government International Bond     10.2500  01/10/28   99,221 
 45,000 USD   Brazilian Government International Bond     4.6250  01/13/28   42,319 
 82,000 USD   Brazilian Government International Bond     4.5000  05/30/29   73,811 

 

See accompanying notes which are an integral part of these financial statements.

55

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount      Spread  (%)  Maturity  Fair Value 
     NON U.S. GOVERNMENT & AGENCIES — 26.8% (Continued)              
     SOVEREIGN — 14.5% (Continued)              
 25,000 USD   Chile Government International Bond     2.4500  01/31/31  $20,051 
 4,000 USD   Chile Government International Bond     3.1000  05/07/41   2,647 
 3,000 USD   Chile Government International Bond     4.3400  03/07/42   2,321 
 100,000 EUR   Colombia Government International Bond     3.8750  03/22/26   89,499 
 127,000 USD   Colombia Government International Bond(i)     3.0000  01/30/30   89,888 
 12,000 USD   Colombia Government International Bond     7.3750  09/18/37   10,153 
 18,000 USD   Colombia Government International Bond     6.1250  01/18/41   12,884 
 66,000 USD   Colombia Government International Bond     5.6250  02/26/44   43,092 
 11,000 USD   Colombia Government International Bond     5.0000  06/15/45   6,734 
 37,000 USD   Colombia Government International Bond     4.1250  05/15/51   19,737 
 224,000 USD   Dominican Republic International Bond(b)(i)     4.8750  09/23/32   173,444 
 45,000 USD   Dominican Republic International Bond(b)     6.0000  02/22/33   37,865 
 19,000 USD   Dominican Republic International Bond     5.3000  01/21/41   13,163 
 82,000 USD   Dominican Republic International Bond(b)     7.4500  04/30/44   69,082 
 95,000 USD   Dominican Republic International Bond     6.4000  06/05/49   68,805 
 35,000 USD   Dominican Republic International Bond     5.8750  01/30/60   23,193 
 45,000 USD   Dominican Republic International Bond(b)     5.8750  01/30/60   29,819 
 52,074 USD   Ecuador Government International Bond(b),(e)     —  07/31/30   16,447 
 260,000 USD   Ecuador Government International Bond(b),(d)     5.5000  07/31/30   139,349 
 25,000 USD   Ecuador Government International Bond(d)     5.5000  07/31/30   13,399 
 34,060 USD   Ecuador Government International Bond(b),(d)     2.5000  07/31/35   12,619 
 198,000 USD   Ecuador Government International Bond(d)     2.5000  07/31/35   73,358 
 23,000 USD   Ecuador Government International Bond(d)     0.5000  07/31/40   7,680 
 34,000 USD   Ecuador Government International Bond(b),(d)     1.5000  07/31/40   11,353 
 94,000 USD   Egypt Government International Bond(b)     5.2500  10/06/25   78,518 
 100,000 EUR   Egypt Government International Bond     4.7500  04/16/26   75,121 
 51,000 USD   Egypt Government International Bond(b)     7.6000  03/01/29   36,763 
 200,000 EUR   Egypt Government International Bond(b)     6.3750  04/11/31   119,952 
 101,000 USD   Egypt Government International Bond(b)     7.0530  01/15/32   64,370 
 80,000 USD   Egypt Government International Bond(b)     8.5000  01/31/47   47,448 
 60,000 USD   Egypt Government International Bond(b)     7.9030  02/21/48   34,018 
 151,000 USD   Egypt Government International Bond(b)     8.8750  05/29/50   90,201 
 13,000 USD   El Salvador Government International Bond     8.6250  02/28/29   5,331 
 72,000 USD   El Salvador Government International Bond     8.2500  04/10/32   29,694 

 

See accompanying notes which are an integral part of these financial statements.

56

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount      Spread  (%)  Maturity  Fair Value 
     NON U.S. GOVERNMENT & AGENCIES — 26.8% (Continued)              
     SOVEREIGN — 14.5% (Continued)              
 97,000 USD   El Salvador Government International Bond     7.6250  02/01/41  $35,286 
 71,000 USD   Ethiopia International Bond(b)     6.6250  12/11/24   36,970 
 87,000 USD   Finance Department Government of Sharjah(b)     4.0000  07/28/50   50,534 
 37,000 USD   Gabon Government International Bond(b)     6.3750  12/12/24   34,161 
 17,000 USD   Ghana Government International Bond(b)     6.3750  02/11/27   5,242 
 103,000 USD   Ghana Government International Bond(b)     7.7500  04/07/29   30,328 
 55,000 USD   Ghana Government International Bond(b)     10.7500  10/14/30   36,161 
 32,000 USD   Ghana Government International Bond(b)     7.8750  02/11/35   9,182 
 63,000 USD   Ghana Government International Bond(b)     8.6270  06/16/49   17,700 
 18,000 USD   Indonesia Government International Bond     4.7500  07/18/47   15,035 
 6,000 USD   Indonesia Government International Bond     4.2000  10/15/50   4,544 
 123,000 EUR   Ivory Coast Government International Bond(b)     5.8750  10/17/31   92,627 
 2,000 USD   Kazakhstan Government International Bond(b)     4.8750  10/14/44   1,537 
 21,000 USD   Kazakhstan Government International Bond(b)     6.5000  07/21/45   18,686 
 283,000 USD   Kenya Government International Bond(b)     8.0000  05/22/32   199,162 
 689,000 USD   Lebanon Government International Bond(f)     6.1000  10/04/22   43,923 
 66,000 USD   Lebanon Government International Bond(f)     6.3750  03/09/23   4,088 
 630,000 USD   Lebanon Government International Bond(f)     8.2500  04/12/23   40,163 
 72,000 USD   Lebanon Government International Bond(f)     6.4000  05/26/23   4,566 
 317,000 USD   Lebanon Government International Bond(f)     6.1500  06/19/23   19,296 
 56,000 USD   Lebanon Government International Bond(f)     6.7500  11/29/27   3,539 
 81,000 USD   Lebanon Government International Bond(f)     6.8500  05/25/29   5,128 
 175,000 USD   Lebanon Government International Bond(f)     6.6500  02/26/30   10,960 
 17,000 USD   Mexico Government International Bond     4.7500  04/27/32   15,445 
 29,000 USD   Mexico Government International Bond     4.8750  05/19/33   25,674 
 20,000 USD   Mexico Government International Bond     3.7710  05/24/61   11,797 
 200,000 USD   Mozambique International Bond(b),(e)     5.0000  09/15/31   136,836 
 5,000 USD   Nigeria Government International Bond(b)     8.3750  03/24/29   3,632 
 190,000 USD   Nigeria Government International Bond(b)     7.8750  02/16/32   123,006 
 21,000 USD   Nigeria Government International Bond(b)     7.3750  09/28/33   12,747 
 34,000 USD   Nigeria Government International Bond(b)     7.6250  11/28/47   19,427 
 200,000 USD   Nigeria Government International Bond     7.6250  11/28/47   114,276 
 243,000 USD   Nigeria Government International Bond(b)     8.2500  09/28/51   141,640 
 305,000 USD   Pakistan Government International Bond(b)(i)     6.0000  04/08/26   101,413 

 

See accompanying notes which are an integral part of these financial statements.

57

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount      Spread  (%)  Maturity  Fair Value 
     NON U.S. GOVERNMENT & AGENCIES — 26.8% (Continued)              
     SOVEREIGN — 14.5% (Continued)              
 81,000 USD   Panama Government International Bond     2.2520  09/29/32  $56,976 
 6,000 USD   Panama Government International Bond     4.5000  04/01/56   3,989 
 77,000 USD   Papua New Guinea Government International Bond(b)     8.3750  10/04/28   60,033 
 28,000 USD   Philippine Government International Bond     2.4570  05/05/30   23,167 
 20,000 USD   Qatar Government International Bond(b)     3.7500  04/16/30   18,632 
 13,000 USD   Qatar Government International Bond(b)     4.4000  04/16/50   10,959 
 19,692 USD   Republic of Angola Via Avenir II BV(a)  US0006M + 7.500%  10.4470  07/01/23   19,791 
 186,429 USD   Republic of Angola Via Avenir Issuer II Ireland     6.9270  02/19/27   167,786 
 27,000 USD   Republic of Kenya Government International Bond(b)     6.8750  06/24/24   23,666 
 2,444,000 ZAR   Republic of South Africa Government Bond     8.5000  01/31/37   102,474 
 64,000 USD   Republic of South Africa Government International     5.8750  04/20/32   54,938 
 21,000 USD   Republic of South Africa Government International     5.7500  09/30/49   14,026 
 43,000 USD   Republic of South Africa Government International     7.3000  04/20/52   33,841 
 7,000 EUR   Romanian Government International Bond     3.6240  05/26/30   5,446 
 29,000 EUR   Romanian Government International Bond(b)     2.1240  07/16/31   19,353 
 4,000 EUR   Romanian Government International Bond     4.1250  03/11/39   2,628 
 10,000 EUR   Romanian Government International Bond(b)     2.8750  04/13/42   5,236 
 2,000 EUR   Romanian Government International Bond     2.8750  04/13/42   1,047 
 25,000 EUR   Romanian Government International Bond(b)     4.6250  04/03/49   16,213 
 12,000 USD   Saudi Government International Bond(b)     5.5000  10/25/32   12,173 
 35,000 USD   Saudi Government International Bond(b)     2.2500  02/02/33   26,938 
 2,000 USD   Saudi Government International Bond(b)     4.6250  10/04/47   1,614 
 127,000 EUR   Senegal Government International Bond     4.7500  03/13/28   102,907 
 111,000 EUR   Senegal Government International Bond(b)     4.7500  03/13/28   89,943 
 56,000 USD   Ukraine Government International Bond(b)     7.7500  09/01/25   9,296 
 48,000 USD   Ukraine Government International Bond(b)     7.7500  09/01/26   8,160 
 139,000 USD   Ukraine Government International Bond(b)     7.3750  09/25/32   22,414 
 14,000 USD   Zambia Government International Bond(b)     5.3750  01/20/23   4,810 
 87,000 USD   Zambia Government International Bond(b)     8.9700  07/30/27   35,032 
                  5,047,554 
     SUPRANATIONAL — 0.5%              
 200,000 EUR   European Investment Bank     1.1250  09/15/36   153,410 
 110,000 BRL   International Finance Corporation     4.6000  01/27/23   21,214 
                  174,624 
     TOTAL NON U.S. GOVERNMENT & AGENCIES (Cost $12,434,477)            9,349,021 

 

See accompanying notes which are an integral part of these financial statements.

58

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

  

Shares      Fair Value 
     SHORT-TERM INVESTMENTS — 5.8%     
     MONEY MARKET FUNDS - 3.1%     
 1,066,466   Fidelity Government Portfolio, Class I, 2.86% (Cost $1,066,466)(g)  $1,066,466 
           
     COLLATERAL FOR SECURITIES LOANED — 2.7%     
 954,050   Mount Vernon Liquid Assets Portfolio, LLC, 3.24% (Cost $954,050)(h)   954,050 
           
     TOTAL INVESTMENTS – 98.4% (Cost $45,907,299)  $34,302,906 
     OTHER ASSETS IN EXCESS OF LIABILITIES- 1.6%   547,186 
     NET ASSETS - 100.0%  $34,850,092 

 

OPEN FUTURES CONTRACTS 
             Value and
Unrealized		 
Number of
Contracts		   Open Long Futures Contracts  Expiration  Notional
Amount(i)		   Appreciation
(Depreciation)		 
 4   Eurex 10 Year Euro BUND Future  12/08/2022  $547,086   $1,722 
 6   Eurex 30 Year Euro BUXL Future  12/08/2022   854,890    (92,062)
 20   Long Gilt Future  12/28/2022   2,342,324    (157,998)
 7   TSE Japanese 10 Year Bond Futures  12/13/2022   7,003,766    (117)
     TOTAL FUTURES CONTRACTS          $(248,455)

 

 

OPEN FUTURES CONTRACTS 
             Value and
Unrealized		 
Number of
Contracts		   Open Short Futures Contracts  Expiration  Notional
Amount(i)		   Appreciation
(Depreciation)		 
 39   CBOT 10 Year US Treasury Note  12/20/2022  $4,313,166   $122,647 
 16   CBOT 5 Year US Treasury Note  12/30/2022   1,705,504    75,262 
 4   CBOT US Long Bond Future  12/20/2022   482,000    (6,750)
     TOTAL FUTURES CONTRACTS          $191,159 

 

See accompanying notes which are an integral part of these financial statements.

59

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

  

                 Unrealized 
Foreign Currency  Settlement Date  Counterparty  Local Currency   U.S. Dollar Value   Appreciation/
(Depreciation)		 
To Buy:                     
Euro  11/07/2022  JP Morgan Chase   385,564   $381,052   $1,943 
Euro  11/14/2022  Citigroup Capital Markets   300,000    296,636    (855)
Canadian Dollar  11/21/2022  JP Morgan Chase   370,000    271,634    3,290 
Euro  11/21/2022  JP Morgan Chase   540,000    534,208    8,690 
              $1,483,530   $13,068 
To Sell:                     
Euro  11/07/2022  JP Morgan Chase   4,815,469   $4,759,109   $(41,110)
Canadian Dollar  11/21/2022  JP Morgan Chase   370,000    271,634    207 
Euro  11/21/2022  Citigroup Capital Markets   70,000    69,249    575 
Australian Dollar  01/27/2023  Citigroup Capital Markets   670,100    429,852    (1,697)
British Pound  01/27/2023  Barclays   60,000    69,011    208 
British Pound  01/27/2023  JP Morgan Chase   921,100    1,059,427    1,471 
Canadian Dollar  01/27/2023  Barclays   812,200    596,938    (1,244)
Euro  01/27/2023  Barclays   8,026,100    7,987,380    74,491 
Euro  01/27/2023  JP Morgan Chase   206,000    205,007    2,441 
Japanese Yen  01/27/2023  JP Morgan Chase   32,563,500    221,592    704 
              $15,669,199   $36,046 
                      
Total                  $49,114 

  

             Local Currency   Local Currency             
      Settlement      Amount   Amount Purchased   U.S. Dollar Market   U.S. Dollar Market   Unrealized 
Foreign Currency     Date   Counterparty  Purchased Buy   Sell   Value Buy   Value Sell   Appreciation/(Depreciation) 
To Buy:  To Sell:                                 
British Pound  Euro   11/21/2022   JP Morgan Chase   79,023    90,000    90,666    (89,035)  $1,631 
British Pound  Euro   11/30/2022   JP Morgan Chase   320,928    370,000    368,303    (366,264)   2,039 
Euro  British Pound   1/27/2023   JP Morgan Chase   500,436    436,900    498,022    (502,512)   (4,490)
               900,387    896,900   $956,991   $(957,811)  $(820)
Total                                 $(820)

 

A/S- Anonim Sirketi

 

LLC- Limited Liability Company

 

LTD- Limited Company

 

NV- Naamioze Vennootschap

 

PLC- Public Limited Company

 

REIT- Real Estate Investment Trust

 

See accompanying notes which are an integral part of these financial statements.

60

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

S/A- Société Anonyme

 

USBUS Bank

 

EUR003MEuribor 3 Month ACT/360

 

H15T1YUS Treasury Yield Curve Rate T Note Constant Maturity 1 Year

 

H15T5YUS Treasury Yield Curve Rate T Note Constant Maturity 5 Year

 

SOFRRATESecured Overnight Financing Rate

 

US0006MICE LIBOR USD 6 Month

 

AUDAustralian Dollar

 

BRLBrazilian Real

 

CADCanadian Dollar

 

CLPChilean Peso

 

COPColumbian Peso

 

EUREuro

 

GBPBritish Pound

 

IDRIndonesia Rupiah

 

JPYJapanese Yen

 

MXNMexican Peso

 

RONRomanian Leu

 

USDUS Dollars

 

ZARSouth African Rand

 

(a)Variable rate security; the rate shown represents the rate on October 31, 2022.

 

(b)Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of October 31, 2022 the total market value of 144A securities is 13,300,632 or 38.3% of net assets.

 

(c)Percentage rounds to less than 0.1%.

 

(d)Step bond. Coupon rate is fixed rate that changes on a specified date. The rate shown is the current rate at October 31, 2022.

 

(e)Zero coupon bond.

 

(f)Represents issuer in default on interest payments; non-income producing security.

 

(g)Rate disclosed is the seven day effective yield as of October 31, 2022.

 

(h)The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund’s futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund.

 

(i)All or a portion of these securities are on loan. Total loaned securities had a value of $843,562 at October 31, 2022.

 

Portfolio Composition * - (Unaudited)
Netherlands   10.3%  Cayman Islands   4.4%
Great Britain   8.7%  Spain   4.4%
United States   6.4%  Germany   4.1%
Italy   6.1%  France   3.3%
Luxembourg   4.9%  Other Countries**   42.8%
Mexico   4.6%  Total   100.0%

 

*Based on total value of investments as of October 31, 2022. Does not include derivative holdings.

 

**Includes Collateral for Securities Loaned as of October 31, 2022.
   
 Percentage may differ from Schedule of Investments which are based on Fund net assets.

  

See accompanying notes which are an integral part of these financial statements.

61

 

Dunham Large Cap Value Fund (Unaudited)
Message from the Sub-Adviser (Rothschild & Co. Asset Management US Inc.)

 

Asset Class Recap

 

Large cap value stocks rose to begin the fiscal year as investors rotated away from growth stocks and towards value stocks in anticipation of the Federal Reserve hiking interest rates. Not only can many sectors within the large cap value asset class thrive in a rising rate environment, the present value of the stocks within the index declines at a substantially slower pace than their growth counterparts. Although large cap value stocks outperformed most other equity asset classes throughout the most recent fiscal quarter and fiscal year, large cap value stocks declined as investors digested a myriad of market headwinds. Russia’s invasion of Ukraine and supply chain disruptions impacted equity markets, pushing inflation to record levels. In response to a multi-decade high reading of inflation, the Federal Reserve aggressively tightened monetary policy by raising rates 225 basis points during the first three quarters of the fiscal year and another 75 basis points in the most recent fiscal quarter. The Federal Reserve has continually reiterated its commitment to combat inflation regardless of its impact on economic growth. Investors have begun to see early signs of weakness in economic data and corporate earnings reports, with subsequent guidance beginning to show the effects of tighter monetary policy. Investors were hopeful that the Federal Reserve could successfully bring down inflation without pushing the economy into a deep recession. For the fiscal year ending October 31, 2022, large cap value stocks, as measured by the Russell 1000 Value Index, gave back 7.0 percent, outperforming large cap growth stocks, as measured by the Russell 1000 Growth Index, which declined 24.6 percent.

 

Allocation Review

 

The Sub-Adviser’s investment philosophy is centered on the belief that alpha generation is driven by bottom-up stock selection rather than taking large sector bets. With that being said, the largest sector contributor to relative Fund Performance during the fiscal year was the technology sector, as strong security selection meaningfully outweighed the slight detraction from the sector allocation. Within this sector, semiconductor equipment stocks shined amid continued demand for chips and the easing of future oversupply concerns. The energy sector was the most meaningful contributor to absolute Fund performance over the period, as security selection strongly aided positive Fund performance. The most significant detractor from relative Fund performance was the exposure to the financial services sector, and the utilities sector, as security selection acted as a headwind to positive Fund Performance.

 

Holding Insights

 

The most significant contributor to absolute performance was the exposure to the energy sector, as rising commodity prices helped drive profitability for companies within the industry. Prices throughout the year have been caused by a few factors, including underinvestment in supply from energy companies, resulting in a supply imbalance. Russia’s invasion of Ukraine and subsequent slowdown of European natural gas imports added to surging price pressures. In the most recent fiscal quarter, these impacts were amplified due to the sabotage of the largest pipeline from Russia to Europe. Lastly, the Organization of the Petroleum Exporting Countries (OPEC) has spent much of the fiscal year unwinding supply cuts; however, in October, OPEC announced its largest supply cut since the beginning of the pandemic, indicating its intent to keep prices elevated. One of the best performers within the sector was ConocoPhillips (COP) (holding weight*: 2.05 percent), an American multinational corporation engaged in hydrocarbon exploration and production. COP rose 31.8 percent over the fiscal quarter and 76.3 percent over the fiscal year. The Sub-Adviser believes this position outperformed its peers because it is a pure-play exploration and production company. Given that the company does not hedge oil price exposure like other companies in the sector, COP’s profitability could potentially rise with oil prices. Another position within the sector that positively contributed to Fund performance was Phillips 66 (PSX) (holding weight*: 1.07 percent), an American multinational energy company headquartered in Westchase, Houston, Texas. Over the fiscal year, PSX increased 45.7 percent.

 

As interest rates marched higher throughout the fiscal year and the most recent fiscal quarter, companies within the technology sector sold off. Higher interest rates result in a higher cost for companies to borrow money to finance projects. It can also result in consumers having less disposable income because they are paying more for mortgages, cars, and credit cards. These headwinds have begun to impact technology companies as they have already implemented hiring slowdowns, hiring freezes, and in some cases, mass layoffs. One of the most meaningful detractors from Fund performance was the exposure to Alphabet, Inc. (GOOGL) (holding weight*: 1.95 percent), an American multinational technology conglomerate. GOOGL declined 18.8 percent over the fiscal quarter and 36.2 percent over the fiscal year. Another detractor from Fund performance within the sector was Microsoft Corporation (MSFT) (holding weight*: 1.01 percent), an American multinational technology corporation producing computer software, consumer electronics, personal computers, and related services. MSFT declined 29.4 percent over the fiscal year as the company’s guidance moving forward highlighted slower consumer spending, sluggish advertising growth, and an uncertain outlook for cloud computing. Not all positions from the technology sector declined during the fiscal period. For example, L3Harris Technologies, Inc. (LHX) (holding weight*: 1.46 percent), a company that provides equipment to government, defense and commercial sectors, rose 8.9 percent over the fiscal year thanks to the rising U.S. government budget to combat threats from China and Russia.

 

Sub-Adviser Outlook

 

The Sub-Adviser is cautiously optimistic for the remainder of 2022 and 2023. The Sub-Adviser believes that monetary tightening has affected equity markets, leading to economic weakness and depressed sentiment among market participants. Given the pessimistic tone, the Sub-Adviser is confident that avoiding landmines is key to positive relative performance. Therefore, ignoring the noise and focusing on corporate fundamentals is critical in identifying companies that exhibit attractive valuations and are resilient enough to navigate the complex environment. The Sub-Adviser will continue to implement its disciplined investment process but understands that it may be susceptible to systematic tail risk as the market faces numerous risks. The Sub-Adviser recognizes that it cannot add value for clients without taking risk. Its focus is on identifying what the Sub-Adviser considers intelligent risks – the risks that are most likely to contribute to outperforming the benchmark and least likely to cause unnecessary volatility.

 

*Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned as of 10/31/2022.
   

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2022
 
    Annualized Annualized
  One Year Five Years Ten Years
Class N (7.96)% 7.40% 9.38%
Class A with load of 5.75% (13.47)% 5.88% 8.46%
Class A without load (8.18)% 7.14% 9.11%
Class C (8.90)% 6.33% 8.29%
Russell 1000 Value Index (7.00)% 7.21% 10.30%
Morningstar Large Cap Value Category (4.60)% 7.43% 9.85%

 

(a)Total Returns are calculated based on traded NAVs.

 

The Russell 1000 Value Index is a subset of the Russell 1000 Index which measures the performance of the stocks of the 1000 largest companies in the Russell 3000 Index based on market capitalization. The Russell 1000 Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Large Cap Value Category is generally representative of mutual funds that primarily invest in big (large capitalization) U.S. companies that are less expensive or growing more slowly than other large-cap stocks.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.10% for Class N, 2.10% for Class C and 1.35% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

62

 

DUNHAM LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 98.1%     
     AEROSPACE & DEFENSE - 2.5%     
 9,985   L3Harris Technologies, Inc. (c)  $2,461,003 
 18,944   Raytheon Technologies Corporation   1,796,270 
         4,257,273 
     ASSET MANAGEMENT - 2.9%     
 3,355   BlackRock, Inc.   2,167,028 
 33,073   Charles Schwab Corporation (The)   2,634,926 
         4,801,954 
     AUTOMOTIVE - 0.9%     
 39,729   General Motors Company   1,559,363 
           
     BANKING - 7.7%     
 120,299   Bank of America Corporation   4,335,575 
 32,826   JPMorgan Chase & Company   4,132,137 
 41,542   Truist Financial Corporation(c)   1,860,666 
 57,024   Wells Fargo & Company   2,622,534 
         12,950,912 
     BIOTECH & PHARMA - 6.7%     
 12,151   AbbVie, Inc.   1,778,906 
 39,128   Bristol-Myers Squibb Company   3,031,246 
 13,065   Horizon Therapeutics plc(a)   814,211 
 20,131   Johnson & Johnson   3,502,190 
 21,754   Merck & Company, Inc.   2,201,505 
         11,328,058 
     CHEMICALS - 3.4%     
 6,623   Air Products and Chemicals, Inc. (c)   1,658,399 
 32,596   Corteva, Inc. (c)   2,129,823 
 67,164   Huntsman Corporation   1,797,309 
         5,585,531 
     CONSTRUCTION MATERIALS - 2.0%     
 5,967   Martin Marietta Materials, Inc.   2,004,793 
 16,364   Owens Corning   1,400,922 
         3,405,715 
     CONSUMER SERVICES - 1.1%     
 31,557   Service Corp International(c)   1,912,670 

 

See accompanying notes which are an integral part of these financial statements.

63

 

DUNHAM LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 98.1% (Continued)     
     CONTAINERS & PACKAGING - 0.3%     
 15,690   Westrock Company  $534,401 
           
     DIVERSIFIED INDUSTRIALS - 2.9%     
 28,185   Emerson Electric Company   2,440,821 
 11,947   Honeywell International, Inc.   2,437,427 
         4,878,248 
     ELECTRIC UTILITIES - 4.3%     
 54,194   NextEra Energy, Inc.   4,200,035 
 47,797   Xcel Energy, Inc.   3,112,063 
         7,312,098 
     ELECTRICAL EQUIPMENT - 1.1%     
 31,680   Johnson Controls International plc   1,832,371 
           
     ENGINEERING & CONSTRUCTION - 1.5%     
 18,101   Quanta Services, Inc. (c)   2,571,066 
           
     ENTERTAINMENT CONTENT - 2.3%     
 48,609   Fox Corporation, Class A   1,403,342 
 21,736   Walt Disney Company (The)(a)   2,315,754 
         3,719,096 
     FOOD - 2.6%     
 43,036   Mondelez International, Inc., Class A   2,645,853 
 23,732   Tyson Foods, Inc., Class A   1,622,082 
         4,267,935 
     HEALTH CARE FACILITIES & SERVICES - 5.2%     
 16,467   AmerisourceBergen Corporation   2,588,942 
 32,007   CVS Health Corporation   3,031,063 
 5,643   UnitedHealth Group, Inc. (c)   3,132,711 
         8,752,716 
     HOUSEHOLD PRODUCTS - 1.5%     
 19,000   Procter & Gamble Company (The)   2,558,730 

 

See accompanying notes which are an integral part of these financial statements.

64

 

DUNHAM LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

  

Shares      Fair Value 
     COMMON STOCKS — 98.1% (Continued)     
     INDUSTRIAL REIT - 0.9%     
 14,096   Prologis, Inc.  $1,561,132 
           
     INFRASTRUCTURE REIT - 1.1%     
 9,038   American Tower Corporation   1,872,583 
           
     INSTITUTIONAL FINANCIAL SERVICES - 2.2%     
 50,618   Bank of New York Mellon Corporation (The)   2,131,524 
 16,268   Intercontinental Exchange, Inc.   1,554,733 
         3,686,257 
     INSURANCE - 6.4%     
 19,356   Allstate Corporation (The)   2,443,696 
 6,346   Berkshire Hathaway, Inc., Class B(a)   1,872,641 
 33,503   Hartford Financial Services Group, Inc. (The)   2,425,952 
 18,505   Prudential Financial, Inc. (c)   1,946,541 
 11,364   Travelers Companies, Inc. (The)   2,096,203 
         10,785,033 
     INTERNET MEDIA & SERVICES - 2.9%     
 34,685   Alphabet, Inc., Class A(a)   3,278,079 
 17,128   Meta Platforms, Inc., Class A(a)   1,595,644 
         4,873,723 
     LEISURE FACILITIES & SERVICES - 1.2%     
 14,137   Darden Restaurants, Inc. (c)   2,023,570 
           
     MACHINERY - 2.3%     
 7,679   Caterpillar, Inc.   1,662,196 
 7,321   Parker-Hannifin Corporation   2,127,629 
         3,789,825 
     MEDICAL EQUIPMENT & DEVICES - 5.8%     
 27,961   Abbott Laboratories   2,766,461 
 30,025   Baxter International, Inc.   1,631,859 
 6,592   Stryker Corporation   1,511,150 
 7,343   Thermo Fisher Scientific, Inc.   3,774,082 
         9,683,552 

 

See accompanying notes which are an integral part of these financial statements.

65

 

DUNHAM LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 98.1% (Continued)     
     OFFICE REIT - 0.5%     
 11,975   Boston Properties, Inc. (c)  $870,583 
           
     OIL & GAS PRODUCERS - 7.9%     
 27,313   ConocoPhillips   3,443,896 
 17,323   EOG Resources, Inc.   2,364,936 
 51,431   Exxon Mobil Corporation   5,699,069 
 17,222   Phillips 66   1,796,082 
         13,303,983 
     OIL & GAS SERVICES & EQUIPMENT - 1.8%     
 59,158   Schlumberger N.V.   3,077,991 
           
     RESIDENTIAL REIT - 1.1%     
 27,799   Equity LifeStyle Properties, Inc. (c)   1,778,024 
           
     RETAIL - CONSUMER STAPLES - 1.2%     
 12,366   Target Corporation   2,031,116 
           
     RETAIL - DISCRETIONARY - 1.2%     
 10,648   Lowe’s Companies, Inc.   2,075,828 
           
     SEMICONDUCTORS - 2.9%     
 3,393   Broadcom, Inc.   1,595,117 
 23,609   Micron Technology, Inc. (c)   1,277,247 
 32,652   ON Semiconductor Corporation(a) (c)   2,005,813 
         4,878,177 
     SOFTWARE - 1.0%     
 7,296   Microsoft Corporation   1,693,620 
           
     SPECIALTY FINANCE - 0.9%     
 9,654   American Express Company   1,433,136 
           
     TECHNOLOGY HARDWARE - 2.5%     
 37,531   Cisco Systems, Inc.   1,705,033 
 9,829   Motorola Solutions, Inc.   2,454,400 
         4,159,433 

 

See accompanying notes which are an integral part of these financial statements.

66

 

DUNHAM LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 98.1% (Continued)     
     TECHNOLOGY SERVICES - 1.2%     
 24,000   PayPal Holdings, Inc.(a)  $2,005,920 
           
     TELECOMMUNICATIONS - 1.2%     
 55,701   Verizon Communications, Inc.   2,081,546 
           
     TRANSPORTATION & LOGISTICS – 3.0%     
 71,155   CSX Corporation   2,067,765 
 32,521   Knight-Swift Transportation Holdings, Inc. (c)   1,561,984 
 36,597   Southwest Airlines Company(a)   1,330,301 
         4,960,050 
           
     TOTAL COMMON STOCKS (Cost $128,604,827)   164,853,219 
           
     SHORT-TERM INVESTMENTS — 16.0%     
     MONEY MARKET FUNDS - 1.9%     
 3,275,081   STIT - Treasury Portfolio, Institutional Class, 3.04% (Cost $3,275,081)(b)   3,275,081 
           
     COLLATERAL FOR SECURITIES LOANED — 14.1%     
 23,687,837   Mount Vernon Liquid Assets Portfolio, LLC, 3.24% (Cost $23,687,837)(b),(d)   23,687,837 
           
     TOTAL INVESTMENTS – 114.1% (Cost $155,567,745)  $191,816,137 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (14.1%)   (23,638,235)
     NET ASSETS - 100.0%  $168,177,902 

 

PLC- Public Limited Company

 

REIT- Real Estate Investment Trust

 

See accompanying notes which are an integral part of these financial statements.

67

 

DUNHAM LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

(a)Non-income producing security.

 

(b)Rate disclosed is the seven day effective yield as of October 31, 2022.

 

(c)All or a portion of these securities are on loan. Total loaned securities had a value of $22,996,699 at October 31, 2022.

 

(d)The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

Portfolio Composition * - (Unaudited)
Collateral for Securities Loaned   12.4%  Healthcare Facilities & Services   4.6%
Oil & Gas Producers   6.9%  Electric Utilities   3.8%
Banking   6.8%  Chemicals   2.9%
Biotech & Pharma   5.9%  Transportation & Logistics   2.6%
Insurance   5.6%  Others   43.5%
Medical Equipment & Devices   5.0%  Total   100.0%

  

*     Based on total value of investments as of October 31, 2022. Does not include derivatives.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes which are an integral part of these financial statements.

68

 

Dunham Small Cap Value Fund (Unaudited)
Message from the Sub-Adviser (Ziegler Capital Management, LLC)

 

Asset Class Recap

 

Small cap value stocks significantly outpaced their small cap growth counterparts over the fiscal year ended October 31, 2022, as heightened inflation and the rise in interest rates benefitted some small cap value sectors, such as financials and energy. Inflation, as measured by the Consumer Price Index (CPI), reached levels not seen in 40 years, as the CPI breached 9 percent in June on a year-over-year basis. To fight inflation, the Federal Reserve (Fed) raised the policy rate 300 basis points in seven months, marking one of the most aggressive monetary tightening regimes in decades. Banks, which make up nearly 20 percent of the Russell 2000 Value Index and represent the vast majority of companies within the financials sector, outperformed the broader market, as the rise in interest rates led to an increase in net interest margins. Additionally, the price of key commodities, such as natural gas and oil, surged as continued supply chain disruptions and geopolitical conflict between Russia and Ukraine led to an increase in demand. Small cap growth stocks, as measured by the Russell 2000 Growth Index, lagged broader equity markets as traditional growth sectors, such as technology and consumer discretionary, which have historically relied on lower financing costs for growth, were impacted significantly by the Fed’s monetary tightening. Over the fiscal year, small cap value stocks, as measured by the Russell 2000 Value Index, fell 10.8 percent, while small cap growth stocks fell 26.0 percent.

 

Allocation Review

 

The Sub-Adviser matches the Fund’s sector allocation to the benchmark index; therefore, any changes to benchmark weights will be quickly reflected within the Fund. With that being said, the Fund is reliant on superior stock selection to generate excess returns. The Sub-Adviser seeks to generate alpha through proprietary sector-specific multi-factor models combined with qualitative analysis. When looking at the benchmark as of October 31, 2022, the largest sector by weighting was the financials sector, at 37.7 percent, or more than one-third of the Fund’s benchmark index. The financials sector contributed to performance over the period, as strong stock selection, coupled with an overweight allocation, provided strong relative returns. Other sectors that contributed over the fiscal period were materials, health care, and consumer discretionary. The sector that detracted the most from Fund performance over the fiscal year was energy, as an underweight allocation and poor security selection hurt performance.

 

Holdings Insights

 

The largest contributor to Fund performance over the fiscal year happened to be a security not held, AMC Entertainment Holdings, Inc. (AMC) (holding weight: not held). AMC is one of the largest operators of movie theatres in the U.S. and Europe. AMC, which had been one of the largest beneficiaries of the “meme” stock craze, has seen its share price fall more than 60 percent as investors transitioned out of high-risk assets and into safer, more defensive assets. Additionally, persistent COVID cases, coupled with the transition to digital streaming, led to a significant decline in sales. Over the fiscal year, AMC lost 64.7 percent. Another contributor over the fiscal year was Amphastar Pharmaceuticals, Inc. (AMPH) (holding weight*: 1.01 percent). AMPH is a bio- pharmaceuticals company that develops and manufactures injectable, inhalation, and intranasal products. AMPH continued to report earnings that impressed investors, leading to multiple sell-side analysts upgrading their view on the stock. In addition, AMPH reported that its new drug application for Ephinephrine pre -filled syringes had been approved by the Food & Drug Administration. Over the fiscal year, AMPH rose 65.4 percent. Within the materials sector, Cabot Corporation (CBT) (holding weight*: 1.36 percent), contributed meaningfully to performance. CBT operates as a specialty chemicals and performance materials company. CBT reported earnings that exceeded expectations as a recovery in demand from the COVID pandemic and a strategic acquisition boosted investor sentiment in the stock. Additionally, CBT reported that they would acquire a leading producer of furnace grade carbon black, in hopes of expanding their battery materials division. The acquisition would enable CBT to better meet demand for lithium-ion batteries, while also running operations in a sustainable way. Over the fiscal year, CBT gained 40.7 percent.

  

The largest detractor from Fund performance over the fiscal year was Chimera Investment Corporation (CIM) (holding weight*: 0.87 percent). CIM is a real estate investment trust (REIT) that invests in a portfolio of mortgage assets, including mortgage loans, mortgage-backed securities, and other real estate related securities. CIM, like other REITs, have seen its values plummet recently as rising interest rates and persistent inflation have significantly impacted the demand for real estate. Over the fiscal year, CIM lost 50.9 percent. Within the consumer discretionary sector, Abercrombie & Fitch Company (ANF) (holding weight*: 0.70 percent), a specialty retailer offering an assortment of apparel, personal care products, and other accessories, detracted from relative performance over the fiscal year. ANF recently reported sales that declined year-over-year, leading to a net loss in earnings, compared to a healthy profit a year ago. ANF also provided bleak guidance as rising inventories, temporary store closures, and a slowdown in consumer spending are expected to hurt potential growth. Over the fiscal year, ANF fell 55.5 percent. Another detractor from Fund performance over the fiscal year was Owens & Minor, Inc. (OMI) (holding weight*: 0.80 percent). OMI is a global provider of healthcare solutions, providing supplies, supply chain services, and distribution services. OMI released preliminary guidance for its quarterly earnings that showed a lower earnings estimate than anticipated. The primary reason for the revised earnings number is due to a backlog in customer inventories, coupled with lower than expected medical procedure volume. Over the fiscal year, OMI dropped 52.6 percent.

 

Sub-Adviser Outlook

 

The Sub-Adviser believes the outlook for value stocks remains attractive, despite headwinds, such as persistent inflation, potentially aggressive monetary tightening, and continued geopolitical turmoil. With a potential recession on the horizon, the Sub-Adviser prefers stocks with attractive valuation factors, as these stocks have outperformed the broader market over two of the larger recessions in recent memory (the Great Financial Crisis in 2008 and the technology bubble in 2001) while past performance is not indicative of future results. As always, the Sub-Adviser will select stocks that can be identified through a systematic, risk-controlled, repeatable approach, avoiding sector rotation and market timing.

 

*Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned as of 10/31/2022.

 

**Holdings percentage(s) as of the date prior to the sale of the security.
   

 

Growth of $100,000 Investment

 

(LINE GRAPH) 

 

Total Returns (a) as of October 31, 2022
 
    Annualized Annualized
  One Year Five Years Ten Years
Class N (7.65)% 4.77% 8.96%
Class A with load of 5.75% (13.22)% 3.27% 8.04%
Class A without load (7.91)% 4.50% 8.68%
Class C (8.54)% 3.73% 7.87%
Russell 2000 Value Index (10.73)% 5.31% 9.37%
Morningstar Small Cap Value Category (7.48)% 5.49% 9.11%

 

(a)Total Returns are calculated based on traded NAVs.

 

The Russell 2000 Value Index is an unmanaged index that measures the performance of small cap companies in the Russell 2000 Index with lower price-to-book ratios and lower forecasted growth rates. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Small Cap Value Category is generally representative of mutual funds that primarily invest in small (small capitalization) U.S. companies that are less expensive or growing more slowly than other small-cap stocks.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.05% for Class N, 2.05% for Class C and 1.30% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

69

 

DUNHAM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS
October 31, 2022

  

Shares      Fair Value 
     COMMON STOCKS — 99.5%     
     AEROSPACE & DEFENSE - 1.3%     
 26,064   Barnes Group, Inc.  $921,884 
           
     AUTOMOTIVE - 1.6%     
 115,152   American Axle & Manufacturing Holdings, Inc.(a) (c)   1,115,823 
           
     BANKING - 20.3%     
 16,801   Banner Corporation   1,255,875 
 35,510   Berkshire Hills Bancorp, Inc. (c)   1,038,668 
 29,628   Central Pacific Financial Corporation   607,967 
 27,749   Customers Bancorp, Inc.(a)   934,864 
 52,034   Eastern Bankshares, Inc.   997,492 
 27,426   First Bancorp   1,222,377 
 17,863   First Financial Corporation   866,177 
 23,013   Hancock Whitney Corporation(c)   1,285,735 
 23,485   Heartland Financial USA, Inc. (c)   1,158,280 
 37,795   Heritage Financial Corporation   1,273,313 
 29,214   Independent Bank Corporation   675,720 
 35,648   PacWest Bancorp   886,209 
 28,842   Pathward Financial, Inc.   1,212,229 
 10,909   UMB Financial Corporation   907,847 
         14,322,753 
     BIOTECH & PHARMA - 7.0%     
 31,860   Adicet Bio, Inc.(a) (c)   525,371 
 23,110   Amphastar Pharmaceuticals, Inc.(a)   714,099 
 15,929   AnaptysBio, Inc.(a) (c)   459,552 
 15,726   Anika Therapeutics, Inc.(a)   446,933 
 21,548   Chinook Therapeutics, Inc.(a)   468,669 
 12,421   Eagle Pharmaceuticals, Inc.(a)   390,889 
 18,363   iTeos Therapeutics, Inc.(a)   357,711 
 17,970   Supernus Pharmaceuticals, Inc.(a) (c)   615,832 
 28,584   Syndax Pharmaceuticals, Inc.(a) (c)   656,289 
 26,858   Vanda Pharmaceuticals, Inc.(a)   281,203 
         4,916,548 

 

See accompanying notes which are an integral part of these financial statements.

70

 

DUNHAM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

  

Shares      Fair Value 
     COMMON STOCKS — 99.5% (Continued)     
     CHEMICALS - 2.4%     
 13,043   Cabot Corporation(c)  $958,399 
 14,461   Minerals Technologies, Inc.   795,500 
         1,753,899 
     CONTAINERS & PACKAGING - 1.0%     
 44,227   O-I Glass, Inc.(a) (c)   721,342 
           
     ELECTRIC UTILITIES - 2.4%     
 20,966   Avista Corporation   860,235 
 15,288   NorthWestern Corporation   807,665 
         1,667,900 
     ELECTRICAL EQUIPMENT - 0.9%     
 9,091   Belden, Inc.   633,006 
           
     FORESTRY, PAPER & WOOD PRODUCTS - 1.1%     
 13,351   Louisiana-Pacific Corporation(c)   756,334 
           
     GAS & WATER UTILITIES - 2.5%     
 12,235   Northwest Natural Holding Company(c)   588,381 
 10,858   SJW Group   767,444 
 6,646   Spire, Inc. (c)   463,957 
         1,819,782 
     HEALTH CARE FACILITIES & SERVICES - 2.4%     
 7,398   Addus HomeCare Corporation(a) (c)   757,703 
 6,415   National HealthCare Corporation   390,802 
 33,088   Owens & Minor, Inc. (c)   562,496 
         1,711,001 
     HOME CONSTRUCTION - 1.2%     
 10,974   Meritage Homes Corporation(a)   835,780 
           
     HOTEL REIT - 1.2%     
 52,634   Pebblebrook Hotel Trust(c)   844,249 
           
     INDUSTRIAL INTERMEDIATE PROD - 1.4%     
 16,267   Mueller Industries, Inc. (c)   1,018,965 

 

See accompanying notes which are an integral part of these financial statements.

71

 

DUNHAM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

  

Shares      Fair Value 
     COMMON STOCKS — 99.5% (Continued)     
     INSTITUTIONAL FINANCIAL SERVICES - 1.2%     
 6,881   Piper Sandler Cos  $880,562 
           
     INSURANCE - 2.9%     
 15,478   American Equity Investment Life Holding Company(c)   666,793 
 10,111   Axis Capital Holdings Ltd.   552,768 
 17,050   Mercury General Corporation   494,450 
 1,620   National Western Life Group, Inc., Class A   320,792 
         2,034,803 
     LEISURE FACILITIES & SERVICES - 1.9%     
 30,649   Bloomin’ Brands, Inc. (c)   735,882 
 15,925   Travel + Leisure Company   604,832 
         1,340,714 
     LEISURE PRODUCTS - 1.0%     
 8,573   Thor Industries, Inc. (c)   698,442 
           
     MACHINERY - 4.2%     
 6,794   Alamo Group, Inc.   1,033,232 
 6,318   Curtiss-Wright Corporation   1,060,350 
 19,428   Hillenbrand, Inc.   858,329 
         2,951,911 
     MEDICAL EQUIPMENT & DEVICES - 0.9%     
 29,521   Avanos Medical, Inc.(a)   653,890 
           
     METALS & MINING - 0.9%     
 4,457   Encore Wire Corporation(c)   613,239 
           
     MORTGAGE FINANCE - 1.8%     
 90,902   Chimera Investment Corporation(c)   613,589 
 57,972   Dynex Capital, Inc. (c)   692,185 
         1,305,774 
     MULTI ASSET CLASS REIT - 2.3%     
 68,216   Armada Hoffler Properties, Inc.   797,445 
 69,097   Global Net Lease, Inc.   846,438 
         1,643,883 

 

See accompanying notes which are an integral part of these financial statements.

72

 

DUNHAM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

  

Shares      Fair Value 
     COMMON STOCKS — 99.5% (Continued)     
     OIL & GAS PRODUCERS - 3.4%     
 11,371   Callon Petroleum Company(a) (c)  $499,869 
 30,448   PBF Energy, Inc., Class A(a) (c)   1,347,325 
 16,136   SilverBow Resources, Inc.(a) (c)   572,344 
         2,419,538 
     OIL & GAS SERVICES & EQUIPMENT - 2.1%     
 101,159   Archrock, Inc.   759,704 
 64,718   RPC, Inc.   720,311 
         1,480,015 
     PUBLISHING & BROADCASTING - 1.1%     
 44,631   Sinclair Broadcast Group, Inc., Class A(c)   794,878 
           
     REAL ESTATE INVESTMENT TRUSTS - 0.9%     
 35,892   Broadstone Net Lease, Inc. (c)   615,189 
           
     RETAIL - CONSUMER STAPLES - 1.6%     
 11,686   Ingles Markets, Inc., Class A   1,102,808 
           
     RETAIL - DISCRETIONARY - 3.5%     
 28,161   Abercrombie & Fitch Company, Class A(a)   495,070 
 15,244   Academy Sports & Outdoors, Inc. (c)   671,193 
 32,834   Ethan Allen Interiors, Inc.   840,222 
 37,660   Sally Beauty Holdings, Inc.(a) (c)   478,659 
         2,485,144 
     RETAIL REIT - 4.3%     
 50,460   Essential Properties Realty Trust, Inc.   1,085,900 
 73,886   SITE Centers Corporation(c)   914,709 
 24,509   Spirit Realty Capital, Inc.   951,684 
         2,952,293 
     SEMICONDUCTORS - 2.7%     
 32,058   Cohu, Inc.(a)   1,055,350 
 11,987   Diodes, Inc.(a)   859,108 
         1,914,458 
     SPECIALTY FINANCE - 2.6%     
 15,791   Essent Group Ltd.   625,008 

 

See accompanying notes which are an integral part of these financial statements.

73

 

DUNHAM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

  

Shares      Fair Value 
     COMMON STOCKS — 99.5% (Continued)     
     SPECIALTY FINANCE - 2.6% (Continued)     
 17,614   Mr Cooper Group, Inc.(a) (c)  $695,577 
 12,738   Stewart Information Services Corporation(c)   496,272 
         1,816,857 
     SPECIALTY REITS - 0.4%     
 7,942   EPR Properties   306,561 
           
     TECHNOLOGY HARDWARE - 1.9%     
 49,184   Knowles Corporation(a)   676,280 
 18,966   NetScout Systems, Inc.(a)   681,259 
         1,357,539 
     TECHNOLOGY SERVICES - 3.0%     
 31,234   Green Dot Corporation, Class A(a)   594,383 
 37,212   LiveRamp Holdings, Inc.(a)   683,212 
 7,404   Science Applications International Corporation   802,149 
         2,079,744 
     TELECOMMUNICATIONS - 0.9%     
 34,123   EchoStar Corporation, Class A(a) (c)   643,901 
           
     TIMBER REIT - 1.3%     
 20,992   PotlatchDeltic Corporation   933,934 
           
     TRANSPORTATION & LOGISTICS - 4.4%     
 10,189   ArcBest Corporation(c)   809,312 
 11,209   Matson, Inc.   824,758 
 10,677   Ryder System, Inc.   859,605 
 33,645   SkyWest, Inc.(a)   594,844 
         3,088,519 
     WHOLESALE - CONSUMER STAPLES - 0.8%     
 16,130   Andersons, Inc. (The)   568,905 
           
     WHOLESALE - DISCRETIONARY - 0.8%     
 28,621   G-III Apparel Group Ltd.(a)   558,110 

 

See accompanying notes which are an integral part of these financial statements.

74

 

DUNHAM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

  

Shares      Fair Value 
     COMMON STOCKS — 99.5% (Continued)     
     TOTAL COMMON STOCKS (Cost $66,115,268)  $70,280,877 
           
     SHORT-TERM INVESTMENTS — 30.6%     
     MONEY MARKET FUNDS - 0.5%     
 326,666   Invesco - Treasury Portfolio, Institutional Class, 3.08% (Cost $326,666)(b)   326,666 
           
     COLLATERAL FOR SECURITIES LOANED – 30.1%     
 21,269,346   Mount Vernon Liquid Assets Portfolio, LLC, 3.24% (Cost $21,269,346) (b),(d)   21,269,346 
           
     TOTAL INVESTMENTS – 130.1% (Cost $87,711,280)  $91,876,889 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (30.1%)   (21,276,907)
     NET ASSETS - 100.0%  $70,599,982 

 

LTD- Limited Company

 

PLC- Public Limited Company

 

REIT- Real Estate Investment Trust

 

(a)Non-income producing security.

 

(b)Rate disclosed is the seven day effective yield as of October 31, 2022.

 

(c)All or a portion of these securities are on loan. Total loaned securities had a value of $20,643,100 at October 31, 2022.

 

(d)The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

Portfolio Composition * - (Unaudited)
Collateral for Securities Loaned   23.1%  Retail - Discretionary   2.7%
Banking   15.6%  Oil & Gas Producers   2.6%
Biotech & Pharma   5.4%  Technology Services   2.3%
Transportation & Logistics   3.4%  Insurance   2.2%
Retail REIT   3.2%  Others   36.3%
Machinery   3.2%  Total   100.0%

 

*     Based on total value of investments as of October 31, 2022. Does not include derivative holdings.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes which are an integral part of these financial statements.

75

 

Dunham Focused Large Cap Growth Fund (Unaudited)
Message from the Sub-Adviser (The Ithaka Group, LLC)

 

Asset Class Recap

 

At the close of the most recent fiscal year, investors had still not received clarity on when the economy may officially be in a recession, nor a conclusion to the Russia/Ukraine war, and inflation continued to come in at historically high levels despite the Federal Open Market Committee’s aggressive rate increases. The quarter over quarter reading for GDP that arrived in late October 2022 was the first positive percentage change since the reading reported in March 2022. The contraction in GDP combined with elevated inflation fueled the risk -off sentiment in the markets. This uncertainty surrounding an eventual economic recovery correlated with the compounding declines in the equity markets through the end of the fiscal year. In the final three months of the fiscal year, large cap growth stocks, as measured by the Russell 1000 Growth Index, declined 8.9 percent, which brought performance to a negative 24.6 percent for the 12-month period ended October 31, 2022. Value stocks fared better, as the Russell 3000 Value Index declined 2.4 percent during the fourth fiscal quarter. This latest decline for value stocks brought the performance for the 12-month period ended October 31, 2022 to negative 7.3 percent.

 

Allocation Review

 

When considering large cap growth sectors that comprise more than 5 percent of the Russell 1000 Growth Index, not a single sector ended the fiscal year in positive territory. The largest sectors in the index, technology and consumer discretionary, declined 27.5 percent and 34.1 percent, respectively. When aggregating the weights of these two sectors together, they comprise nearly 67 percent of the index, with the technology sector alone making up 46.6 percent of the index. Therefore, much of the performance of large cap growth stocks was dictated by the overall direction of these largest sectors, primarily technology. Although the Fund consistently had a lower exposure to the technology sector than the index, the Sub-Adviser’s security selection within the sector broadly detracted from overall performance. Similarly, the Fund had an overweight to the health care sector, but the security selection faltered in the sector. The Fund was overweight the consumer discretionary sector, which was the poorest performing sector in the index, detracting from relative performance over the fiscal year. The Fund did not have any exposure to the producer durables sector during the fiscal year, which also detracted from relative performance, as the sector declined only 7.9 percent. Another large sector in the Fund was the financial services sector, which represented the largest relative overweight, with the Fund having nearly double the index’s exposure. The Sub-Adviser’s security selection detracted within the sector, performing similarly to the other sectors within the Fund for the fiscal year.

 

Holdings Insights

 

Given the predominately negative performance backdrop for large cap growth stocks, there were fewer positive performers than negative performers within the Fund during the fiscal year. The Fund held some relatively strong performers in the final fiscal quarter, such as Netflix Inc. (NFLX) (holding weight*: 2.22 percent), the global movie and streaming subscription service, which increased 29.8 percent during the fourth fiscal quarter, and DexCom, Inc. (DXCM) (holding weight*: 4.06 percent), a company that develops, manufactures, produces, and distributes continuous glucose monitoring systems for diabetes management, which increased 47.2 percent. However, despite the significant increases in the final three months of the fiscal year, both of these holdings were still negative for the 12-month period ended October 31, 2022, with NFLX down 57.7 percent and DXCM down 22.5 percent. Therefore, this more recent surge served to recover a meaningful portion of losses sustained earlier in the fiscal year. One of the Fund’s holdings that increased enough in the final fiscal quarter to end the 12-month period in positive territory was Tractor Supply Company (TSCO) (holding weight*: 3.27 percent), a retailer of farm and pet supplies. TSCO increased 15.3 percent during the final three months, which put its performance for the fiscal year at 2.9 percent.

 

Some Fund holdings continued to struggle in the final months of the fiscal year. This included Amazon.com Inc. (AMZN) (holding weight*: 6.51 percent), the online marketplace and web-services behemoth. AMZN declined 24.1 percent during the fourth fiscal quarter, which also displaced it from retaining its position as the largest holding in the Fund. Instead, the largest holding in the Fund at the end of the fiscal year was Mastercard, Inc. (MA) (holding weight*: 7.43 percent), a global payment-processor, primarily between banks, merchants, and card-carrying customers of those merchants. MA decreased 7.1 percent during the final fiscal quarter, which resulted in a 1.6 percent decline for the fiscal year. Although negative, this was the fourth-best performing holding over the fiscal year. The worst performing holding in the Fund during the final three-month period was Advanced Micro Devices, Inc. (AMD) (holding weight*: 1.39 percent), a producer of microprocessors and chipsets. AMD plummeted 36.4 percent over the three-month period, which brought its return for the fiscal year down to a negative 50.1 percent.

 

Sub-Adviser Outlook

 

The Sub-Adviser maintains a concentrated portfolio of holdings, which has resulted in higher volatility and a larger decline during the fiscal year. As the Sub-Adviser is still confident in the future prospects of many of the holdings that declined, the Fund continues to hold what the Sub-Adviser believes to be the strongest growth stocks, primarily focusing on free-cash-flow and fundamental factors that traditionally support long-term growth. Despite recent performance headwinds, the Fund continues to hold an array of stocks ranging from cloud-based technologies to brick-and-mortar retailers. The Sub-Adviser is optimistic that remaining concentrated in the Fund’s number of holdings will prove to be more impactful to the Fund’s out performance relative to its benchmark index over the long term than the impact of sector weightings.

 

*Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 10/31/2022.
   

 

Growth of $100,000 Investment

 

(LINE GRAPH) 

 

Total Returns (a) as of October 31, 2022
 
    Annualized Annualized
  One Year Five Years Ten Years
Class N (39.47)% 9.74% 11.67%
Class A with load of 5.75% (43.10)% 8.18% 10.74%
Class A without load (39.62)% 9.47% 11.39%
Class C (40.07)% 8.65% 10.56%
Russell 1000 Growth Index (24.60)% 12.59% 14.69%
Morningstar Large Cap Growth Category (28.57)% 9.11% 11.94%

 

(a)Total Returns are calculated based on traded NAVs.

 

The Russell 1000 Growth Index is a subset of the Russell 1000 Index which measures the performance of the stocks of the 1000 largest companies in the Russell 3000 Index based on market capitalization. The Russell 1000 Growth Index measures the performance of those stocks of the Russell 1000 with higher price-to-book ratios and higher relative forecasted growth rates. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Large Cap Growth Category is generally representative of mutual funds that primarily invest in big (large capitalization) U.S. companies that are projected to grow faster than other large-cap stocks.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.12% for Class N, 2.12% for Class C and 1.37% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

76

 

DUNHAM FOCUSED LARGE CAP GROWTH FUND
SCHEDULE OF INVESTMENTS
October 31, 2022

  

Shares      Fair Value 
     COMMON STOCKS — 95.9%     
     ASSET MANAGEMENT - 1.5%     
 29,180   Blackstone, Inc.(a)  $2,659,465 
           
     E-COMMERCE DISCRETIONARY - 8.7%     
 111,680   Amazon.com, Inc.(b)   11,440,499 
 4,184   MercadoLibre, Inc.(b)   3,772,378 
         15,212,877 
     INTERNET MEDIA & SERVICES - 2.2%     
 13,393   Netflix, Inc.(b)   3,909,149 
           
     LEISURE FACILITIES & SERVICES - 3.2%     
 3,793   Chipotle Mexican Grill, Inc.(a),(b)   5,683,166 
           
     MEDICAL EQUIPMENT & DEVICES - 14.1%     
 12,404   Align Technology, Inc.(b)   2,410,097 
 59,058   DexCom, Inc.(a),(b)   7,133,026 
 54,203   Edwards Lifesciences Corporation(b)   3,925,923 
 18,284   Insulet Corporation(a),(b)   4,732,082 
 26,270   Intuitive Surgical, Inc.(b)   6,474,767 
         24,675,895 
     RETAIL - DISCRETIONARY - 7.2%     
 12,122   Burlington Stores, Inc.(a),(b)   1,732,961 
 15,577   Lululemon Athletica, Inc.(b)   5,125,456 
 26,131   Tractor Supply Company(a)   5,742,810 
         12,601,227 
     SEMICONDUCTORS - 13.3%     
 40,758   Advanced Micro Devices, Inc.(b)   2,447,925 
 10,404   ASML Holding N.V. - ADR   4,915,058 
 44,337   Marvell Technology, Inc.   1,759,292 
 65,015   NVIDIA Corporation   8,775,075 
 45,653   QUALCOMM, Inc.   5,371,532 
         23,268,882 
     SOFTWARE - 24.5%     
 18,030   Adobe, Inc.(b)   5,742,555 
 55,638   Microsoft Corporation   12,915,248 

 

See accompanying notes which are an integral part of these financial statements.

77

 

DUNHAM FOCUSED LARGE CAP GROWTH FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 95.9% (Continued)     
     SOFTWARE - 24.5% (Continued)     
 43,467   Salesforce, Inc.(b)  $7,067,300 
 27,166   ServiceNow, Inc.(b)   11,429,823 
 36,082   Veeva Systems, Inc., Class A(a),(b)   6,059,611 
         43,214,537 
     TECHNOLOGY HARDWARE - 6.0%     
 68,373   Apple, Inc.   10,484,316 
           
     TECHNOLOGY SERVICES - 15.2%     
 41,923   Block, Inc., Class A(b)   2,518,315 
 39,818   Mastercard, Inc., Class A   13,067,471 
 33,911   PayPal Holdings, Inc.(b)   2,834,281 
 40,010   Visa, Inc., Class A(a)   8,288,472 
         26,708,539 
           
     TOTAL COMMON STOCKS (Cost $127,336,616)   168,418,053 
           
     SHORT-TERM INVESTMENTS — 27.1%     
     MONEY MARKET FUND – 4.2%     
 7,361,948   STIT - Treasury Obligations Portfolio, 3.12%(c)   7,361,948 
           
     COLLATERAL FOR SECURITIES LOANED - 22.9%     
 40,261,170   Mount Vernon Liquid Assets Portfolio, LLC, 3.24% (c),(d)   40,261,170 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $47,623,118)   47,623,118 
           
     TOTAL INVESTMENTS – 123.0% (Cost $174,959,734)  $216,041,171 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (23.0)%   (40,422,285)
     NET ASSETS - 100.0%  $175,618,886 

 

ADR- American Depositary Receipt

 

LLC- Limited Liability Company

 

(a)All or a portion of these securities are on loan. Total loaned securities had a value of $39,116,778 at October 31, 2022.

 

(b)Non-income producing security.

 

(c)Rate disclosed is the seven day effective yield as of October 31, 2022.

 

(d)The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

See accompanying notes which are an integral part of these financial statements.

78

 

DUNHAM FOCUSED LARGE CAP GROWTH FUND  
SCHEDULE OF INVESTMENTS (Continued)  
October 31, 2022  

 

Portfolio Composition * - (Unaudited)
Technology   48.0%  Short-Term Investment   3.4%
Collateral for Securities Loaned   18.7%  Communications   1.8%
Consumer Discretionary   15.5%  Financials   1.2%
Health Care   11.4%  Total   100.0%

 

*Based on total value of investments as of October 31, 2022. Does not include derivative holdings.
   
 Percentage may differ from Schedule of Investments which is based on Fund net assets.

  

See accompanying notes which are an integral part of these financial statements.

79

 

Dunham Small Cap Growth Fund (Unaudited)
Message from the Sub-Adviser (Pier Capital, LLC)
 

Asset Class Recap

 

Global equity markets experienced significant volatility over the fiscal year ended October 31, 2022, as headwinds such as persistent COVID cases, supply chain disruptions, and elevated inflation, impacted businesses and consumers. Inflation, as measured by the Consumer Price Index, peaked at 9.1 percent year-over-year in June, marking the largest annual increase in 40 years. The heightened inflation was in large part caused by an influx of fiscal stimulus at the onset of the COVID pandemic, supply chain disruptions as a result of global lockdowns, and a geopolitical conflict between Russia and Ukraine. To combat the elevated inflation, the Federal Reserve (Fed) decided to raise interest rates by 300 basis points, with the last three increases in the policy rate being 75 basis points each. The increase in interest rates, combined with stubborn inflation, led to a global sell-off in traditional asset classes, such as equity and fixed income. Historically higher-risk assets, such as small cap stocks, growth stocks, and high-yield bonds, underperformed the broader market. Small cap stocks, as measured by the Russell 2000 Index, fell 18.6 percent, trailing their large cap peers, as measured by the S&P 500 Index, by 4.0 percent. When comparing small cap value and small cap growth stocks, small cap value stocks, as measured by the Russell 2000 Value Index, significantly outperformed their small cap growth counterparts, as measured by the Russell 2000 Growth Index, ahead by 15.2 percent. Over the fiscal year, small cap growth stocks fell 26.0 percent.

 

Allocation Review

 

The sector allocation within the Fund is predominantly a result of the Sub-Adviser’s bottom-up stock selection. With that being said, the sector that contributed the most to Fund performance over the fiscal year was consumer discretionary. The Sub-Adviser’s strong stock selection, specifically within the restaurant industry, coupled with their relative overweight allocation, contributed meaningfully to returns. Another sector that contributed to performance was the financial services sector, with superior security selection driving outperformance. The sector that detracted the most from performance over the fiscal year was the technology sector as the Sub-Adviser’s overweight allocation in tandem with poor security selection dragged on performance. In addition, the Sub-Adviser’s underweight to the energy sector detracted from relative performance as the sector within the benchmark provided one of the few positive absolute returns over the fiscal period.

 

Holdings Insights

 

The largest contributor to Fund performance over the fiscal year came from a security not held, Asana, Inc. (ASAN) (holding weight*: not held). ASAN operates a work management platform for enterprises. Over the fiscal year, ASAN consistently reported impressive sales, as the software-as-a-service company continued to gain market-share. While sales were stellar given the challenging market environment, investor sentiment soured after financial results highlighted the significant spend on advertising and negative free cash flow. Over the fiscal year, ASAN lost 84.8 percent. Another contributor over the fiscal year was Apellis Pharmaceuticals, Inc. (APLS) (holding weight*: 0.65 percent). APLS is a biopharmaceutical company that focuses on the development of therapeutics for autoimmune and inflammatory diseases. APLS has made steady progress with its lead drug, Empaveli, a monotherapy treatment for adult patients suffering from paroxysmal nocturnal hemoglobinuria (PNH). In addition, APLS announced that their pegcetacoplan treatment showed a meaningful reduction in the spread of genetic atrophy (GA). Over the fiscal year, APLS gained 96.8 percent. Within the consumer discretionary sector, elf Beaty, Inc. (ELF) (holding weight*: 1.31 percent), a cosmetics and skin care products provider, also contributed meaningfully to relative Fund performance, gaining 33.9 percent. In the most recent fiscal quarter, ELF reported earnings that handily exceeded expectations, up 69 percent over consensus. In addition, sales increased 26 percent driven by an increase in both domestic and international spending.

 

The largest detractor from Fund performance over the fiscal year was Eventbrite, Inc. (EB) (holding weight*: 0.87 percent). EB operates as a self-service ticketing and experience technology platform that services event creators. EB struggled through the COVID pandemic as demand for in-person events came down due to restrictive COVID lockdowns. When lockdowns eased, EB saw an influx of demand, leading to a meaningful increase in sales. However, in the most recent fiscal quarter, EB posted a net loss, which led many investors to flee E B and move into safer assets. Over the fiscal year, EB dropped 67.5 percent. Another detractor over the fiscal year was Freshpet, Inc. (FRPT) (holding weight*: 1.03 percent). FRPT manufactures and markets natural fresh meals and treats for pets. Over the fiscal year, FRPT consistently reported earnings that came in negative as high costs decreased margins. While the demand for pets and pet products increased during the COVID pandemic as more individuals prioritized life at home, the valuation and fundamentals began to appear stretched, leading to a steep sell-off in FRPT. Over the fiscal year, FRPT fell 62.2 percent. Within the technology sector, Elastic N.V. (ESTC) (holding weight*: 0.92 percent), a public and private-cloud search company, detracted from Fund performance. ESTC has seen its sales increase significantly over the fiscal year, however, losses continue to increase, leading some investors to sell-out of the high-flying growth stock. While guidance suggests sales are likely to continue increasing, expenses may weigh on margins and outweigh any profitability in the foreseeable future. Over the fiscal year, ESTC lost 63.1 percent.

 

Sub-Adviser Outlook

 

The Sub-Adviser believes that many of the themes that affected markets last fiscal quarter, such as persistent COVID cases, supply chain disruptions, inflation, and tightening monetary policy, may continue to impact markets in the near future. Inflation and the Federal Reserve’s response continue to be at the forefront of the Sub-Adviser’s mind, with a potential recession on the horizon. Despite the negative headwinds, consumer spending has not come down meaningfully and the labor market appears stronger than it was prior to the COVID pandemic. The Sub-Adviser has navigated multiple market cycles before and will continue to remain true to its diligent investment process, seeking those companies and industries in what they believe to be high-growth markets.

 

*Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 10/31/2022.

 

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2022

 

    Annualized Annualized
  One Year Five Years Ten Years
Class N (37.42)% 8.62% 11.64%
Class A with load of 5.75% (41.15)% 7.07% 10.70%
Class A without load (37.55)% 8.35% 11.36%
Class C (37.99)% 7.55% 10.53%
Russell 2000 Growth Index (26.02)% 5.17% 10.15%
Morningstar Small Cap Growth Category (27.84)% 7.02% 10.30%

 

(a)Total Returns are calculated based on traded NAVs.

 

The Russell 2000 Growth Index measures the performance of the Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Small Cap Growth Category is generally representative of mutual funds that primarily invest in small (small capitalization) U.S. companies that are projected to grow faster than other small-cap stocks.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.83% for Class N, 2.83% for Class C and 2.08% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com

80

 

DUNHAM SMALL CAP GROWTH FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 95.3%     
     AEROSPACE & DEFENSE - 1.5%     
 21,950   Hexcel Corporation  $1,222,615 
           
     APPAREL & TEXTILE PRODUCTS - 1.6%     
 5,485   Crocs, Inc.(a)   388,064 
 2,438   Deckers Outdoor Corporation(a)   853,129 
         1,241,193 
     BANKING - 5.1%     
 26,819   First Merchants Corporation   1,204,173 
 21,426   Glacier Bancorp, Inc.   1,227,282 
 26,367   Seacoast Banking Corp of Florida   814,740 
 5,000   Signature Bank(b)   792,650 
         4,038,845 
     BIOTECH & PHARMA - 8.3%     
 43,940   Alector, Inc.(a)   404,248 
 28,741   Allogene Therapeutics, Inc.(a),(b)   296,032 
 29,510   ALX Oncology Holdings, Inc.(a),(b)   358,251 
 42,147   Anavex Life Sciences Corporation(a),(b)   512,929 
 8,454   Apellis Pharmaceuticals, Inc.(a)   511,382 
 20,019   Halozyme Therapeutics, Inc.(a)   957,109 
 7,842   Immunocore Holdings plc - ADR(a)   448,092 
 16,032   Intra-Cellular Therapies, Inc.(a),(b)   732,181 
 26,184   IVERIC bio, Inc.(a)   626,321 
 17,190   Maravai LifeSciences Holdings, Inc.(a)   285,354 
 142,486   MaxCyte, Inc.(a)   986,004 
 9,529   Vaxcyte, Inc.(a)   415,560 
         6,533,463 
     COMMERCIAL SUPPORT SERVICES - 1.0%     
 5,005   FTI Consulting, Inc.(a)   778,928 
           
     ELECTRICAL EQUIPMENT - 3.1%     
 23,219   Bloom Energy Corporation, Class A(a)   434,427 
 20,580   BWX Technologies, Inc.   1,172,648 
 17,731   Itron, Inc.(a)   866,869 
         2,473,944 
           

See accompanying notes which are an integral part of these financial statements.

81

 

DUNHAM SMALL CAP GROWTH FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 95.2% (Continued)     
     ENGINEERING & CONSTRUCTION - 5.0%     
 9,863   Exponent, Inc.  $939,549 
 10,415   MasTec, Inc.(a),(b)   802,788 
 22,601   Montrose Environmental Group, Inc.(a)   989,472 
 27,724   WillScot Mobile Mini Holdings Corporation(a)   1,179,102 
         3,910,911 
     HEALTH CARE FACILITIES & SERVICES - 6.1%     
 6,634   Amedisys, Inc.(a)   647,412 
 5,111   Catalent, Inc.(a)   335,946 
 8,461   HealthEquity, Inc.(a)   659,197 
 26,713   Option Care Health, Inc.(a)   808,335 
 13,372   Progyny, Inc.(a)   594,653 
 52,658   RadNet, Inc.(a)   1,006,820 
 19,550   SI-BONE, Inc.(a)   380,052 
 14,656   Surgery Partners, Inc.(a),(b)   398,497 
         4,830,912 
     HOME CONSTRUCTION - 0.7%     
 9,150   Skyline Champion Corporation(a)   532,622 
           
     HOUSEHOLD PRODUCTS - 3.1%     
 23,773   elf Beauty, Inc.(a)   1,028,420 
 17,652   Inter Parfums, Inc.   1,427,694 
         2,456,114 
     INDUSTRIAL INTERMEDIATE PROD - 1.1%     
 3,849   Chart Industries, Inc.(a),(b)   857,865 
           
     INSTITUTIONAL FINANCIAL SERVICES - 2.4%     
 7,600   Evercore, Inc., Class A   798,760 
 12,087   Houlihan Lokey, Inc.   1,079,611 
         1,878,371 
     INTERNET MEDIA & SERVICES - 2.4%     
 103,597   Eventbrite, Inc., Class A(a),(b)   680,632 
 33,766   Pinterest, Inc., Class A(a)   830,644 
 5,446   TechTarget, Inc.(a)   351,539 
         1,862,815 
           

See accompanying notes which are an integral part of these financial statements.

82

 

DUNHAM SMALL CAP GROWTH FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 95.2% (Continued)     
     LEISURE FACILITIES & SERVICES - 6.7%     
 13,470   Dutch Bros, Inc.(a),(b)  $497,178 
 43,066   OneSpaWorld Holdings Ltd.(a)   390,609 
 12,393   Papa John’s International, Inc.(b)   900,104 
 6,704   Planet Fitness, Inc., Class A(a)   438,978 
 17,421   Shake Shack, Inc., Class A(a),(b)   968,085 
 10,198   Texas Roadhouse, Inc.   1,009,091 
 7,377   Wingstop, Inc.(b)   1,168,442 
         5,372,487 
     LEISURE PRODUCTS - 1.2%     
 2,842   Axon Enterprise, Inc.(a)   413,340 
 5,811   Fox Factory Holding Corporation(a)   510,497 
         923,837 
     MACHINERY - 2.9%     
 8,037   Lindsay Corporation   1,360,665 
 6,856   MSA Safety, Inc.   920,349 
         2,281,014 
     MEDICAL EQUIPMENT & DEVICES - 8.7%     
 114,158   Adaptive Biotechnologies Corporation(a)   888,150 
 70,236   Alphatec Holdings, Inc.(a),(b)   719,217 
 31,629   BioLife Solutions, Inc.(a)   743,914 
 148,337   Cerus Corporation(a),(b)   542,913 
 11,140   Inari Medical, Inc.(a)   857,000 
 3,300   Insulet Corporation(a)   854,073 
 9,684   Lantheus Holdings, Inc.(a)   716,519 
 4,079   Repligen Corporation(a)   744,377 
 17,193   Silk Road Medical, Inc.(a)   757,867 
         6,824,030 
     RENEWABLE ENERGY - 1.3%     
 26,481   Fluence Energy, Inc.(a),(b)   395,361 
 2,903   SolarEdge Technologies, Inc.(a)   667,777 
         1,063,138 
     RETAIL - CONSUMER STAPLES - 2.3%     
 6,304   Five Below, Inc.(a)   922,590 
           

See accompanying notes which are an integral part of these financial statements.

83

 

DUNHAM SMALL CAP GROWTH FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 95.2% (Continued)     
     RETAIL - CONSUMER STAPLES - 2.3% (Continued)     
 16,254   Ollie’s Bargain Outlet Holdings, Inc.(a),(b)  $910,224 
         1,832,814 
     RETAIL - DISCRETIONARY - 1.0%     
 13,688   Freshpet, Inc.(a),(b)   806,908 
           
     SEMICONDUCTORS - 7.4%     
 18,575   Aehr Test Systems(a),(b)   382,088 
 40,076   Allegro MicroSystems, Inc.(a)   1,018,332 
 6,572   Axcelis Technologies, Inc.(a)   381,176 
 15,116   Azenta, Inc.   671,150 
 15,154   Lattice Semiconductor Corporation(a)   735,121 
 10,982   Onto Innovation, Inc.(a)   734,037 
 7,447   Power Integrations, Inc.   496,789 
 5,909   Silicon Laboratories, Inc.(a),(b)   679,062 
 9,379   Wolfspeed, Inc.(a)   738,596 
         5,836,351 
     SOFTWARE - 14.8%     
 12,774   Alteryx, Inc., Class A(a)   622,477 
 1,523   Appfolio, Inc., Class A(a)   190,939 
 12,680   Blackline, Inc.(a)   710,080 
 5,397   Calix, Inc.(a)   397,435 
 5,855   Crowdstrike Holdings, Inc., Class A(a)   943,825 
 30,850   DoubleVerify Holdings, Inc.(a),(b)   901,745 
 27,227   Doximity, Inc.(a),(b)   720,699 
 4,177   Duolingo, Inc.(a)   341,846 
 14,940   Dynatrace, Inc.(a),(b)   526,486 
 11,302   Elastic N.V.(a)   722,763 
 48,699   Expensify, Inc.(a)   637,470 
 12,861   Five9, Inc.(a)   775,004 
 17,643   Jamf Holding Corporation(a),(b)   417,610 
 33,080   JFrog Ltd.(a)   840,232 
 25,636   KnowBe4, Inc.(a)   630,133 
 5,356   Omnicell, Inc.(a)   414,126 
 13,858   Sprout Social, Inc., Class A(a)   836,053 
           
           

See accompanying notes which are an integral part of these financial statements.

84

 

DUNHAM SMALL CAP GROWTH FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 95.32% (Continued)     
     SOFTWARE - 14.8% (Continued)     
 22,221   ZoomInfo Technologies, Inc., Class A(a),(b)  $989,501 
         11,618,424 
     TECHNOLOGY HARDWARE - 1.8%     
 12,751   Fabrinet(a)   1,458,714 
           
     TECHNOLOGY SERVICES - 4.1%     
 19,831   MAXIMUS, Inc.   1,222,978 
 21,509   Shift4 Payments, Inc.(a),(b)   988,769 
 12,536   WNS Holdings Ltd. - ADR(a)   1,079,099 
         3,290,846 
     TRANSPORTATION & LOGISTICS - 0.7%     
 19,538   Air Transport Services Group, Inc.(a)   570,510 
           
     WHOLESALE - CONSUMER STAPLES - 1.0%     
 22,826   Grocery Outlet Holding Corporation(a),(b)   789,095 
           
     TOTAL COMMON STOCKS (Cost $72,882,761)   75,286,766 
           
     SHORT-TERM INVESTMENTS — 22.1%     
     MONEY MARKET FUND - 4.1%     
 3,295,839   Fidelity Government Portfolio Institutional Class, 2.86%(c)   3,295,839 
           
     COLLATERAL FOR SECURITIES LOANED - 18.0%     
 14,217,406   Mount Vernon Liquid Assets Portfolio, LLC, 3.24%(c)(d)   14,217,406 
     TOTAL SHORT-TERM INVESTMENTS (Cost $17,513,245)   17,513,245 
           
           
     TOTAL INVESTMENTS - 117.4% (Cost $90,396,006)  $92,800,011 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (17.4)%   (13,731,408)
     NET ASSETS - 100.0%  $79,068,603 

 

ADR - American Depositary Receipt
   
LLC - Limited Liability Company
   
LTD - Limited Company
   
PLC - Public Limited Company
   

See accompanying notes which are an integral part of these financial statements.

85

 


DUNHAM SMALL CAP GROWTH FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022
 
(a)Non-income producing security.

 

(b)All or a portion of these securities are on loan. Total loaned securities had a value of $13,791,494 at October 31, 2022.

 

(c)Rate disclosed is the seven day effective yield as of October 31, 2022.

 

(d)The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

Portfolio Composition * - (Unaudited)
Technology   23.9%  Financials   6.4%
Health Care   19.6%  Consumer Staples   5.5%
Collateral For Securities Loaned   15.3%  Short-Term Investment   3.6%
Industrials   13.0%  Communications   2.0%
Consumer Discretionary   9.6%  Energy   1.1%
        Total   100.0%
              

*     Based on total value of investments as of October 31, 2022. Does not include derivative holdings.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes which are an integral part of these financial statements.

86

 

Dunham Emerging Markets Stock Fund (Unaudited)
Message from the Sub-Adviser (NS Partners Ltd.)
 

Asset Class Recap

 

Emerging markets underperformed developed markets to begin the fiscal year, due to an increase in political risks, heightening geopolitical tensions, as well as a more aggressive tightening by the United States Federal Reserve. Throughout the fiscal year, these themes persisted as the conflict between Russia and Ukraine saw no signs of abating and central banks appeared determined to combat inflation by tightening monetary policy regardless of its impact on the global economy. Pronounced weakness throughout the fiscal year and most recent fiscal quarter came from China as the country continued to be plagued by economic and regulatory challenges. In the previous quarter Chinese equity markets rebounded slightly as lockdown measures in China began to be lifted, and authorities increased stimulus measures. President Xi Jinping reassured investors that regulation on key sectors would ease and they would prioritize economic growth. However in the most recent fiscal quarter, geopolitical tensions over Taiwan, weakness in the real estate market, and muted economic growth caused Chinese markets to sell off. Also adding to pessimism was Jinping’s control over the country. As he secured a rare third term in office, he cemented his power by packing the party’s highest ranks with those loyal to him. Investors may be concerned that this power will provide a means to continue the “Covid-Zero” policy and other policies that could continue to hamper growth in the country. Over the most recent fiscal quarter ended October 31, 2022, emerging markets stocks, as measured by the MSCI Emerging Markets Index, declined 31.0 percent. Emerging markets stocks underperformed international developed markets, as measured by the MSCI EAFE Index, as they decreased 23.0 percent over the fiscal quarter.

 

Allocation Review

 

Over the most recent fiscal year, stock selection strongly contributed to Fund performance. The Fund experienced positive contributions from stock selection within South Korea, Brazil, and India, overshadowing the adverse effect of stock selection in China, Philippines, and Taiwan. Conversely, The Fund’s country allocation detracted from performance, with the most meaningful negative impact coming from the underweight to Brazil. Through the first three quarters of the fiscal year, the Sub-Adviser increased the exposure to China amid a slew of encouraging signs. The Sub- Adviser believed that regulatory risk and the Covid-zero policy were not going away, but these risks were easing. Additionally, they viewed the uptick in liquidity as a positive sign for future spending in the country. However, in the most recent fiscal quarter, the exposure was reduced due to the ramping up of the Biden administration’s war on Chinese technology companies along with President Xi’s takeover of economic policymaking, which the Sub-Adviser views as a potential headwind to long-term economic growth. Outside of China, the Sub-Adviser increased the exposure to India, Indonesia, and Brazil, while reducing the weighting to Taiwan and Thailand. From a sector perspective, the exposure to the technology and energy sectors contributed to Fund performance, while the exposure to the materials and utilities sectors aided positive Fund performance.

 

Holdings Insights

 

Many of the strongest performing positions within the Fund over the fiscal year came from the exposure to India. This includes Varun Beverages Ltd. (VML IN) (holding weight*: 2.87 percent), an Indian company that produces, bottles, and distributes beverages, as it increased 68.1 percent over the fiscal year. Throughout the fiscal year, VML IN expanded capacity, continued to gain market share, and earnings reports revealed the company continued to increase profits. The Sub-Adviser also believes that investors are enthusiastic about the company’s future growth prospects as they have introduced new products, such as sports drinks, to target underpenetrated market segments. Also within India, Max Healthcare Institute Ltd. (BMB2291) (holding weight*: 2.62 percent) strongly contributed to Fund performance over the fiscal quarter. Max Healthcare Institute Ltd. is an operator of private sector hospitals in and around the Delhi metropolitan area. The Sub-Adviser attributes the impressive performance to continued strong demand, maintaining high occupancy rates, and improving their payer mix, as the portion of government employee insurance patients falls and the number of relatively higher-margin, individual patients rise. The Sub-Adviser believes that the metropolitan footprint is key to the group’s high occupancy and market-leading margins. Over the fiscal quarter, this exposure increased 24.7 percent.

 

During the previous fiscal quarter, the Sub-Adviser added NIO, Inc. (NIO) (holding weight*: 0.84 percent), a company that designs, manufactures, and sells electric vehicles. NIO declined 51.0 percent in the most recent quarter and fell 41.2 percent since being added to the Fund. Despite the meaningful decline, the Sub-Adviser is optimistic about this position moving forward due to multiple tailwinds for the company. The Sub-Adviser believes that NIO has successfully positioned itself as China’s premium electric vehicle brand and impellent hard-to-replicate ancillary service that enhances the customer experience and also creates a barrier to exit. The Sub-Adviser also believes that profit margins will rise in the future as a result of their move to subscriptions for driver assistance and battery services, leading them to profitability by 2024 with positive free cash flow. Another position that detracted from Fund performance was Contemporary Amperex Technology Company Ltd. (“CATL”) (BHQPSY7) (holding weight*: 1.59 percent), a Chinese battery manufacturer and technology company. Over the fiscal year, CATL declined 48.8 percent amid concerns about slowing electric vehicle sales.

 

Elsewhere, exposures within Europe provided mixed results over the fiscal year. Mytilineos S.A. (5898664) (holding weight*: 0.42 percent), a Greek company that provides energy infrastructure construction and utility services, positively contributed to Fund Performance. The company’s management proactively invested in decarbonization projects over the last couple of years. Over the most recent fiscal quarter and full fiscal year, this company has benefited from higher oil prices, driving consumers to reliable alternative energy sources. Since being added to the Fund in January, this position increased 11.2 percent. Wizz Air Holdings plc (WIZZ LN) (holding weight*: 0.25 percent), an Eastern European airline. WIZZ LN struggled during the fiscal year by falling 68.9 percent amid geopolitical tensions, high oil prices, and labor shortages.

 

Sub-Adviser Outlook

 

The Sub-Adviser believes monetary authorities have overdone monetary policy making a global recession likely irreversible. Therefore, security and country selection will be critical for the rest of 2022 and 2023. The Sub-Adviser will focus on high-quality stocks with stable return on invested capital. The Sub-Adviser views global real money momentum to be bottoming as inflation peaks and is optimistic of economic stabilization in the middle of 2023. The Sub-Adviser will remain defensive until they uncover evidence of yields peaking, inflation easing, a pickup in earnings revisions, and a softening of the U.S. dollar. The Sub-Adviser will likely look to add to emerging market cyclical sectors, which are trading at historically cheap levels relative to defensive sectors. The Sub-Adviser has identified positive diverging money trends in China, and it will add exposure if data improves further.

 

*Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned as of 10/31/2022.

 

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2022

 

    Annualized Annualized
  One Year Five Years Ten Years
Class N (36.08)% (4.78)% (0.62)%
Class A with load of 5.75% (39.95)% (6.14)% (1.44)%
Class A without load (36.27)% (5.02)% (0.85)%
Class C (36.72)% (5.73)% (1.61)%
MSCI Emerging Markets Index (net) (31.03)% (3.09)% 0.79%
Morningstar Diversified Emerging Markets Category (30.58)% (2.86)% 0.67%

 

(a)Total Returns are calculated based on traded NAVs.

 

The MSCI Emerging Markets Index (net) is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Diversified Emerging Markets Category is generally representative of mutual funds that primarily invest among 20 or more developing nations, with a general focus on the emerging markets of Asia and Latin America rather than on the emerging markets countries in the Middle East, Africa, or Europe.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.69% for Class N, 2.69% for Class C and 1.94% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

87

 

DUNHAM EMERGING MARKETS STOCK FUND
SCHEDULE OF INVESTMENTS
October 31, 2022

 

Shares      Fair Value 
     CLOSED END FUNDS — 0.8%     
     MIXED ALLOCATION - 0.8%     
 136,545   Vietnam Enterprise Investments Ltd.(a) (Cost $861,698)  $860,112 
           
     COMMON STOCKS — 94.8%     
     APPAREL & TEXTILE PRODUCTS - 0.3%     
 41,200   Shenzhou International Group Holdings Ltd.(e)   286,050 
           
     AUTOMOTIVE - 2.8%     
 5,717   LG Energy Solution Ltd.(a)   2,111,354 
 89,100   NIO, Inc. - ADR(a)   861,597 
         2,972,951 
           
     BANKING - 16.0%     
 167,748   Banco Bradesco S.A. - ADR(d)   635,765 
 36,700   Banco Santander Chile - ADR(d)   529,581 
 3,572,700   Bank Central Asia Tbk P.T.   2,015,239 
 207,400   Bank for Foreign Trade of Vietnam JSC   613,560 
 6,425,200   Bank Rakyat Indonesia Persero Tbk P.T.   1,912,743 
 3,207,000   CTBC Financial Holding Company Ltd.   2,023,187 
 265,895   FirstRand Ltd.   929,713 
 16,600   HDFC Bank Ltd. - ADR(d)   1,034,346 
 70,900   ICICI Bank Ltd. - ADR   1,562,636 
 210,148   Itau Unibanco Holding S.A. - ADR(d)   1,223,061 
 143,800   Kasikornbank PCL - ADR   553,491 
 1,329,854   Postal Savings Bank of China Company Ltd.   707,242 
 2,077,000   Public Bank Bhd   1,964,924 
 152,825   Qatar National Bank QPSC   837,035 
         16,542,523 
     BEVERAGES - 3.7%     
 19,800   Heineken Malaysia Bhd   96,643 
 4,300   Kweichow Moutai Company Ltd.   796,662 
 232,835   Varun Beverages Ltd.   2,954,763 
         3,848,068 
           

See accompanying notes which are an integral part of these financial statements.

88

 

DUNHAM EMERGING MARKETS STOCK FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 94.8% (Continued)     
     CHEMICALS - 3.4%     
 7,472,300   AKR Corporindo Tbk P.T.  $746,423 
 3,419   LG Chem Ltd.   1,497,520 
 13,000   Sociedad Quimica y Minera de Chile S.A. - ADR   1,217,840 
         3,461,783 
     CONSUMER SERVICES - 0.9%     
 1,635,000   China Education Group Holdings Ltd.   957,236 
           
     E-COMMERCE DISCRETIONARY - 5.0%     
 540,241   Alibaba Group Holding Ltd.(a)   4,200,296 
 50,046   JD.com, Inc.   911,358 
         5,111,654 
     ELECTRIC UTILITIES - 0.0%(b)     
 77,040   ACEN Corporation   8,342 
           
     ELECTRICAL EQUIPMENT - 1.9%     
 582,724   NARI Technology Company Ltd.   1,956,235 
           
     ENGINEERING & CONSTRUCTION - 1.6%     
 50,826   Larsen & Toubro Ltd.   1,244,526 
 25,748   Mytilineos S.A.   431,616 
         1,676,142 
     ENTERTAINMENT CONTENT - 1.1%     
 105,190   NetEase, Inc.   1,167,102 
           
     FOOD - 1.2%     
 5,889,900   Monde Nissin Corporation   1,189,080 
           
     HEALTH CARE FACILITIES & SERVICES - 2.6%     
 488,926   Max Healthcare Institute Ltd.(a)   2,695,568 
           
     HOME & OFFICE PRODUCTS - 1.3%     
 531,200   Haier Smart Home Company Ltd., H Shares   1,329,579 
           

See accompanying notes which are an integral part of these financial statements.

89

 

DUNHAM EMERGING MARKETS STOCK FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 94.8% (Continued)     
     HOUSEHOLD PRODUCTS - 0.3%     
 809   LG Household & Health Care Ltd.  $288,487 
           
     INSURANCE - 2.7%     
 229,400   AIA Group Ltd.   1,737,647 
 115,492   Prudential plc   1,072,823 
         2,810,470 
     INTERNET MEDIA & SERVICES - 3.6%     
 140,500   Tencent Holdings Ltd.   3,691,866 
           
     LEISURE FACILITIES & SERVICES - 3.8%     
 182,930   Jollibee Foods Corporation   730,765 
 1,217,656   Lemon Tree Hotels Ltd.(a)   1,241,499 
 776,900   Minor International PCL - ADR(a)   577,304 
 108,538   OPAP S.A.   1,329,525 
         3,879,093 
     MACHINERY - 0.9%     
 485,326   Sany Heavy Industry Company Ltd., Class A   900,185 
           
     MEDICAL EQUIPMENT & DEVICES - 1.5%     
 35,200   Shenzhen Mindray Bio-Medical Electronics Company   1,572,817 
           
     OIL & GAS PRODUCERS - 2.3%     
 376,189   Gazprom PJSC (e)   — 
 89,100   Petroleo Brasileiro S.A. - ADR(d)   1,142,262 
 259,210   PTT Exploration & Production PCL   1,239,775 
         2,382,037 
     REAL ESTATE OWNERS & DEVELOPERS - 1.0%     
 667,729   Indiabulls Real Estate Ltd.(a)   628,571 
 230,490   Vinhomes JSC   417,470 
         1,046,041 
     RENEWABLE ENERGY - 3.2%     
 31,900   Contemporary Amperex Technology Company Ltd.   1,636,359 
 245,850   LONGi Green Energy Technology Company Ltd., Class A   1,622,901 
         3,259,260 
           

See accompanying notes which are an integral part of these financial statements.

90

 

DUNHAM EMERGING MARKETS STOCK FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 94.8% (Continued)     
     RETAIL - CONSUMER STAPLES - 4.0%     
 155,400   Atacadao S.A.  $586,109 
 8,512   Magnit PJSC(e)   — 
 170,000   President Chain Store Corporation   1,411,599 
 541,837   Wal-Mart de Mexico S.A.B. de C.V.   2,093,034 
         4,090,742 
     RETAIL - DISCRETIONARY - 0.6%     
 1,580,700   Home Product Center PCL   607,638 
           
     SEMICONDUCTORS - 8.0%     
 16,000   eMemory Technology, Inc.   529,820 
 49,047   MediaTek, Inc.   892,806 
 477,806   Taiwan Semiconductor Manufacturing Company Ltd.   5,736,361 
 18,200   Taiwan Semiconductor Manufacturing Company Ltd. - ADR   1,120,210 
         8,279,197 
     SPECIALTY FINANCE - 3.3%     
 115,498   Housing Development Finance Corp Ltd.   3,453,658 
           
     TECHNOLOGY HARDWARE - 6.9%     
 93,099   Accton Technology Corporation   699,126 
 155,547   Samsung Electronics Company Ltd.   6,408,143 
         7,107,269 
     TECHNOLOGY SERVICES - 2.5%     
 444,328   Shanghai Baosight Software Company Ltd.   2,586,017 
           
     TELECOMMUNICATIONS - 4.3%     
 227,728   Bharti Airtel Ltd.   2,290,484 
 7,762,700   Telekomunikasi Indonesia Persero Tbk P.T.   2,175,489 
         4,465,973 
     TRANSPORTATION & LOGISTICS - 3.2%     
 185,172   Container Corp Of India Ltd.   1,787,338 
 185,376   Spring Airlines Company Ltd.(a)   1,235,442 
 12,888   Wizz Air Holdings plc(a)   252,631 
         3,275,411 
           

See accompanying notes which are an integral part of these financial statements.

91

 

DUNHAM EMERGING MARKETS STOCK FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 94.8% (Continued)     
     WHOLESALE - CONSUMER STAPLES - 0.9%     
 407,136   Devyani International Ltd.(a)  $953,650 
           
     TOTAL COMMON STOCKS (Cost $115,698,488)   97,852,124 

 

       Expiration
Date		  Exercise
Price		     
     WARRANT — 0.0%(b)             
     LEISURE FACILITIES & SERVICES - 0.0% (b)             
 26,977   Minor International PCL (Thailand)  07/31/2023  $21.60    5,213 
 42,772   Minor International PCL (Thailand)  05/08/2023   28.00    3,404 
 38,762   Minor International PCL (Thailand)  02/16/2024   31.00    3,056 
     TOTAL WARRANT (Cost $5,303)           11,673 
                   
     SHORT-TERM INVESTMENTS — 8.5%             
     MONEY MARKET FUNDS - 4.5%             
 4,592,216   First American Government Obligations Fund Class X, 2.91% (Cost $4,592,216)(c)           4,592,216 
                   
     COLLATERAL FOR SECURITIES LOANED – 4.0%             
 4,064,003   Mount Vernon Liquid Assets Portfolio, LLC, 3.24% (Cost $4,064,003) (c),(f)           4,064,003 
                   
     TOTAL INVESTMENTS – 104.1% (Cost $125,221,708)          $107,380,128 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (4.1%)           (4,189,019)
     NET ASSETS - 100.0%          $103,191,109 

 

ADR - American Depositary Receipt
   
LTD - Limited Company
   
PJSC - Public Joint-Stock Company
   
PLC - Public Limited Company
   
PT - Perseroan Terbatas
   
S/A - Société Anonyme
   

See accompanying notes which are an integral part of these financial statements.

92

 

DUNHAM EMERGING MARKETS STOCK FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

(a) Non-income producing security.
   
(b) Percentage rounds to less than 0.1%.
   
(c) Rate disclosed is the seven day effective yield as of October 31, 2022.
   
(d) All or a portion of these securities are on loan. Total loaned securities had a value of $3,982,690 at October 31, 2022.
   
(e) Level 3 securities fair value under procedures established by the Board of Trustees, represents 0.00% of net assets. The total value of these securities are $0.
   
(f) The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 105% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 105% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 105%.

 

Portfolio Composition * - (Unaudited)
India   16.1%  Indonesia   6.4%
United States   14.8%  Thailand   3.6%
Hong Kong   13.3%  Great Britain   2.0%
China   12.1%  Mexico   1.9%
Taiwan   9.2%  Others   12.4%
Korea   8.2%  Total   100.0%
              

*     Based on total value of investments as of October 31, 2022. Does not include derivative holdings.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes which are an integral part of these financial statements.

93

 

Dunham International Stock Fund (Unaudited)
Message from the Sub-Adviser (Arrowstreet Capital, L.P.)
 

Asset Class Recap

 

International equity markets, as measured by the MSCI All Country World ex USA Index (Net) (referred to as the “Index”), fell -24.7 percent during the year ending October 31, 2022 (the “fiscal year”). Across sectors, the only positive performing sector was energy. Conversely, consumer discretionary, information technology, and communication services underperformed. The best performing developed market countries as measured by the Index in local terms during the fiscal year were Norway, up 5.2 percent, and the United Kingdom, up 4.4 percent. The worst performing developed market countries also in local terms were Hong Kong, down 32.0 percent, and the Netherlands, down 28.5 percent. The best performing emerging market countries during the fiscal year as measured by the Index were Turkey, up 148.9 percent, and Chile, up 29.4 percent. The worst performing emerging market countries were China, down 46.3 percent, and Poland, down 35.8 percent.

 

Allocation Review

 

The Sub-Adviser’s investment process is best characterized as a dynamic process that uses quantitative models to evaluate securities to exploit opportunities across companies, sectors, and countries while seeking to avoid long-term systematic biases toward any particular country, sector, style, or market capitalization. These stock selection models are designed to understand what information is likely to impact stock prices with a predictable and measurable lag that allows time to invest and profit. The models obtain the information to forecast individual stock returns by evaluating a stock’s potential on the basis of (1) direct effects - characteristics of the company itself; and (2) indirect effects - characteristics of other companies that are related by virtue of a common country and sector affiliation (called country/sector baskets); a common country affiliation; and a common global sector affiliation, and/or other common linkages. Over any time period, the strategy’s performance relative to the Index is driven by allocations to country/sector baskets, stock selection, and the effects of currency exposures differing from those of the Index.

 

Countries contributing the most to returns relative to the Index during the fiscal year were: China, mainly due to underweight positioning to both consumer discretionary and communication services sectors, along with overweight positioning coupled with positive selection within the Chinese energy sector; and Turkey, due to overweight positioning to both the financials and industrials sectors. Countries detracting the most relative to the Index included: Russia, primarily due to positioning to the energy and financials sectors and India, due to underweights to the financials and utilities sectors.

 

Sectors contributing the most to returns relative to the Index during the fiscal year included: Energy, primarily due to overweights and positive selection within the Brazilian and above-mentioned Chinese energy baskets and overweights to United Kingdom energy. The consumer discretionary sector was also a top sector contributor, primarily due to underweights to Chinese consumer discretionary (noted above). Sectors detracting the most relative to the Index included: financials, mainly due to the above-mentioned positioning within Russia; and information technology, largely due to overweights to Dutch information technology and negative selection within Australian and Japanese information technology.

 

Holdings Insights

 

Stocks contributing the most to returns relative to the Index during the fiscal quarter included: Turk Hava Yollari AO (THYAO) (holding weight*: 1.79 percent), a Turkish industrials company; Guanghui Energy Company Ltd. (BP3R3N6) (holding weight*: 0.99 percent), a Chinese energy company; and Petroleo Brasiliero S.A. (PETR4 BZ) (holding weight*: 1.46 percent), a Brazilian energy company. THYAO, BP3R3N6, and PETR4 BZ increased 248.2 percent, 30.8 percent, and 85.4 percent, respectively during the fiscal year. Stocks detracting the relative to the Index included: Sberbank of Russia PJSC (SBER RX) (holding weight*: 0.00 percent), a Russian financials company; Lukoil PJSC (LKOH RM) (holding weight*: 0.00 percent), a Russian energy company; and Gazprom PJSC (OGZPY) (holding weight*: 0.00 percent), a Russian energy company. As the trading of these stocks for non-Russian entities was halted, the Fund valued each of these holdings at zero through the end of the fiscal year.

 

Sub-Adviser Outlook

 

The Sub-Adviser generally constructs its portfolios by using proprietary econometric models and a proprietary optimization process that balances the trade-off between a stock’s expected return, its contribution to portfolio level risk, portfolio specific restrictions, and its opportunity costs relative to trading costs. As this is performed quantitatively, the Sub-Adviser’s outlook does not play a role in the disciplined investment process.

 

*Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned as of 10/31/2022.

 

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2022

 

    Annualized Annualized
  One Year Five Years Ten Years
Class N (23.16)% 1.39% 5.10%
Class A with load of 5.75% (27.76)% (0.06)% 4.22%
Class A without load (23.34)% 1.13% 4.84%
Class C (23.88)% 0.39% 4.06%
MSCI All Country World ex US Index (net) (24.73)% (0.60)% 3.27%
Morningstar Foreign Large Cap Blend Category (24.05)% (0.71)% 3.44%

 

(a)Total Returns are calculated based on traded NAVs.

 

The MSCI All Country World ex US Index (net) is a free float-adjusted market capitalization index designed to measure equity market performance in the global developed and emerging markets excluding holdings in the United States and is net of any withholding taxes. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Foreign Large Cap Blend Category is generally representative of mutual funds that primarily invest in non-U.S. stocks that have market caps in the top 70% of each economically integrated market (such as Europe or Asia ex-Japan). The blend style is generally applicable where neither growth nor value characteristics dominate.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 1.92% for Class N, 2.92% for Class C and 2.17% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%.The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distribution. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

94

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 93.3%     
     APPAREL & TEXTILE PRODUCTS - 0.8%     
 11,041   Cie Financiere Richemont S.A.  $1,079,076 
           
     ASSET MANAGEMENT - 0.1%     
 11,931   Investor A.B.   194,698 
           
     AUTOMOTIVE - 6.6%     
 5,000   Aisin Seiki Company Ltd.   128,353 
 23,857   Bayerische Motoren Werke A.G.   1,872,009 
 10,835   Continental A.G.   561,034 
 4,244   Hyundai Mobis Company Ltd.   649,697 
 5,604   Hyundai Motor Company   295,291 
 1,761   Kia Motors Corporation   81,679 
 17,169   Mercedes-Benz Group A.G.   993,464 
 77,900   Nissan Motor Company Ltd.   248,299 
 99,253   Stellantis N.V.   1,338,592 
 26,400   Subaru Corporation   412,668 
 37,700   Sumitomo Electric Industries Ltd.   393,991 
 86,464   Tofas Turk Otomobil Fabrikasi A/S   456,210 
 11,130   Volkswagen A.G.   1,424,219 
         8,855,506 
     BANKING - 11.5%     
 1,559,658   Akbank T.A.S.   1,226,053 
 54,330   Australia & New Zealand Banking Group Ltd.   889,989 
 2,677   Bancolombia S.A. - ADR   67,915 
 43,009   Bank Leumi Le-Israel BM   410,754 
 279,200   Bank of Beijing Company Ltd., Class A   154,569 
 37,588   Bank of China Ltd. - ADR   302,208 
 3,575,000   Bank of China Ltd., H Shares   1,151,419 
 1,700,900   Bank of Communications Company Ltd.   1,037,413 
 1,150,000   Bank of Communications Company Ltd., H Shares   561,104 
 145,900   Bank of Jiangsu Company Ltd.   138,409 
 512,200   Bank of Shanghai Company Ltd., Class A   391,743 
 31,712   BNK Financial Group, Inc.   142,238 
           

See accompanying notes which are an integral part of these financial statements.

95

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS
October 31, 2022 (Continued)

 

Shares      Fair Value 
     COMMON STOCKS — 93.3%(Continued)     
     BANKING - 11.5% (Continued)     
 794   BNP Paribas S.A.  $37,222 
 272,000   Chongqing Rural Commercial Bank Company Ltd., H Shares   82,443 
 694,354   Haci Omer Sabanci Holding A/S   1,250,452 
 10,225   Hana Financial Group, Inc.   295,053 
 112,345   Industrial & Commercial Bank of China Ltd. - ADR   975,155 
 1,449,000   Industrial & Commercial Bank of China Ltd., H Shares   629,102 
 114,900   Industrial Bank Company Ltd.   236,906 
 50,182   ING Groep N.V. – ADR (d)   492,787 
 12,641   KB Financial Group, Inc.   424,544 
 449,900   Mebuki Financial Group, Inc.   874,943 
 22,772   Nordea Bank Abp   217,529 
 121,567   Quinenco S.A.   322,439 
 775,890   Sberbank of Russia PJSC(a)(e)   0 
 2,831   Shinhan Financial Group Company Ltd.   71,817 
 36,156   Skandinaviska Enskilda Banken A.B.   381,161 
 58,951   Svenska Handelsbanken A.B., A Shares   547,649 
 6,000   Swedbank A.B., A Shares   89,437 
 529,219   Turkiye Garanti Bankasi A/S   668,716 
 119,320   Turkiye Is Bankasi A/S   59,772 
 1,284,860,000   VTB Bank PJSC(a)(e)   0 
 2,410,939   Yapi ve Kredi Bankasi A/S   1,192,874 
         15,323,815 
     BEVERAGES - 1.2%     
 16,652   Anheuser-Busch InBev S.A./NV – ADR (d)   834,265 
 2,961   Diageo plc - ADR(d)   494,398 
 3,310   Heineken N.V.   276,414 
         1,605,077 
     BIOTECH & PHARMA - 8.1%     
 12,451   Bayer A.G.   654,486 
 58,236   GSK plc - ADR(d)   1,931,688 
 22,561   Novartis A.G. - ADR   1,830,374 
 6,834   Novartis A.G.   552,807 
 8,202   Novo Nordisk A/S, Class B   891,846 
           

See accompanying notes which are an integral part of these financial statements.

96

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS
October 31, 2022 (Continued)

 

Shares      Fair Value 
     COMMON STOCKS — 93.3%(Continued)     
     BIOTECH & PHARMA - 8.1% (Continued)     
 2,500   Otsuka Holdings Company Ltd.  $80,139 
 1,857   Recordati Industria Chimica e Farmaceutica SpA   69,749 
 14,597   Roche Holding A.G.   4,843,258 
         10,854,347 
     CHEMICALS - 2.5%     
 16,656   Evonik Industries A.G.   306,738 
 8,100   Kaneka Corporation   200,865 
 21,400   Mitsubishi Chemical Group Corporation   96,675 
 3,200   Nitto Denko Corporation   168,600 
 10,128   PhosAgro PJSC (e)   0 
 14,171   Sasol Ltd.   238,254 
 7,878   Saudi Arabian Fertilizer Company   332,856 
 6,800   Shin-Etsu Chemical Company Ltd.   706,748 
 72,200   Toray Industries, Inc.   350,712 
 6,700   Tosoh Corporation   72,895 
 1,096   Yara International ASA   48,915 
 37,372   Yara International ASA - ADR   831,153 
         3,354,411 
     COMMERCIAL SUPPORT SERVICES - 0.5%     
 12,994   Randstad N.V.   647,412 
           
     CONSTRUCTION MATERIALS - 0.1%     
 1,100   AGC, Inc.   34,469 
 1,997   CRH plc – ADR   72,312 
         106,781 
     DIVERSIFIED INDUSTRIALS - 0.5%     
 18,900   Mitsubishi Heavy Industries Ltd.   651,015 
           
     ELECTRIC UTILITIES - 0.9%     
 1,075   CEZ A/S   35,160 
 15,700   Chubu Electric Power Company, Inc.   127,801 
 14,404   E.ON S.E.   120,582 
 19,994   Engie S.A.   259,710 
 38,000   Huadian Power International Corp Ltd.   11,412 
           

See accompanying notes which are an integral part of these financial statements.

97

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS
October 31, 2022 (Continued)

 

Shares      Fair Value 
     COMMON STOCKS — 93.3%(Continued)     
     ELECTRIC UTILITIES - 0.9% (Continued)     
 52,622   Origin Energy Ltd.  $187,967 
 108,100   Tokyo Electric Power Company Holdings, Inc.(a)   352,154 
         1,094,786 
     ELECTRICAL EQUIPMENT - 0.6%     
 27,498   ABB Ltd.   763,627 
 7,600   Mitsubishi Electric Corporation   66,872 
         830,499 
     ENGINEERING & CONSTRUCTION - 1.1%     
 1,198,200   China State Construction Engineering Corp Ltd.   778,795 
 1,666,800   Metallurgical Corp of China Ltd., Class A   658,647 
         1,437,442 
     FOOD - 0.3%     
 741,000   WH Group Ltd.   374,211 
           
     FORESTRY, PAPER & WOOD PRODUCTS - 0.2%     
 26,060   Svenska Cellulosa A.B. SCA   307,503 
           
     GAS & WATER UTILITIES - 0.0%(b)     
 2,700   Tokyo Gas Company Ltd.   48,255 
           
     HOME & OFFICE PRODUCTS - 0.0%(b)     
 1   Arcelik A/S   4 
           
     HOUSEHOLD PRODUCTS - 0.5%     
 16,400   Shiseido Company Ltd.   566,429 
 4,040   Unilever plc - ADR   183,860 
         750,289 
     INDUSTRIAL SUPPORT SERVICES - 0.1%     
 13,200   Sumitomo Corporation   167,827 
           
     INSTITUTIONAL FINANCIAL SERVICES - 1.5%     
 3,396   Deutsche Boerse A.G.   552,087 
 254,000   Haitong Securities Company Ltd.   124,162 
 110,420   Mirae Asset Daewoo Company Ltd.   279,904 
           

See accompanying notes which are an integral part of these financial statements.

98

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS
October 31, 2022 (Continued)

 

Shares      Fair Value 
     COMMON STOCKS — 93.3%(Continued)     
     INSTITUTIONAL FINANCIAL SERVICES - 1.5% (Continued)     
 329,400   Nomura Holdings, Inc.  $1,065,961 
         2,022,114 
     INSURANCE - 6.5%     
 231,585   China Life Insurance Company Ltd., H Shares   252,532 
 5,700   COFCO Capital Holdings Company Ltd.   4,606 
 6,500   Dai-ichi Life Holdings, Inc.   103,241 
 7,097   Hyundai Marine & Fire Insurance Company Ltd.   165,420 
 74,000   Japan Post Holdings Company Ltd.   497,636 
 50,800   MS&AD Insurance Group Holdings, Inc.   1,345,291 
 4,367   Muenchener Rueckversicherungs-Gesellschaft A.G.   1,152,430 
 22,464   NN Group N.V.   950,890 
 1,649,400   People’s Insurance Company Group of China Ltd.   1,096,860 
 2,312,000   People’s Insurance Company Group of China Ltd., H Shares   638,940 
 3,712   Samsung Fire & Marine Insurance Company Ltd.   519,610 
 3,206   Samsung Fire & Marine Insurance Company Ltd. – Pfd.   359,219 
 28,200   Sompo Holdings, Inc.   1,175,762 
 5,130   Swiss Re A.G.   381,081 
 3,500   T&D Holdings, Inc.   34,617 
         8,678,135 
     MACHINERY - 1.5%     
 1,374   Accelleron Industries A.G.(a)   23,299 
 4,000   Keyence Corporation   1,508,312 
 29,300   Yokogawa Electric Corporation   489,945 
         2,021,556 
     MEDICAL EQUIPMENT & DEVICES - 0.7%     
 2,800   Hoya Corporation   260,301 
 6,700   Shimadzu Corporation   176,503 
 13,130   Smith & Nephew plc   155,147 
 7,300   Sysmex Corporation   392,928 
         984,879 
     METALS & MINING - 4.7%     
 16,642   Anglo American plc - ADR   250,961 
 33,742   Anglo American plc   1,010,659 
           

See accompanying notes which are an integral part of these financial statements.

99

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS
October 31, 2022 (Continued)

 

Shares      Fair Value 
     COMMON STOCKS — 93.3%(Continued)     
     METALS & MINING - 4.7% (Continued)     
 213,900   China Shenhua Energy Company Ltd.  $820,223 
 16,500   China Shenhua Energy Company Ltd., H Shares   43,343 
 133,302   Glencore plc   764,188 
 3,785   MMC Norilsk Nickel PJSC (e)   0 
 16,735   Rio Tinto Ltd.   949,556 
 4,296   Rio Tinto plc   224,504 
 28,104   Rio Tinto plc - ADR(d)   1,499,349 
 27,683   South32 Ltd.   63,502 
 43,300   Vale S.A.   561,863 
         6,188,148 
     OIL & GAS PRODUCERS - 19.3%     
 1,615   Aker BP ASA   51,302 
 94,242   BP plc - ADR   3,136,374 
 115,255   BP plc   637,625 
 991,900   China Petroleum & Chemical Corporation   553,925 
 1,294,000   China Petroleum & Chemical Corporation, H Shares   512,843 
 17,700   ENEOS Holdings, Inc.   58,388 
 13,665   Eni SpA   179,417 
 32,540   Eni SpA - ADR   857,104 
 6,389   Equinor ASA   232,771 
 2,581   Equinor ASA – ADR(d)   93,639 
 247,390   Gazprom PJSC(a)(e)   0 
 87,530   Gazprom PJSC - ADR(a)(e)   0 
 935,496   Guanghui Energy Company Ltd.   1,317,690 
 58,300   Idemitsu Kosan Company Ltd.   1,275,661 
 37,200   Inpex Corporation   375,450 
 486,725   KOC Holding A/S   1,451,934 
 24,250   LUKOIL PJSC (e)   0 
 94,867   MOL Hungarian Oil & Gas plc   569,628 
 22,511   Motor Oil Hellas Corinth Refineries S.A.   386,779 
 9,000   OMV A.G.   414,264 
 2,085,400   PetroChina Company Ltd.   1,365,666 
 1,184,100   PetroChina Company Ltd., H Shares   452,948 
 126,800   Petroleo Brasileiro S.A.   815,807 
           

See accompanying notes which are an integral part of these financial statements.

100

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS
October 31, 2022 (Continued)

 

Shares      Fair Value 
     COMMON STOCKS — 93.3%(Continued)     
     OIL & GAS PRODUCERS - 19.3%(Continued)     
 334,600   Petroleo Brasileiro S.A.  $1,930,547 
 3,417   Petroleo Brasileiro S.A.-A - ADR(d)   39,330 
 35,243   Petroleo Brasileiro S.A. - ADR   451,815 
 85,128   Polskie Gornictwo Naftowe i Gazownictwo S.A.(a)   91,708 
 13,600   PTT Exploration & Production PCL   65,047 
 9,462   Repsol S.A.   128,686 
 117,940   Rosneft Oil Company PJSC (e)   0 
 9,867   Shell plc – ADR (d)   548,901 
 156,875   Shell plc   4,345,052 
 6,830   Tatneft PJSC (e)   0 
 25,281   TotalEnergies S.E. - ADR   1,384,640 
 35,014   TotalEnergies S.E.   1,909,546 
 12,055   Woodside Energy Group Ltd.   278,649 
         25,913,136 
     OIL & GAS SERVICES & EQUIPMENT - 0.5%     
 1,256,700   CNOOC Energy Technology & Services Ltd.   489,912 
 2,292,000   Sinopec Oilfield Service Corporation(a)   137,204 
         627,116 
     RETAIL - CONSUMER STAPLES - 1.4%     
 9,055   Carrefour S.A.   145,700 
 66,193   Cencosud S.A.   88,868 
 40,756   CK Hutchison Holdings Ltd. - ADR   201,742 
 62,866   Woolworths Group Ltd.   1,327,383 
         1,763,693 
     RETAIL - DISCRETIONARY - 0.6%     
 16,800   Jardine Matheson Holdings Ltd.   773,136 
           
     SEMICONDUCTORS - 3.1%     
 5,524   ASML Holding N.V.   2,590,443 
 1,400   ASML Holding N.V. – ADR (d)   661,388 
 4,157   SK Hynix, Inc.   240,195 
 55,000   Taiwan Semiconductor Manufacturing Company Ltd.   660,310 
         4,152,336 
           

See accompanying notes which are an integral part of these financial statements.

101

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS
October 31, 2022 (Continued)

 

Shares      Fair Value 
     COMMON STOCKS — 93.3%(Continued)     
     SOFTWARE - 0.5%     
 6,857   SAP S.E.  $659,804 
           
     SPECIALTY FINANCE - 1.0%     
 58,900   ORIX Corporation   865,135 
 20,481   Samsung Card Company Ltd.   443,157 
         1,308,292 
     STEEL - 0.9%     
 13,970   ArcelorMittal S.A.   312,185 
 3,181   Hyundai Steel Company   62,475 
 268,000   Maanshan Iron & Steel Company Ltd   42,995 
 61,800   Nippon Steel Corporation   847,834 
         1,265,489 
     TECHNOLOGY HARDWARE - 4.8%     
 10,100   Brother Industries Ltd.   172,069 
 12,000   Canon, Inc.   254,378 
 103,000   Chicony Electronics Company Ltd.   255,183 
 5,400   FUJIFILM Holdings Corporation   247,058 
 2,200   Kyocera Corporation   106,542 
 8,000   Nidec Corporation   439,886 
 20,218   Nokia OYJ   89,820 
 113,676   Nokia OYJ - ADR   500,174 
 8,400   Ricoh Company Ltd.   61,556 
 352   Samsung Electronics Company Ltd. - ADR   363,792 
 78,420   Samsung Electronics Company Ltd.   3,257,585 
 19,632   Samsung Electronics Company Ltd.-Pref.   732,281 
         6,480,324 
     TECHNOLOGY SERVICES - 1.7%     
 7,000   Fujitsu Ltd.   805,436 
 35,100   NTT Data Corporation   508,401 
 13,825   RELX plc – ADR (d)   372,722 
 5,551   Wolters Kluwer N.V.   589,661 
 335   Wolters Kluwer N.V. - ADR   35,544 
         2,311,764 
           

See accompanying notes which are an integral part of these financial statements.

102

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS
October 31, 2022 (Continued)

 

Shares      Fair Value 
     COMMON STOCKS — 93.3%(Continued)     
     TELECOMMUNICATIONS - 4.1%     
 137,923   Deutsche Telekom A.G.  $2,602,567 
 15,625   Proximus S.A.DP   163,758 
 30,164   Tele2 A.B., B Shares   247,195 
 170,755   Telefonica S.A.   588,446 
 109,583   Telenor ASA   995,858 
 344,559   Telia Company A.B. (d)   912,890 
         5,510,714 
     TOBACCO & CANNABIS - 0.8%     
 17,196   British American Tobacco plc - ADR   681,306 
 39,939   Swedish Match A.B.   410,719 
         1,092,025 
     TRANSPORTATION & LOGISTICS - 3.4%     
 34   AP Moller - Maersk A/S - Series B   71,034 
 211   AP Moller - Maersk A/S - Series A   422,160 
 102,500   China Merchants Energy Shipping Company Ltd.   98,246 
 3,536   Deutsche Post A.G.   124,959 
 56,800   Evergreen Marine Corp Taiwan Ltd.   241,311 
 20,000   Mitsui OSK Lines Ltd.   395,917 
 12,000   Nippon Yusen KK   217,381 
 2,374,600   TangShan Port Group Company Ltd.   817,240 
 437,130   Turk Hava Yollari AO(a)   2,379,170 
         4,767,418 
     WHOLESALE - CONSUMER STAPLES - 0.2%     
 29,500   Marubeni Corporation   258,249 
           
     WHOLESALE - DISCRETIONARY - 0.5%     
 21,700   Toyota Tsusho Corporation   728,405 
           
     TOTAL COMMON STOCKS (Cost $142,760,382)   125,189,687 
           

See accompanying notes which are an integral part of these financial statements.

103

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS
October 31, 2022 (Continued)

 

Shares          Fair Value 
     EXCHANGE-TRADED FUNDS — 0.9%          
     EQUITY - 0.9%          
 13,599   Global X MSCI Argentina ETF   $    422,929 
 13,814   iShares MSCI EAFE ETF (d)        819,308 
     TOTAL EXCHANGE-TRADED FUNDS (Cost $1,136,411)        1,242,237 
                
     SHORT-TERM INVESTMENTS — 10.9%          
     MONEY MARKET FUNDS - 4.7%          
 6,275,588   Fidelity Government Portfolio, Class I, 2.86% (Cost $6,275,588)(c)        6,275,588 
                
     COLLATERAL FOR SECURITIES LOANED – 6.2%          
 8,359,136   Mount Vernon Liquid Assets Portfolio, LLC, 3.24% (Cost $8,359,136) (c), (f)        8,359,136 
                
     TOTAL INVESTMENTS – 105.2% (Cost $158,531,517)       $141,066,648 
     LIABILITIES IN EXCESS OF OTHER ASSETS – (5.2)%        (6,922,751)
     NET ASSETS - 100.0%       $134,143,897 

 

ADR - American Depositary Receipt
   
A/S - Anonim Sirketi
   
EAFE - Europe, Australasia and Far East
   
ETF - Exchange-Traded Fund
   
LTD - Limited Company
   
MSCI - Morgan Stanley Capital International
   
NV - Naamioze Vennootschap
   
OYJ - Julkinen osakeyhtiö
   
PJSC - Public Joint-Stock Company
   
PLC - Public Limited Company
   
S/A - Société Anonyme
   
TAS - Turkish Accounting Standards
   

See accompanying notes which are an integral part of these financial statements.

104

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS
October 31, 2022 (Continued)

 

(a) Non-income producing security.
   
(b) Percentage rounds to less than 0.1%.
   
(c) Rate disclosed is the seven day effective yield as of October 31, 2022.
   
(d) All or a portion of these securities are on loan. Total loaned securities had a value of $8,089,227 at October 31, 2022.
   
(e) Level 3 securities fair value under procedures established by the Board of Trustees, represents 0.00% of net assets. The total value of these securities are $0.
   
(f) The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% (105% for non US Shares) of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 105% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 105%.

  

Portfolio Composition * - (Unaudited)
United States   25.8%  Switzerland   5.4%
Japan   13.9%  Korea   5.1%
China   7.1%  Turkey   4.5%
Germany   6.0%  Hong Kong   3.6%
Collateral for Securities Loaned   5.9%  Other Countries   16.9%
Netherlands   5.8%  Total   100.0%
              

*     Based on total value of investments as of October 31, 2022. Does not include derivative holdings.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes which are an integral part of these financial statements.

105

 

Dunham Dynamic Macro Fund (Unaudited)
Message from the Sub-Adviser (Newton Investment Management North America, LLC)
 

Asset Class Recap

 

Global markets fell significantly over the fiscal year ended October 31, 2022, as persistent COVID cases, supply chain bottlenecks, heightened inflation, and geopolitical conflict between Russia and Ukraine led to volatility in the markets. At the beginning of the fiscal year, U.S. equity markets reached all time highs, as it appeared COVID cases were subsiding, lockdown measures were easing, and COVID vaccinations disseminated globally. While investors cheered the idea of a global economic reopening, inflation, as measured by the Consumer Price Index (CPI), continued to increase on a year- over -year basis as an influx of fiscal stimulus and supply chain disruptions drove up the price of goods. The rise in costs and raw materials caught the attention of the Federal Reserve (Fed), which led to a drastic change in monetary policy. Over the fiscal year, the Fed decided to increase the policy rate 300 basis points, closing out the fiscal period at 3.0-3.25 percent, the highest level in nearly 14 years. The increase in interest rates led to a meaningful sell-off in high-risk assets, such as high-yield bonds, small cap stocks, and growth stocks. U.S. equities, as measured by the S&P 500 Index, fell 14.6 percent, while foreign equities, as measured by MSCI ACWI ex-U.S. Index, lost 24.7 percent. Fixed income markets did not fare much better, as their higher duration profile suffered in the rising interest rate environment. U.S. bonds, as measured by the Bloomberg U.S. Aggregate Bond Index, lost 15.7 percent over the fiscal year, while foreign bonds, as measured by the Bloomberg Global Aggregate ex-U.S. Bond Index, dropped 24.6 percent. The global macro asset class, which has historically had a lower correlation to traditional stock and bond asset classes, significantly outperformed the broader market. Over the fiscal year, the global macro asset class, as measured by the IQ Hedge Global Macro Beta Index, edged 2.9 percent lower.

 

Allocation Review

 

The Sub-Adviser utilizes a combination of strategies to best achieve its investment objective; maximizing total return from capital appreciation and dividends, while also preserving capital in market downturns. The growth strategy, which is primarily utilized for the capital appreciation objective, is made up of global equities. Given the sell-off in global equities over the fiscal year, coupled with the Sub- Adviser’s meaningful allocation to this strategy (approximately 45 percent), the growth strategy detracted the most from Fund performance. The growth strategy allocation fluctuated meaningfully throughout the year, reaching a high of roughly 70 percent in January, before settling more than 25 percent lower as of the end of the fiscal year. The defensive strategy, which is primarily utilized for the capital preservation objective, is made up of global bonds and cash equivalents. Global bonds fell meaningfully over the fiscal quarter, with foreign bonds underperforming their domestic bond counterparts. The Fund was primarily invested in domestic bonds, which helped offset foreign bond investments. Another strategy the Sub -Adviser utilizes to best achieve its investment objective is an allocation to real assets, primarily comprised of exchange-traded futures and exchange - traded funds (ETFs). Historically, real assets, such as commodities, real estate, and infrastructure have outperformed in periods of heightened inflation. Given the substantial rise in key commodity prices over the fiscal year, the real asset strategy contributed meaningfully to relative Fund performance. The real asset strategy allocation has come down from its high of approximately 16 percent in April as commodity prices have fallen recently. Lastly, the Fund has a minimal allocation to diversifying strategies, which utilizes option writing strategies designed to protect downside risk. The diversifying strategies contributed marginally to Fund performance.

 

Holdings Insights

 

As mentioned earlier, the growth strategy detracted the most from Fund performance, primarily attributed to the sell-off in global equities. The largest individual detractor from performance over the fiscal period was the iShares Currency Hedged MSCI Germany ETF (HEWG) (holding weight*: 1.14 percent). Germany, like other western nations, enacted sanctions on Russian exports, which included oil and natural gas. Because Russia supplied roughly 40 percent of Germany’s energy, demand for the natural resource rose, leading to a significant price increase. The price increase per barrel of oil impacted corporations bottom-lines significantly, leading to sell-off throughout Germany. Over the fiscal year, HEWG dropped 19.1 percent. In addition, the Fund’s exposure to U.S. equities, through the SPDR S&P 500 ETF Trust (SPY) (holding weight*: 11.06 percent), detracted from relative performance, as persistent inflation and rising interest rates hurt economic growth. Over the fiscal year, SPY lost 14.6 percent.

 

Within the defensive strategy, the allocation to U.S. government bonds detracted from Fund performance. Given the rise in interest rates, government bonds, as well as other investment-grade corporate bonds, sold off more than the other fixed income asset classes, such as high- yield corporate bonds and leveraged loans. The higher duration of this asset class was negatively impacted by the Fed’s decision to raise interest rates. The Sub-Adviser held a long position in the 10- year U.S. Treasury Futures Option due June 2022 (TYM2C COM) (holding weight: not held) future contract, which meaningfully detracted from Fund performance, falling 41.8 percent from purchase to sale.

 

Within the real asset strategy, the Sub-Adviser’s allocation to commodities contributed to Fund performance. The fifth largest holding in the Fund is the allocation to the iShares GSCI Commodity Dynamic Roll Strategy ETF (COMT) (holding weight*: 10.25 percent), which increased over the fiscal year primarily due to the rise in energy prices. While energy prices have come down in recent months, the Sub-Adviser believes having a meaningful exposure to commodities in a period of heightened inflation could provide balance to the portfolio. Over the fiscal year, COMT gained 19.4 percent.

 

Sub-Adviser Outlook

 

The Sub-Adviser believes that while there are numerous headwinds in today’s market, there are still opportunities. Given the flexibility of the strategy, the Sub-Adviser has the ability to tactically shift from segments of the market that appear unattractive, and selectively allocate to other areas that could potentially provide more upside, making this strategy one of the few that could navigate various market environments. With rising prices, global geopolitical conflict, and potentially aggressive monetary policy, this Fund could provide attractive returns with lower systematic risk and lower correlation to traditional asset classes, such as equity and fixed income.

 

*Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned as of 10/31/2022.

 

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2022

 

    Annualized Annualized
  One Year Five Years Ten Years
Class N (13.20)% (0.27)% 0.66%
Class A with load of 5.75% (18.49)% (1.70)% (0.21)%
Class A without load (13.50)% (0.53)% 0.39%
Class C (14.12)% (1.28)% (0.37)%
IQ Hedge Global Macro Beta Index (2.89)% 3.04% 1.50%
Morningstar Macro Trading Category (2.65)% 2.42% 2.64%

 

(a)Total Returns are calculated based on traded NAVs.

 

The IQ Hedge Global Macro Beta Index seeks to replicate the risk-adjusted return characteristics of the collective hedge funds using a global macro investment style. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Macro Trading Category is generally representative of mutual funds that use systematic or discretionary methods to examine broad factors such as the global economy, government policies, interest rates, inflation, and market trends. These mutual funds are not restricted by asset class and may invest across such disparate assets as global equities, bonds, currencies, and commodities, and make extensive use of derivatives. These strategies can take significant directional long or short positions on any asset class over short periods and may have relatively high portfolio turnover.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including underlying funds, are 2.16% for Class N, 3.16% for Class C and 2.41% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

106

 

DUNHAM DYNAMIC MACRO FUND
SCHEDULE OF INVESTMENTS
October 31, 2022

 

Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 22.0%     
     COMMODITY - 10.1%     
 72,884   iShares GSCI Commodity Dynamic  $2,755,016 
           
     EQUITY - 11.9%     
 11,990   iShares Currency Hedged MSCI Germany ETF   307,064 
 7,701   SPDR S&P 500 ETF Trust   2,974,203 
         3,281,267 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $4,113,549)   6,036,283 

 

Principal      Coupon Rate       
Amount ($)      (%)  Maturity    
     U.S. GOVERNMENT & AGENCIES — 63.4%           
     U.S. TREASURY BILLS — 63.4%           
 12,793,000   United States Treasury Bill(a)  3.3000  12/01/22   12,756,611 
 4,636,000   United States Treasury Bill(a)  3.4100  12/15/22   4,616,239 
     TOTAL U.S. GOVERNMENT & AGENCIES (Cost $17,393,524)         17,372,850 

 

Shares        
     SHORT-TERM INVESTMENTS — 10.4%     
     MONEY MARKET FUNDS - 10.4%     
 2,856,026   Morgan Stanley Institutional Liquidity Fund, Institutional, 2.88% (Cost $2,856,026)(b)   2,856,026 

 

Contracts(c)      Broker/
Counterparty		  Expiration
Date		  Exercise
Price		   Notional
Value		   Fair Value 
     FUTURE OPTIONS PURCHASED - 2.3%              
     CALL OPTIONS PURCHASED - 2.3%              
 12   S&P 500 Emini Future  GS  01/20/2023  $4,150   $2,490,000   $44,250 
 23   S&P 500 Emini Future  GS  12/16/2022   3,890    4,473,500    151,513 
 20   S&P 500 Emini Future  GS  12/16/2022   4,150    4,150,000    36,000 
 59   US 10YR Treasury Note Future  GS  11/25/2022   104    6,136,000    389,953 
     TOTAL CALL OPTIONS PURCHASED (Cost - $976,182)            621,716 
                           
     TOTAL INVESTMENTS - 98.1% (Cost $25,339,281)           $26,886,875 
     OTHER ASSETS IN EXCESS OF LIABILITIES - 1.9%            521,023 
     NET ASSETS - 100.0%           $27,407,898 
                           

See accompanying notes which are an integral part of these financial statements.

107

 

DUNHAM DYNAMIC MACRO FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

OPEN FUTURES CONTRACTS 
              Value and
Unrealized		 
Number of         Notional   Appreciation 
Contracts   Open Long Futures Contracts  Expiration  Amount(d)   (Depreciation) 
 16   CBOT US Long Bond Future  12/20/2022  $1,927,999   $(31,344)
 13   CME E-mini Russell 2000 Index Futures  12/16/2022   1,204,450    1,747 
 10   Eurex 10 Year Euro BUND Future  12/08/2022   1,367,714    15,858 
 21   Euronext CAC 40 Index Future  11/18/2022   1,300,519    31,382 
 28   FTSE 100 Index Future  12/16/2022   2,282,120    (67,823)
 2   FTSE/MIB Index Future  12/16/2022   222,713    8,622 
 6   HKG Hang Seng Index Future  11/29/2022   559,397    (18,925)
 1   MEFF Madrid IBEX 35 Index Future  11/18/2022   78,542    3,290 
 3   Montreal Exchange S&P/TSX 60 Index Future  12/15/2022   518,664    30,095 
 22   SFE 10 Year Australian Bond Future  12/15/2022   1,667,048    8,330 
 1   SFE S&P ASX Share Price Index 200 Future  12/15/2022   109,619    2,156 
 1   TSE TOPIX (Tokyo Price Index) Future  12/08/2022   129,531    1,580 
     TOTAL FUTURES CONTRACTS          $(15,032)
                   
              Value and
Unrealized		 
Number of         Notional   Appreciation 
Contracts   Open Short Futures Contracts  Expiration  Amount(d)   (Depreciation) 
 3   CBOT 10 Year US Treasury Note  12/20/2022  $331,782   $77 
 9   Eurex Swiss Market New Index Future  12/16/2022   972,397    (33,127)
 1   Euronext Amsterdam Index Future  11/18/2022   132,166    (3,676)
 5   Long Gilt Future  12/28/2022   585,581    (12,871)
 19   Montreal Exchange 10 Year Canadian Bond Future  12/19/2022   1,715,937    6,552 
     TOTAL FUTURES CONTRACTS          $(43,045)

 

ETF - Exchange-Traded Fund
   
MSCI - Morgan Stanley Capital International
   
SPDR - Standard & Poor’s Depositary Receipt
   
GS - Goldman Sachs
   

See accompanying notes which are an integral part of these financial statements.

108

 

DUNHAM DYNAMIC MACRO FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

(a) Zero coupon bond.
   
(b) Rate disclosed is the seven day effective yield as of October 31, 2022.
   
(c) Each contract is equivalent to one futures contract.
   
(d) The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund’s futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund.
   

See accompanying notes which are an integral part of these financial statements.

109

 

Dunham Long/Short Credit Fund (Unaudited)
Message from the Sub-Adviser (MetLife Investment Advisors, LLC)
 

Asset Class Recap

 

Perhaps some of the only positive news for credit investors during the fourth fiscal quarter was that it was not the worst fiscal quarter of the fiscal year ended October 31, 2022 – it was the second-worst. The Bloomberg US Credit Index generated a negative total return of 8.7 percent for the fourth fiscal quarter, which was slightly better than the negative 9.4 percent return experienced in the second fiscal quarter. This brought the performance for the fiscal year down to negative 18.9 percent, which was even more dismal than the negative 14.6 percent return experienced by the S&P 500 Index over the same time period. Credit spreads oscillated during the final three months of the fiscal year but ended at close to 150 basis points. Due to the adverse effects of rising interest rates during the fiscal year, short and intermediate-term corporates outperformed their longer-dated counterparts, as the Bloomberg US Corporate 3-5 years Index declined 10.6 percent while the Bloomberg US Corporate 7-10 years Index fell 19.3 percent. Despite concerns over the strength of the economy, the negative impact from higher interest rate sensitivity far outweighed the impact from investors divesting from securities bearing higher credit risk. For example, the ICE BofA AAA US Corporate Index was the worst performer of the credit rating tiers, falling 22.2 percent, while the ICE BofA Single-B US Cash Pay High-Yield Index was the best performing of the credit tiers, declining 10.5 percent over the same 12 -month time period. Investment grade bond issuance was meaningfully lower to close out the fiscal year, as September issuance was the second lowest on record, driven by non-financials, which was 50 percent of its past four-year average. High-yield issuance was also lower, reaching levels not seen since 2009. High-yield bond default rates continued to trend upwards along with downgrades reversing earlier year trends and exceeding upgrades. However, high-yield recovery rates are currently above historical averages.

 

Allocation Review

 

As bond valuations broadly continued to decline during the fiscal year, the Fund’s core long positions generally detracted from performance. The exposure to core long positions slightly increased from 24 percent to 29 percent during the fiscal year, which corresponded with the net notional exposure of the Fund at first decreasing from approximately 20 percent to 11 percent and the n finally ending the fiscal year close to 16 percent. The Sub-Adviser continued to implement its interest rate hedging strategy, which resulted in an overall duration of approximately 0.4 years as of the fiscal year -end. This continued to help the Fund as the Fed’s interest rate increases, along with concerns of additional larger raises, had a substantially muted impact on the Fund as a whole. This interest rate hedging strategy primarily utilizes Treasury bond futures of various maturities to maintain an overall duration exposure for the Fund. The Sub-Adviser also continued to manage credit risk exposure with credit default swaps on broad baskets of high-yield and investment grade debt, as well as with total return swaps on the IBOXX High-Yield Bond Index. At the end of the fiscal year, the aggregate gross notional value of these credit default swaps and total return swaps was close to 30 percent of the Fund. The Fund also had exposure to strategies that are generally less reliant on the market’s trajectory, such as pairs trades, catalyst-driven investments, and opportunistic trading. During the fiscal year, these strategies in aggregate comprised close to 30 percent of the Fund, which was roughly divided equally across each individual strategy.

 

Holdings Insights

 

As positive returns were difficult to come by amidst the sea of declining bonds, some of the Funds holdings managed to yield some positive results in the final months of the fiscal year. This included the super-regional bank Wells Fargo & Company Floating Rate due 1/15/2027 (949746TG6) (holding weight*: 0.39 percent). This floating rate holding rose 1.4 percent during the final three-month period of the fiscal year and was also one of the better performing holdings over the fiscal year, as it decreased 2.2 percent during the 12-month period ended October 31, 2022. Also within the financial services sector, the Fund’s holding Gold man Sachs Group, Inc. Floating Rate, due 10/21/2024 (38141GYQ1) (holding weight*: 0.84 percent) was another positive performer going into the final stretch of the fiscal year. However, while the Goldman Sachs floating rate holding increased 0.6 percent in the final three months, the Fund’s holding in the related fixed coupon bond, Goldman Sachs Capital I 6.345%, Due 02/15/2034 (38143VAA7) (hold ing weight*: 0.89 percent), declined 9.7 percent over the same time period. This large dispersion in returns helped to highlight how the substantially higher interest rate sensitivity of the fixed coupon bond detracted from performance as interest rates broadly increased, while the floating rate bond benefitted from the higher coupon.

 

Not all floating rate holdings contributed to relative performance during the fiscal year. For example, the casino services company Lucky Bucks, LLC Floating Rate due 7/20/2027 (BL3662022) (holding weight*: 0.52 percent) continued to be one of the worst performers in the Fund. The Lucky Bucks holding saw a price decline of 27.4 percent during the final fiscal quarter alone, bringing its overall price decline since the start of the fiscal year to a negative 34.2 percent. Another significant detractor from the Fund was one of the largest bond holdings, JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc. 6.5%, due 12/01/2052 (46590XAJ5) (holding weight*: 2.65 percent). During the fourth fiscal quarter, the bond declined 11.6 percent. Some bonds rebounded after detracting from performance to start the second half of the fiscal year, which included the Fund’s holding Transocean Sentry Ltd. 5.375% due 5/15/2023 (89385AAA3) (holding weight*: 1.07 percent). The Transocean Sentry bond increased 5.6 percent during the final fiscal quarter of the fiscal year.

 

Sub-Adviser Outlook

 

As the Federal Reserve has made its goal to temper inflation clear, the magnitude and pace of its restrictive monetary policy remains a question for investors. This has greatly impaired the appetite for risk assets, particularly because a tightening monetary policy generally coincides with lower growth prospects and less demand for risk taking. The Sub -Adviser believes that in order to get the pendulum to shift to a more attractive environment for risk taking, the market may need to better grasp both the timing of achieving peak inflation and the duration of the adjustment period necessary to return to the Fed’s targeted level of inflation. The Sub-Adviser believes that neither of those signposts seem imminent and it is important to be cautious during the temporary rallies that have been accompanied by murmurs of Fed easing. The Sub-Adviser views these to be misguided and instead believes that the “all clear” for credit remains distant. Therefore, the Sub-Adviser emphasizes that this is an environment where fundamental credit research may be critical to not only picking winners, but avoiding the losers in what is likely to be a period of elevated volatility.

 

*Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned as of 10/31/2022.

 

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2022

 

    Annualized Annualized
  One Year Five Years Ten Years
Class N (2.57)% 3.84% 5.02%
Class A with load of 5.75% (8.41)% 2.35% 4.14%
Class A without load (2.82)% 3.58% 4.76%
Class C (3.55)% 2.81% 3.97%
BofA Merrill Lynch US 3-Month Treasury Bill Index +3% 3.79% 4.17% 3.70%
Morningstar Nontraditional Bond Category (7.96)% 0.42% 1.13%

 

(a)Total Returns are calculated based on traded NAVs.

 

The BofA Merrill Lynch US 3-Month Treasury Bill Index + 3% is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled in a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing d ate. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. Plus an annualized return of 3%. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Nontraditional Bond Category is generally representative of mutual funds that deploy absolute return strategies, strategies that are low-correlated to the overall bond market, and strategies that take long and short market and security-level positions.

 

 

As disclosed in the Trust’s latest registration statement as supplemented the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.83% for Class N, 2.83% for Class C and 2.08% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

110

 

DUNHAM LONG/SHORT CREDIT FUND
SCHEDULE OF INVESTMENTS
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 0.0%(a)     
     TELECOMMUNICATIONS - 0.0%(a)     
 10,000   NII Holdings, Inc. 144A(b),(c)(l)  $5,700 
     TOTAL COMMON STOCKS (Cost $57,730)   5,700 

 

 

       Coupon Rate     
Shares      (%)   Fair Value 
     PREFERRED STOCKS — 0.9%          
     REAL ESTATE SERVICES — 0.8%          
 2,000   UIRC-GSA International, LLC 144A(c)(l)   6.0000    1,950,000 
                
     SPECIALTY FINANCE — 0.1%          
 16,561   TPG RE Finance Trust, Inc.   6.2500    275,741 
                
     TOTAL PREFERRED STOCKS (Cost $2,414,025)        2,225,741 

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 46.4%              
     ASSET MANAGEMENT — 2.8%              
 1,255,000   Blackstone Secured Lending Fund     3.6250  01/15/26   1,131,218 
 2,265,000   FS KKR Capital Corporation     1.6500  10/12/24   2,052,626 
 1,040,000   Main Street Capital Corporation     4.5000  12/01/22   1,038,060 
 2,780,000   PennantPark Investment Corporation     4.0000  11/01/26   2,348,157 
                  6,570,061 
     AUTOMOTIVE — 1.5%              
 1,885,000   Ford Motor Credit Company, LLC     3.3700  11/17/23   1,823,875 
 2,065,000   Hyundai Capital America(c)     1.0000  09/17/24   1,869,669 
                  3,693,544 
     BANKING — 9.3%              
 2,510,000   Bank of America Corporation(d)  SOFRRATE +
0.670%		  1.8430  02/04/25   2,379,238 
 3,545,000   HSBC Holdings plc(e)  SOFRRATE +
1.430%		  4.1800  03/10/26   3,467,325 
 2,450,000   HSBC Holdings plc     6.5000  09/15/37   2,129,181 
 2,005,000   JPMorgan Chase & Company(e)  US0003M +
0.550%		  3.3320  02/01/27   1,848,424 
                    

See accompanying notes which are an integral part of these financial statements.

111

 

DUNHAM LONG/SHORT CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 46.4% (Continued)              
     BANKING — 9.3% (Continued)              
 3,505,000   KeyCorp Capital II(f)     6.8750  03/17/29  $3,549,377 
 4,735,000   Synchrony Bank     5.4000  08/22/25   4,578,471 
 2,810,000   Synovus Financial Corporation     5.2000  08/11/25   2,737,469 
 1,000,000   Wells Fargo & Company(d),(e)  US0003M +
0.500%		  4.5790  01/15/27   925,220 
 795,000   Wells Fargo & Company     5.9500  12/01/86   732,350 
                  22,347,055 
     CHEMICALS — 2.1%              
 4,970,000   Celanese US Holdings, LLC     5.9000  07/05/24   4,883,835 
                    
     CONSUMER SERVICES — 1.8%              
 2,300,000   Grand Canyon University     4.1250  10/01/24   2,156,250 
 2,300,000   Grand Canyon University     5.1250  10/01/28   2,061,375 
                  4,217,625 
     ELECTRIC UTILITIES — 4.2%              
 3,310,000   American Electric Power Company, Inc.     2.0310  03/15/24   3,160,341 
 2,785,000   Pacific Gas and Electric Company     1.7000  11/15/23   2,670,098 
 4,397,000   Vistra Operations Company, LLC(c)     4.8750  05/13/24   4,284,921 
                  10,115,360 
     ENTERTAINMENT CONTENT — 1.5%              
 3,545,000   Magallanes, Inc.(c),(e)  SOFRINDX +
1.780%		  4.6660  03/15/24   3,536,155 
                    
     FOOD — 2.7%              
 7,250,000   JBS USA LUX S.A. / JBS USA Food Company / JBS USA(c)     6.5000  12/01/52   6,374,273 
                    
     INSTITUTIONAL FINANCIAL SERVICES — 5.2%              
 3,515,000   Credit Suisse Group A.G.(c),(d)  SOFRRATE +
3.340%		  6.3730  07/15/26   3,271,220 
 1,825,000   Credit Suisse Group A.G.(c),(d)  SOFRRATE +
3.920%		  6.5370  08/12/33   1,589,524 
                    
 3,825,000   Credit Suisse Group A.G.(c),(d)  USSW5 +
4.598%		  7.5000  06/11/70   3,479,453 
 2,250,000   Goldman Sachs Capital I     6.3450  02/15/34   2,147,594 
 2,050,000   Goldman Sachs Group, Inc. (The)(e)  SOFRRATE +
0.490%		  3.5230  10/21/24   2,006,491 
                  12,494,282 
                    

See accompanying notes which are an integral part of these financial statements.

112

 

DUNHAM LONG/SHORT CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 46.4% (Continued)              
     INSURANCE — 2.2%              
                    
 2,155,000   Mutual of Omaha Insurance Company(c),(d)  ICE LIBOR USD 3
Month + 2.640%		  4.2970  07/15/54  $2,043,605 
 2,285,000   Ohio National Financial Services, Inc.(c),(f)     5.5500  01/24/30   2,061,796 
 1,000,000   Pacific Life Insurance Company(c)     9.2500  06/15/39   1,262,191 
                  5,367,592 
     LEISURE FACILITIES & SERVICES — 0.9%              
 2,050,000   Mohegan Gaming & Entertainment(c)     8.0000  02/01/26   1,725,359 
 350,000   Royal Caribbean Cruises Ltd.(c),(f)     11.6250  08/15/27   340,893 
                  2,066,252 
     METALS & MINING — 0.4%              
 1,110,000   Freeport-McMoRan, Inc.     4.1250  03/01/28   997,544 
                    
     OIL & GAS PRODUCERS — 5.9%              
 2,385,000   Diamondback Energy, Inc.     6.2500  03/15/33   2,394,261 
 2,135,000   Earthstone Energy Holdings, LLC(c),(f)     8.0000  04/15/27   2,023,692 
 2,525,000   Energean Israel Finance Ltd.     5.8750  03/30/31   2,146,250 
 1,000,000   Hilcorp Energy I, L.P. / Hilcorp Finance Company(c)     6.0000  04/15/30   906,893 
 2,485,000   Hilcorp Energy I, L.P. / Hilcorp Finance Company(c)     6.2500  04/15/32   2,282,473 
 845,000   Rockcliff Energy II, LLC(c)     5.5000  10/15/29   754,682 
 2,230,000   Saudi Arabian Oil Company(c)     1.2500  11/24/23   2,144,883 
 1,725,000   Tullow Oil plc(c)     10.2500  05/15/26   1,474,651 
                  14,127,785 
     OIL & GAS SERVICES & EQUIPMENT — 1.1%              
 2,615,709   Transocean Sentry Ltd.(c),(f)     5.3750  05/15/23   2,574,891 
                    
     SPECIALTY FINANCE — 2.9%              
 5,150,000   AerCap Ireland Capital DAC / AerCap Global     1.1500  10/29/23   4,880,169 
 1,195,000   Antares Holdings, L.P.(c)     6.0000  08/15/23   1,177,574 
 1,335,000   Finance of America Funding, LLC(c)     7.8750  11/15/25   811,013 
                  6,868,756 
     TELECOMMUNICATIONS — 1.9%              
 2,250,000   HC2 Holdings, Inc.(c)     8.5000  02/01/26   1,687,500 
 930,000   Sprint Spectrum Company, LLC / Sprint Spectrum(c)     5.1520  03/20/28   905,106 
                    

See accompanying notes which are an integral part of these financial statements.

113

 

DUNHAM LONG/SHORT CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 46.4% (Continued)              
     TELECOMMUNICATIONS — 1.9% (Continued)       
 2,130,000   T-Mobile USA, Inc.     5.6500  01/15/53  $1,961,881 
                 $4,554,487 
     TOTAL CORPORATE BONDS (Cost $120,905,600)     110,789,497 
                    
Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     TERM LOANS — 1.3%              
     FOOD — 0.8%              
 1,975,000   Del Monte Foods, Inc.(e)  SOFRRATE +
4.806%		  7.8260  02/15/29   1,913,281 
                    
     LEISURE FACILITIES & SERVICES — 0.5%              
 1,925,000   Lucky Bucks, LLC(e)  US0001M +
6.622%		  10.4270  07/20/27   1,248,045 
                    
     TOTAL TERM LOANS (Cost $3,845,996)            3,161,326 
                    
Principal         Coupon Rate       
Amount ($)         (%)  Maturity  Fair Value 
     U.S. GOVERNMENT & AGENCIES — 40.7%              
     U.S. TREASURY BILLS — 40.7%              
 27,650,000   United States Cash Management Bill(g)     0.0000  11/29/22   27,573,225 
 27,710,000   United States Treasury Bill(g)(n)     0.0000  12/22/22   27,568,090 
 29,195,000   United States Treasury Bill(g)     0.0000  01/19/23   28,942,470 
 3,445,000   United States Treasury Note     2.7500  07/31/27   3,219,998 
 3,080,000   United States Treasury Note     2.3750  03/31/29   2,759,488 
 3,965,000   United States Treasury Note     2.7500  08/15/32   3,544,648 
 590,000   United States Treasury Note     3.3750  08/15/42   507,308 
 3,820,000   United States Treasury Note(o)     2.8750  05/15/52   2,950,353 
     TOTAL U.S. GOVERNMENT & AGENCIES (Cost $98,050,724)     97,065,580 
                    

See accompanying notes which are an integral part of these financial statements.

114

 

DUNHAM LONG/SHORT CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     SHORT-TERM INVESTMENTS — 10.8%     
     MONEY MARKET FUNDS – 10.0%     
 23,835,824   First American Government Obligations Fund Class X, 2.91%(h)  $23,835,824 
           
     COLLATERAL FOR SECURITIES LOANED - 0.8%     
 1,859,875   Mount Vernon Liquid Assets Portfolio, LLC, 3.24% (Cost $1,859,875) (h),(j)   1,859,875 
     TOTAL SHORT-TERM INVESTMENTS (Cost $25,695,699)   25,695,699 
           
     TOTAL INVESTMENTS - 100.1% (Cost $250,969,774)  $238,943,543 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)%   (305,278)
     NET ASSETS - 100.0%  $238,638,265 

 

OPEN FUTURES CONTRACTS 
Number of         Notional   Value and
Unrealized		 
Contracts   Open Short Futures Contracts  Expiration  Amount(i)   Appreciation 
 69   CBOT 10 Year US Treasury Note  12/20/2022  $7,630,986   $472,202 
 44   CBOT 5 Year US Treasury Note  12/30/2022   4,690,136    204,864 
 30   CBOT US Long Bond Future  12/20/2022   3,615,000    469,155 
 72   CME Ultra Long Term US Treasury Bond Future  12/20/2022   9,191,232    1,494,207 
 118   Ultra 10-Year US Treasury Note Futures  12/20/2022   13,686,112    1,141,825 
     TOTAL FUTURES CONTRACTS          $3,782,253 
                   

 

CREDIT DEFAULT SWAP AGREEMENTS
                          Amortized   Unrealized 
Description and
Payment Frequency		  Payment
Frequency		  Counterparty  Fixed Deal
(Pay) Rate		  Implied
Credit Spred		  Maturity Date  Notional Value   Fair Value(m)   Upfront
Payments
Paid /		   Appreciation/
(Depreciation)		 
CDX.NA.HY SERIES 39  To Buy Monthly  HSBC Securities  5.00%  177.40  12/20/2027  $17,000,000    146,727    671,163   $(621,241)
CDX.NA.IG SERIES 39  To Buy Monthly  HSBC Securities  1.00%  97.13  12/20/2027   41,000,000    (170,397)   (54,374)   (162,718)
DARDEN RESTAURANTS INC  To Buy Monthly  Barclays  1.00%  —  6/20/2027   7,000,000    (79,463)   (21,597)   (65,838)
DR HORTON INC  To Buy Monthly  Barclays  1.00%  —  12/20/2027   3,500,000    52,384    69,744    (21,347)
VERIZON COMMUNICATIONS INC(k)  To Buy Monthly  Barclays  1.00%  —  6/20/2027   (7,000,000)   (78,098)   3,887    (74,013)
KRAFT HEINZ FOOD  At Maturity  JPMorgan  1.00%  —  6/20/2023   2,000,000    (32,839)   (31,954)   (885)
KRAFT HEINZ FOOD(k)  At Maturity  Goldman Sachs  1.00%  —  6/20/2023   (2,000,000)   34,676    14,987    19,689 
NEWELL BRANDS  At Maturity  Goldman Sachs  1.00%  —  6/20/2023   2,000,000    34,057    22,030    12,027 
NEWELL BRANDS(k)  At Maturity  JPMorgan  1.00%  —  6/20/2023   (2,000,000)   (35,894)   (32,614)   (3,280)
TOTAL                      $(128,847)  $641,272   $(917,606)

 

See accompanying notes which are an integral part of these financial statements.

115

 

DUNHAM LONG/SHORT CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

TOTAL RETURN SWAPS
          Variable            Unrealized 
Description  Frequency   Counterparty  Notional Value   Terms  Variable Rate  Premium Paid   Maturity Date  Depreciation 
Markit IBoxx US Dollar Liquid High Yield Index  At Barclays   Maturity  $14,000,000   1D SOFFRATE  3.05%  $37,667   12/20/2022  $(50,233)

 

 

LLC - Limited Liability Company
   
LP - Limited Partnership
   
LTD - Limited Company
   
PLC - Public Limited Company
   
SOFRINDX SOFR Secured Overnight Financing Rate Index
   
SOFRRATE United States SOFR Secured Overnight Financing Rate
   
US0001M ICE LIBOR USD 1 Month
   
US0003M ICE LIBOR USD 3 Month
   
USSW5 USD SWAP SEMI 30/360 5YR

 

(a) Percentage rounds to less than 0.1%.
   
(b) Non-income producing security.
   
(c) Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of October 31, 2022 the total market value of 144A securities is 50,538,117 or 21.2% of net assets.
   
(d) Variable rate security; the rate shown represents the rate on October 31, 2022.
   
(e) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.
   
(f) All or a portion of these securities are on loan. Total loaned securities had a value of $1,822,771 at October 31, 2022.
   
(g) Zero coupon bond.
   
(h) Rate disclosed is the seven day effective yield as of October 31, 2022.
   
(i) The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund’s futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund.
   
(j) The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.
   

See accompanying notes which are an integral part of these financial statements.

116

 

DUNHAM LONG/SHORT CREDIT FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

(k) If the Fund is a seller of protection and if a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising of the referenced index.
   
(l) Level 3 securities fair value under procedures established by the Board of Trustees, represents 0.82% of net assets. The total value of these securities is $1,955,700.
   
(m) The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
   
(n) All or portion of security held as collateral for Futures at 10/31/2022.
   
(o) All or portion of security held as collateral for Swaps at 10/31/2022.

 

Portfolio Composition * - (Unaudited)
Corporate Bonds   46.4%
U.S. Government & Agencies   40.6%
Short-Term Investment   10.0%
Term Loans   1.3%
Preferred Stocks   0.9%
Collateral for Securities Loaned   0.8%
Common Stocks   0.0%
Total   100.0%
      

*      Based on total value of investments as of October 31, 2022. Does not include derivative holdings.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes which are an integral part of these financial statements.

117

 

Dunham Monthly Distribution Fund (Unaudited)
Message from the Sub-Adviser (Grantham, Mayo, Van Otterloo & Co., LLC)
 

Asset Class Recap

 

Global markets dropped significantly over the fiscal year ended October 31, 2022, as traditional equity and fixed asset classes experienced significant volatility due to lingering COVID cases, persistent inflation, the geopolitical conflict between Russia and Ukraine, and monetary tightening. Inflation, as measured by the Consumer Price Index (CPI), rose 9.1 percent year-over-year in June, marking the largest annual increase in over 40 years. The historically high inflation led the Federal Reserve (Fed) to raise the Federal Funds rate by 300 basis points over the fiscal year, with the policy rate closing at 3.0-3.25 percent. While inflation has come down marginally from June levels, it still remains above 8 percent on a year-over-year basis, or nearly four times the Fed’s 2 percent target level. The increase in the policy rate led to a dramatic sell -off in equity markets, with U.S. equities, as measured by the S&P 500 Index, down 14.6 percent over the fiscal year. Foreign equities, as measured by the MSCI ACWI ex-U.S. Index, did not fare any better, falling 24.7 percent over the fiscal year, as geopolitical turmoil in Europe, coupled with China’s zero-covid policy, stunted economic growth and increased supply chain disruptions. Bonds, typically considered a safe-haven in a risk-off environment, fell substantially as the rise in interest rates led to a corresponding drastic sell-off in bond prices. U.S. bonds, as measured by the Bloomberg U.S. Aggregate Bond Index, fell 15.7 percent, while foreign bonds, as measured by the Bloomberg Global Aggregate ex-U.S. Bond Index, lost 24.6 percent. While traditional asset classes struggled, alternative asset classes, such as merger-arbitrage, outperformed the broader market. The merger-arbitrage asset class, as measured by the Bloomberg Merger Arbitrage U.S. Index, gained 2.7 percent over the fiscal year, one of the few asset classes realizing a positive absolute return.

 

Allocation Review

 

The Sub-Adviser did not deviate from its strategy of investing in a relatively small amount of deals where it believes that the risk -reward profile is most attractive. The Sub-Adviser’s approach to risk focuses on the adverse effect of a particular deal breaking and then uses that to adjust the allocation to the deal within the Fund. This strategy is intended to help balance having a more concentrated allocation to merger deals with the adverse effect on the Fund of a single deal terminating and potentially reverting to pre-announcement valuations. In regard to cash-only merger deals versus those that include acquirer stock, the Fund held approximately half of each. In greater sell-offs, the cash deals may represent a larger adverse effect for the Fund, as there is not a short position in the acquirer that can offset the effect of the target company’s falling price. This is because the Sub-Adviser primarily hedges the exposures in a deal by shorting shares of the acquiring company if its shares are part of the deal terms. The use of derivatives in the Sub-Adviser’s strategy is generally rare and generally employed in small amounts when there may be some aspect of a deal that shorting acquirer shares may not fully address. Therefore, the Fund did not have any derivatives exposure that had a meaningful impact on the Fund’s performance during the fiscal year.

 

Holdings Insights

 

One deal that contributed meaningfully to performance over the fiscal year was the $25.0 billion cash acquisition of Shaw Communications, Inc. (SJR/B CN) (holding weight*: 3.57 percent) by Rogers Communications, Inc. (RCI/B CN) (holding weight: not held). RCI/B CN, one of the largest telecommunications providers in Canada, announced that they would purchase SJR/B CN, a competing telecommunications provider, back in March of 2021. The proposed deal would make RCI/B CN the second largest telecommunications provider in the country. In the most recent fiscal quarter, a key minister in the regulatory approval process approved the deal, leading to a pop in SJR/B CN’s share price. The Sub-Adviser continues to believe the probability of the deal going through is high, despite some other regulatory hurdles ahead. The Sub-Adviser traded in and out of SJR/B CN over the most recent fiscal quarter, picking up incremental gains that contributed positively to the Fund’s relative performance.

 

One deal that detracted from Fund performance over the fiscal year was the $68.7 billion cash acquisition of Activision Blizzard, Inc. (ATVI) (holding weight*: 6.11 percent) by Microsoft Corporation (MSFT) (holding weight*: not held). Like other deals within the technology sector, MSFT’s acquisition of ATVI was met with antitrust concerns and will likely have a lengthy regulatory process moving forward. The deal spread widened throughout the fiscal year following an announcement one prominent investor sold his stake in ATVI, potentially indicating a lack of confidence in the merger. The Sub-Adviser still believes the deal is likely to go through and the risk-reward potential remains attractive. Over the fiscal year, ATVI lost 6.3 percent.

 

A recent initiation over the fiscal period was Cowen, Inc. (COWN) (holding weight*: 3.27 percent), an investment bank and brokerage in the process of being acquired by The Toronto-Dominion Bank (TD CA) (holding weight*: not held). The $2.8 billion cash acquisition was announced on August 2, 2022 and is expected to be completed by March 31, 2023. TD CA announced that they would acquire COWN in hopes of expanding its U.S.-based equities and investment banking businesses, leveraging COWN’s impressive footprint and capabilities. The Sub-Adviser initially bought into COWN on August 9, increasing its position gradually throughout the fiscal period. COWN appreciated 0.3 percent over that time-frame.

 

Sub-Adviser Outlook

 

While the announcement of new mergers has slowed recently, the Sub-Adviser believes there are still plenty of attractive deals to potentially capitalize on. As the economy continues to grapple with volatility, corporations could be looking to pursue potential divestitures and acquisitions. With valuations depressed and interest rates still at multi-year highs, the Sub-Adviser believes that the landscape for the asset class could reward investors over the long-term. As always, the Sub-Adviser will continue its rigorous, bottom-up research process when selecting, monitoring, and potentially eliminating certain deals from the Fund.

 

*Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned as of 10/31/2022.

 

**Holdings percentage(s) as of the date prior to the sale of the security.

 

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a),(b) as of October 31, 2022

 

    Annualized Annualized
  One Year Five Years Ten Years
Class N 1.08% 1.01% 2.27%
Class A with load of 5.75% (4.93)% (0.42)% 1.41%
Class A without load 0.86% 0.77% 2.01%
Class C 0.10% 0.02% 1.25%
IQ Hedge Market Neutral Total Return Index (7.83)% 0.69% 1.53%
Morningstar Event Driven Category (1.53)% 3.68% 3.80%

 

(a)Total Returns are calculated based on traded NAVs.

 

(b)The Dunham Monthly Distribution Fund’s distribution policy is to make twelve monthly distributions to shareholders. The level of monthly distributions (including any return of capital) is not fixed but is expected to be at or near the level of the prime interest rate (“Prime Rate”). Additionally, the Fund’s distribution policy is not designed to generate, and is not expected to result in, distributions that equal a fixed percentage of the Fund’s current net asset value per share. Shareholders receiving periodic payments from the Fund may be under the impression that they are receiving net profits. All or a portion of a distribution may consist of a return of capital, which would be a return of original shareholder investments in the Fund and not an income or capital gains distribution. Shareholders should not assume that the source of a distribution from the Fund is net profit. For more information about the Fund’s distribution policy, please turn to the “Distribution Policy and Goals” section in the Fund’s Prospectus. For disclosure regarding the extent to which the Fund’s distribution policy resulted in distributions of capital (i.e., a return of capital), please refer to Form 19a-1 Notice available at https://www.dunham.com/FA/FundInfo/MonthlyDistribution#distribution

 

IQ Hedge Market Neutral Total Return Index seeks to replicate the risk-adjusted return characteristics of the collective hedge funds using a market neutral hedge fund investment style. Market Neutral hedge funds typically invest in both long and short positions in asset classes while minimizing exposure to systematic risk. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Event Driven Category is generally representative of mutual funds that primarily employ strategies that seek to profit from corporate actions, such as mergers and acquisitions. Mutual funds in this category typically focus on equity securities but can invest across the capital structure. However, they typically have low to moderate equity market sensitivity since company-specific developments tend to drive security prices.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses before any fee waiver, including the cost of underlying funds, are 2.29% for Class N, 3.29% for Class C and 2.54% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75%. The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com.

118

 

DUNHAM MONTHLY DISTRIBUTION FUND
SCHEDULE OF INVESTMENTS
October 31, 2022

 

Shares      Fair Value 
     CLOSED END FUNDS — 4.2%     
     EQUITY - 4.2%     
 2,468,782   Altaba, Inc. (j)  $9,257,933 
           
     TOTAL CLOSED END FUNDS (Cost $7,991,531)   9,257,933 
           
Shares      Fair Value 
     COMMON STOCKS — 76.0%     
     AEROSPACE & DEFENSE - 2.2%     
 37,515   HEICO Corporation, Class A   4,775,660 
           
     ASSET MANAGEMENT - 0.0%(a)     
 469,792   Pershing Square Tontine Holdings Ltd.(b)   46,979 
           
     BANKING - 5.1%     
 103,405   First Horizon Corporation   2,534,457 
 77,525   Flagstar Bancorp, Inc.   3,000,218 
 284,478   Umpqua Holdings Corporation   5,655,423 
         11,190,098 
     CABLE & SATELLITE - 11.4%     
 124,540   Liberty Broadband Corporation - Series C(b)   10,514,912 
 398,401   Liberty Global plc, Class A(b)   6,717,041 
 310,745   Shaw Communications, Inc., Class B   7,981,507 
         25,213,460 
     CHEMICALS - 3.5%     
 33,088   Rogers Corporation(b)   7,786,599 
           
     ELECTRIC UTILITIES - 4.6%     
 215,774   PNM Resources, Inc.   10,027,017 
           
     ENTERTAINMENT CONTENT - 6.2%     
 187,742   Activision Blizzard, Inc.   13,667,617 
           
     FORESTRY, PAPER & WOOD PRODUCTS - 3.6%     
 378,424   Resolute Forest Products, Inc.(b)   7,875,003 
           

See accompanying notes which are an integral part of these financial statements.

119

 

DUNHAM MONTHLY DISTRIBUTION FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 76.0% (Continued)     
     GAS & WATER UTILITIES - 3.7%     
 236,977   South Jersey Industries, Inc.(c),(g)  $8,215,993 
           
     INSTITUTIONAL FINANCIAL SERVICES - 3.3%     
 189,757   Cowen, Inc., Class A   7,328,416 
           
     METALS & MINING - 2.2%     
 1,116,449   Yamana Gold, Inc.   4,890,047 
           
     OIL & GAS PRODUCERS - 2.2%     
 66,000   Continental Resources, Inc.   4,882,020 
           
     PUBLISHING & BROADCASTING - 5.5%     
 584,579   TEGNA, Inc.   12,206,010 
           
     RETAIL - DISCRETIONARY - 0.5%     
 124,253   Sportsman’s Warehouse Holdings, Inc.(b)   1,115,792 
           
     RETAIL REIT - 2.5%     
 175,335   STORE Capital Corporation(c) ,(g)   5,575,653 
           
     SEMICONDUCTORS - 5.4%     
 163,249   Silicon Motion Technology Corporation - ADR   8,732,189 
 76,331   Tower Semiconductor Ltd.(b)   3,263,914 
         11,996,103 
     SOFTWARE - 9.3%     
 130,303   1Life Healthcare, Inc.(b),(c),(g)   2,228,181 
 80,555   Black Knight, Inc.(b)   4,871,161 
 76,129   Signify Health, Inc.(b)   2,225,251 
 80,389   VMware, Inc., Class A   9,046,174 
 29,155   Zendesk, Inc.(b)   2,235,897 
         20,606,664 
     TELECOMMUNICATIONS - 4.3%     
 205,893   NII Holdings, Inc. 144A(b),(d), (j)   72,063 
           
           

See accompanying notes which are an integral part of these financial statements.

120

 

DUNHAM MONTHLY DISTRIBUTION FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 76.0% (Continued)     
     TELECOMMUNICATIONS - 4.3% (Continued)     
 276,521   Switch, Inc., Class A(c),(g)  $9,415,540 
         9,487,603 
     TOBACCO & CANNABIS - 0.5%     
 102,342   Swedish Match A.B.   1,052,842 
           
     TRANSPORTATION & LOGISTICS - 0.0%(a)     
 1,025   American Airlines Group, Inc.(b)   14,531 
           
     TOTAL COMMON STOCKS (Cost $177,110,067)   167,954,107 

 

Shares      Expiration
Date		  Exercise
Price		   Fair Value 
     RIGHT — 0.0%(a)             
     NON-LISTED RIGHT - 0.0% (a)             
 51,066   Zogenix, Inc. CVR (j)  12/31/2023  $20    38,300 
                   
     TOTAL RIGHT (Cost $28,086)           38,300 

 

Shares      Fair Value 
     SHORT-TERM INVESTMENTS — 22.1%     
     MONEY MARKET FUND – 12.6%     
 27,712,594   Fidelity Government Portfolio Institutional Class I, 2.86%(e)   27,712,594 
           
     COLLATERAL FOR SECURITIES LOANED – 9.5%     
 21,014,292   Mount Vernon Liquid Assets Portfolio, LLC, 3.24%(e),(i)   21,014,292 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $48,726,886)   48,726,886 
           

See accompanying notes which are an integral part of these financial statements.

121

 

DUNHAM MONTHLY DISTRIBUTION FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Contracts(f)      Broker/
Counterparty		  Expiration
Date		  Exercise
Price		   Notional
Value		   Fair Value 
     EQUITY OPTIONS PURCHASED - 0.0% (a)              
     PUT OPTIONS PURCHASED - 0.0%(a)                     
 660   Continental Resources, Inc./OK  Morgan Stanley  12/16/2022  $70   $4,882,020   $16,500 
     TOTAL PUT OPTIONS PURCHASED (Cost - $22,856)            16,500 
                           
     TOTAL INVESTMENTS – 102.3% (Cost $233,879,426)           $225,993,726 
     SECURITIES SOLD SHORT - (19.5)% (Proceeds - $45,424,273)            (43,174,936)
     CALL OPTIONS WRITTEN - (0.1)% (Proceeds - $262,766)            (277,200)
     OTHER ASSETS IN EXCESS OF LIABILITIES – 17.3%            38,335,271 
     NET ASSETS - 100.0%           $220,876,861 
                           
Contracts(f)      Broker/
Counterparty		  Expiration
Date		  Exercise
Price		   Notional
Value		   Fair Value 
     WRITTEN EQUITY OPTIONS - (0.1)%                     
     CALL OPTIONS WRITTEN - (0.1)%                     
 660   Continental Resources, Inc.  Morgan Stanley  12/16/2022  $70   $4,882,020   $277,200 
     TOTAL CALL OPTIONS WRITTEN (Proceeds - $262,766)              
                           
     TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $262,766)           $277,200 

  

ADR - American Depositary Receipt
   
LLC - Limited Liability Company
   
LTD - Limited Company
   
PLC - Public Limited Company
   
REIT - Real Estate Investment Trust
   
USB - US Bank
   
(a) Percentage rounds to less than 0.1%.
   
(b) Non-income producing security.
   
(c) Restricted security.
   
(d) Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of October 31, 2022 the total market value of 144A securities is 72,063 or 0.0% of net assets.
   
(e) Rate disclosed is the seven day effective yield as of October 31, 2022.
   
(f) Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.
   
(g) All or a portion of these securities are on loan. Total loaned securities had a value of $20,452,521 at October 31, 2022.
   
(i) The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.
   
(j) Level 3 securities fair value under procedures established by the Board of Trustees, represents 4.24% of net assets. The total value of these securities is $9,368,296.
   

See accompanying notes which are an integral part of these financial statements.

122

 

DUNHAM MONTHLY DISTRIBUTION FUND
SCHEDULE OF SECURITIES SOLD SHORT
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — (19.5)%     
     AEROSPACE & DEFENSE - (2.2)%     
 (30,342)  HEICO Corporation  $(4,934,824)
           
     BANKING - (3.9)%     
 (169,493)  Columbia Banking System, Inc.   (5,672,932)
 (311,273)  New York Community Bancorp, Inc.   (2,897,952)
         (8,570,884)
     CABLE & SATELLITE - (8.0)%     
 (30,016)  Charter Communications, Inc., Class A   (11,034,482)
 (375,546)  Liberty Global plc - Series C   (6,632,142)
         (17,666,624)
     INSTITUTIONAL FINANCIAL SERVICES - (0.5)%     
 (11,601)  Intercontinental Exchange, Inc.   (1,108,708)
           
     METALS & MINING - (2.4)%     
 (669,870)  Gold Fields Ltd. - ADR   (5,278,576)
           
     SEMICONDUCTORS - (2.5)%     
 (10,113)  Broadcom, Inc.   (4,754,324)
 (27,882)  MaxLinear, Inc.   (860,996)
         (5,615,320)
           
     TOTAL SECURITIES SOLD SHORT - (Proceeds - $45,424,273)  $(43,174,936)
           
           

See accompanying notes which are an integral part of these financial statements.

123

 

DUNHAM MONTHLY DISTRIBUTION FUND
SCHEDULE OF INVESTMENTS
October 31, 2022

 

                 Unrealized 
Foreign Currency  Settlement Date  Counterparty  Local Currency   U.S. Dollar Value   Appreciation/
(Depreciation)		 
To Buy:                     
Canadian Dollar  11/01/2022  JP Morgan   2,454,393   $1,801,693   $385 
Canadian Dollar  11/08/2022  JP Morgan   6,542,492    4,802,799    (20,496)
Swedish Krona  11/08/2022  JP Morgan   74,077,994    6,711,028    (266,291)
              $13,315,520   $(286,402)
                      
To Sell:                     
Canadian Dollar  11/08/2022  JP Morgan   19,127,668   $14,041,492   $352,079 
Swedish Krona  11/08/2022  JP Morgan   74,077,993    6,711,027    525,139 
Swedish Krona  01/27/2023  JP Morgan   11,871,672    1,082,928    6,280 
              $21,835,447   $883,498 
                      
Total                  $597,096 

 

Portfolio Composition * - (Unaudited)
Communications   26.8%  Real Estate   2.4%
Technology   14.4%  Energy   2.2%
Short-Term Investment   12.3%  Industrials   2.1%
Collateral for Securities Loaned   9.3%  Consumer Discretionary   0.5%
Materials   9.1%  Consumer Staples   0.5%
Financials   8.2%  Right   0.0%
Utilities   8.1%  Put Option   0.0%
Equity   4.1%  Total   100.0%
              

*     Based on total value of investments as of October 31, 2022. Does not include derivative holdings.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes which are an integral part of these financial statements.

124

 

Dunham Real Estate Stock Fund (Unaudited)
Message from the Sub-Adviser (American Assets Capital Advisers, LLC)
 

Asset Class Recap

 

Real estate stocks began the fiscal year on a strong note as robust economic data offset concerns regarding high inflation and wariness on the transition to tighter monetary policy. However, real estate stocks sold off in January as the Omicron variant of the pandemic persisted, and the Federal Reserve indicated its readiness to raise interest rates and reduce the balance sheet. Declines were exacerbated as political tension in eastern Europe spiked, and the Federal Reserve raised the Fed Funds rate for the first time since 2018 in March. The sell-off continued in the previous fiscal quarter as headwinds of tightening monetary policy and inflationary pressures persisted. The Federal Reserve continued to shift in response to these inflationary pressures, and its tone grew increasingly hawkish. Over the fiscal year, the Federal Reserve raised interest rates 25 basis points in March, 50 basis points in May, and increased rates by 75 basis points in June for the first time since 1994, adversely impacting the sector. In the most recent quarter, inflation remained stubbornly high, prompting the Federal Reserve to raise interest rates 75 basis points in the July and September meetings. In response, the 10-year U.S. Treasury yield surged over 139 basis points in the most recent fiscal quarter and 250 basis points in the fiscal year, closing at 4.05 percent. Over the fiscal year, real estate stocks, as measured by the Dow Jones U.S. Real Estate Total Return Index, declined 21.0 percent, underperforming the broad U.S. stock market, as measured by the S&P 500 Index, which ended the quarter down 14.6 percent.

 

Allocation Review

 

The Sub-Adviser focuses on companies with competitive advantages that it believes can increase net operating income, independent of what is happening in the economy. Given this bias, the Fund gravitates away from cyclical sectors, which detracted from Fund performance over the most recent fiscal quarter. Specifically, the Fund had no exposure to some of the best performing sectors, which include retail REITs, free standing REITs, and shopping center REITs. Conversely, the Fund received positive contributions from the exposure to infrastructure REITs and self-storage REITs. However, these positive contributions could not overcome the adverse effect of the exposure to off-benchmark holdings such as casino and gaming companies and Chinese data centers.

 

Holdings Insights

 

One of the most significant contributors to relative Fund performance over the most recent fiscal quarter was the exposure to casino properties. This includes Caesars Entertainment, Inc. (CZR) (holding weight*: 4.11 percent), a domestic manager of casinos and resorts, and MGM Resorts International (MGM) (holding weight*: 2.16 percent), an international manager of casinos and resorts, both contributed to relative Fund performance during the fiscal quarter as CZR fell just 4.3 percent and MGM rose 8.7 percent. However, this exposure was one of the largest detractors from Fund performance over the fiscal year. Casino properties tend to be highly sensitive to macroeconomic conditions as consumer spending on vacations and casinos is highly discretionary. In a recession, consumers tend to slow spending in this area significantly. These positions sold off during the fiscal year as concerns over a recession increased due to the highest inflation reading in 40 years, the Federal Reserve raising rates, and slowing corporate profits. This led to CZR falling 60.1 percent and MGM declining 24.7 percent for the fiscal year ending October 31, 2022. Moving forward, the Sub-Adviser is optimistic about this exposure as it believes the industry will receive a myriad of tailwinds, including the resurgence of business travel and the proliferation of online and sports gambling.

 

The largest detractor from Fund performance over the fiscal period was the exposure to Chinese data centers. Early in the fiscal year, these positions sol d off as the country’s “COVID-zero” policy took a heavy toll on economic growth. According to estimates, 46 cities were in full or partial lockdown during the first half of the fiscal year, affecting more than 343 million people, accounting for approximately 35 percent of the country’s economic output. In the most recent quarter, declines mounted as investors took issue with Xi Jinping’s control over the country. As he secured a rare third term in office, he cemented his power by packing the party’s highest ranks with those loyal to him. Investors may be concerned that this power will provide a means to continue the “Covid-Zero” policy and other policies that could continue to hamper growth in the country. Within the Fund, positions included GDS Holdings Ltd. (GDS) (Holding weight*: 0.20 percent) and Chindata Group Holdings Ltd. (CD) (holding weight*: 1.43 percent). These Chinese data centers declined 85.5 percent and 46.7 percent, respectively.

 

The Fund’s exposure to self-storage REITS contributed to relative Fund performance over the fiscal quarter and year. For example, Extra Space Storage Inc . (EXR) (holding weight*: 2.59 percent), the second largest owner and operator of self-storage properties in the U.S., contributed to relative Fund performance by falling just 5.6 percent over the fiscal quarter and 7.3 percent over the full fiscal year. The Sub-Adviser believes that this position proved more resilient than many of its peer’s due to strong management and a diverse portfolio of properties, allowing the company’s returns to not be meaningfully impacted by volatility in any single market. Additionally, EXR released encouraging second quarter earnings that revealed that revenue growth and funds from operation surpassed estimates. Another position from the self-storage REIT sector that contributed to Fund performance was Life Storage, Inc. (LSI) (holding weight*: 4.03 percent), a REIT that engages in the acquiring and managing of self-storage facilities. LSI fell 14.5 percent over the fiscal year and 11.2 percent over the most recent fiscal quarter as the company announced an increase to the quarterly dividend as a result of strong operating results and financial position.

 

Sub-Adviser Outlook

 

The Sub-Adviser believes that real estate performs better over time when it is more difficult to supply, the demand is less cyclical, and tenants are reluctant to leave. Therefore, the Fund generally has higher weightings in real estate sectors that share these four characteristics: oligopoly or duopoly sector structure; high barriers to entry for new owners/developers; high barriers to exit for tenants; and secular demand drivers underlying the user side of the business. The Sub-Adviser is confident that it will continue to find combinations of these four characteristics (or some subset), which creates a competitive landscape where tenants have fewer options to move or play one building owner against another. The Sub-Adviser believes that over the long-term, the properties with these characteristics can command higher occupancy rates and better rents.

 

*Holdings percentage(s) of total investments, cash and unsettled trades excluding collateral for securities loaned, as of 10/31/2022.

 

 

 

Growth of $100,000 Investment

 

(LINE GRAPH)

 

Total Returns (a) as of October 31, 2022

 

    Annualized Annualized
  One Year Five Years Ten Years
Class N (37.75)% 0.42% 4.58%
Class A with load of 5.75% (41.45)% (1.00)% 3.71%
Class A without load (37.87)% 0.17% 4.33%
Class C (38.38)% (0.59)% 3.54%
Dow Jones U.S. Real Estate Total Return Index (20.96)% 4.28% 6.78%
Morningstar Real Estate Category (20.97)% 3.60% 6.05%

 

(a)Total Returns are calculated based on traded NAVs.

 

The Dow Jones U.S. Real Estate Total Return Index is designed to track the performance of real estate investment trusts (REITs) and other companies that invest directly or indirectly in real estate through development, management, or ownership, including property agencies. Investors cannot invest directly in an index or benchmark.

 

The Morningstar Real Estate Category is generally representative of mutual funds that primarily invest in REITs of various types. REITs are companies that develop and manage real estate properties.

 

 

As disclosed in the Trust’s latest registration statement, the Fund’s total annual operating expenses, including the cost of underlying funds, are 1.37% for Class N, 2.37% for Class C and 1.62% for Class A. Class A shares are subject to a sales load of 5.75% and a deferred sales charge of up to 0.75% The performance data quoted here represents past performance, which is not indicative of future results. Current performance may be lower or higher than the performance data quoted. The investment return and NAV will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Total returns are calculated assuming reinvestment of all dividends and capital gains distributions, if any. The returns do not reflect the deductions of taxes a shareholder would pay on the redemption of Fund shares or Fund distributions. For performance information current to the most recent month-end, please call 1-800-442-4358 or visit our website www.dunham.com

125

 

DUNHAM REAL ESTATE STOCK FUND
SCHEDULE OF INVESTMENTS
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 99.7%     
     ASSET MANAGEMENT - 0.6%     
 173,971   FTAI Infrastructure, LLC(a),(b)  $478,420 
           
     DATA CENTER REIT - 7.2%     
 18,378   Digital Realty Trust, Inc.(b)   1,842,395 
 6,533   Equinix, Inc.   3,700,553 
         5,542,948 
     HEALTH CARE REIT - 1.0%     
 31,966   Healthpeak Properties, Inc.   758,553 
           
     INDUSTRIAL REIT - 17.1%     
 10,807   Innovative Industrial Properties, Inc.   1,168,237 
 45,912   Prologis, Inc.   5,084,754 
 94,578   Rexford Industrial Realty, Inc.   5,228,271 
 27,115   Terreno Realty Corporation(b)   1,549,351 
         13,030,613 
     INFRASTRUCTURE REIT - 12.4%     
 15,334   American Tower Corporation   3,177,051 
 33,357   Crown Castle, Inc.   4,445,154 
 6,727   SBA Communications Corp., A   1,815,617 
         9,437,822 
     INTERNET MEDIA & SERVICES - 2.2%     
 15,443   Airbnb, Inc., CLASS A(a)   1,651,011 
           
     LEISURE FACILITIES & SERVICES - 10.0%     
 71,923   Caesars Entertainment, Inc.(a)   3,145,194 
 2,177,155   Drive Shack, Inc.(a),(b)   1,380,969 
 88,260   MGM Resorts International(b)   3,139,408 
         7,665,571 
     OFFICE REIT - 6.5%     
 34,414   Alexandria Real Estate Equities, Inc.   5,000,354 
           
     REAL ESTATE OWNERS & DEVELOPERS - 2.4%     
 709,394   WeWork, Inc.(a),(b)   1,823,142 
           

See accompanying notes which are an integral part of these financial statements.

126

 

DUNHAM REAL ESTATE STOCK FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     COMMON STOCKS — 99.7% (Continued)     
     RESIDENTIAL REIT - 18.9%     
 90,533   American Homes 4 Rent, Class A(b)  $2,891,624 
 8,524   AvalonBay Communities, Inc.   1,492,723 
 6,723   Camden Property Trust   776,843 
 18,425   Equity LifeStyle Properties, Inc.(b)   1,178,463 
 111,584   Invitation Homes, Inc.(b)   3,536,097 
 5,583   Mid-America Apartment Communities, Inc.(b)   879,043 
 21,617   Sun Communities, Inc.(b)   2,915,052 
 18,516   UDR, Inc.   736,196 
         14,406,041 
     SELF-STORAGE REIT - 10.3%     
 11,149   Extra Space Storage, Inc.(b)   1,978,279 
 27,861   Life Storage, Inc.   3,081,705 
 65,525   National Storage Affiliates Trust(b)   2,795,297 
         7,855,281 
     SPECIALTY FINANCE - 4.0%     
 173,971   Fortress Transportation and Infrastructure Investors, LLC   3,023,616 
           
     SPECIALTY REITS - 2.2%     
 111,441   NewLake Capital Partners, Inc.   1,671,615 
           
     TELECOMMUNICATIONS - 4.9%     
 205,706   Chindata Group Holdings Ltd. - ADR(a),(b)   1,092,299 
 199,531   DigitalBridge Group, Inc.   2,553,997 
 17,576   GDS Holdings Ltd. - ADR(a),(b)   151,681 
         3,797,977 
           
     TOTAL COMMON STOCKS (Cost $85,911,125)   76,142,964 
           

See accompanying notes which are an integral part of these financial statements.

127

 

DUNHAM REAL ESTATE STOCK FUND
SCHEDULE OF INVESTMENTS (Continued)
October 31, 2022

 

Shares      Fair Value 
     SHORT-TERM INVESTMENTS — 33.3%     
     MONEY MARKET FUND – 0.4%     
 343,281   Fidelity Government Portfolio Institutional Class I, 2.86%(c)  $343,281 
           
     COLLATERAL FOR SECURITIES LOANED - 32.9%     
 25,124,488   Mount Vernon Liquid Assets Portfolio, LLC, 3.24% (c),(d)   25,124,488 
     TOTAL SHORT-TERM INVESTMENTS (Cost $25,467,769)   25,467,769 
           
     TOTAL INVESTMENTS – 133.0% (Cost $111,378,894)  $101,610,733 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (33.0)%   (25,204,063)
     NET ASSETS - 100.0%  $76,406,670 

 

ADR - American Depositary Receipt
   
LLC - Limited Liability Company
   
LTD - Limited Company
   
REIT - Real Estate Investment Trust
   
(a) Non-income producing security.
   
(b) All or a portion of these securities are on loan. Total loaned securities had a value of $23,881,602 at October 31, 2022.
   
(c) Rate disclosed is the seven day effective yield as of October 31, 2022.
   
(d) The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

Portfolio Composition * - (Unaudited)
Real Estate   58.7%  Communications   5.4%
Collateral for Securities Loaned   24.7%  Financials   3.4%
Consumer Discretionary   7.5%  Short-Term Investment   0.3%
        Total   100.0%
              

*    Based on total value of investments as of October 31, 2022. Does not include derivative holdings.

 

Percentage may differ from Schedule of Investments which are based on Fund net assets.

 

See accompanying notes which are an integral part of these financial statements.

128

 

STATEMENTS OF ASSETS AND LIABILITIES
October 31, 2022

 

   Dunham           Dunham           Dunham 
   Corporate /   Dunham   Dunham   International   Dunham   Dunham   Focused 
   Government   Floating Rate   High-Yield   Opportunity   Large Cap   Small Cap   Large Cap 
   Bond Fund   Bond Fund   Bond Fund   Bond Fund   Value Fund   Value Fund   Growth Fund 
Assets:                                   
Investments in securities, at cost  $70,266,892   $194,195,043   $121,823,749   $45,907,299   $155,567,745   $87,711,280   $174,959,734 
Investments in securities, at value  $59,287,428   $181,237,572   $109,616,038   $34,302,906   $191,816,137   $91,876,889   $216,041,171 
Foreign currency, at value (cost $0, $0, $0, $730,021, $0, $0 and $0 respectively)   —    —    —    728,184    —    —    — 
Deposits with brokers (a)   —    —    —    428,020    —    —    — 
Unrealized appreciation on forward foreign currency exchange contracts   —    —    —    97,690    —    —    — 
Unrealized appreciation on futures   —    —    —    199,631    —    —    — 
Receivable for securities sold   530,985    5,649,290    125,238    135,355    —    —    — 
Interest and dividends receivable   460,215    1,478,064    1,526,647    663,137    214,993    35,801    65,907 
Receivable for Fund shares sold   369    1,148    660    287    2,257    785    8,980 
Prepaid expenses and other assets   24,336    35,332    24,731    32,792    28,696    96,120    37,720 
Total Assets   60,303,333    188,401,406    111,293,314    36,588,002    192,062,083    92,009,595    216,153,778 
                                    
Liabilities:                                   
Payable for securities purchased   374,381    5,177,998    323,322    167,482    —    —    — 
Payable for Fund shares redeemed   554,694    825,790    110,575    34,285    8,707    5,467    60,351 
Payable to broker   —    —    —    200,000    —    —    — 
Distributions payable   861    6,941    3,993    328    —    —    — 
Payable upon return of securities loaned (Market value of securities on loan $1,687,743, $2,798,661, $12,732,323, $931,610, $22,996,699, $20,643,100, and $39,116,778 respectively)   1,727,778    2,857,500    12,986,938    954,050    23,687,837    21,269,346    40,261,170 
Unrealized depreciation on forward foreign currency exchange contracts   —    —    —    49,396    —    —    — 
Unrealized depreciation on futures   —    —    —    256,927    —    —    — 
Payable to adviser   24,921    109,896    48,671    18,134    88,981    38,381    90,349 
Payable to sub-adviser   19,037    119,957    22,241    2,131    28,785    50,443    24,754 
Payable for distribution fees   7,437    13,733    21,748    1,393    19,069    8,380    42,859 
Payable for administration fees   23,019    21,000    17,106    17,549    10,497    6,937    11,157 
Payable for fund accounting fees   1,484    4,437    2,285    1,244    3,607    1,816    4,134 
Payable for transfer agent fees   4,245    7,598    5,873    4,411    7,522    4,710    7,538 
Payable for custody fees   5,359    30,500    1,403    9,502    1,914    1,015    1,396 
Payable for third party administrative servicing fees   1,146    2,867    1,828    943    3,895    1,863    5,619 
Accrued expenses and other liabilities   21,353    24,936    23,462    20,135    23,367    21,255    25,565 
Total Liabilities   2,765,715    9,203,153    13,569,445    1,737,910    23,884,181    21,409,613    40,534,892 
                                    
Net Assets  $57,537,618   $179,198,253   $97,723,869   $34,850,092   $168,177,902   $70,599,982   $175,618,886 
                                    
Net Assets:                                   
Paid in capital  $71,195,502   $209,748,781   $118,129,453   $50,986,594   $129,339,119   $62,789,994   $141,173,703 
Accumulated earnings (loss)   (13,657,884)   (30,550,528)   (20,405,584)   (16,136,502)   38,838,783    7,809,988    34,445,183 
Net Assets  $57,537,618   $179,198,253   $97,723,869   $34,850,092   $168,177,902   $70,599,982   $175,618,886 
                                    
Net Asset Value Per Share                                   
Class N Shares:                                   
Net Assets  $48,744,047   $152,133,600   $81,243,368   $29,209,370   $141,435,902   $59,955,169   $143,425,181 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   4,057,827    18,027,667    10,154,363    4,195,250    8,369,218    3,899,496    5,837,026 
Net asset value, offering and redemption price per share  $12.01   $8.44   $8.00   $6.96   $16.90   $15.38   $24.57 
                                    
Class A Shares:                                   
Net Assets  $6,375,752   $20,569,224   $12,650,269   $4,786,504   $22,783,547   $8,331,234   $24,711,169 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   531,415    2,440,477    1,563,094    694,596    1,358,037    552,931    1,039,408 
Net asset value and redemption price per share *  $12.00   $8.43   $8.09   $6.89   $16.78   $15.07   $23.77 
Front-end sales charge factor   0.9550    0.9550    0.9550    0.9550    0.9425    0.9425    0.9425 
Offering price per share (Net asset value per share / front-end sales charge factor)  $12.57   $8.83   $8.47   $7.21   $17.80   $15.99   $25.22 
                                    
Class C Shares:                                   
Net Assets  $2,417,819   $6,495,429   $3,830,232   $854,218   $3,958,453   $2,313,579   $7,482,536 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   203,072    770,095    481,397    127,479    251,422    183,547    347,087 
Net asset value, offering and redemption price per share  $11.91   $8.43   $7.96   $6.70   $15.74   $12.60   $21.56 

 

 
*For certain purchases of $1 million or more, a 0.75% contingent deferred sales charge may apply to redemptions made within eighteen months of purchase.

 

(a)See Section 2.k. in the notes for the breakout by counterparty.

 

See accompanying notes which are an integral part to these financial statements.

129

 

STATEMENTS OF ASSETS AND LIABILITIES (Continued)
October 31, 2022

 

       Dunham               Dunham     
   Dunham   Emerging   Dunham   Dunham   Dunham   Monthly   Dunham 
   Small Cap   Markets   International   Dynamic Macro   Long/Short   Distribution   Real Estate 
   Growth Fund   Stock Fund   Stock Fund   Fund   Credit Fund   Fund   Stock Fund 
Assets:                                   
Investments in securities, at cost  $90,396,006   $125,221,708   $158,531,517   $25,339,281   $250,969,774   $233,879,426   $111,378,894 
Investments in securities, at value  $92,800,011   $107,380,128   $141,066,648   $26,886,875   $238,943,543   $225,993,726   $101,610,733 
Cash   —    —    —    —    1,280,000    —    — 
Foreign currency, at value (cost $0, $55,943, $28,219, $831, $28,828, $44,359 and $0 respectively)   —    53,759    27,806    688    25,032    41,172    — 
Deposits with brokers (a)   —    —    —    53,857    —    61,614,978    — 
Unrealized appreciation on futures   —    —    —    109,689    3,782,253    —    — 
Unrealized appreciation on swap contracts   —    —    —    —    31,716    —    — 
Premiums paid on swap contracts   —    —    —    —    819,478    —    — 
Unrealized appreciation on forward foreign currency exchange contracts   —    —    —    —    —    883,883    — 
Receivable for securities sold   1,324,663    1,679,780    1,157,988    546,960    2,428,025    1,229,905    641,440 
Interest and dividends receivable   12,152    77,882    900,309    10,219    1,750,234    145,993    9,154 
Receivable for Fund shares sold   11,450    8,853    2,141    1,071    157,540    2,133    2,315 
Due from sub-adviser   3,522    —    —    —    —    —    — 
Prepaid expenses and other assets   43,196    25,287    25,667    30,607    31,341    49,537    24,186 
Total Assets   94,194,994    109,225,689    143,180,559    27,639,966    249,249,162    289,961,327    102,287,828 
                                    
Liabilities:                                   
Option contracts written (premiums received $0, $0, $0, $0, $0, $262,766, $0)   —    —    —    —    —    277,200    — 
Securities sold short (proceeds $0, $0, $0, $0, $0, $45,424,273, $0)   —    —    —    —    —    43,174,936    — 
Cash overdraft for broker   —    —    —    —    1,860,727    —    — 
Payable upon return of securities loaned (Market value of securities on loan $13,791,494, $3,982,690, $8,089,227, $0, $1,822,771, $20,452,521, and $23,881,602 respectively)   14,217,406    4,064,003    8,359,136    —    1,859,875    21,014,292    25,124,488 
Unrealized depreciation on forward foreign currency exchange contracts   —    —    —    —    —    286,787    — 
Accrued foreign capital gains tax on appreciated securities   —    517,603    —    —    —    —    — 
Payable for securities purchased   802,831    1,309,347    379,915    —    4,209,375    3,035,911    646,432 
Payable for Fund shares redeemed   2,801    3,676    20,790    2,511    1,267,602    808,846    20,128 
Distributions payable   —    —    —    —    24,592    41,368    — 
Premiums received on swap contracts   —    —    —    —    140,539    —    — 
Unrealized depreciation on swap contracts   —    —    —    —    999,555    —    — 
Unrealized depreciation on futures   —    —    —    167,766    —    —    — 
Payable to adviser   42,199    58,309    73,666    15,130    132,866    122,799    39,912 
Payable to sub-adviser   —    432    107,271    11,644    6,908    198,010    2,742 
Payable for distribution fees   19,681    12,242    19,045    4,492    23,196    54,941    6,731 
Payable for administration fees   6,548    10,934    18,190    3,947    17,002    17,976    7,037 
Payable for fund accounting fees   1,884    2,787    4,265    714    3,538    3,493    1,978 
Payable for transfer agent fees   5,533    5,598    7,022    3,031    9,532    8,970    4,853 
Payable for custody fees   2,687    25,653    21,588    1,343    2,407    7,505    738 
Payable for third party administrative servicing fees   3,761    1,561    2,903    1,225    15,323    6,198    4,593 
Accrued expenses and other liabilities   21,060    22,435    22,871    20,265    37,860    25,234    21,526 
Total Liabilities   15,126,391    6,034,580    9,036,662    232,068    10,610,897    69,084,466    25,881,158 
                                    
Net Assets  $79,068,603   $103,191,109   $134,143,897   $27,407,898   $238,638,265   $220,876,861   $76,406,670 
                                    
Net Assets:                                   
Paid in capital  $93,033,600   $137,542,870   $149,904,309   $27,528,942   $248,611,695   $230,566,161   $96,103,526 
Accumulated loss   (13,964,997)   (34,351,761)   (15,760,412)   (121,044)   (9,973,430)   (9,689,300)   (19,696,856)
Net Assets  $79,068,603   $103,191,109   $134,143,897   $27,407,898   $238,638,265   $220,876,861   $76,406,670 
                                    
Net Asset Value Per Share                                   
Class N Shares:                                   
Net Assets  $65,063,663   $85,825,199   $111,569,624   $22,330,431   $206,875,191   $175,702,795   $64,414,397 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   4,415,600    7,854,905    7,927,761    2,296,143    22,780,545    5,640,895    5,164,846 
Net asset value, offering and redemption price per share  $14.73   $10.93   $14.07   $9.73   $9.08   $31.15   $12.47 
                                    
Class A Shares:                                   
Net Assets  $11,794,895   $15,366,536   $18,637,827   $4,165,743   $27,905,521   $28,997,491   $9,448,657 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   870,288    1,445,902    1,337,691    433,347    3,080,353    976,202    754,787 
Net asset value, and redemption price per share *  $13.55   $10.63   $13.93   $9.61   $9.06   $29.70   $12.52 
Front-end sales charge factor   0.9425    0.9425    0.9425    0.9425    0.9425    0.9425    0.9425 
Offering price per share (Net asset value per share / front-end sales charge factor)  $14.38   $11.28   $14.78   $10.20   $9.61   $31.51   $13.28 
                                    
Class C Shares:                                   
Net Assets  $2,210,045   $1,999,374   $3,936,446   $911,724   $3,857,553   $16,176,575   $2,543,616 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   247,584    202,654    303,156    101,289    442,563    738,868    223,653 
Net asset value, offering and redemption price per share  $8.93   $9.87   $12.98   $9.00   $8.72   $21.89   $11.37 

 

 
*For certain purchases of $1 million or more, a 0.75% contingent deferred sales charge may apply to redemptions made within eighteen months of purchase.

 

(a)See Section 2.k. in the notes for the breakout by counterparty.

 

See accompanying notes which are an integral part to these financial statements.

130

 

STATEMENTS OF OPERATIONS
For the Year Ended October 31, 2022

 

   Dunham           Dunham           Dunham 
   Corporate /   Dunham   Dunham   International   Dunham   Dunham   Focused 
   Government   Floating Rate   High-Yield   Opportunity   Large Cap   Small Cap   Large Cap 
   Bond Fund   Bond Fund   Bond Fund   Bond Fund   Value Fund   Value Fund   Growth Fund 
Investment Income:                                   
Interest income  $2,251,937   $11,160,632   $6,200,861   $2,983,894   $31,579   $5,238   $49,676 
Dividend income   5,150    41,254    350,034    —    3,178,220    1,606,903    527,257 
Securities lending income - net   5,591    21,816    44,597    10,720    15,341    22,866    23,838 
Less: Foreign withholding taxes   —    —    —    (11,665)   —    —    (6,649)
Total Investment Income   2,262,678    11,223,702    6,595,492    2,982,949    3,225,140    1,635,007    594,122 
                                    
Operating Expenses:                                   
Investment advisory fees   377,001    1,177,547    644,188    347,588    1,026,423    527,520    1,151,023 
Sub-advisory fees   226,200    549,522    343,567    260,691    473,734    365,207    619,782 
Sub-advisory performance fees   76,815    (105,624)   9,533    (141,414)   211,757    263,527    (284,405)
Fund accounting fees   10,046    25,390    14,297    7,889    22,522    12,648    25,861 
Distribution fees- Class C Shares   20,297    49,048    31,902    8,469    43,301    25,775    98,543 
Distribution fees- Class A Shares   19,694    54,752    31,888    18,541    58,663    26,361    69,178 
Administration fees   142,143    134,683    105,143    107,163    68,292    40,466    74,152 
Registration fees   49,697    46,834    51,406    42,601    51,937    50,033    49,001 
Transfer agent fees   25,727    43,513    32,197    25,165    40,418    28,782    42,112 
Custodian fees   37,119    60,822    8,274    55,568    13,269    7,467    9,562 
Professional fees   18,497    22,880    19,399    17,181    22,307    17,966    23,586 
Chief Compliance Officer fees   3,563    10,327    5,443    2,955    8,249    4,283    9,110 
Printing and postage expense   17,899    31,179    17,633    19,073    16,891    13,611    19,880 
Trustees’ fees   3,590    9,160    4,806    2,810    7,261    4,249    7,645 
Insurance expense   1,483    2,373    1,541    1,188    2,496    1,471    3,625 
Interest expense   3,105    5,408    281    3,839    1,488    1,647    433 
Third party administrative servicing fees   3,284    10,943    6,008    2,218    12,796    7,392    23,318 
Miscellaneous expenses   8,737    22,107    9,998    9,134    11,190    7,071    14,332 
Total Operating Expenses   1,044,897    2,150,864    1,337,504    790,659    2,092,994    1,405,476    1,956,738 
Less: Commission Recapture   —    —    —    —    (3,545)   (51,398)   (6,840)
Net Operating Expenses   1,044,897    2,150,864    1,337,504    790,659    2,089,449    1,354,078    1,949,898 
                                    
Net Investment Income (Loss)   1,217,781    9,072,838    5,257,988    2,192,290    1,135,691    280,929    (1,355,776)
                                    
Realized and Unrealized Gain (Loss) on Investments, Futures and Forward Foreign Currency Exchange Contracts:                                   
Net realized gain (loss) from:                                   
Investments   (1,660,818)   (4,559,655)   (2,996,730)   (7,024,947)   2,566,661    5,333,249    (5,401,687)
Futures   —    —    —    (503,216)   —    —    — 
Forward foreign currency exchange contracts   —    —    —    3,600,349    —    —    — 
Net realized gain (loss)   (1,660,818)   (4,559,655)   (2,996,730)   (3,927,814)   2,566,661    5,333,249    (5,401,687)
Net change in unrealized appreciation (depreciation) on:                                   
Investments   (11,631,856)   (11,957,000)   (13,996,123)   (11,525,244)   (15,094,338)   (12,058,203)   (81,746,994)
Futures   —    —    —    20,887    —    —    — 
Forward foreign currency exchange contracts   —    —    —    (161,548)   —    —    — 
Net change in unrealized depreciation   (11,631,856)   (11,957,000)   (13,996,123)   (11,665,905)   (15,094,338)   (12,058,203)   (81,746,994)
Net Realized and Unrealized Loss   (13,292,674)   (16,516,655)   (16,992,853)   (15,593,719)   (12,527,677)   (6,724,954)   (87,148,681)
                                    
Net Decrease in Net Assets Resulting From Operations  $(12,074,893)  $(7,443,817)  $(11,734,865)  $(13,401,429)  $(11,391,986)  $(6,444,025)  $(88,504,457)

 

See accompanying notes which are an integral part to these financial statements.

131

 

STATEMENTS OF OPERATIONS (Continued)
For the Year Ended October 31, 2022

 

       Dunham               Dunham     
   Dunham   Emerging   Dunham   Dunham   Dunham   Monthly   Dunham 
   Small Cap   Markets   International   Dynamic Macro   Long/Short   Distribution   Real Estate 
   Growth Fund   Stock Fund   Stock Fund   Fund   Credit Fund   Fund   Stock Fund 
Investment Income:                                   
Interest income  $23,708   $23,456   $50,967   $122,785   $6,640,267   $19,636   $4,826 
Dividend income   261,023    3,081,705    9,806,347    411,833    468,662    2,865,053    1,609,193 
Securities lending income - net   62,528    2,489    43,683    7,985    32,997    22,902    119,036 
Less: Foreign withholding taxes   (522)   (350,226)   (915,171)   —    —    (52,230)   (13,638)
Total Investment Income   346,737    2,757,424    8,985,826    542,603    7,141,926    2,855,361    1,719,417 
                                    
Operating Expenses:                                   
Investment advisory fees   503,150    795,165    1,052,785    164,213    1,551,490    1,620,428    600,929 
Sub-advisory fees   387,038    551,208    1,052,785    189,477    1,432,144    1,495,780    416,027 
Sub-advisory performance fees   (189,405)   (497,083)   (95,755)   (13,724)   (1,080,394)   1,810,028    (298,747)
Fund accounting fees   11,172    16,677    22,651    2,525    30,020    28,676    12,478 
Distribution fees- Class C Shares   26,701    27,229    49,135    10,115    42,852    174,644    36,012 
Distribution fees- Class A Shares   33,970    46,132    58,482    9,407    76,704    79,292    29,915 
Administration fees   40,324    69,059    112,363    20,529    103,363    81,279    42,982 
Registration fees   52,294    52,434    53,220    47,650    61,582    58,147    53,753 
Transfer agent fees   30,443    33,313    38,871    19,807    48,316    49,379    29,096 
Custodian fees   18,038    158,816    145,575    7,371    13,837    43,239    4,818 
Professional fees   17,723    29,762    22,182    15,783    25,374    23,467    18,985 
Chief Compliance Officer fees   3,928    6,337    7,743    973    12,565    12,818    4,691 
Printing and postage expense   15,182    15,379    18,893    11,644    34,382    53,893    16,430 
Trustees’ fees   4,010    5,951    6,924    1,567    11,386    7,811    4,215 
Insurance expense   1,445    2,129    2,603    559    2,702    3,093    1,813 
Interest expense   726    1,634    2,190    962    590    1,804    1,987 
Third party administrative servicing fees   16,456    5,058    10,283    2,475    48,096    17,072    16,529 
Dividend expense on short sales   —    —    —    —    —    907,331    — 
Broker Fees   —    —    —    —    —    70,031    — 
Miscellaneous expenses   7,977    15,414    16,507    3,285    23,016    20,440    10,661 
Total Operating Expenses   981,172    1,334,614    2,577,437    494,618    2,438,025    6,558,652    1,002,574 
Less: Fees paid indirectly   (21,105)   —    —    —    —    —    — 
Net Operating Expenses   960,067    1,334,614    2,577,437    494,618    2,438,025    6,558,652    1,002,574 
                                    
Net Investment Income (Loss)   (613,330)   1,422,810    6,408,389    47,985    4,703,901    (3,703,291)   716,843 
                                    
Realized and Unrealized Gain (Loss) on Investments, Futures, Purchased Options, Securities Sold Short, Written Options, Swap Contracts, Foreign Currency Transactions and Forward Foreign Currency Exchange Contracts                                   
Net realized gain (loss) from:                                   
Investments   (14,831,085)   (15,040,779)   (2,235,228)   1,512,016    (8,755,403)   4,417,638    (10,844,324)
Foreign Capital Gain Tax   —    (84,860)   —    —    —    —    — 
Futures   —    —    —    (1,683,825)   7,124,065    —    — 
Purchased options   —    —    —    (1,181,803)   —    7,429    — 
Securities sold short   —    —    —    —    —    (2,221,333)   — 
Written options   —    —    —    239,045    —    568,172    — 
Swap contracts   —    —    —    —    1,913,730    —    — 
Forward Foreign currency exchange contracts   —    (194,395)   (155,060)   3,746    5,384    2,046,876    — 
Net realized gain (loss)   (14,831,085)   (15,320,034)   (2,390,288)   (1,110,821)   287,776    4,818,782    (10,844,324)
Net change in unrealized appreciation (depreciation) on:                                   
Investments   (21,530,117)   (39,302,309)   (46,303,040)   (2,240,755)   (13,857,843)   (23,517,691)   (32,449,422)
Futures   —    —    —    103,429    3,390,033    —    — 
Purchased options   —    —    —    (217,660)   —    (6,356)   — 
Securities sold short   —    —    —    —    —    23,658,543    — 
Written options   —    —    —    (3,520)   —    (14,434)   — 
Swap contracts   —    —    —    —    (991,611)   —    — 
Foreign currency transactions   —    (3,493)   (59,269)   2,041    (3,725)   (2,356)   — 
Forward Foreign currency exchange contracts   —    —    —    —    —    669,501    — 
Net change in foreign capital gains tax on appreciated securities   —    110,593    —    —    —    —    — 
Net change in unrealized depreciation   (21,530,117)   (39,195,209)   (46,362,309)   (2,356,465)   (11,463,146)   787,207    (32,449,422)
Net Realized and Unrealized Loss   (36,361,202)   (54,515,243)   (48,752,597)   (3,467,286)   (11,175,370)   5,605,989    (43,293,746)
                                    
Net Increase/(Decrease) in Net Assets Resulting From Operations  $(36,974,532)  $(53,092,433)  $(42,344,208)  $(3,419,301)  $(6,471,469)  $1,902,698   $(42,576,903)

 

See accompanying notes which are an integral part to these financial statements.

132

 

STATEMENTS OF CHANGES IN NET ASSETS

 

   Dunham   Dunham   Dunham   Dunham   Dunham 
   Corporate/Government   Floating Rate   High-Yield   International Opportunity   Large Cap 
   Bond Fund   Bond Fund   Bond Fund   Bond Fund   Value Fund 
                                         
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   October 31, 2022   October 31, 2021   October 31, 2022   October 31, 2021   October 31, 2022   October 31, 2021   October 31, 2022   October 31, 2021   October 31, 2022   October 31, 2021 
Operations:                                                  
Net investment income  $1,217,781   $1,115,758   $9,072,838   $5,395,499   $5,257,988   $4,590,219   $2,192,290   $1,441,432   $1,135,691   $867,245 
Net realized gain (loss) from investments, futures, and forward foreign currency exchange contracts   (1,660,818)   663,320    (4,559,655)   (704,426)   (2,996,730)   3,485,153    (3,927,814)   911,495    2,566,661    10,381,354 
Net change in unrealized appreciation (depreciation) on investments, futures and forward foreign currency exchange contracts   (11,631,856)   (862,438)   (11,957,000)   6,505,769    (13,996,123)   1,712,224    (11,665,905)   (522,678)   (15,094,338)   34,943,028 
Net Increase (Decrease) in Net Assets Resulting From Operations   (12,074,893)   916,640    (7,443,817)   11,196,842    (11,734,865)   9,787,596    (13,401,429)   1,830,249    (11,391,986)   46,191,627 
                                                   
Distributions to Shareholders From:                                                  
Total Distributions Paid                                                  
Class N   (1,135,544)   (1,111,747)   (8,046,721)   (5,232,288)   (4,285,168)   (3,923,046)   (2,274,698)   (1,404,947)   (8,440,624)   (885,281)
Class A   (118,468)   (113,506)   (1,005,888)   (661,563)   (574,395)   (508,571)   (328,443)   (196,625)   (1,657,189)   (159,962)
Class C   (29,589)   (19,976)   (268,328)   (178,039)   (171,919)   (162,670)   (46,086)   (24,098)   (296,620)   (13,236)
Total Distributions to Shareholders   (1,283,601)   (1,245,229)   (9,320,937)   (6,071,890)   (5,031,482)   (4,594,287)   (2,649,227)   (1,625,670)   (10,394,433)   (1,058,479)
                                                   
Share Transactions of Beneficial Interest:                                                  
Net proceeds from shares sold                                                  
Class N   11,238,241    37,363,091    32,982,082    49,250,845    14,033,946    30,047,934    8,090,496    29,428,075    50,046,025    35,671,210 
Class A   1,470,664    4,362,738    5,686,586    6,045,587    2,942,020    4,608,305    1,423,245    4,565,559    8,410,001    8,236,476 
Class C   873,684    730,362    1,290,413    854,266    351,868    609,761    146,032    395,013    613,073    660,022 
Reinvestment of distributions                                                  
Class N   1,132,986    1,108,792    8,013,242    5,216,097    4,272,521    3,902,928    2,273,622    1,403,554    8,418,440    882,505 
Class A   116,316    110,697    983,618    644,688    549,551    485,370    323,705    193,529    1,510,268    147,796 
Class C   24,043    19,637    255,155    168,317    155,235    147,452    45,503    23,805    295,033    13,125 
Cost of shares redeemed                                                  
Class N   (30,502,217)   (20,862,705)   (47,660,452)   (21,169,647)   (24,862,675)   (19,327,337)   (29,901,796)   (9,894,782)   (29,083,278)   (16,306,551)
Class A   (3,408,740)   (3,338,641)   (6,431,427)   (4,799,310)   (2,487,049)   (4,261,225)   (4,076,825)   (2,353,597)   (10,652,729)   (5,925,541)
Class C   (665,138)   (954,395)   (1,225,094)   (1,307,869)   (754,635)   (915,443)   (344,420)   (292,489)   (938,835)   (1,474,929)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest   (19,720,161)   18,539,576    (6,105,877)   34,902,974    (5,799,218)   15,297,745    (22,020,438)   23,468,667    28,617,998    21,904,113 
                                                   
Total Increase (Decrease) in Net Assets   (33,078,655)   18,210,987    (22,870,631)   40,027,926    (22,565,565)   20,491,054    (38,071,094)   23,673,246    6,831,579    67,037,261 
                                                   
Net Assets:                                                  
Beginning of Year   90,616,273    72,405,286    202,068,884    162,040,958    120,289,434    99,798,380    72,921,186    49,247,940    161,346,323    94,309,062 
End of Year  $57,537,618   $90,616,273   $179,198,253   $202,068,884   $97,723,869   $120,289,434   $34,850,092   $72,921,186   $168,177,902   $161,346,323 

 

See accompanying notes which are an integral part to these financial statements.

133

 

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

   Dunham   Dunham   Dunham   Dunham   Dunham 
   Small Cap   Focused Large Cap   Small Cap   Emerging Markets   International 
   Value Fund   Growth Fund   Growth Fund   Stock Fund   Stock Fund 
                                         
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   October 31, 2022   October 31, 2021   October 31, 2022   October 31, 2021   October 31, 2022   October 31, 2021   October 31, 2022   October 31, 2021   October 31, 2022   October 31, 2021 
Operations:                                                  
Net investment income (loss)  $280,929   $454,624   $(1,355,776)  $(1,930,598)  $(613,330)  $(1,231,538)  $1,422,810   $135,110   $6,408,389   $2,287,121 
Net realized gain (loss) from investments, and forward foreign currency exchange contracts   5,333,249    15,659,426    (5,401,687)   19,114,247    (14,831,085)   18,441,711    (15,320,034)   11,204,195    (2,390,288)   23,917,595 
Net change in unrealized appreciation (depreciation) on investments, foreign currency transactions and capital gains on appreciated securities   (12,058,203)   14,013,471    (81,746,994)   35,550,794    (21,530,117)   10,669,060    (39,195,209)   5,322,207    (46,362,309)   21,600,892 
Net Increase (Decrease) in Net Assets Resulting From Operations   (6,444,025)   30,127,521    (88,504,457)   52,734,443    (36,974,532)   27,879,233    (53,092,433)   16,661,512    (42,344,208)   47,805,608 
                                                   
Distributions to Shareholders From:                                                  
Total Distributions Paid                                                  
Class N   (8,082,160)   (485,740)   (12,138,317)   (2,769,774)   (10,232,676)   (6,664,517)   (9,680,432)   (125,901)   (20,424,436)   (981,773)
Class A   (1,369,856)   (77,307)   (2,937,408)   (811,011)   (3,441,219)   (2,433,036)   (1,850,179)   —    (3,680,446)   (161,146)
Class C   (363,568)   (4,934)   (1,174,480)   (289,087)   (791,503)   (608,456)   (279,057)   —    (794,025)   (3,018)
Total Distributions to Shareholders   (9,815,584)   (567,981)   (16,250,205)   (3,869,872)   (14,465,398)   (9,706,009)   (11,809,668)   (125,901)   (24,898,907)   (1,145,937)
                                                   
Share Transactions of Beneficial Interest:                                                  
Net proceeds from shares sold                                                  
Class N   22,822,893    20,986,577    79,275,818    43,139,698    43,544,756    20,800,330    37,156,820    40,234,684    33,424,663    45,256,461 
Class A   1,827,469    3,566,512    11,424,283    9,273,680    6,245,266    10,277,892    5,529,970    7,142,063    4,607,895    5,877,586 
Class C   523,011    536,803    1,366,792    2,176,190    443,328    709,162    373,439    614,699    458,875    664,270 
Reinvestment of distributions                                                  
Class N   8,067,916    483,618    11,836,217    2,685,861    10,127,549    6,476,423    9,673,626    125,588    20,345,234    977,525 
Class A   1,353,929    76,511    2,791,471    774,617    3,122,559    2,209,269    1,837,164    —    3,636,079    158,869 
Class C   361,649    4,890    1,057,574    260,537    785,687    602,421    272,597    —    781,476    2,970 
Redemption fee proceeds                                                  
Class A   —    —    —    (36)   —    —    —    —    —    — 
Cost of shares redeemed                                                  
Class N   (30,122,239)   (15,001,394)   (23,825,971)   (34,080,183)   (13,353,325)   (20,755,973)   (19,820,390)   (12,057,092)   (37,984,597)   (28,595,820)
Class A   (5,447,387)   (4,523,056)   (9,366,435)   (13,354,769)   (7,277,905)   (8,444,911)   (3,239,190)   (3,677,490)   (6,319,472)   (8,121,107)
Class C   (768,124)   (912,325)   (2,305,026)   (2,056,571)   (503,571)   (834,899)   (504,079)   (841,166)   (986,369)   (1,387,921)
Net Increase/(Decrease) in Net Assets From Share Transactions of Beneficial Interest   (1,380,883)   5,218,136    72,254,723    8,819,024    43,134,344    11,039,714    31,279,957    31,541,286    17,963,784    14,832,833 
                                                   
Total Increase (Decrease) in Net Assets   (17,640,492)   34,777,676    (32,499,939)   57,683,595    (8,305,586)   29,212,938    (33,622,144)   48,076,897    (49,279,331)   61,492,504 
                                                   
Net Assets:                                                  
Beginning of Year   88,240,474    53,462,798    208,118,825    150,435,230    87,374,189    58,161,251    136,813,253    88,736,356    183,423,228    121,930,724 
End of Year  $70,599,982   $88,240,474   $175,618,886   $208,118,825   $79,068,603   $87,374,189   $103,191,109   $136,813,253   $134,143,897   $183,423,228 

 

See accompanying notes which are an integral part to these financial statements.

134

 

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

   Dunham   Dunham   Dunham   Dunham 
   Dynamic Macro   Long/Short   Monthly Distribution   Real Estate 
   Fund   Credit Fund   Fund   Stock Fund 
                                 
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   October 31, 2022   October 31, 2021   October 31, 2022   October 31, 2021   October 31, 2022   October 31, 2021   October 31, 2022   October 31, 2021 
Operations:                                        
Net investment income (loss)  $47,985   $(341,257)  $4,703,901   $1,139,166   $(3,703,291)  $(2,474,048)  $716,843   $(149,488)
Net realized gain (loss) from investments, futures, purchased options, securities sold short, written options, swap contracts and forward foreign currency exchange contracts   (1,110,821)   1,703,292    287,776    4,617,731    4,818,782    10,690,910    (10,844,324)   7,630,466 
Net change in unrealized appreciation (depreciation) on investments, futures, purchased options, securities sold short, written options, swap contracts, and foreign currency translations and forward foreign currency exchange contracts   (2,356,465)   1,907,511    (11,463,146)   576,984    787,207    (5,547,460)   (32,449,422)   16,332,614 
                                         
Net Increase (Decrease) in Net Assets Resulting From Operations   (3,419,301)   3,269,546    (6,471,469)   6,333,881    1,902,698    2,669,402    (42,576,903)   23,813,592 
                                         
Distributions to Shareholders From:                                        
Distributions From Paid In Capital:                                        
Class N   —    —    —    —    (6,847,683)   (2,379,879)   —    — 
Class A   —    —    —    —    (1,166,961)   (387,771)   —    — 
Class C   —    —    —    —    (849,813)   (312,062)   —    — 
Total Distributions Paid                                        
Class N   —    (135,675)   (8,052,024)   (3,356,255)   (1,638,444)   (3,665,355)   (5,499,204)   (4,866,699)
Class A   —    (12,837)   (1,100,569)   (447,166)   (257,202)   (707,769)   (850,102)   (967,474)
Class C   —    —    (147,146)   (72,450)   (196,098)   (631,174)   (307,750)   (282,450)
Total Distributions to Shareholders   —    (148,512)   (9,299,739)   (3,875,871)   (10,956,201)   (8,084,010)   (6,657,056)   (6,116,623)
                                         
Share Transactions of Beneficial Interest:                                        
Net proceeds from shares sold                                        
Class N   9,503,028    4,773,495    87,383,682    105,287,518    38,741,266    86,626,522    26,981,312    29,537,589 
Class A   1,422,232    1,027,623    15,236,101    15,532,775    4,501,409    8,503,404    3,069,951    4,330,490 
Class C   118,628    122,726    708,042    1,750,991    1,321,111    1,900,124    374,346    1,508,116 
Reinvestment of distributions                                        
Class N   —    134,970    7,724,291    3,229,140    8,373,239    5,924,043    5,403,784    4,827,354 
Class A   —    12,761    1,051,996    419,491    1,302,583    980,344    842,420    957,510 
Class C   —    —    128,693    67,601    882,463    784,135    306,360    280,569 
Cost of shares redeemed                                        
Class N   (5,459,115)   (10,012,675)   (70,667,342)   (24,965,410)   (84,307,867)   (29,160,238)   (18,789,259)   (10,723,310)
Class A   (777,634)   (2,602,857)   (15,392,435)   (4,343,613)   (8,760,862)   (8,774,650)   (3,107,857)   (4,086,037)
Class C   (199,197)   (400,312)   (1,195,736)   (1,194,718)   (4,292,575)   (5,777,804)   (841,246)   (769,703)
Net Increase (Decrease) in Net Assets From Share Transactions of Beneficial Interest   4,607,942    (6,944,269)   24,977,292    95,783,775    (42,239,233)   61,005,880    14,239,811    25,862,578 
                                         
Total Increase (Decrease) in Net Assets   1,188,641    (3,823,235)   9,206,084    98,241,785    (51,292,736)   55,591,272    (34,994,148)   43,559,547 
                                         
Net Assets:                                        
Beginning of Year   26,219,257    30,042,492    229,432,181    131,190,396    272,169,597    216,578,325    111,400,818    67,841,271 
End of Year  $27,407,898   $26,219,257   $238,638,265   $229,432,181   $220,876,861   $272,169,597   $76,406,670   $111,400,818 

 

See accompanying notes which are an integral part to these financial statements.

135

 

FINANCIAL HIGHLIGHTS
Dunham Corporate/Government Bond Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2022   2021   2020   2019   2018                                         
Net asset value, beginning of year  $14.41   $14.44   $14.02   $13.06   $13.82                                         
Income (loss) from investment operations:                                                                 
Net investment income*   0.22    0.19    0.28    0.36    0.34                                         
Net realized and unrealized gain (loss)   (2.38)   (0.01)   0.44    0.96    (0.74)                                        
Total income (loss) from investment operations   (2.16)   0.18    0.72    1.32    (0.40)                                        
Less distributions:                                                                 
Distributions from net investment income   (0.24)   (0.21)   (0.30)   (0.36)   (0.36)                                        
Total distributions   (0.24)   (0.21)   (0.30)   (0.36)   (0.36)                                        
Net asset value, end of year  $12.01   $14.41   $14.44   $14.02   $13.06                                         
                                                                  
Total return + #   (15.12)%   1.23%   5.17%   10.27%   (2.93)%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $48,744   $78,345   $61,209   $42,730   $41,151                                         
Ratios of expenses to average net assets:   1.34%   1.25%   1.24%   1.20%   1.20%                                        
Ratios of net investment income to average net assets:   1.67%   1.30%   1.99%   2.68%   2.53%                                        
Portfolio turnover rate   35%   59%   75%   76%   92%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2022   2021   2020   2019   2018   2022   2021   2020   2019   2018 
Net asset value, beginning of year  $14.39   $14.42   $14.01   $13.04   $13.80   $14.28   $14.31   $13.91   $12.95   $13.71 
Income (loss) from investment operations:                                                  
Net investment income*   0.19    0.15    0.25    0.33    0.31    0.13    0.08    0.18    0.26    0.24 
Net realized and unrealized gain (loss)   (2.37)   (0.01)   0.42    0.97    (0.74)   (2.36)   (0.01)   0.41    0.96    (0.74)
Total income (loss) from investment operations   (2.18)   0.14    0.67    1.30    (0.43)   (2.23)   0.07    0.59    1.22    (0.50)
Less distributions:                                                  
Distributions from net investment income   (0.21)   (0.17)   (0.26)   (0.33)   (0.33)   (0.14)   (0.10)   (0.19)   (0.26)   (0.26)
Total distributions   (0.21)   (0.17)   (0.26)   (0.33)   (0.33)   (0.14)   (0.10)   (0.19)   (0.26)   (0.26)
Net asset value, end of year  $12.00   $14.39   $14.42   $14.01   $13.04   $11.91   $14.28   $14.31   $13.91   $12.95 
                                                   
Total return + #   (15.29)%   0.98%   4.84%   10.09%   (3.17)%   (15.68)%   0.49%   4.29%   9.53%   (3.67)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $6,376   $9,593   $8,490   $7,510   $5,311   $2,418   $2,418   $2,886   $2,672   $2,760 
Ratios of expenses to average net assets:   1.59%   1.50%   1.49%   1.45%   1.45%   2.09%   2.00%   1.99%   1.95%   1.95%
Ratios of net investment income to average net assets:   1.42%   1.05%   1.75%   2.41%   2.31%   0.96%   0.56%   1.31%   1.92%   1.81%
Portfolio turnover rate   35%   59%   75%   76%   92%   35%   59%   75%   76%   92%

 

 
*The net investment income per share data was determined using the average shares outstanding throughout each year.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

See accompanying notes which are an integral part to these financial statements.

136

 

FINANCIAL HIGHLIGHTS
Dunham Floating Rate Bond Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2022   2021   2020   2019   2018                                         
Net asset value, beginning of year  $9.18   $8.90   $9.36   $9.62   $9.73                                         
Income (loss) from investment operations:                                                                 
Net investment income*   0.41    0.27    0.34    0.44    0.40                                         
Net realized and unrealized gain (loss)   (0.72)   0.32    (0.47)   (0.26)   (0.11)                                        
Total income (loss) from investment operations   (0.31)   0.59    (0.13)   0.18    0.29                                         
Less distributions:                                                                 
Distributions from net investment income   (0.43)   (0.31)   (0.33)   (0.44)   (0.40)                                        
Total distributions   (0.43)   (0.31)   (0.33)   (0.44)   (0.40)                                        
Net asset value, end of year  $8.44   $9.18   $8.90   $9.36   $9.62                                         
                                                                  
Total return + #   (3.46)%   6.63%   (1.30)%   1.99%   3.02%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $152,134   $173,112   $135,536   $157,757   $164,936                                         
Ratios of expenses to average net assets:   1.04%   0.90%   1.00%   1.01%   0.97%                                        
Ratios of net investment income to average net assets:   4.67%   2.97%   3.81%   4.60%   4.08%                                        
Portfolio turnover rate   56%   135%   76%   44%   79%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2022   2021   2020   2019   2018   2022   2021   2020   2019   2018 
Net asset value, beginning of year  $9.17   $8.89   $9.35   $9.61   $9.72   $9.18   $8.89   $9.35   $9.62   $9.73 
Income (loss) from investment operations:                                                  
Net investment income*   0.39    0.25    0.32    0.41    0.37    0.35    0.21    0.27    0.37    0.33 
Net realized and unrealized gain (loss)   (0.72)   0.32    (0.47)   (0.25)   (0.11)   (0.74)   0.32    (0.46)   (0.27)   (0.11)
Total income (loss) from investment operations   (0.33)   0.57    (0.15)   0.16    0.26    (0.39)   0.53    (0.19)   0.10    0.22 
Less distributions:                                                  
Distributions from net investment income   (0.41)   (0.29)   (0.31)   (0.42)   (0.37)   (0.36)   (0.24)   (0.27)   (0.37)   (0.33)
Total distributions   (0.41)   (0.29)   (0.31)   (0.42)   (0.37)   (0.36)   (0.24)   (0.27)   (0.37)   (0.33)
Net asset value, end of year  $8.43   $9.17   $8.89   $9.35   $9.61   $8.43   $9.18   $8.89   $9.35   $9.62 
                                                   
Total return + #   (3.70)%   6.39%   (1.56)%   1.74%   2.77%   (4.30)%   5.98%   (2.06)%   1.13%   2.26%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $20,569   $22,225   $19,705   $21,997   $20,205   $6,495   $6,732   $6,800   $8,654   $7,236 
Ratios of expenses to average net assets:   1.29%   1.15%   1.25%   1.26%   1.22%   1.80%   1.65%   1.75%   1.76%   1.72%
Ratios of net investment income to average net assets:   4.44%   2.73%   3.56%   4.36%   3.84%   3.95%   2.24%   3.07%   3.86%   3.43%
Portfolio turnover rate   56%   135%   76%   44%   79%   56%   135%   76%   44%   79%

 

 
*The net investment income per share data was determined using the average shares outstanding throughout each year.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

See accompanying notes which are an integral part to these financial statements.

137

 

FINANCIAL HIGHLIGHTS
Dunham High-Yield Bond Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2022   2021   2020   2019   2018                                         
Net asset value, beginning of year  $9.34   $8.88   $8.97   $8.72   $9.22                                         
Income (loss) from investment operations:                                                                 
Net investment income*   0.43    0.38    0.41    0.45    0.44                                         
Net realized and unrealized gain (loss)   (1.36)   0.46    (0.09)   0.26    (0.51)                                        
Total income (loss) from investment operations   (0.93)   0.84    0.32    0.71    (0.07)                                        
Less distributions:                                                                 
Distributions from net investment income   (0.41)   (0.38)   (0.41)   (0.46)   (0.43)                                        
Total distributions   (0.41)   (0.38)   (0.41)   (0.46)   (0.43)                                        
Net asset value, end of year  $8.00   $9.34   $8.88   $8.97   $8.72                                         
                                                                  
Total return + #   (10.09)%   9.54%   3.74%   8.42%   (0.80)%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $81,243   $101,951   $83,009   $90,262   $94,596                                         
Ratios of expenses to average net assets:   1.19%   1.17%   1.14%   1.12%   1.12%                                        
Ratios of net investment income to                                                                 
average net assets:   4.96%   4.07%   4.69%   5.12%   4.84%                                        
Portfolio turnover rate   36%   69%   75%   70%   101%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2022   2021   2020   2019   2018   2022   2021   2020   2019   2018 
Net asset value, beginning of year  $9.44   $8.97   $9.06   $8.81   $9.29   $9.29   $8.83   $8.92   $8.68   $9.17 
Income (loss) from investment operations:                                                  
Net investment income*   0.41    0.36    0.39    0.44    0.42    0.36    0.31    0.34    0.39    0.37 
Net realized and unrealized gain (loss)   (1.37)   0.47    (0.09)   0.25    (0.49)   (1.34)   0.46    (0.09)   0.25    (0.50)
Total income (loss) from investment operations   (0.96)   0.83    0.30    0.69    (0.07)   (0.98)   0.77    0.25    0.64    (0.13)
Less distributions:                                                  
Distributions from net investment income   (0.39)   (0.36)   (0.39)   (0.44)   (0.41)   (0.35)   (0.31)   (0.34)   (0.40)   (0.36)
Total distributions   (0.39)   (0.36)   (0.39)   (0.44)   (0.41)   (0.35)   (0.31)   (0.34)   (0.40)   (0.36)
Net asset value, end of year  $8.09   $9.44   $8.97   $9.06   $8.81   $7.96   $9.29   $8.83   $8.92   $8.68 
                                                   
Total return + #   (10.32)%   9.29%   3.44%   8.07%   (0.82)%   (10.71)%   8.79%   2.95%   7.55%   (1.43)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $12,650   $13,592   $12,127   $12,336   $12,393   $3,830   $4,746   $4,663   $7,497   $7,392 
Ratios of expenses to average net assets:   1.44%   1.42%   1.39%   1.37%   1.37%   1.94%   1.92%   1.89%   1.87%   1.87%
Ratios of net investment income to average net assets:   4.72%   3.82%   4.44%   4.87%   4.60%   4.21%   3.32%   3.93%   4.37%   4.09%
Portfolio turnover rate   36%   69%   75%   70%   101%   36%   69%   75%   70%   101%

 

 
*The net investment income per share data was determined using the average shares outstanding throughout each year.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

See accompanying notes which are an integral part to these financial statements.

138

 

FINANCIAL HIGHLIGHTS
Dunham International Opportunity Bond Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2022   2021   2020   2019   2018                                         
Net asset value, beginning of year  $9.18   $9.05   $9.43   $8.93   $9.32                                         
Income (loss) from investment operations:                                                                 
Net investment income (loss)*   0.31    0.21    0.19    (0.03)   (0.03)                                        
Net realized and unrealized gain (loss)   (2.15)   0.15    (0.37)   0.58    (0.35)                                        
Total income (loss) from investment operations   (1.84)   0.36    (0.18)   0.55    (0.38)                                        
Less distributions:                                                                 
Distributions from net investment income   (0.38)   (0.23)   (0.11)   (0.04)   —                                         
Distributions from net realized gains   (0.00)   —    (0.02)   (0.01)   (0.01)                                        
Tax return of capital   —    —    (0.07)   —    —                                         
Total distributions   (0.38)   (0.23)   (0.20)   (0.05)   (0.01)                                        
Net asset value, end of year  $6.96   $9.18   $9.05   $9.43   $8.93                                         
                                                                  
Total return + #   (20.52)%   3.93%   (1.81)%   6.29%   (4.08)%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $29,209   $62,423   $41,346   $32,927   $31,838                                         
Ratios of expenses to average net assets (including interest expense) (1):   1.33%   1.78%   1.36%   1.36%   1.35%                                        
Ratios of net investment income (loss) to average net assets:   3.83%   2.21%   2.08%   (0.30)%   (0.35)%                                        
Portfolio turnover rate   58%   40%   138%   109%   45%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2022   2021   2020   2019   2018   2022   2021   2020   2019   2018 
Net asset value, beginning of year  $9.08   $8.96   $9.34   $8.85   $9.26   $8.84   $8.73   $9.11   $8.66   $9.10 
Income (loss) from investment operations:                                                  
Net investment income (loss)*   0.29    0.18    0.17    (0.05)   (0.06)   0.25    0.13    0.10    (0.09)   (0.10)
Net realized and unrealized gain (loss)   (2.12)   0.14    (0.37)   0.57    (0.34)   (2.07)   0.14    (0.33)   0.55    (0.33)
Total income (loss) from investment operations   (1.83)   0.32    (0.20)   0.52    (0.40)   (1.82)   0.27    (0.23)   0.46    (0.43)
Less distributions:                                                  
Distributions from net investment income   (0.36)   (0.20)   (0.09)   (0.02)   —    (0.32)   (0.16)   (0.06)   —    — 
Distributions from net realized gains   (0.00)   —    (0.02)   (0.01)   (0.01)   (0.00)   —    (0.02)   (0.01)   (0.01)
Tax return of capital   —    —    (0.07)   —    —    —    —    (0.07)   —    — 
Total distributions   (0.36)   (0.20)   (0.18)   (0.03)   (0.01)   (0.32)   (0.16)   (0.15)   (0.01)   (0.01)
Net asset value, end of year  $6.89   $9.08   $8.96   $9.34   $8.85   $6.70   $8.84   $8.73   $9.11   $8.66 
                                                   
Total return + #   (20.62)%   3.60%   (2.03)%   5.98%   (4.32)%   (21.01)%   3.07%   (2.48)%   5.36%   (4.72)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $4,787   $9,179   $6,722   $4,357   $3,802   $854   $1,320   $1,180   $1,442   $1,366 
Ratios of expenses to average net assets (including interest expense) (2):   1.58%   2.03%   1.61%   1.61%   1.60%   2.08%   2.53%   2.11%   2.11%   2.10%
Ratios of net investment income (loss) to average net assets:   3.61%   1.96%   1.91%   (0.55)%   (0.59)%   3.13%   1.44%   1.21%   (1.05)%   (1.10)%
Portfolio turnover rate   58%   40%   138%   109%   45%   58%   40%   138%   109%   45%

 

 
*The net investment income (loss) per share data was determined using the average shares outstanding throughout the year.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

(1) Ratios of expenses to average net assets (excluding interest expense):   1.32%     
             
(2) Ratios of expenses to average net assets (excluding interest expense):   1.57%   2.07%
             

See accompanying notes which are an integral part to these financial statements.

139

 

FINANCIAL HIGHLIGHTS
Dunham Large Cap Value Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2022   2021   2020   2019   2018                                         
Net asset value, beginning of year  $19.59   $13.58   $14.96   $14.18   $14.16                                         
Income (loss) from investment operations:                                                                 
Net investment income *   0.14    0.13    0.17    0.18    0.14                                         
Net realized and unrealized gain (loss)   (1.57)   6.03    (1.03)   1.29    0.15                                         
Total income (loss) from investment operations   (1.43)   6.16    (0.86)   1.47    0.29                                         
Less distributions:                                                                 
Distributions from net investment income   (0.11)   (0.15)   (0.18)   (0.15)   (0.13)                                        
Distributions from net realized gains   (1.15)   —    (0.34)   (0.54)   (0.14)                                        
Total distributions   (1.26)   (0.15)   (0.52)   (0.69)   (0.27)                                        
Net asset value, end of year  $16.90   $19.59   $13.58   $14.96   $14.18                                         
                                                                  
Total return + #   (7.96)%   45.69%   (6.15)%   11.37%   1.98%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $141,436   $129,641   $73,557   $61,791   $55,428                                         
Ratios of expenses to average net assets:                                                                 
Before fees paid indirectly   1.26%   1.10%   1.24%   1.14%   1.30%                                        
After fees paid indirectly   1.26%   1.10%   1.24%   1.14%   1.30%                                        
Ratios of net investment income to average net assets:                                                                 
Before fees paid indirectly   0.79%   0.72%   1.25%   1.30%   0.94%                                        
After fees paid indirectly   0.79%   0.72%   1.25%   1.30%   0.94%                                        
Portfolio turnover rate   23%   33%   43%   44%   45%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2022   2021   2020   2019   2018   2022   2021   2020   2019   2018 
Net asset value, beginning of year  $19.46   $13.50   $14.87   $14.11   $14.10   $18.40   $12.80   $14.17   $13.45   $13.47 
Income (loss) from investment operations:                                                  
Net investment income (loss)*   0.09    0.08    0.14    0.15    0.10    (0.04)   (0.04)   0.03    0.04    (0.01)
Net realized and unrealized gain (loss)   (1.55)   6.00    (1.03)   1.27    0.15    (1.47)   5.69    (0.98)   1.23    0.15 
Total income (loss) from investment operations   (1.46)   6.08    (0.89)   1.42    0.25    (1.51)   5.65    (0.95)   1.27    0.14 
Less distributions:                                                  
Distributions from net investment income   (0.07)   (0.12)   (0.14)   (0.12)   (0.10)   0.00    (0.05)   (0.08)   (0.01)   (0.02)
Distributions from net realized gains   (1.15)   —    (0.34)   (0.54)   (0.14)   (1.15)   —    (0.34)   (0.54)   (0.14)
Total distributions   (1.22)   (0.12)   (0.48)   (0.66)   (0.24)   (1.15)   (0.05)   (0.42)   (0.55)   (0.16)
Net asset value, end of year  $16.78   $19.46   $13.50   $14.87   $14.11   $15.74   $18.40   $12.80   $14.17   $13.45 
                                                   
Total return + #   (8.18)%   45.28%   (6.33)%   11.00%   1.71%   (8.90)%   44.20%   (7.05)%   10.24%   1.00%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $22,784   $27,023   $16,855   $16,363   $12,525   $3,958   $4,683   $3,897   $5,319   $4,167 
Ratios of expenses to average net assets:                                                  
Before fees paid indirectly   1.51%   1.35%   1.49%   1.39%   1.55%   2.26%   2.10%   2.24%   2.14%   2.30%
After fees paid indirectly   1.51%   1.35%   1.49%   1.39%   1.55%   2.26%   2.10%   2.24%   2.14%   2.30%
Ratios of net investment income (loss) to average net assets:                                                  
Before fees paid indirectly   0.52%   0.47%   1.00%   1.05%   0.70%   (0.23)%   (0.27)%   0.23%   0.30%   (0.07)%
After fees paid indirectly   0.52%   0.47%   1.00%   1.05%   0.70%   (0.23)%   (0.27)%   0.23%   0.30%   (0.07)%
Portfolio turnover rate   23%   33%   43%   44%   45%   23%   33%   43%   44%   45%

 

 
*The net investment income (loss) per share data was determined using the average shares outstanding throughout each year.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

See accompanying notes which are an integral part to these financial statements.

140

 

FINANCIAL HIGHLIGHTS
Dunham Small Cap Value Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2022   2021   2020   2019   2018                                         
Net asset value, beginning of year  $18.65   $11.91   $14.67   $15.72   $17.47                                         
Income (loss) from investment operations:                                                                 
Net investment income (loss) *   0.07    0.11    0.10    (0.00) (a)   0.00 (a)                                        
Net realized and unrealized gain (loss)   (1.27)   6.78    (2.86)   0.65    0.10 (b)                                        
Total income (loss) from investment operations   (1.20)   6.89    (2.76)   0.65    0.10                                         
Less distributions:                                                                 
Distributions from net investment income   (0.09)   (0.14)   —    —    (0.04)                                        
Distributions from net realized gains   (1.98)   (0.01)   —    (1.70)   (1.81)                                        
Total distributions   (2.07)   (0.15)   —    (1.70)   (1.85)                                        
Net asset value, end of year  $15.38   $18.65   $11.91   $14.67   $15.72                                         
                                                                  
Total return + #   (7.65)%   58.16%   (18.81)%   6.15%   0.37%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $59,955   $72,651   $42,444   $43,564   $37,248                                         
Ratios of expenses to average net assets:                                                                 
Before fees paid indirectly   1.67%   1.05%   1.26%   1.72%   1.54%                                        
After fees paid indirectly   1.61%   1.05%   1.17%   1.72%   1.54%                                        
Ratios of net investment income (loss) to average net assets: (c) !                                                                 
Before fees paid indirectly   0.34%   0.67%   0.72%   (0.01)%   0.01%                                        
After fees paid indirectly   0.41%   0.67%   0.81%   (0.01)%   0.01%                                        
Portfolio turnover rate   83%   87%   135%   85%   101%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2022   2021   2020   2019   2018   2022   2021   2020   2019   2018 
Net asset value, beginning of year  $18.31   $11.70   $14.45   $15.55   $17.31   $15.70   $10.05   $12.51   $13.81   $15.67 
Income (loss) from investment operations:                                                  
Net investment income (loss) *   0.03    0.08    0.07    (0.04)   (0.04)   (0.08)   (0.04)   (0.02)   (0.12)   (0.15)
Net realized and unrealized gain (loss)   (1.24)   6.65    (2.82)   0.64    0.09 (b)   (1.04)   5.72    (2.44)   0.52    0.10 (b)
Total income (loss) from investment operations   (1.21)   6.73    (2.75)   0.60    0.05    (1.12)   5.68    (2.46)   0.40    (0.05)
Less distributions:                                                  
Distributions from net investment income   (0.05)   (0.11)   —    —    (0.00) (a)   —    (0.02)   —    —    — 
Distributions from net realized gains   (1.98)   (0.01)   —    (1.70)   (1.81)   (1.98)   (0.01)   —    (1.70)   (1.81)
Total distributions   (2.03)   (0.12)   —    (1.70)   (1.81)   (1.98)   (0.03)   —    (1.70)   (1.81)
Net asset value, end of year  $15.07   $18.31   $11.70   $14.45   $15.55   $12.60   $15.70   $10.05   $12.51   $13.81 
                                                   
Total return + #   (7.86)%   57.71%   (19.03)%   5.85%   0.08%   (8.62)%   56.55%   (19.66)%   5.06%   (0.63)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $8,331   $12,795   $8,955   $9,848   $7,869   $2,314   $2,794   $2,064   $2,835   $2,139 
Ratios of expenses to average net assets:                                                  
Before fees paid indirectly   1.92%   1.30%   1.51%   1.97%   1.79%   2.67%   2.05%   2.26%   2.72%   2.54%
After fees paid indirectly   1.86%   1.30%   1.42%   1.97%   1.79%   2.61%   2.05%   2.17%   2.72%   2.54%
Ratios of net investment income (loss) to average net assets: (c) !                                                  
Before fees paid indirectly   0.12%   0.46%   0.46%   (0.26)%   (0.26)%   (0.67)%   (0.31)%   (0.29)%   (1.01)%   (1.04)%
After fees paid indirectly   0.17%   0.46%   0.55%   (0.26)%   (0.26)%   (0.61)%   (0.31)%   (0.20)%   (1.01)%   (1.04)%
Portfolio turnover rate   83%   87%   135%   85%   101%   83%   87%   135%   85%   101%

 

 
*The net investment income (loss) per share data was determined using the average shares outstanding throughout each year.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net assets may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

!Recognition of net investment income (loss) is affected by the timing and declaration of dividends by underlying funds in which the Fund invests.

 

(a)Represents less than $0.01 per share.

 

(b)The amount of net realized and unrealized gain (loss) on investment per share for the year ended October 31, 2018 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values.

 

(c)Does not Include the expenses of other investment companies in which the Fund invests.

 

See accompanying notes which are an integral part to these financial statements.

141

 

FINANCIAL HIGHLIGHTS
Dunham Focused Large Cap Growth Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2022   2021   2020   2019   2018                                         
Net asset value, beginning of year  $43.94   $33.67   $24.24   $22.50   $19.37                                         
Income (loss) from investment operations:                                                                 
Net investment loss*   (0.20)   (0.36)   (0.32)   (0.25)   (0.22)                                        
Net realized and unrealized gain (loss)   (15.89)   11.47    10.58    3.69    3.53                                         
Total income (loss) from investment operations   (16.09)   11.11    10.26    3.44    3.31                                         
Less distributions:                                                                 
Distributions from net realized gains   (3.28)   (0.84)   (0.83)   (1.70)   (0.18)                                        
Total distributions   (3.28)   (0.84)   (0.83)   (1.70)   (0.18)                                        
Net asset value, end of year  $24.57   $43.94   $33.67   $24.24   $22.50                                         
                                                                  
Total return + #   (39.47)%   33.44%   43.39%   17.19%   17.24%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $143,425   $156,938   $108,816   $74,714   $59,424                                         
Ratios of expenses to average net assets:                                                                 
Before fee waivers and fees paid indirectly   1.01%   1.12%   1.30%   1.33%   1.30%                                        
After fee waivers and fees paid indirectly   1.01%   1.12%   1.30%   1.33%   1.29%                                        
Ratios of net investment loss to average net assets:                                                                 
Before fee waivers and fees paid indirectly   (0.67)%   (0.92)%   (1.08)%   (1.06)%   (1.01)%                                        
After fee waivers and fees paid indirectly   (0.67)%   (0.92)%   (1.08)%   (1.06)%   (1.01)%                                        
Portfolio turnover rate   9%   27%   17%   28%   25%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2022   2021   2020   2019   2018   2022   2021   2020   2019   2018 
Net asset value, beginning of year  $42.73   $32.84   $23.71   $22.11   $19.08   $39.33   $30.51   $22.25   $21.00   $18.27 
Income (loss) from investment operations:                                                  
Net investment loss*   (0.28)   (0.45)   (0.38)   (0.30)   (0.28)   (0.46)   (0.68)   (0.55)   (0.44)   (0.42)
Net realized and unrealized gain (loss)   (15.40)   11.18    10.34    3.60    3.49    (14.03)   10.34    9.64    3.39    3.33 
Total income (loss) from investment operations   (15.68)   10.73    9.96    3.30    3.21    (14.49)   9.66    9.09    2.95    2.91 
Less distributions:                                                  
Distributions from net realized gains   (3.28)   (0.84)   (0.83)   (1.70)   (0.18)   (3.28)   (0.84)   (0.83)   (1.70)   (0.18)
Total distributions   (3.28)   (0.84)   (0.83)   (1.70)   (0.18)   (3.28)   (0.84)   (0.83)   (1.70)   (0.18)
Net asset value, end of year  $23.77   $42.73   $32.84   $23.71   $22.11   $21.56   $39.33   $30.51   $22.25   $21.00 
                                                   
Total return + #   (39.62)%   33.13%   43.09%   16.84%   16.98%   (40.07)%   32.13%   41.97%   16.00%   16.08%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $24,711   $37,270   $31,205   $24,131   $15,031   $7,483   $13,911   $10,414   $8,314   $6,844 
Ratios of expenses to average net assets:                                                  
Before fee waivers and fees paid indirectly   1.26%   1.37%   1.55%   1.58%   1.55%   2.01%   2.12%   2.30%   2.33%   2.30%
After fee waivers and fees paid indirectly   1.26%   1.37%   1.55%   1.58%   1.54%   2.01%   2.12%   2.30%   2.33%   2.29%
Ratios of net investment loss to average net assets:                                                  
Before fee waivers and fees paid indirectly   (0.93)%   (1.17)%   (1.34)%   (1.32)%   (1.26)%   (1.69)%   (1.92)%   (2.08)%   (2.06)%   (2.01)%
After fee waivers and fees paid indirectly   (0.93)%   (1.17)%   (1.34)%   (1.32)%   (1.26)%   (1.69)%   (1.92)%   (2.08)%   (2.06)%   (2.01)%
Portfolio turnover rate   9%   27%   17%   28%   25%   9%   27%   17%   28%   25%

 

 
*The net investment loss per share data was determined using the average shares outstanding throughout each year.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

See accompanying notes which are an integral part to these financial statements.

142

 

FINANCIAL HIGHLIGHTS
Dunham Small Cap Growth Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2022   2021   2020   2019   2018                                         
Net asset value, beginning of year  $27.93   $21.62   $16.00   $20.28   $20.31                                         
Income (loss) from investment operations:                                                                 
Net investment loss*   (0.12)   (0.38)   (0.23)   (0.23)   (0.27)                                        
Net realized and unrealized gain (loss) (a)   (9.04)   10.50    6.15    (0.25)   3.20                                         
Total income (loss) from investment operations   (9.16)   10.12    5.92    (0.48)   2.93                                         
Less distributions:                                                                 
Distributions from net investment income   (0.19)   (0.28)   (0.05)   —    —                                         
Distributions from net realized gains   (3.85)   (3.53)   (0.25)   (3.80)   (2.96)                                        
Total distributions   (4.04)   (3.81)   (0.30)   (3.80)   (2.96)                                        
Net asset value, end of year  $14.73   $27.93   $21.62   $16.00   $20.28                                         
                                                                  
Total return + #   (37.42)%   49.28%   37.55%   1.36%   16.02%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $65,064   $63,287   $42,792   $37,340   $33,882                                         
Ratios of expenses to average net assets:                                                                 
Before fees paid indirectly   1.17%   1.83%   1.78%   1.90%   1.94%                                        
After fees paid indirectly   1.14%   1.83%   1.75%   1.88%   1.93%                                        
Ratios of net investment loss to average net assets:                                                                 
Before fees paid indirectly   (0.72)%   (1.47)%   (1.34)%   (1.36)%   (1.31)%                                        
After fees paid indirectly   (0.70)%   (1.47)%   (1.31)%   (1.34)%   (1.29)%                                        
Portfolio turnover rate   92%   111%   178%   169%   190%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2022   2021   2020   2019   2018   2022   2021   2020   2019   2018 
Net asset value, beginning of year  $26.04   $20.36   $15.09   $19.42   $19.62   $18.62   $15.39   $11.54   $16.00   $16.77 
Income (loss) from investment operations:                                                  
Net investment loss*   (0.17)   (0.42)   (0.26)   (0.25)   (0.31)   (0.19)   (0.44)   (0.29)   (0.29)   (0.37)
Net realized and unrealized gain (loss) (a)   (8.34)   9.86    5.80    (0.28)   3.07    (5.64)   7.33    4.39    (0.37)   2.56 
Total income (loss) from investment operations   (8.51)   9.44    5.54    (0.53)   2.76    (5.83)   6.89    4.10    (0.66)   2.19 
Less distributions:                                                  
Distributions from net investment income   (0.13)   (0.23)   (0.02)   —    —    (0.01)   (0.13)   —    —    — 
Distributions from net realized gains   (3.85)   (3.53)   (0.25)   (3.80)   (2.96)   (3.85)   (3.53)   (0.25)   (3.80)   (2.96)
Total distributions   (3.98)   (3.76)   (0.27)   (3.80)   (2.96)   (3.86)   (3.66)   (0.25)   (3.80)   (2.96)
Net asset value, end of year  $13.55   $26.04   $20.36   $15.09   $19.42   $8.93   $18.62   $15.39   $11.54   $16.00 
                                                   
Total return + #   (37.55)%   48.93%   37.18%   1.11%   15.69%   (37.99)%   47.87%   36.10%   0.36%   14.84%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $11,795   $20,357   $12,750   $10,797   $10,799   $2,210   $3,730   $2,619   $2,440   $2,720 
Ratios of expenses to average net assets:                                                  
Before fees paid indirectly   1.42%   2.08%   2.03%   2.15%   2.19%   2.17%   2.83%   2.78%   2.90%   2.94%
After fees paid indirectly   1.39%   2.08%   2.00%   2.13%   2.18%   2.14%   2.83%   2.75%   2.88%   2.93%
Ratios of net investment loss to average net assets:                                                  
Before fees paid indirectly   (0.97)%   (1.72)%   (1.57)%   (1.61)%   (1.56)%   (1.72)%   (2.47)%   (2.32)%   (2.37)%   (2.30)%
After fees paid indirectly   (0.95)%   (1.72)%   (1.54)%   (1.59)%   (1.55)%   (1.70)%   (2.47)%   (2.29)%   (2.35)%   (2.29)%
Portfolio turnover rate   92%   111%   178%   169%   190%   92%   111%   178%   169%   190%

 

 
*The net investment loss per share data was determined using the average shares outstanding throughout each year.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

(a)The amount of net realized and unrealized gain (loss) on investment per share for the year ended October 31, 2019 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values.

 

See accompanying notes which are an integral part to these financial statements.

143

 

FINANCIAL HIGHLIGHTS
Dunham Emerging Markets Stock Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2022   2021   2020   2019   2018                                         
Net asset value, beginning of year  $18.76   $15.70   $14.27   $12.85   $15.94                                         
Income (loss) from investment operations:                                                                 
Net investment income (loss) *   0.17    0.04    (0.03)   0.19    0.27                                         
Net realized and unrealized gain (loss)   (6.41)   3.05    1.59    1.48    (3.20)                                        
Total income (loss) from investment operations   (6.24)   3.09    1.56    1.67    (2.93)                                        
Less distributions:                                                                 
Distributions from net investment income   (0.25)   (0.03)   (0.13)   (0.25)   (0.16)                                        
Distributions from net realized gains   (1.34)   —    —    —    —                                         
Total distributions   (1.59)   (0.03)   (0.13)   (0.25)   (0.16)                                        
Net asset value, end of year  $10.93   $18.76   $15.70   $14.27   $12.85                                         
                                                                  
Total return + #   (36.02)%   19.67%   10.94%   13.29%   (18.57)%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $85,825   $112,290   $70,868   $59,931   $53,261                                         
Ratios of expenses to average net assets:   1.03%   1.67%   1.86%   1.61%   1.19%                                        
Ratios of net investment income (loss) to average net assets:   1.23%   0.19%   (0.19)%   1.42%   1.79%                                        
Portfolio turnover rate   64%   77%   113%   129%   66%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2022   2021   2020   2019   2018   2022   2021   2020   2019   2018 
Net asset value, beginning of year  $18.29   $15.32   $13.94   $12.56   $15.58   $17.07   $14.41   $13.16   $11.85   $14.74 
Income (loss) from investment operations:                                                  
Net investment income (loss)*   0.13    (0.02)   (0.06)   0.16    0.23    0.02    (0.15)   (0.16)   0.05    0.11 
Net realized and unrealized gain (loss)   (6.24)   2.99    1.54    1.44    (3.13)   (5.81)   2.81    1.45    1.38    (2.94)
Total income (loss) from investment operations   (6.11)   2.97    1.48    1.60    (2.90)   (5.79)   2.66    1.29    1.43    (2.83)
Less distributions:                                                  
Distributions from net investment income   (0.21)   —    (0.10)   (0.22)   (0.12)   (0.07)   —    (0.04)   (0.12)   (0.06)
Distributions from net realized gains   (1.34)   —    —    —    —    (1.34)   —    —    —    — 
Total distributions   (1.55)   —    (0.10)   (0.22)   (0.12)   (1.41)   —    (0.04)   (0.12)   (0.06)
Net asset value, end of year  $10.63   $18.29   $15.32   $13.94   $12.56   $9.87   $17.07   $14.41   $13.16   $11.85 
                                                   
Total return + #   (36.18)%   19.39%   10.58%   12.98%   (18.73)%   (36.66)%   18.46%   9.78%   12.18%   (19.30)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $15,367   $21,174   $14,864   $12,106   $9,662   $1,999   $3,349   $3,005   $3,463   $3,163 
Ratios of expenses to average net assets:   1.28%   1.92%   2.11%   1.86%   1.44%   2.03%   2.67%   2.86%   2.61%   2.19%
Ratios of net investment income (loss) to average net assets:   0.96%   (0.08)%   (0.43)%   1.17%   1.54%   0.15%   (0.87)%   (1.22)%   0.41%   0.77%
Portfolio turnover rate   64%   77%   113%   129%   66%   64%   77%   113%   129%   66%

 

 
*The net investment income (loss) per share data was determined using the average shares outstanding throughout each year/period.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

See accompanying notes which are an integral part to these financial statements.

144

 

FINANCIAL HIGHLIGHTS
Dunham International Stock Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2022   2021   2020   2019   2018                                         
Net asset value, beginning of year  $21.10   $15.26   $15.51   $15.61   $17.54                                         
Income (loss) from investment operations:                                                                 
Net investment income *   0.66    0.30    0.15    0.34    0.21                                         
Net realized and unrealized gain (loss) !   (4.87)   5.70    (0.06)   0.62    (1.39)                                        
Total income (loss) from investment operations   (4.21)   6.00    0.09    0.96    (1.18)                                        
Less distributions:                                                                 
Distributions from net investment income   (0.40)   (0.15)   (0.34)   (0.18)   (0.26)                                        
Distributions from net realized gains   (2.42)   (0.01)   —    (0.88)   (0.49)                                        
Total distributions   (2.82)   (0.16)   (0.34)   (1.06)   (0.75)                                        
Net asset value, end of year  $14.07   $21.10   $15.26   $15.51   $15.61                                         
                                                                  
Total return + #   (23.01)%   39.45%   0.45%   7.08%   (7.08)%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $111,570   $150,922   $96,239   $101,505   $89,401                                         
Ratios of expenses to average net assets:                                                                 
Before fees paid indirectly   1.53%   1.92%   1.71%   1.43%   1.67%                                        
After fees paid indirectly   1.53%   1.92%   1.71%   1.43%   1.67%                                        
Ratios of net investment income to average net assets:                                                                 
Before fees paid indirectly   4.03%   1.47%   0.98%   2.28%   1.24%                                        
After fees paid indirectly   4.03%   1.47%   0.98%   2.28%   1.24%                                        
Portfolio turnover rate   91%   131%   156%   100%   113%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2022   2021   2020   2019   2018   2022   2021   2020   2019   2018 
Net asset value, beginning of year  $20.92   $15.13   $15.38   $15.49   $17.42   $19.66   $14.25   $14.55   $14.68   $16.59 
Income (loss) from investment operations:                                                  
Net investment income (loss)*   0.60    0.23    0.11    0.30    0.17    0.44    0.08    (0.02)   0.18    0.04 
Net realized and unrealized gain (loss) !   (4.82)   5.68    (0.06)   0.61    (1.38)   (4.50)   5.34    (0.05)   0.59    (1.31)
Total income (loss) from investment operations   (4.22)   5.91    0.05    0.91    (1.21)   (4.06)   5.42    (0.07)   0.77    (1.27)
Less distributions:                                                  
Distributions from net investment income   (0.35)   (0.11)   (0.30)   (0.14)   (0.23)   (0.20)   —    (0.23)   (0.02)   (0.15)
Distributions from net realized gains   (2.42)   (0.01)   —    (0.88)   (0.49)   (2.42)   (0.01)   —    (0.88)   (0.49)
Total distributions   (2.77)   (0.12)   (0.30)   (1.02)   (0.72)   (2.62)   (0.01)   (0.23)   (0.90)   (0.64)
Net asset value, end of year  $13.93   $20.92   $15.13   $15.38   $15.49   $12.98   $19.66   $14.25   $14.55   $14.68 
                                                   
Total return + #   (23.23)%   39.15%   0.24%   6.78%   (7.30)%   (23.78)%   38.04%   (0.55)%   6.03%   (8.03)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $18,638   $26,672   $20,938   $22,499   $18,250   $3,936   $5,830   $4,754   $6,409   $5,764 
Ratios of expenses to average net assets:                                                  
Before fees paid indirectly   1.78%   2.17%   1.96%   1.68%   1.92%   2.53%   2.92%   2.71%   2.43%   2.67%
After fees paid indirectly   1.78%   2.17%   1.96%   1.68%   1.92%   2.53%   2.92%   2.71%   2.43%   2.67%
Ratios of net investment income (loss) to average net assets:                                                  
Before fees paid indirectly   3.70%   1.17%   0.71%   2.04%   1.01%   2.89%   0.43%   (0.11)%   1.26%   0.22%
After fees paid indirectly   3.70%   1.17%   0.71%   2.04%   1.01%   2.89%   0.43%   (0.11)%   1.26%   0.22%
Portfolio turnover rate   91%   131%   156%   100%   113%   91%   131%   156%   100%   113%

 

 
*The net investment income (loss) per share data was determined using the average shares outstanding throughout each year.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

!The amount of net realized and unrealized gain (loss) on investment per share for the year ended October 31, 2020 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values.

 

See accompanying notes which are an integral part to these financial statements.

145

 

FINANCIAL HIGHLIGHTS
Dunham Dynamic Macro Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2022   2021   2020   2019   2018                                         
Net asset value, beginning of year  $11.22   $10.00   $10.08   $9.53   $10.18                                         
Income (loss) from investment operations:                                                                 
Net investment income (loss) *   0.03    (0.14)   (0.00) (a)   0.12    0.02                                         
Net realized and unrealized gain (loss)   (1.52)   1.44    (0.08)   0.65    (0.67)                                        
Total income (loss) from investment operations   (1.49)   1.30    (0.08)   0.77    (0.65)                                        
Less distributions:                                                                 
Distributions from net investment income   —    (0.08)   —    (0.17)   —                                         
Tax return of capital   —    —    —    (0.05)   —                                         
Total distributions   —    (0.08)   —    (0.22)   —                                         
Net asset value, end of year  $9.73   $11.22   $10.00   $10.08   $9.53                                         
                                                                  
Total return + #   (13.28)%   13.05%   (0.79)%   8.35%   (6.39)%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $22,330   $21,043   $23,680   $32,074   $35,638                                         
Ratios of expenses to average net assets:   1.88%   2.06%   1.69%   1.54%   1.80%                                        
Ratios of net investment income (loss) to average net assets:   0.26%   (1.26)%   (0.02)%   1.29%   0.20%                                        
Portfolio turnover rate   76%   12%   187%   28%   11%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2022   2021   2020   2019   2018   2022   2021   2020   2019   2018 
Net asset value, beginning of year  $11.11   $9.90   $10.00   $9.46   $10.12   $10.49   $9.37   $9.55   $9.03   $9.74 
Income (loss) from investment operations:                                                  
Net investment income (loss) *   0.00 (a)   (0.16)   (0.03)   0.10    0.00 (a)   (0.07)   (0.23)   (0.10)   0.02    (0.08)
Net realized and unrealized gain (loss)   (1.50)   1.41    (0.07)   0.64    (0.66)   (1.42)   1.35    (0.08)   0.63    (0.63)
Total income (loss) from investment operations   (1.50)   1.25    (0.10)   0.74    (0.66)   (1.49)   1.12    (0.18)   0.65    (0.71)
Less distributions:                                                  
Distributions from net investment income   —    (0.04)   —    (0.15)   —    —    —    —    (0.08)   — 
Tax return of capital   —    —    —    (0.05)   —    —    —    —    (0.05)   — 
Total distributions   —    (0.04)   —    (0.20)   —    —    —    —    (0.13)   — 
Net asset value, end of year  $9.61   $11.11   $9.90   $10.00   $9.46   $9.00   $10.49   $9.37   $9.55   $9.03 
                                                   
Total return + #   (13.50)%   12.62%   (1.00)%   8.04%   (6.52)%   (14.20)%   11.95%   (1.88)%   7.31%   (7.29)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $4,166   $4,030   $5,078   $7,713   $7,918   $912   $1,146   $1,284   $1,927   $1,696 
Ratios of expenses to average net assets:   2.13%   2.31%   1.94%   1.79%   2.05%   2.88%   3.06%   2.69%   2.54%   2.80%
Ratios of net investment income (loss) to average net assets:   0.04%   (1.48)%   (0.26)%   1.03%   0.00%(b)   (0.68)%   (2.29)%   (1.04)%   0.20%   (0.84)%
Portfolio turnover rate   76%   12%   187%   28%   11%   76%   12%   187%   28%   11%

 

 
*The net investment income (loss) per share data was determined using the average shares outstanding throughout each year.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

(a)Represents less than $0.01 per share.

 

(b)Represents less than 0.01%.

 

See accompanying notes which are an integral part to these financial statements.

146

 

FINANCIAL HIGHLIGHTS
Dunham Long/Short Credit Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2022   2021   2020   2019   2018                                         
Net asset value, beginning of year  $9.70   $9.55   $9.36   $9.19   $8.68                                         
Income (loss) from investment operations:                                                                 
Net investment income*   0.19    0.06    0.13    0.24    0.23                                         
Net realized and unrealized gain (loss)   (0.43)   0.32    0.26    0.24    0.49                                         
Total income (loss) from investment operations   (0.24)   0.38    0.39    0.48    0.72                                         
Less distributions:                                                                 
Distributions from net investment income   (0.20)   (0.07)   (0.15)   (0.31)   (0.21)                                        
Distributions from net realized gains   (0.18)   (0.16)   (0.05)   —    —                                         
Total distributions   (0.38)   (0.23)   (0.20)   (0.31)   (0.21)                                        
Net asset value, end of year  $9.08   $9.70   $9.55   $9.36   $9.19                                         
                                                                  
Total return + #   (2.57)%   4.00%   4.23%   5.31%   8.42%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $206,875   $195,874   $110,215   $67,276   $36,055                                         
Ratios of expenses to average net assets:   0.97%   1.82%   1.43%   1.24%   1.44%                                        
Ratios of net investment income to average net assets:   2.02%   0.67%   1.41%   2.60%   2.52%                                        
Portfolio turnover rate   216%   343%   519%   426%   275%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2022   2021   2020   2019   2018   2022   2021   2020   2019   2018 
Net asset value, beginning of year  $9.68   $9.53   $9.33   $9.17   $8.66   $9.34   $9.24   $9.08   $8.94   $8.46 
Income (loss) from investment operations:                                                  
Net investment income (loss)*   0.16    0.04    0.11    0.22    0.19    0.09    (0.03)   0.05    0.15    0.11 
Net realized and unrealized gain (loss)   (0.43)   0.32    0.26    0.22    0.50    (0.41)   0.30    0.24    0.23    0.49 
Total income (loss) from investment operations   (0.27)   0.36    0.37    0.44    0.69    (0.32)   0.27    0.29    0.38    0.60 
Less distributions:                                                  
Distributions from net investment income   (0.17)   (0.05)   (0.12)   (0.28)   (0.18)   (0.12)   (0.01)   (0.08)   (0.24)   (0.12)
Distributions from net realized gains   (0.18)   (0.16)   (0.05)   —    —    (0.18)   (0.16)   (0.05)   —    — 
Total distributions   (0.35)   (0.21)   (0.17)   (0.28)   (0.18)   (0.30)   (0.17)   (0.13)   (0.24)   (0.12)
Net asset value, end of year  $9.06   $9.68   $9.53   $9.33   $9.17   $8.72   $9.34   $9.24   $9.08   $8.94 
                                                   
Total return + #   (2.82)%   3.77%   4.09%   4.95%   8.10%   (3.45)%   2.89%   3.24%   4.34%   7.21%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $27,906   $29,040   $17,123   $11,087   $6,265   $3,858   $4,518   $3,852   $4,077   $3,145 
Ratios of expenses to average net assets:   1.22%   2.07%   1.68%   1.48%   1.69%   1.98%   2.82%   2.43%   2.22%   2.44%
Ratios of net investment income (loss) to average net assets:   1.75%   0.41%   1.21%   2.36%   2.13%   1.01%   (0.37)%   0.53%   1.63%   1.22%
Portfolio turnover rate   216%   343%   519%   426%   275%   216%   343%   519%   426%   275%

 

 
*The net investment income (loss) per share data was determined using the average shares outstanding throughout each year.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

See accompanying notes which are an integral part to these financial statements.

147

 

FINANCIAL HIGHLIGHTS
Dunham Monthly Distribution Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2022   2021   2020   2019   2018                                         
Net asset value, beginning of year  $32.18   $32.75   $33.88   $34.84   $36.71                                         
Income (loss) from investment operations:                                                                 
Net investment income (loss)*   (0.45)   (0.28)   (0.21)   (0.13)   0.09                                         
Net realized and unrealized gain (loss)   0.80    0.79    0.33    1.02    (0.25)                                        
Total income (loss) from investment operations   0.35    0.51    0.12    0.89    (0.16)                                        
Less distributions:                                                                 
Distributions from net investment income   —    (0.71)   (0.30)   —    —                                         
Distributions from net realized gains   (0.25)   —    —    —    (0.35)                                        
Tax return of capital   (1.13)   (0.37)   (0.95)   (1.85)   (1.36)                                        
Total distributions   (1.38)   (1.08)   (1.25)   (1.85)   (1.71)                                        
Net asset value, end of year  $31.15   $32.18   $32.75   $33.88   $34.84                                         
                                                                  
Total return + #   1.11%   1.54%   0.37%   2.61%   (0.45)%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $175,703   $219,703   $160,250   $183,319   $201,405                                         
Ratios of expenses to average net assets:                                                                 
After waivers   2.52%   1.90%   1.81%   2.62%   2.16%                                        
Dividends/borrowings on short sales   0.39%   0.81%   0.69%   1.24%   1.10%                                        
Excluding dividends/borrowings on short sales:                                                                 
Before fee waivers   2.13%   1.09%   1.13%   1.38%   1.06%                                        
After fee waivers   2.13%   1.09%   1.13%   1.38%   1.06%                                        
Ratios of net investment income (loss) to average net assets:                                                                 
Before fee waivers   (1.41)%   (0.84)%   (0.62)%   (0.39)%   0.25%                                        
After fee waivers   (1.41)%   (0.84)%   (0.62)%   (0.39)%   0.25%                                        
Portfolio turnover rate   221%   339%   605%   496%   453%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2022   2021   2020   2019   2018   2022   2021   2020   2019   2018 
Net asset value, beginning of year  $30.83   $31.49   $32.71   $33.77   $35.73   $23.26   $24.19   $25.60   $27.02   $29.15 
Income (loss) from investment operations:                                                  
Net investment income (loss)*   (0.46)   (0.44)   (0.30)   (0.21)   0.00 (a)   (0.52)   (0.55)   (0.43)   (0.36)   (0.21)
Net realized and unrealized gain (loss)   0.71    0.86    0.33    1.00    (0.25)   0.53    0.70    0.27    0.79    (0.21)
Total income (loss) from investment operations   0.25    0.42    0.03    0.79    (0.25)   0.01    0.15    (0.16)   0.43    (0.42)
Less distributions:                                                  
Distributions from net investment income   —    (0.71)   (0.30)   —    —    —    (0.71)   (0.30)   —    — 
Distributions from net realized gains   (0.25)   —    —    —    (0.35)   (0.25)   —    —    —    (0.35)
Tax return of capital   (1.13)   (0.37)   (0.95)   (1.85)   (1.36)   (1.13)   (0.37)   (0.95)   (1.85)   (1.36)
Total distributions   (1.38)   (1.08)   (1.25)   (1.85)   (1.71)   (1.38)   (1.08)   (1.25)   (1.85)   (1.71)
Net asset value, end of year  $29.70   $30.83   $31.49   $32.71   $33.77   $21.89   $23.26   $24.19   $25.60   $27.02 
                                                   
Total return + #   0.83%   1.25%   0.10%   2.39%   (0.72)%   0.05%   0.54%   (0.63)%   1.63%   (1.48)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $28,997   $33,155   $33,157   $42,052   $42,980   $16,177   $19,311   $23,171   $33,913   $34,664 
Ratios of expenses to average net assets:                                                  
After waivers   2.77%   2.16%   2.06%   2.87%   2.41%   3.52%   2.93%   2.81%   3.62%   3.16%
Dividends/borrowings on short sales   0.39%   0.81%   0.68%   1.24%   1.10%   0.39%   0.81%   0.68%   1.23%   1.10%
Excluding dividends/borrowings on short sales:                                                  
Before fee waivers   2.38%   1.35%   1.38%   1.63%   1.31%   3.13%   2.12%   2.12%   2.39%   2.06%
After fee waivers   2.38%   1.35%   1.38%   1.63%   1.31%   3.13%   2.12%   2.12%   2.39%   2.06%
Ratios of net investment income (loss) to average net assets:                                                  
Before fee waivers   (1.53)%   (1.39)%   (0.94)%   (0.63)%   0.01%   (2.32)%   (2.28)%   (1.74)%   (1.38)%   (0.73)%
After fee waivers   (1.53)%   (1.39)%   (0.94)%   (0.63)%   0.01%   (2.32)%   (2.28)%   (1.74)%   (1.38)%   (0.73)%
Portfolio turnover rate   221%   339%   605%   496%   453%   221%   339%   605%   496%   453%

 

 
*The net investment income (loss) per share data was determined using the average shares outstanding throughout each year.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

(a)Represents less than $0.01 per share.

 

See accompanying notes which are an integral part to these financial statements.

148

 

FINANCIAL HIGHLIGHTS
Dunham Real Estate Stock Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout each year.

 

   Class N                                         
   Year Ended October 31,                                         
   2022   2021   2020   2019   2018                                         
Net asset value, beginning of year  $21.36   $17.34   $18.68   $15.35   $15.66                                         
Income (loss) from investment operations:                                                                 
Net investment income (loss) *   0.14    (0.02)   0.11    0.30    0.28                                         
Net realized and unrealized gain (loss) !   (7.74)   5.52    (0.14)   3.32    (0.35)                                        
Total income (loss) from investment operations   (7.60)   5.50    (0.03)   3.62    (0.07)                                        
Less distributions:                                                                 
Distributions from net investment income   —    —    (0.31)   (0.29)   (0.12)                                        
Distributions from net realized gains   (1.29)   (1.48)   (1.00)   —    (0.12)                                        
Total distributions   (1.29)   (1.48)   (1.31)   (0.29)   (0.24)                                        
Net asset value, end of year  $12.47   $21.36   $17.34   $18.68   $15.35                                         
                                                                  
Total return + #   (37.75)%   32.81%   (0.02)%   24.16%   (0.48)%                                        
Ratios/Supplemental Data:                                                                 
Net assets, end of year (in 000s)  $64,414   $91,553   $53,647   $42,865   $43,163                                         
Ratios of expenses to average net assets:   1.01%   1.37%   1.66%   1.15%   1.10%                                        
Ratios of net investment income (loss) to average net assets:   0.85%   (0.08)%   0.63%   1.81%   1.82%                                        
Portfolio turnover rate   58%   59%   125%   63%   74%                                        
                                                                  
   Class A   Class C 
   Year Ended October 31,   Year Ended October 31, 
   2022   2021   2020   2019   2018   2022   2021   2020   2019   2018 
Net asset value, beginning of year  $21.48   $17.47   $18.81   $15.46   $15.78   $19.78   $16.30   $17.69   $14.54   $14.88 
Income (loss) from investment operations:                                                  
Net investment income (loss) *   0.10    (0.07)   0.06    0.26    0.24    (0.03)   (0.20)   (0.06)   0.13    0.12 
Net realized and unrealized gain (loss) !   (7.77)   5.56    (0.13)   3.35    (0.35)   (7.09)   5.16    (0.14)   3.17    (0.34)
Total income (loss) from investment operations   (7.67)   5.49    (0.07)   3.61    (0.11)   (7.12)   4.96    (0.20)   3.30    (0.22)
Less distributions:                                                  
Distributions from net investment income   —    —    (0.27)   (0.26)   (0.09)   —    —    (0.19)   (0.15)   — 
Distributions from net realized gains   (1.29)   (1.48)   (1.00)   —    (0.12)   (1.29)   (1.48)   (1.00)   —    (0.12)
Total distributions   (1.29)   (1.48)   (1.27)   (0.26)   (0.21)   (1.29)   (1.48)   (1.19)   (0.15)   (0.12)
Net asset value, end of year  $12.52   $21.48   $17.47   $18.81   $15.46   $11.37   $19.78   $16.30   $17.69   $14.54 
                                                   
Total return + #   (37.87)%   32.48%   (0.28)%   23.81%   (0.74)%   (38.38)%   31.50%   (1.08)%   22.97%   (1.50)%
Ratios/Supplemental Data:                                                  
Net assets, end of year (in 000s)  $9,449   $15,112   $11,196   $9,161   $8,444   $2,544   $4,736   $2,998   $2,812   $2,308 
Ratios of expenses to average net assets:   1.27%   1.62%   1.91%   1.40%   1.35%   2.02%   2.37%   2.66%   2.15%   2.10%
Ratios of net investment income (loss) to average net assets:   0.60%   (0.33)%   0.36%   1.56%   1.57%   (0.19)%   (1.07)%   (0.36)%   0.79%   0.85%
Portfolio turnover rate   58%   59%   125%   63%   74%   58%   59%   125%   63%   74%

 

 
*The net investment income (loss) per share data was determined using the average shares outstanding throughout each year.

 

+Assumes reinvestment of all dividends and distributions, if any. Total return does not reflect the deductions of taxes that a shareholder would pay on distributions or on the redemption of shares and does not reflect the impact of any sales charge.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

!The amount of net realized and unrealized gain (loss) on investment per share for the year ended October 31, 2020 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values.

 

See accompanying notes which are an integral part to these financial statements.

149

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022

 

1.ORGANIZATION

 

Each Dunham Fund (each, a “Fund” and collectively the “Funds”) is a series of shares of beneficial interest in the Dunham Funds (the “Trust”), a Delaware Business Trust organized on November 28, 2007 and registered under the Investment Company Act of 1940, as amended, (the “1940 Act”) as an open -end management investment company. The Dunham Funds currently consist of fourteen funds: Dunham Corporate/Government Bond Fund; Dunham Floating Rate Bond Fund; Dunham High-Yield Bond Fund; Dunham International Opportunity Bond Fund; Dunham Large Cap Value Fund; Dunham Small Cap Value Fund; Dunham Focused Large Cap Growth Fund; Dunham Small Cap Growth Fund; Dunham Emerging Markets Stock Fund; Dunham International Stock Fund; Dunham Dynamic Macro Fund; Dunham Long/Short Credit Fund; Dunham Monthly Distribution Fund; and Dunham Real Estate Stock Fund. With the exception of Dunham International Opportunity Bond Fund, Dunham Focused Large Cap Growth Fund, and Dunham Real Estate Stock Fund, the remaining Funds are diversified funds within the meaning of the 1940 Act.

 

Fund   Primary Objective
Dunham Corporate/Government Bond Fund (“Corporate/Government Bond”)   Current income and capital appreciation
Dunham Floating Rate Bond Fund (“Floating Rate Bond”)   High level of current income
Dunham High-Yield Bond Fund (“High-Yield Bond”)   High level of current income
Dunham International Opportunity Bond Fund (“International Opportunity Bond”)   High level of current income
Dunham Large Cap Value Fund (“Large Cap Value”)   Maximize total return from capital appreciation and dividends
Dunham Small Cap Value Fund (“Small Cap Value”)   Maximize total return from capital appreciation and income
Dunham Focused Large Cap Growth Fund (“Focused Large Cap Growth”)   Maximize capital appreciation
Dunham Small Cap Growth Fund (“Small Cap Growth”)   Maximize capital appreciation
Dunham Emerging Markets Stock Fund (“Emerging Markets Stock”)   Maximize capital appreciation
Dunham International Stock Fund (“International Stock”)   Maximize total return from capital appreciation and dividends
Dunham Dynamic Macro Fund (“Dynamic Macro”)   Maximize total return from capital appreciation and dividends
Dunham Long/Short Credit Fund (“Long/Short Credit”)   Maximize total return under varying market conditions through both current income and capital appreciation
Dunham Monthly Distribution Fund (“Monthly Distribution”)   Positive returns in rising and falling market environments
Dunham Real Estate Stock Fund (“Real Estate Stock”)   Maximize total return from capital appreciation and dividends

 

Currently, each Fund offers Class A, Class C and Class N shares. Each class represents an interest in the same assets of the applicable Fund with the only differences being that Class A shares are subject to a front-end sales charge and an annual distribution fee, Class C shares are subject to an annual service and distribution fee and Class N shares have a higher minimum investment amount. Investors that purchase $1,000,000 or more of Class A shares will not pay any initial sales charge on the purchase. However, purchases of $1,000,000 or more of Class A shares may be subject to a contingent deferred sales charge (“CDSC”) on shares redeemed during the first 18 months after their purchase in the amount of the commissions paid on the shares redeemed. The Class C and Class N shares, with the exception of Floating Rate Bond, High-Yield Bond, International Opportunity Bond, Focused Large Cap Growth, Dynamic Macro, and Monthly Distribution commenced operations on December 10, 2004 and were formed as a result of tax -free conversions from common trusts. The conversions were accomplished through the exchange of the common trust securities, cash, and other assets for equivalent value of the Funds’ shares. High-Yield Bond Class C and Class N shares commenced operations on July 1, 2005. The Class A shares for all Funds except Floating Rate Bond, International Opportunity Bond, Focused Large Cap Growth, Dynamic Macro, and Monthly Distribution commenced operations on January 3, 2007. Monthly Distribution’s Predecessor Fund’s Class A shares and Class C shares commenced operations on December 26, 2000. Monthly Distribution’s Class N shares commenced operations on September 29, 2008. Dynamic Macro commenced operations on April 30, 2010. Focused Large Cap Growth commenced operations on December 8, 2011. Floating Rate Bond and International Opportunity Bond commenced operations on November 1, 2013.

 

2.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies.”

150

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

The following is a summary of significant accounting policies followed by the Funds in preparation of their financial statements.

 

a. Security Valuation – In determining each Fund’s Net Asset Value (“NAV”) per share, equity securities for which market quotations are readily available are valued at current market value using the last reported sales price. NASDAQ traded securities are valued using the NASDAQ official closing price (“NOCP”). If no sale price is reported, the mean between the current bid and ask price is used. If market quotations are not readily available, then securities will be valued using the “fair value” procedures approved by the Board of Trustees (the “Board”). The Board has delegated execution of these procedures to the Adviser as its valuation designee (the “Valuation Designee”) based on the Trust’s Portfolio Securities Valuation Procedures (the “Procedures”). U.S. Government and Agency securities are valued at the mean between the most recent bid and ask prices. Short-term debt instruments with a remaining maturity of more than 60 days, Debt securities including Bank Loans (other than short-term obligations) are valued each day by an independent pricing service elected by Dunham & Associates Investment Counsel, Inc. (“Dunham & Associates” or the “Adviser”) and approved by the Board using methods which include current market quotations from a major market maker in the securities and based on methods which include the consideration of yields or prices of securities of comparable quality, coupon, maturity and type. Where such prices are not available, valuations will be obtained from brokers who are market makers for such securities. However, in circumstances where the Adviser deems it appropriate to do so, the mean of the bid and ask prices for over-the-counter securities or the last available sale price for exchange-traded debt securities may be used. Where no last sale price for exchange traded debt securities is available, the mean of the bid and ask prices may be used. Short-term debt securities with a remaining maturity of 60 days or less may be valued at amortized cost, provided such valuations represent fair value.

 

The Funds may invest in portfolios of open-end, closed-end investment companies and Exchange Traded Funds (“ETFs”) (the “underlying funds”). Underlying open-end investment companies are valued at their respective net asset values as reported by such investment companies. The underlying funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the boards of the underlying funds. The shares of many closed-end investment companies and ETFs, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company or ETF purchased by a Fund will not change.

 

Options are valued at the last reported sale price at the close of the exchange on which the security is primarily traded. If no sales are reported for the exchange-traded options, or the options are not exchange-traded, then they are valued at the mean of their most recent quoted bid and ask price.

 

Futures and future options are valued daily at the final settled price or, in the absence of a settled price, at the mean between the current bid and ask prices on the day of valuation.

 

Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from the swap counterparty issuing the swap. Total return swaps on securities listed on an exchange shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices.

 

Trading in securities on Far East securities exchanges and over-the-counter markets is normally completed well before the close of business on each business day in New York (i.e., a day on which the New York Stock Exchange (“NYSE”) is open). In addition, Far East securities trading generally, or in a particular country or countries, may not take place on all business days in New York. Furthermore, trading takes place in Japanese markets on certain Saturdays and in various foreign markets on days, which are not business days in New York, and on which a Fund’s NAV is not calculated. Each Fund calculates the NAV per share, and therefore effects sales, redemptions and repurchases of its shares, as of the close of regular trading on the NYSE once on each day on which the NYSE is open. Such calculation may not take place contemporaneously with the determination of the prices of the majority of the portfolio securities used in such calculation. If events that may materially affect the value of such securities occur between the time when their price is determined and the time when the Fund’s NAV is calculated, such securities may be valued at fair value as determined in good faith in accordance with procedures approved by the Board. Foreign currency and forward currency exchange contracts are valued daily at the London Stock Exchange close each day.

 

Securities in which the Funds invest may be traded in markets that close before 4:00 p.m. Eastern Time (“ET”). Normally, developments that occur between the close of the foreign markets and 4:00 p.m. ET will not be reflected in a Fund’s NAV. However, management may determine that such developments are so significant that they will materially affect the value of a Fund’s securities, and the Fund may adjust the previous closing prices to reflect what the Board believes to be the fair value of these securities as of 4:00 p.m. ET. Both Emerging Markets Stock and International Stock utilize fair value prices as provided by an independent pricing vendor on a daily basis for those securities traded on a foreign exchange.

 

Securities for which current market quotations are not readily available, or for which quotations are not deemed to be representative of market values, will be valued using the “fair value” procedures approved by the Board. The Board has delegated execution of these procedures to the Adviser as its Valuation Designee based on the Trust’s Procedures. The Procedures consider, among others, the following factors to determine a security’s fair value: the nature and pricing history (if any) of the security; whether any dealer quotations for the security are available; and possible valuation methodologies that could be used to determine the fair value of the security.

151

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

The Funds utilize various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities.

 

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

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.

 

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

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of October 31, 2022 for the Funds’ assets and liabilities measured at fair value:

 

Corporate/Government Bond                
                 
Assets  Level 1   Level 2   Level 3   Total 
Asset Backed Securities *  $—   $18,557,075   $—   $18,557,075 
Corporate Bonds *   —    19,667,097    —    19,667,097 
Municipal Bonds   —    3,561,320    —    3,561,320 
Non U.S. Government & Agencies   —    556,401    —    556,401 
Term Loans *   —    2,844,477    —    2,844,477 
U.S. Government & Agencies   —    10,384,397    —    10,384,397 
Short-Term Investment   1,988,883    —    —    1,988,883 
Collateral for Securities Loaned   —    1,727,778    —    1,727,778 
Total  $1,988,883   $57,298,545   $—   $59,287,428 
                     
Floating Rate Bond                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stock *  $—   $319,262   $—   $319,262 
Asset Backed Securities   —    17,273,019    —    17,273,019 
Corporate Bonds *   —    12,756,111    —    12,756,111 
Term Loans *   —    144,986,471    —    144,986,471 
Rights   —    12,706    —    12,706 
Warrants   —    106,198    —    106,198 
Short-Term Investment   2,926,305    —    —    2,926,305 
Collateral for Securities Loaned   —    2,857,500    —    2,857,500 
Total  $2,926,305   $178,311,267   $—   $181,237,572 
                     
High-Yield Bond                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stock *  $—   $—   $2,317,450   $2,317,450 
Corporate Bonds *   —    90,327,320    —    90,327,320 
Short-Term Investment   3,984,330    —    —    3,984,330 
Collateral for Securities Loaned   —    12,986,938    —    12,986,938 
Total  $3,984,330   $103,314,258   $2,317,450   $109,616,038 

152

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

International Opportunity Bond                
                 
Assets  Level 1   Level 2   Level 3   Total 
Asset Backed Securities  $—   $64,223   $—   $64,223 
Corporate Bonds *   —    22,869,146    —    22,869,146 
Non U.S. Government & Agencies   —    9,349,021    —    9,349,021 
Short-Term Investment   1,066,466    —    —    1,066,466 
Collateral for Securities Loaned   —    954,050    —    954,050 
Total Assets  $1,066,466   $33,236,440   $—   $34,302,906 
Assets - Derivatives                    
Futures Contracts  $199,631   $—   $—   $199,631 
Forward Foreign Currency Exchange Contracts   —    97,690    —    97,690 
Total Asset Derivatives  $199,631   $97,690   $—   $297,321 
Liabilities - Derivatives                    
Futures Contracts  $256,927   $—   $—   $256,927 
Forward Foreign Currency Exchange Contracts   —    49,396    —    49,396 
Total Liability Derivatives  $256,927   $49,396   $—   $306,323 
                     
Large Cap Value                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $164,853,219   $—   $—   $164,853,219 
Short-Term Investments   3,275,081    —    —    3,275,081 
Collateral for Securities Loaned   —    23,687,837    —    23,687,837 
Total  $168,128,300   $23,687,837   $—   $191,816,137 
                     
Small Cap Value                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $70,280,877   $—   $—   $70,280,877 
Short-Term Investments   326,666    —    —    326,666 
Collateral for Securities Loaned   —    21,269,346    —    21,269,346 
Total  $70,607,543   $21,269,346   $—   $91,876,889 
                     
Focused Large Cap Growth                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $168,418,053   $—   $—   $168,418,053 
Short-Term Investment   7,361,948    —    —    7,361,948 
Collateral for Securities Loaned   —    40,261,170    —    40,261,170 
Total  $175,780,001   $40,261,170   $—   $216,041,171 
                     
Small Cap Growth                
                 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $75,286,766   $—   $—   $75,286,766 
Short-Term Investment   3,295,839    —    —    3,295,839 
Collateral for Securities Loaned   —    14,217,406    —    14,217,406 
Total  $78,582,605   $14,217,406   $—   $92,800,011 

153

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

Emerging Markets Stock

 

Assets  Level 1   Level 2   Level 3   Total 
Closed End Fund                
Mixed Allocation  $—   $860,112   $—   $860,112 
Total Closed End Fund   —    860,112    —    860,112 
Common Stocks                    
Apparel & Textile Products   —    286,050    —    286,050 
Automotive   861,597    2,111,353    —    2,972,950 
Banking   5,598,975    10,943,548    —    16,542,523 
Beverages   —    3,848,068    —    3,848,068 
Chemicals   1,217,840    2,243,943    —    3,461,783 
Consumer Services   —    957,236    —    957,236 
E-Commerce Discretionary   —    5,111,654    —    5,111,654 
Electric Utilities   —    8,342    —    8,342 
Electrical Equipment   —    1,956,235    —    1,956,235 
Engineering & Construction   —    1,676,142    —    1,676,142 
Entertainment Content   —    1,167,102    —    1,167,102 
Food   —    1,189,080    —    1,189,080 
Health Care Facilities & Services   —    2,695,568    —    2,695,568 
Home & Office Products   —    1,329,579    —    1,329,579 
Household Products   —    288,487    —    288,487 
Insurance   —    2,810,470    —    2,810,470 
Internet Media & Services   —    3,691,866    —    3,691,866 
Leisure Facilities & Services   —    3,879,093    —    3,879,093 
Machinery   —    900,184    —    900,184 
Medical Equipment & Devices   —    1,572,817    —    1,572,817 
Oil & Gas Producers   1,142,262    1,239,775    0    2,382,037 
Real Estate Owners & Developers   417,470    628,571    —    1,046,041 
Renewable Energy   —    3,259,260    —    3,259,260 
Retail - Consumer Staples   2,679,144    1,411,599    0    4,090,743 
Retail - Discretionary   —    607,638    —    607,638 
Semiconductors   1,120,210    7,158,987    —    8,279,197 
Specialty Finance   —    3,453,658    —    3,453,658 
Technology Hardware   —    7,107,270    —    7,107,270 
Technology Services   —    2,586,017    —    2,586,017 
Telecommunications   —    4,465,973    —    4,465,973 
Transportation & Logistics   —    3,275,411    —    3,275,411 
Wholesale - Consumer Staples   —    953,650    —    953,650 
Total Common Stocks   13,037,498    84,814,626    —    97,852,124 
Warrants                    
Leisure Facilities & Services   —    11,673    —    11,673 
Total Warrants   —    11,673    —    11,673 
Short-Term Investments   4,592,216    —    —    4,592,216 
Collateral for Securities Loaned   —    4,064,003    —    4,064,003 
Total  $17,629,714   $89,750,414   $—   $107,380,128 

154

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

International Stock

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stocks                    
Apparel & Textile Products  $—   $1,079,076   $—   $1,079,076 
Asset Management   —    194,698    —    194,698 
Automotive   —    8,855,506    —    8,855,506 
Banking   3,353,380    11,970,435    0    15,323,815 
Beverages   1,328,663    276,414    —    1,605,077 
Biotech & Pharma   3,762,061    7,092,286    —    10,854,347 
Chemicals   831,153    2,523,258    0    3,354,411 
Commercial Support Services   —    647,412    —    647,412 
Construction Materials   72,312    34,469    —    106,781 
Diversified Industrials   —    651,015    —    651,015 
Electric Utilities   35,159    1,059,627    —    1,094,786 
Electrical Equipment   —    830,499    —    830,499 
Engineering & Construction   —    1,437,442    —    1,437,442 
Food   —    374,211    —    374,211 
Forestry, Paper & Wood Products   307,503    —    —    307,503 
Gas & Water Utilities   —    48,255    —    48,255 
Home & Office Products   —    4    —    4 
Household Products   183,860    566,429    —    750,289 
Industrial Support Services   —    167,827    —    167,827 
Institutional Financial Services   —    2,022,114    —    2,022,114 
Insurance   —    8,678,135    —    8,678,135 
Machinery   23,299    1,998,257    —    2,021,556 
Medical Equipment & Devices   —    984,879    —    984,879 
Metals & Mining   2,312,173    3,875,975    0    6,188,148 
Oil & Gas Producers   9,258,157    16,654,979    0    25,913,136 
Oil & Gas Services & Equipment   —    627,116    —    627,116 
Retail - Consumer Staples   290,610    1,473,083    —    1,763,693 
Retail - Discretionary   773,136    —    —    773,136 
Semiconductors   661,388    3,490,948    —    4,152,336 
Software   —    659,804    —    659,804 
Specialty Finance   —    1,308,292    —    1,308,292 
Steel   —    1,265,489    —    1,265,489 
Technology Hardware   863,966    5,616,358    —    6,480,324 
Technology Services   408,266    1,903,498    —    2,311,764 
Telecommunications   —    5,510,714    —    5,510,714 
Tobacco & Cannabis   681,306    410,719    —    1,092,025 
Transportation & Logistics   —    4,767,418    —    4,767,418 
Wholesale - Consumer Staples   —    258,249    —    258,249 
Wholesale - Discretionary   —    728,405    —    728,405 
Total Common Stocks   25,146,392    100,043,295    —    125,189,687 
Exchange-Traded Funds   1,242,237    —    —    1,242,237 
Short-Term Investments   6,275,588    —    —    6,275,588 
Collateral for Securities Loaned   —    8,359,136    —    8,359,136 
Total  $32,664,217   $108,402,431   $—   $141,066,648 

155

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

Dynamic Macro                
                 
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds *  $6,036,283   $—   $—   $6,036,283 
U.S. Government & Agencies   —    17,372,850    —    17,372,850 
Short-Term Investments   2,856,026    —    —    2,856,026 
Purchased Options   621,716    —    —    621,716 
Total Assets  $9,514,025   $17,372,850   $—   $26,886,875 
Assets - Derivatives                    
Futures Contracts  $109,689   $—   $—   $109,689 
Total Asset Derivatives  $109,689   $—   $—   $109,689 
Liabilities - Derivatives 
Futures Contracts  $167,766   $—   $—   $167,766 
Total Liability Derivatives  $167,766   $—   $—   $167,766 
                     
Long/Short Credit                    
                     
Common Stocks *  $—   $—   $5,700   $5,700 
Preferred Stocks *   —    275,741    1,950,000    2,225,741 
Corporate Bonds *   —    110,789,497    —    110,789,497 
Term Loans *   —    3,161,326    —    3,161,326 
U.S. Government & Agencies   —    97,065,580    —    97,065,580 
Short-Term Investment   23,835,824    —    —    23,835,824 
Collateral for Securities Loaned   —    1,859,875    —    1,859,875 
Total Assets  $23,835,824   $213,152,019   $1,955,700   $238,943,543 
Assets - Derivatives                    
Futures Contracts  $3,782,253   $—   $—   $3,782,253 
Credit Default Swap Contracts   —    31,716    —    31,716 
Total Asset Derivatives  $3,782,253   $31,716   $—   $3,813,969 
Liabilities - Derivatives 
Credit Default Swap Contracts  $—   $949,322   $—   $949,322 
Total Return Swap Contracts   —    50,233    —    50,233 
Total Liability Derivatives  $—   $999,555   $—   $999,555 
                     
Monthly Distribution                
                 
Assets  Level 1   Level 2   Level 3   Total 
Closed-End Fund  $—   $—   $9,257,933   $9,257,933 
Common Stocks *   167,882,044    —    72,063    167,954,107 
Rights   —    —    38,300    38,300 
Purchased Put Options   16,500    —    —    16,500 
Short-Term Investment   27,712,594    —    —    27,712,594 
Collateral for Securities Loaned   —    21,014,292    —    21,014,292 
Total Assets  $195,611,138   $21,014,292   $9,368,296   $225,993,726 
Liabilities-Derivatives                    
Written Options  $277,200   $—   $—   $277,200 
Total Liability Derivatives  $277,200   $—   $—   $277,200 
Liabilities                    
Securities Sold Short  $43,174,936   $—   $—   $43,174,936 
Total Liabilities  $43,174,936   $—   $—   $43,174,936 
Assets - Derivatives                    
Forward Foreign Currency Exchange Contracts  $—   $883,883   $—   $883,883 
Total Asset Derivatives  $—   $883,883   $—   $883,883 
Liabilities - Derivatives                    
Forward Foreign Currency Exchange Contracts  $—   $286,787   $—   $286,787 
Total Liability Derivatives  $—   $286,787   $—   $286,787 

156

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

Real Estate Stock

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stocks *  $20,111,352   $—   $—   $20,111,352 
REITs *   56,031,612    —    —    56,031,612 
Short-Term Investment   343,281    —    —    343,281 
Collateral for Securities Loaned   —    25,124,488    —    25,124,488 
Total  $76,486,245   $25,124,488   $—   $101,610,733 

 

*See each Fund’s Schedule of Investments for breakdown by industry.

 

The following is a reconciliation for the Funds for which Level 3 inputs were used in determining value:

 

   Beginning       Change in                   Net   Ending 
   balance   Total   unrealized               Net   transfers   balance 
   October 31,   realized   appreciation/       Net       transfers   (out) of   October 31, 
   2021   gain/(loss)   (depreciation)   Conversion   Purchases   Net Sales   into Level 3   Level 3   2022 
High-Yield Bond                                             
Common Stock  $4,809   $—   $1,992,409   $320,232   $—   $—   $—   $—   $2,317,450 
Convertible Bond   402,273    —    (97,290)   (320,232)   15,249    —    —    —    — 
Emerging Markets                                             
Magnit PJSC   —    —    (21,020)   —    —    —    21,020    —    — 
Gazprom PJSC   —    —    (88,179)   —    —    —    88,179    —    — 
International Stock                                             
Sberbank of Russia PJSC   —    —    (321,908)   —    —    —    321,908    —    — 
PhosAgro PJSC   —    —    (397,600)   —    —    —    397,600    —    — 
Tatneft PJSC   —    —    (18,997)   —    —    —    18,997    —    — 
Gazprom PJSC   —    —    (57,988)   —    —    —    57,988    —    — 
LUKOIL PJSC   —    —    (469,941)   —    —    —    469,941    —    — 
Rosneft Oil Company PJSC   —    —    (262,231)   —    —    —    262,231    —    — 
VTB Bank PJSC   —    —    (172,036)   —    —    —    172,036    —    — 
MMC Norilsk Nickel PJSC   —    —    (313,796)   —    —    —    313,796    —    — 
Gazprom PJSC   —    —    (96,283)   —    —    —    96,283    —    — 
Long/Short Credit                                             
Common Stock   5,700    —    —    —    —    —    —    —    5,700 
Preferred Stock   2,060,000    —    (110,000)   —    —    —    —    —    1,950,000 
Monthly Distribution                                             
Closed End Fund   7,199,576    —    (6,413,726)   —    8,472,083    —    —    —    9,257,933 
Common Stock   61,768    —    10,295    —    —    —    —    —    72,063 
Rights   10,079    —    28,221    —    —    —    —    —    38,300 

157

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

Quantitative disclosures of unobservable inputs and assumptions used by High-Yield Bond, Long/Short Credit, Monthly Distribution, Emerging Markets Stock and International Stock are below:

 

Investments in Securities:               Impact to valuation
             Input  from an increase
   Fair Value   Valuation Techniques  Unobservable Input  Range  in input
High-Yield Bond                 
  Common Stock                 
                  
  Hi-Crush*  $2,317,450   Market comparable  Enterprise value/EBITDA  4.2x  Increase
        companies(a)  Market Discount  30%  Decrease
Total Fair Value Securities  $2,317,450             

 

*Holding executed a 50,000:1 reverse stock split on 10/31/22.

 

(a)During the year ended October 31, 2022, the Fund changed its valuation technique from a prior transaction approach to a market comparable approach

 

Emerging Markets             
  Common Stock             
  Magnit PJSC   —   Market Approach  Discount for lack of marketability (DLOM)  100%
  Gazprom PJSC   —   Market Approach  Discount for lack of marketability (DLOM)  100%
  Total Fair Value Securities  $—          
                 
International Stock              
  Common Stock              
  Sberbank of Russia PJSC   —   Market Approach  Discount for lack of marketability (DLOM)  100%
  PhosAgro PJSC   —   Market Approach  Discount for lack of marketability (DLOM)  100%
  Tatneft PJSC   —   Market Approach  Discount for lack of marketability (DLOM)  100%
  Gazprom PJSC   —   Market Approach  Discount for lack of marketability (DLOM)  100%
  LUKOIL PJSC   —   Market Approach  Discount for lack of marketability (DLOM)  100%
  Rosneft Oil Company PJSC   —   Market Approach  Discount for lack of marketability (DLOM)  100%
  VTB Bank PJSC   —   Market Approach  Discount for lack of marketability (DLOM)  100%
  MMC Norilsk Nickel PJSC   —   Market Approach  Discount for lack of marketability (DLOM)  100%
  Gazprom PJSC   —   Market Approach  Discount for lack of marketability (DLOM)  100%
  Total Fair Value Securities  $—          
                 
Long/Short Credit              
  Common Stock              
  NII Holdings, Inc.   5,700   Broker Quote  Indicative Value  $0.57
  Preferred Stock              
  UIRC-GSA International, LLC   1,950,000   Broker Quote  Indicative Value  $975 - $1,023
  Total Fair Value Securities  $1,955,700          
                 
Monthly Distribution              
  Closed End Fund              
  Altaba, Inc.   $9,257,933   Broker Quote  Indicative Value  $3.75 - $6.50
  Common Stock              
  NII Holdings, Inc.   72,063   Broker Quote  Indicative Value  $0.30
  Rights              
  Zogenix, Inc. CVR   38,300   Broker Quote  Indicative Value  $0.75

 

b. Foreign Currency Translations – The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency, and income receipts and expense payments, are translated into U.S. dollars using the prevailing exchange rates at the London market close. Purchases and sales of securities are translated into U.S. dollars at the contractual currency rates established at the approximate time of the trade.

 

Net realized gains and losses on foreign currency transactions represent net gains and losses from currency realized between the trade and settlement dates on securities transactions and the difference between income accrued versus income received and are included with the net realized and unrealized gain or loss on investment securities. The effects of changes in foreign currency exchange rates on investments in securities are included with the net realized and unrealized gain or loss on investment securities.

158

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

c. Forward Foreign Currency Exchange Contracts – As foreign securities are purchased, a Fund generally enters into forward foreign currency exchange contracts in order to hedge against foreign currency exchange rate risks. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. A Fund may also enter into forward foreign currency exchange contracts as an investment strategy consistent with that Fund’s investment objective. Realized gains and losses from contract transactions are included as a component of net realized gains (losses) from investments and forward foreign currency exchange contracts in the Statements of Operations.

 

d. Options – Dynamic Macro and Monthly Distribution are subject to stock market risk in the normal course of pursuing their investment objectives and may purchase or sell options to help hedge against this risk.

 

A Fund may write call options only if it (i) owns an offsetting position in the underlying security or (ii) has an absolute or immediate right to acquire that security without additional cash consideration or exchange of other securities held in its portfolio. When a Fund writes an option, there is no taxable event and an amount equal to the premium received is recorded by that Fund as a liability. The liability is thereafter valued to reflect the current value of the option. If the option is not exercised and expires, or if a Fund effects a closing purchase transaction, the Fund realizes a gain (or loss in the case of a closing purchase transaction where the cost to close the transaction exceeds the original premium received), and the liability related to the option is extinguished. Any such gain or loss generally is a short -term capital gain or loss for federal income tax purposes. If a call option that a Fund has written on any equity security is exercised, that Fund will realize a capital gain or loss (long-term or short-term, depending on the holding period of the underlying security) from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. If a put option that a Fund has written on an equity security is exercised, the amount of the premium originally received reduces the cost of the security that a Fund purchases upon exercise of the option. When a Fund writes a put option, that Fund must deposit cash or liquid securities into a segregated account equal to the put option’s exercise value (number of shares times strike price).

 

A Fund may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in that Fund’s portfolio. If such a decline occurs, the put options will permit that Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by that Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to that Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to that Fund, the benefits realized by that Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities.

 

e. Cash – The Funds consider their investments in an FDIC insured interest bearing savings account to be cash. The Funds maintain cash balances, which, at times, may exceed federally insured limits. The Funds maintain these balances with a high quality financial institution.

 

f. Swap Agreements – International Opportunity Bond, Long/Short Credit and Monthly Distribution may enter into interest rate, index, total return, credit default and currency exchange rate swap agreements in attempts to obtain a particular desired return at a lower cost to the Fund than if the Fund has invested directly in an instrument that yielded that desired return. These are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments. The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statements of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statements of Assets and Liabilities and may be referred to as upfront payments. The Funds amortize upfront payments and/or accrue for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statements of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statements of Operations. The Funds segregate liquid securities having a value at least equal to the amount of its current obligation under any swap transaction.

 

g. Swaps Risk. The Fund may use swaps to enhance returns and manage risk. The Fund’s use of swaps involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. These risks include (i) the risk that the counterparty to a derivative transaction may not fulfill its contractual obligations; (ii) risk of mispricing or improper valuation; and (iii) the risk that changes in the value of the derivative may not correlate perfectly with the underlying asset, rate or index. Derivative prices are highly volatile and may fluctuate substantially during a short period of time. Such prices are influenced by numerous factors that affect the markets, including, but not limited to: changing supply and demand relationships; government programs and policies; national and international political and economic events, changes in interest rates, inflation and deflation and changes in supply and demand relationships. Trading derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities. Derivative contracts ordinarily have leverage inherent in their terms. The low margin deposits normally required in trading derivatives, including futures contracts, permit a high degree of leverage. Accordingly, a relatively small price movement may result in an immediate and substantial loss to the Fund. The use of leverage may also cause the Fund to liquidate portfolio

159

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

positions when it would not be advantageous to do so in order to satisfy its obligations or to meet collateral segregation requirements. The use of leveraged derivatives can magnify the Fund’s potential for loss and, therefore, amplify the effects of market volatility on the Fund’s share price.

 

h. Futures Contracts – International Opportunity Bond, Dynamic Macro, and Long/Short Credit are subject to equity risk, interest rate risk and forward currency exchange rate risk in the normal course of pursuing their investment objectives. The Funds may purchase or sell futures contracts to gain exposure to, or hedge against, changes in the value of equities, interest rates, and foreign exchange rates. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Fund’s agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, the Funds recognize a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. If the Funds were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Funds would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. The Funds segregate cash having a value at least equal to the amount of the current obligation under any open futures contract. Risks may exceed amounts recognized in the Statements of Assets and Liabilities. With futures, there is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

 

i. Short Sales – The Funds may sell a security that it does not own in anticipation of a decline in the fair value of that security. When the Company sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. A gain, limited to the price at which the Company sold the security short, or a loss, unlimited in size, will be recognized upon the termination of a short sale. The Company is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price. The Company’s borrowing agreements with broker-dealers are not subject to master netting or similar agreements or collateral agreements.

 

j. Impact of Derivatives on the Statements of Assets and Liabilities and Statements of Operations – The following is a summary of the location of derivative investments of each Fund in the Statement of Assets and Liabilities as of October 31, 2022:

 

Location on the Statements of Assets and Liabilities
Derivatives Investment Type Asset Derivatives Liability Derivatives
Equity/Currency/Commodity Investments in securities Option contracts written
Interest rate contracts Unrealized appreciation on futures Unrealized depreciation on futures
  Unrealized appreciation on swap contracts Unrealized depreciation on swap contracts
  Unrealized appreciation on forward foreign currency exchange contracts Unrealized depreciation on forward foreign currency exchange contracts

 

The following table sets forth the fair value of each Fund’s derivative contracts by primary risk exposure as of October 31, 2022:

 

Asset Derivatives Investment Value

 

               Total at 
   Equity   Currency   Interest Rate   October 31, 
   Contracts   Contracts   Contracts   2022 
International Opportunity Bond                    
Forward Foreign Currency Exchange Contracts  $—   $97,690   $—   $97,690 
Futures Contracts   —    —    199,631    199,631 
Dynamic Macro                    
Futures Contracts  $78,872   $—   $30,817   $109,689 
Purchased Options   621,716    —    —    621,716 
Long/Short Credit                    
Credit Default Swap Contracts  $—   $—   $31,716   $31,716 
Futures Contracts   —    —    3,782,253    3,782,253 
Monthly Distribution                    
Forward Foreign Currency Exchange Contracts  $—   $883,883   $—   $883,883 
Purchased Options   16,500    —    —    16,500 

160

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

Liability Derivatives Investment Value

 

   Equity   Currency   Interest Rate   Total at 
   Contracts   Contracts   Contracts   October 31, 2022 
International Opportunity Bond                    
Forward Foreign Currency Exchange Contracts  $—   $49,396   $—   $49,396 
Futures Contracts   —    —    256,927    256,927 
Dynamic Macro                    
Futures Contracts  $123,552   $—   $44,214   $167,766 
Long/Short Credit                    
Total Return Swap Contracts  $50,233   $—   $—   $50,233 
Credit Default Swap Contracts   —    —    949,322    949,322 
Monthly Distribution                    
Forward Foreign Currency Exchange Contracts  $—   $286,787   $—   $286,787 
Written Options   277,200    —    —    277,200 

 

The following is a summary of the location of derivative investments of each Fund in the Statements of Operations for the year ended October 31, 2022.

 

Derivative Investment Type Location of Gain (Loss) on Derivatives
Equity/Currency/Commodity/ Interest rate contracts Net realized gain (loss) from: Futures, Purchased options, Written options, Swap contracts, Forward foreign currency exchange contracts
   
  Net change in unrealized appreciation (depreciation) on: Futures , Purchased options, Written options, Swap contracts, and Forward foreign currency exchange contracts

 

The following is a summary of each Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the year ended October 31, 2022:

 

Realized gain (loss) on derivatives recognized in the Statements of Operations
   Equity   Currency   Interest Rate   Total at 
Derivative Investment type  Contracts   Contracts   Contracts   October 31,2022 
International Opportunity Bond                    
Futures Contracts  $—   $—   $(503,216)  $(503,216)
Forward Foreign Currency Exchange Contracts   —    3,600,349    —    3,600,349 
Dynamic Macro                    
Futures Contracts  $(1,017,648)  $—   $(666,177)  $(1,683,825)
Purchased Options   (321,220)   —    (860,583)   (1,181,803)
Written Options   239,045    —    —    239,045 
Long/Short Credit                    
Futures Contracts  $—   $—   $7,124,065   $7,124,065 
Credit Default Swap Contracts   —    —    1,477,617    1,477,617 
Total Return Swap Contracts   436,113    —    —    436,113 
Monthly Distribution                    
Forward Foreign Currency Exchange Contracts  $—   $2,046,876   $—   $2,046,876 
Purchased Options   7,429    —    —    7,429 
Written Options   568,172    —    —    568,172 

161

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

  

Changes in unrealized appreciation (depreciation) on derivatives recognized in the Statements of Operations
               Total at 
   Equity   Currency   Interest Rate   October 31, 
Derivative Investment type  Contracts   Contracts   Contracts   2022 
International Opportunity Bond                    
Futures Contracts  $—   $—   $20,887   $20,887 
Forward Foreign Currency Exchange Contracts   —    (161,548)   —    (161,548)
Dynamic Macro                    
Futures Contracts  $(144,740)  $—   $248,169   $103,429 
Purchased Options   111,854    —    (329,514)   (217,660)
Written Options   (3,520)   —    —    (3,520)
Long/Short Credit                    
Futures Contracts  $—   $—   $3,390,033   $3,390,033 
Credit Default Swap Contracts   —    —    (941,378)   (941,378)
Total Return Swap Contracts   (50,233)   —    —    (50,233)
Monthly Distribution                    
Forward Foreign Currency Exchange Contracts  $—   $669,501   $—   $669,501 
Purchased Options   (6,356)   —    —    (6,356)
Written Options   (14,434)   —    —    (14,434)

 

The average notional value of the derivative instruments for the year ended October 31, 2022 is disclosed below:

 

   Average Notional Value 
     
   Long   Short   Purchased   Written   Total Return   Credit Default   Credit Default 
   Futures   Futures   Options   Options   Swaps - Long   Swaps - Long   Swaps - Short 
International Opportunity Bond  $13,384,079   $4,416,674   $—   $—   $—   $—   $— 
Dynamic Macro   13,091,893    3,083,606    16,505,750    3,070,500    —    —    — 
Long/Short Credit   —    41,315,004    —    —    14,000,000    87,457,500    17,000,000 
Monthly Distribution   —    —    1,477,452    5,154,919    —    —    — 

 

k. Offsetting of Financial Assets & Liabilities and Derivative Assets & Liabilities – International Opportunity Bond, Dynamic Macro, Long/Short Credit, and Monthly Distribution policies are to recognize a gross asset or liability equal to the unrealized amounts on futures contracts, forward foreign currency exchange contracts, swaps and written options. The following table shows additional information regarding the offsetting of assets and liabilities at October 31, 2022.

162

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

International Opportunity Bond
                  Gross Amounts Not Offset in the     
                  Statements of Assets &     
Assets:                 Liabilities     
          Amounts                 
      Gross   Offset in the   Net Amounts of             
      Amounts of   Statements of   Assets Presented in       Cash     
      Recognized   Assets &   the Statements of   Financial   Collateral     
Description  Counterparty  Assets   Liabilities   Assets & Liabilities   Instruments   Received   Net Amount 
Futures  Barclays  $97,690   $—   $97,690   $(97,690)  $—   $— 
Forward Foreign Currency Exchange Contracts  Barclays   74,699    —    74,699    (1,244)   —    73,455 
   Citigroup Capital Markets   575    —    575    (575)   —    — 
   JP Morgan Chase   22,416    —    22,416    (22,416)   —    — 
Total     $97,690   $—   $97,690   $(121,925)  $—   $73,455 
                                  
                  Gross Amounts Not Offset in the     
                  Statements of Assets &     
Liabilities:                 Liabilities     
          Gross                 
          Amounts                 
      Gross   Offset in the   Net Amounts of             
      Amounts of   Statements of   Liabilities Presented       Cash     
      Recognized   Assets &   in the Statements of   Financial   Collateral     
Description  Counterparty  Liabilities   Liabilities   Assets & Liabilities   Instruments (1)   Pledged   Net Amount 
Futures  Barclays  $(256,927)  $—   $(256,927)  $97,690   $159,237   $— 
Forward Foreign Currency Exchange Contracts  Barclays   (1,244)   —    (1,244)   1,244    —    — 
   Citigroup Capital Markets   (2,552)   —    (2,552)   575    —    (1,977)
   JP Morgan Chase   (45,600)   —    (45,600)   22,416    —    (23,184)
Total     $(49,396)  $—   $(49,396)  $24,235   $—   $(25,161)
                                  

 

(1)The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged.

 

Dynamic Macro
                  Gross Amounts Not Offset in the     
                  Statements of Assets &     
Assets:                 Liabilities     
      Gross   Gross Amounts   Net Amounts of             
      Amounts of   Offset in the   Assets Presented in       Cash     
      Recognized   Statements of   the Statements of   Financial   Collateral     
Description  Counterparty  Assets   Assets & Liabilities   Assets & Liabilities   Instruments   Received   Net Amount 
Futures  Goldman Sachs  $109,689   $—   $109,689   $(109,689)  $—   $— 
Total     $109,689   $—   $109,689   $(109,689)  $—   $— 
                                  
                  Gross Amounts Not Offset in the     
                  Statements of Assets &     
Liabilities:                 Liabilities     
      Gross   Gross Amounts   Net Amounts of             
      Amounts of   Offset in the   Liabilities Presented       Cash     
      Recognized   Statements of   in the Statements of   Financial   Collateral     
Description  Counterparty  Liabilities   Assets & Liabilities   Assets & Liabilities   Instruments (1)   Pledged   Net Amount 
Futures  Goldman Sachs  $(167,766)  $—   $(167,766)  $109,689   $58,077   $— 
Total     $(167,766)  $—   $(167,766)  $109,689   $58,077   $— 
                                  

 

(1)The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged.

163

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

Long/Short Credit 
                  Gross Amounts Not Offset in the     
Assets:                 Statements of Assets & Liabilities     
          Gross Amounts   Net Amounts of             
      Gross Amounts of   Offset in the   Assets Presented in             
      Recognized   Statements of   the Statements of   Financial   Cash Collateral     
Description  Counterparty  Assets   Assets & Liabilities   Assets & Liabilities   Instruments   Received   Net Amount 
Futures Contracts  HSBC  $3,782,253   $—   $3,782,253   $—   $—   $3,782,253 
Credit Default Swaps  Goldman Sachs   31,716    —    31,716    —    —    31,716 
Total     $3,813,969   $—   $3,813,969   $—   $—   $3,813,969 
                                  
                  Gross Amounts Not Offset in the     
Liabilities:                 Statements of Assets & Liabilities     
          Gross Amounts   Net Amounts of             
      Gross Amounts of   Offset in the   Liabilities Presented             
      Recognized   Statements of   in the Statements of   Financial   Cash Collateral     
Description  Counterparty  Liabilities   Assets & Liabilities   Assets & Liabilities   Instruments (1)   Pledged(1)   Net Amount 
Credit Default Swaps  Barclays  $(161,198)  $—   $(161,198)  $—   $—   $(161,198)
Credit Default Swaps  HSBC   (783,959)   —    (783,959)   —    783,959    — 
Credit Default Swaps  JP Morgan   (4,165)   —    (4,165)   —    4,165    — 
Total Return Swap  Barclays   (50,233)   —    (50,233)   —    —    (50,233)
Total     $(999,555)  $—   $(999,555)  $—   $788,124   $(211,431)
                                  

 

(1)The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged.

 

Monthly Distribution Fund 
                  Gross Amounts Not Offset in the     
                  Statements of Assets &     
Assets:                 Liabilities     
          Gross                 
          Amounts                 
      Gross   Offset in the   Net Amounts of             
      Amounts of   Statements of   Assets Presented in       Cash     
      Recognized   Assets &   the Statements of   Financial   Collateral     
Description  Counterparty  Assets   Liabilities   Assets & Liabilities   Instruments   Received   Net Amount 
Forward Foreign Currency Exchange Contracts  US Bank  $883,883   $—   $883,883   $(286,787)  $—   $597,096 
Purchased Options  US Bank   16,500    —    16,500    —    —    16,500 
Total     $900,383   $—   $900,383   $(286,787)  $—   $613,596 
                                  
                  Gross Amounts Not Offset in the     
                  Statements of Assets &     
Liabilities:                 Liabilities     
          Gross                 
      Gross   Amounts   Net Amounts of             
      Amounts of   Offset in the   Liabilities Presented       Cash     
      Recognized   Statements of   in the Statements of   Financial   Collateral     
Description  Counterparty  Liabilities   Assets &   Assets & Liabilities   Instruments (1)   Pledged   Net Amount 
Forward Foreign Currency Exchange Contracts  US Bank  $(286,787)  $—   $(286,787)  $286,787   $—   $— 
Written Options  US Bank   (277,200)   —    (277,200)   277,200    —    — 
Total     $(563,987)  $—   $(563,987)  $563,987   $—   $— 
                                  

 

(1)The amount is limited to the derivative liability balance and accordingly, does not include excess collateral pledged.

164

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

l. Deposits with Broker for Futures, Options and Swaps

 

Fund  Derivative Type  Broker  Deposit with Broker 
International Opportunity Bond  Futures  Barclays  $428,020 
Dynamic Macro  Future Options Purchased  Goldman Sachs   53,857 
Monthly Distribution  Written Options  Morgan Stanley   2,790,000 
Monthly Distribution  Securities Sold Short  JP Morgan   58,824,978 

 

m. Exchanged Traded Funds – The Funds may invest in ETFs. ETFs are a type of index fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities. A Fund may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market while awaiting purchase of underlying securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.

 

n. Investment Transactions, Investment Income and Expenses – Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions and foreign exchange transactions are calculated using the identified cost method. Dividend income less foreign tax withholding (if any), and expense is recorded on the ex-dividend date (“ex-date”) except in the case of certain dividends from foreign securities, which are recorded as soon after the ex-date that the respective Fund, using reasonable diligence, becomes aware of such dividends and foreign tax withholding (If any). Interest income is recorded on an accrual basis. Discounts are accreted and premiums are amortized as adjustments to interest income and the identified cost of investments. Expenses of the Trust that are directly identifiable to a specific Fund are charged to that Fund. Expenses, which are not readily identifiable to a specific Fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the Funds. Each Fund’s income, expenses (other than the class specific distribution fees) and realized and unrealized gains and losses are allocated proportionally each day between the classes based upon the relative net assets of each class. The Fund recharacterizes distributions received from REIT investments based on information provided by the REIT into the following categories: ordinary income, long -term capital gains, and return of capital. If information is not available on a timely basis from the REIT, the recharacterization will be estimated based on available information which may include the previous year’s allocation. If new or additional information becomes available from the REIT at a later date, a recharacterization will be made in the following year. Dividends, less foreign tax withholding (if any), are recorded on the ex-dividend date.

 

o. Foreign Capital Gains Taxes – Foreign Capital Gains taxes are generally based on either income or gains earned or repatriated cash. Foreign Capital Gains tax is provided in accordance with the Funds’ understanding of applicable country’s tax using a tax service in that country. Each Fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains earned. The Trust is monitoring and recording accrued foreign capital gains tax on appreciated securities of $517,603 as of October 31, 2022, on Emerging Markets as shown on the Statement of Assets and Liabilities. For the year ended October 31, 2022, Emerging Markets recorded net change in unrealized depreciation on Accrued Foreign Capital Gains Tax on Appreciated Securities of $110,593 as shown on the Statement of Operations.

 

p. Foreign Tax Reclaims – The Funds are subject to foreign withholding tax imposed by certain foreign countries in which the Funds may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax laws. The Funds may file withholding tax refunds in certain jurisdictions to recover a portion of amounts previously withheld. The Funds will record a receivable for such tax refunds based on several factors including; an assessment of a jurisdiction’s legal obligation to pay reclaims, administrative practices and payment history.

 

q. Concentration of Risk – Investing in securities of foreign issuers and currency transactions may involve certain considerations and risks not typically associated with investments in the United States. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region. These conditions could cause the securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. government securities.

 

Small capitalization (“small cap”) companies may be more vulnerable than larger capitalization companies to adverse business or economic developments. Small cap companies may also have limited product lines, markets or financial resources, and may be dependent on a relatively small management group. Securities of such companies may be less liquid and more volatile than securities of larger capitalization companies or the market averages in general and therefore may involve greater risk than investing in larger capitalization companies.

 

The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic and political developments particular to a specific industry, country, state or region. Investments in lower grade debt securities are subject to special risks, including greater price volatility and a greater risk of loss of principal and interest.

165

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

Certain Funds may invest in collateralized mortgage obligations which are secured by groups of individual mortgages, but are similar to a conventional bond where the investor looks only to the issuer for payment of principal and interest. Although the obligations are recourse obligations to the issuer, the issuer typically has no significant assets, other than assets pledged as collateral for the obligations, and the market value of the collateral, which is sensitive to interest rate movements, may affect the market value of the obligations. A public market for a particular collateralized mortgage obligation may or may not develop and thus, there can be no guarantee of liquidity of an investment in such obligations.

 

The risk in writing a call option is that a Fund may forgo the opportunity of profit if the market value of the underlying security increases and the option is exercised, although any potential loss is reduced by the amount of option premium received. The risk in writing a put option is that a Fund may be called on to pay the exercise price of the option for a security that has decreased (potentially to zero) in market price, although any potential loss is reduced by the amount of option premium received. Generally, option transactions also involve risks concerning liquidity of the options market. An illiquid market for an option may limit a Fund’s ability to write options or enter closing transactions. As the options written by the Funds are traded on a national exchange, counterparty and credit risk are limited to the failure of the exchange on which the options are traded.

 

r. LIBOR Risk – The Funds may invest in securities and other instruments whose interest payments are determined by references to a market reference rate such as the London Interbank Offered Rate (“LIBOR”) or the Secured Overnight Financing Rate (“SOFR”).

 

The United Kingdom Financial Conduct Authority, which regulates LIBOR, announced that after 2021 it will cease its active encouragement of banks to provide the quotations needed to sustain LIBOR. On March 5, 2021, ICE Benchmark Administration Limited, the administrator of LIBOR, announced its intention to cease publishing a majority of the USD LIBOR rates after publication on June 30, 2023, with the one week and two months USD LIBOR rates to cease after publication on December 31, 2021. The U.S. Federal Reserve, based on the recommendations of the Alternative Reference Rates Committee (comprised of major derivative market participants and their regulators), has begun publishing SOFR, a broad measure of secured overnight U.S. Treasury repo rates, that is intended to replace USD LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. The unavailability of LIBOR presents risks to the Fund, including the risk that any pricing or adjustments to the Fund’s investments resulting from a substitute or alternate reference rate may adversely affect the Fund’s performance and/or NAV. It remains uncertain how such changes would be implemented and the effects such changes would have on the Fund, including any negative effects on the Fund’s liquidity and valuation of the Fund’s investments, issuers of instruments in which the Fund invests and financial markets generally.

 

s. Natural Disaster/Epidemic Risk – Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis, and other severe weather-related phenomena generally, and widespread disease and illness, including pandemics and epidemics, have been and can be highly disruptive to economies and markets. They may adversely impact individual companies, sectors, industries, markets, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. For example, the novel coronavirus (COVID -19), which was first detected in 2019, has resulted in, among other things, stressors to healthcare service infrastructure, country border closings, business and school closings, and disruptions to supply chains and customer activity. Natural disaster/epidemic risk could have a significant adverse impact on the Funds’ portfolio investments.

 

t. Emerging Markets Risk – Emerging market countries may have relatively unstable governments, weaker economies, and less -developed legal systems which do not protect securities holders. Emerging market economies may be based on only a few industries and security issuers may be more susceptible to economic weakness and more likely to default. Emerging market securities also tend to be less liquid.

 

u. Foreign Investing Risk – Investments in foreign countries are subject to currency risk and country-specific risks such as political, diplomatic, regional conflicts, terrorism, war, social and economic instability, and policies that have the effect of decreasing the value of foreign securities. Foreign countries may be subject to different trading settlement practices, less government supervision, less publicly available information, limited trading markets and greater volatility than U.S. investments.

 

v. Federal Income Taxes – It is each Fund’s policy to continue to comply with all sections of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income and gains, if any, to its shareholders and therefore, no provision for federal income tax has been made. Each Fund is treated as a separate taxpayer for federal income tax purposes. The Funds recognize the tax benefits of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed the tax positions in the open tax years of 2019 to 2021 and expected to be taken in tax year 2022 and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken in the above open tax years. The Funds identify their major tax jurisdiction as U.S. Federal and California. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties. Generally tax authorities can examine tax returns filed for the last three years.

 

w. Distributions to Shareholders – It is each Fund’s policy to distribute its respective net investment income and net capital gains, if any, annually except for Corporate/Government Bond, Floating Rate Bond, High-Yield Bond, International Opportunity Bond, Long/Short Credit, and Monthly Distribution which will distribute their respective net investment income, if any, monthly. Distributions of net investment income and net capital gains are determined in accordance with income tax regulations which may differ from GAAP. Differences in dividends from net investment income per share between the classes are due to service and distribution related expenses.

166

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

Dividends and distributions to shareholders are recorded on ex-date. Monthly Distribution’s distribution policy is to make twelve monthly distributions to shareholders. The level of monthly distributions (including any return of capital) is not fixed but is expected to be at or near the level of the prime interest rate (“Prime Rate”). Additionally, Monthly Distribution’s distribution policy is not designed to generate, and is not expected to result in, distributions that equal a fixed percentage of Monthly Distribution’s current net asset value per share. Shareholders receiving periodic payments from Monthly Distribution may be under the impression that they are receiving net income. However, all or a portion of a distribution may consist of a return of capital. Shareholders should not assume that the source of a distribution from Monthly Distribution is net income.

 

x. Real Estate Investment Trusts – Real Estate Stock invests primarily in REITs. Distributions from REITs may be characterized as dividends, capital gains, and/or return of capital.

 

y. Indemnification – The Trust indemnifies its officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, each Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnities. A Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss due to these warranties and indemnities to be remote.

 

3.INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES

 

a.Management Fees – Dunham & Associates serves as each Fund’s investment adviser. Pursuant to an investment advisory agreement with the Trust, on behalf of the Funds, Dunham & Associates, subject to the supervision of the Board and in conformity with the stated policies of the Funds, manages the operations of the Funds. The Adviser, subject to the review and approval of the Board, selects Sub-Advisers for each Fund and supervises and monitors the performance of each Sub-Adviser. As compensation for its services, each Fund pays the Adviser a fixed fee, accrued daily and paid monthly, based on each Fund’s respective average daily net assets. The Adviser has entered into a Sub-Advisory Agreement with each Sub-Adviser and the Trust, on behalf of each Fund. Under the Sub-Advisory Agreements, each Fund pays the Sub-Adviser a “Fulcrum Fee.” A Fulcrum Fee is a performance fee whereby the Sub-Adviser is rewarded when out-performing, or is penalized when under-performing, a Fund’s benchmark index. As a result of the Fulcrum Fee arrangement, the total annual management fee for a Fund will have a range as shown in the table below.

 

         Sub-Adviser’s
   Management Fee  Adviser’s Portion  Portion
Corporate/Government Bond  0.65% – 0.95%  0.50%  0.15% – 0.45%
Floating Rate Bond  0.78% – 0.98%  0.60%  0.18% – 0.38%
High-Yield Bond  0.82% – 1.02%  0.60%  0.22% – 0.42%
International Opportunity Bond  0.80% – 1.30%  0.60%  0.20% – 0.70%
Large Cap Value  0.75% – 1.15%  0.65%  0.10% – 0.50%
Small Cap Value  0.75% – 1.45%  0.65%  0.10% – 0.80%
Focused Large Cap Growth  0.85% – 1.15%  0.65%  0.20% – 0.50%
Small Cap Growth  0.65% – 1.65%  0.65%  0.00% – 1.00%
Emerging Markets Stock  0.70% – 1.50%  0.65%  0.05% – 0.85%
International Stock  0.95% – 1.65%  0.65%  0.30% – 1.00%
Dynamic Macro  1.05% – 1.75%  0.65%  0.40% – 1.10%
Long/Short Credit  0.70% – 1.80%  0.65%  0.05% – 1.15%
Monthly Distribution  0.87% – 1.63%  0.65%  0.22% – 0.98%
Real Estate Stock  0.80% – 1.40%  0.65%  0.15% – 0.75%

 

Each Fund’s Sub-Advisory Fulcrum Fee is calculated daily using an annual base Sub-Advisory fee of a specified amount of the average daily net assets of the Fund (the “Base Fee”), adjusted by the Fund’s Class N share performance relative to the Fund’s benchmark (the “Performance Fee”). Depending on a Fund’s net performance versus its benchmark, the Sub-Adviser will receive a fee adjustment in accordance with a formula that equates a percentage of out- or under-performance to a percentage of fee increases or decreases, respectively. In addition, some Fulcrum Fees employ a “null zone” around the base fee, whereby small differences in performance versus the benchmark will not trigger a fee increase or decrease. During the first 12 months of the Fulcrum Fee arrangement, the Performance Fee is calculated daily from inception date of the agreement to the calculation date and is applied to the average daily net assets of the Funds during the calculation period. After the initial 12 months, the Performance Fee is calculated on a daily basis based on comparative performance over a rolling 12-month period.

 

Depending on the particular Sub-Advisory Agreement, the Performance Fee can adjust the Base Fee up or down by as much as 100% of the Base Fee, such that the Sub-Advisory fee can vary anywhere from 0.00% (the “Minimum Fee”) to twice the Base Fee (the “Maximum Fee”). However, because each such Sub-Advisory Agreement requires that the Sub -Adviser only be paid out the monthly Minimum Fee during the first year, the Sub-Adviser, in most cases, will receive less compensation until the end of the first year. At the end of the first

167

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

year of the agreement, the Sub-Adviser will be paid a lump sum that reflects the accrued Fulcrum Fee over the year, less any Minimum Fees paid out during the first year. Therefore, in the first year, the Fulcrum Fee methodology has three elements: 1) daily calculation of the Performance Fee and daily accrual of the Fulcrum Fee; 2) monthly payment of the Minimum Fee only (if any); and 3) a lump sum payment at the end of the initial 12-month period of the accrued Fulcrum Fee less the Minimum Fee.

 

By virtue of using average daily net assets over a “rolling” 12-month period for purposes of calculating the Performance Fee while using average daily net assets for the most recent month for purposes of calculating the Base Fee, the actual total Fulcrum Fee paid by the Fund to the Sub-Adviser may be higher or lower than the maximum or minimum annual rates described above if the average daily net assets do not remain constant during the rolling 12-month period. If the Fund is significantly underperforming versus the Index and the Fund’s net assets have declined significantly, the monthly total Fulcrum Fee can be a negative number (although the performance fee rate can never be negative, the Performance Fee can be negative). In such instances, if the negative Fulcrum Fee is not earned back or offset the following month, the Sub-Adviser must reimburse the Fund the amount of the negative Fulcrum Fee within an agreed upon time. Likewise, in the case where the Fund has significantly underperformed versus the Index but net assets have increased significantly, the monthly total Fulcrum Fee can be positive although the performance fee rate may be 0.00%. In such instances, the Fund will pay the Sub-Adviser the monthly Fulcrum Fee.

 

The table below lists the current Sub-Advisers along with their Fulcrum Fee arrangements.

 

        Null Minimum Maximum
Fund Sub-Adviser Benchmark Base Fee Zone Fee Fee
Corporate/Government Bond * Virtus Fixed Income Advisers, LLC Bloomberg Aggregate Bond Index 0.30% +/- 0.15% 0.15% 0.45%
Floating Rate Bond PineBridge Investments LLC Morningstar/LSTA U.S. Leveraged Loan 100 Index 0.28% +/- 0.00% 0.18% 0.38%
High-Yield Bond PineBridge Investments LLC Bloomberg U.S. Corporate High Yield Bond Ba/B 2% Issuer Capped Index 0.32% +/- 0.00% 0.22% 0.42%
International Opportunity Bond * Virtus Fixed Income Advisers, LLC Bloomberg Global ex US Aggregate Bond Index (Hedged) 0.45% +/- 0.00% 0.20% 0.70%
Large Cap Value Rothschild & Co. Asset Management US Inc. Russell 1000 Value Index 0.30% +/- 0.00% 0.10% 0.50%
Small Cap Value Ziegler Capital Management, LLC Russell 2000 Value Index 0.45% +/- 0.00% 0.10% 0.80%
Focused Large Cap Growth The Ithaka Group, LLC Russell 1000 Grow th Index 0.35% +/- 0.30% 0.20% 0.50%
Small Cap Grow th Pier Capital, LLC Russell 2000 Grow th Index 0.50% +/- 0.20% 0.00% 1.00%
Emerging Markets Stock NS Partners Ltd. MSCI Emerging Markets Index (Net) 0.45% +/- 0.00% 0.05% 0.85%
International Stock Arrow street Capital L.P. MSCI All Country World Index ex USA (Net) 0.65% +/- 0.20% 0.30% 1.00%
Dynamic Macro New ton Investment Management North America, LLC IQ Hedge Global Macro Beta Index 0.75% +/- 0.00% 0.40% 1.10%
Long/Short Credit Metlife Investment Advisors, LLC BofA Merrill Lynch US 3-month Treasury Bill Index PLUS 300 bps (3.00%) 0.60% +/- 0.00% 0.05% 1.15%
Monthly Distribution Grantham, Mayo, Van Otterloo & Co., LLC IQ Hedge Market Neutral Total Return Index 0.60% +/- 0.00% 0.22% 0.98%
Real Estate Stock American Assets Capital Advisers, LLC Dow Jones U.S. Real Estate Total Return Index 0.45% +/- 0.00% 0.15% 0.75%

 

*Effective July 1, 2022, Newfleet Asset Management, LLC (“Newfleet”), the sub-adviser to the Dunham Corporate/Government Bond Fund and Stone Harbor Investment Partners, LLC (“Stone Harbor”), the sub-adviser to the Dunham International Opportunity Bond Fund each are a wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”). As part of a restructuring, Virtus transferred the portfolio management team of the Funds from Newfleet and Stone Harbor to a wholly-owned subsidiary of Virtus, Virtus Fixed Income Advisers, LLC.

 

PineBridge Investments, LLC replaced Newfleet Asset Management, LLC as the Sub-Adviser to Floating Rate Bond. Newfleet Asset Management, LLC had a Base Fee of 0.28%, a Minimum Fee of 0.10%, and a Maximum Fee of 0.46%.

 

Grantham, Mayo, Van Otterloo & Co., LLC replaced Weiss Multi-Strategy Advisers, LLC as the Sub-Adviser to Monthly Distribution. Weiss Multi-Strategy Advisers, LLC had a Base Fee of 0.60%, a Minimum Fee of 0.22% and a Maximum Fee of 0.98%.

 

b.       Administration, Fund Accounting and Transfer Agency Fees – Gemini Fund Services, LLC (“GFS” or the “Administrator”) serves as the administrator, fund accountant and transfer agent for the Funds. For providing administration services, GFS receives from each Fund a monthly fee based on the combined average daily net assets at the following annual rates; 0.07% on the first $250 million of average net assets; 0.05% on average net assets between $250 million and $500 million; 0.03% on average net assets over $500 million; and 0.01% on average net assets over $1 billion. Such fees are subject to an annual minimum of $400,000 in total for the entire Trust. For providing fund accounting services, GFS receives from the Trust a minimum annual fee of $245,000. For providing transfer agent services, GFS receives from the Trust a minimum annual fee of $214,000.

168

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

Blu Giant, LLC, (“Blu Giant”), an affiliate of GFS, provides EDGAR conversion and filing services as well as some print management services for the Funds on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds. An individual from GFS serves as an officer for the Trust and receives no additional compensation from the Trust for serving in that role.

 

c. Distributor – The Distributor of the Funds is Dunham & Associates (the “Distributor”). The Funds have adopted an Amended and Restated Rule 12b-1 Plan (the “Plan”) in accordance with Rule 12b-1 under the 1940 Act for Class A and Class C shares. The Plan for Class A shares authorizes the Funds to pay distribution fees to the Distributor or other entities on a monthly basis at an annualized rate of up to 0.25% of the average daily net assets attributable to Class A shares. The Plan for Class C shares authorizes the Funds to pay distribution fees at the annualized rate of 0.75% for the equity Funds and 0.50% for the fixed income Funds and shareholder servicing fees at the annualized rate of 0.25% to the Distributor or other entities on a monthly basis based on the average daily net assets attributable to Class C shares. Class N shares do not pay distribution fees or shareholder servicing fees.

 

       12b-1 and Shareholder Service 
   Distributor Sales Charges   Fees Paid to the Distributor 
Fund  Class A   Class A   Class C 
Corporate/Government Bond  $442   $19,694   $20,297 
Floating Rate Bond   446    54,752    49,048 
High-Yield Bond   6,490    31,888    31,902 
International Opportunity Bond   4    18,541    8,469 
Large Cap Value   56,737    58,663    43,301 
Small Cap Value   7,838    26,361    25,775 
Focused Large Cap Growth   49,538    69,178    98,543 
Small Cap Growth   25,559    33,970    26,701 
Emerging Markets Stock   2,495    46,132    27,229 
International Stock   2,470    58,482    49,135 
Dynamic Macro   99    9,407    10,115 
Long/Short Credit   8,421    76,704    42,852 
Monthly Distribution   5,938    79,292    174,644 
Real Estate Stock   9,818    29,915    36,012 

 

d. Trustees’ Fees – The Board has approved the following Trustee compensation schedule: Each Trustee who is not an interested person of the Trust will receive $ 6,250 for each Board meeting attended in-person; $2,500 for all electronically-attended Board meetings; $1,000 for in-person committee meetings and $500 for telephonic committee meetings, unless the committee meeting is on the same day as a Board meeting, in which case the Trustee will not be compensated for the committee meeting. The Funds also reimburse each such Trustee for travel and other expenses incurred in attending meetings of the Board.

 

With the exception of the Trust’s Chief Compliance Officer as discussed below, officers of the Trust and Trustees who are interested persons of the Trust do not receive any compensation from the Trust or any other Funds managed by the Adviser. The Trust has agreed to pay the Adviser a fee in the amount of $107,500 per annum plus an annual discretionary bonus as may be awarded as compensation for providing an officer or employee of the Adviser to serve as Chief Compliance Officer for the Funds (each Fund bearing its pro rata share of the fee), plus the cost of reasonable expenses related to the performance of the Chief Compliance Officer’s duties, including travel expenses, and may compensate the Adviser for the time of other officers or employees of the Adviser who serve in other compliance capacities for the Funds.

 

e. Commission Recapture – During the year ended October 31, 2022, certain Funds had portfolio trades executed with a certain brokers pursuant to a commission recapture agreement under which the brokers returned a portion of the Fund’s brokerage commissions on the Fund’s behalf. Such amounts, under such commission recapture agreement, are included in Commission Recapture in the Funds’ Statements of Operations and will be paid directly by the brokers for the expenses of the Fund. For the year ended October 31, 2022, the amounts received by the Administrator on behalf of certain participating Funds under this arrangement were: Large Cap Value - $3,545, Small Cap Value - $51,398, Focused Large Cap Growth - $6,840 and Small Cap Growth - $21,105.

169

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

4.INVESTMENT TRANSACTIONS

 

The cost of purchases and the proceeds from sales of investments, other than short-term investments, for the year ended October 31, 2022 were as follows:

 

   Purchases   Sale Proceeds       Proceeds of 
   (excluding U.S.   (excluding U.S.   Purchases  of   U.S. 
   Government   Government   U.S. Government   Government 
Fund  Securities)   Securities)   Securities   Securities 
Corporate/Government Bond  $21,267,459   $36,763,825   $3,847,876   $7,647,210 
Floating Rate Bond   106,552,111    108,604,694    —    — 
High-Yield Bond   37,316,549    42,764,028    —    — 
International Opportunity Bond   32,430,985    49,377,382    —    — 
Large Cap Value   55,409,418    35,522,895    —    — 
Small Cap Value   66,314,505    76,870,345    —    — 
Focused Large Cap Growth   66,472,021    15,367,854    —    — 
Small Cap Growth   95,844,987    70,371,026    —    — 
Emerging Markets Stock   92,987,807    75,969,208    —    — 
International Stock   142,095,415    148,568,689    —    — 
Dynamic Macro   6,369,696    8,431,009    —    — 
Long/Short Credit   126,330,943    111,517,456    164,667,995    168,184,662 
Monthly Distribution   571,178,408    469,113,559    —    — 
Real Estate Stock   62,223,838    53,609,605    —    — 

 

5.AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

 

The identified cost of investments in securities owned by each Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation at October 31, 2022, were as follows:

 

       Gross   Gross   Net Unrealized 
   Tax   Unrealized   Unrealized   Appreciation/ 
   Cost   Appreciation   Depreciation   (Depreciation) 
Corporate/Government Bond  $70,255,905   $52,774   $(11,021,251)  $(10,968,477)
Floating Rate Bond   194,210,764    352,116    (13,325,308)  $(12,973,192)
High-Yield Bond   120,984,177    2,252,087    (13,620,226)  $(11,368,139)
International Opportunity Bond   46,176,087    78,177    (12,206,471)  $(12,128,294)
Large Cap Value   157,016,931    42,004,571    (7,205,365)  $34,799,206 
Small Cap Value   88,554,256    9,034,197    (5,711,564)  $3,322,633 
Focused Large Cap Growth   175,194,333    51,212,850    (10,366,012)  $40,846,838 
Small Cap Growth   93,085,682    10,478,597    (10,764,268)  $(285,671)
Emerging Markets Stock   127,368,184    7,145,003    (27,650,662)  $(20,505,659)
International Stock   158,661,571    8,897,113    (26,490,891)  $(17,593,778)
Dynamic Macro   25,025,076    2,030,599    (96,407)  $1,934,192 
Long/Short Credit   251,283,549    520,796    (12,860,802)  $(12,340,006)
Monthly Distribution   189,270,674    20,707,318    (27,436,398)  $(6,729,080)
Real Estate Stock   110,814,473    5,352,059    (14,555,799)  $(9,203,740)

170

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

6.SHARES OF BENEFICIAL INTEREST

 

Following is a summary of shareholder transactions for each Fund for the year ended October 31, 2022 and the year ended October 31, 2021, respectively:

 

For the year ended October 31, 2022:

 

   Class N Shares   Class A Shares 
Fund  Issued   Distributions
Reinvested		   Redeemed   Net Increase
(Decrease) in
Shares		   Issued   Distributions
Reinvested		   Redeemed   Net Increase
(Decrease) in
Shares		 
Corporate/Government Bond   817,831    85,209    (2,281,875)   (1,378,835)   109,812    8,781    (253,792)   (135,199)
Floating Rate Bond   3,679,891    915,144    (5,419,943)   (824,908)   637,236    112,571    (732,330)   17,477 
High-Yield Bond   1,624,016    501,164    (2,885,704)   (760,524)   344,626    64,006    (284,942)   123,690 
International Opportunity Bond   951,013    279,890    (3,837,865)   (2,606,962)   177,128    40,431    (533,448)   (315,889)
Large Cap Value   2,912,920    446,602    (1,607,735)   1,751,787    479,304    80,548    (590,387)   (30,535)
Small Cap Value   1,408,422    466,893    (1,871,938)   3,377    114,363    79,784    (339,853)   (145,706)
Focused Large Cap Growth   2,781,652    298,894    (814,781)   2,265,765    399,032    72,695    (304,591)   167,136 
Small Cap Growth   2,492,192    469,520    (811,754)   2,149,958    354,910    157,070    (423,547)   88,433 
Emerging Markets Stock   2,635,295    598,986    (1,364,956)   1,869,325    407,407    116,720    (235,676)   288,451 
International Stock   2,020,121    1,112,978    (2,357,528)   775,571    271,053    200,445    (408,971)   62,527 
Dynamic Macro   946,512    —    (526,569)   419,943    145,154    —    (74,420)   70,734 
Long/Short Credit   9,358,178    824,061    (7,592,535)   2,589,704    1,628,749    112,406    (1,661,504)   79,651 
Monthly Distribution   1,218,712    265,639    (2,669,761)   (1,185,410)   148,530    43,269    (290,962)   (99,163)
Real Estate Stock   1,704,276    276,975    (1,103,495)   877,756    187,864    42,937    (179,666)   51,135 

 

   Class C Shares 
               Net Increase 
       Distributions       (Decrease) in 
Fund  Issued   Reinvested   Redeemed   Shares 
Corporate/Government Bond   63,722    1,834    (49,990)   15,566 
Floating Rate Bond   145,267    29,211    (137,899)   36,579 
High-Yield Bond   41,266    18,328    (89,039)   (29,445)
International Opportunity Bond   18,020    5,847    (45,612)   (21,745)
Large Cap Value   36,731    16,659    (56,451)   (3,061)
Small Cap Value   39,043    25,308    (58,794)   5,557 
Focused Large Cap Growth   46,527    30,182    (83,289)   (6,580)
Small Cap Growth   35,698    59,612    (48,074)   47,236 
Emerging Markets Stock   27,725    18,531    (39,801)   6,455 
International Stock   26,877    45,942    (66,142)   6,677 
Dynamic Macro   12,639    —    (20,596)   (7,957)
Long/Short Credit   78,007    14,234    (133,224)   (40,983)
Monthly Distribution   58,752    39,360    (189,647)   (91,535)
Real Estate Stock   24,383    17,077    (57,259)   (15,799)

171

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

For the year ended October 31, 2021:

 

   Class N Shares   Class A Shares 
   Issued   Distributions
Reinvested		   Redeemed   Net Increase
(Decrease) in
Shares		   Issued   Distributions
Reinvested		   Redeemed   Net Increase
(Decrease) in
Shares		 
Corporate/Government Bond   2,571,070    76,601    (1,438,091)   1,209,580    300,737    7,657    (230,635)   77,759 
Floating Rate Bond   5,351,926    568,208    (2,302,539)   3,617,595    658,582    70,313    (522,843)   206,052 
High-Yield Bond   3,209,083    417,822    (2,063,754)   1,563,151    486,892    51,404    (450,739)   87,557 
International Opportunity Bond   3,137,730    150,297    (1,054,346)   2,233,681    493,131    20,931    (253,857)   260,205 
Large Cap Value   2,073,516    57,194    (929,585)   1,201,125    474,985    9,622    (344,911)   139,696 
Small Cap Value   1,219,879    33,238    (921,729)   331,388    207,777    5,343    (279,909)   (66,789)
Focused Large Cap Growth   1,121,718    71,719    (854,301)   339,136    247,268    21,228    (346,540)   (78,044)
Small Cap Growth   802,528    264,776    (781,005)   286,299    412,070    96,686    (353,188)   155,568 
Emerging Markets Stock   2,092,748    6,610    (627,775)   1,471,583    382,656    —    (195,128)   187,528 
International Stock   2,221,567    51,395    (1,426,685)   846,277    292,871    8,406    (409,741)   (108,464)
Dynamic Macro   444,180    12,928    (948,346)   (491,238)   96,728    1,231    (248,391)   (150,432)
Long/Short Credit   10,900,459    337,097    (2,587,285)   8,650,271    1,611,447    43,938    (451,389)   1,203,996 
Monthly Distribution   2,632,603    179,526    (879,031)   1,933,098    267,118    30,920    (275,516)   22,522 
Real Estate Stock   1,461,477    254,742    (523,737)   1,192,482    212,275    50,131    (199,730)   62,676 

 

   Class C Shares 
               Net Increase 
       Distributions       (Decrease) in 
Fund  Issued   Reinvested   Redeemed   Shares 
Corporate/Government Bond   50,783    1,367    (66,271)   (14,121)
Floating Rate Bond   93,059    18,350    (142,503)   (31,094)
High-Yield Bond   65,582    15,875    (98,540)   (17,083)
International Opportunity Bond   43,835    2,642    (32,355)   14,122 
Large Cap Value   40,306    898    (91,267)   (50,063)
Small Cap Value   37,233    396    (65,054)   (27,425)
Focused Large Cap Growth   62,773    7,708    (58,166)   12,315 
Small Cap Growth   40,462    36,644    (46,900)   30,206 
Emerging Markets Stock   35,011    —    (47,386)   (12,375)
International Stock   35,002    166    (72,293)   (37,125)
Dynamic Macro   12,245    —    (39,975)   (27,730)
Long/Short Credit   187,707    7,336    (128,490)   66,553 
Monthly Distribution   77,973    32,470    (237,893)   (127,450)
Real Estate Stock   80,019    15,851    (40,378)   55,492 

172

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

7.DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

The tax character of dividends paid during the year ended October 31, 2022 and October 31, 2021 was as follows:

 

For fiscal year ended  Ordinary   Long-Term   Return of     
10/31/2022  Income   Capital Gains   Capital   Total 
Corporate/Government Bond **  $1,283,066   $—   $—   $1,283,066 
Floating Rate Bond **   9,317,486    —    —    9,317,486 
High-Yield Bond **   5,031,200    —    —    5,031,200 
International Opportunity Bond **   2,626,747    22,444    —    2,649,191 
Large Cap Value   3,915,866    6,478,567    —    10,394,433 
Small Cap Value   8,413,359    1,402,225    —    9,815,584 
Focused Large Cap Growth   —    16,249,986    219    16,250,205 
Small Cap Growth   7,792,974    6,672,424    —    14,465,398 
Emerging Markets Stock   10,055,268    1,701,647    52,753    11,809,668 
International Stock   15,859,343    9,039,564    —    24,898,907 
Dynamic Macro   —    —    —    — 
Long/Short Credit **   4,824,117    4,459,491    —    9,283,608 
Monthly Distribution **   —    2,080,414    8,864,457    10,944,871 
Real Estate Stock   4,858,847    1,798,209    —    6,657,056 
                     
For fiscal year ended  Ordinary   Long-Term   Return of     
10/31/2021  Income   Capital Gains   Capital   Total 
Corporate/Government Bond **  $1,245,650   $—   $—   $1,245,650 
Floating Rate Bond **   6,071,064    —    —    6,071,064 
High-Yield Bond **   4,596,419    —    —    4,596,419 
International Opportunity Bond   1,625,612    —    —    1,625,612 
Large Cap Value   1,058,479    —    —    1,058,479 
Small Cap Value   567,981    —    —    567,981 
Focused Large Cap Growth   —    3,869,872    —    3,869,872 
Small Cap Growth   4,242,651    5,463,358    —    9,706,009 
Emerging Markets Stock *   451,197    —    —    451,197 
International Stock *   1,683,689    70,762    —    1,754,451 
Dynamic Macro   148,493    —    19    148,512 
Long/Short Credit **   3,870,741    —    —    3,870,741 
Monthly Distribution **   5,009,573    —    3,079,712    8,089,285 
Real Estate Stock   —    6,116,623    —    6,116,623 

 

*The difference between ordinary distributions paid from book and ordinary distributions paid from tax relates to allowable foreign tax credits of $608,514 and $325,296 for fiscal year ended October 31, 2021 for the International Stock Fund and Emerging Markets Fund respectively, which have been passed through to the Funds’ underlying shareholders and are deemed dividends for tax purposes.

 

**Differences in distributions between the Statement of Changes paid from book and tax on the income funds relate to the adjustments for dividends payable for tax purposes.

173

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

As of each of the Fund’s tax year-ended October 31, 2022, the components of distributable earnings on a tax basis were as follows:

 

   Undistributed   Undistributed   Post October Loss   Capital Loss   Other   Unrealized   Total 
   Ordinary   Long-Term   and   Carry   Book/Tax   Appreciation/   Accumulated 
Fund  Income   Capital Gains   Late Year Loss   Forwards   Differences   (Depreciation)   Earnings/(Deficits) 
Corporate/Government Bond  $24,329   $—   $—   $(2,712,875)  $(861)  $(10,968,477)  $(13,657,884)
Floating Rate Bond   38,141    —    —    (17,608,536)   (6,941)   (12,973,192)   (30,550,528)
High-Yield Bond   286,052    —    —    (9,319,504)   (3,993)   (11,368,139)   (20,405,584)
International Opportunity Bond   920,661    —    —    (4,926,378)   (328)   (12,130,457)   (16,136,502)
Large Cap Value   2,218,350    1,821,227    —    —    —    34,799,206    38,838,783 
Small Cap Value   229,345    4,258,010    —    —    —    3,322,633    7,809,988 
Focused Large Cap Growth   —    —    (1,060,493)   (5,341,162)   —    40,846,838    34,445,183 
Small Cap Growth   —    —    (351,639)   (13,327,687)   —    (285,671)   (13,964,997)
Emerging Markets Stock   —    —    —    (13,842,922)   —    (20,508,839)   (34,351,761)
International Stock   4,374,807    —    —    (2,486,969)   —    (17,648,250)   (15,760,412)
Dynamic Macro   —    —    (189,104)   (1,866,721)   —    1,934,781    (121,044)
Long/Short Credit   250,513    2,144,449    —    —    (24,592)   (12,343,800)   (9,973,430)
Monthly Distribution   —    —    (2,909,987)   —    (46,343)   (6,732,970)   (9,689,300)
Real Estate Stock   163,478    —    —    (10,656,594)   —    (9,203,740)   (19,696,856)

 

The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income and accumulated net realized gain from security transactions are primarily attributable to the tax deferral of losses on wash sales, the mark-to-market treatment of open forward foreign currency, swap and 1256 futures and options contracts, and adjustments for partnerships, perpetual bonds, debt modification, defaulted income bonds, passive foreign investment companies, C Corporation return of capital distributions and dividend payable. The unrealized appreciation (depreciation) in the table above includes unrealized foreign currency gains (losses) for the Funds. In addition, the amount listed under other book/tax differences are primarily attributable to the tax deferral of losses on straddles and tax adjustments for accrued dividend payable.

 

Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds incurred and elected to defer such late year losses as follows:

 

   Late Year 
Fund  Losses 
Corporate/Government Bond  $— 
Floating Rate Bond   — 
High-Yield Bond   — 
International Opportunity Bond   — 
Large Cap Value   — 
Small Cap Value   — 
Focused Large Cap Growth   1,060,493 
Small Cap Growth   351,639 
Emerging Markets Stock   — 
International Stock   — 
Dynamic Macro   189,104 
Long/Short Credit   — 
Monthly Distribution   2,909,987 
Real Estate Stock   — 

174

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

At October 31, 2022, the following Funds had capital loss carryforwards for federal income tax purposes available to offset future capital gains as follows:

 

               Capital Loss Carry 
Fund  Short-Term   Long-Term   Total   Forward Utilized 
Corporate/Government Bond  $1,842,909   $869,966   $2,712,875   $— 
Floating Rate Bond   3,989,496    13,619,040    17,608,536    — 
High-Yield Bond   3,573,016    5,746,488    9,319,504    — 
International Opportunity Bond   1,875,030    3,051,348    4,926,378    — 
Large Cap Value   —    —    —    — 
Small Cap Value   —    —    —    — 
Focused Large Cap Growth   3,387,897    1,953,265    5,341,162    — 
Small Cap Growth   13,126,776    200,911    13,327,687    — 
Emerging Markets Stock   11,512,090    2,330,832    13,842,922    — 
International Stock   2,486,969    —    2,486,969    — 
Dynamic Macro   1,600,090    266,631    1,866,721    — 
Long/Short Credit   —    —    —    — 
Monthly Distribution   —    —    —    — 
Real Estate Stock   10,656,594    —    10,656,594    — 

 

During the fiscal year ended October 31, 2022, the Funds utilized tax equalization which is the use of earnings and profits distributions to shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. Permanent book and tax differences, primarily attributable to the reclassification of net operating losses, fund distributions, the use of tax equalization credits and adjustments for prior year tax returns resulted in reclassification for the tax year ended October 31, 2022, as follows:

 

   Paid     
   In   Accumulated 
Fund  Capital   Earnings (Loss) 
Corporate/Government Bond  $—   $— 
Floating Rate Bond   —    — 
High-Yield Bond   —    — 
International Opportunity Bond   —    — 
Large Cap Value   507,753    (507,753)
Small Cap Value   1,103,718    (1,103,718)
Focused Large Cap Growth   (1,958,732)   1,958,732 
Small Cap Growth   (802,049)   802,049 
Emerging Markets Stock   (24,229)   24,229 
International Stock   1,361,474    (1,361,474)
Dynamic Macro   (578,223)   578,223 
Long/Short Credit   94,662    (94,662)
Monthly Distribution   (250,921)   250,921 
Real Estate Stock   3,781    (3,781)

 

Net assets were unaffected by the above reclassifications.

175

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

8.LINE OF CREDIT

 

Currently, the Funds have a $50,000,000 uncommitted line of credit provided by U.S. Bank National Association (the “Bank”) under an agreement (the “Uncommitted Line”). Any advance under the Uncommitted Line is contemplated primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable on an annualized basis at rate of Prime less .5%. The Uncommitted Line is not a “committed” line of credit, which is to say that the Bank is not obligated to lend money to a Fund. Accordingly, it is possible that a Fund may wish to borrow money for a temporary or emergency purpose but may not be able to do so. Based only on the days borrowed, the average amount of borrowings outstanding were as follows:

 

   Average borrowing   Largest Outstanding       Average 
Fund  outstanding   Balance   Loan Outstanding   borrowing rate 
Corporate/Government Bond  $758,733   $5,912,000   $—    3.10%
Floating Rate Bond   3,105,524    9,437,000    —    2.89%
High-Yield Bond   103,000    103,000    —    4.25%
International Opportunity Bond   1,053,056    8,019,000    —    4.69%
Large Cap Value   3,536,250    6,857,000    —    3.18%
Small Cap Value   1,468,278    11,765,000    —    3.98%
Focused Large Cap Growth   —    —    —    0.00%
Small Cap Growth   1,066,714    3,141,000    —    2.75%
Emerging Markets Stock   577,545    1,496,000    —    3.00%
International Stock   475,521    2,327,000    —    2.82%
Dynamic Macro   —    —    —    0.00%
Long/Short Credit   —    —    —    0.00%
Monthly Distribution   1,699,167    3,138,000    —    3.50%
Real Estate Stock   560,949    2,532,000    —    3.19%

 

The interest expense for all the Funds listed is included in interest expense on the statement of operations.

 

9.SECURITIES LENDING

 

The Funds have entered into a Securities Lending Agreement (“Agreement”) with the Bank. Each participating Fund can lend their securities to brokers, dealers and other financial institutions approved by the Board to earn additional income. Loans are collateralized at a value at least equal to 105% of the then current market value of any loaned security that are foreign, or 102% of the then current market value of any other loaned security. International Stock is below the 105% threshold due to market fluctuation. All interest and dividend payments received on securities which are held on loan, provided that there is no material default, will be paid to the respective Fund. A portion of the income generated by the investment in the Funds collateral, net of any rebates paid by the Bank to the borrowers is remitted to the Bank as lending agent and the remainder is paid to the Fund(s).

 

Securities lending income is disclosed in the Funds’ Statements of Operations and is net of fees retained by the counterparty. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the Borrower fails to return them. Should the borrower of the securities fail financially, each Fund has the right to repurchase the securities using the collateral in the open market. The remaining contractual maturity of those transactions are overnight and continuous.

 

As of October 31, 2022 the below table shows the securities loan and collateral for the loan both of which are presented gross on the Statement of Assets and Liabilities. All individual open security loan transactions were overcollateralized. This cash is invested in the Mount Vernon Liquid Assets Portfolio.

 

   Market Value of   Market Value of 
Fund  Loaned Securities   Collateral 
Corporate/Government Bond  $1,687,743   $1,727,778 
Floating Rate Bond   2,798,661    2,857,500 
High-Yield Bond   12,732,323    12,986,938 
International Opportunity Bond (1)   843,562    954,050 
Large Cap Value   22,996,699    23,687,837 
Small Cap Value   20,643,100    21,269,346 
Focused Large Cap Growth   39,116,778    40,261,170 
Small Cap Growth   13,791,494    14,217,406 
Emerging Markets Stock (1)   3,982,690    4,064,003 
International Stock (1)   8,089,227    8,359,136 
Dynamic Macro   —    — 
Long/Short Credit   1,822,771    1,859,875 
Monthly Distribution   20,452,521    21,014,292 
Real Estate Stock   23,881,602    25,124,488 

 

(1)Securities collateralized below 102% or 105% for foreign securities. The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% or 105% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% or 105% due to end of day market movement. The next business day, additional collateral is obtained/received from the borrower to replenish/reestablish 102% or 105%.

176

 

NOTES TO FINANCIAL STATEMENTS
October 31, 2022 (Continued)

 

10.NEW ACCOUNTING PRONOUNCEMENTS

 

In March 2020, FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting (’‘ASU 2020 -04’’). The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact if any, of applying this ASU.

 

11.SUBSEQUENT EVENTS

 

Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.

177

 

(BBD LOGO)

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Board of Trustees and the Shareholders of Dunham Funds

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities of Dunham Corporate/Government Bond Fund, Dunham Floating Rate Bond Fund, Dunham High-Yield Bond Fund, Dunham International Opportunity Bond Fund, Dunham Large Cap Value Fund, Dunham Small Cap Value Fund, Dunham Focused Large Cap Growth Fund, Dunham Small Cap Growth Fund, Dunham Emerging Markets Stock Fund, Dunham International Stock Fund, Dunham Dynamic Macro Fund, Dunham Long/Short Credit Fund, Dunham Monthly Distribution Fund, and Dunham Real Estate Stock Fund, each a series of shares of beneficial interest in Dunham Funds (the “Funds”), including the schedules of investments, as of October 31, 2022, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, the financial highlights for each of the years in the five-year period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of October 31, 2022, and the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended and their financial highlights for each of the years in the five-year period then ended, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities law and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

178

 

Our audits included performing procedures to assess the risk of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2022 by correspondence with the custodian, brokers, agent banks, issuer or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

(-s- BBD, LLP)

 

BBD, LLP

 

We have served as the auditor of one or more of the Funds in the Dunham Funds since 2007.

 

Philadelphia, Pennsylvania

December 30, 2022

179

 

TRUSTEES & OFFICERS (Unaudited)

 

Trustees and officers of the Trust, together with information as to their principal business occupations during the last five years, are shown below. The Funds’ Statement of Additional Information (“SAI”) includes additional information about the Trustees. To obtain a free copy of the SAI, please call the Funds toll free at (888) 3DUNHAM (338-6426) or by writing, via regular mail, to Dunham Funds, c/o Gemini Fund Services, LLC, P.O. Box 541150, Omaha, NE 68154, or, via overnight mail, to Dunham Funds, c/o Gemini Fund Services, LLC, 4221 North 203rd Street, Suite 100, Elkhorn, NE 68022-3474.

 

Each Trustee who is considered an “interested person” of the Trust (as defined in Section 2(a)(19) of the 1940 Act) is indicated by an asterisk next to his name. Unless otherwise noted, the address of each Trustee and Officer is 6020 Cornerstone Court West Suite 300, San Diego, CA 92121.

 

Name, Age
and
Address		 Position(s)
Held
with Trust		 Term of
Office
and
Length of
Time
Served ^		 Principal Occupation(s) During the
Past 5 Years and Current
Directorships		 Number of
Funds in
the Trust
Overseen
by Trustee		 Other
Directorships
During the
Past 5 Years
Non-Interested Trustees
Henry R.
Goldstein
Age:91		 Trustee Since January 2008 Retired; Self-employed consultant/mediator (financial services), 2009–2017; Independent Contractor, RBC Daniels (financial services company for telecom industry), 2007– 2009. 14 None
Paul A.
Rosinack
Age:75		 Trustee Since January 2008 Retired; President/Chief Executive Officer / Director, Qualigen, Inc., (manufacturer of medical products and equipment) 2004–2017. 14 None
Michael J.
Torvinen
Age: 66		 Trustee Since January 2021 Self-employed, Torvinen Accounting and Consulting LLC, August 2014– present. 14 None

180

 

TRUSTEES & OFFICERS (Unaudited) (Continued)

 

Interested Trustees and Officers
Jeffrey A.
Dunham*
Age: 61		 Trustee, Chairman of Board, President & Principal Executive Officer Since January 2008 Chief Executive Officer, Dunham & Associates  Investment Counsel, Inc., (registered investment adviser, broker-dealer and distributor for mutual funds), 1985–present; Chief Executive Officer, Dunham & Associates Holdings, Inc. (holding company), 1999–present; Chief Executive Officer, Dunham & Associates Securities, Inc. (general partner for various limited partnerships), 1986–present; Chief Executive Officer, Asset Managers, Inc. (general partner for various limited partnerships), 1985–present; Chairman and Chief Executive Officer, Dunham Trust Company, 1999–present. 14 None
Denise S.
Iverson
Age: 63		 Treasurer & Principal Financial Officer Since January 2008 Chief Financial Officer, Dunham & Associates Investment Counsel, Inc. (registered investment adviser, broker-dealer, and distributor for mutual funds), 1999–present; Chief Financial Officer, Dunham & Associates Holdings, Inc. (holding company), 1999–present; Chief Financial Officer, Dunham & Associates Securities, Inc. (general partner for various limited partnerships), 1999–present; Chief Financial Officer, Asset Managers, Inc. (general partner for various limited partners), 1999–present; Chief Financial Officer and Director, Dunham Trust Company, 1999– present. N/A N/A
Viktoria
Palermo
Age: 44		 Chief Compliance Officer & AML Officer Since September 2021 Chief Compliance Officer, Dunham & Associates, Investment Counsel, Inc. (registered investment adviser, broker-dealer and distributor for mutual funds), September 2021– present;BSA/AML Compliance Officer, Dunham Trust Company, September 2021-present; Operations Manager (2021), Chief Compliance Officer and AML Officer (2017– 2021), Associate Compliance Officer (2015–2017), Lucia Capital Group. N/A N/A

181

 

TRUSTEES & OFFICERS (Unaudited) (Continued)

 

Helmut Boisch
Age: 43		 Secretary Since March 2022 Chief Operating Officer, Dunham & Associates, Investment Counsel, Inc. (registered investment adviser, broker-dealer and distributor for mutual funds), March 2022–present; Director, Global Head of Vendor Management (2018–2022), Director, Head of Operations Project Management (2017–2018), Vice President, Deputy Chief Compliance Officer (2014–2017), Allianz Global Investors. N/A N/A
Ryan Dykmans
Age: 40		 Assistant Secretary Since October 2015 Chief Investment Officer, August 2022–present, Director of Research, June 2013–July 2022, Senior Investment Analyst,2009–2013, Dunham & Associates Investment Counsel, Inc. (registered investment adviser, broker-dealer and distributor for mutual funds). N/A N/A
James
Colantino
Gemini Fund
Services, LLC
4221 North
203rd Street,
Suite 100,
Elkhorn,
Nebraska
68022
Age: 53		 Assistant Treasurer Since January 2008 Senior Vice President – Fund Administration, (2012–present), Vice President (2004–2012), Senior Fund Administrator (1999–2004), Gemini Fund Services, LLC. N/A N/A

 

^Each Trustee will serve an indefinite term until his successor, if any, is duly elected and qualified. Officers of the Trust are elected annually.

 

The Fund’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and is available free of charge, upon request, by calling toll-free at (800) 442-4358.

182

 

ADDITIONAL INFORMATION (Unaudited)

 

Dunham Corporate/Government Bond Fund

15(c) BOARD CONSIDERATIONS

June 21, 2022

 

I.Background

 

On June 21, 2022, the Board of Trustees (the “Board”) of Dunham Funds (the “Trust”), a Delaware business trust, met to consider, among other things, a new sub-advisory agreement (the “Sub-Advisory Agreement”) for the following Trust series (the “Fund”):

 

Fund Sub-Advisory Agreement
Dunham Corporate/Government Bond Fund Virtus Fixed Income Advisers, LLC

 

The Sub-Advisory Agreement with Virtus Fixed Income Advisers, LLC (“VFIA” or the “Sub-Adviser”) would take effect on or about July 1, 2022. VFIA would take over sub-advisory responsibilities from the current sub-adviser, Newfleet Asset Management, LLC (“Newfleet”). Virtus Investment Partners, Inc. (“Virtus”) is the ultimate parent company of VFIA and Newfleet.

 

In considering the Sub-Advisory Agreement, the Independent Trustees had requested and reviewed materials that Dunham & Associates Investment Counsel, Inc. (the “Adviser”) and the Sub-Adviser provided prior to and during the meeting. The Independent Trustees also had reviewed a memorandum from Fund counsel that addressed their fiduciary duties pertaining to the new Sub-Advisory Agreement and the factors they should consider in evaluating the Sub-Advisory Agreement.

 

Among other information, the Adviser and VFIA provided information to assist the Independent Trustees in assessing the nature, extent and quality of services provided, information comparing the investment performance, sub-advisory fees and operating expense ratio of the Fund to other funds, information about estimated profitability and/or financial condition and compliance and regulatory matters. The Board determined that, given the totality of the information provided with respect to the Sub-Advisory Agreement, the Board had received sufficient information to approve the Sub-Advisory Agreement. While the Board reviewed all the information provided, it focused on material sub-advisory changes due to the Newfleet reorganization.

 

Based upon its review, the Board concluded that it was in the best interests of the Fund that the Sub-Advisory Agreement be approved. In considering the approval of the Sub-Advisory Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, and considered a variety of factors in its analysis, including those discussed below. The Board did not allot a particular weight to any one factor or group of factors.

 

II.Sub-Advisory Agreement

 

Nature, Extent and Quality of Services. In considering the approval of the Sub-Advisory Agreement between the Fund and VFIA, the Board considered the nature, extent and quality of services VFIA would provide under the Sub-Advisory Agreement. The Board reviewed the background of the investment professionals that would service the Fund, and VFIA’s reputation, resources and investment approach. The Board also reviewed information provided regarding the structure of portfolio manager compensation, trading and brokerage practices, soft dollar usage, risk management and compliance matters.

183

 

ADDITIONAL INFORMATION (Unaudited) (Continued)

 

The Board noted the Sub-Advisory Agreement approval was necessary due to Virtus restructuring its investment advisory business, which included the Fund’s current sub-adviser Newfleet and the new sub-adviser VFIA. The Board noted in particular that the entire current investment team, including all team members providing advisory services to the Fund, will remain in place and continue to provide the same investment advisory services to the Fund. The investment discipline, process, tools and models also will remain unchanged. The Board concluded that the services VFIA would provide should be satisfactory.

 

Performance. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category.

 

The Board also noted in particular that since the portfolio management team began managing the Fund, the Fund has performed in line with or outperformed its Peer Group, the Morningstar category and the benchmark index. The Board concluded that the services VFIA would provide should be satisfactory.

 

Sub-Advisory Fees and Economies of Scale. The Board considered the Fund’s sub-advisory fee schedule and noted the fees charged to comparable portfolios, if any, that the Sub-Adviser managed. The Board considered that the fee schedule was negotiated between the Adviser and the Sub-Adviser, an unaffiliated third party.

 

The Board reviewed the operation of the performance fee and the impact on fees and expenses based on various performance results. They discussed the unique nature of the performance fee, which results in higher fees when the Sub-Adviser delivers results, and how performance fees should be integrated into their analysis.

 

The Board confirmed its belief that performance fees help ensure that any significant fee adjustments are attributable to the Sub-Adviser’s skill, rather than to random performance fluctuations, and the performance fee aligns the Sub-Adviser’s interest with those of Fund shareholders.

 

The Board also noted in particular that the Fund’s sub-advisory fee schedule will remain the same after the Sub-Adviser takes over from the current sub-adviser, Newfleet. The Fund will pay a “fulcrum fee” consisting of: a “base fee” of 30 basis points (0.30%) annually; and a “performance fee” at a rate that will vary by up to +/- 15 bps (0.15%). The Board concluded that the Sub-Adviser’s fees were in a reasonable range.

 

The Board reviewed the relevance of economies of scale in the context of the Sub-Adviser that receives a performance-based fee. The Board agreed that the Adviser had successfully negotiated a favorable base fee with the Sub-Adviser, and that reductions based on asset growth, when coupled with the possibility of fee reductions based on performance, could hinder the Adviser’s ability to attract top sub-advisory talent. The Board agreed that pursuing breakpoints with the Sub-Adviser would not be in the best interests of Fund shareholders at this time.

 

Profitability and Fallout Benefits. The Board considered any information provided regarding the Sub-Adviser’s estimated profitability from providing sub-advisory services to the Fund. The Board noted that the sub-advisory fee schedule was negotiated between the Adviser and the Sub-Adviser, an unaffiliated third party. The Board reviewed materials provided regarding any additional benefits the Sub-Adviser would receive.

 

Conclusion. Based on all of the information considered and the conclusions reached, the Board determined that the terms of the Sub-Advisory Agreement for the Fund are fair and reasonable, and that the approval of the Sub-Advisory Agreement is in the best interests of the Fund.

184

 

ADDITIONAL INFORMATION (Unaudited)

 

Dunham International Opportunity Bond Fund

15(c) BOARD CONSIDERATIONS

June 21, 2022

 

I.Background

 

On June 21, 2022, the Board of Trustees (the “Board”) of Dunham Funds (the “Trust”), a Delaware business trust, met to consider, among other things, a new sub-advisory agreement (the “Sub-Advisory Agreement”) for the following Trust series (the “Fund”):

 

Fund Sub-Advisory Agreement
Dunham International Opportunity Bond Fund Virtus Fixed Income Advisers, LLC

 

The Sub-Advisory Agreement with Virtus Fixed Income Advisers, LLC (“VFIA” or the “Sub-Adviser”) would take effect on or about July 1, 2022. VFIA would take over sub-advisory responsibilities from the current sub-adviser, Stone Harbor Investment Partners, LLC (“Stone Harbor”). Virtus Investment Partners, Inc. (“Virtus”) is the ultimate parent company of VFIA and Stone Harbor.

 

In considering the Sub-Advisory Agreement, the Independent Trustees had requested and reviewed materials that Dunham & Associates Investment Counsel, Inc. (the “Adviser”) and the Sub-Adviser provided prior to and during the meeting. The Independent Trustees also had reviewed a memorandum from Fund counsel that addressed their fiduciary duties pertaining to the new Sub-Advisory Agreement and the factors they should consider in evaluating the Sub-Advisory Agreement.

 

Among other information, the Adviser and VFIA provided information to assist the Independent Trustees in assessing the nature, extent and quality of services provided, information comparing the investment performance, sub-advisory fees and operating expense ratio of the Fund to other funds, information about estimated profitability and/or financial condition and compliance and regulatory matters. The Board determined that, given the totality of the information provided with respect to the Sub-Advisory Agreement, the Board had received sufficient information to approve the Sub-Advisory Agreement. While the Board reviewed all the information provided, it focused on material sub-advisory changes due to the Stone Harbor reorganization.

 

Based upon its review, the Board concluded that it was in the best interests of the Fund that the Sub-Advisory Agreement be approved. In considering the approval of the Sub-Advisory Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, and considered a variety of factors in its analysis, including those discussed below. The Board did not allot a particular weight to any one factor or group of factors.

 

II.Sub-Advisory Agreement

 

Nature, Extent and Quality of Services. In considering the approval of the Sub-Advisory Agreement between the Fund and VFIA, the Board considered the nature, extent and quality of services VFIA would provide under the Sub-Advisory Agreement. The Board reviewed the background of the investment professionals that would service the Fund, and VFIA’s reputation, resources and investment approach. The Board also reviewed information provided regarding the structure of portfolio manager compensation, trading and brokerage practices, soft dollar usage, risk management and compliance matters.

185

 

ADDITIONAL INFORMATION (Unaudited) (Continued)

 

The Board noted the Sub-Advisory Agreement approval was necessary due to Virtus restructuring its investment advisory business, which included the Fund’s current sub-adviser Stone Harbor and the new sub-adviser VFIA. The Board noted in particular that the entire current investment team, including all team members providing advisory services to the Fund, will remain in place and continue to provide the same investment advisory services to the Fund. The investment discipline, process, tools and models also will remain unchanged. The Board concluded that the services VFIA would provide should be satisfactory.

 

Performance. The Board reviewed the Fund’s total return compared to the total returns of the Peer Group and the funds included in the Morningstar category.

 

The Board also noted in particular that since the portfolio management team began managing the Fund, the Fund has performed in line with or outperformed its Peer Group, the Morningstar category and the benchmark index. The Board concluded that the services VFIA would provide should be satisfactory.

 

Sub-Advisory Fees and Economies of Scale. The Board considered the Fund’s sub-advisory fee schedule and noted the fees charged to comparable portfolios, if any, that the Sub-Adviser managed. The Board considered that the fee schedule was negotiated between the Adviser and the Sub-Adviser, an unaffiliated third party.

 

The Board reviewed the operation of the performance fee and the impact on fees and expenses based on various performance results. They discussed the unique nature of the performance fee, which results in higher fees when the Sub-Adviser delivers results, and how performance fees should be integrated into their analysis.

 

The Board confirmed its belief that performance fees help ensure that any significant fee adjustments are attributable to the Sub-Adviser’s skill, rather than to random performance fluctuations, and the performance fee aligns the Sub-Adviser’s interest with those of Fund shareholders.

 

The Board also noted in particular that the Fund’s sub-advisory fee schedule will remain the same after the Sub-Adviser takes over from the current sub-adviser, Stone Harbor. The Fund will pay a “fulcrum fee” consisting of: a “base fee” of 45 basis points (0.45%) annually; and a “performance fee” at a rate that will vary by up to +/- 25 bps (0.25%). The Board concluded that the Sub-Adviser’s fees were in a reasonable range.

 

The Board reviewed the relevance of economies of scale in the context of the Sub-Adviser that receives a performance-based fee. The Board agreed that the Adviser had successfully negotiated a favorable base fee with the Sub-Adviser, and that reductions based on asset growth, when coupled with the possibility of fee reductions based on performance, could hinder the Adviser’s ability to attract top sub-advisory talent. The Board agreed that pursuing breakpoints with the Sub-Adviser would not be in the best interests of Fund shareholders at this time.

 

Profitability and Fallout Benefits. The Board considered any information provided regarding the Sub-Adviser’s estimated profitability from providing sub-advisory services to the Fund. The Board noted that the sub-advisory fee schedule was negotiated between the Adviser and the Sub-Adviser, an unaffiliated third party. The Board reviewed materials provided regarding any additional benefits the Sub-Adviser would receive.

 

Conclusion. Based on all of the information considered and the conclusions reached, the Board determined that the terms of the Sub-Advisory Agreement for the Fund are fair and reasonable, and that the approval of the Sub-Advisory Agreement is in the best interests of the Fund.

186

 

DUNHAM FUNDS’ EXPENSES (Unaudited)

 

Example

 

Shareholders of mutual funds will pay (1) transitional costs, such as sales load, and (2) ongoing expenses, such as advisory fees, distribution and service fees (12b-1), and other fund expenses. The following examples are intended to help you understand the ongoing cost (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions which may be assessed by mutual funds. This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

 

Actual Expenses

 

The columns under the heading entitled “Actual” help you estimate the actual expenses you paid over the period. The “Actual-Ending Account Value” shown is derived from the Fund’s actual return, and the “Actual- Expenses Paid During Period” shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. To estimate the expenses you paid on your account during this period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled “Actual-Expenses Paid During Period”.

 

Hypothetical Examples for Comparison Purposes

 

The columns under the heading entitled “Hypothetical” provide information about hypothetical account value and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs which may be applicable to your account. Therefore, the last column of the table (Hypothetical- Expenses Paid During Period) is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

         Actual  Hypothetical
   Fund’s  Beginning  Ending     Ending   
   Annualized  Account  Account  Expenses  Account  Expenses
   Expense  Value  Value  Paid During  Value  Paid During
   Ratio  5/01/22  10/31/22  Period*  10/31/22  Period*
Class N:                  
Corporate/Government Bond Fund  1.39%  $1,000.00  $921.30  $6.74  $1,018.19  $7.08
Floating Rate Bond Fund  0.99%  $1,000.00  $969.20  $4.93  $1,020.20  $5.06
High-Yield Bond Fund  1.20%  $1,000.00  $955.30  $5.92  $1,019.15  $6.11
International Opportunity Bond Fund  1.38%  $1,000.00  $884.00  $6.58  $1,018.22  $7.04
Large Cap Value Fund  1.24%  $1,000.00  $969.00  $6.14  $1,018.97  $6.29
Small Cap Value Fund  1.61%  $1,000.00  $980.90  $8.04  $1,017.09  $8.18
Focused Large Cap Growth Fund  1.02%  $1,000.00  $872.80  $4.81  $1,020.07  $5.19
Small Cap Growth Fund  0.91%  $1,000.00  $964.00  $4.51  $1,020.62  $4.64
Emerging Markets Stock Fund  1.03%  $1,000.00  $807.10  $4.67  $1,020.03  $5.23
International Stock Fund  1.38%  $1,000.00  $902.40  $6.63  $1,018.24  $7.03
Dynamic Macro Fund  1.61%  $1,000.00  $944.70  $7.91  $1,017.07  $8.21
Long/Short Credit Fund  0.93%  $1,000.00  $986.00  $4.65  $1,020.52  $4.73
Monthly Distribution Fund  2.16%  $1,000.00  $1,012.00  $10.94  $1,014.33  $10.95
Real Estate Stock Fund  1.00%  $1,000.00  $750.80  $4.42  $1,020.15  $5.10
Class A:                  
Corporate/Government Bond Fund  1.65%  $1,000.00  $920.10  $7.98  $1,016.90  $8.38
Floating Rate Bond Fund  1.24%  $1,000.00  $967.90  $6.17  $1,018.93  $6.33
High-Yield Bond Fund  1.45%  $1,000.00  $954.60  $7.15  $1,017.88  $7.39
International Opportunity Bond Fund  1.64%  $1,000.00  $883.00  $7.79  $1,016.93  $8.35
Large Cap Value Fund  1.49%  $1,000.00  $967.70  $7.38  $1,017.71  $7.56
Small Cap Value Fund  1.86%  $1,000.00  $979.20  $9.29  $1,015.82  $9.46
Focused Large Cap Growth Fund  1.27%  $1,000.00  $871.70  $5.98  $1,018.81  $6.45
Small Cap Growth Fund  1.16%  $1,000.00  $963.00  $5.74  $1,019.35  $5.91
Emerging Markets Stock Fund  1.28%  $1,000.00  $805.80  $5.82  $1,018.76  $6.50
International Stock Fund  1.63%  $1,000.00  $901.50  $7.83  $1,016.97  $8.31
Dynamic Macro Fund  1.87%  $1,000.00  $943.10  $9.17  $1,015.77  $9.51
Long/Short Credit Fund  1.18%  $1,000.00  $984.70  $5.88  $1,019.28  $5.98
Monthly Distribution Fund  2.41%  $1,000.00  $1,010.90  $12.20  $1,013.07  $12.22
Real Estate Stock Fund  1.25%  $1,000.00  $750.10  $5.53  $1,018.89  $6.38

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DUNHAM FUNDS’ EXPENSES (Unaudited) (Continued)

 

         Actual  Hypothetical
   Fund’s  Beginning  Ending     Ending   
   Annualized  Account  Account  Expenses  Account  Expenses
   Expense  Value  Value  Paid During  Value  Paid During
   Ratio  5/01/22  10/31/22  Period*  10/31/22  Period*
Class C:                  
Corporate/Government Bond Fund  2.15%  $1,000.00  $917.90  $10.37  $1,014.39  $10.89
Floating Rate Bond Fund  1.75%  $1,000.00  $966.60  $8.66  $1,016.40  $8.88
High-Yield Bond Fund  1.95%  $1,000.00  $951.50  $9.59  $1,015.37  $9.91
International Opportunity Bond Fund  2.15%  $1,000.00  $881.30  $10.20  $1,014.36  $10.92
Large Cap Value Fund  2.24%  $1,000.00  $963.90  $11.09  $1,013.91  $11.37
Small Cap Value Fund  2.61%  $1,000.00  $976.00  $13.01  $1,012.04  $13.25
Focused Large Cap Growth Fund  2.02%  $1,000.00  $868.30  $9.50  $1,015.04  $10.25
Small Cap Growth Fund  1.91%  $1,000.00  $960.20  $9.45  $1,015.57  $9.71
Emerging Markets Stock Fund  2.02%  $1,000.00  $802.90  $9.20  $1,015.00  $10.28
International Stock Fund  2.39%  $1,000.00  $898.20  $11.44  $1,013.15  $12.13
Dynamic Macro Fund  2.60%  $1,000.00  $939.50  $12.70  $1,012.11  $13.17
Long/Short Credit Fund  1.93%  $1,000.00  $981.70  $9.63  $1,015.49  $9.79
Monthly Distribution Fund  3.16%  $1,000.00  $1,006.90  $15.98  $1,009.28  $16.00
Real Estate Stock Fund  2.01%  $1,000.00  $747.00  $8.83  $1,015.10  $10.18

 

*Expenses Paid During Period are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 days and divided by 365 (to reflect the number of days in the six month period ending October 31, 2022).

188

 

NOTICE OF PRIVACY POLICY & PRACTICES

 

Privacy Notice

 

FACTS WHAT DO DUNHAM FUNDS DO WITH YOUR PERSONAL INFORMATION?
   
Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
   
What?

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

■         Social Security number and wire transfer instructions

 

■         account transactions and transaction history

 

■         investment experience and purchase history

 

When you are no longer a customer, we continue to share your information as described in this notice.

   
How? All financial companies need to share customers’ personal information to run their everyday business.  In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Dunham Funds chooses to share; and whether you can limit this sharing.

 

Reasons we can share your personal information Do Dunham Funds share? Can you limit this
sharing?
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus Yes No
For our marketing purposes - to offer our products and services to you Yes No
For joint marketing with other financial companies No We don’t share
For our affiliates’ everyday business purposes - information about your transactions and experiences No We don’t share
For our affiliates’ everyday business purposes - information about your creditworthiness No We don’t share
For non-affiliates to market to you No We don’t share

 

Questions?   Call (800) 442-4358 or go to www.dunham.com

189

 

Definitions What we do
How do Dunham Funds protect my personal information?

To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.

 

We permit only authorized parties and affiliates (as permitted by law) who have signed an agreement (which protects your personal information) with us to have access to customer information.

How do Dunham Funds collect my personal information? We collect your personal information, for example, when you

■     open and account or deposit money

 

■     direct us to buy securities or direct us to sell your securities

 

■     seek advice about your investments

 

We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.

  Federal law gives you the right to limit only

■     sharing for affiliates’ everyday business purposes-information about your creditworthiness

 

■     affiliates from using your information to market to you

 

■     sharing for non-affiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

■     Our affiliates include financial companies, such as Dunham & Associates Investment Counsel, Inc., Dunham Trust Company.

Non-affiliates

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

■     Dunham Funds do not share with non-affiliates so they can market to you.

Joint marketing

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

■     Dunham Funds do not jointly market

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How to Obtain Proxy Voting Information

 

Information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 as well as a description of the policies and procedures that the Funds use to determine how to vote proxies is available without charge, upon request, by calling (888)-3DUNHAM (338-6426) or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

How to Obtain 1st and 3rd Fiscal Quarter Portfolio Holdings

 

Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Form N-PORT is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC (800)-SEC-0330. The information on Form N-PORT is available without charge, upon request, by calling (888)-3DUNHAM (338-6426).

 

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(DUNHAM FUNDS LOGO)

 

 

P.O. Box 910309

 

San Diego, California 92191

 

(800) 442-4358

 

Distributed by Dunham & Associates Investment Counsel, Inc. Member FINRA/SIPC

 

 

 

 

THIS REPORT AND FINANCIAL STATEMENTS CONTAINED HEREIN ARE NOT INTENDED TO BE A FORECAST OF FUTURE EVENTS, A GUARANTEE OF FUTURE RESULTS, OR INVESTMENT ADVICE. FURTHER, THERE IS NO ASSURANCE THAT CERTAIN SECURITIES WILL REMAIN IN OR OUT OF EACH FUND’S PORTFOLIO.

 

THE FIGURES IN THIS REPORT REPRESENT PAST PERFORMANCE AND DO NOT GUARANTEE FUTURE RESULTS. THE PRINCIPAL VALUE OF AN INVESTMENT AND INVESTMENT RETURN WILL FLUCTUATE SO THAT AN INVESTOR’S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.

 

DUNHAM-A22

 

 

Item 2. Code of Ethics.

 

(a)       As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

 

(b)        For purposes of this item, “code of ethics” means written standards that are reasonably designed to deter wrongdoing and to promote:

 

(1)Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
(2)Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant;

(3)        Compliance with applicable governmental laws, rules, and regulations;

(4)The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and

(5)        Accountability for adherence to the code.

 

(c)        Amendments:

During the period covered by the report, there have not been any amendments to the provisions of the code of ethics.

 
 

 

(d)        Waivers:

During the period covered by the report, the registrant has not granted any express or implicit waivers from the provisions of the code of ethics.

 

Item 3. Audit Committee Financial Expert.

 

(a)The Registrant’s board of trustees has determined that Michael Torvinen is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Torvinen is independent for purposes of this Item 3.

 

Item 4. Principal Accountant Fees and Services.

 

(a)Audit Fees

           FY 2022                   $ 173,600

FY 2021                   $ 173,600

 

 

(b)Audit-Related Fees

           FY 2022                   $ 0

FY 2021                   $ 0

 

Nature of the fees:

 

(c)Tax Fees

           FY 2022              $ 30,800

           FY 2021              $ 30,800

 

Nature of the fees: Preparation of federal and state tax returns and review of annual dividend calculations.

 

(d)All Other Fees

                                         Registrant               Adviser

            FY 2022                    $ 0                         $ 0

           FY 2021                    $ 0                          $ 0

 

Nature of the fees:

 

(e)(1) Audit Committee’s Pre-Approval Policies

 

The registrant’s Audit Committee is required to pre-approve all audit services and, when appropriate, any non-audit services (including audit-related, tax and all other services) to the registrant. The registrant’s Audit Committee is also required to pre-approve, when appropriate, any non-audit services (including audit-related, tax and all other services) to its adviser, or any entity controlling, controlled by or under common control with the adviser that provides ongoing services to the registrant to the extent that the services are determined to have a direct impact on the operations or financial reporting of the

 
 

registrant. Services are reviewed on an engagement by engagement basis by the audit committee.

 

(2)Percentages of 2021 Services Approved by the Audit Committee

 

                                                                 Registrant            Adviser

 

Audit-Related Fees:                  0 %                  0 %

Tax Fees:                                 0 %                0 %

All Other Fees:                         0 %                  0 %

 

(f)        During audit of registrant's financial statements for the most recent fiscal year, less than 50 percent of the hours expended on the principal accountant's engagement were attributed to work performed by persons other than the principal accountant's full-time, permanent employees.

 

(g)        The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant:

 

                                                                Registrant              Adviser

 

              FY 2022                                        $30,800              $ None

              FY 2021                                        $30,800              $ None

 

(h)        Not applicable. All non-audit services to the registrant were pre-approved by the Audit Committee.

 

Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.

 

Item 6. Schedule of Investments. Schedule of investments in securities of unaffiliated issuers is included under Item 1.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.

 

Item 8. Portfolio Managers of Closed-End Funds. Not applicable to open-end investment companies.

 

Item 9. Purchases of Equity Securities by Closed-End Funds. Not applicable to open-end investment companies.

 

Item 10. Submission of Matters to a Vote of Security Holders. None

 

Item 11. Controls and Procedures.

 

(a)       Based on an evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the disclosure controls and procedures are reasonably designed to ensure that the information required in filings on Forms N-CSR is recorded, processed, summarized, and reported on a timely basis.

 

 
 

(b)       There were no significant changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. Not applicable to open-end investment companies.

 

Item 13. Exhibits.

 

(a)(1) Code of Ethics filed herewith.

 

(a)(2) Certifications required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith..

 

(a)(3) Not applicable.

 

(b)       Certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.

 

 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant) Dunham Funds

 

By (Signature and Title)

/s/ Jeffrey Dunham

Jeffrey Dunham, Principal Executive Officer/President

 

Date 1/6/23

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)

/s/ Jeffrey Dunham

Jeffrey Dunham, Principal Executive Officer/President

 

Date 1/6/23

 

By (Signature and Title)

/s/ Denise Iverson

Denise Iverson, Principal Financial Officer/Treasurer

 

Date 1/6/23