NPORT-EX 2 WI37930WilmBroadMkBdFd.htm FOR VALIDATION PURPOSES ONLY - [233779.TX]
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Wilmington Broad Market Bond Fund

PORTFOLIO OF INVESTMENTS

July 31, 2021 (unaudited)

 

 Description    Par Value      Value  

ASSET-BACKED SECURITY – 0.0%**

 

FINANCIAL SERVICES – 0.0%**

 

LA Arena Funding LLC, Series 1999-1,
Class A, 7.66%, 12/15/26W

   $ 113,365      $ 112,555  
     

 

 

  

TOTAL ASSET-BACKED SECURITY

(COST $113,365)

 

 

    $ 112,555  

COLLATERALIZED MORTGAGE OBLIGATIONS – 0.2%

 

FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) – 0.2%

 

Series 2005-29, Class WC, 4.75%, 04/25/35

      10,440        11,377  

Series 2012-114, Class VM, 3.50%, 10/25/25

      992,457        1,012,178  
     

 

 

  

TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)

 

    $ 1,023,555  

WHOLE LOAN – 0.0%**

     

Banc of America Mortgage Securities, Inc., Series 2004-A, Class 2A1, 2.46%, 02/25/34D

     34,976        33,525  

CHL Mortgage Pass-Through Trust, Series 2004-8, Class 2A1, 4.50%, 06/01/22

      4,798        5,072  

IndyMac INDA Mortgage Loan Trust, Series 2005-AR1, Class 2A1, 2.93%, 11/25/35D

     22,713        21,807  
     

 

 

  

TOTAL WHOLE LOAN

       $ 60,404  
     

 

 

  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(COST $1,181,223)

 

 

    $ 1,083,959  

CORPORATE BONDS – 49.4%

      

AEROSPACE & DEFENSE – 2.2%

 

Boeing Co. (The), Sr. Unsecured

      

1.95%, 02/01/24

      2,700,000        2,770,049  

1.43%, 02/04/24

      2,500,000        2,506,949  

2.75%, 02/01/26

      2,000,000        2,093,074  

L3Harris Technologies, Inc., Sr. Unsecured,

      

2.90%, 12/15/29

      835,000        897,979  

Northrop Grumman Corp., Sr. Unsecured

      

2.93%, 01/15/25

      1,000,000        1,067,825  

4.03%, 10/15/47

      1,765,000        2,135,086  

Raytheon Technologies Corp., Sr. Unsecured,
3.50%, 03/15/27

      1,600,000        1,780,993  
     

 

 

  

TOTAL AEROSPACE & DEFENSE

       $ 13,251,955  

AUTOMOTIVE – 3.4%

      

American Honda Finance Corp., Sr. Unsecured, MTN,
0.65%, 09/08/23

      1,790,000        1,800,480  

Daimler Finance North America LLC, Company Guaranteed
3.88%, 09/15/21W

     250,000        250,867  

0.75%, 03/01/24W

     3,000,000        3,005,551  

Ford Motor Co., Sr. Unsecured, 8.50%, 04/21/23

      800,000        890,382  
 Description    Par Value      Value  

Ford Motor Credit Co. LLC, Sr. Unsecured

      

4.25%, 09/20/22

    $ 450,000      $ 464,550  

3.37%, 11/17/23

      1,000,000        1,039,596  

5.58%, 03/18/24

      1,000,000        1,092,123  

5.13%, 06/16/25

      1,500,000        1,661,407  

General Motors Co., Sr. Unsecured

      

5.40%, 10/02/23

      335,000        367,645  

6.25%, 10/02/43

      1,000,000        1,398,690  

General Motors Financial Co., Inc., Sr. Unsecured

      

4.20%, 11/06/21

      1,650,000        1,666,854  

1.25%, 01/08/26

      1,000,000        1,000,203  

1.50%, 06/10/26

      3,000,000        3,017,016  

PACCAR Financial Corp., Sr. Unsecured, MTN,

      

2.65%, 05/10/22

      3,045,000        3,103,539  
     

 

 

  

TOTAL AUTOMOTIVE

       $ 20,758,903  

BEVERAGES – 0.8%

      

Anheuser-Busch Cos., LLC, Company Guaranteed,
4.90%, 02/01/46

      1,125,000        1,445,202  

Keurig Dr. Pepper, Inc., Company Guaranteed

      

0.75%, 03/15/24

      1,490,000        1,491,742  

3.20%, 05/01/30

      775,000        852,969  

5.09%, 05/25/48

      700,000        948,688  
     

 

 

  

TOTAL BEVERAGES

       $ 4,738,601  

BUILDING PRODUCTS – 0.5%

      

Carrier Global Corp., Sr. Unsecured,
2.24%, 02/15/25

      3,000,000        3,138,026  

Johnson Controls International PLC, Sr. Unsecured,
4.63%, 07/02/44

      100,000        126,805  
     

 

 

  

TOTAL BUILDING PRODUCTS

       $ 3,264,831  

CAPITAL MARKETS – 3.6%

      

Bank of New York Mellon Corp. (The), Subordinated, MTN,
3.00%, 10/30/28

      775,000        857,106  

Credit Suisse AG, Sr. Unsecured

2.10%, 11/12/21

      1,785,000        1,794,721  

0.50%, 02/02/24

      3,000,000        2,994,381  

Goldman Sachs Group, Inc. (The), Sr. Unsecured

      

(3 Month USD LIBOR + 1.20%), 3.27%, 09/29/25D

     800,000        858,031  

(3 Month USD LIBOR + 1.51%), 3.69%, 06/05/28D

     2,080,000        2,318,423  

Goldman Sachs Group, Inc. (The), Sr. Unsecured, MTN, (SOFR + 1.25%),
2.38%, 07/21/32D

     1,115,000        1,136,269  

Morgan Stanley, Sr. Unsecured, (SOFR + 0.62%),
0.73%, 04/05/24D

     2,250,000        2,257,409  
 

 

    

 

 

July 31, 2021 (unaudited)

2   PORTFOLIO OF INVESTMENTS

    

 

      

Wilmington Broad Market Bond Fund (continued)

 

 

    

 Description    Par Value      Value  

Morgan Stanley, Sr. Unsecured, MTN
2.63%, 11/17/21

    $ 4,000,000      $ 4,028,090  

(SOFR + 0.46%),
0.53%, 01/25/24D

     3,000,000        2,998,413  

3.13%, 07/27/26

      340,000        369,480  

(SOFR + 3.12%), 3.62%, 04/01/31D

     890,000        1,002,088  

Morgan Stanley, Subordinated, GMTN,
4.35%, 09/08/26

      505,000        576,192  

TD Ameritrade Holding Corp., Sr. Unsecured,
2.95%, 04/01/22

      847,000        858,631  
     

 

 

  

TOTAL CAPITAL MARKETS

       $     22,049,234  

CHEMICALS – 0.3%

 

Nutrien Ltd., Sr. Unsecured,
1.90%, 05/13/23

      2,000,000        2,048,912  

COMMERCIAL SERVICES & SUPPLIES – 0.6%

 

Global Payments, Inc., Sr. Unsecured
3.75%, 06/01/23

      2,570,000        2,702,300  

2.90%, 05/15/30

      1,000,000        1,060,275  

TOTAL COMMERCIAL SERVICES & SUPPLIES

       $ 3,762,575  
     

 

 

  

COMPUTERS – 0.5%

 

Hewlett Packard Enterprise Co., Sr. Unsecured,
2.25%, 04/01/23

      3,000,000        3,081,600  

DIVERSIFIED FINANCIAL SERVICES – 6.7%

 

Bank of America Corp., Sr. Unsecured, 5.70%, 01/24/22

      3,000,000        3,075,586  

Bank of America Corp., Sr. Unsecured, MTN
3.25%, 10/21/27

      1,095,000        1,191,845  

(SOFR + 1.88%), 2.83%, 10/24/51D

     250,000        246,727  

Bank of America Corp., Subordinated, MTN,
4.25%, 10/22/26

      1,000,000        1,132,289  

Capital One Financial Corp., Sr. Unsecured,
2.60%, 05/11/23

      1,470,000        1,525,936  

Citigroup, Inc., Sr. Unsecured (3 Month USD LIBOR + 0.95%), 2.88%, 07/24/23D

     2,060,000        2,110,146  

(SOFR + 0.77%), 1.12%, 01/28/27Ä

     2,750,000        2,722,288  

Citigroup, Inc., Subordinated,
4.13%, 07/25/28

      1,650,000        1,873,026  

Fifth Third Bancorp, Sr. Unsecured
3.50%, 03/15/22

      1,250,000        1,272,141  

2.55%, 05/05/27

      780,000        833,899  

Fifth Third Bancorp, Subordinated,
4.30%, 01/16/24

      530,000        574,396  

FMR LLC, Sr. Unsecured,
6.45%, 11/15/39W

     1,000,000        1,499,741  

Huntington Bancshares, Inc., Sr. Unsecured,
2.63%, 08/06/24

      4,325,000        4,556,115  

JPMorgan Chase & Co., Series W, Jr. Subordinated, (3 Month USD LIBOR + 1.00%),
1.16%, 05/15/47D

     1,000,000        858,469  

KeyBank NA, Sr. Unsecured, BKNT
3.30%, 02/01/22

      615,000        624,245  

1.25%, 03/10/23

      2,000,000        2,030,349  

Lloyds Banking Group PLC, Sr. Unsecured, (UST Yield Curve CMT 1 Year + 1.10%),
1.33%, 06/15/23D

      2,000,000        2,015,111  
 Description    Par Value      Value  

PNC Bank NA, Subordinated, BKNT
2.95%, 01/30/23

    $ 350,000      $ 362,945  

2.70%, 10/22/29

      1,125,000        1,205,885  

PNC Financial Services Group, Inc. (The), Subordinated,
3.90%, 04/29/24

      1,500,000        1,629,611  

Truist Bank, Subordinated, BKNT
3.80%, 10/30/26

      1,000,000        1,128,476  

2.25%, 03/11/30

      1,850,000        1,910,522  

Truist Financial Corp., Sr. Unsecured, MTN, (3 Month USD LIBOR + 0.65%),
0.80%, 04/01/22D

     2,000,000        2,005,162  

U.S. Bancorp, Subordinated, MTN,
2.95%, 07/15/22

      2,000,000        2,047,898  

Wells Fargo & Co., Sr. Unsecured, (SOFR + 2.00%),
2.19%, 04/30/26D

     1,170,000        1,221,128  

Wells Fargo & Co., Subordinated, MTN,
4.40%, 06/14/46

      1,000,000        1,235,467  
     

 

 

  

TOTAL DIVERSIFIED FINANCIAL SERVICES

 

    $ 40,889,403  

ELECTRIC – 3.3%

 

American Electric Power Co., Inc., Series M, Sr. Unsecured,
0.75%, 11/01/23

      1,620,000        1,621,878  

Baltimore Gas and Electric Co., Sr. Unsecured,
3.50%, 08/15/46

      1,550,000        1,766,289  

Commonwealth Edison Co., 1st Mortgage,
3.80%, 10/01/42

      1,000,000        1,178,258  

Dominion Energy, Inc., Series A, Sr. Unsecured,
1.45%, 04/15/26

      1,950,000        1,975,595  

DTE Energy Co., Series H, Sr. Unsecured,
0.55%, 11/01/22

      1,500,000        1,505,255  

Entergy Arkansas LLC, 1st Mortgage,
4.95%, 12/15/44

      1,000,000        1,109,675  

Entergy Corp., Sr. Unsecured,
0.90%, 09/15/25

      1,000,000        993,838  

Entergy Louisiana LLC, 1st Mortgage,
2.90%, 03/15/51

      1,000,000        1,032,524  

Exelon Corp., Sr. Unsecured,
4.70%, 04/15/50

      2,000,000        2,592,988  

FirstEnergy Corp., Series A, Sr. Unsecured,
1.60%, 01/15/26

      1,000,000        995,592  

FirstEnergy Corp., Series B, Sr. Unsecured,
4.65%, 07/15/27

      800,000        895,498  

NextEra Energy Capital Holdings, Inc., Company Guaranteed,
0.65%, 03/01/23

      2,305,000        2,312,683  

Sempra Energy, Sr. Unsecured,
2.90%, 02/01/23

      760,000        786,203  

System Energy Resources, Inc., 1st Mortgage,
4.10%, 04/01/23

      500,000        524,001  

WEC Energy Group, Inc., Sr. Unsecured,
1.38%, 10/15/27

      750,000        744,896  
     

 

 

  

TOTAL ELECTRIC

 

    $     20,035,173  

FOOD & STAPLES RETAILING – 2.9%

 

Campbell Soup Co., Sr. Unsecured
3.65%, 03/15/23

      3,000,000        3,145,243  
 

 

July 31, 2021 (unaudited)

PORTFOLIO OF INVESTMENTS   3

    

 

Wilmington Broad Market Bond Fund (continued)

 

 Description    Par Value      Value  

3.30%, 03/19/25

    $ 2,050,000      $ 2,216,284  

Conagra Brands, Inc., Sr. Unsecured,
5.40%, 11/01/48

      665,000        914,758  

Kroger Co. (The), Sr. Unsecured
2.95%, 11/01/21

      1,750,000        1,757,309  

2.80%, 08/01/22

      2,060,000        2,106,954  

5.40%, 01/15/49

      1,640,000        2,289,344  

3.95%, 01/15/50

      1,000,000        1,159,227  

McCormick & Co., Inc., Sr. Unsecured, 0.90%, 02/15/26

      2,900,000        2,870,719  

Mondelez International, Inc., Sr. Unsecured, 0.63%, 07/01/22

      1,250,000        1,255,134  
     

 

 

  

TOTAL FOOD & STAPLES RETAILING

 

    $     17,714,972  

GAS – 0.3%

 

Southern Co. Gas Capital Corp., Company Guaranteed,
3.95%, 10/01/46

      1,425,000        1,636,154  

HEALTHCARE-PRODUCTS – 0.4%

 

   

DH Europe Finance II Sarl, Company Guaranteed,
2.20%, 11/15/24

      2,330,000        2,439,254  

HEALTHCARE-SERVICES – 1.3%

 

   

Anthem, Inc., Sr. Unsecured,
3.65%, 12/01/27

      1,650,000        1,862,568  

CommonSpirit Health, Sr. Secured,
2.76%, 10/01/24

      3,140,000        3,312,372  

NYU Langone Hospitals, Series 2020, Secured,
3.38%, 07/01/55

      1,000,000        1,097,180  

UnitedHealth Group, Inc., Sr. Unsecured
2.95%, 10/15/27

      1,350,000        1,490,063  

3.95%, 10/15/42

      290,000        351,845  
     

 

 

  

TOTAL HEALTHCARE-SERVICES

       $ 8,114,028  

HOME FURNISHINGS – 0.5%

 

Whirlpool Corp., Sr. Unsecured 4.70%, 06/01/22

      1,500,000        1,552,133  

4.60%, 05/15/50

      1,405,000        1,794,201  
     

 

 

  

TOTAL HOME FURNISHINGS

       $ 3,346,334  

HOUSEHOLD PRODUCTS/WARES – 0.2%

 

Church & Dwight Co., Inc., Sr. Unsecured,
3.95%, 08/01/47

      870,000        1,036,307  

INSURANCE – 2.5%

      

American International Group, Inc., Sr. Unsecured,
4.20%, 04/01/28

      1,000,000        1,157,249  

Aon Corp., Company Guaranteed,
2.20%, 11/15/22

      3,500,000        3,584,243  

Aon PLC, Company Guaranteed,
4.00%, 11/27/23

      1,450,000        1,554,629  

Berkshire Hathaway Finance Corp., Company Guaranteed,
4.30%, 05/15/43

      425,000        540,782  

CNA Financial Corp., Sr. Unsecured,
3.95%, 05/15/24

      950,000        1,029,299  

Lincoln National Corp., Sr. Unsecured
4.20%, 03/15/22

      1,000,000        1,023,913  
 Description    Par Value      Value  

3.63%, 12/12/26

    $ 1,380,000      $ 1,541,394  

Principal Financial Group, Inc., Company Guaranteed,
3.30%, 09/15/22

      250,000        258,011  

W.R. Berkley Corp., Sr. Unsecured
4.63%, 03/15/22

      1,000,000        1,025,337  

4.75%, 08/01/44

      1,715,000        2,199,939  

4.00%, 05/12/50

      1,425,000        1,673,645  
     

 

 

  

TOTAL INSURANCE

       $ 15,588,441  

INTERNET – 1.0%

      

Amazon.com, Inc., Sr. Unsecured
2.10%, 05/12/31

      5,000,000        5,167,140  

3.25%, 05/12/61

      1,000,000        1,098,031  
     

 

 

  

TOTAL INTERNET

       $ 6,265,171  

MEDIA – 1.7%

      

CCO Holdings LLC, Sr. Unsecured,
4.25%, 02/01/31W

     3,000,000        3,090,000  

Comcast Corp., Company Guaranteed,
4.95%, 10/15/58

      1,500,000        2,128,669  

Discovery Communications LLC, Company Guaranteed
3.95%, 03/20/28

      1,000,000        1,122,762  

3.63%, 05/15/30

      1,000,000        1,103,196  

ViacomCBS, Inc., Sr. Unsecured
4.60%, 01/15/45

      1,100,000        1,339,854  

4.95%, 05/19/50#

     1,185,000        1,528,210  
     

 

 

  

TOTAL MEDIA

       $ 10,312,691  

MINING – 0.2%

      

Barrick Gold Corp., Sr. Unsecured,
5.25%, 04/01/42

      1,000,000        1,339,861  

MISCELLANEOUS MANUFACTURING – 0.5%

 

Textron, Inc., Sr. Unsecured
3.88%, 03/01/25

      750,000        821,791  

2.45%, 03/15/31

      2,000,000        2,046,129  
     

 

 

  

TOTAL MISCELLANEOUS MANUFACTURING

 

    $ 2,867,920  

OIL & GAS – 2.6%

      

Canadian Natural Resources Ltd., Sr. Unsecured, 2.95%, 01/15/23

      3,000,000        3,103,187  

Marathon Petroleum Corp., Sr. Unsecured, 3.63%, 09/15/24

      745,000        801,976  

Phillips 66, Company Guaranteed
4.30%, 04/01/22

      1,450,000        1,493,500  

0.90%, 02/15/24

      1,065,000        1,065,087  

3.85%, 04/09/25

      575,000        631,627  

Pioneer Natural Resources Co., Sr. Unsecured
0.55%, 05/15/23

      1,035,000        1,037,244  

1.13%, 01/15/26

      1,000,000        995,410  

1.90%, 08/15/30

      1,700,000        1,651,524  

2.15%, 01/15/31#

     1,000,000        986,768  

Valero Energy Corp., Sr. Unsecured
2.15%, 09/15/27

      1,800,000        1,835,061  

4.00%, 04/01/29

      1,580,000        1,769,696  

 

    

 

 

July 31, 2021 (unaudited)

4   PORTFOLIO OF INVESTMENTS

    

 

      

Wilmington Broad Market Bond Fund (continued)

 

 

    

 Description    Par Value      Value  

4.90%, 03/15/45#

   $ 563,000      $ 698,305  
     

 

 

  

TOTAL OIL & GAS

       $     16,069,385  

PHARMACEUTICALS – 4.0%

      

AbbVie, Inc., Sr. Unsecured
2.95%, 11/21/26

      1,875,000        2,034,843  

4.25%, 11/14/28

      1,235,000        1,443,120  

4.40%, 11/06/42

      460,000        569,357  

4.88%, 11/14/48

      1,000,000        1,319,253  

4.25%, 11/21/49

      1,000,000        1,231,314  

AstraZeneca Finance LLC, Company Guaranteed,

1.75%, 05/28/28

      500,000        508,213  

Becton Dickinson and Co., Sr. Unsecured,
2.89%, 06/06/22

      5,558,000        5,666,209  

Bristol-Myers Squibb Co., Sr. Unsecured (3 Month USD LIBOR + 0.38%), 0.54%, 05/16/22D

     665,000        667,097  

2.75%, 02/15/23

      1,305,000        1,350,063  

3.40%, 07/26/29

      1,000,000        1,132,147  

Cardinal Health, Inc., Sr. Unsecured,
4.50%, 11/15/44

      650,000        764,958  

Cigna Corp., Company Guaranteed
3.75%, 07/15/23

      272,000        288,885  

4.80%, 07/15/46

      1,000,000        1,296,561  

CVS Health Corp., Sr. Unsecured,
1.88%, 02/28/31

      2,000,000        1,982,710  

Elanco Animal Health, Inc., Sr. Unsecured,
5.90%, 08/28/28

      2,000,000        2,387,788  

Pfizer, Inc., Sr. Unsecured,
2.63%, 04/01/30

      650,000        703,264  

Zoetis, Inc., Sr. Unsecured,
3.95%, 09/12/47

      1,005,000        1,234,735  
     

 

 

  

TOTAL PHARMACEUTICALS

       $ 24,580,517  

PIPELINES – 2.5%

      

Enbridge, Inc., Company Guaranteed, (SOFR + 0.40%), 0.44%, 02/17/23D

     1,000,000        1,002,287  

Energy Transfer LP, Sr. Unsecured
3.60%, 02/01/23

      870,000        901,001  

3.75%, 05/15/30

      715,000        779,889  

5.30%, 04/15/47

      1,250,000        1,475,767  

Enterprise Products Operating LLC, Company Guaranteed
4.20%, 01/31/50

      1,120,000        1,313,024  

4.95%, 10/15/54

      500,000        643,899  

Kinder Morgan Energy Partners LP, Company Guaranteed,
5.40%, 09/01/44

      1,000,000        1,273,440  

Kinder Morgan, Inc., Company Guaranteed
5.20%, 03/01/48

      2,040,000        2,618,791  

3.60%, 02/15/51

      1,315,000        1,384,685  

MPLX LP, Sr. Unsecured (3 Month USD LIBOR + 1.10%), 1.22%, 09/09/22D

     470,000        470,845  

4.70%, 04/15/48

      1,000,000        1,184,730  

ONEOK Partners LP, Company Guaranteed,
6.20%, 09/15/43

      1,000,000        1,348,547  
 Description    Par Value      Value  

Plains All American Pipeline LP, Sr. Unsecured,
3.85%, 10/15/23

    $ 500,000      $ 528,749  

Spectra Energy Partners LP, Company Guaranteed,
3.50%, 03/15/25

      670,000        723,146  
     

 

 

  

TOTAL PIPELINES

       $     15,648,800  

REAL ESTATE INVESTMENT TRUSTS – 2.2%

 

American Tower Corp., Sr. Unsecured
5.00%, 02/15/24

      415,000        459,484  

3.13%, 01/15/27

      1,000,000        1,078,844  

3.10%, 06/15/50

      1,500,000        1,520,098  

AvalonBay Communities, Inc., Sr. Unsecured, MTN,
3.35%, 05/15/27

      1,420,000        1,572,880  

Healthcare Realty Trust, Inc., Sr. Unsecured
3.88%, 05/01/25

      915,000        1,002,023  

3.63%, 01/15/28#

     800,000        891,755  

Healthpeak Properties, Inc., Sr. Unsecured,
2.88%, 01/15/31

      2,350,000        2,508,055  

Welltower, Inc., Sr. Unsecured
4.00%, 06/01/25

      3,000,000        3,328,542  

4.95%, 09/01/48

      1,000,000        1,297,540  
     

 

 

  

TOTAL REAL ESTATE INVESTMENT TRUSTS

 

    $ 13,659,221  

RETAIL – 0.2%

      

Nordstrom, Inc., Sr. Unsecured, 5.00%, 01/15/44

      1,000,000        998,332  

SOFTWARE – 0.5%

      

Roper Technologies, Inc., Sr. Unsecured
0.45%, 08/15/22

      1,500,000        1,501,130  

2.00%, 06/30/30

      1,345,000        1,346,371  
     

 

 

  

TOTAL SOFTWARE

       $ 2,847,501  

TELECOMMUNICATIONS – 1.7%

 

AT&T, Inc., Sr. Unsecured
0.90%, 03/25/24

      2,000,000        2,002,970  

4.50%, 05/15/35

      845,000        1,012,465  

3.30%, 02/01/52

      2,000,000        2,001,088  

3.55%, 09/15/55W

     1,423,000        1,478,024  

Verizon Communications, Inc., Sr. Unsecured
1.75%, 01/20/31

      2,310,000        2,246,273  

3.40%, 03/22/41

      1,515,000        1,626,276  
     

 

 

  

TOTAL TELECOMMUNICATIONS

       $ 10,367,096  

TRANSPORTATION – 1.5%

      

FedEx Corp., Company Guaranteed,
2.40%, 05/15/31

      2,500,000        2,585,156  

Ryder System, Inc., Sr. Unsecured, MTN
2.50%, 09/01/22

      980,000        1,000,772  

3.65%, 03/18/24

      1,670,000        1,793,373  

Union Pacific Corp., Sr. Unsecured
3.15%, 03/01/24

      2,565,000        2,732,770  

4.30%, 03/01/49

      675,000        843,003  
     

 

 

  

TOTAL TRANSPORTATION

       $ 8,955,074  
 

 

July 31, 2021 (unaudited)

PORTFOLIO OF INVESTMENTS   5

    

 

Wilmington Broad Market Bond Fund (continued)

 

 Description    Par Value      Value  

TRUCKING & LEASING – 0.8%

      

GATX Corp., Sr. Unsecured
3.25%, 09/15/26

    $ 1,065,000      $ 1,155,739  

3.85%, 03/30/27

      1,500,000        1,668,626  

4.00%, 06/30/30

      1,000,000        1,143,282  

5.20%, 03/15/44

      640,000        838,430  
     

 

 

  

TOTAL TRUCKING & LEASING

       $ 4,806,077  
     

 

 

  

TOTAL CORPORATE BONDS

(COST $281,545,019)

       $ 302,474,323  

GOVERNMENT AGENCIES – 3.1%

 

FEDERAL HOME LOAN BANK (FHLB) – 1.3%

 

3.25%, 11/16/28#

     6,960,000        8,026,575  

FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) – 1.5%

 

2.38%, 01/13/22#

     125,000        126,303  

0.38%, 07/21/25#

     9,000,000        8,937,072  
     

 

 

  

TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC)

 

    $ 9,063,375  

FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) – 0.3%

 

6.25%, 05/15/29

      750,000        1,033,936  

7.25%, 05/15/30#

     400,000        602,041  
     

 

 

  

TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)

 

    $ 1,635,977  
     

 

 

  

TOTAL GOVERNMENT AGENCIES

(COST $18,212,153)

 

 

    $ 18,725,927  

MORTGAGE-BACKED SECURITIES – 22.0%

 

FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) – 6.6%

 

Pool G12709, 5.00%, 07/01/22

      3,088        3,137  

Pool C00478, 8.50%, 09/01/26

      5,303        6,049  

Pool E09010, 2.50%, 09/01/27

      350,554        367,404  

Pool G18497, 3.00%, 01/01/29

      47,811        50,418  

Pool C01272, 6.00%, 12/01/31

      11,177        13,295  

Pool A13990, 4.50%, 10/01/33

      9,011        9,919  

Pool G01625, 5.00%, 11/01/33

      15,423        17,475  

Pool QN1900, 3.00%, 04/01/35

      1,352,779        1,431,826  

Pool G08097, 6.50%, 11/01/35

      8,579        10,085  

Pool G02296, 5.00%, 06/01/36

      80,032        90,699  

Pool G02390, 6.00%, 09/01/36

      2,783        3,302  

Pool G05317, 5.00%, 04/01/37

      325,636        368,791  

Pool G03703, 5.50%, 12/01/37

      8,849        10,205  

Pool G04776, 5.50%, 07/01/38

      27,821        31,688  

Pool G05500, 5.00%, 05/01/39

      291,760        331,197  

Pool A93415, 4.00%, 08/01/40

      534,703        585,632  

Pool A93505, 4.50%, 08/01/40

      485,559        535,315  

Pool A93996, 4.50%, 09/01/40

      380,864        419,902  

Pool G06222, 4.00%, 01/01/41

      528,782        578,701  

Pool A97047, 4.50%, 02/01/41

      363,798        404,727  

Pool G06956, 4.50%, 08/01/41

      368,494        410,256  

Pool C03750, 3.50%, 02/01/42

      145,241        157,072  

Pool C03849, 3.50%, 04/01/42

      77,404        84,995  

Pool Q08305, 3.50%, 05/01/42

      567,662        628,100  

Pool C04305, 3.00%, 11/01/42

      1,543,155        1,665,530  

Pool C09020, 3.50%, 11/01/42

      1,197,055        1,294,746  

Pool G07266, 4.00%, 12/01/42

      1,031,502        1,131,735  

Pool C04444, 3.00%, 01/01/43

      52,407        55,727  
 Description    Par Value      Value  

Pool C09029, 3.00%, 03/01/43

    $ 218,112      $ 232,592  

Pool G08534, 3.00%, 06/01/43

      271,046        289,043  

Pool Q19476, 3.50%, 06/01/43

      451,693        491,884  

Pool C09044, 3.50%, 07/01/43

      557,439        608,024  

Pool G07889, 3.50%, 08/01/43

      527,889        571,029  

Pool G07624, 4.00%, 12/01/43

      477,325        520,946  

Pool G60038, 3.50%, 01/01/44

      2,544,605        2,752,365  

Pool G07680, 4.00%, 04/01/44

      815,181        892,072  

Pool G07943, 4.50%, 08/01/44

      53,237        58,536  

Pool G08607, 4.50%, 09/01/44

      328,482        366,039  

Pool Q33547, 3.50%, 05/01/45

      451,546        489,811  

Pool Q36970, 4.00%, 10/01/45

      210,862        229,500  

Pool G60384, 4.50%, 12/01/45

      33,611        37,068  

Pool Q39644, 3.50%, 03/01/46

      1,400,263        1,502,493  

Pool Q39438, 4.00%, 03/01/46

      1,380,566        1,491,311  

Pool G08705, 3.00%, 05/01/46

      118,754        125,319  

Pool G08708, 4.50%, 05/01/46

      241,616        260,692  

Pool ZS4671, 3.00%, 08/01/46

      769,396        811,713  

Pool Q44452, 3.00%, 11/01/46

      1,091,879        1,152,245  

Pool ZS4693, 3.00%, 12/01/46

      2,088,374        2,203,238  

Pool SD8037, 2.50%, 01/01/50

      4,110,172        4,281,344  

Pool RA2341, 2.50%, 04/01/50

      3,619,732        3,783,890  

Pool SD8104, 1.50%, 11/01/50

      2,842,669        2,816,448  

Pool RA4349, 2.50%, 01/01/51

      1,754,976        1,829,486  

Pool SD8141, 2.50%, 04/01/51

      1,452,943        1,514,680  
     

 

 

  

TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC)

 

    $ 40,009,696  

FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) – 15.4%

 

Pool 975207, 5.00%, 03/01/23

      7,087        7,314  

Pool AE2520, 3.00%, 01/01/26

      121,207        127,172  

Pool 329794, 7.00%, 02/01/26

      4,545        4,932  

Pool 256639, 5.00%, 02/01/27

      5,818        6,340  

Pool 256752, 6.00%, 06/01/27

      9,399        10,804  

Pool 402255, 6.50%, 12/01/27

      678        741  

Pool AB8997, 2.50%, 04/01/28

      89,710        94,093  

Pool AS4480, 2.50%, 02/01/30

      500,058        524,549  

Pool AS7462, 2.50%, 06/01/31

      213,563        224,219  

Pool 254007, 6.50%, 10/01/31

      6,333        7,433  

Pool 638023, 6.50%, 04/01/32

      41,650        46,161  

Pool 642345, 6.50%, 05/01/32

      33,778        37,435  

Pool 651292, 6.50%, 07/01/32

      52,828        58,553  

Pool 686398, 6.00%, 03/01/33

      94,287        109,315  

Pool BP6496, 2.00%, 07/01/35

      1,139,968        1,184,334  

Pool MA4095, 2.00%, 08/01/35

      1,468,634        1,525,486  

Pool 745412, 5.50%, 12/01/35

      11,232        12,967  

Pool 888789, 5.00%, 07/01/36

      118,427        134,275  

Pool 256515, 6.50%, 12/01/36

      8,334        9,601  

Pool AE0217, 4.50%, 08/01/40

      59,584        66,057  

Pool AB1796, 3.50%, 11/01/40

      336,929        364,104  

Pool AH5583, 4.50%, 02/01/41

      166,668        185,241  

Pool 890551, 4.50%, 08/01/41

      38,449        42,936  

Pool AL0658, 4.50%, 08/01/41

      223,434        249,509  

Pool AL1319, 4.50%, 10/01/41

      288,361        316,686  

Pool AL6302, 4.50%, 10/01/41

      389,424        434,883  

Pool AX5302, 4.00%, 01/01/42

      641,912        702,506  

Pool AK4523, 4.00%, 03/01/42

      769,611        839,968  

Pool AL2034, 4.50%, 04/01/42

      91,025        100,095  

 

    

 

 

July 31, 2021 (unaudited)

6   PORTFOLIO OF INVESTMENTS

    

 

       Wilmington Broad Market Bond Fund (continued)

 

    

 Description    Par Value      Value  

Pool AB7936, 3.00%, 02/01/43

    $ 964,010      $     1,039,457  

Pool AL3761, 4.50%, 02/01/43

      115,604        127,464  

Pool MA1458, 3.00%, 06/01/43

      221,779        236,376  

Pool AT7899, 3.50%, 07/01/43

      1,466,581        1,581,168  

Pool AS0302, 3.00%, 08/01/43

      2,293,712        2,445,156  

Pool AU4279, 3.00%, 09/01/43

      477,311        508,893  

Pool AL5537, 4.50%, 04/01/44

      178,488        198,691  

Pool AS3155, 4.00%, 08/01/44

      28,080        30,585  

Pool AX0833, 3.50%, 09/01/44

      424,684        463,750  

Pool AL6325, 3.00%, 10/01/44

      1,498,766        1,597,682  

Pool AS5136, 4.00%, 06/01/45

      158,726        174,901  

Pool AZ7362, 4.00%, 11/01/45

      435,423        473,744  

Pool AZ9565, 3.50%, 12/01/45

      669,598        719,495  

Pool BC0326, 3.50%, 12/01/45

      536,821        576,824  

Pool BC0245, 3.00%, 02/01/46

      326,894        344,863  

Pool BC0830, 3.00%, 04/01/46

      468,717        494,482  

Pool AS7568, 4.50%, 07/01/46

      79,184        85,337  

Pool BC4764, 3.00%, 10/01/46

      630,514        665,174  

Pool MA2771, 3.00%, 10/01/46

      196,784        207,602  

Pool AS8276, 3.00%, 11/01/46

      650,674        686,443  

Pool BC9003, 3.00%, 11/01/46

      664,297        700,815  

Pool BE1899, 3.00%, 11/01/46

      2,397,311        2,529,095  

Pool BE3767, 3.50%, 07/01/47

      636,168        679,241  

Pool BH2618, 3.50%, 08/01/47

      196,561        209,869  

Pool MA3088, 4.00%, 08/01/47

      617,163        662,607  

Pool BH4010, 4.50%, 09/01/47

      690,944        757,760  

Pool BH9215, 3.50%, 01/01/48

      901,775        962,835  

Pool BJ0650, 3.50%, 03/01/48

      3,712,353        3,956,417  

Pool BJ0639, 4.00%, 03/01/48

      250,652        267,934  

Pool BJ9169, 4.00%, 05/01/48

      1,122,016        1,199,377  

Pool BK4764, 4.00%, 08/01/48

      1,085,495        1,159,224  

Pool BN1628, 4.50%, 11/01/48

      603,445        650,639  

Pool BM5334, 3.50%, 01/01/49

      850,454        923,877  

Pool MA3871, 3.00%, 12/01/49

      2,429,108        2,553,466  

Pool CA5306, 3.00%, 03/01/50

      2,259,530        2,367,701  

Pool CA5353, 3.50%, 03/01/50

      1,720,093        1,823,636  

Pool MA4100, 2.00%, 08/01/50

      1,685,570        1,721,575  

Pool FM3989, 2.50%, 08/01/50

      1,154,185        1,202,653  

Pool MA4119, 2.00%, 09/01/50

      1,249,180        1,275,900  

Pool BQ2999, 2.50%, 10/01/50

      2,644,383        2,764,919  

Pool CA7383, 3.00%, 10/01/50

      2,281,716        2,472,553  

Pool CA7734, 2.50%, 11/01/50

      1,903,086        1,983,665  

Pool FM5297, 3.00%, 11/01/50

      2,700,827        2,867,064  

Pool MA4208, 2.00%, 12/01/50

      1,262,007        1,288,217  

Pool CA8021, 2.50%, 12/01/50

      5,157,659        5,374,451  

Pool FM5166, 3.00%, 12/01/50

      1,529,199        1,607,811  

Pool BQ4495, 2.00%, 02/01/51

      6,426,755        6,562,464  

Pool CA8929, 2.00%, 02/01/51

      3,120,592        3,186,558  

Pool FM6426, 2.00%, 03/01/51

      3,109,343        3,196,319  

Pool BR7857, 2.50%, 05/01/51

      4,200,018        4,379,001  

Pool FM7188, 2.50%, 05/01/51

      3,815,901        4,051,307  

Pool CB0727, 2.50%, 06/01/51

      4,700,739        4,901,092  

Pool TBA, 2.00%, 09/01/51‡

      4,000,000        4,072,812  
     

 

 

  

TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)

 

    $ 94,398,650  

GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) – 0.0%**

 

Pool 354677, 7.50%, 10/15/23

      3,137        3,160  
 Description    Par Value      Value  

Pool 354713, 7.50%, 12/15/23

    $ 1,299      $ 1,372  

Pool 354765, 7.00%, 02/15/24

      7,975        8,791  

Pool 354827, 7.00%, 05/15/24

      5,015        5,536  

Pool 385623, 7.00%, 05/15/24

      9,221        9,966  

Pool 360869, 7.50%, 05/15/24

      7,908        8,357  

Pool 2077, 7.00%, 09/20/25

      2,282        2,482  

Pool 503405, 6.50%, 04/15/29

      9,981        10,338  
     

 

 

  

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA)

 

    $ 50,002  
     

 

 

  

TOTAL MORTGAGE-BACKED SECURITIES

(COST $132,174,137)

 

 

    $     134,458,348  

MUNICIPAL BOND – 0.5%

 

   

GENERAL – 0.5%

      

New Jersey Transportation Trust Fund Authority, Current Refunding Revenue Bonds, (Series B), 4.13%, 06/15/42

      2,500,000        2,906,803  
     

 

 

  

TOTAL MUNICIPAL BOND

(COST $2,500,000)

 

 

    $ 2,906,803  

U.S. TREASURY OBLIGATIONS – 23.1%

 

U.S. TREASURY BONDS – 6.3%

 

6.38%, 08/15/27#

     450,000        596,679  

5.25%, 02/15/29

      500,000        652,449  

6.25%, 05/15/30

      500,000        715,051  

5.38%, 02/15/31

      600,000        828,318  

3.00%, 05/15/42

      500,000        603,765  

3.63%, 08/15/43

      881,000        1,168,547  

3.75%, 11/15/43

      365,000        493,836  

3.63%, 02/15/44

      2,106,000        2,806,254  

3.13%, 08/15/44

      6,637,000        8,223,464  

3.00%, 11/15/44

      2,000,000        2,430,870  

2.50%, 02/15/45

      2,135,000        2,390,030  

3.00%, 05/15/45

      2,000,000        2,438,411  

2.88%, 08/15/45

      300,000        358,588  

3.00%, 11/15/45

      765,000        935,337  

2.50%, 02/15/46

      280,000        314,156  

3.00%, 02/15/47

      1,098,000        1,349,924  

3.00%, 05/15/47

      1,695,000        2,086,293  

2.75%, 11/15/47

      2,235,000        2,636,388  

1.25%, 05/15/50

      3,300,000        2,810,596  

1.38%, 08/15/50

      3,000,000        2,636,238  

1.63%, 11/15/50

      2,500,000        2,337,914  
     

 

 

  

TOTAL U.S. TREASURY BONDS

       $ 38,813,108  

U.S. TREASURY NOTES – 16.8%

 

2.00%, 11/15/21#

     1,000,000        1,005,483  

1.75%, 05/15/22

      380,000        385,003  

2.13%, 06/30/22

      6,615,000        6,738,303  

1.63%, 08/15/22

      6,000,000        6,095,939  

1.63%, 11/15/22

      1,928,000        1,965,480  

2.50%, 03/31/23

      7,000,000        7,274,033  

1.75%, 05/15/23

      2,000,000        2,056,744  

1.63%, 05/31/23

      12,400,000        12,730,526  

2.50%, 08/15/23

      200,000        209,365  

2.00%, 04/30/24

      10,195,000        10,667,950  

1.75%, 07/31/24

      1,900,000        1,980,149  

2.38%, 08/15/24

      5,600,000        5,942,125  
 

 

July 31, 2021 (unaudited)

PORTFOLIO OF INVESTMENTS   7

    

 

Wilmington Broad Market Bond Fund (continued)

 

 Description    Par Value      Value  

2.00%, 02/15/25

    $   4,655,000      $ 4,906,774  

2.13%, 05/15/25

      2,500,000        2,652,047  

2.00%, 08/15/25

      295,000        312,091  

2.25%, 11/15/25

      230,000        246,238  

1.63%, 02/15/26

      8,000,000        8,356,098  

1.63%, 05/15/26

      4,695,000        4,906,954  

2.00%, 11/15/26

      4,180,000        4,453,026  

2.75%, 02/15/28

      6,000,000        6,694,760  

2.38%, 05/15/29

      2,500,000        2,742,287  

1.63%, 08/15/29

      5,000,000        5,206,450  

1.50%, 02/15/30

      5,000,000        5,147,124  
     

 

 

  

TOTAL U.S. TREASURY NOTES

       $ 102,674,949  
     

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS

(COST $131,714,690)

 

 

    $   141,488,057  
     
     Number of
Shares		         

INVESTMENT COMPANY – 1.0%

      

EXCHANGE-TRADED FUND – 1.0%

 

   

iShares iBoxx High Yield Corporate Bond ETF#

     68,340        6,002,985  
  

 

 

  

TOTAL INVESTMENT COMPANY

(COST $6,002,418)

 

 

    $ 6,002,985  

MONEY MARKET FUND – 0.8%

      

Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%^

      5,201,940        5,201,940  
  

 

 

  

TOTAL MONEY MARKET FUND

(COST $5,201,940)

 

 

    $ 5,201,940  

CASH COLLATERAL INVESTED FOR SECURITIES ON

LOAN – 2.7%

 

 

MONEY MARKET FUNDS – 0.8%

 

Blackrock Liquidity Fed Fund, Institutional Shares, 0.03%^

      1,109,000        1,109,000  

Federated Hermes Government Obligations Fund, Premier Shares, 0.01%^

      1,109,000        1,109,000  

Goldman Sachs Financial Square Government Fund, Institutional Shares, 0.03%^

      1,109,000        1,109,000  

Invesco Government & Agency Portfolio, Institutional Class, 0.03%^

      193,000        193,000  

JPMorgan U.S. Government Money Market Fund, Capital Class, 0.03%^

      1,109,000        1,109,000  

Morgan Stanley Liquidity Fund, Government Portfolio, Institutional Class, 0.03%^

      193,000        193,000  
     

 

 

  

TOTAL MONEY MARKET FUNDS
(COST $4,822,000)

 

    $ 4,822,000  
 Description    Par Value      Value  

REPURCHASE AGREEMENTS – 1.9%

 

Citigroup Global Markets Ltd., 0.06%, dated 7/30/21, due 8/02/21, repurchase price $3,084,939 collateralized by U.S. Government Agency & Treasury Securities, 1.63% to 5.00%, maturing 3/31/22 to 7/20/51; total market value of $3,146,623.

    $ 3,084,924      $ 3,084,924  

Daiwa Capital Markets America, 0.05%, dated 7/30/21, due 8/02/21, repurchase price $3,084,937 collateralized by U.S. Government Agency & Treasury Securities, 0.00% to 6.50%, maturing 9/16/21 to 8/01/51; total market value of $3,146,622.

      3,084,924        3,084,924  

Deutsche Bank Securities, Inc., 0.05%, dated 7/30/21, due 8/02/21, repurchase price $2,159,661 collateralized by U.S. Government Agency Securities, 0.00% to 7.25%, maturing 8/12/21 to 6/21/41; total market value of $2,202,848.

      2,159,652        2,159,652  

RBC Dominion Securities, Inc., 0.05%, dated 7/30/21, due 8/02/21, repurchase price $3,084,937 collateralized by U.S. Government Agency & Treasury Securities, 0.25% to 7.50%, maturing 4/15/24 to 4/01/53; total market value of $3,146,623.

      3,084,924        3,084,924  
     

 

 

  

TOTAL REPURCHASE AGREEMENTS
(COST $11,414,424)

 

    $ 11,414,424  
  

 

 

  

TOTAL CASH COLLATERAL INVESTED FOR SECURITIES ON LOAN

(COST $16,236,424)

 

 

    $ 16,236,424  
  

 

 

  

TOTAL INVESTMENTS – 102.8%

(COST $594,881,369)

 

 

    $ 628,691,321  

COLLATERAL FOR SECURITIES ON

LOAN – (2.7%)

 

 

      (16,236,424 ) 

OTHER ASSETS LESS LIABILITIES – (0.1)%

 

      (720,047 ) 
  

 

 

  

TOTAL NET ASSETS – 100.0%

 

    $   611,734,850  
     

 

 

  
 

 

The Fund follows the authoritative guidance (U.S. generally accepted accounting principles) for fair value measurements. The guidance establishes a framework for measuring fair value and a hierarchy for inputs and techniques used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs and techniques by requiring that the most observable inputs be used when available. The guidance establishes three tiers of inputs that may be used to measure fair value. These inputs are summarized in the three broad levels listed below.

Level 1 – quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

    

 

 

July 31, 2021 (unaudited)

8   PORTFOLIO OF INVESTMENTS

    

 

       Wilmington Broad Market Bond Fund (concluded)

 

    

The following is a summary of the inputs used as of July 31, 2021 in valuing the Fund’s assets carried at fair value:

 

     Level 1      Level 2      Level 3      Total  

Investments in Securities

            

Asset-Backed Security

    $ —      $ 112,555          $—        $ 112,555  

Collateralized Mortgage Obligations

      —        1,083,959        —          1,083,959  

Corporate Bonds

      —        302,474,323        —          302,474,323  

Government Agencies

      —        18,725,927        —          18,725,927  

Mortgage-Backed Securities

      —        134,458,348        —          134,458,348  

Municipal Bond

      —        2,906,803        —          2,906,803  

U.S. Treasury Obligations

      —        141,488,057        —          141,488,057  

Investment Company

      6,002,985        —        —          6,002,985  

Money Market Funds

      10,023,940        —        —          10,023,940  

Repurchase Agreements

      —        11,414,424        —          11,414,424  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 16,026,925      $ 612,664,396          $—        $ 628,691,321  
  

 

 

     

 

 

     

 

 

     

 

 

  

The inputs or techniques used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Additional information on the Fund’s valuation policy is included in the most recent shareholder report.

 

 

 

** 

Represents less than 0.05%.

 

W 

Denotes a restricted security that may be resold without restriction to “qualified institutional buyers” as defined in Rule 144A under the Securities Act of 1933 and that the Fund has determined to be liquid under criteria established by the Fund’s Board of Trustees. At July 31, 2021, these liquid restricted securities amounted to $9,436,738, representing 1.54% of total net assets.

 

D 

Variable rate security. The rate disclosed is the rate in effect on the report date. The information in parenthesis represents the benchmark and reference rate for each relevant security and the rate floats based upon the reference rate and spread. The security may be further subject to interest rate floor and caps. Certain variable rate securities are not based on a published reference rate and spread, but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions.

 

# 

Security, or a portion thereof, is on loan.

 

‡ 

Delayed delivery security.

 

^ 

7-Day net yield.

 

The following acronyms are used throughout this Fund:
BKNT   Bank Notes
CMT   Constant Maturity Treasury
ETF   Exchange-Traded Fund
GMTN   Global Medium Term Note
LIBOR   London Interbank Offered Rate
LLC   Limited Liability Corporation
LP   Limited Partnership
MTN   Medium Term Note
NA   National Association
PLC   Public Limited Company
SOFR   Secured Overnight Financing Rate
TBA   To Be Announced Security
USD   United States Dollar
UST   United States Treasury

For additional information about significant accounting policies, refer to Fund’s most recent semi-annual or annual report.

 

 

 

 

July 31, 2021 (unaudited)