N-CSR 1 d514449dncsr.htm FROST FAMILY OF FUNDS Frost Family of Funds

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 811-23410

FROST FAMILY OF FUNDS

(Exact name of registrant as specified in charter)

 

 

One Freedom Valley Drive

Oaks, PA 19456

(Address of Principal Executive Offices, Zip code)

Michael Beattie

c/o SEI Investments

One Freedom Valley Drive

Oaks, PA 19456

(Name and Address of Agent for Service)

Registrant’s telephone number, including area code: 1-877-713-7678

Date of fiscal year end: July 31, 2022

Date of reporting period: July 31, 2022


Item 1.     Reports to Stockholders.

A copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Act”) (17 CFR § 270.30e-1), is attached hereto.


 

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     Page  

Letter to Shareholders

     1  

Management Discussion of Fund Performance

     3  

Schedules of Investments

     19  

Statements of Assets and Liabilities

     42  

Statements of Operations

     44  

Statements of Changes in Net Assets

     46  

Financial Highlights

     48  

Notes to Financial Statements

     51  

Report of Independent Registered Public Accounting Firm

     64  

Trustees and Officers

     66  

Disclosure of Fund Expenses

     74  

Board Considerations in Approving the Advisory Agreement

     76  

Review of Liquidity Risk Management Program

     79  

Notice to Shareholders

     80  

 

The Funds file their complete schedule of investments of portfolio holdings with the Securities and Exchange Commission (“Commission”) for the first and third quarters of each fiscal year on Form N-PORT within sixty days after period end. The Funds’ Forms N-PORT are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities, as well as information relating to how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-877-71-FROST; and (ii) on the Commission’s website at http://www.sec.gov.

 

 

    


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Dear Shareholders,

An enduring spike in inflation has incited a cycle of Federal Reserve interest rate hikes, creating a very challenging environment for investors in the past year. Publicly traded assets have revalued in the face of inflation, rising rates and the prospect of recession. The tremendous rally in both fixed income and equities rolling into the first quarter of 2022 is a distant memory, and markets have entered bear territory.

The U.S. economy experienced supply chain disruptions, while consumer demand for goods resulted from historic levels of monetary and fiscal stimulus. Suppliers had difficulty bringing products to market, either because they were dealing with lockdowns or the products were delayed in supply chain bottlenecks. Prices soared in this environment of plenty of money to spend but limited numbers of things to buy, bringing back memories of the late 1970s stagnating economy.

In an environment of shortages and rising prices, Russia’s invasion of Ukraine – also in February – exacerbated supply disruptions for a number of commodities. After years of growing reliant on Russia for cheap natural gas, the European Union suffered from sanctions and pipeline shutdowns, causing industrial production to idle amid a rush to fill gas storage in preparation for winter. Soaring inflation and tighter monetary policy has led to a consensus that a European recession is imminent.

Here in the U.S., soaring housing and goods prices galvanized the Federal Reserve into action, though it joined the fray a little late. In March the Fed raised rates 25 basis points, followed by 50 basis points in May, and 75 basis points in both June and July. Predictably, this brought the 40-year bull market for fixed-income securities to a screeching halt. This rapid policy constriction creates a faint hope for an engineered soft landing.

There were other unprecedented happenings during the year, but for purposes of this letter this recap will suffice. Once again, we’ve been blessed with an interesting year. In the most challenging of times, our teams have done well, holding their own against markets that have been decidedly more volatile than normal. Our equity and fixed-income teams have responded to the market tumult, adeptly navigating the sometimes rapidly changing landscape.

We are positioned well for the future. Our team is continuing to mature, and new talent continues to increase our skill set.

We are grateful for your continued support, and we look forward to what this coming year may offer.

Sincerely,

 

 

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Mace. M. McCain

Past performance does not guarantee future results. The investment performance and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost, and current performance may be lower or higher than the performance quoted. Investment performance reflects voluntary fee waivers in effect. Absent these waivers, total return and yield would be reduced. There can be no assurance that Frost Investment Advisors, LLC will continue to waive fees. For performance data current to the most recent month end, please call

877.713.7678.

The information provided in this report should not be considered a recommendation to purchase or sell any particular security. These views are subject to change and are not intended to predict or guarantee the future performance of any individual security or the markets in general. There is no assurance that any securities discussed herein will remain in an account’s portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent an account’s entire portfolio and in the aggregate may represent only a small percentage of an account’s portfolio holdings.

Mutual fund investing involves risk including possible loss of principal. International investments may involve risk of capital loss from unfavorable fluctuation in currency values, from differences in generally accepted accounting principles or from social, economic or political instability in other nations. Bond and bond funds are subject to interest rate risk and will decline in value as interest rates rise. REIT investments are subject to changes in economic conditions, credit risk and interest rate fluctuations. Emerging markets involve heightened risks related to the same factors as well as increased volatility and lower trading volume. Derivatives are often more volatile than other investments and may magnify the Fund’s gains or losses. The primary risk of

 

 

 

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derivative instruments is that changes in the market value of securities held by the fund and of the derivative instruments relating to those securities may not be proportionate. Derivatives are also subject to illiquidity and counter party risk. Diversification does not protect against market loss.

The Bloomberg U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities.

The S&P 500 Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the Index proportionate to its market value

 

 

 

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Frost Growth Equity Fund

Manager Commentary

It has been a volatile year for equity markets, with investors struggling to navigate inflation at multidecade highs and an increasingly hawkish Federal Reserve. Excessive monetary and fiscal policy helped the economy emerge from the pandemic relatively unscathed and fueled the largest two-year increase in household net worth on record, but it also contributed to the highest levels of inflation since the 1970s. The Russian invasion of Ukraine, a conflict now in its seventh month, has exacerbated inflation, most notably in agricultural and energy related commodities, while also significantly increasing recession risks in Europe. Lastly, while COVID-19 infection rates have receded around most of the world, rolling outbreaks and lockdowns in China have further weighed on global growth. Increasingly restrictive monetary policy coupled with decelerating economic growth is historically not a favorable combination for equity markets, and stocks have struggled this year as a result.

Top-performing sectors for the fiscal year ending July 31, 2022 were either commodity related (primarily energy) or defensive and countercyclical (consumer staples, utilities). Growth-oriented sectors such as communication services and consumer discretionary, which tend to be more sensitive to interest rates, were the biggest laggards. As a result, value stocks significantly outperformed growth stocks during the period.

For fiscal year 2022, the Frost Growth Equity Fund Institutional class posted a decline of 14.97%. The fund underperformed its benchmark, the Russell 1000 Growth Index, by 3.04%, but outperformed its large cap growth peer by a similar 3.31%. The Russell 1000 Growth Index is significantly more concentrated than the average large cap growth fund, and can sometimes experience large relative swings based on only a small number of (very large) stocks.

The relative underperformance was driven almost equally by sector weighting decisions and stock selection. The sector related headwinds were a result of the fund being underweight defensive sectors such as consumer staples that outperformed a turbulent market, as well as being overweight communication services, a sector that significantly underperformed the market over the last year.

Stock selection in the technology sector was the largest detractor to relative returns, driven by underperformance in holdings such as PayPal, Salesforce and Marvell Technology. PayPal is a near pure-play on e-commerce payments, and was thus a significant beneficiary of consumer behaviors during the pandemic. E-commerce trends softened as economies opened back up and consumer shopped in stores again, where PayPal does not have as much of a presence. This shift from online shopping back to brick-and-mortar stores has negatively impacted PayPal, and the company missed ambitious growth targets that the management team set at an analyst day during the pandemic. We think the issues are mostly cyclical, and growth at PayPal should reaccelerate as e-commerce growth picks up, but we are closely watching increased competition from Apple Pay and Shop Pay. Salesforce is extremely well-placed strategically, but investors have soured on the company’s acquisition strategy and lack of margin expansion. We would like to see management more focused on disciplined capital allocation and a better balance between revenue growth and margin expansion going forward. Lastly, Marvell Technology is a semiconductor company with exposure to attractive end markets such as data center and 5G wireless infrastructure. Management has set an ambitious multiyear revenue growth target of 15-20%, and the company is tracking well above that level in 2022. We view the near-term fundamentals and long-term outlook at Marvell as relatively solid, and we think the selloff in the stock is an opportunity for investors with a longer-term investment horizon.

On the positive side, the fund had excellent stock selection in the health care sector, driven in large part by some of our biopharma holdings such as Eli Lilly and Seagen. Eli Lilly has a strong base business in diabetes and oncology to go along with a very productive pipeline and research and development program. Seagen is an emerging biotechnology company that has been the recent subject of takeover rumors by Merck. We have no idea whether a deal eventually will happen between the two.

Looking forward, we are transitioning from one of the most monetarily and fiscally accommodative backdrops to one of the fastest tightening cycles in at least several decades. The Fed is raising interest rates aggressively, but such increases work with a significant lag, and that increases the risk of a policy mistake. Although inflation is problematic, there is a lot of tightening in the pipeline already from things like higher mortgage rates, energy prices and a strong dollar.

 

 

 

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For now, until the economy accelerates or the Fed backs down from its hawkish rhetoric, we expect the equity market to trade somewhat defensively along with higher levels of volatility. Although markets are being driven by Fed policy and expectations around economic growth, we continue to identify innovative, competitively differentiated companies led by great management teams that are selling into attractive end markets. Ultimately, we believe the ability to sustain above average earnings and cash flow growth gets rewarded over the course of an economic cycle.

 

 

 

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Frost Growth Equity Fund

 

  Growth of a $1,000,000 Investment
   

 One Year 

Return

 

 Annualized 3 

Year Return

 

 Annualized 5 

Year Return

 

 Annualized 10 

Year Return

 

Annualized

 Inception to 

Date

Institutional Class Shares(2)

  (14.97)%   12.76%   14.62%   14.48%   10.38%

Investor Class Shares(3)(4)

  (15.24)%   12.47%   14.32%   14.18%   10.52%
S&P 500/Citigroup Growth Index       (9.13)%   15.78%   15.64%   15.52%   12.59%
Russell 1000 Growth Index   (11.93)%   16.05%   16.30%   15.95%   12.79%

 

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(1)

The graph is based on only Institutional Class Shares; performance for Investor Class Shares would be lower due to differences in fee structures.

 

(2)

Institutional Class Shares commenced operations on April 25, 2008.

 

(3)

Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy.

 

(4)

Investor Class Shares commenced operations on June 30, 2008.

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.

The performance of the Fund would have been lower had the Adviser not waived a portion of its fees. Please note that one cannot invest directly in an unmanaged index.

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.

 

 

 

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Frost Total Return Bond Fund

Fund Recap

 

   

The Bloomberg U.S. Aggregate Bond Index (the AGG) returned a negative 9.12% for the fiscal year ended July 31, 2022. The Frost Total Return Bond Fund returned a negative 3.30% (institutional share class) for the same period, bettering the benchmark by 5.87 percentage points.

 

   

For fiscal year 2022, the fund maintained its effective duration – a measure of interest rate risk – in a range of 3.25% to 4%, with the higher end of the range met early in year and declining toward the middle of the year as interest rates began to move higher.

 

   

With the benchmark’s average duration approximately 6.50%, the fund’s underweight duration allocation resulted in positive outperformance relative to the benchmark during the year. In fact, this characteristic was the most meaningful positive attribution factor for the fund compared to the benchmark in the year.

 

   

The fund was overweight the credit sectors (high yield, corporates, collateralized loan obligations and asset-backed securities) and underweight allocations to U.S. government bonds.

 

   

The allocation to credit resulted in slight underperformance relative to the benchmark as credit markets underperformed U.S. government sectors and overall market valuations across all of U.S. bonds declined.

 

   

The fund saw some outperformance due to individual security selection.

 

   

The fund held an average allocation of 6% to energy during the period. This resulted in positive relative performance, as several of the fund’s oil holdings saw significant outperformance. Relative to the benchmark, the fund was underweight the U.S. Treasury, corporate and RMBS sectors and overweight ABS, CMBS and CLOs.

Strategy

Looking forward, our one-year return outlook for the U.S. bond market is for returns of between 2.5% and 3%, which is low by a historical measure but meaningfully higher than our outlook one year ago. The income generated by the AGG’s coupon level is just below 3%. Our overall return projection for U.S. bonds is broadly equal to the market’s current level of income generation with little change in valuations due to market attributes such as movements in interest rates or changes in credit spreads. Our base projection is for U.S. Treasury yields to increase only marginally higher over the course of the next year.

We are underweight interest rate risk and have been for some time. We continue to feel that the reward for holding any elevated levels of rate risk is poor, and we expect to keep the fund’s effective duration meaningfully lower than that of the benchmark. We begin the year with a target effective duration of approximately 3.5% for the fund compared to 6.5% for the benchmark. Floating-rate coupon bonds remain a focus for the fund, with a targeted allocation of between 20-25%. This allocation supports our strategy to overweight the low-duration objectives of the fund. Having said this, we also acknowledge the rise in yields across the U.S. bond market in the previous two years has increased the relative valuation for bonds in our estimation. We additionally acknowledge the large global macro uncertainty present and believe there is a meaningful probability we will need to change the fund’s rate risk profile sometime over the coming year.

Regarding sector allocations, the fund began the new fiscal year underweight U.S. government securities, overweight the high-yield corporate sector, and overweight securitized sectors. The fund begins the year with the highest allocation to Treasury and the lowest allocation to high-yield bonds in several years. The fund’s largest sector allocations at the start of the year are Treasury (30%), collateralized loan obligations (18%), corporate bonds (17.8%), asset-backed securities (13%), commercial mortgage-backed securities (8%) and residential mortgage-backed securities (8%). The fund’s largest sector variances relative to the benchmark are in Treasury (30% vs. 40% for the benchmark), U.S. agency residential MBS (compared to 30%) and non-U.S. agency RMBS securitized products (31% in the fund verse 3% for the benchmark). We continue to see attractive relative valuations across the majority of the securitized sectors excluding U.S. agency RMBS and in selective high-yield corporates.

 

 

 

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The fund begins the new fiscal year with a healthy 6% allocation to the energy industry across a variety of sub-industries. However, we are decreasing the fund’s focus in energy holdings due to increasingly higher valuations in the space.

The fund remains focused on generating above-average dividend income relative to its benchmark. We expect that individual security selection will continue to be the focus going forward, and we remain positioned to move the fund’s interest rate risk profile in either direction if needed to adjust to the currently wide dispersion of economic and interest rate possibilities.

 

 

 

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Frost Total Return Bond Fund

 

  Growth of a $1,000,000 Investment
   

 One Year 

Return

 

 Annualized 3 

Year Return

 

 Annualized 5 

Year Return

 

 Annualized 10 

Year Return

 

Annualized

 Inception to 

Date

Institutional Class Shares(2)

  (3.30)%   1.30%   2.12%   3.14%   4.78%

Investor Class Shares(3)(4)

  (3.55)%   1.08%   1.87%   2.88%   4.56%

A Class Shares(5)

  (3.63)%   1.05%   1.81%   2.77%   4.43%
Bloomberg U.S. Aggregate Bond Index   (9.12)%   (0.21)%   1.28%   1.65%   3.15%

 

 

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(1)

The graph is based on only Institutional Class Shares; performance for Investor Class Shares and A Class Shares would be lower due to differences in fee structures.

 

(2)

Institutional Class Shares commenced operations on April 25, 2008.

 

(3)

Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy.

 

(4)

Investor Class Shares commenced operations on June 30, 2008.

 

(5)

A Class Shares commenced operations on June 1, 2018.

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.

The performance of the Fund would have been lower had the Adviser not waived a portion of its fees. Please note that one cannot invest directly in an unmanaged index.

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.

 

 

 

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Bond Credit Quality as of July 31, 2022
    Credit Rating(1)   

      Percentage of Total      

Investments

Treasury

       34 %

Agency

       7 %

AAA

       14 %

AA

       10 %

A

       8 %

BBB

       13 %

Below Investment Grade

       13 %

Cash

       1 %

(1) The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or more of the four major nationally recognized statistical rating organizations (“NRSRO”). These four NRSRO’s currently are Standard & Poor’s, Moody’s, Fitch, and DBRS. When a security is rated by more than one NRSRO, the highest rating is used. These credit quality ratings are shown without regard to gradations within a given rating category.

 

 

 

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Frost Credit Fund

Manager Commentary:

Fund Recap

 

   

The fund’s hybrid benchmark, split between the Bloomberg U.S. Credit Index and the Bloomberg U.S. Corporate High Yield Index, returned negative 10.07% for the year. The fund returned negative 6.05% over the same period.

 

   

The fund was underweight interest rate risk throughout the year. Overall interest rate increases resulted in approximately 400 basis points of outperformance relative to the benchmark. The fund’s defensive duration profile explained the fund’s outperformance as the yield on the five-year maturity Treasury note rose from 0.70% to over 2.50%.

 

   

The fund’s effective duration stayed between 2.50% and 3.10%, with the high end of the range occurring approximately in the middle of year. The effective duration of the benchmark averaged over 5.75%.

 

   

The fund was overweight the ABS, CMBS and CLO sectors and underweight the investment grade and high-yield corporate sectors, resulting in sizable outperformance relative to the benchmark

 

   

The fund was slightly underweight credit risk, resulting in slight outperformance relative to the benchmark.

 

   

The fund lost approximately 50 basis points of relative performance to the benchmark due to individual security selection.

Strategy

Our one-year outlook for the U.S. bond market is for returns between 2.5 and 3%, which is low by a historical measure but meaningfully higher than our outlook one year ago. The income generated by the AGG’s coupon level is just below 3%. Our overall return projection for U.S. bonds is broadly equal to the market’s current level of income generation with little change in valuations due to market attributes such as movements in interest rates or changes in credit spreads. Our base projection is for Treasury yields to increase only marginally higher over the course of the next year.

We are underweight interest rate risk and we have been for some time. We continue to feel that the reward for holding elevated rate risk is poor, and we expect to keep the fund’s effective duration meaningfully lower than that of the benchmark. We begin the year with a target effective duration of approximately 2.75% for the fund compared to 5.50% for the benchmark. Floating-rate coupon bonds remain a focus for the fund, with a targeted allocation of between 20-25%. This allocation supports our strategy to overweight the low-duration objectives of the fund. We acknowledge the rise in yields across the U.S. bond market in the previous two years has increased the relative valuation for bonds, and global uncertainty means we may need to change the fund’s rate risk profile sometime over the coming year.

Our projection includes an assumption that credit markets will deliver mixed performance relative U.S. government sectors. We expect sectors like ABS and high-yield corporate to outperform slightly, but investment-grade corporates and intermediate high-yield are likely to underperform. The fund starts the fiscal year underweight overall credit risk exposure and waiting for opportunities to appear. The fund has a 53% allocation to investment grade category, 38% in below-investment-grade, and the remainder in cash and unrated securities across the credit spectrum.

 

 

 

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Frost Credit Fund

 

  Growth of a $1,000,000 Investment
   

 One Year 

Return

 

 Annualized 3 

Year Return

 

 Annualized 5 

Year Return

 

Annualized

 Inception to 

Date

Institutional Class Shares(2)

  (6.05)%   2.04%   2.99%   3.90%

Investor Class Shares(2)(3)

  (6.19)%   1.79%   2.73%   3.64%

A Class Shares(4)

  (6.30)%   1.76%   2.66%   3.53%

50/50 Hybrid of the Following Indices

  (10.07)%   0.93%   2.42%   3.50%

Bloomberg U.S. Credit Index

  (12.15)%   (0.18)%   1.70%   2.37%
Bloomberg U.S. Corporate High Yield Bond Index   (8.02)%   1.95%   3.06%   4.57%

 

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(1)

The graph is based on only Institutional Class Shares; performance for Investor Class Shares and A Class Shares would be lower due to differences in fee structures.

 

(2)

Both Institutional Class Shares and Investor Class Shares commenced operations on December 3, 2012.

 

(3)

Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy.

 

(4)

A Class Shares commenced operations on June 1, 2018.

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.

The performance of the Fund would have been lower had the Adviser not waived portion of its fees.

Please note that one cannot invest directly in an unmanaged index.

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.

 

 

 

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Bond Credit Quality as of July 31, 2022
    Credit Rating(1)   

      Percentage of Total      

Investments

Agency

       4 %

AAA

       2 %

AA

       7 %

A

       21 %

BBB

       27 %

Below Investment Grade

       39 %

(1) The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or more of the four major nationally recognized statistical rating organizations (“NRSRO”). These four NRSRO’s currently are Standard & Poor’s, Moody’s, Fitch, and DBRS. When a security is rated by more than one NRSRO, the highest rating is used. These credit quality ratings are shown without regard to gradations within a given rating category

 

 

 

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Frost Low Duration Bond Fund

Manager Commentary:

Fund Recap

 

   

The Bloomberg U.S. Government Credit 1 to 5 Year Bond Index returned a negative 4.64% during the year ending July 31, 2022. The Frost Low Duration Bond Fund (Institutional share class) returned negative 4.49% over the same period.

 

   

The fund maintained an underweight allocation to interest rate risk, with an effective duration profile of between 1.90% and 2.30%.

 

   

Short-term interest rates throughout the year increased materially as the Federal Reserve pivoted to a more restrictive monetary policy. The fund’s duration profile had a positive attribution effect of approximately 1% relative to its benchmark over the year. This was by far the leading attribution characteristic explaining the fund’s outperformance relative to the benchmark during the year.

 

   

The fund underperformed somewhat during the year with individual security selection, partially offsetting the positive interest rate benefit.

Strategy

The fund is underweight interest rate risk as we continue to feel that the reward for holding material levels of rate risk is poor. We expect to maintain the fund’s effective duration at 2 to 2.5 years, compared to 2.6 for the benchmark. We look for an opportunity to add to duration risk later in the year as the Federal Reserve gets closer to pausing its increase in money market rates.

We continue to see the ABS sector as a source of value for the fund, and we feel the sector is cheaper on a relative value basis than it has been in years. We expect to maintain the fund’s large overweight allocation to the ABS sector and may increase it further. Our focus in ABS continues to be consumer-related loans, primarily auto loans.

Regarding the fund’s credit risk profile, we continue to be slightly overweight credit risk primarily due to a meaningful underweight allocation to Treasury and other U.S. government sectors.

 

 

 

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Frost Low Duration Bond Fund

 

  Growth of a $1,000,000 Investment
   

 One Year 

Return

 

 Annualized 3 

Year Return

 

 Annualized 5 

Year Return

 

 Annualized 10 

Year Return

 

Annualized

 Inception to 

Date

Institutional Class Shares(2)

  (4.49)%   0.33%   1.05%   1.18%   2.38%

Investor Class Shares(3)(4)

  (4.83)%   0.08%   0.80%   0.93%   2.07%
Bloomberg U.S. 1-5 Year Government/Credit Index   (4.64)%   0.47%   1.20%   1.23%   2.06%

 

 

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(1)

The graph is based on only Institutional Class Shares; performance for Investor Class Shares would be lower due to differences in fee structures.

 

(2)

Institutional Class Shares commenced operations on April 25, 2008.

 

(3)

Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy.

 

(4)

Investor Class Shares commenced operations on June 30, 2008.

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.

The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Please note that one cannot invest directly in an unmanaged index.

There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.

 

 

 

14


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Bond Credit Quality as of July 31, 2022
    Credit Rating(1)   

      Percentage of Total      

Investments

AAA

       17 %

AA

       18 %

A

       15 %

BBB

       25 %

Agency

       3 %

Treasury

       21 %

Cash

       1 %

 

(1)

The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or more of the four major nationally recognized statistical rating organizations (“NRSRO”). These four NRSRO’s currently are Standard & Poor’s, Moody’s, Fitch, and DBRS. When a security is rated by more than one NRSRO, the highest rating is used. These credit quality ratings are shown without regard to gradations within a given rating category.

 

 

 

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Frost Municipal Bond Fund

Manager Commentary:

Fund Recap

 

   

The Bloomberg Municipal Bond index lost 6.93% for the year, while the Frost Municipal Bond Fund returned a negative 2.84%, outperformance of slightly over four percentage points.

 

   

The fund remained underweight to interest rate risk throughout the year, with an effective duration between 2.50% and 3.25% compared to that of the benchmark over 5%. The fund’s effective duration at year-end stood at 3.08%.

 

   

The fund also held an average maturity at year-end of 4.5 years compared to 12.92 years for the index. The fund continued to be materially underweight the 20- to 30-year maturity sector consistent with prior periods.

 

   

The benchmark’s 20-year and greater sector lost more than 11.50% and was the worst-performing space of the index in the year. The fund’s material underweight in this sector was its best characteristic compared to the benchmark.

 

   

The fund was slightly underweight credit risk with a higher allocation to AAA and AA rated securities and a lower allocation to BBB rated bonds. This did not have a material relative performance attribution to the benchmark.

 

   

The fund had a year-end allocation of 70% Texas-issued securities.

 

   

The best-performing sector was cash. The fund’s cash allocation averaged 11%, which aided relative performance.

Strategy

We are underweight interest rate risk and we have been for some time. We continue to feel that the reward for holding elevated rate risk is poor, and we expect to keep the fund’s effective duration meaningfully lower than that of the benchmark. We begin the fiscal year with a target effective duration of 3% for the fund compared to 7% for the benchmark.

 

 

 

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Frost Municipal Bond Fund

 

  Growth of a $1,000,000 Investment
   

 One Year 

Return

 

 Annualized 3 

Year Return

 

 Annualized 5 

Year Return

 

 Annualized 10 

Year Return

 

Annualized

 Inception to 

Date

Institutional Class Shares(2)

  (2.84)%   1.12%   1.80%   1.88%   2.86%

Investor Class Shares(3)(4)

  (3.18)%   0.87%   1.54%   1.63%   2.57%

Bloomberg Municipal Bond Index

  (6.93)%   0.43%   1.88%   2.49%   3.68%

 

 

LOGO

 

(1)

The graph is based on only Institutional Class Shares; performance for Investor Class Shares would be lower due to differences in fee structures.

 

(2)

Institutional Class Shares commenced operations on April 25, 2008.

 

(3)

Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy.

 

(4)

Investor Class Shares commenced operations on August 28, 2008.

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.

The performance of the Fund would have been lower had the Adviser not waived a portion of its fees. Please note that one cannot invest directly in an unmanaged index.

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.

 

 

 

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Bond Credit Quality as of July 31, 2022
    Credit Rating(1)   

      Percentage of Total      

Investments

AAA

       21 %

AA

       26 %

A

       26 %

BBB

       5 %

Below Investment Grade

       11 %

Cash

       11 %

 

(1)

The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or more of the four major nationally recognized statistical rating organizations (“NRSRO”). These four NRSRO’s currently are Standard & Poor’s, Moody’s, Fitch, and DBRS. When a security is rated by more than one NRSRO, the highest rating is used. These credit quality ratings are shown without regard to gradations within a given rating category.

 

 

 

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Sector Weightings (Unaudited)†

 

LOGO

† Percentages are based on total investments.

 

Description   Shares     Value  

COMMON STOCK§ — 96.6%

   

Communication Services — 8.4%

   

Alphabet, Cl A *

    105,080     $ 12,222,905  

Alphabet, Cl C *

    115,400       13,460,256  

Match Group *

    2,000       146,620  

Meta Platforms, Cl A *

    15,690       2,496,279  
   

 

 

 
            28,326,060  
   

 

 

 

Consumer Discretionary — 19.7%

   

Airbnb, Cl A *

    12,500       1,387,250  

Amazon.com *

        217,420       29,340,829  

Booking Holdings *

    2,020       3,910,094  

Chipotle Mexican Grill, Cl A *

    3,150       4,927,293  

Floor & Decor Holdings, Cl A *

    5,000       402,850  

Home Depot

    24,590       7,400,115  

Lululemon Athletica *

    2,500       776,275  

NIKE, Cl B

    32,500       3,734,900  

O’Reilly Automotive *

    6,450       4,538,155  

Starbucks

    29,050       2,462,859  

Tesla *

    6,615       5,896,942  

TJX

    33,000       2,018,280  
   

 

 

 
      66,795,842  
   

 

 

 

Consumer Staples — 2.0%

   

Coca-Cola

    50,000       3,208,500  

Costco Wholesale

    6,882       3,725,227  
   

 

 

 
      6,933,727  
   

 

 

 

Energy — 0.6%

   

Diamondback Energy

    16,500       2,112,330  
   

 

 

 

Financials — 2.7%

   

JPMorgan Chase

    21,500       2,480,240  

Moody’s

    12,905       4,003,776  

S&P Global

    7,000       2,638,510  
   

 

 

 
      9,122,526  
   

 

 

 

Health Care — 13.5%

   

Abbott Laboratories

    35,000       3,809,400  

Boston Scientific *

    80,500       3,304,525  

Danaher

    22,500       6,558,075  

Edwards Lifesciences *

    36,000       3,619,440  

Eli Lilly and Co

    28,000       9,231,320  

Humana

    6,500       3,133,000  

Merck

    20,000       1,786,800  
Description   Shares       Value  

Seagen *

    16,000     $ 2,879,680  

UnitedHealth Group

    15,300       8,297,802  

Zoetis, Cl A

    17,235       3,146,249  
   

 

 

 
      45,766,291  
   

 

 

 

Industrials — 3.5%

   

Canadian Pacific Railway

    55,200       4,353,624  

Fortive

    32,000       2,062,400  

Uber Technologies *

    5,000       117,250  

Union Pacific

    23,000       5,227,900  
   

 

 

 
      11,761,174  
   

 

 

 

Information Technology — 44.7%

   

Adobe *

    16,800       6,890,016  

Advanced Micro Devices *

    49,500       4,676,265  

Apple

        221,084       35,928,361  

Intuit

    4,000       1,824,680  

Lam Research

    2,000       1,001,020  

Marvell Technology

    149,535       8,326,109  

Mastercard, Cl A

    34,660       12,262,361  

Microsoft

    153,550       43,107,627  

NVIDIA

    33,000       5,993,790  

PayPal Holdings *

    29,270       2,532,733  

QUALCOMM

    27,500       3,989,150  

Salesforce *

    26,135       4,809,363  

ServiceNow *

    12,500       5,583,250  

Snowflake, Cl A *

    17,000       2,548,470  

Visa, Cl A

    53,100       11,263,041  

Workday, Cl A *

    2,500       387,750  
   

 

 

 
            151,123,986  
   

 

 

 

Materials — 1.0%

   

Sherwin-Williams

    13,500       3,266,190  
   

 

 

 

Real Estate — 0.5%

   

American Tower ‡

    6,000       1,624,980  
   

 

 

 

Total Common Stock

  (Cost $141,434,951)

      326,833,106  
   

 

 

 

Total Investments — 96.6%

  (Cost $141,434,951)

    $ 326,833,106  
   

 

 

 

Percentages are based on Net Assets of $338,204,542.

 

*

Non-income producing security.

§

Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

Real Estate Investment Trust

Cl — Class

As of July 31, 2022, all of the Fund’s investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.

For more information on valuation inputs, see Note 2—Significant Accounting Policies in the Notes to Financial Statements.

 

 

The accompanying notes are an integral part of the financial statements.

 

19


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SECTOR WEIGHTINGS (Unaudited)†

 

LOGO

† Percentages are based on total investments.

 

Description   Face Amount     Value  

U.S. TREASURY OBLIGATIONS — 30.1%

 

 

U.S. Treasury Bond

 

 

3.250%, 05/15/42

  $ 190,000,000     $ 190,207,812  

U.S. Treasury Inflation Protection Securities

   

0.875%, 01/15/29

    34,728,000       36,526,463  

U.S. Treasury Notes

   

2.875%, 05/15/28

    200,000,000       201,375,000  

2.375%, 01/31/23

    40,000,000       39,890,625  

1.500%, 01/15/23

    32,000,000       31,798,750  

1.125%, 01/15/25

        343,000,000       328,904,844  
   

 

 

 

Total U.S. Treasury Obligations

  (Cost $828,461,575)

          828,703,494  
   

 

 

 

COLLATERALIZED LOAN OBLIGATIONS — 18.1%

 

 

Apidos CLO Funding RR Subsidiary, Ser 2018-12RR, Cl A

   

4.042%, ICE LIBOR USD 3 Month + 1.530%, 04/15/31 (A)

    3,000,000       2,968,290  

Apidos CLO XI, Ser 2021-11A, Cl CR3

   

4.740%, ICE LIBOR USD 3 Month + 2.000%, 04/17/34 (A)

    13,750,000       12,686,107  

Apidos CLO XI, Ser 2021-11A, Cl ER3

   

9.310%, ICE LIBOR USD 3 Month + 6.570%, 04/17/34 (A)

    5,000,000       4,375,250  

Apidos CLO XXVIII, Ser 2017-28A, Cl A2

   

4.110%, ICE LIBOR USD 3 Month + 1.400%, 01/20/31 (A)

    15,000,000       14,351,475  
Description   Face Amount     Value  

Audax Senior Debt CLO 6, Ser 2021-6A, Cl B

   

4.660%, ICE LIBOR USD 3 Month + 1.950%, 10/20/33 (A)

  $ 8,000,000     $ 7,355,064  

Battalion CLO 17, Ser 2021-17A, Cl B

   

4.310%, ICE LIBOR USD 3 Month + 1.600%, 03/09/34 (A)

    5,000,000       4,753,070  

BCC Middle Market CLO, Ser 2018-1A, Cl A1A

   

4.260%, ICE LIBOR USD 3 Month + 1.550%, 10/20/30 (A)

        21,000,000             20,572,272  

Benefit Street Partners CLO III, Ser 2017-IIIA, Cl DR

   

9.310%, ICE LIBOR USD 3 Month + 6.600%, 07/20/29 (A)

    5,000,000       4,498,270  

Benefit Street Partners CLO III, Ser 2021-IIIA, Cl BR2

   

5.110%, ICE LIBOR USD 3 Month + 2.400%, 07/20/29 (A)

    15,000,000       14,449,185  

Benefit Street Partners CLO IV, Ser 2021-IVA, Cl A2AR

   

4.260%, ICE LIBOR USD 3 Month + 1.550%, 01/20/32 (A)

    8,750,000       8,360,371  

Benefit Street Partners CLO VIII, Ser 2018-8A, Cl A1AR

   

3.810%, ICE LIBOR USD 3 Month + 1.100%, 01/20/31 (A)

    5,450,000       5,371,907  

BlueMountain CLO XXX, Ser 2022- 30A, Cl BR

   

4.228%, TSFR3M + 1.900%, 04/15/35 (A)

    2,250,000       2,126,743  

BlueMountain CLO XXX, Ser 2022- 30A, Cl DR

   

5.628%, TSFR3M + 3.300%, 04/15/35 (A)

    1,250,000       1,147,968  

BlueMountain CLO XXX, Ser 2022- 30A, Cl ER

   

9.028%, TSFR3M + 6.700%, 04/15/35 (A)

    2,350,000       2,089,770  

BlueMountain CLO, Ser 2021-2A, Cl A2R2

   

3.178%, ICE LIBOR USD 3 Month + 1.700%, 08/20/32 (A)

    10,000,000       9,496,640  

Carlyle Global Market Strategies, Ser 2018-1A, Cl CR2

   

4.540%, ICE LIBOR USD 3 Month + 1.800%, 04/17/31 (A)

    4,500,000       4,163,364  

Carlyle Global Market Strategies, Ser 2018-3A, Cl A1A2

   

3.663%, ICE LIBOR USD 3 Month + 1.180%, 01/14/32 (A)

    24,855,641       24,437,545  
 

 

The accompanying notes are an integral part of the financial statements.

 

20


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Description   Face Amount     Value  

Carlyle Global Market Strategies, Ser 2018-3A, Cl A2A2

   

4.333%, ICE LIBOR USD 3 Month + 1.850%, 01/14/32 (A)

  $ 7,000,000     $ 6,752,480  

Carlyle Global Market Strategies, Ser 2018-3RA, Cl A1A

   

3.819%, ICE LIBOR USD 3 Month + 1.050%, 07/27/31 (A)

    14,877,491       14,554,009  

Carlyle Global Market Strategies, Ser 2018-3RA, Cl A2

   

4.319%, ICE LIBOR USD 3 Month + 1.550%, 07/27/31 (A)

    9,000,000       8,651,673  

Carlyle Global Market Strategies, Ser 2018-5A, Cl A1RR

   

3.652%, ICE LIBOR USD 3 Month + 1.140%, 07/15/31 (A)

    15,834,091             15,533,750  

CIFC Funding 2022-II, Ser 2022- 2A, Cl A1

   

3.873%, TSFR3M + 1.320%, 04/19/35 (A)

    4,500,000       4,367,786  

CIFC Funding 2022-II, Ser 2022- 2A, Cl B

   

4.403%, TSFR3M + 1.850%, 04/19/35 (A)

    9,125,000       8,649,359  

CIFC Funding, Ser 2018-1A, Cl A

   

3.740%, ICE LIBOR USD 3 Month + 1.000%, 04/18/31 (A)

        10,000,000       9,799,540  

CIFC Funding, Ser 2018-1A, Cl C

   

4.490%, ICE LIBOR USD 3 Month + 1.750%, 04/18/31 (A)

    2,000,000       1,856,034  

Dryden 68 CLO, Ser 2021-68A, Cl BR

   

4.212%, ICE LIBOR USD 3 Month + 1.700%, 07/15/35 (A)

    11,750,000       11,145,228  

Galaxy XV CLO, Ser 2021-15A, Cl CRR

   

4.362%, ICE LIBOR USD 3 Month + 1.850%, 10/15/30 (A)

    4,814,000       4,486,205  

Galaxy XXI, Ser 2015-21A, Cl AR

   

3.730%, ICE LIBOR USD 3 Month + 1.020%, 04/20/31 (A)

    5,000,000       4,887,230  

GoldenTree Credit Opportunities Financing, Ser 2018-1A, Cl A1R

   

3.509%, ICE LIBOR USD 3 Month + 1.680%, 06/15/34 (A)

    6,542,852       6,477,352  

Golub Capital Partners, Ser 2017- 17A, Cl A1R

   

4.433%, ICE LIBOR USD 3 Month + 1.650%, 10/25/30 (A)

    9,000,000       8,867,952  
Description   Face Amount     Value  

Golub Capital Partners, Ser 2017- 21A, Cl AR

   

4.253%, ICE LIBOR USD 3 Month + 1.470%, 01/25/31 (A)

  $ 11,000,000     $ 10,773,620  

Golub Capital Partners, Ser 2017- 21A, Cl CR

   

5.233%, ICE LIBOR USD 3 Month + 2.450%, 01/25/31 (A)

    2,000,000       1,818,542  

Golub Capital Partners, Ser 2017- 22A, Cl AR

   

3.890%, ICE LIBOR USD 3 Month + 1.180%, 01/20/31 (A)

    9,000,000       8,891,658  

Golub Capital Partners, Ser 2017- 23A, Cl AR

   

3.910%, ICE LIBOR USD 3 Month + 1.200%, 01/20/31 (A)

        20,000,000             19,746,980  

Golub Capital Partners, Ser 2017- 23A, Cl BR

   

4.260%, ICE LIBOR USD 3 Month + 1.550%, 01/20/31 (A)

    4,000,000       3,887,692  

Golub Capital Partners, Ser 2017- 24A, Cl AR

   

2.963%, ICE LIBOR USD 3 Month + 1.600%, 11/05/29 (A)

    9,500,000       9,368,938  

Golub Capital Partners, Ser 2017- 24A, Cl DR

   

5.263%, ICE LIBOR USD 3 Month + 3.900%, 11/05/29 (A)

    3,000,000       2,746,494  

Golub Capital Partners, Ser 2018- 26A, Cl BR

   

4.260%, ICE LIBOR USD 3 Month + 1.550%, 04/20/31 (A)

    12,000,000       11,548,524  

Golub Capital Partners, Ser 2018- 36A, Cl A

   

2.663%, ICE LIBOR USD 3 Month + 1.300%, 02/05/31 (A)

    11,000,000       10,795,730  

Golub Capital Partners, Ser 2019- 34A, Cl AR

   

3.063%, ICE LIBOR USD 3 Month + 1.700%, 03/14/31 (A)

    7,000,000       6,852,958  

Golub Capital Partners, Ser 2021- 19RA, Cl B1R2

   

4.260%, ICE LIBOR USD 3 Month + 1.550%, 04/20/34 (A)

    20,000,000       19,006,620  

LCM Loan Income Fund I Income Note Issuer, Ser 2018-27A, Cl A1

   

3.820%, ICE LIBOR USD 3 Month + 1.080%, 07/16/31 (A)

    13,000,000       12,736,659  
 

 

The accompanying notes are an integral part of the financial statements.

 

21


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Description    Face Amount      Value  

NXT Capital CLO, Ser 2021-1A,
Cl BRR

     

4.732%, ICE LIBOR USD 3 Month + 2.000%, 07/20/33 (A)

   $ 9,000,000      $ 8,361,549  

NXT Capital, Ser 2020-1A, Cl B

     

5.110%, ICE LIBOR USD 3 Month + 2.400%, 01/20/31 (A)

     2,250,000        2,137,686  

Oak Hill Credit Partners X-R,
Ser 2021-10RA, Cl BR

     

4.260%, ICE LIBOR USD 3 Month + 1.550%, 04/20/34 (A)

     8,000,000        7,430,896  

Oak Hill Credit Partners X-R,
Ser 2021-10RA, Cl CR

     

4.710%, ICE LIBOR USD 3 Month + 2.000%, 04/20/34 (A)

     5,100,000        4,761,304  

Oaktree CLO, Ser 2021-3A, Cl BR

     

4.460%, ICE LIBOR USD 3 Month + 1.750%, 10/20/34 (A)

     13,500,000              12,771,270  

OHA Credit Funding 7, Ser 2022- 7A, Cl AR

     

3.853%, TSFR3M + 1.300%, 02/24/37 (A)

     25,000,000        24,257,275  

OHA Credit Funding 7, Ser 2022- 7A, Cl ER

     

8.803%, TSFR3M + 6.250%, 02/24/37 (A)

     2,500,000        2,219,055  

OZLM Funding IV, Ser 2017-4A, Cl A2R

     

4.459%, ICE LIBOR USD 3 Month + 1.700%, 10/22/30 (A)

     5,000,000        4,788,050  

Thayer Park CLO, Ser 2021-1A, Cl A2AR

     

4.110%, ICE LIBOR USD 3 Month + 1.400%, 04/20/34 (A)

     9,250,000        8,711,252  

Thayer Park CLO, Ser 2021-1A, Cl BR

     

4.510%, ICE LIBOR USD 3 Month + 1.800%, 04/20/34 (A)

     9,500,000        8,895,211  

Venture 37 CLO, Ser 2021-37A, Cl BR

     

4.262%, ICE LIBOR USD 3 Month + 1.750%, 07/15/32 (A)

     10,000,000        9,569,590  

Venture XIX, Ser 2018-19A, Cl ARR

     

3.772%, ICE LIBOR USD 3 Month + 1.260%, 01/15/32 (A)

     19,250,000        18,908,312  

Zais, Ser 2017-1A, Cl A2

     

4.012%, ICE LIBOR USD 3 Month + 1.500%, 07/15/29 (A)

     11,250,000        10,966,759  
Description    Face Amount      Value  

Zais, Ser 2018-1A, Cl B

     

3.962%, ICE LIBOR USD 3 Month + 1.450%, 04/15/29 (A)

   $ 5,000,000      $ 4,850,140  
     

 

 

 

Total Collateralized Loan Obligations
(Cost $515,143,211)

        496,034,653  
     

 

 

 

CORPORATE OBLIGATIONS — 17.6%

 

Consumer Discretionary — 4.3%

 

Airswift Global

     

10.389%, ICE LIBOR USD 3 Month + 8.500%, 05/12/25 (A)

     16,900,000        16,984,500  

Carvana

     

4.875%, 09/01/29 (A)

     9,000,000        5,372,550  

Choice Hotels International

     

3.700%, 12/01/29

     8,000,000        7,235,997  

3.700%, 01/15/31

     3,000,000        2,702,501  

Expedia

     

3.800%, 02/15/28

     5,915,000        5,517,017  

Ford Motor

     

4.346%, 12/08/26

     15,033,000        14,764,603  

General Motors Financial

     

1.200%, 10/15/24

     6,333,000        5,923,877  

Jaguar Land Rover Automotive

     

4.500%, 10/01/27 (A)

     6,000,000        4,620,000  

MajorDrive Holdings IV

     

6.375%, 06/01/29 (A)

     21,750,000        16,397,542  

Marriott International

     

3.500%, 10/15/32

     3,000,000        2,677,699  

2.850%, 04/15/31

     3,000,000        2,579,945  

Scientific Games International

     

8.625%, 07/01/25 (A)

     5,750,000        5,972,812  

STL Holding

     

7.500%, 02/15/26 (A)

     13,975,000        12,402,813  

TransJamaican Highway

     

5.750%, 10/10/36 (A)

     1,441,553        1,249,838  

VistaJet Malta Finance

     

7.875%, 05/01/27 (A)

     14,863,000        13,665,785  

6.375%, 02/01/30 (A)

     2,000,000        1,741,040  
     

 

 

 
              119,808,519  
     

 

 

 

Energy — 6.5%

     

Apache

     

7.750%, 12/15/29

     4,138,000        4,510,420  

Intesa Sanpaolo

     

4.000%, 09/23/29 (A)

     5,000,000        4,500,890  

Marathon Oil

     

4.400%, 07/15/27

     3,000,000        2,989,233  

New England Power

     

2.807%, 10/06/50 (A)

     5,000,000        3,457,892  

Noble Finance

     

11.000%, 02/15/28

     1,893,334        2,040,067  

11.000%, 02/15/28 (A)

     869,000        936,348  

Petroleos Mexicanos

     

6.700%, 02/16/32 (A)

     6,352,000        5,087,952  

Reliance Industries

     

2.875%, 01/12/32 (A)

     2,000,000        1,729,557  

Seadrill New Finance

     

10.000%, 07/15/26

     79,091,138        74,345,669  

10.000%, 07/15/26

     16,432,821        15,446,852  

Seamex Finance Ltd.

     

12.000%, 08/31/24

     12,202,890        13,240,136  
 

 

The accompanying notes are an integral part of the financial statements.

 

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Description   Face Amount     Value  

Tiger Holdco Pte

   

13.000%, 06/10/23 (A)

  $ 19,751,730     $ 19,652,971  

Transocean

   

11.500%, 01/30/27 (A)

    21,218,000       20,106,495  

Transocean Sentry

   

5.375%, 05/15/23 (A)

    7,380,784       7,030,197  
   

 

 

 
      175,074,679  
   

 

 

 

Financials — 2.4%

   

Athene Holding

   

6.150%, 04/03/30

    10,000,000       10,366,203  

BAC Capital Trust XIV

   

5.630%, ICE LIBOR USD 3 Month + 0.400%, 09/15/70

    9,870,000       7,428,853  

Barclays MTN

   

4.972%, ICE LIBOR USD 3 Month + 1.902%, 05/16/29

    2,000,000       1,983,076  

Charles Schwab

   

4.000%, US Treas Yield Curve Rate T Note Const Mat 10 Yr + 3.079%, 03/01/71

    2,000,000       1,692,500  

Credit Suisse Group

   

5.100%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.293%, 07/24/71

    10,000,000       7,552,804  

Deutsche Bank MTN

   

4.296%, USD Swap Semi 30/360 5 Yr Curr + 2.248%, 05/24/28

        12,000,000       11,218,148  

Enova International

   

8.500%, 09/15/25 (A)

    11,007,000       10,126,440  

Farmers Exchange Capital

   

7.050%, 07/15/28 (A)

    6,075,000       6,669,258  

PROG Holdings

   

6.000%, 11/15/29 (A)

    1,550,000       1,271,645  

SBL Holdings

   

7.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.580%, 05/13/71 (A)

    2,500,000       2,049,588  

Wachovia

   

6.605%, 10/01/25

    5,650,000       6,068,904  
   

 

 

 
            66,427,419  
   

 

 

 

Industrials — 1.1%

   

AerCap Ireland Capital DAC

   

1.750%, 10/29/24

    4,000,000       3,707,901  

American Airlines Group

   

3.750%, 03/01/25 (A)

    10,000,000       8,762,500  

Boeing

   

2.950%, 02/01/30

    3,344,000       2,923,969  

Burlington Northern Santa Fe

   

7.290%, 06/01/36

    5,000,000       6,615,721  

Equifax

   

3.100%, 05/15/30

    3,000,000       2,714,734  

Flowserve

   

3.500%, 10/01/30

    4,000,000       3,453,520  

Leidos

   

2.300%, 02/15/31

    3,291,000       2,719,467  
   

 

 

 
      30,897,812  
   

 

 

 

Information Technology — 2.1%

 

Amkor Technology

   

6.625%, 09/15/27 (A)

    10,372,000       10,321,656  

Avaya

   

6.125%, 09/15/28 (A)

    9,325,000       4,380,232  
Description   Face Amount     Value  

Avnet

   

3.000%, 05/15/31

  $ 7,000,000     $ 5,890,888  

Citrix Systems

   

3.300%, 03/01/30

    6,000,000       5,885,662  

Diebold Nixdorf

   

9.375%, 07/15/25 (A)

    2,000,000       1,555,000  

Jabil

   

3.600%, 01/15/30

    4,496,000       4,081,844  

Kyndryl Holdings

   

4.100%, 10/15/41 (A)

    5,500,000       3,658,273  

Motorola Solutions

   

4.600%, 05/23/29

    21,435,000       20,991,116  

Vericast

   

11.000%, 09/15/26 (A)

    2,275,000       2,246,563  
   

 

 

 
      59,011,234  
   

 

 

 

Materials — 0.3%

   

Mineral Resources

   

8.125%, 05/01/27 (A)

    8,136,000       8,079,941  

Nacional del Cobre de Chile

   

3.150%, 01/15/51 (A)

    500,000       363,255  
   

 

 

 
      8,443,196  
   

 

 

 

Real Estate — 0.2%

   

GLP Capital

   

3.250%, 01/15/32 ‡

    750,000       635,651  

Invitation Homes Operating Partnership

   

2.000%, 08/15/31 ‡

    2,000,000       1,569,595  

Sabra Health Care

   

3.200%, 12/01/31 ‡

    3,920,000       3,205,120  
   

 

 

 
      5,410,366  
   

 

 

 

Utilities — 0.7%

   

Georgia Power

   

3.250%, 03/15/51

    8,000,000       6,172,331  

Pacific Gas and Electric

   

4.500%, 07/01/40

        11,000,000       8,981,785  

3.750%, 08/15/42

    5,000,000       3,524,525  
   

 

 

 
      18,678,641  
   

 

 

 

Total Corporate Obligations

  (Cost $517,307,446)

            483,751,866  
   

 

 

 

MORTGAGE-BACKED SECURITIES — 14.8%

 

 

Agency Mortgage-Backed Obligation — 3.1%

 

 

FHLMC

   

3.048%, ICE LIBOR USD 12 Month + 1.620%, 01/01/45

    3,051,567       3,055,220  

2.290%, ICE LIBOR USD 12 Month + 1.650%, 06/01/43

    2,323,065       2,341,677  

FHLMC REMIC, Ser 2011-3898, Cl FC

   

2.509%, LIBOR USD 1 Month + 0.510%, 11/15/36

    1,245,654       1,247,467  

FHLMC, Ser 2012-293, Cl IO, IO

   

4.000%, 11/15/32

    665,571       70,232  

FHLMC, Ser 2012-3996, Cl

   

QL 4.000%, 02/15/42

    5,448,857       5,713,746  

FHLMC, Ser 2012-4029, Cl LI, IO

   

3.000%, 01/15/27

    1,729,802       52,155  

FHLMC, Ser 2012-4077, Cl AI, IO

   

3.000%, 01/15/27

    2,092,181       45,043  

FHLMC, Ser 2012-4106, Cl YI, IO

   

2.500%, 09/15/27

    1,492,907       68,863  
 

 

The accompanying notes are an integral part of the financial statements.

 

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Description   Face Amount     Value  

FHLMC, Ser 2012-4116, Cl MI, IO

   

4.000%, 10/15/42

  $ 13,844,867     $ 1,939,195  

FHLMC, Ser 2012-4116, Cl PI, IO

   

4.000%, 10/15/42

    4,445,646       871,372  

FHLMC, Ser 2012-4134, Cl BI, IO

   

2.500%, 11/15/27

    4,177,498       188,347  

FHLMC, Ser 2012-4136, Cl PI, IO

   

3.000%, 11/15/32

    9,092,856       1,000,178  

FHLMC, Ser 2012-4148, Cl LI, IO

   

2.500%, 12/15/27

    2,816,823       131,120  

FHLMC, Ser 2013-4213, Cl IG, IO

   

4.000%, 06/15/43

    6,836,552       857,861  

FHLMC, Ser 2014-4349, Cl KI, IO

   

3.000%, 04/15/33

    4,957,461       319,244  

FHLMC, Ser 2015-4457, Cl EI, IO

   

3.500%, 02/15/45

    275,995       25,733  

FHLMC, Ser 2017-4675, Cl VE

   

3.500%, 08/15/37

    4,707,000       4,686,133  

FHLMC, Ser 2019-4908, Cl AS, IO

   

3.841%, ICE LIBOR USD 1 Month + 6.100%, 01/25/45

    11,054,768       1,809,099  

FHLMC, Ser 2021-5085, Cl IG, IO

   

2.500%, 03/25/51

    22,669,533       3,247,288  

FHLMC, Ser 2022-5202, Cl KI, IO

   

3.500%, 06/25/49

        17,616,451       2,833,129  

FNMA

   

5.500%, 05/01/44

    4,014,363       4,305,586  

4.500%, 08/01/41

    2,224,031       2,313,529  

3.043%, ICE LIBOR USD 12 Month + 1.700%, 10/01/42

    932,879       964,926  

3.000%, 10/01/32 to 11/01/46

    5,932,159             5,866,975  

1.997%, ICE LIBOR USD 12 Month + 1.747%, 02/01/42

    715,826       729,514  

FNMA REMIC, Ser 2017-52, Cl DI, IO

   

4.500%, 07/25/47

    8,307,348       1,337,637  

FNMA STRIPS, Ser 2009-397, Cl 2, IO

   

5.000%, 09/25/39

    1,222,127       213,298  

FNMA STRIPS, Ser 2009-400, Cl 2, IO

   

4.500%, 11/25/39

    947,704       156,130  

FNMA STRIPS, Ser 2010-404, Cl 2, IO

   

4.500%, 05/25/40

    1,719,123       365,341  

FNMA STRIPS, Ser 2011-407, Cl 2, IO

   

4.000%, 03/25/41

    1,674,372       274,895  

FNMA, Ser 2011-103, Cl GI, IO

   

3.500%, 10/25/26

    937,468       32,824  

FNMA, Ser 2011-146, Cl AY

   

3.500%, 01/25/32

    2,508,268       2,527,264  

FNMA, Ser 2012-410, Cl C5, IO

   

3.500%, 05/25/27

    3,709,550       149,907  

FNMA, Ser 2012-61, Cl KI, IO

   

4.000%, 12/25/41

    3,536,719       268,907  

FNMA, Ser 2012-68, Cl GY

   

3.000%, 07/25/32

    5,000,000       4,949,202  

FNMA, Ser 2013-104, Cl TI, IO

   

3.000%, 08/25/32

    1,497,800       71,509  
Description   Face Amount     Value  

FNMA, Ser 2013-36, Cl MH

   

2.500%, 12/25/36

  $ 501,853     $ 500,767  

FNMA, Ser 2014-40, Cl GI, IO

   

3.000%, 06/25/33

    4,883,717       515,740  

FNMA, Ser 2015-421, Cl C1, IO

   

3.000%, 05/25/30

    2,649,691       207,951  

FNMA, Ser 2019-44, Cl CI, IO

   

4.000%, 08/25/59

    6,340,284       1,339,710  

FNMA, Ser 2019-44, Cl PI, IO

   

4.000%, 08/25/49

    5,257,893       826,636  

GNMA REMIC, Ser 2011-125, Cl BI, IO

   

4.000%, 12/20/30

    348,805       1,560  

GNMA, Ser 2013-170, Cl QI, IO

   

5.500%, 11/20/43 (B)

    8,303,732       1,289,642  

GNMA, Ser 2013-42, Cl MI, IO

   

3.500%, 04/20/41

    575,676       8,153  

GNMA, Ser 2013-62, Cl NI, IO

   

4.000%, 08/20/40

    3,123,669       202,713  

GNMA, Ser 2014-32, Cl CI, IO

   

4.000%, 03/20/43

    2,466,513       215,798  

GNMA, Ser 2014-44, Cl IO, IO

   

4.000%, 11/16/26

    3,685,574       153,365  

GNMA, Ser 2015-103, Cl CI, IO

   

4.000%, 07/20/45

    11,923,856       1,679,558  

GNMA, Ser 2015-17, Cl JI, IO

   

3.500%, 05/20/28

    3,368,713       126,797  

GNMA, Ser 2016-99, Cl ID, IO

   

4.500%, 04/16/44

    15,791,246       3,609,759  

GNMA, Ser 2017-137, Cl DI, IO

   

3.000%, 02/20/47

    1,061,305       24,645  

GNMA, Ser 2019-137, Cl GI, IO

   

4.000%, 11/20/49

    59,270,998       9,558,563  

GNMA, Ser 2020-189, Cl IJ, IO

   

2.500%, 12/20/50

    22,708,899       2,671,820  

GNMA, Ser 2020-191, Cl CT

   

1.250%, 12/20/50

    4,368,641       3,749,496  

GNMA, Ser 2021-8, Cl IG, IO

   

2.500%, 01/20/51

        30,495,594       3,566,969  
   

 

 

 
            85,280,188  
   

 

 

 

Commercial Mortgage-Backed Obligation — 7.6%

 

 

280 Park Avenue Mortgage Trust, Ser 201-280P, Cl F

   

4.700%, ICE LIBOR USD 1 Month + 2.827%, 09/15/34 (A)

    12,500,000       11,263,212  

Banc of America Commercial Mortgage Trust, Ser 2008-1, Cl AJ

   

6.567%, 02/10/51 (B)

    240,943       243,564  

Bear Stearns Commercial Mortgage Securities Trust,
Ser 2007-T26, Cl AJ

   

5.566%, 01/12/45 (B)

    136,979       136,356  

Benchmark Mortgage Trust,
Ser 2020-B18, Cl E

   

2.250%, 07/15/53 (A)

    8,000,000       4,937,120  

Benchmark Mortgage Trust,
Ser 2020-B21, Cl D

   

2.000%, 12/17/53 (A)

    13,000,000       8,604,266  
 

 

The accompanying notes are an integral part of the financial statements.

 

24


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Description   Face Amount     Value  

Benchmark Mortgage Trust, Ser 2020-IG3, Cl A4

   

2.437%, 09/15/48 (A)

  $ 10,000,000     $ 8,894,481  

BX Commercial Mortgage Trust, Ser 2020-VIV3, Cl B

   

3.544%, 03/09/44 (A)(B)

    8,000,000       7,240,235  

BXMT, Ser 2020-FL2, Cl A

   

2.973%, TSFR1M + 1.014%, 02/15/38 (A)

        13,000,000       12,789,335  

Citigroup Commercial Mortgage Trust, Ser 2015-GC31, Cl C

   

4.039%, 06/10/48 (B)

    5,000,000       4,567,840  

Commercial Mortgage Trust, Ser 2012-CR2, Cl C

   

4.917%, 08/15/45 (B)

    1,000,000       997,059  

Commercial Mortgage Trust, Ser 2012-CR2, Cl D

   

4.917%, 08/15/45 (A)(B)

    224,200       220,475  

Commercial Mortgage Trust, Ser 2014-LC15, Cl D

   

5.002%, 04/10/47 (A)(B)

    9,500,000       8,871,542  

Commercial Mortgage Trust, Ser 2014-UBS6, Cl C

   

4.440%, 12/10/47 (B)

    4,000,000       3,833,189  

Commercial Mortgage Trust, Ser 2015-DC1, Cl D

   

4.298%, 02/10/48 (A)(B)

    9,000,000       7,464,900  

Credit Suisse First Boston Mortgage Securities, Ser 2005- C2, Cl AMFL

   

2.249%, ICE LIBOR USD 1 Month + 0.250%, 04/15/37

    51,614       51,229  

Credit Suisse First Boston Mortgage Securities, Ser 2005- C2, Cl AMFX

   

4.877%, 04/15/37

    4,613       4,616  

CSMC Trust, Ser 2019-AFC1, Cl A1

   

2.573%, 07/25/49 (A)(C)

    2,906,905       2,781,384  

DROP Mortgage Trust, Ser 2021- FILE, Cl D

   

4.750%, ICE LIBOR USD 1 Month + 2.750%, 10/15/43 (A)

    15,000,000             13,946,077  

FHLMC Military Housing Bonds Resecuritization Trust Certificates, Ser 2015-R1, Cl C3

   

6.004%, 11/25/52 (A)(B)

    33,596,808       31,199,844  

FNMA, Ser 2020-44, Cl MI, IO

   

2.500%, 01/25/57

    13,254,742       2,263,703  

Fontainebleau Miami Beach Trust, Ser 2019-FBLU, Cl A

   

3.144%, 12/10/36 (A)

    10,000,000       9,628,100  

FREMF Mortgage Trust, Ser 2016- K54, Cl C

   

4.051%, 04/25/48 (A)(B)

    5,000,000       4,855,949  

FREMF Mortgage Trust, Ser 2016- K57, Cl C

   

3.918%, 08/25/49 (A)(B)

    8,840,000       8,571,531  

Hudson Yards Mortgage Trust, Ser 2019-30HY, Cl B

   

3.380%, 07/10/39 (A)(B)

    2,500,000       2,264,828  
Description   Face Amount     Value  

JPMDB Commercial Mortgage Securities Trust, Ser 2016-C2, Cl C

   

3.358%, 06/15/49 (B)

  $ 4,328,000     $ 3,641,922  

JPMorgan Chase Commercial Mortgage Securities, Ser 2007- LD12, Cl AJ

   

6.505%, 02/15/51 (B)

    1,782,069       1,589,071  

JPMorgan Chase Commercial Mortgage Securities, Ser 2007- LD12, Cl J

   

5.994%, 02/15/51 (A)(B)(D)(E)

    1,000,000        

LStar Commercial Mortgage Trust, Ser 2016-4, Cl AS

   

3.188%, 03/10/49 (A)

    3,000,000       2,856,380  

MFRA Trust, Ser 2022-INV1, Cl A3

   

4.250%, 04/25/66 (A)(B)

    4,000,000       3,677,978  

Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2016- C29, Cl C

   

4.728%, 05/15/49 (B)

    2,413,000       2,228,383  

Morgan Stanley Capital I, Ser 2007-T25, Cl AJ

   

5.574%, 11/12/49 (B)

    86,115       61,457  

UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl D

   

4.553%, 12/10/45 (A)(B)

        13,624,000       12,907,514  

Wells Fargo Commercial Mortgage Trust, Ser 2016-C32, Cl C

   

4.723%, 01/15/59 (B)

    5,000,000       4,813,463  

Wells Fargo Commercial Mortgage Trust, Ser 2016-C32, Cl D

   

3.788%, 01/15/59 (A)(B)

    2,000,000       1,682,694  

Wells Fargo Commercial Mortgage Trust, Ser 2016-C34, Cl B

   

4.089%, 06/15/49

    5,000,000       4,542,472  

Wells Fargo Commercial Mortgage Trust, Ser 2018-AUS, Cl A

   

4.058%, 08/17/36 (A)(B)

    5,000,000       4,904,557  

WFRBS Commercial Mortgage Trust, Ser 2013-UBS1, Cl C

   

5.024%, 03/15/46 (B)

    3,000,000       2,941,275  

WFRBS Commercial Mortgage Trust, Ser 2014-C25, Cl D

   

3.803%, 11/15/47 (A)(B)

    7,310,000       6,412,006  
   

 

 

 
            207,890,007  
   

 

 

 

Non-Agency Residential Mortgage-Backed Obligation — 4.1%

 

510 Asset Backed Trust, Ser 2021- NPL1, Cl A2

   

3.967%, 06/25/61 (A)(C)

    20,000,000       18,561,868  

510 Asset Backed Trust, Ser 2021- NPL2, Cl A2

   

4.090%, 06/25/61 (A)(C)

    7,000,000       6,432,526  

Angel Oak Mortgage Trust, Ser 2021-4, Cl A3

   

1.446%, 01/20/65 (A)(B)

    2,408,374       1,995,361  

Arroyo Mortgage Trust, Ser 2019- 2, Cl A2

   

3.498%, 04/25/49 (A)(B)

    2,751,371       2,663,300  

CAFL, Ser 2021-RTL1, Cl A1

   

2.239%, 03/28/29 (A)(C)

    2,000,000       1,844,196  
 

 

The accompanying notes are an integral part of the financial statements.

 

25


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Description   Face Amount     Value  

CAFL, Ser 2022-RTL1, Cl A1

   

4.250%, 05/28/29 (C)

  $ 7,000,000     $ 6,733,228  

FirstKey Mortgage Trust, Ser 2015- 1, Cl A3

   

3.500%, 03/25/45 (A)(B)

    892,696       850,622  

Galton Funding Mortgage Trust, Ser 2019-1, Cl A22

   

4.000%, 02/25/59 (A)(B)

    179,062       176,437  

Galton Funding Mortgage Trust, Ser 2019-2, Cl A21

   

4.000%, 06/25/59 (A)(B)

        1,534,144       1,515,206  

PRET, Ser 2021-NPL5, Cl A2

   

4.704%, 10/25/51 (A)(C)

    7,000,000       6,656,216  

PRET, Ser 2021-RN3, Cl A1

   

1.843%, 09/25/51 (A)(C)

    7,800,679       7,310,778  

PRET, Ser 2021-RN4, Cl A2

   

5.194%, 10/25/51 (A)(B)

    6,000,000       5,738,934  

Pretium Mortgage Credit Partners I, Ser 2021-NPL1, Cl A2

   

4.213%, 09/27/60 (A)(C)

    9,000,000       8,510,863  

Pretium Mortgage Credit Partners I, Ser 2021-NPL2, Cl A2

   

3.844%, 06/27/60 (A)(C)

    2,750,000       2,577,108  

Pretium Mortgage Credit Partners, Ser 2021-NPL3, Cl A2

   

3.721%, 07/25/51 (A)(C)

    2,000,000       1,766,805  

PRPM, Ser 2021-10, Cl A2

   

4.826%, 10/25/26 (A)(C)

    8,000,000       7,250,766  

PRPM, Ser 2021-5, Cl A2

   

3.721%, 06/25/26 (A)(C)

    5,000,000       4,660,510  

PSMC Trust, Ser 2020-2, Cl A2

   

3.000%, 05/25/50 (A)(B)

    678,236       661,201  

RCO VI Mortgage, Ser 2022-1, Cl A2

   

5.250%, 01/25/27 (A)(C)

    5,000,000       4,427,196  

Sequoia Mortgage Trust, Ser 2013-4, Cl AIO1, IO

   

0.856%, 04/25/43 (A)(B)

    53,191,632       1,056,306  

Sequoia Mortgage Trust, Ser 2017- CH1, Cl A2

   

3.500%, 08/25/47 (A)(B)

    101,466       97,611  

Sequoia Mortgage Trust, Ser 2018-CH4, Cl A2

   

4.000%, 10/25/48 (A)(B)

    142,352       140,806  

Toorak Mortgage, Ser 2021-1, Cl M1

   

5.805%, 06/25/24 (A)(C)

    15,000,000             13,850,655  

VOLT, Ser 2021-CF2, Cl A2

   

5.316%, 11/27/51 (A)(C)

    4,000,000       3,796,892  

Wells Fargo Mortgage Backed Securities Trust, Ser 2020-1, Cl A1

   

3.000%, 12/25/49 (A)(B)

    2,667,231       2,408,950  

WinWater Mortgage Loan Trust, Ser 2014-1, Cl A1

   

3.912%, 06/20/44 (A)(B)

    574,553       564,304  

WinWater Mortgage Loan Trust, Ser 2014-2, Cl A1

   

4.000%, 09/20/44 (A)(B)

    165,637       165,201  

WinWater Mortgage Loan Trust, Ser 2014-3, Cl A3

   

3.500%, 11/20/44 (A)(B)

    414,151       414,065  
Description   Face Amount     Value  

WinWater Mortgage Loan Trust, Ser 2015-2, Cl A11

   

3.500%, 02/20/45 (A)(B)

  $ 476,891     $ 465,968  

WinWater Mortgage Loan Trust, Ser 2015-3, Cl A3

   

3.500%, 03/20/45 (A)(B)

    630,510       597,485  
   

 

 

 
      113,891,364  
   

 

 

 

Total Mortgage-Backed Securities

  (Cost $441,865,202)

            407,061,559  
   

 

 

 

ASSET-BACKED SECURITIES — 13.4%

 

 

Automotive — 8.6%

   

ACC Auto Trust, Ser 2021-A, Cl D

   

6.100%, 06/15/29 (A)

        13,000,000       12,384,551  

American Credit Acceptance Receivables Trust, Ser 2020-2, Cl E

   

7.600%, 02/16/27 (A)

    13,750,000       13,894,543  

American Credit Acceptance Receivables Trust, Ser 2020-3, Cl D

   

2.400%, 06/15/26 (A)

    6,500,000       6,344,003  

American Credit Acceptance Receivables Trust, Ser 2020-4, Cl E

   

3.650%, 12/14/26 (A)

    4,000,000       3,883,036  

American Credit Acceptance Receivables Trust, Ser 2022-2, Cl C

   

4.410%, 06/13/28 (A)

    5,000,000       4,903,731  

Amur Equipment Finance Receivables IX, Ser 2021-1A, Cl D

   

2.300%, 11/22/27 (A)

    1,250,000       1,144,200  

Avid Automobile Receivables Trust, Ser 2019-1, Cl D

   

4.030%, 07/15/26 (A)

    1,300,000       1,289,590  

CarNow Auto Receivables Trust, Ser 2021-2A, Cl C

   

1.690%, 03/15/27 (A)

    3,330,000       3,191,140  

CarNow Auto Receivables Trust, Ser 2021-2A, Cl E

   

4.450%, 02/15/28 (A)

    4,000,000       3,771,539  

Carvana Auto Receivables Trust, Ser 2019-1A, Cl E

   

5.640%, 01/15/26 (A)

    8,000,000       8,050,706  

Carvana Auto Receivables Trust, Ser 2019-3A, Cl E

   

4.600%, 07/15/26 (A)

    5,000,000       4,964,289  

Carvana Auto Receivables Trust, Ser 2019-4A, Cl E

   

4.700%, 10/15/26 (A)

    6,000,000       5,893,361  

CIG Auto Receivables Trust, Ser 2021-1A, Cl E

   

4.450%, 05/12/28 (A)

    7,000,000       6,587,057  

CPS Auto Receivables Trust, Ser 2019-B, Cl F

   

7.480%, 06/15/26 (A)

    6,055,000       6,050,570  

CPS Auto Receivables Trust, Ser 2019-D, Cl D

   

2.720%, 09/15/25 (A)

    2,938,127       2,912,865  
 

 

The accompanying notes are an integral part of the financial statements.

 

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Description   Face Amount     Value  

CPS Auto Receivables Trust, Ser 2019-D, Cl E

   

3.860%, 10/15/25 (A)

  $ 6,000,000     $ 5,880,069  

DT Auto Owner Trust, Ser 2020- 1A, Cl E

   

3.480%, 02/16/27 (A)

    4,500,000       4,401,145  

DT Auto Owner Trust, Ser 2020- 3A, Cl D

   

1.840%, 06/15/26 (A)

    2,000,000       1,914,074  

DT Auto Owner Trust, Ser 2021- 1A, Cl E

   

2.380%, 01/18/28 (A)

    1,000,000       913,521  

DT Auto Owner Trust, Ser 2021- 3A, Cl D

   

1.310%, 05/17/27 (A)

    5,500,000       5,012,964  

Exeter Automobile Receivables Trust, Ser 2020-1A, Cl D

   

2.730%, 12/15/25 (A)

        2,500,000       2,467,079  

First Investors Auto Owner Trust, Ser 2020-1A, Cl D

   

3.150%, 04/15/26 (A)

    4,000,000       3,919,672  

First Investors Auto Owner Trust, Ser 2020-1A, Cl E

   

4.630%, 06/16/26 (A)

    5,510,000       5,434,973  

First Investors Auto Owner Trust, Ser 2020-1A, Cl F

   

7.070%, 06/15/27 (A)

    5,300,000       5,332,276  

First Investors Auto Owner Trust, Ser 2022-1A, Cl E

   

5.410%, 06/15/29 (A)

    2,280,000       2,170,474  

Flagship Credit Auto Trust, Ser 2019-2, Cl D

   

3.530%, 05/15/25 (A)

    5,190,000       5,102,559  

Flagship Credit Auto Trust, Ser 2020-1, Cl E

   

3.520%, 06/15/27 (A)

    7,931,000       7,510,169  

Flagship Credit Auto Trust, Ser 2020-2, Cl E

   

8.220%, 09/15/27 (A)

    8,000,000             8,365,452  

Foursight Capital Automobile Receivables Trust, Ser 2020-1, Cl E

   

3.490%, 04/15/26 (A)

    1,300,000       1,280,025  

Foursight Capital Automobile Receivables Trust, Ser 2022-1, Cl E

   

4.690%, 08/15/29 (A)

    4,230,000       3,935,279  

GLS Auto Receivables Issuer Trust, Ser 2019-3A, Cl D

   

3.840%, 05/15/26 (A)

    6,000,000       5,857,842  

GLS Auto Receivables Issuer Trust, Ser 2020-1A, Cl D

   

3.680%, 11/16/26 (A)

    5,000,000       4,844,489  

GLS Auto Receivables Issuer Trust, Ser 2020-4A, Cl E

   

3.510%, 10/15/27 (A)

    650,000       615,924  

GLS Auto Receivables Trust, Ser 2022-1A, Cl E

   

5.640%, 05/15/29 (A)

    4,000,000       3,777,242  

Hertz Vehicle Financing, Ser 2021- 1A, Cl D

   

3.980%, 12/26/25 (A)

    10,000,000       9,234,774  
Description   Face Amount     Value  

Santander Consumer Auto Receivables Trust, Ser 2020-AA, Cl E

   

7.690%, 05/15/26 (A)

  $ 9,006,000     $ 9,167,269  

Santander Consumer Auto Receivables Trust, Ser 2020-AA, Cl F

   

10.120%, 01/16/29 (A)

    27,740,000       28,022,659  

Santander Consumer Auto Receivables Trust, Ser 2020-BA, Cl F

   

7.030%, 08/15/28 (A)

    6,250,000       6,295,470  

Santander Consumer Auto Receivables Trust, Ser 2021-AA, Cl E

   

3.280%, 03/15/27 (A)

    1,000,000       935,515  

Tricolor Auto Securitization Trust, Ser 2021-1A, Cl C

   

1.330%, 09/16/24 (A)

    2,000,000       1,960,168  

Tricolor Auto Securitization Trust, Ser 2022-1A, Cl F

   

9.800%, 07/16/29 (A)

    4,000,000       3,938,733  

United Auto Credit Securitization Trust, Ser 2020-1, Cl F

   

9.080%, 01/12/26 (A)

    3,680,000       3,690,231  

United Auto Credit Securitization Trust, Ser 2022-2, Cl D

   

6.840%, 01/10/28 (A)

    5,389,000       5,400,129  

Veros Auto Receivables Trust, Ser 2021-1, Cl C

   

3.640%, 08/15/28 (A)

        4,320,000       4,085,947  
   

 

 

 
            236,731,304  
   

 

 

 

Credit Card — 0.3%

   

Master Credit Card Trust II, Ser 2020-1A, Cl C

   

2.590%, 09/21/24 (A)

    2,000,000       1,973,430  

Mercury Financial Credit Card Master Trust, Ser 2022-1A, Cl A

   

2.500%, 09/21/26 (A)

    3,000,000       2,855,040  

Mercury Financial Credit Card Master Trust, Ser 2022-1A, Cl C

   

5.200%, 09/21/26 (A)

    1,780,000       1,615,509  
   

 

 

 
      6,443,979  
   

 

 

 

Other Asset-Backed Securities — 3.9%

 

 

BHG Securitization Trust, Ser 2022-B, Cl D

   

6.690%, 06/18/35 (A)

    6,000,000       5,756,361  

CAL Funding IV, Ser 2020-1A, Cl B

   

3.500%, 09/25/45 (A)

    1,423,042       1,322,164  

Carrington Mortgage Loan Trust, Ser 2007-FRE1, Cl M8

   

2.461%, ICE LIBOR USD 1 Month + 2.250%, 02/25/37 (D)(E)

    1,000,000        

CF Hippolyta Issuer, Ser 2020-1, Cl A2

   

1.990%, 07/15/60 (A)

    5,413,236       4,760,684  

CP EF Asset Securitization I, Ser 2022-1A, Cl A

   

5.960%, 04/15/30 (A)

    4,779,001       4,770,762  
 

 

The accompanying notes are an integral part of the financial statements.

 

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Description   Face Amount     Value  

Diamond Resorts Owner Trust, Ser 2019-1A, Cl A

   

2.890%, 02/20/32 (A)

  $ 1,307,010     $ 1,282,461  

Global SC Finance VII Srl, Ser 2020-1A, Cl A

   

2.170%, 10/17/40 (A)

    3,181,048       2,932,668  

Harley Marine Financing, Ser 2018-1A, Cl A2

   

5.682%, 05/15/43 (A)

    9,911,989       9,672,753  

Harley Marine Financing, Ser 2018-1A, Cl B

   

7.869%, 05/15/43 (A)

    6,000,000       5,707,458  

Harvest SBA Loan Trust, Ser 2018- 1, Cl A

   

3.874%, ICE LIBOR USD 1 Month + 2.250%, 08/25/44 (A)

    2,432,634       2,388,051  

JG Wentworth XXI LLC, Ser 2010- 2A, Cl B

   

7.450%, 01/15/50 (A)

        1,262,072             1,292,559  

JGWPT XXV LLC, Ser 2012-1A, Cl B

   

7.140%, 02/15/67 (A)

    558,625       604,228  

JGWPT XXVI LLC, Ser 2012-2A, Cl B

   

6.770%, 10/17/61 (A)

    1,488,960       1,613,152  

Kapitus Asset Securitization, Ser 2022-1A, Cl A

   

3.382%, 07/10/28 (A)

    8,000,000       7,569,151  

Marlette Funding Trust, Ser 2020- 1A, Cl D

   

3.540%, 03/15/30 (A)

    1,500,000       1,459,229  

Mosaic Solar Loan Trust, Ser 2020-2A, Cl B

   

2.210%, 08/20/46 (A)

    3,092,377       2,771,916  

Octane Receivables Trust, Ser 2021-2A, Cl B

   

2.020%, 09/20/28 (A)

    3,000,000       2,692,687  

Oportun Issuance Trust, Ser 2022- A, Cl C

   

7.400%, 06/09/31 (A)

    3,000,000       2,944,202  

Orange Lake Timeshare Trust, Ser 2019-A, Cl C

   

3.610%, 04/09/38 (A)

    1,661,947       1,601,807  

Orange Lake Timeshare Trust, Ser 2019-A, Cl D

   

4.930%, 04/09/38 (A)

    274,225       258,856  

Pawnee Equipment Receivables, Ser 2019-1, Cl D

   

2.860%, 10/15/24 (A)

    5,500,000       5,324,845  

Pawnee Equipment Receivables, Ser 2019-1, Cl E

   

3.800%, 01/15/26 (A)

    2,500,000       2,413,785  

Pawneee Equipment Receivables, Ser 2021-1, Cl C

   

2.300%, 07/15/27 (A)

    4,700,000       4,273,042  

Pawneee Equipment Receivables, Ser 2022-1, Cl C

   

6.010%, 07/17/28 (A)

    4,000,000       3,998,938  

Sapphire Aviation Finance I, Ser 2018-1A, Cl B

   

5.926%, 03/15/40 (A)

    1,715,776       1,257,975  
Description   Face Amount     Value  

Stack Infrastructure Issuer Series, Ser 2019-1A, Cl A2

   

4.540%, 02/25/44 (A)

  $ 3,477,000     $ 3,457,255  

Textainer Marine Containers VII, Ser 2020-2A, Cl B

   

3.340%, 09/20/45 (A)

    1,653,100       1,531,975  

Triton Container Finance VIII, Ser 2020-1A, Cl B

   

3.740%, 09/20/45 (A)

    844,167       774,417  

TRTX Issuer, Ser 2021-FL4, Cl C

   

4.399%, ICE LIBOR USD 1 Month + 2.400%, 03/15/38 (A)

    10,000,000       9,531,400  

VOLT CIII, Ser 2021-CF1, Cl A2

   

3.967%, 08/25/51 (A)(C)

    3,303,000       3,190,486  

VR Funding, Ser 2020-1A, Cl A

   

2.790%, 11/15/50 (A)

    6,885,715       6,317,166  

VR Funding, Ser 2020-1A, Cl C

   

6.420%, 11/15/50 (A)

    4,093,438       3,877,078  
   

 

 

 
      107,349,511  
   

 

 

 

Student Loan — 0.6%

   

College Ave Student Loans,
Ser 2018-A, Cl A1

   

3.459%, ICE LIBOR USD 1 Month + 1.200%, 12/26/47 (A)

    1,925,232       1,877,666  

Commonbond Student Loan Trust, Ser 2017-AGS, Cl A1

   

2.550%, 05/25/41 (A)

    1,458,951       1,438,792  

Nelnet Student Loan Trust, Ser 2013-3A, Cl B

   

3.759%, ICE LIBOR USD 1 Month + 1.500%, 07/25/47 (A)

        10,000,000       9,450,037  

SLM Student Loan Trust, Ser 2012-7, Cl B

   

4.059%, ICE LIBOR USD 1 Month + 1.800%, 09/25/43

    5,000,000       4,836,139  
   

 

 

 
      17,602,634  
   

 

 

 

Total Asset-Backed Securities

  (Cost $375,701,590)

            368,127,428  
   

 

 

 

MUNICIPAL BONDS — 1.8%

   

GDB Debt Recovery Authority of Puerto Rico, RB

   

7.500%, 08/20/40

    7,319,594       6,477,841  

Mission, Economic Development, RB

   

8.550%, 12/01/21(D)(E)

    2,125,000       21,250  

Mission, Economic Development, RB

   

10.875%, 12/01/28(D)(E)

    3,315,000       33,150  

9.750%, 12/01/25(D)(E)

    3,045,000       30,450  

North Texas Tollway Authority, RB

   

8.410%, 02/01/30

    2,005,000       2,399,588  

Northwest Independent School District,
Ser A, GO, PSF-GTD

   

1.776%, 02/15/31

    2,000,000       1,746,369  

1.836%, 02/15/32

    1,890,000       1,624,572  
 

 

The accompanying notes are an integral part of the financial statements.

 

28


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Description    Face Amount      Value  

Rhode Island State, Health & Educational System, Providence Public Schools, Ser A, RB, CITY APPROP ST AID WITHHLDG

     

8.000%, 05/15/29

   $ 5,000,000      $ 5,009,765  

San Juan, Higher Education Finance Authority, RB

     

8.250%, 08/15/29

     4,400,000        4,412,192  

State of Illinois, Ser A, GO

     

3.140%, 10/01/24

     14,460,000        14,160,191  

Texas State, Public Finance Authority Charter School, Ser 2010-Q, RB

     

8.125%, 02/15/27

     1,900,000        2,094,531  

Texas State, Transportation Commission State Highway Fund, RB

     

4.000%, 10/01/33

     3,000,000        3,079,561  

Texas State, Transportation Commission State Highway Fund, Ser B-BUILD, RB

     

5.178%, 04/01/30

     3,980,000        4,334,035  

University of Texas, Build America Bonds, Ser D, RB

     

5.134%, 08/15/42

     3,000,000        3,419,707  
     

 

 

 

Total Municipal Bonds

  (Cost $57,770,440)

        48,843,202  
     

 

 

 

U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.2%

 

FAMC

     

1.820%, 08/19/31

     5,000,000        4,512,282  

FFCB

     

2.920%, 04/29/26

     5,635,000        5,590,503  

2.070%, 12/21/40

     5,000,000        3,687,176  

1.940%, 06/30/31

     5,000,000        4,432,464  

FHLB

     

2.625%, 12/08/36

     1,000,000        874,440  

2.375%, 01/14/37

     3,000,000        2,547,366  

2.150%, 09/23/36

     1,500,000        1,245,770  

FNMA

     

2.250%, 10/30/24

     10,000,000        9,842,192  
     

 

 

 

Total U.S. Government Agency Obligations

  (Cost $36,135,000)

        32,732,193  
     

 

 

 

SOVEREIGN DEBT — 1.0%

     

Argentine Republic Government International Bond

     

3.625%, 07/09/23 (C)

     8,925,940        1,974,298  

1.000%, 07/09/29

     717,588        167,441  

0.500%, 07/09/30 (C)

     5,141,000        1,209,723  

Colombia Government International Bond

     

3.250%, 04/22/32

     5,000,000        3,887,801  

Oman Government International Bond

     

6.500%, 03/08/47 (A)

     15,000,000              12,946,170  

Provincia de Buenos Aires

     

3.900%, 09/01/37 (A)(C)

     333,959        103,439  

Suriname Government International Bond

     

12.875%, 12/30/23

     8,000,000        6,484,000  
Description    Face Amount      Value  

Ukraine Government International Bond

     

7.750%, 09/01/22 (E)

   $ 5,000,000      $ 1,610,000  
     

 

 

 

Total Sovereign Debt

  (Cost $38,644,862)

        28,382,872  
     

 

 

 
     Shares             

COMMON STOCK — 0.6%

     

Noble Corp*

     64,980        1,639,445  

Paratus Energy Services Ltd.*(D)

     27,367              14,943,121  

Seadrill Ltd*

     305        8,207  
     

 

 

 

Total Common Stock

  (Cost $824,060)

        16,590,773  
     

 

 

 
     Number of
Warrants
        

WARRANTS — 0.2%

     

United States — 0.2%

     

Noble Corp,

     

Expires 02/05/28*(D)

     269,009        3,429,865  

Noble Corp,

     

Expires 02/05/28*(D)

     269,009        3,026,351  
     

 

 

 

Total Warrants

  (Cost $5,218)

        6,456,216  
     

 

 

 

Total Investments — 98.8%

  (Cost $2,811,858,604)

      $ 2,716,684,256  
     

 

 

 

Percentages are based on Net Assets of $2,750,405,845.

 

*

Non-income producing security.

Real Estate Investment Trust

(A)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at July 31, 2022 was $1,355,901,628 and represents 49.3% of Net Assets.

(B)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(C)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on July 31, 2022. The coupon on a step bond changes on a specific date.

(D)

Level 3 security in accordance with fair value hierarchy.

(E)

Security in default on interest payments.

Cl — Class

CLO — Collateralized Loan Obligation

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

ICE — Intercontinental Exchange

IO — Interest Only - face amount represents notional amount

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

MTN — Medium Term Note

PSF-GTD — Texas Public School Fund Guarantee

RB — Revenue Bond

REMIC — Real Estate Mortgage Investment Conduit

 

 

The accompanying notes are an integral part of the financial statements.

 

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Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

USD — U.S. Dollar

The following is a summary of the level of inputs used as of July 31, 2022, in valuing the Fund’s investments carried at value:

 

 Investments in
 Securities
  Level 1     Level 2     Level 3     Total  

U.S. Treasury

       

Obligations

  $ 792,177,031     $ 36,526,463     $     $ 828,703,494  

Collateralized Loan

       

Obligations

          496,034,653             496,034,653  

Corporate Obligations

          483,751,866             483,751,866  

Mortgage-Backed

       

Securities

          407,061,559       — ^       407,061,559  

Asset-Backed

       

Securities

          368,127,428       — ^       368,127,428  

Municipal Bonds

          48,758,352       84,850       48,843,202  

U.S. Government

       

Agency Obligations

          32,732,193             32,732,193  

Sovereign Debt

          28,382,872             28,382,872  

Common Stock

    1,647,652             14,943,121       16,590,773  

Warrants

                6,456,216       6,456,216  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

  $   793,824,683     $   1,901,375,386     $   21,484,187     $   2,716,684,256  
 

 

 

   

 

 

   

 

 

   

 

 

 

    

 

^ This category includes securities with a value of $0.

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining Value as of July 31, 2022.

 

      Common Stock     Municipal Bond      Warrants      Total

Balance as of July 31, 2021

   $     $         701,100      $         3,530,743      $         4,231,843  

Change in unrealized appreciation/(depreciation)

     14,943,121       (616,250)        2,925,473        17,252,344  

Realized gain/(loss)

                          

Purchases

                      

Sales

                          

Net transfer into Level 3

                          

Net transfer out of Level 3

                          

Ending Balance as of July 31, 2022

   $         14,943,121     $ 84,850      $ 6,456,216      $ 21,484,187  

Change in unrealized gains/(losses) included in earnings related to securities still held at reporting date

   $ 14,943,121     $ (616,250)      $ 2,925,473      $ 17,252,344  
        

^ Amount is less than $1.

The following table summarizes the quantitative inputs and assumptions used for items categorized as recurring Level 3 assets as of July 31, 2022. The following disclosures also include information on the sensitivity of the fair value measurements to changes in the significant unobservable inputs.

The unobservable inputs used to determine fair value of recurring Level 3 assets may have similar or diverging impacts on valuation. Significant increases and decreases in these inputs in isolation and interrelationships between those inputs could result in significantly higher or lower fair value measurement.

 

Category   

Market Value
at

July 31, 2022

     Valuation
Technique
   Unobservable
Inputs
   Range
Input Value(s)
(Average Input Value)

Common Stock

     $    14,943,121      Residual equity value    Equity multiple    1

Municipal Bonds

     84,850      Estimated liquidation value    Liquidation value    $0.01

Warrants

     6,456,216      Broker Quotation    None    $11.25 to $12.75

For more information on valuation inputs, see Note 2—Significant Accounting Policies in the Notes to Financial Statements.

 

The accompanying notes are an integral part of the financial statements.

 

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SECTOR WEIGHTINGS (Unaudited)†

 

LOGO

 

† Percentages are based on total investments.

 

Description    Face Amount     Value  

CORPORATE OBLIGATIONS — 42.2%

    

Communication Services — 4.8%

    

ANGI Group

    

3.875%, 08/15/28 (A)

   $ 2,000,000     $ 1,629,998  

LCPR Senior Secured Financing DAC

    

6.750%, 10/15/27 (A)

     900,000       873,704  

Photo Holdings Merger Sub

    

8.500%, 10/01/26 (A)

     1,500,000       1,102,650  

Sprint

    

7.875%, 09/15/23

     1,500,000       1,555,215  

T-Mobile USA

    

3.500%, 04/15/31

         3,000,000       2,774,100  
    

 

 

 
             7,935,667  
    

 

 

 

Consumer Discretionary — 17.3%

    

Airswift Global

    

10.389%, ICE LIBOR USD 3 Month + 8.500%, 05/12/25 (A)

     2,000,000       2,010,000  

APX Group

    

5.750%, 07/15/29 (A)

     2,000,000       1,668,156  

Beazer Homes USA

    

7.250%, 10/15/29 (A)

     1,000,000       911,890  

Block Financial

    

3.875%, 08/15/30

     2,000,000       1,871,443  

Bloomin' Brands

    

5.125%, 04/15/29 (A)

     2,500,000       2,193,750  

Carvana

    

4.875%, 09/01/29 (A)

     1,000,000       596,950  

Choice Hotels International

    

3.700%, 12/01/29

     2,000,000       1,808,999  

Dillard's

    

7.000%, 12/01/28

     500,000       523,223  

Empire Resorts

    

7.750%, 11/01/26 (A)

     2,000,000       1,770,000  

Expedia

    

3.800%, 02/15/28

     2,000,000       1,865,433  

Imperial Brands Finance

    

6.125%, 07/27/27 (A)

     500,000       513,439  

Jaguar Land Rover Automotive

    

4.500%, 10/01/27 (A)

     2,000,000       1,540,000  

MajorDrive Holdings IV

    

6.375%, 06/01/29 (A)

     3,000,000       2,261,730  
Description    Face Amount     Value  

Marriott International

    

3.500%, 10/15/32

   $ 2,000,000     $ 1,785,133  

Rent-A-Center

    

6.375%, 02/15/29 (A)

     1,000,000       793,184  

Scientific Games International

    

8.625%, 07/01/25 (A)

     2,000,000       2,077,500  

STL Holding

    

7.500%, 02/15/26 (A)

     1,500,000       1,331,250  

Under Armour

    

3.250%, 06/15/26

     2,000,000       1,834,143  

Whirlpool

    

4.600%, 05/15/50

     1,000,000       892,868  
    

 

 

 
       28,249,091  
    

 

 

 

Energy — 3.5%

    

Murphy Oil

    

6.875%, 08/15/24

     38,000       38,069  

5.750%, 08/15/25

     2,000,000       2,005,000  

Tiger Holdco Pte

    

13.000%, 06/10/23 (A)

     2,084,434       2,074,012  

VistaJet Malta Finance

    

7.875%, 05/01/27 (A)

     1,500,000       1,379,175  
    

 

 

 
       5,496,256  
    

 

 

 

Financials — 4.2%

    

Athene Holding

    

6.150%, 04/03/30

     500,000       518,310  

Deutsche Bank MTN

    

4.296%, USD Swap Semi 30/360 5 Yr Curr + 2.248%, 05/24/28

     2,500,000       2,337,114  

HSBC Holdings

    

6.500%, 09/15/37

     1,500,000       1,663,936  

UBS

    

5.125%, 05/15/24

     1,500,000       1,508,625  

Westpac Banking

    

2.894%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 1.350%, 02/04/30

         1,000,000       950,793  
    

 

 

 
             6,978,778  
    

 

 

 

Industrials — 5.0%

    

Boeing

    

5.150%, 05/01/30

     2,000,000       2,018,852  

2.196%, 02/04/26

     1,000,000       931,150  

Brundage-Bone Concrete Pumping Holdings

    

6.000%, 02/01/26 (A)

     2,500,000       2,238,777  

Flowserve

    

3.500%, 10/01/30

     2,000,000       1,726,760  

Masco

    

7.750%, 08/01/29

     1,088,000       1,271,053  
    

 

 

 
       8,186,592  
    

 

 

 

Information Technology — 4.3%

    

Amkor Technology

    

6.625%, 09/15/27 (A)

     1,000,000       995,146  

Castle US Holding

    

9.500%, 02/15/28 (A)

     1,000,000       824,662  

Consensus Cloud Solutions

    

6.000%, 10/15/26 (A)

     1,000,000       920,000  

Diebold Nixdorf

    

9.375%, 07/15/25 (A)

     500,000       388,750  

8.500%, 04/15/24

     500,000       240,140  

Vericast

    

11.000%, 09/15/26 (A)

     950,000       938,125  

 

 

 

The accompanying notes are an integral part of the financial statements.

 

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Description    Face Amount     Value  

VeriSign

    

4.750%, 07/15/27

   $ 1,000,000     $ 993,714  

Western Digital

    

2.850%, 02/01/29

     2,000,000       1,687,500  
    

 

 

 
       6,988,037  
    

 

 

 

Materials — 0.3%

    

Mineral Resources

    

8.125%, 05/01/27 (A)

     420,000       417,106  
    

 

 

 

Real Estate — 2.3%

    

GLP Capital

    

3.250%, 01/15/32 ‡

         2,500,000       2,118,838  

Sabra Health Care

    

3.200%, 12/01/31 ‡

     2,000,000       1,635,265  
    

 

 

 
       3,754,103  
    

 

 

 

Utilities — 0.5%

    

Pacific Gas and Electric

    

4.500%, 07/01/40

     1,000,000       816,526  
    

 

 

 

Total Corporate Obligations

  (Cost $76,738,015)

             68,822,156  
    

 

 

 

COLLATERALIZED LOAN OBLIGATIONS — 24.6%

 

 

Apidos CLO XI, Ser 2021-11A, Cl ER3

    

9.310%, ICE LIBOR USD 3 Month + 6.570%, 04/17/34 (A)

     1,000,000       875,050  

Audax Senior Debt CLO 6, Ser 2021-6A, Cl B

    

4.660%, ICE LIBOR USD 3 Month + 1.950%, 10/20/33 (A)

     1,000,000       919,383  

BCC Middle Market, Ser 2018-1A, Cl B

    

5.710%, ICE LIBOR USD 3 Month + 3.000%, 10/20/30 (A)

     1,000,000       943,355  

Benefit Street Partners CLO III, Ser 2017-IIIA, Cl DR

    

9.310%, ICE LIBOR USD 3 Month + 6.600%, 07/20/29 (A)

     2,500,000       2,249,135  

Benefit Street Partners III, Ser 2017-IIIA, Cl CR

    

6.610%, ICE LIBOR USD 3 Month + 3.900%, 07/20/29 (A)

     2,000,000       1,902,330  

BlueMountain CLO XXX, Ser 2022- 30A, Cl ER

    

9.028%, TSFR3M + 6.700%, 04/15/35 (A)

     2,000,000       1,778,528  

Carlyle Global Market Strategies, Ser 2018-1A, Cl CR2

    

4.540%, ICE LIBOR USD 3 Month + 1.800%, 04/17/31 (A)

     1,250,000       1,156,490  

CARLYLE US, Ser 2018-1A, Cl B

    

4.560%, ICE LIBOR USD 3 Month + 1.850%, 04/20/31 (A)

     2,000,000       1,853,484  
Description    Face Amount     Value  

Chenango Park, Ser 2018-1A, Cl B

    

4.362%, ICE LIBOR USD 3 Month + 1.850%, 04/15/30 (A)

   $ 1,000,000     $ 934,449  

CIFC Funding, Ser 2018-1A, Cl C

    

4.490%, ICE LIBOR USD 3 Month + 1.750%, 04/18/31 (A)

     500,000       464,008  

Golub Capital Partners, Ser 2017- 17A, Cl BR

    

5.683%, ICE LIBOR USD 3 Month + 2.900%, 10/25/30 (A)

         1,500,000             1,420,076  

Golub Capital Partners, Ser 2017- 21A, Cl CR

    

5.233%, ICE LIBOR USD 3 Month + 2.450%, 01/25/31 (A)

     3,000,000       2,727,813  

Golub Capital Partners, Ser 2017- 22A, Cl CR

    

4.560%, ICE LIBOR USD 3 Month + 1.850%, 01/20/31 (A)

     1,500,000       1,396,357  

Golub Capital Partners, Ser 2017- 23A, Cl BR

    

4.260%, ICE LIBOR USD 3 Month + 1.550%, 01/20/31 (A)

     1,000,000       971,923  

Golub Capital Partners, Ser 2017- 23A, Cl CR

    

4.510%, ICE LIBOR USD 3 Month + 1.800%, 01/20/31 (A)

     2,000,000       1,862,176  

Golub Capital Partners, Ser 2017- 24A, Cl DR

    

5.263%, ICE LIBOR USD 3 Month + 3.900%, 11/05/29 (A)

     2,000,000       1,830,996  

Golub Capital Partners, Ser 2018- 26A, Cl BR

    

4.260%, ICE LIBOR USD 3 Month + 1.550%, 04/20/31 (A)

     1,000,000       962,377  

Golub Capital Partners, Ser 2018- 36A, Cl B

    

3.013%, ICE LIBOR USD 3 Month + 1.650%, 02/05/31 (A)

     2,000,000       1,904,706  

Golub Capital Partners, Ser 2018- 36A, Cl C

    

3.463%, ICE LIBOR USD 3 Month + 2.100%, 02/05/31 (A)

     1,500,000       1,387,412  

Jay Park, Ser 2018-1A, Cl BR

    

4.710%, ICE LIBOR USD 3 Month + 2.000%, 10/20/27 (A)

     1,000,000       958,321  

LCM XXII, Ser 2018-22A, Cl BR

    

4.710%, ICE LIBOR USD 3 Month + 2.000%, 10/20/28 (A)

     1,500,000       1,409,733  
 

 

The accompanying notes are an integral part of the financial statements.

 

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Description    Face Amount      Value  

MCF VIII, Ser 2018-1A, Cl B

     

4.490%, ICE LIBOR USD 3 Month + 1.750%, 07/18/30 (A)

   $ 3,000,000      $ 2,874,045  

OZLM Funding IV, Ser 2017-4A, Cl BR

     

4.959%, ICE LIBOR USD 3 Month + 2.200%, 10/22/30 (A)

     2,000,000        1,904,090  

Race Point IX, Ser 2017-9A, Cl BR

     

4.662%, ICE LIBOR USD 3 Month + 2.150%, 10/15/30 (A)

     4,000,000        3,746,880  

Race Point IX, Ser 2017-9A, Cl DR

     

9.412%, ICE LIBOR USD 3 Month + 6.900%, 10/15/30 (A)

     2,000,000        1,744,930  
     

 

 

 

Total Collateralized Loan Obligations (Cost $43,069,938)

              40,178,047  
     

 

 

 

ASSET-BACKED SECURITIES — 24.5%

 

Automotive — 15.2%

     

ACC Auto Trust, Ser 2021-A, Cl D

     

6.100%, 06/15/29 (A)

         1,000,000        952,658  

American Credit Acceptance
Receivables Trust, Ser 2022-1, Cl F

     

4.870%, 11/13/28 (A)

     2,600,000        2,472,925  

Amur Equipment Finance Receivables X,
Ser 2022-1A, Cl E

     

5.020%, 12/20/28 (A)

     1,348,000        1,272,863  

Avid Automobile Receivables Trust,
Ser 2019-1, Cl E

     

6.760%, 05/17/27 (A)

     1,000,000        995,053  

Avid Automobile Receivables Trust,
Ser 2021-1, Cl F

     

5.160%, 10/16/28 (A)

     2,000,000        1,816,384  

CarNow Auto Receivables Trust,
Ser 2021-2A, Cl E

     

4.450%, 02/15/28 (A)

     1,000,000        942,885  

Carvana Auto Receivables Trust,
Ser 2019-1A, Cl E

     

5.640%, 01/15/26 (A)

     1,584,000        1,594,040  

Carvana Auto Receivables Trust,
Ser 2019-4A, Cl E

     

4.700%, 10/15/26 (A)

     1,000,000        982,227  

Carvana Auto Receivables Trust,
Ser 2021-N2, Cl E

     

2.900%, 03/10/28 (A)

     2,000,000        1,791,623  

CIG Auto Receivables Trust,
Ser 2021-1A, Cl E

     

4.450%, 05/12/28 (A)

     1,590,000        1,496,203  

CPS Auto Receivables Trust,
Ser 2019-B, Cl F

     

7.480%, 06/15/26 (A)

     500,000        499,634  

CPS Auto Receivables Trust,
Ser 2019-D, Cl E

     

3.860%, 10/15/25 (A)

     2,000,000        1,960,023  

DT Auto Owner Trust, Ser 2019- 4A, Cl E

     

3.930%, 10/15/26 (A)

     2,000,000        1,952,212  
Description    Face Amount      Value  

DT Auto Owner Trust, Ser 2020- 3A, Cl E

     

3.620%, 10/15/27 (A)

   $ 1,500,000      $ 1,454,438  

Exeter Automobile Receivables Trust,
Ser 2022-2A, Cl E

     

6.340%, 10/15/29 (A)

     1,443,000        1,401,642  

Foursight Capital Automobile Receivables Trust, Ser 2022-1, Cl E

     

4.690%, 08/15/29 (A)

     1,000,000        930,326  

GLS Auto Receivables Issuer Trust,
Ser 2021-4A, Cl E

     

4.430%, 10/16/28 (A)

     1,500,000        1,354,698  

Tricolor Auto Securitization Trust,
Ser 2022-1A, Cl F

     

9.800%, 07/16/29 (A)

     1,000,000        984,683  
     

 

 

 
        24,854,517  
     

 

 

 

Credit Card — 1.7%

     

Mercury Financial Credit Card
Master Trust, Ser 2022-1A, Cl C

     

5.200%, 09/21/26 (A)

         2,000,000        1,815,179  

Mission Lane Credit Card Master Trust, Ser 2021-A, Cl B

     

2.240%, 09/15/26 (A)

     1,000,000        966,089  
     

 

 

 
              2,781,268  
     

 

 

 

Other Asset-Backed Securities — 7.6%

 

  

BHG Securitization Trust,
Ser 2022-B, Cl D

     

6.690%, 06/18/35 (A)

     1,000,000        959,393  

CP EF Asset Securitization I,
Ser 2022-1A, Cl A

     

5.960%, 04/15/30 (A)

     955,800        954,152  

Credibly Asset Securitization II,
Ser 2021-1A, Cl B

     

3.380%, 04/15/26 (A)

     524,000        480,595  

Harley Marine Financing,
Ser 2018-1A, Cl A2

     

5.682%, 05/15/43 (A)

     1,738,945        1,696,974  

Kapitus Asset Securitization,
Ser 2022-1A, Cl A

     

3.382%, 07/10/28 (A)

     1,500,000        1,419,216  

Mosaic Solar Loans, Ser 2017-2A, Cl B

     

4.770%, 06/22/43 (A)

     225,015        218,988  

NMEF Funding, Ser 2021-A, Cl D

     

5.780%, 12/15/27 (A)

     1,300,000        1,251,176  

Pawnee Equipment Receivables,
Ser 2019-1, Cl E

     

3.800%, 01/15/26 (A)

     1,500,000        1,448,271  

Pawneee Equipment Receivables,
Ser 2021-1, Cl E

     

5.210%, 05/15/28 (A)

     353,000        320,329  

Pawneee Equipment Receivables,
Ser 2022-1, Cl C

     

6.010%, 07/17/28 (A)

     1,000,000        999,735  

Sapphire Aviation Finance I,
Ser 2018-1A, Cl B

     

5.926%, 03/15/40 (A)

     285,963        209,662  

SCF Equipment Leasing,
Ser 2021-1A, Cl D

     

1.930%, 09/20/30 (A)

     1,500,000        1,367,320  
 

 

The accompanying notes are an integral part of the financial statements.

 

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Description    Face Amount      Value  

Stack Infrastructure Issuer Series, Ser 2019-1A, Cl A2

     

4.540%, 02/25/44 (A)

    $         965,833       $ 960,349  
     

 

 

 
        12,286,160  
     

 

 

 

Total Asset-Backed Securities
(Cost $40,893,445)

                39,921,945  
     

 

 

 

MORTGAGE-BACKED SECURITIES — 11.0%

 

  

Commercial Mortgage-Backed Obligation — 6.9%

 

  

Benchmark Mortgage Trust,
Ser 2020-B21, Cl D

     

2.000%, 12/17/53 (A)

     1,000,000        661,867  

BXMT, Ser 2020-FL2, Cl A

     

2.973%, TSFR1M + 1.014%, 02/15/38 (A)

     1,000,000        983,795  

Cold Storage Trust, Ser 2020-ICE5, Cl E

     

4.765%, ICE LIBOR USD 1 Month + 2.766%, 11/15/37 (A)

     982,991        952,143  

Commercial Mortgage Trust, Ser 2014-UBS6, Cl C

     

4.440%, 12/10/47 (B)

     1,000,000        958,297  

Commercial Mortgage Trust, Ser 2015-DC1, Cl D

     

4.298%, 02/10/48 (A)(B)

     1,517,000        1,258,250  

FREMF Mortgage Trust, Ser 2016- K54, Cl C

     

4.051%, 04/25/48 (A