N-Q 1 v385157_nq.htm N-Q

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-01136

 

Guggenheim Funds Trust

 

(Exact name of registrant as specified in charter)

 

805 King Farm Boulevard, Suite 600

Rockville, Maryland 20850

 

(Address of principal executive offices) (Zip code)

 

Donald C. Cacciapaglia, President and Chief Executive Officer

Guggenheim Funds Trust

805 King Farm Boulevard, Suite 600

Rockville, Maryland 20850

 

(Name and address of agent for service)

 

Registrant’s telephone number, including area code: 301-296-5100

 

Date of fiscal year end: September 30

 

Date of reporting period: June 30, 2014

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 
 

 

Item 1. Schedule of Investments.

 

Enhanced World Equity Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

 

   Shares   Value 
EXCHANGE TRADED FUNDS - 97.8%          
SPDR S&P 500 ETF Trust1   13,866   $2,713,853 
iShares MSCI EAFE ETF   13,650    933,250 
iShares MSCI Japan ETF1   52,877    636,639 
SPDR S&P MidCap 400 ETF Trust1   1,192    310,588 
iShares MSCI United Kingdom ETF   14,626    305,391 
iShares MSCI South Korea Capped ETF   4,600    299,092 
iShares MSCI Taiwan ETF   18,900    298,620 
iShares China Large-Capital ETF1   7,800    288,912 
SPDR S&P Homebuilders ETF1   5,025    164,569 
Energy Select Sector SPDR Fund1   1,625    162,663 
iShares MSCI Mexico Capped ETF1   2,384    161,659 
Total Exchange Traded Funds             
(Cost $6,242,752)        6,275,236 
SHORT TERM INVESTMENTS - 8.1%          
Dreyfus Treasury Prime Cash Management Fund   524,352    524,352 
Total Short Term Investments             
(Cost $524,352)        524,352 
Total Investments - 105.9%             
(Cost $6,767,104)          $6,799,588 
    Contracts      
OPTIONS WRITTEN - (0.1)%          
Call options on:          
iShares MSCI Mexico Capped
ETF Expiring July 2014 with
strike price of $69.00
   10    (230)
iShares China Large-Cap ETF
Expiring July 2014 with strike
price of $38.00
   35    (630)
SPDR S&P Homebuilders ETF
Expiring July 2014 with strike
price of $33.00
   21    (756)
Energy Select Sector SPDR Fund
Expiring July 2014 with strike
price of $100.00
   7    (819)
SPDR S&P MidCap 400 ETF
Trust Expiring July 2014 with
strike price of $260.00
   5    (1,250)
SPDR S&P 500 ETF Trust
Expiring July 2014 with strike
price of $199.00
   58    (1,508)
iShares MSCI Japan ETF Expiring
July 2014 with strike price of
$12.00
   220    (3,740)
Total Options Written             
(Premiums received $12,260)        (8,933)
Other Assets & Liabilities, net - (5.8)%           (372,794)
Total Net Assets - 100.0%          $6,417,861 

 

Value determined based on Level 1 inputs — See Note 3.
1All or a portion of this security is pledged as collateral for open options written contracts at June 30, 2014.

 

 
 

 

Floating Rate Strategies Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

 

   Shares   Value 
SHORT TERM INVESTMENTS - 7.8%          
Federated U.S. Treasury Cash Reserve Fund   105,163,430   $105,163,430 
Total Short Term Investments     
(Cost $105,163,430)        105,163,430 
    Face
Amount
      
SENIOR FLOATING RATE INTERESTS†† - 72.3%          
Industrials - 17.0%          
Flakt Woods          
8.00% due 04/01/177  $12,115,820   16,091,387 
Crosby Worldwide          
3.20% due 11/23/20   12,967,500    12,951,290 
Brickman Group Holdings, Inc.          
4.00% due 12/18/20   11,249,500    11,131,267 
7.50% due 12/17/21   930,000    944,722 
Sabre, Inc.          
4.50% due 02/19/19   8,340,482    8,361,334 
4.25% due 02/19/19   2,944,561    2,950,686 
Travelport Holdings Ltd.          
6.25% due 06/26/19   5,083,559    5,195,397 
9.50% due 01/31/16   4,935,000    5,072,144 
US Shipping Corp.          
9.00% due 04/30/18   9,470,679    9,616,716 
Mitchell International, Inc.          
4.50% due 10/13/20   6,368,000    6,389,205 
8.50% due 10/11/21   3,050,000    3,108,469 
Minimax Viking          
4.50% due 08/14/20   8,653,946    8,675,581 
Rexnord LLC/ RBS Global, Inc.          
4.00% due 08/21/20   8,337,000    8,324,495 
US Infrastructure Corp.          
4.00% due 07/10/20   6,831,000    6,762,690 
Thermasys Corp.          
5.25% due 05/03/19   6,697,031    6,663,546 
SIRVA Worldwide, Inc.          
7.50% due 03/27/19   5,925,000    6,028,688 
Tank & Rast          
3.85% due 12/10/19   2,340,000    3,208,845 
3.60% due 12/10/18   1,750,000    2,392,445 
Berlin Packaging LLC          
4.75% due 04/02/19   3,564,000    3,586,275 
8.75% due 04/10/20   1,900,000    1,942,750 
Doncasters Group Ltd.          
9.50% due 10/09/20   3,834,483    3,882,414 
4.50% due 04/09/20   1,477,300    1,481,924 
ServiceMaster Co.          
4.25% due 06/25/21   3,550,000    3,543,362 
5.50% due 01/31/17   1,757,934    1,756,053 
Connolly Corp.          
5.00% due 05/14/21   5,000,000    5,053,750 
Transdigm, Inc.          
3.75% due 06/04/21   4,800,000    4,776,000 
Power Borrower, LLC          
4.25% due 05/06/20   2,947,068    2,880,759 
8.25% due 11/06/20   1,670,000    1,628,250 
SRA International, Inc.          
6.50% due 07/20/18   4,402,702    4,410,980 
STG-Fairway Acquisitions, Inc.          
6.25% due 02/28/19   2,962,515    2,951,406 
10.50% due 08/28/19†††,7   1,300,000    1,287,000 
syncreon          
5.25% due 10/28/20   3,781,000    3,804,631 
NaNa Development Corp.          
8.00% due 03/15/187   3,825,000    3,786,750 
Sutherland Global Services, Inc.          
7.25% due 03/06/19   3,750,000    3,768,750 
Ceva Logistics US Holdings          
6.50% due 03/19/21   3,773,793    3,698,317 
Knowledge Learning Corp.          
5.25% due 03/18/21   3,541,125    3,585,389 
Camp Systems International          
4.75% due 05/31/19   1,890,426    1,896,721 
8.25% due 11/29/19   1,150,000    1,175,875 
Emerald Expositions          
5.50% due 06/17/20   2,999,216    3,017,032 
GYP Holdings III Corp.          
4.75% due 04/01/21   2,800,000    2,786,000 
Ceva Logistics Holdings BV (Dutch)          
6.50% due 03/19/21   2,736,000    2,681,280 
Mast Global          
8.75% due 09/12/19†††,7   2,681,250    2,654,438 
SI Organization          
5.75% due 11/23/19   2,600,000    2,604,888 
Learning Care Group (US), Inc.          
6.05% due 05/05/21   2,550,000    2,588,250 
Osmose Holdings, Inc.          
4.75% due 11/26/18   2,566,864    2,560,447 
Ceva Group Plc (United Kingdom)          
6.50% due 03/19/21   2,600,985    2,548,966 
Ranpak          
4.50% due 04/25/19   2,000,073    2,005,073 
8.50% due 04/23/20   500,000    509,375 
Realogy Corp.          
3.75% due 03/05/20   2,475,047    2,474,007 
MRC Global, Inc.          
5.00% due 11/08/19   2,358,125    2,369,916 
Filtration Group Corp.          
4.50% due 11/20/20   2,034,763    2,047,988 
Berry Plastics Corp.          
3.50% due 02/08/20   1,091,709    1,082,047 
3.75% due 01/06/21   897,750    894,177 
GCA Services Group, Inc.          
4.27% due 11/01/19   1,769,652    1,766,697 
9.25% due 11/01/20   200,000    202,000 
Braas Monier Buildings Group          
4.83% due 10/15/20   1,300,000    1,790,720 

 

 
 

 

Floating Rate Strategies Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

 

   Face
Amount
   Value 
SENIOR FLOATING RATE INTERESTS†† - 72.3% (continued)          
Industrials - 17.0% (continued)          
Nord Anglia Education Finance LLC          
4.50% due 03/31/21  $1,650,000   $1,650,000 
CareCore National LLC          
5.50% due 03/05/21   1,346,625    1,357,573 
Dematic S.A.          
4.25% due 12/28/19   1,358,268    1,356,570 
V.Group Ltd.          
5.00% due 06/18/21   1,050,000    1,057,224 
CPM Acquisition Corp.          
6.25% due 08/29/17   378,192    379,768 
10.25% due 03/01/18   325,000    329,469 
Panolam Industries International, Inc.          
7.26% due 08/23/17   556,982    554,894 
Wireco Worldgroup, Inc.          
6.00% due 02/15/17   486,599    489,032 
Ceva Logistics Canada, ULC          
6.50% due 03/19/21   471,724    462,290 
Travelport LLC          
0.01% due 06/21/18   416,667    377,130 
Omnitracs, Inc.          
8.75% due 05/25/21   350,000    353,500 
Advanced Disposal Services, Inc.          
3.75% due 10/09/19   350,480    348,570 
Hunter Fan Co.          
6.50% due 12/20/17   222,385    221,829 
Total Safety U.S., Inc.          
9.25% due 09/13/207   99,750    99,750 
Total Industrials        230,387,163 
Consumer Discretionary - 13.1%          
Alliance Boots Ltd.          
3.98% due 07/09/17   10,521,726    18,004,262 
3.48% due 07/09/15   2,986,900    5,103,420 
Smart & Final Stores LLC          
4.75% due 11/15/19   12,431,835    12,447,375 
BJ's Wholesale Club, Inc.          
4.50% due 09/26/19   11,511,182    11,517,168 
ABG Intermediate Holdings 2 LLC          
5.50% due 05/27/21   8,500,000    8,521,250 
Alexander Mann Solutions Ltd.          
5.75% due 12/20/19   7,960,000    7,999,800 
Neiman Marcus Group, Inc.          
4.25% due 10/25/20   7,987,169    7,965,684 
Lions Gate Entertainment Corp.          
5.00% due 07/19/20   7,400,000    7,511,000 
Sears Holdings Corp.          
5.50% due 06/30/18   7,120,544    7,194,313 
Hilton Worldwide Holdings, Inc.          
3.50% due 10/26/20   6,679,474    6,665,580 
Party City Holdings, Inc.          
4.00% due 07/27/19   5,988,837    5,948,592 
TI Automotive Ltd.          
5.50% due 03/28/19   4,937,500    4,937,500 
Nassa Midco AS          
4.25% due 05/14/21   3,300,000    4,524,753 
Metro-Goldwyn-Mayer, Inc.          
due 06/26/201   4,370,000    4,417,327 
Ollies Bargain Outlet          
4.75% due 09/28/19   4,150,638    4,150,638 
CPA Global          
4.50% due 12/03/20   3,940,125    3,964,751 
Digital Cinema          
3.25% due 05/17/21   3,870,000    3,853,088 
Pinnacle Entertainment, Inc.          
3.75% due 08/13/20   3,662,747    3,668,827 
Warner Music Group          
3.75% due 07/01/20   3,721,875    3,659,087 
Mcgraw-Hill Global Education Holdings LLC          
11.00% due 03/22/187   3,500,000    3,500,000 
Fitness International LLC          
5.50% due 06/24/20   3,500,000    3,484,705 
William Morris Endeavor          
5.25% due 05/06/21   3,400,000    3,420,400 
Men's Wearhouse          
4.50% due 06/18/21   3,100,000    3,114,198 
Compucom Systems, Inc.          
4.25% due 05/07/20   2,990,806    2,958,415 
Serta Simmons Holdings LLC          
4.25% due 10/01/19   2,849,110    2,853,726 
California Pizza Kitchen, Inc.          
5.25% due 03/29/18   2,956,917    2,814,631 
Fleetpride Corp.          
5.25% due 11/19/19   1,972,469    1,962,606 
9.25% due 05/15/20   304,000    297,920 
Mitel Networks Corp.          
5.25% due 01/31/20   2,215,715    2,233,729 
Capital Automotive LP          
6.00% due 04/30/20   2,000,000    2,039,160 
SNL Financial          
4.50% due 10/23/18   2,029,659    2,033,475 
NES Global Talent          
6.50% due 10/03/19   1,975,000    1,975,000 
Southern Graphics, Inc.          
4.26% due 10/17/19   1,860,439    1,860,439 
CHG Healthcare Services, Inc.          
4.25% due 11/19/19   1,840,038    1,846,165 
Laureate Education, Inc.          
5.00% due 06/15/18   1,484,213    1,448,963 
AlixPartners, LLP          
4.00% due 07/10/20   1,422,755    1,419,554 
Fender Musical Instruments Corp.          
5.75% due 04/03/19   1,337,500    1,347,531 
1-800  Contacts, Inc.          
4.25% due 01/29/21   1,296,750    1,295,946 

 

 
 

 

Floating Rate Strategies Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

 

   Face
Amount
   Value 
SENIOR FLOATING RATE INTERESTS†† - 72.3% (continued)          
Consumer Discretionary - 13.1% (continued)          
IntraWest Holdings S.à r.l.          
5.50% due 12/09/20  $1,054,700   $1,070,521 
Container Store, Inc.          
4.25% due 04/06/19   892,905    889,931 
Equinox Fitness          
4.25% due 01/31/20   593,750    594,866 
Jacobs Entertainment, Inc.          
5.25% due 10/29/18   491,250    493,706 
Reynolds Group Holdings          
4.00% due 12/01/18   492,525    492,919 
Navistar, Inc.          
5.75% due 08/17/17   312,500    318,359 
David'S Bridal, Inc.          
5.00% due 10/11/19   238,861    230,740 
Targus Group International, Inc.          
12.00% due 05/24/167   228,823    192,784 
CKX Entertainment, Inc.          
9.00% due 06/21/177   145,875    129,099 
Total Consumer Discretionary        178,373,903 
Information Technology - 11.6%          
Infor (US), Inc.          
3.75% due 06/03/20   16,076,567    15,956,215 
Active Network, Inc., The          
5.50% due 11/13/20   12,234,029    12,165,274 
Go Daddy Operating Company, LLC          
4.75% due 05/13/21   12,100,931    12,029,052 
Greenway Medical Technologies          
6.00% due 11/04/207   9,950,000    9,937,563 
GlobalLogic Holdings, Inc.          
6.25% due 05/31/19   9,701,250    9,337,453 
Wall Street Systems          
4.50% due 04/30/21   9,200,000    9,205,796 
CallCredit Info Group Ltd.          
5.09% due 02/12/217   5,300,000    9,099,853 
LANDesk Group, Inc.          
5.00% due 02/25/20   8,436,356    8,438,381 
Aspect Software, Inc.          
7.25% due 05/07/16   8,101,342    8,167,206 
Activision Blizzard          
3.25% due 10/12/20   6,356,250    6,367,056 
Evergreen Skill          
4.50% due 04/28/21   5,750,000    5,746,435 
Deltek, Inc.          
4.50% due 10/10/18   5,622,753    5,655,533 
EIG Investors Corp.          
5.00% due 11/09/19   5,395,729    5,395,729 
Applied Systems, Inc.          
4.25% due 01/25/21   5,318,263    5,330,707 
Avago Technologies Ltd.          
3.75% due 05/06/21   5,000,000    5,013,850 
CDW LLC          
3.25% due 04/29/20   4,937,515    4,881,968 
Sophos          
5.00% due 01/29/21   4,458,825    4,472,781 
Paradigm Ltd          
4.75% due 07/30/197   4,088,324    4,088,323 
Telx Group          
4.50% due 04/09/20   2,950,000    2,950,000 
7.50% due 04/09/21   600,000    600,000 
Renaissance Learning Corp.          
4.50% due 04/09/21   3,491,250    3,486,886 
Kronos, Inc.          
4.50% due 10/30/19   2,424,996    2,441,971 
Lantiq Deutschland GmbH          
11.00% due 11/16/157   1,881,406    1,862,592 
Eze Castle Software, Inc.          
7.25% due 04/05/21   1,441,176    1,433,971 
Attachmate Group, Inc., The          
7.25% due 11/22/17   1,119,620    1,127,546 
Hyland Software, Inc.          
4.75% due 02/19/21   1,086,278    1,090,036 
American Builders & Contractors Supply Co., Inc.          
3.50% due 04/16/20   694,750    692,360 
P2 Energy Solutions          
9.00% due 04/30/21   390,000    395,686 
Sophia, LP          
4.00% due 07/19/18   381,139    381,002 
SumTotal Systems          
6.25% due 11/16/18   201,073    196,046 
Total Information Technology        157,947,271 
Telecommunication Services - 10.9%          
Cartrawler- Mustang Bidco Ltd.          
4.35% due 04/29/21   17,700,000    24,234,955 
Scout24 AG          
4.44% due 02/12/21   12,000,000    16,555,843 
Alcatel-Lucent, Inc.          
4.50% due 01/30/19   11,415,508    11,417,335 
Expert Global Solutions          
8.50% due 04/03/18   8,896,195    8,829,474 
0.08% due 04/02/177   716,667    645,000 
Zayo Group LLC          
4.00% due 07/02/19   8,817,567    8,824,004 
Asurion Corp.          
4.25% due 07/08/20   4,118,400    4,113,252 
5.00% due 05/24/19   3,881,151    3,903,002 
Ziggo BV          
3.50% due 01/15/22   3,560,850    4,846,091 
0.04% due 01/15/22   2,109,450    2,870,828 
Avaya, Inc.          
6.50% due 03/31/18   4,933,593    4,934,284 
4.73% due 10/26/17   2,338,791    2,287,993 
Light Tower Fiber LLC          
4.00% due 04/13/20   6,442,462    6,420,622 

 

 
 

 

Floating Rate Strategies Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

 

   Face
Amount
   Value 
SENIOR FLOATING RATE INTERESTS†† - 72.3% (continued)          
Telecommunication Services - 10.9% (continued)          
Trader Media Corporation Ltd.          
4.99% due 12/08/17  $3,376,319   $5,789,238 
Cengage Learning Acquisitions, Inc.          
7.00% due 03/31/20   5,635,875    5,695,784 
Univision Communications, Inc.          
4.00% due 03/01/20   5,497,790    5,491,987 
Interactive Data Corp.          
4.75% due 05/02/21   5,000,000    5,040,650 
CBS Outdoor Americas Capital LLC          
3.00% due 01/31/21   4,600,000    4,581,600 
Gogo LLC          
11.25% due 06/21/177   4,314,499    4,530,224 
Associated Partners, Inc.          
6.65% due 12/21/15†††,7   3,250,000    3,258,125 
Cumulus Media, Inc.          
4.25% due 12/23/20   3,152,275    3,160,156 
Live Nation Worldwide, Inc.          
3.50% due 08/14/20   2,977,500    2,970,056 
Hemisphere Media Group, Inc.          
6.25% due 07/30/20   2,574,000    2,606,175 
Virgin Media Investment Holdings Ltd.          
3.50% due 06/07/20   2,000,000    1,993,120 
Anaren, Inc.          
5.50% due 02/18/21   1,592,000    1,595,980 
9.25% due 08/18/21   275,000    275,000 
Level 3 Communications, Inc.          
4.00% due 08/01/19   750,000    750,623 
Clientlogic Corp.          
6.98% due 01/30/17   250,000    251,875 
Total Telecommunication Services        147,873,276 
Financials - 9.6%          
Impala Holdings          
8.00% due 06/30/19†††   8,000,000    13,487,378 
National Financial Partners          
5.25% due 07/01/20   12,499,154    12,555,400 
0.04% due 07/01/187   222,222    196,117 
HUB International Ltd.          
4.25% due 10/02/20   12,731,000    12,739,785 
First Data Corp.          
4.15% due 03/23/18   9,300,000    9,311,625 
4.15% due 03/24/21   1,199,869    1,201,369 
4.15% due 09/24/18   400,000    400,284 
Magic Newco, LLC          
5.00% due 12/12/18   9,059,801    9,120,955 
12.00% due 06/12/19   500,000    571,665 
Intertrust Group          
8.00% due 04/15/22   3,300,000    3,310,989 
4.23% due 04/16/21   2,616,000    2,616,654 
7.50% due 02/15/19   1,475,000    1,979,188 
American Stock Transfer & Trust          
5.75% due 06/26/20   5,828,800    5,819,066 
WTG Holdings          
4.75% due 01/15/21   5,721,250    5,725,999 
Ceridian Corp.          
4.40% due 05/09/17   5,574,644    5,580,720 
AmWINS Group, LLC          
5.00% due 09/06/19   4,743,933    4,747,870 
International Lease Finance          
3.50% due 03/06/21   4,700,000    4,694,125 
Wastequip, Inc.          
5.50% due 08/09/19   4,417,875    4,439,964 
RCS Capital          
6.50% due 04/29/19   4,350,000    4,438,827 
Nuveen Investments, Inc.          
4.15% due 05/13/17   4,000,000    4,005,000 
6.50% due 02/28/19   400,000    403,356 
Lineage Logistics LLC          
4.50% due 04/07/21   4,079,775    4,052,563 
Topaz Power Holdings LLC          
6.25% due 02/26/20   3,881,107    3,883,552 
Genex Services, Inc.          
5.25% due 05/28/21   2,800,000    2,814,000 
Fly Leasing Ltd.          
4.50% due 08/09/19   2,626,406    2,647,207 
Transunion Holding Co.          
4.00% due 04/09/21   2,493,750    2,492,852 
USI Holdings Corp.          
4.25% due 12/27/19   2,359,133    2,360,619 
Cunningham Lindsey U.S., Inc.          
5.00% due 12/10/19   1,627,472    1,618,651 
9.25% due 06/10/207   194,886    194,766 
AssuredPartners          
4.50% due 04/02/21   1,600,000    1,600,496 
Alliant Holdings I, LLC          
4.25% due 12/20/19   869,304    868,652 
Grosvenor Capital Management Holdings, LLLP          
3.75% due 01/04/21   498,310    494,782 
Hamilton Lane Advisors LLC          
4.00% due 02/28/18   180,078    180,078 
Total Financials        130,554,554 
Consumer Staples - 4.2%          
CTI Foods Holding Co. LLC          
8.25% due 06/28/21   8,650,000    8,736,500 
4.50% due 06/28/20   1,339,875    1,340,719 
Performance Food Group          
6.25% due 11/14/19   9,896,462    9,989,290 
Dole Food Company, Inc.          
4.50% due 11/01/18   7,906,667    7,913,229 
Reddy Ice Holdings, Inc.          
6.75% due 04/01/197   4,853,481    4,732,144 
10.75% due 10/01/197   2,000,000    1,780,000 
Grocery Outlet, Inc.          
5.50% due 12/17/18   5,474,880    5,481,724 

 

 
 

 

Floating Rate Strategies Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

 

   Face
Amount
   Value 
SENIOR FLOATING RATE INTERESTS†† - 72.3% (continued)          
Consumer Staples - 4.2% (continued)          
Arctic Glacier Holdings, Inc.          
5.00% due 05/10/19  $5,461,648   $5,420,686 
Hearthside Foods          
4.50% due 06/02/21   3,050,000    3,066,531 
Hostess Brands          
6.75% due 04/09/20   2,793,000    2,894,246 
DS Waters of America, Inc.          
5.25% due 08/30/20   2,481,250    2,506,063 
AdvancePierre Foods, Inc.          
5.75% due 07/10/17   1,462,648    1,462,034 
9.50% due 10/10/17   541,000    521,053 
Aramark Corp.          
3.25% due 02/24/21   1,216,950    1,207,823 
Rite Aid Corp.          
5.75% due 08/21/20   500,000    510,470 
Total Consumer Staples        57,562,512 
Materials - 2.6%          
Chromaflo Technologies          
4.50% due 12/02/19   11,691,250    11,720,478 
WR Grace & Co.          
3.00% due 02/03/21   6,794,460    6,775,775 
Royal Adhesives and Sealants          
5.50% due 07/31/18   4,960,617    5,002,484 
Minerals Technologies, Inc.          
4.00% due 05/07/21   4,300,000    4,316,125 
CPG International, Inc.          
4.75% due 09/30/20   3,701,022    3,707,203 
Ennis-Flint          
4.25% due 03/31/21   2,094,750    2,092,132 
7.75% due 09/30/21   550,000    546,332 
Fortescue Metals Group Ltd.          
3.75% due 06/30/19   992,500    992,877 
Atkore International, Inc.          
7.75% due 10/09/21   400,000    401,500 
Total Materials        35,554,906 
Energy - 1.8%          
Floatel International Ltd.          
6.00% due 05/22/20   6,750,000    6,788,003 
Pacific Drilling          
4.50% due 05/18/18   5,691,259    5,707,252 
PSS Companies          
5.50% due 01/28/20   5,236,614    5,275,888 
Panda Temple II Power          
7.25% due 04/03/19   4,500,000    4,590,000 
Ocean Rig ASA          
6.00% due 03/31/21   1,992,121    2,023,258 
EP Energy LLC          
4.50% due 04/30/19   281,250    282,797 
Total Energy        24,667,198 
Health Care - 1.0%          
Akorn, Inc.          
4.50% due 04/16/21   6,300,000    6,307,875 
DJO Finance LLC          
4.25% due 09/15/17   2,561,081    2,569,097 
Ceramtec GMBH          
4.25% due 08/30/20   2,273,129    2,281,653 
Catalent Pharma Solutions, Inc.          
4.50% due 05/20/21   1,178,462    1,184,355 
Healthport, Inc.          
5.25% due 10/04/19   746,250    748,586 
Total Health Care        13,091,566 
Utilities - 0.5%          
Astoria Generating Company Acquisitions LLC          
8.50% due 10/26/17   6,650,000    6,832,875 
Total Senior Floating Rate Interests             
(Cost $976,696,370)           982,845,224 
ASSET BACKED SECURITIES†† - 9.8%          
Gramercy Real Estate CDO 2007-1 Ltd.          
2007-1A, 0.50% due 08/15/562,3   11,497,734    9,955,887 
Castlelake Aircraft Securitization Trust          
2014-1, 5.25% due 02/15/29†††   4,574,250    4,591,632 
2014-1, 7.50% due 02/15/29†††   3,370,500    3,374,545 
Cedar Woods CRE CDO Ltd.          
0.42% due 07/25/51   8,696,142    7,256,931 
GreenPoint Mortgage Funding Trust          
2005-HE4, 0.86% due 07/25/302   7,300,000    6,784,860 
RAIT CRE CDO I Ltd.          
2006-1X, 0.48% due 11/20/46†††,2   6,426,386    5,680,925 
Structured Asset Securities Corporation Mortgage Loan Trust          
2006-OPT1, 0.41% due 04/25/362   4,300,000    3,839,440 
2007-BC1, 0.28% due 02/25/372   900,000    767,721 
N-Star REL CDO VIII Ltd.          
2006-8A, 0.51% due 02/01/412,3   3,250,000    2,904,850 
2006-8A, 0.44% due 02/01/412,3   1,684,240    1,599,186 
N-Star Real Estate CDO IX Ltd.          
0.44% due 02/01/417   4,547,448    4,318,712 
KKR Financial CLO 2007-1 Ltd.          
2007-1A, 2.47% due 05/15/212,3   4,100,000    4,021,280 
CIT Mortgage Loan Trust          
2007-1, 1.60% due 10/25/372,3   3,400,000    3,143,735 
Newstar Commercial Loan Funding 2013-1 LLC          
2013-1A, 4.78% due 09/20/232,3   2,750,000    2,731,300 

 

 
 

 

Floating Rate Strategies Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

 

   Face
Amount
   Value 
ASSET BACKED SECURITIES†† - 9.8% (continued)          
2013-1A, 5.53% due 09/20/232,3  $250,000   $249,400 
Jasper CLO Ltd.          
2005-1A, 1.13% due 08/01/172,3   3,000,000    2,852,400 
Lehman XS Trust          
2007-9, 0.27% due 06/25/372   3,075,047    2,716,937 
Halcyon Loan Advisors Funding 2012-1 Ltd.          
2012-1A, 3.22% due 08/15/232,3   2,600,000    2,554,240 
ALM XIV Ltd.          
2014-14A, 3.68% due 07/28/262,3   2,650,000    2,525,185 
Wachovia Asset Securitization Issuance II LLC Trust          
2007-HE1, 0.29% due 07/25/372,3   2,820,790    2,359,196 
Tricadia CDO 2006-6 Ltd.          
2006-6A, 0.77% due 11/05/412,3   1,750,000    1,618,575 
2006-6A, 0.97% due 11/05/412,3   550,000    495,990 
TCW Global Project Fund III Ltd.          
2005-1A, 0.88% due 09/01/17†††,2,3   1,750,000    1,626,625 
2005-1A, 1.08% due 09/01/17†††,2,3   500,000    422,650 
GSAMP Trust          
2005-HE6, 0.59% due 11/25/352   2,250,000    2,015,048 
Duane Street CLO IV Ltd.          
2007-4A, 2.48% due 11/14/212,3   2,000,000    1,931,000 
Highland Park CDO I Ltd.          
2006-1A, 0.56% due 11/25/512,3   2,023,991    1,924,006 
Copper River CLO Ltd.          
2007-1A, 1.73% due 01/20/212,3   1,500,000    1,363,500 
2007-1A, 1.03% due 01/20/212,3   500,000    454,050 
Acis CLO 2013-2 Ltd.          
4.08% due 10/14/222,3   1,800,000    1,754,460 
Rockwall CDO II Ltd.          
2007-1A, 0.48% due 08/01/242,3   1,740,241    1,653,577 
Northwoods Capital VII Ltd.          
2006-7A, 3.73% due 10/22/212,3   1,000,000    972,000 
2006-7A, 1.78% due 10/22/212,3   700,000    673,050 
DIVCORE CLO Ltd.          
2013-1A B, 4.05% due 11/15/32   1,600,000    1,600,000 
Drug Royalty II Limited Partnership 2          
2014-1, 3.48% due 07/15/233   1,500,000    1,500,000 
MCF CLO I LLC          
2013-1A, 3.78% due 04/20/232,3   1,500,000    1,483,050 
West Coast Funding Ltd.          
2006-1A, 0.38% due 11/02/412,3   1,356,090    1,312,424 
Global Leveraged Capital Credit Opportunity Fund          
2006-1A, 1.23% due 12/20/182,3   1,288,000    1,241,503 
GSAA Home Equity Trust          
2007-7, 0.42% due 07/25/372   1,433,874    1,233,858 
New Century Home Equity Loan Trust          
2004-4, 0.95% due 02/25/352   1,266,689    1,164,416 
Grayson CLO Ltd.          
2006-1A, 0.64% due 11/01/212,3   1,200,000    1,112,520 
Halcyon Structured Asset Management Long Secured/Short Unsecured 2007-1 Ltd.          
2007-1A, 2.52% due 08/07/212,3   1,100,000    1,084,050 
Putnam Structured Product CDO 2002-1 Ltd.          
2002-1A, 0.83% due 01/10/382,3   1,176,535    1,061,470 
Cerberus Onshore II CLO LLC          
2014-1A, 4.23% due 10/15/232,3   600,000    568,560 
2014-1A, 3.73% due 10/15/232,3   500,000    485,400 
Telos CLO 2007-2 Ltd.          
2007-2A, 2.43% due 04/15/222,3   1,100,000    1,045,880 
Telos CLO Ltd.          
2013-3A, 4.48% due 01/17/242,3   1,050,000    1,032,570 
ARES XXVI CLO Ltd.          
2013-1A, 0.00% due 04/15/253   1,250,000    1,016,250 
Genesis Funding Ltd.          
2006-1A, 0.40% due 12/19/322,3   1,046,068    1,004,225 
KKR Financial CLO 2007-A Corp.          
2007-AA, 4.73% due 10/15/172,3   1,000,000    1,003,900 
Acis CLO 2013-1 Ltd.          
2013-1A, 4.73% due 04/18/242,3   1,000,000    997,100 
COA Summit CLO Ltd.          
2014-1A, 4.09% due 04/20/232,3   1,000,000    994,400 
Salus CLO 2012-1 Ltd.          
2013-1AN, 6.98% due 03/05/212,3   1,000,000    988,600 

 

 
 

 

Floating Rate Strategies Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

 

   Face
Amount
   Value 
ASSET BACKED SECURITIES†† - 9.8% (continued)          
Hewett's Island CDO Ltd.          
2007-6A, 2.48% due 06/09/192,3  $1,000,000   $980,400 
Liberty CLO Ltd.          
2005-1A, 0.73% due 11/01/172,3   1,000,000    975,500 
NewStar Commercial Loan Trust          
2007-1A, 2.53% due 09/30/222,3   500,000    469,900 
2007-1A, 1.53% due 09/30/222,3   500,000    465,600 
Churchill Financial Cayman Ltd.          
2007-1A, 2.83% due 07/10/192,3   1,000,000    931,800 
Aerco Ltd.          
2000-2A, 0.58% due 07/15/252   1,566,804    861,742 
Airplanes Pass Through Trust          
2001-1A, 0.70% due 03/15/192   1,705,538    801,603 
Garrison Funding 2013-2 Ltd.          
2013-2A, 4.88% due 09/25/232,3   750,000    741,975 
Shackleton II CLO Ltd.          
2012-2A, 4.29% due 10/20/232,3   750,000    739,725 
Westchester CLO Ltd.          
2007-1A, 0.57% due 08/01/222,3   750,000    704,925 
KKR Financial CLO Ltd.          
5.26% due 05/15/21   650,000    648,570 
NewStar Arlington Senior Loan Program LLC          
2014-1A, 3.53% due 07/25/252,3   600,000    586,440 
ACA CLO 2007-1 Ltd.          
2007-1A, 1.18% due 06/15/222,3   575,000    540,903 
Cent CLO          
2012-16A, 3.73% due 08/01/242,3   500,000    500,850 
CIFC Funding 2012-II Ltd.          
2012-2A, 4.48% due 12/05/242,3   500,000    500,100 
Cerberus Offshore Levered I, LP          
2012-1A, 6.23% due 11/30/182,3   250,000    250,050 
2012-1A, 4.98% due 11/30/182,3   250,000    249,825 
Gleneagles CLO Ltd.          
2005-1A, 1.13% due 11/01/172,3   500,000    478,000 
Pangaea CLO Ltd.          
2007-1A, 0.73% due 10/21/212,3   500,000    475,450 
Drug Royalty Limited Partnership 1          
2012-1, 5.48% due 07/15/242,3   456,923    473,859 
Westwood CDO I Ltd.          
2007-1A, 0.90% due 03/25/212,3   500,000    463,350 
Kingsland III Ltd.          
2006-3A, 1.83% due 08/24/212,3   500,000    463,150 
MCF CLO III LLC          
2014-3A, 3.46% due 01/20/242,3   500,000    455,000 
Kingsland IV Ltd.          
2007-4A, 1.68% due 04/16/212,3   500,000    452,300 
ACS 2007-1 Pass Through Trust          
2007-1A, 0.46% due 06/14/372,3   424,788    412,044 
Babcock & Brown Air Funding I Ltd.          
2007-1A, 0.45% due 11/14/332,3   475,990    404,591 
Northwind Holdings LLC          
2007-1A, 1.01% due 12/01/372,3   440,750    398,879 
OFSI Fund Ltd.          
2006-1A, 1.08% due 09/20/192,3   370,000    355,274 
Aircraft Lease Securitisation Ltd.          
2007-1A, 0.41% due 05/10/322,3   349,985    340,360 
Eastland CLO Ltd.          
2007-1A, 0.63% due 05/01/222,3   350,000    325,780 
Asset Backed Securities Corporation Home Equity Loan Trust Series          
2004-HE8, 1.20% due 12/25/342   338,282    315,843 
Raspro Trust          
2005-1A, 0.63% due 03/23/242,3   308,632    297,830 
Accredited Mortgage Loan Trust          
2007-1, 0.28% due 02/25/372   308,176    292,667 
Credit Card Pass-Through Trust          
2012-BIZ, 0.00% due 12/15/493   320,980    278,578 
Ivy Hill Middle Market Credit Fund Ltd.          
2011-3A, 6.73% due 01/15/222,3   250,000    250,000 
Newstar Commercial Loan Funding 2014-1 LLC          
2014-1A, 5.07% due 04/20/252,3   250,000    247,775 
Great Lakes CLO 2014-1 Ltd.          
2014-1A, 4.42% due 04/15/25†††,2,3   250,000    243,175 
Black Diamond CLO 2005-2 Delaware Corp.          
2005-2A, 2.03% due 01/07/182,3   250,000    238,750 

 

 
 

 

Floating Rate Strategies Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

 

   Face
Amount
   Value 
ASSET BACKED SECURITIES†† - 9.8% (continued)          
Diversified Asset Securitization Holdings II, LP          
2000-1A, 0.72% due 09/15/352,3  $222,252   $217,185 
Newcastle CDO IX 1 Ltd.          
2007-9A, 0.41% due 05/25/522,3,4   174,349    174,349 
Structured Asset Receivables Trust Series          
2005-1A, 0.73% due 01/21/152,3   164,403    158,649 
Castle Trust          
2003-1AW, 0.90% due 05/15/272,3   50,331    49,325 
Vega Containervessel plc          
2006-1A, 5.56% due 02/10/213   41,372    40,752 
Total Asset Backed Securities             
(Cost $128,544,186)        132,315,892 
CORPORATE BONDS†† - 7.5%          
Energy - 2.3%          
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.          
6.00% due 12/15/20   6,300,000    6,615,000 
Unit Corp.          
6.63% due 05/15/21   4,000,000    4,270,000 
Legacy Reserves Limited Partnership / Legacy Reserves Finance Corp.          
8.00% due 12/01/20   2,750,000    2,956,250 
Rosetta Resources, Inc.          
5.88% due 06/01/22   2,700,000    2,821,500 
Eagle Rock Energy Partners Limited Partnership / Eagle Rock Energy Finance Corp.          
8.38% due 06/01/19   2,600,000    2,808,000 
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.          
7.88% due 04/15/22   2,000,000    2,165,000 
Ultra Petroleum Corp.          
5.75% due 12/15/183   1,750,000    1,837,500 
Penn Virginia Resource Partners Limited Partnership / Penn Virginia Resource Finance Corp.          
8.38% due 06/01/20   1,612,000    1,823,575 
Ultra Resources, Inc.          
4.66% due 10/12/22†††,7   1,800,000    1,682,640 
Atlas Energy Holdings Operating Company LLC / Atlas Resource Finance Corp.          
9.25% due 08/15/21   1,500,000    1,620,000 
Gibson Energy, Inc.          
6.75% due 07/15/213   1,055,000    1,142,038 
Bill Barrett Corp.          
7.63% due 10/01/19   800,000    862,000 
Midstates Petroleum Company Incorporated / Midstates Petroleum Co LLC          
10.75% due 10/01/20   575,000    652,625 
Total Energy        31,256,128 
Financials - 1.9%          
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp.          
5.88% due 02/01/22   5,000,000    5,237,499 
6.00% due 08/01/20   1,700,000    1,821,125 
4.88% due 03/15/19   1,750,000    1,802,500 
3.50% due 03/15/17   1,000,000    1,011,250 
Citigroup, Inc.          
5.35% due 05/29/492,5   4,000,000    3,837,500 
Credit Acceptance Corp.          
6.13% due 02/15/213   3,100,000    3,239,500 
Cabot Financial Luxembourg S.A.          
6.50% due 04/01/213   1,300,000    2,225,075 
Nationstar Mortgage LLC / Nationstar Capital Corp.          
6.50% due 07/01/21   2,000,000    2,005,000 
Opal Acquisition, Inc.          
8.88% due 12/15/213   1,775,000    1,868,188 
Ally Financial, Inc.          
3.50% due 01/27/19   1,750,000    1,766,975 
Oxford Finance LLC / Oxford Finance Company-Issuer, Inc.          
7.25% due 01/15/183   650,000    682,500 
Fidelity & Guaranty Life Holdings, Inc.          
6.38% due 04/01/213   450,000    482,625 
LCP Dakota Fund          
10.00% due 08/17/157   28,800    28,800 
Total Financials        26,008,537 
Materials - 0.8%          
BMBG Bond Finance SCA          
5.33% due 10/15/202,3   4,000,000    5,569,932 
TPC Group, Inc.          
8.75% due 12/15/203   2,000,000    2,215,000 
Unifrax I LLC / Unifrax Holding Co.          
7.50% due 02/15/193   1,525,000    1,593,625 
Mirabela Nickel Ltd.          
9.50% due 05/20/19   1,063,000    1,063,000 
8.75% due 04/15/183,6   2,000,000    460,000 
Total Materials        10,901,557 
Consumer Staples - 0.8%          
Premier Foods Finance plc          
5.56% due 03/15/202,3   2,750,000    4,706,889 
Harbinger Group, Inc.          
7.75% due 01/15/22   1,975,000    2,021,906 
7.88% due 07/15/19   490,000    535,938 
Central Garden and Pet Co.          
8.25% due 03/01/18   2,000,000    2,075,000 

 

 
 

 

Floating Rate Strategies Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

 

   Face
Amount
   Value 
CORPORATE BONDS†† - 7.5% (continued)          
Consumer Staples - 0.8% (continued)          
Vector Group Ltd.          
7.75% due 02/15/21  $1,000,000   $1,065,000 
Total Consumer Staples        10,404,733 
Consumer Discretionary - 0.7%          
GRD Holdings III Corp.          
10.75% due 06/01/193   3,680,000    4,121,599 
Travelport LLC          
11.88% due 09/01/16   1,300,000    1,326,000 
Checkers Drive-In Restaurants, Inc.          
11.00% due 12/01/173   1,000,000    1,117,500 
MDC Partners, Inc.          
6.75% due 04/01/203   1,000,000    1,055,000 
Travelport LLC / Travelport Holdings, Inc.          
6.35% due 03/01/162,3   1,018,867    1,026,509 
Men's Wearhouse, Inc.          
7.00% due 07/01/223   525,000    543,375 
Atlas Air 1999-1 Class A-1 Pass Through Trust          
7.20% due 01/02/197   86,639    90,538 
Laureate Education, Inc.          
9.25% due 09/01/193   85,000    87,550 
Total Consumer Discretionary        9,368,071 
Information Technology - 0.5%          
Alcatel-Lucent USA, Inc.          
6.75% due 11/15/203   3,000,000    3,195,000 
NCR Corp.          
6.38% due 12/15/233   1,800,000    1,953,000 
Eagle Midco, Inc.          
9.00% due 06/15/183   1,400,000    1,445,500 
Total Information Technology        6,593,500 
Telecommunication Services - 0.3%          
Virgin Media Secured Finance plc          
5.38% due 04/15/213   1,800,000    1,890,000 
SITEL LLC / Sitel Finance Corp.          
11.00% due 08/01/173   670,000    713,550 
CyrusOne Limited Partnership / CyrusOne Finance Corp.          
6.38% due 11/15/22   600,000    646,500 
Avaya, Inc.          
7.00% due 04/01/193   610,000    610,000 
UPCB Finance VI Ltd.          
6.88% due 01/15/223   530,000    579,025 
Total Telecommunication Services        4,439,075 
Health Care - 0.2%          
Valeant Pharmaceuticals International, Inc.          
5.63% due 12/01/213   2,000,000    2,057,500 
Utilities - 0.0%          
LBC Tank Terminals Holding Netherlands BV          
6.88% due 05/15/233   630,000    664,650 
Total Corporate Bonds             
(Cost $99,750,971)           101,693,751 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 2.1%          
Nomura Resecuritization Trust          
2012-1R,0.59% due 08/27/472,3   3,852,363    3,554,576 
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust          
2006-AR9,0.96% due 11/25/462   5,092,720    3,512,557 
2007-OA4,0.88% due 04/25/472   3,977,407    3,019,902 
COMM 2006-FL12 Mortgage Trust          
2006-FL12,0.44% due 12/15/202,3   2,235,549    2,222,613 
2006-FL12,0.49% due 12/15/202,3   1,277,607    1,266,176 
IndyMac INDX Mortgage Loan Trust          
2006-AR4,0.36% due 05/25/462   3,815,516    3,308,872 
Structured Asset Mortgage Investments II Trust          
2006-AR1,0.38% due 02/25/362   3,836,947    3,266,531 
Lehman XS Trust Series          
2006-16N,0.34% due 11/25/462   3,419,744    2,809,987 
GreenPoint Mortgage Funding Trust          
2006-AR1,0.44% due 02/25/362   3,210,171    2,692,579 
SRERS-2011 Funding Ltd.          
2011-RS,0.40% due 05/09/462,3   1,599,247    1,501,853 
Bear Stearns Mortgage Funding Trust          
2007-AR5,0.32% due 06/25/472   992,811    807,591 
Total Collateralized Mortgage Obligations             
(Cost $27,212,401)        27,963,237 

 

 
 

 

Floating Rate Strategies Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

 

   Face
Amount
   Value 
MORTGAGE BACKED SECURITIES†† - 0.4%          
HarborView Mortgage Loan Trust          
2006-12,0.35% due 01/19/382  $4,570,497   $3,940,098 
HSI Asset Securitization Corporation Trust          
2007-WF1,0.32% due 05/25/372   1,627,291    1,511,195 
Total Mortgage Backed Securities             
(Cost $5,335,573)        5,451,293 
COMMERCIAL PAPER†† - 5.5%          
BAT International Finance plc          
0.20% due 07/02/143   5,000,000    4,999,972 
0.23% due 07/02/143   5,000,000    4,999,968 
Total BAT International Finance plc        9,999,940 
VW Credit, Inc.          
0.18% due 07/09/14   10,000,000    9,999,600 
Duke Energy Corp.          
0.20% due 07/10/14   10,000,000    9,999,500 
Northeast Utilities          
0.20% due 07/10/143   10,000,000    9,999,500 
Amcor Ltd.          
0.25% due 07/14/143   10,000,000    9,999,097 
Pacific Gas & Electric Co.          
0.20% due 07/07/143   5,000,000    4,999,833 
FMC Technologies, Inc.          
0.24% due 07/11/143   5,000,000    4,999,667 
Albemarle Corp.          
0.20% due 07/17/143   5,000,000    4,999,556 
American Water Capital Corp.          
0.23% due 07/15/143   5,000,000    4,999,553 
Pentair Finance S.A.          
0.28% due 07/18/143   5,000,000    4,999,339 
Total Commercial Paper             
(Cost $74,995,585)        74,995,585 
Total Investments - 105.4%             
(Cost $1,417,698,516)          $1,430,428,412 
Other Assets & Liabilities, net - (5.4)%           (73,726,869)
Total Net Assets - 100.0%          $1,356,701,543 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††

 

Contracts to Sell   Currency  Counterparty  Settlement
Date
   Settlement
Value
   Value at
06/30/14
   Unrealized
Depreciation
 
 1,293,500   Euro  BNY Mellon   07/02/14   $1,764,088   $1,771,069   $(6,980)
 43,500,000   Euro  BNY Capital Markets   07/02/14    59,320,175    59,560,485    (240,310)
 26,300,000   GBP  BNY Capital Markets   07/02/14    44,071,041    45,014,976    (943,935)
                          $(1,191,225)

 

Value determined based on Level 1 inputs — See Note 3.
†† Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
††† Value determined based on Level 3 inputs — See Note 3.
1 Security with no rate was unsettled at June 30, 2014.
2 Variable rate security.  Rate indicated is rate effective at June 30, 2014.
3 Security is a 144A or Section 4(a)(2) security.  The total market value of 144A or Section 4(a)(2) securities is $194,674,775 (cost $191,351,840), or 14.3% of total net assets.
4 Security or a portion thereof is held as collateral for reverse repurchase agreements.
5 Perpetual maturity.
6 Security is in default of interest and/or principal obligations.
7 Illiquid security.
plc — Public Limited Company
REIT — Real Estate Investment Trust

 

 
 

High Yield Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

 

    Shares     Value  
COMMON STOCKS - 0.7%                
Consumer Discretionary - 0.4%                
Metro-Goldwyn-Mayer, Inc.*,††     7,040     $ 552,359  
Cengage Learning*,††     2,107       74,546  
Total Consumer Discretionary             626,905  
Energy - 0.2%                
Stallion Oilfield Holdings Ltd.*,††     8,257       236,398  
Financials - 0.1%                
CIT Group, Inc.     4,569       209,077  
Leucadia National Corp.     81       2,124  
Total Financials             211,201  
Consumer Staples - 0.0%                
Crimson Wine Group Ltd.*     8       72  
Total Common Stocks                
(Cost $470,854)             1,074,576  
PREFERRED STOCKS†† - 4.0%                
Seaspan Corp.                
6.38% due 04/30/19*,†     80,000       2,044,000  
Goldman Sachs Group, Inc.                
5.50% due 05/10/23     62,240       1,524,880  
Kemper Corp.                
7.38% due 02/27/54     39,000       1,012,440  
Aspen Insurance Holdings Ltd.                
5.95% due 07/01/23     40,000       996,000  
Medianews Group, Inc.*     11,074       354,368  
U.S. Shipping Corp.*,6     14,718       8,095  
Total Preferred Stocks                
(Cost $6,020,957)             5,939,783  
SHORT TERM INVESTMENTS - 0.6%                
Dreyfus Treasury Prime Cash Management Fund     947,834       947,834  
Total Short Term Investments                
(Cost $947,834)             947,834  
      Face
Amount
         
CORPORATE BONDS†† - 83.7%                
Energy -  19.5%                
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.                
7.88% due 04/15/221   $ 2,250,000       2,435,624  
Atlas Energy Holdings Operating Company LLC / Atlas Resource Finance Corp.                
7.75% due 01/15/211,2     1,250,000       1,293,750  
9.25% due 08/15/21     1,000,000       1,080,000  
Sabine Pass Liquefaction LLC                
6.25% due 03/15/222     1,250,000       1,359,375  
5.75% due 05/15/242     500,000       521,250  
5.63% due 04/15/232     400,000       417,000  
Gibson Energy, Inc.                
6.75% due 07/15/212     1,800,000       1,948,500  
Endeavor Energy Resources Limited Partnership / EER Finance, Inc.                
7.00% due 08/15/212     1,800,000       1,921,500  
Legacy Reserves Limited Partnership / Legacy Reserves Finance Corp.                
6.63% due 12/01/211,2     1,340,000       1,360,100  
8.00% due 12/01/20     465,000       499,875  
Bill Barrett Corp.                
7.00% due 10/15/221     1,100,000       1,166,000  
7.63% due 10/01/191     500,000       538,750  
Atlas Pipeline Partners Limited Partnership / Atlas Pipeline Finance Corp.                
6.63% due 10/01/20     1,000,000       1,062,500  
5.88% due 08/01/23     450,000       457,875  
SandRidge Energy, Inc.                
7.50% due 03/15/21     1,000,000       1,083,750  
8.75% due 01/15/20     295,000       317,125  
Unit Corp.                
6.63% due 05/15/211     1,200,000       1,281,000  
Eagle Rock Energy Partners Limited Partnership / Eagle Rock Energy Finance Corp.                
8.38% due 06/01/19     1,165,000       1,258,200  
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.                
6.13% due 03/01/222     700,000       736,750  
6.00% due 12/15/20     400,000       420,000  
Hiland Partners Limited Partnership / Hiland Partners Finance Corp.                
7.25% due 10/01/202     1,000,000       1,090,000  
Precision Drilling Corp.                
5.25% due 11/15/242     900,000       904,500  
Rosetta Resources, Inc.                
5.88% due 06/01/24     500,000       520,000  
5.88% due 06/01/22     300,000       313,500  
Denbury Resources, Inc.                
5.50% due 05/01/221     800,000       818,000  
Jones Energy Holdings LLC / Jones Energy Finance Corp.                
6.75% due 04/01/222     600,000       633,000  
Ultra Petroleum Corp.                
5.75% due 12/15/182     600,000       630,000  
FTS International, Inc.                
6.25% due 05/01/222     550,000       562,375  
Midstates Petroleum Company Incorporated / Midstates Petroleum Co LLC                
10.75% due 10/01/20     200,000       227,000  
9.25% due 06/01/21     200,000       219,500  
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.                
7.50% due 07/01/21     350,000       381,500  
SM Energy Co.                
6.50% due 11/15/211     350,000       378,875  

 

 
 

 

High Yield Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

  

   Face
Amount
   Value 
CORPORATE BONDS†† - 83.7% (continued)
Energy -  19.5% (continued)          
Pacific Drilling S.A.          
5.38% due 06/01/202  $350,000   $343,000 
Cimarex Energy Co.          
4.38% due 06/01/24   300,000    305,625 
CONSOL Energy, Inc.          
5.88% due 04/15/222   250,000    261,875 
Carrizo Oil & Gas, Inc.          
7.50% due 09/15/20   225,000    246,938 
Access Midstream Partners Limited Partnership / ACMP Finance Corp.          
6.13% due 07/15/22   100,000    110,500 
IronGate Energy Services LLC          
11.00% due 07/01/182   100,000    103,500 
Memorial Production Partners Limited Partnership / Memorial Production Finance Corp.          
7.63% due 05/01/21   60,000    62,775 
SemGroup, LP          
8.75% due 11/15/15†††,6   1,300,000     
Total Energy        29,271,387 
Consumer Discretionary -  13.2%          
GRD Holdings III Corp.          
10.75% due 06/01/192   2,100,000    2,352,000 
AmeriGas Finance LLC / AmeriGas Finance Corp.          
7.00% due 05/20/22   1,320,000    1,461,900 
6.75% due 05/20/201   650,000    705,250 
MDC Partners, Inc.          
6.75% due 04/01/202   2,000,000    2,110,000 
Continental Airlines 2012-2 Class B Pass Through Trust          
5.50% due 10/29/20   1,854,648    1,938,107 
Travelport LLC / Travelport Holdings, Inc.          
13.88% due 03/01/162   1,177,796    1,213,129 
6.35% due 03/01/162,3   407,546    410,603 
Checkers Drive-In Restaurants, Inc.          
11.00% due 12/01/172   1,400,000    1,564,500 
Guitar Center, Inc.          
6.50% due 04/15/192   1,350,000    1,336,500 
DreamWorks Animation SKG, Inc.          
6.88% due 08/15/202   800,000    862,000 
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.          
5.50% due 06/01/24   650,000    658,125 
7.38% due 08/01/21   149,000    162,038 
Cedar Fair Limited Partnership / Canada's Wonderland Company / Magnum Management Corp.          
5.38% due 06/01/242   750,000    759,375 
Dufry Finance SCA          
5.50% due 10/15/202   650,000    674,901 
CPG Merger Sub LLC          
8.00% due 10/01/212   600,000    631,500 
Live Nation Entertainment, Inc.          
5.38% due 06/15/222   550,000    556,875 
Group 1 Automotive, Inc.          
5.00% due 06/01/222   450,000    450,000 
Vail Resorts, Inc.          
6.50% due 05/01/19   365,000    383,706 
GLP Capital Limited Partnership / GLP Financing II, Inc.          
4.88% due 11/01/202   300,000    309,000 
Seminole Hard Rock Entertainment Incorporated / Seminole Hard Rock International LLC          
5.88% due 05/15/212   250,000    250,625 
Travelport LLC          
11.88% due 09/01/16   200,000    204,000 
Ceridian LLC / Comdata, Inc.          
8.13% due 11/15/172   200,000    202,000 
Sirius XM Canada Holdings, Inc.          
5.63% due 04/23/212   200,000    188,838 
Men's Wearhouse, Inc.          
7.00% due 07/01/222   150,000    155,250 
Laureate Education, Inc.          
9.25% due 09/01/192   110,000    113,300 
Global Partners Limited Partnership/GLP Finance Corp.          
6.25% due 07/15/222   90,000    90,000 
Total Consumer Discretionary        19,743,522 
Financials -  11.1%          
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp.          
6.00% due 08/01/201   1,750,000    1,874,688 
5.88% due 02/01/22   300,000    314,250 
4.88% due 03/15/19   200,000    206,000 
Opal Acquisition, Inc.          
8.88% due 12/15/212   2,200,000    2,315,500 
Credit Acceptance Corp.          
6.13% due 02/15/212   1,900,000    1,985,499 
American Equity Investment Life Holding Co.          
6.63% due 07/15/211   1,100,000    1,196,112 
Lancashire Holdings Ltd.          
5.70% due 10/01/222   1,000,000    1,113,420 
Banco do Brasil S.A.          
9.00% due 12/29/492,3,4   1,050,000    1,035,563 
Citigroup, Inc.          
6.30% due 12/29/493,4   700,000    713,125 
iStar Financial, Inc.          
5.00% due 07/01/19   700,000    700,000 
Wilton Re Finance LLC          
5.88% due 03/30/332,3   650,000    677,625 
Jefferies Finance LLC / JFIN Company-Issuer Corp.          
7.38% due 04/01/202   600,000    630,000 
Apollo Management Holdings, LP          
4.00% due 05/30/242   600,000    603,491 

 

 
 

 

High Yield Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

  

   Face
Amount
   Value 
CORPORATE BONDS†† - 83.7% (continued)          
Financials -  11.1% (continued)          
Kennedy-Wilson, Inc.          
5.88% due 04/01/24  $550,000   $558,250 
Nielsen Company Luxembourg SARL          
5.50% due 10/01/212   500,000    516,250 
Voya Financial, Inc.          
5.65% due 05/15/533   475,000    483,313 
DuPont Fabros Technology, LP          
5.88% due 09/15/21   450,000    470,250 
Nationstar Mortgage LLC / Nationstar Capital Corp.          
6.50% due 06/01/22   350,000    350,000 
Cabot Financial Luxembourg S.A.          
6.50% due 04/01/212   200,000    342,319 
Majid AL Futtaim Holding          
7.12% due 12/31/49   300,000    322,503 
Fidelity & Guaranty Life Holdings, Inc.          
6.38% due 04/01/212   250,000    268,125 
Total Financials        16,676,283 
Information Technology -  8.0%          
First Data Corp.          
8.75% due 01/15/221,2   1,050,000    1,158,938 
6.75% due 11/01/202   850,000    920,125 
Eagle Midco, Inc.          
9.00% due 06/15/182   1,300,000    1,342,249 
Aspect Software, Inc.          
10.63% due 05/15/17   1,235,000    1,298,294 
Audatex North America, Inc.          
6.00% due 06/15/212   700,000    747,250 
6.13% due 11/01/232   350,000    373,625 
Alcatel-Lucent USA, Inc.          
8.88% due 01/01/202   600,000    679,500 
6.75% due 11/15/202   350,000    372,750 
NCR Corp.          
6.38% due 12/15/232   550,000    596,750 
5.88% due 12/15/212   400,000    422,000 
CyrusOne Limited Partnership / CyrusOne Finance Corp.          
6.38% due 11/15/221   650,000    700,375 
Xerox Corp.          
3.80% due 05/15/24   700,000    696,209 
Brocade Communications Systems, Inc.          
4.63% due 01/15/23   625,000    606,250 
ViaSat, Inc.          
6.88% due 06/15/201   500,000    538,750 
CommScope, Inc.          
5.50% due 06/15/242   500,000    508,125 
IAC          
4.75% due 12/15/22   495,000    486,956 
iGATE Corp.          
4.75% due 04/15/192   350,000    356,125 
Advanced Micro Devices, Inc.          
7.00% due 07/01/242   115,000    117,444 
Total Information Technology        11,921,715 
Consumer Staples -  7.9%          
Central Garden and Pet Co.          
8.25% due 03/01/18   2,250,000    2,334,375 
Vector Group Ltd.          
7.75% due 02/15/212   2,130,000    2,268,450 
Harbinger Group, Inc.          
7.75% due 01/15/22   1,336,000    1,367,730 
7.88% due 07/15/19   385,000    421,094 
R&R Ice Cream plc          
8.25% due 05/15/202   1,550,000    1,483,568 
Premier Foods Finance plc          
6.50% due 03/15/212   500,000    862,216 
KeHE Distributors LLC / KeHE Finance Corp.          
7.63% due 08/15/212   750,000    817,500 
Bumble Bee Holdco SCA          
9.63% due 03/15/182   700,000    733,250 
JBS USA LLC / JBS USA Finance, Inc.          
5.88% due 07/15/242   600,000    598,500 
US Foods, Inc.          
8.50% due 06/30/191   395,000    422,848 
Darling Ingredients, Inc.          
5.38% due 01/15/222   300,000    311,250 
Spectrum Brands, Inc.          
6.63% due 11/15/22   225,000    243,563 
Total Consumer Staples        11,864,344 
Telecommunication Services -  7.2%          
WMG Acquisition Corp.          
6.75% due 04/15/222   1,050,000    1,050,000 
6.00% due 01/15/212   600,000    619,500 
5.63% due 04/15/222   150,000    150,938 
UPCB Finance VI Ltd.          
6.88% due 01/15/222   1,200,000    1,311,000 
Sirius XM Radio, Inc.          
6.00% due 07/15/242   1,200,000    1,247,999 
Virgin Media Finance plc          
6.38% due 04/15/232   950,000    1,030,750 
Univision Communications, Inc.          
5.13% due 05/15/232   450,000    476,438 
6.75% due 09/15/222   295,000    326,344 
CSC Holdings LLC          
5.25% due 06/01/242   700,000    688,624 
Unitymedia Hessen GmbH & Company KG / Unitymedia NRW GmbH          
5.50% due 01/15/232   650,000    672,750 
Avaya, Inc.          
7.00% due 04/01/192   600,000    600,000 
DISH DBS Corp.          
6.75% due 06/01/21   300,000    342,000 
5.88% due 07/15/22   150,000    162,750 

 

 
 

 

High Yield Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

  

    Face
Amount
    Value  
CORPORATE BONDS†† - 83.7% (continued)
Telecommunication Services -  7.2% (continued)                
SITEL LLC / Sitel Finance Corp.                
11.00% due 08/01/172   $ 450,000     $ 479,250  
Expo Event Transco, Inc.                
9.00% due 06/15/212     400,000       417,000  
Inmarsat Finance plc                
4.88% due 05/15/222     400,000       404,000  
Nielsen Finance LLC / Nielsen Finance Co.                
5.00% due 04/15/222     400,000       403,000  
Level 3 Financing, Inc.                
6.13% due 01/15/212     350,000       374,938  
Total Telecommunication Services             10,757,281  
Industrials -  6.4%                
CNH Industrial Capital LLC                
3.38% due 07/15/192     1,200,000       1,190,999  
Deutsche Raststatten                
6.75% due 12/30/20     800,000       1,174,034  
FTI Consulting, Inc.                
6.00% due 11/15/221     800,000       823,000  
Marquette Transportation Company LLC / Marquette Transportation Finance Corp.                
10.88% due 01/15/171     755,000       799,923  
ADT Corp.                
6.25% due 10/15/21     750,000       795,000  
Odebrecht Offshore Drilling Finance Ltd.                
6.63% due 10/01/222     692,230       737,225  
Clean Harbors, Inc.                
5.13% due 06/01/211     700,000       715,313  
Briggs & Stratton Corp.                
6.88% due 12/15/201     600,000       670,500  
Amsted Industries, Inc.                
5.00% due 03/15/222     650,000       650,000  
Ultra Resources, Inc.                
4.51% due 10/12/20†††,6     600,000       577,440  
Building Materials Corporation of America                
6.75% due 05/01/212     400,000       431,000  
CEVA Group plc                
7.00% due 03/01/212     400,000       411,000  
LMI Aerospace, Inc.                
7.38% due 07/15/192     350,000       357,875  
USG Corp.                
5.88% due 11/01/212     300,000       318,000  
Total Industrials             9,651,309  
Materials -  5.4%                
TPC Group, Inc.                
8.75% due 12/15/202     1,945,000       2,154,088  
KGHM International Ltd.                
7.75% due 06/15/192     1,150,000       1,234,812  
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu                
6.88% due 02/15/21     1,000,000       1,079,125  
BMBG Bond Finance SCA                
5.33% due 10/15/202,3     550,000       765,866  
Clearwater Paper Corp.                
4.50% due 02/01/231     675,000       654,750  
Kaiser Aluminum Corp.                
8.25% due 06/01/20     575,000       646,875  
Eldorado Gold Corp.                
6.13% due 12/15/202     525,000       530,250  
Unifrax I LLC / Unifrax Holding Co.                
7.50% due 02/15/192     350,000       365,750  
Cascades, Inc.                
5.50% due 07/15/222     350,000       349,125  
Mirabela Nickel Ltd.                
9.50% due 05/20/19     231,000       231,000  
8.75% due 04/15/182,5     435,000       100,050  
Total Materials             8,111,691  
Utilities -  3.2%                
NGL Energy Partners Limited Partnership / NGL Energy Finance Corp.                
6.88% due 10/15/212     850,000       905,250  
5.13% due 07/15/192     600,000       601,500  
LBC Tank Terminals Holding Netherlands BV                
6.88% due 05/15/232     1,250,000       1,318,750  
ContourGlobal Power Holdings S.A.                
7.13% due 06/01/192     1,000,000       998,000  
AES Corp.                
5.50% due 03/15/241     650,000       664,625  
4.88% due 05/15/23     250,000       247,500  
Total Utilities             4,735,625  
Health Care -  1.8%                
Catalent Pharma Solutions, Inc.                
7.88% due 10/15/181     750,000       763,125  
Valeant Pharmaceuticals International, Inc.                
5.63% due 12/01/212     600,000       617,250  
Symbion, Inc.                
8.00% due 06/15/16     475,000       496,375  
HCA, Inc.                
5.00% due 03/15/241     350,000       354,837  
DaVita HealthCare Partners, Inc.                
5.13% due 07/15/24     225,000       226,406  
Catamaran Corp.                
4.75% due 03/15/21     200,000       202,000  
Total Health Care             2,659,993  
Total Corporate Bonds                
(Cost $121,838,260)           125,393,150  
SENIOR FLOATING RATE INTERESTS†† - 25.1%                
Industrials -  7.7%                
Flakt Woods                
8.00% due 04/01/176     1,600,000       2,125,008  
Mitchell International, Inc.                
8.50% due 10/11/21     1,250,000       1,273,963  
Travelport Holdings Ltd.                
9.50% due 01/31/16     988,752       1,016,229  

 

 
 

 

High Yield Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

 

   Face
Amount
   Value 
SENIOR FLOATING RATE INTERESTS†† - 25.1% (continued)          
Industrials -  7.7% (continued)          
Hillman Group, Inc.          
6.50% due 06/13/19†††,6  $1,000,000   $1,000,000 
GCA Services Group, Inc.          
9.25% due 11/01/20   800,000    808,000 
SI Organization          
5.75% due 11/23/19   800,000    801,504 
syncreon          
5.25% due 10/28/20   606,950    610,743 
US Shipping Corp.          
9.00% due 04/30/18   533,758    541,988 
CareCore National LLC          
5.50% due 03/05/21   498,750    502,805 
Learning Care Group (US), Inc.          
7.75% due 05/05/21†††,6   500,000    500,000 
Phillips-Medsize Corp.          
7.00% due 06/13/19†††,6   500,000    500,000 
SIRVA Worldwide, Inc.          
7.50% due 03/27/19   395,000    401,912 
Knowledge Learning Corp.          
5.25% due 03/18/21   299,250    302,991 
STG-Fairway Acquisitions, Inc.          
6.25% due 02/28/19   246,876    245,951 
Mast Global          
8.75% due 09/12/19†††,6   243,750    241,313 
Panolam Industries International, Inc.          
7.26% due 08/23/17   198,922    198,176 
Sabre, Inc.          
4.25% due 02/19/19   110,025    110,254 
Ceva Logistics US Holdings          
6.50% due 03/19/21   98,276    96,310 
NaNa Development Corp.          
8.00% due 03/15/186   83,333    82,500 
Ceva Logistics Holdings BV (Dutch)          
6.50% due 03/19/21   71,250    69,825 
Ceva Group Plc (United Kingdom)          
6.50% due 03/19/21   67,734    66,379 
Ceva Logistics Canada, ULC          
6.50% due 03/19/21   12,284    12,039 
Total Industrials        11,507,890 
Consumer Discretionary -  5.1%          
Nassa Midco AS          
4.25% due 05/14/21   850,000    1,165,466 
Mcgraw-Hill Global Education Holdings LLC          
11.00% due 03/22/186   1,000,000    1,000,000 
Fitness International LLC          
5.50% due 06/24/20   750,000    746,722 
Lions Gate Entertainment Corp.          
5.00% due 07/19/20   600,000    608,999 
IntraWest Holdings S.à r.l.          
5.50% due 12/09/20   597,000    605,955 
NES Global Talent          
6.50% due 10/03/19   592,500    592,500 
ABG Intermediate Holdings 2 LLC          
5.50% due 05/27/21   548,625    549,997 
Alexander Mann Solutions Ltd.          
5.75% due 12/20/19   497,500    499,988 
National Vision, Inc.          
6.75% due 03/11/22   450,000    448,313 
Tectum Holdings, Inc.          
9.00% due 03/12/196   375,000    374,063 
Neiman Marcus Group, Inc.          
4.25% due 10/25/20   338,676    337,765 
Pelican Products, Inc.          
9.25% due 04/09/21   300,000    303,000 
Targus Group International, Inc.          
12.00% due 05/24/166   229,441    193,304 
Fleetpride Corp.          
9.25% due 05/15/20   192,000    188,160 
Total Consumer Discretionary        7,614,232 
Telecommunication Services -  4.3%          
Scout24 AG          
4.44% due 02/12/21   1,000,000    1,379,654 
Expert Global Solutions          
8.50% due 04/03/18   1,378,514    1,368,175 
Associated Partners, Inc.          
6.65% due 12/21/15†††,6   1,000,000    1,002,500 
Cartrawler- Mustang Bidco Ltd.          
4.35% due 04/29/21   650,000    889,984 
Anaren, Inc.          
9.25% due 08/18/21   500,000    500,000 
Cengage Learning Acquisitions, Inc.          
7.00% due 03/31/20   299,250    302,431 
Avaya, Inc.          
6.50% due 03/31/18   295,673    295,715 
MergerMarket Ltd.          
4.50% due 02/04/21   299,250    294,387 
Cumulus Media, Inc.          
4.25% due 12/23/20   246,157    246,773 
Hemisphere Media Group, Inc.          
6.25% due 07/30/20   222,750    225,534 
Total Telecommunication Services        6,505,153 
Information Technology -  2.7%          
Greenway Medical Technologies          
9.25% due 11/04/216   550,000    552,062 
6.00% due 11/04/206   348,250    347,815 
Applied Systems, Inc.          
4.25% due 01/25/21   597,000    598,396 
EIG Investors Corp.          
5.00% due 11/09/19   397,000    397,000 
Evergreen Skill          
4.50% due 04/28/21   330,000    329,795 
Sophos          
5.00% due 01/29/21   299,250    300,187 

 

 
 

 

High Yield Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

 

    Face
Amount
    Value  
SENIOR FLOATING RATE INTERESTS†† - 25.1% (continued)                
Information Technology -  2.7% (continued)                
Telx Group                
7.50% due 04/09/21   $ 300,000     $ 300,000  
SumTotal Systems                
6.25% due 11/16/18     284,755       277,636  
Flexera Software LLC                
8.00% due 04/02/21     250,000       249,688  
P2 Energy Solutions                
5.00% due 10/30/20     199,000       199,663  
GlobalLogic Holdings, Inc.                
6.25% due 05/31/19     199,000       191,538  
LANDesk Group, Inc.                
5.00% due 02/25/20     178,652       178,695  
Active Network, Inc., The                
5.50% due 11/13/20     149,624       148,783  
Total Information Technology             4,071,258  
Financials -  1.7%                
Magic Newco, LLC                
12.00% due 06/12/19     500,000       571,665  
5.00% due 12/12/18     198,487       199,826  
Cunningham Lindsey U.S., Inc.                
9.25% due 06/10/206     623,636       623,250  
Intertrust Group                
8.00% due 04/15/22     500,000       501,665  
Lineage Logistics LLC                
4.50% due 04/07/21     448,875       445,881  
National Financial Partners                
5.25% due 07/01/20     247,501       248,615  
Total Financials             2,590,902  
Consumer Staples -  1.3%                
Reddy Ice Holdings, Inc.                
6.75% due 04/01/196     594,000       579,150  
AdvancePierre Foods, Inc.                
9.50% due 10/10/17     541,000       521,053  
CTI Foods Holding Co. LLC                
8.25% due 06/28/21     340,000       343,400  
Performance Food Group                
6.25% due 11/14/19     247,500       249,822  
Arctic Glacier Holdings, Inc.                
5.00% due 05/10/19     180,884       179,528  
Total Consumer Staples             1,872,953  
Utilities -  0.8%                
Astoria Generating Company Acquisitions LLC                
8.50% due 10/26/17     1,235,000       1,268,963  
Materials -  0.6%                
Atkore International, Inc.                
7.75% due 10/09/21     450,000       451,688  
Hoffmaster Group, Inc.                
5.25% due 05/09/20     400,000       399,668  
Total Materials             851,356  
Energy -  0.5%                
PSS Companies                
5.50% due 01/28/20     498,725       502,466  
FTS International                
5.75% due 04/16/21     283,636       287,006  
Total Energy             789,472  
Health Care -  0.4%                
Nextech Systems LLC                
6.00% due 10/28/18†††,6     292,500       286,650  
Catalent Pharma Solutions, Inc.                
6.50% due 12/31/17     250,000       251,875  
Total Health Care             538,525  
Total Senior Floating Rate Interests                
(Cost $37,291,944)           37,610,704  
ASSET BACKED SECURITIES†† - 0.5%                
ALM XIV Ltd.                
2014-14A, 3.68% due 07/28/262,3     800,000       762,320  
Total Asset Backed Securities                
(Cost $760,320)             762,320  
COLLATERALIZED MORTGAGE OBLIGATION†† - 0.3%                
SRERS-2011 Funding Ltd.                
2011-RS,0.40% due 05/09/462,3     533,082       500,618  
Total Collateralized Mortgage Obligation                
(Cost $493,115)             500,618  
Total Investments - 114.9%                
(Cost $167,823,284)         $ 172,228,985  
Other Assets & Liabilities, net - (14.9)%             (22,398,252 )
Total Net Assets - 100.0%         $ 149,830,733  

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS†† 
                        
Contracts to Sell   Currency   Counterparty  Settlement
Date
  Settlement
Value
   Value at
06/30/14
    Unrealized
Depreciation
 
 200,000    CAD   BNY Capital Markets  07/02/14  $184,196   $187,433   $(3,237)
 1,550,000    AUD   BNY Mellon  08/05/14   1,452,009    1,457,974    (5,965)
 3,050,000    EUR   BNY Capital Markets  07/02/14   4,159,387    4,176,080    (16,693)
 700,000    GBP   BNY Capital Markets  07/02/14   1,172,994    1,198,117    (25,124)
                          $(51,019)

 

* Non-income producing security.
Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
†† Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
††† Value determined based on Level 3 inputs — See Note 3.
1 Security or a portion thereof is held as collateral for reverse repurchase agreements.
2 Security is a 144A or Section 4(a)(2) security.  The total market value of 144A or Section 4(a)(2) securities is $73,998,637 (cost $72,005,749), or 49.4% of total net assets.
3 Variable rate security.  Rate indicated is rate effective at June 30, 2014.
4 Perpetual maturity.
5 Security is in default of interest and/or principal obligations.
6Illiquid security.
plc — Public Limited Company
REIT — Real Estate Investment Trust

 

 
 

Investment Grade Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

  

    Shares     Value  
COMMON STOCKS - 0.0%                
Consumer Discretionary - 0.0%                
Harry & David Holdings, Inc.*     7     $ 963  
Materials - 0.0%                
Constar International Holdings LLC*,†††     68        
Total Common Stocks                
(Cost $570)             963  
PREFERRED STOCKS - 4.1%                
Aspen Insurance Holdings Ltd.                
5.95% due 07/01/233     48,000       1,195,200  
Seaspan Corp.                
6.38% due 04/30/19*     22,000       562,100  
Woodbourne Capital Trust III                
0.01%*,†††,1,2,3     950,000       523,830  
Woodbourne Capital Trust IV                
0.01%*,†††,1,2,3     950,000       523,830  
Woodbourne Capital Trust II                
0.01%*,†††,1,2,3     950,000       523,830  
Woodbourne Capital Trust I                
0.01%*,†††,1,2,3     950,000       523,830  
Wells Fargo & Co.                
5.85%2,3     15,000       389,100  
Morgan Stanley                
7.13%2,3     10,000       278,700  
AgriBank FCB                
6.88%2,3     1,500       159,375  
City National Corp.            
6.75%2,3     4,000       111,120  
Constar International Holdings LLC*,†††,7     7        
Total Preferred Stocks                
(Cost $6,445,328)             4,790,915  
UNIT INVESTMENT TRUSTS - 0.1%                
Rescap Liquidating Trust     5,199     80,116  
Total Unit Investment Trusts                
(Cost $262,501)             80,116  
SHORT TERM INVESTMENTS - 0.8%                
Dreyfus Treasury Prime Cash Management Fund     955,632       955,632  
Total Short Term Investments                
(Cost $955,632)             955,632  
      Face
Amount
         
ASSET BACKED SECURITIES†† - 47.7%                
Willis Engine Securitization Trust II                
2012-A, 5.50% due 09/15/37†††,1   $ 2,549,049       2,591,874  
Northwoods Capital VIII Ltd.                
2007-8A, 2.23% due 07/28/221,2     1,950,000       1,886,625  
T2 Income Fund CLO Ltd.                
2007-1A, 1.73% due 07/15/191,2     1,600,000       1,556,000  
2007-1X, 1.73% due 07/15/192     250,000       243,125  
Castlelake Aircraft Securitization Trust                
2014-1, 5.25% due 02/15/29†††     1,203,750       1,208,324  
2014-1, 7.50% due 02/15/29†††     481,500       482,078  
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series                
2005-W3, 0.49% due 11/25/352     1,654,735       1,562,916  
Emerald Aviation Finance Ltd.                
2013-1, 4.65% due 10/15/381     1,197,917       1,212,891  
2013-1, 6.35% due 10/15/381     239,583       243,776  
Grayson CLO Ltd.                
2006-1A, 0.64% due 11/01/211,2     1,400,000       1,297,940  
Garanti Diversified Payment Rights Finance Co.                
2007-A, 0.41% due 07/09/17†††     1,352,000       1,287,915  
Copper River CLO Ltd.                
2007-1A, 0.00% due 01/20/211,2     700,000       793,520  
2007-1A, 0.63% due 01/20/211,2     500,000       478,200  
Telos CLO Ltd.                
2013-3A, 3.23% due 01/17/241,2     1,250,000       1,229,500  
Gramercy Real Estate CDO 2007-1 Ltd.                
2007-1A, 0.50% due 08/15/561,2     1,412,002       1,222,653  
GSAA Trust                
2005-10, 0.80% due 06/25/352     1,250,000       1,169,579  
CKE Restaurant Holdings, Inc.                
2013-1A, 4.47% due 03/20/431     1,128,438       1,159,035  
Telos CLO 2007-2 Ltd.                
2007-2A, 2.43% due 04/15/221,2     1,100,000       1,045,880  
Great Lakes CLO 2012-1 Ltd.                
2012-1A, 4.33% due 01/15/231,2     1,000,000       1,008,900  
KKR Financial CLO 2007-1 Ltd.                
2007-1A, 2.47% due 05/15/211,2     1,000,000       980,800  
Figueroa CLO 2013-1 Ltd.                
2013-1A, 2.98% due 03/21/241,2     1,000,000       980,700  
ALM VII R Ltd.                
2013-7RA, 2.84% due 04/24/241,2     1,000,000       978,900  
Genesis Funding Ltd.                
2006-1A, 0.40% due 12/19/321,2     1,016,180       975,533  
Rockwall CDO II Ltd.                
2007-1A, 0.78% due 08/01/241,2     1,100,000       970,200  
Venture XIV CLO Ltd.                
2013-14A, 2.98% due 08/28/251,2     1,000,000       966,300  

 

 
 

 

Investment Grade Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

  

   Face
Amount
   Value 
ASSET BACKED SECURITIES†† - 47.7% (continued)          
RAIT CRE CDO I Ltd.          
2006-1X, 0.48% due 11/20/46†††,2  $1,044,288   $923,150 
MCF CLO I LLC          
2013-1A, 3.78% due 04/20/231,2   900,000    889,830 
Turbine Engines Securitization Ltd.          
2013-1A, 5.13% due 12/13/48†††,1   879,614    881,197 
N-Star Real Estate CDO IX Ltd.          
0.44% due 02/01/417   926,332    879,738 
KKR Financial CLO 2007-A Corp.          
2007-AA, 4.73% due 10/15/171,2   850,000    853,315 
ICE EM CLO          
2007-1A, 0.93% due 08/15/221,2   850,000    801,125 
COA Summit CLO Limited          
2014-1A, 3.04% due 04/20/231,2   800,000    793,440 
Newstar Trust          
2012-2A, 3.49% due 01/20/231,2   750,000    751,650 
OZLM Funding Ltd.          
2012-2A, 3.47% due 10/30/231,2   750,000    750,000 
ARES XII CLO Ltd.          
2007-12A, 3.48% due 11/25/201,2   750,000    743,700 
Carlyle Global Market Strategies CLO 2014-2 Ltd.          
2014-2A, 2.35% due 05/15/251,2   750,000    742,575 
Tricadia CDO 2006-6 Ltd.          
2006-6A, 0.77% due 11/05/411,2   750,000    693,675 
Icon Brands Holdings LLC          
2013-1A, 4.35% due 01/25/43†††,1   658,668    663,147 
West Coast Funding Ltd.          
2006-1A, 0.38% due 11/02/411,2   680,475    658,564 
Babson CLO Limited 2014-I          
2014-IA, 0.00% due 07/12/25†††,1   650,000    617,500 
Ivy Hill Middle Market Credit Fund VII Ltd.          
2013-7A, 3.68% due 10/20/251,2   600,000    594,900 
Fortress Credit Opportunities III CLO, LP          
2014-3A, 3.48% due 04/28/261,2   300,000    298,590 
2014-3A, 2.73% due 04/28/261,2   300,000    294,000 
Black Diamond CLO 2012-1 Ltd.          
2013-1A, 3.48% due 02/01/231,2   550,000    550,000 
Structured Asset Securities Corporation Mortgage Loan Trust          
2006-OPT1, 0.41% due 04/25/362   600,000    535,736 
Spirit Master Funding LLC          
2014-3A, 5.74% due 03/20/221   357,305    394,929 
2014-2A, 5.76% due 03/20/221   122,582    135,529 
Cent CLO          
2012-16A, 3.73% due 08/01/241,2   500,000    500,850 
Apidos CDO IX          
2012-9A, 3.98% due 07/15/231,2   500,000    500,000 
KKR CLO Trust          
2012-1A, 3.53% due 12/15/241,2   500,000    496,300 
Acis CLO 2013-1 Ltd.          
2013-1A, 3.18% due 04/18/241,2   500,000    489,900 
Apidos CDO III Ltd.          
2006-3A, 1.98% due 06/12/201,2   500,000    483,550 
MCF CLO III LLC          
2014-3A, 3.21% due 01/20/241,2   500,000    476,350 
Triton Container Finance LLC          
2012-1A, 4.21% due 05/14/271   475,000    475,000 
Golub Capital Partners Fundings Ltd.          
2007-1A, 0.98% due 03/15/221,2   500,000    474,000 
FREMF Mortgage Trust          
2012-K501, 3.61% due 11/25/461,2   450,000    461,686 
Cerberus Offshore Levered I, LP          
2012-1A, 4.98% due 11/30/181,2   450,000    449,685 
N-Star REL CDO VIII Ltd.          
2006-8A, 0.51% due 02/01/411,2   500,000    446,900 
Eastland CLO Ltd.          
2007-1A, 0.63% due 05/01/221,2   450,000    418,860 
Lehman XS Trust          
2007-9, 0.27% due 06/25/372   465,487    411,278 
UCFC Manufactured Housing Contract          
1997-2, 7.38% due 10/15/28   348,782    381,225 
Westwood CDO I Ltd.          
2007-1A, 0.90% due 03/25/211,2   400,000    370,680 
Halcyon Loan Advisors Funding 2012-2 Ltd.          
2012-2A, 4.73% due 12/20/241,2   350,000    351,365 

 

 
 

 

Investment Grade Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

  

   Face
Amount
   Value 
ASSET BACKED SECURITIES†† - 47.7% (continued)          
Anchorage Capital CLO 4 Ltd.          
2014-4A, 2.44% due 07/28/26†††,1,2  $350,000   $349,545 
Newstar Commercial Loan Funding 2013-1 LLC          
2013-1A, 4.78% due 09/20/231,2   350,000    347,620 
Saxon Asset Securities Trust          
2005-4, 0.59% due 11/25/372   400,000    343,861 
Northwoods Capital VII Ltd.          
2006-7A, 1.78% due 10/22/211,2   350,000    336,525 
CIFC Funding 2012-II Ltd.          
2012-2A, 4.48% due 12/05/241,2   300,000    300,060 
DIVCORE CLO Ltd.          
2013-1A B, 4.05% due 11/15/32   300,000    300,000 
Salus CLO 2012-1 Ltd.          
2013-1AN, 3.98% due 03/05/211,2   300,000    299,310 
ALM VII R-2 Ltd.          
2013-7R2A, 2.83% due 04/24/241,2   300,000    294,450 
GreenPoint Mortgage Funding Trust          
2005-HE4, 0.86% due 07/25/302   300,000    278,830 
TICC CLO 2012-1 LLC          
2012-1A, 4.98% due 08/25/231,2   250,000    251,150 
Ivy Hill Middle Market Credit Fund Ltd.          
2011-3A, 6.23% due 01/15/221,2   250,000    251,050 
Dryden Senior Loan Fund          
2014-23RA, 3.18% due 07/17/231,2   250,000    250,000 
Drug Royalty II Limited Partnership 2          
2014-1, 3.08% due 07/15/231,2   250,000    250,000 
Great Lakes CLO 2014-1 Ltd.          
2014-1A, 3.92% due 04/15/25†††,1,2   250,000    249,975 
Golub Capital Partners CLO 17 Ltd.          
2013-17A, 4.06% due 10/25/251,2   250,000    249,075 
Acis CLO 2013-2 Ltd.          
3.44% due 10/14/221,2   250,000    248,850 
Gallatin CLO VII 2014-1 Ltd.          
2014-1A, 3.06% due 07/15/231,2   250,000    248,700 
Garrison Funding 2013-2 Ltd.          
2013-2A, 3.63% due 09/25/231,2   250,000    247,375 
ALM XIV Ltd.          
2014-14A, 3.18% due 07/28/261,2   250,000    246,500 
Cerberus Onshore II CLO LLC          
2014-1A, 2.93% due 10/15/231,2   250,000    245,800 
NewStar Arlington Senior Loan Program LLC          
2014-1A, 3.53% due 07/25/251,2   250,000    244,350 
Race Point IV CLO Ltd.          
2007-4A, 2.23% due 08/01/211,2   250,000    242,700 
Carlyle Global Market Strategies CLO 2012-3 Ltd.          
2012-3A, 0.00% due 10/04/241   250,000    235,175 
STORE Master Funding LLC          
2013-2A, 4.37% due 07/20/431   98,650    101,935 
2013-1A, 4.16% due 03/20/431   98,060    99,840 
GSAA Home Equity Trust          
2007-7, 0.42% due 07/25/372   215,081    185,079 
New Century Home Equity Loan Trust          
2005-1, 0.87% due 03/25/352   161,590    139,830 
Credit-Based Asset Servicing and Securitization LLC          
2005-CB5, 0.41% due 08/25/352   104,856    104,353 
First Franklin Mortgage Loan Trust          
2006-FF1, 0.49% due 01/25/362   50,000    43,651 
Newcastle CDO IX 1 Ltd.          
2007-9A, 0.41% due 05/25/521,2   36,072    36,072 
Total Asset Backed Securities     
(Cost $54,950,524)        56,188,744 
CORPORATE BONDS†† - 27.3%          
Financials -  17.4%          
JPMorgan Chase & Co.          
5.15% due 12/31/492,3   1,850,000    1,773,687 
5.00% due 12/29/492,3   150,000    149,444 
Prudential Financial, Inc.          
5.63% due 06/15/432,4   1,750,000    1,871,939 
Fifth Third Bancorp          
5.10% due 12/31/492,3   1,820,000    1,748,565 
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp.          
6.00% due 08/01/20   800,000    857,000 
4.88% due 03/15/19   450,000    463,500 
Susquehanna Bancshares, Inc.          
5.38% due 08/15/22   1,200,000    1,263,086 
Kaupthing Bank HF          
3.49% due 01/15/101,5   5,000,000    1,212,500 
EPR Properties          
5.25% due 07/15/234   1,000,000    1,040,261 
5.75% due 08/15/224   100,000    108,646 
PNC Financial Services Group, Inc.          
4.85% due 05/29/492,3   1,100,000    1,057,375 

 

 
 

 

Investment Grade Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

 

   Face
Amount
   Value 
CORPORATE BONDS†† - 27.3% (continued)          
Financials -  17.4% (continued)          
General Electric Capital Corp.          
5.25% due 06/29/492,3  $750,000   $758,438 
7.13% due 12/29/492,3   250,000    295,050 
AmTrust Financial Services, Inc.          
6.13% due 08/15/231   1,000,000    1,012,380 
Lancashire Holdings Ltd.          
5.70% due 10/01/221   900,000    1,002,078 
StanCorp Financial Group, Inc.          
5.00% due 08/15/22   600,000    640,096 
ACC Group Housing LLC          
6.35% due 07/15/541   300,000    304,620 
3.50% due 07/15/181   300,000    300,240 
Credit Suisse AG          
6.50% due 08/08/231,4   500,000    555,000 
Leucadia National Corp.          
5.50% due 10/18/23   500,000    531,112 
Customers Bank          
6.13% due 06/26/291,2   500,000    500,000 
Wilton Re Finance LLC          
5.88% due 03/30/331,2   475,000    495,188 
National Rural Utilities Cooperative Finance Corp.          
4.75% due 04/30/432   500,000    492,055 
Bank of New York Mellon Corp.          
4.50% due 12/31/492,3   440,000    409,200 
Pacific Northwest Communities LLC          
5.91% due 06/15/501   400,000    404,776 
Royal Bank of Scotland Group plc          
5.13% due 05/28/24   350,000    355,390 
CIC Receivables Master Trust          
4.89% due 10/07/21†††   300,000    303,480 
Cadence Bank North America          
6.25% due 06/28/292   200,000    201,840 
Assured Guaranty US Holdings, Inc.          
5.00% due 07/01/24   200,000    198,809 
Cadence Financial Corp.          
4.88% due 06/28/191   150,000    150,525 
TIG Holdings, Inc.          
8.60% due 01/15/271   34,000    30,430 
Total Financials        20,486,710 
Consumer Discretionary -  2.7%          
Hawaiian Airlines 2013-1 Class A Pass Through Certificates          
3.90% due 01/15/26   800,000    796,000 
Sabre GLBL, Inc.          
8.50% due 05/15/191   680,000    754,800 
Northern Group Housing LLC          
6.80% due 08/15/531   600,000    659,286 
Continental Airlines 2012-2 Class B Pass Through Trust          
5.50% due 10/29/20   380,441    397,560 
GRD Holdings III Corp.          
10.75% due 06/01/191   250,000    280,000 
QVC, Inc.          
7.38% due 10/15/201   200,000    214,686 
Continental Airlines 2012-1 Class B Pass Through Trust          
6.25% due 04/11/20   112,331    122,441 
Total Consumer Discretionary        3,224,773 
Materials -  2.7%          
Newcrest Finance Pty Ltd.          
4.20% due 10/01/221   1,200,000    1,118,300 
4.45% due 11/15/211   500,000    488,738 
AngloGold Ashanti Holdings plc          
5.13% due 08/01/224   1,250,000    1,219,223 
Yamana Gold, Inc.          
4.95% due 07/15/241   350,000    352,301 
Mosaic Global Holdings, Inc.          
7.38% due 08/01/18   18,000    20,586 
Constar International, Inc          
11.00% due 12/31/17†††,7   5,747     
Total Materials        3,199,148 
Energy -  2.4%          
Legacy Reserves Limited Partnership / Legacy Reserves Finance Corp.          
8.00% due 12/01/20   1,200,000    1,290,000 
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.          
7.88% due 04/15/22   600,000    649,500 
Eagle Rock Energy Partners Limited Partnership / Eagle Rock Energy Finance Corp.          
8.38% due 06/01/19   455,000    491,400 
Midstates Petroleum Company Incorporated / Midstates Petroleum Co LLC          
10.75% due 10/01/20   190,000    215,650 
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.          
7.75% due 04/01/19   150,000    160,875 
Williams Companies, Inc.          
8.75% due 03/15/32   12,000    15,645 
Total Energy        2,823,070 
Industrials -  1.3%          
Chicago Bridge & Iron Co.          
5.15% due 12/27/22†††,7   750,000    769,875 
SBM Baleia Azul Sarl          
5.50% due 09/15/27†††,7   466,100    468,337 
ADT Corp.          
6.25% due 10/15/21   150,000    159,000 

 

 
 

 

Investment Grade Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

 

    Face
Amount
    Value  
CORPORATE BONDS†† - 27.3% (continued)                
Industrials -  1.3% (continued)                
Prosight Global Inc.                
7.50% due 11/26/20†††,7   $ 100,000     $ 101,370  
Total Industrials             1,498,582  
Telecommunication Services -  0.6%                
Avaya, Inc.                
7.00% due 04/01/191     650,000       650,000  
Nortel Networks Ltd.                
6.88% due 09/01/235     31,000       15,190  
Total Telecommunication Services             665,190  
Information Technology -  0.2%                
First Data Corp.                
8.75% due 01/15/221     250,000       275,938  
Total Corporate Bonds                
(Cost $35,328,708)             32,173,411  
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 11.3%                
Commercial Mortgage Pass Through Certificates                
2014-KYO,2.50% due 06/11/271,2     1,750,000       1,750,000  
CSMC Series 2014-ICE                
2.40% due 04/15/271,2     1,150,000       1,154,369  
Hilton USA Trust                
2013-HLT,4.41% due 11/05/301     1,100,000       1,139,056  
Alternative Loan Trust                
2003-18CB,5.25% due 09/25/33     1,077,987       1,120,505  
Boca Hotel Portfolio Trust                
2013-BOCA,3.20% due 08/15/261,2     1,000,000       1,002,857  
MASTR Adjustable Rate Mortgages Trust                
2003-5,2.09% due 11/25/332     965,717       938,116  
BBCMS Trust                
2013-TYSN,3.71% due 09/05/321     900,000       862,419  
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust                
2006-AR9,0.96% due 11/25/462     789,569       544,582  
2006-8,5.76% due 10/25/36     471,834       356,416  
Luminent Mortgage Trust                
2006-2,0.35% due 02/25/462     705,705       532,431  
LSTAR Commercial Mortgage Trust                
2014-2,5.32% due 01/20/411,2     500,000       514,814  
Chase Mortgage Finance Trust Series                
2006-S3,6.00% due 11/25/36     570,945       508,129  
Motel 6 Trust                
2012-MTL6,3.78% due 10/05/251     500,000       507,673  
GMAC Commercial Mortgage Asset Corp.                
2003-PRES,6.24% due 10/10/41†††,1     484,925       448,604  
Sequoia Mortgage Trust                
2013-5,2.50% due 05/25/431,2     433,932       405,930  
Residential Asset Securitization Trust                
2006-A12,6.25% due 11/25/36     498,358       381,564  
SRERS-2011 Funding Ltd.                
2011-RS,0.40% due 05/09/461,2     355,388       333,745  
Nomura Resecuritization Trust                
2012-1R,0.59% due 08/27/471,2     347,060       320,232  
American Home Mortgage Assets Trust                
2007-1,0.82% due 02/25/472     310,536       198,665  
Credit Suisse Mortgage Capital Certificates                
2006-TF2A,0.55% due 10/15/211,2     200,000       194,115  
JP Morgan Mortgage Trust                
2006-A3,2.86% due 04/25/362     35,977       33,998  
Total Collateralized Mortgage Obligations                
(Cost $13,120,502)             13,248,220  
SENIOR FLOATING RATE INTERESTS†† - 7.5%                
Consumer Discretionary -  2.1%                
Landry's, Inc.                
4.00% due 04/24/18     754,168       755,820  
Compucom Systems, Inc.                
4.25% due 05/07/20     726,882       719,010  
Ollies Bargain Outlet                
4.75% due 09/28/19     388,929       388,929  
Arby's                
5.00% due 11/15/20     348,250       349,988  
1-800  Contacts, Inc.                
4.25% due 01/29/21     199,500       199,376  
NES Global Talent                
6.50% due 10/03/19     148,125       148,125  
Total Consumer Discretionary             2,561,248  
Industrials -  1.8%                
Rise Ltd.                
4.74% due 02/12/39†††     734,375       744,510  
Travelport Holdings Ltd.                
6.25% due 06/26/19     495,000       505,890  
AABS Ltd.                
4.87% due 01/15/38†††     458,856       464,592  
VAT Holding AG                
4.75% due 02/11/21     249,375       250,467  

 

 
 

 

Investment Grade Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2014
   

  

    Face
Amount
    Value  
SENIOR FLOATING RATE INTERESTS†† - 7.5% (continued)                
Industrials -  1.8% (continued)                
Emerald Expositions                
5.50% due 06/17/20   $ 95,039     $ 95,603  
Total Industrials             2,061,062  
Information Technology -  1.4%                
Avago Technologies Ltd.                
3.75% due 05/06/21     1,000,000       1,002,769  
P2 Energy Solutions                
5.00% due 10/30/20     348,250       349,410  
Greenway Medical Technologies                
6.00% due 11/04/207     348,250       347,815  
Total Information Technology             1,699,994  
Telecommunication Services -  0.9%                
MergerMarket Ltd.                
4.50% due 02/04/21     598,500       588,774  
Asurion Corp.                
5.00% due 05/24/19     460,009       462,599  
Total Telecommunication Services             1,051,373  
Financials -  0.6%                
Corporate Capital Trust                
4.00% due 05/20/19     349,125       348,689  
Magic Newco, LLC                
5.00% due 12/12/18     247,483       249,154  
American Stock Transfer & Trust                
5.75% due 06/26/20     97,147       96,984  
Total Financials             694,827  
Materials -  0.5%                
Fortescue Metals Group Ltd.                
3.75% due 06/30/19     598,995       599,223  
Consumer Staples -  0.1%                
Performance Food Group                
6.25% due 11/14/19     99,497       100,431  
Health Care -  0.1%                
Akorn, Inc.                
4.50% due 04/16/21     100,000       100,125  
Total Senior Floating Rate Interests                
(Cost $8,823,703)           8,868,283  
MUNICIPAL BONDS†† - 3.5%                
California -  2.4%                
Cypress School District                
 0.00% due 08/01/40     4,400,000       1,133,263  
Stockton Unified School District                
 0.00% due 08/01/40     1,895,000       524,081  
 0.00% due 08/01/36     875,000       304,413  
 0.00% due 08/01/35     565,000       207,897  
Inland Valley Development Agency                
5.50% due 03/01/33     500,000       515,450  
County of Sacramento California Revenue Bonds                
7.25% due 08/01/25     100,000       116,412  
Total California             2,801,516  
Michigan -  0.7%                
City of Detroit Michigan Water Supply System Revenue Revenue Bonds                
5.00% due 07/01/33     300,000       302,033  
5.00% due 07/01/23     250,000       251,128  
5.00% due 07/01/30     50,000       49,512  
Detroit City School District General Obligation Unlimited                
7.74% due 05/01/39     100,000       122,022  
City of Detroit Michigan Sewage Disposal System Revenue Revenue Bonds                
5.50% due 07/01/22     100,000       104,063  
Total Michigan             828,758  
Illinois -  0.2%                
City of Chicago Illinois General Obligation Unlimited                
5.00% due 01/01/27     150,000       159,386  
City of Chicago                
 0.00% due 01/01/30     150,000       72,147  
Total Illinois             231,533  
Alabama -  0.2%                
County of Jefferson Alabama Sewer Revenue Revenue Bonds                
0.00% due 10/01/34     350,000       108,560  
County of Jefferson Sewer Revenue                
0.00% due 10/01/32     300,000       108,333  
Total Alabama             216,893  
Total Municipal Bonds                
(Cost $4,117,748)           4,078,700  
MORTGAGE BACKED SECURITIES†† - 0.5%                
GreenPoint Mortgage Funding Trust Series                
2007-AR1,0.23% due 02/25/472     351,121       327,805  
HarborView Mortgage Loan Trust                
2006-12,0.35% due 01/19/382     286,937       247,360  
Ginnie Mae                
#518436, 7.25% due 09/15/29     9,538       10,070  
#1849, 8.50% due 08/20/24     1,098       1,152  
Fannie Mae6                
1990-108,7.00% due 09/25/20     8,356       9,242  
Total Mortgage Backed Securities                
(Cost $581,929)             595,629  
COMMERCIAL PAPER†† - 1.3%                
Kinder Morgan Energy Partners, LP                
0.22% due 07/02/141     500,000       499,997  

 

 
 

 

Investment Grade Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited)        June 30, 2014
   

 

    Face
Amount
    Value  
COMMERCIAL PAPER†† - 1.3% (continued)                
Pentair Finance S.A.                
0.26% due 07/02/141   $ 500,000     $ 499,997  
American Water Capital Corp.                
0.27% due 07/02/141     500,000       499,996  
Total Commercial Paper                
(Cost $1,499,990)             1,499,990  
    Contracts          
OPTIONS PURCHASED††, 7 - 0.1%                
Call options on:                
iShares 7-10 Year Treasury
Bond ETF Expiring September 2014
with strike price of $104.00
    2,251       146,315  
Total Options Purchased                
(Cost $139,562)             146,315  
Total Investments - 104.2%                
(Cost $126,226,697)           $ 122,626,918  
OPTIONS WRITTEN††, 7 - 0.0%                
Call options on:                
iShares 7-10 Year Treasury
Bond ETF Expiring September 2014
with strike price of $106.00
    2,251       (45,020 )
Total Options Written                
(Premiums received $31,514)             (45,020 )
Other Assets & Liabilities, net - (4.2)%             (4,965,382 )
Total Net Assets - 100.0%           $ 117,616,516  

  

CENTRALLY CLEARED INTEREST RATE SWAP AGREEMENTS††
Counterparty  

Fl