Schedule of Portfolio Investments | Limited Duration Fund |
November 30, 2021 (Unaudited) |
Shares
or Principal Amount | Security Description | Value | ||||||
Asset Backed Securities (28.3%) | ||||||||
$ | 2,149,807 | AccessLex Institute, Series 2007-A, Class A3, 0.48% (US0003M + 30 bps), 5/25/36, Callable 5/25/23 @ 100* | $ | 2,112,622 | ||||
476,780 | Asset Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE1, Class A4, 0.69% (US0001M + 30 bps), 1/25/36, Callable 12/25/21 @ 100* | 476,757 | ||||||
486,974 | Bayview Financial Mortgage Pass-Through Trust, Series 2005-C, Class M3, 1.06% (US0001M + 65 bps), 6/28/44, Callable 12/28/21 @ 100* | 487,156 | ||||||
880,124 | CDC Mortgage Capital Trust, Series 2002-HE1, Class A, 0.71% (US0001M + 62 bps), 1/25/33, Callable 12/25/21 @ 100* | 875,389 | ||||||
1,326,592 | CIT Mortgage Loan Trust, Series 2007-1, Class 1A, 1.44% (US0001M + 135 bps), 10/25/37, Callable 7/25/24 @ 100*(a) | 1,335,922 | ||||||
104 | Citigroup Mortgage Loan Trust, Inc., Series 2005- WF1, Class A5, 5.01%, 11/25/34, Callable 12/25/21 @ 100*(b) | 104 | ||||||
733,695 | CLI Funding VIII LLC, Series 2021-1A, Class B, 2.38%, 2/18/46, Callable 3/18/23 @ 100*(a) | 721,920 | ||||||
228 | Countrywide Asset-Backed Certificates, Series 2002-S1, Class A5, 6.46%, 5/25/32, Callable 12/25/21 @ 100*(b)(c) | 227 | ||||||
809,714 | Countrywide Asset-Backed Certificates, Series 2005-12, Class M2, 0.83% (US0001M + 49 bps), 2/25/36, Callable 12/25/21 @ 100* | 809,394 | ||||||
1,361,367 | Driven Brands Funding LLC, Series 2019-2A, Class A2, 3.98%, 10/20/49, Callable 10/20/24 @ 100*(a) | 1,425,457 | ||||||
806,000 | Flexential Issuer, Series 2021-1A, Class A2, 3.25%, 11/27/51, Callable 11/25/25 @ 100*(a) | 800,185 | ||||||
457,984 | Fremont Home Loan Trust, Series 2004-3, Class 10A1, 1.96% (US0001M + 188 bps), 11/25/34, Callable 12/25/21 @ 100* | 426,491 | ||||||
1,661,574 | Goodgreen Trust, Series 2021-1A, Class A, 2.63%, 4/15/55, Callable 10/15/32 @ 100*(a) | 1,665,344 | ||||||
197,223 | Home Equity Asset Trust, Series 2005-7, Class M1, 0.77% (US0001M + 45 bps), 1/25/36, Callable 12/25/21 @ 100* | 197,155 | ||||||
962,989 | Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-C, Class 2A3, 0.95% (US0001M + 86 bps), 3/25/35, Callable 12/25/21 @ 100* | 962,501 | ||||||
54 | IMC Home Equity Loan Trust, Series 1998-1, Class A6, 7.02%, 6/20/29(b)(c) | 54 | ||||||
790,308 | Lendingpoint Asset Securitization Trust, Series 2021-A, Class A, 1.00%, 12/15/28, Callable 5/15/24 @ 100*(a) | 789,054 | ||||||
176,097 | Merrill Lynch Mortgage Investors Trust, Series 2005-AR1, Class M1, 0.84% (US0001M + 75 bps), 6/25/36, Callable 12/25/21 @ 100* | 176,082 | ||||||
43,153 | New Century Home Equity Loan Trust, Series 2005-A, Class A4W, 4.71%, 8/25/35, Callable 12/25/21 @ 100*(b)(c) | 43,113 | ||||||
1,734,291 | NovaStar Mortgage Funding Trust, Series 2003-2, Class M2, 2.87% (US0001M + 278 bps), 9/25/33, Callable 12/25/21 @ 100* | 1,777,142 | ||||||
692,099 | RAAC Trust, Series 2007-SP1, Class M1, 0.95% (US0001M + 86 bps), 3/25/37, Callable 12/25/21 @ 100* | 695,058 |
Shares
or Principal Amount | Security Description | Value | ||||||
Asset Backed Securities, continued: | ||||||||
$ | 104,604 | Residential Asset Mortgage Products, Inc., Series 2002-RS2, Class AI5, 6.03%, 3/25/32, Callable 12/25/21 @ 100* | $ | 105,796 | ||||
2,508 | Saxon Asset Securities Trust, Series 2003-3, Class AF6, 4.32%, 12/25/33, Callable 12/25/21 @ 100*(b)(c) | 2,510 | ||||||
1,547,417 | Sonic Capital LLC, Series 2021-1A, Class A2I, 2.19%, 8/20/51, Callable 8/20/25 @ 100*(a) | 1,514,326 | ||||||
63,840 | Soundview Home Equity Loan Trust, Series 2005-B, Class M2, 6.23%, 5/25/35, Callable 12/25/21 @ 100*(b)(c) | 62,472 | ||||||
982,782 | Structured Asset Investment Loan Trust, Series 2003-BC2, Class A1, 0.77% (US0001M + 68 bps), 4/25/33, Callable 12/25/21 @ 100* | 981,413 | ||||||
1,213,305 | Structured Asset Investment Loan Trust, Series 2005-HE3, Class M1, 0.81% (US0001M + 72 bps), 9/25/35, Callable 12/25/21 @ 100* | 1,211,021 | ||||||
343,216 | Structured Asset Securities Corp Mortgage Pass- Through Certificates, Series 2004-6XS, Class A5A, 6.03%, 3/25/34, Callable 12/25/21 @ 100*(b)(c) | 346,709 | ||||||
1,337,000 | Taco Bell Funding LLC, Series 2016-1A, Class A23, 4.97%, 5/25/46, Callable 5/25/23 @ 100*(a) | 1,406,357 | ||||||
622,832 | Textainer Marine Containers VII, Ltd., Series 2020-1A, Class A, 2.73%, 8/21/45, Callable 8/20/22 @ 100*(a) | 626,930 | ||||||
862,563 | Wendy's Funding LLC, Series 2019-1A, Class A2I, 3.78%, 6/15/49, Callable 3/15/24 @ 100*(a) | 896,911 | ||||||
653,363 | ZAXBY'S Funding LLC, Series 2021-1A, Class A2, 3.24%, 7/30/51, Callable 7/30/25 @ 100*(a) | 667,300 | ||||||
Total Asset Backed Securities (Cost $23,694,904) | 23,598,872 | |||||||
Mortgage Backed Securities† (34.5%) | ||||||||
Alt-A - Adjustable Rate Mortgage Backed Securities (0.7%) | ||||||||
86,754 | Bear Stearns Alternative Trust, Series 2006- 1, Class 21A2, 2.96%, 2/25/36, Callable 12/25/21 @ 100*(b) | 72,171 | ||||||
9,662 | Bear Stearns Alternative Trust, Series 2005- 5, Class 26A1, 4.06%, 7/25/35, Callable 12/25/21 @ 100*(b) | 8,072 | ||||||
13,601 | Countrywide Alternative Loan Trust, Series 2005- 24, Class 1A1, 1.39% (12MTA + 131 bps), 7/20/35, Callable 12/19/21 @ 100* | 11,669 | ||||||
1,170 | Deutsche Mortgage Securities, Inc., Series 2006- ABR, Class A1B1, 0.19% (US0001M + 10 bps), 10/25/36, Callable 12/25/21 @ 100* | 958 | ||||||
2,443 | Deutsche Mortgage Securities, Inc., Series 2003- 4XS, Class A6A, 5.32%, 10/25/33, Callable 12/25/21 @ 100*(b)(c) | 2,447 | ||||||
3,990 | Deutsche Mortgage Securities, Inc., Series 2006- AB4, Class A1A, 6.01%, 10/25/36, Callable 12/25/21 @ 100*(b) | 4,038 | ||||||
4,190 | First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1, 2.28%, 9/25/34, Callable 12/25/21 @ 100*(b) | 4,164 | ||||||
18,154 | Master Adjustable Rate Mortgage Trust, Series 2004-13, Class 2A1, 2.62%, 4/21/34, Callable 12/21/21 @ 100*(b) | 18,206 |
See notes to the schedule of portfolio investments.
- 1 -
Schedule of Portfolio Investments | Limited Duration Fund |
November 30, 2021 (Unaudited) | Continued |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
Alt-A - Adjustable Rate Mortgage Backed Securities, continued: | ||||||||
$ | 377,126 | Nomura Asset Acceptance Corp., Series 2005- AR4, Class 3A1, 2.95%, 8/25/35, Callable 12/25/21 @ 100*(b) | $ | 409,051 | ||||
30,066 | Residential Accredit Loans, Inc., Series 2004- QA4, Class NB21, 3.01%, 9/25/34, Callable 12/25/21 @ 100*(b) | 31,001 | ||||||
16,333 | Residential Accredit Loans, Inc., Series 2006- QA1, Class A21, 4.31%, 1/25/36, Callable 12/25/21 @ 100*(b) | 14,513 | ||||||
576,290 | ||||||||
Alt-A - Fixed Rate Mortgage Backed Securities (0.8%) | ||||||||
10,584 | Chaseflex Trust, Series 2005-1, Class 2A4, 5.50%, 2/25/35, Callable 12/25/21 @ 100* | 9,084 | ||||||
16,805 | Citigroup Mortgage Alternative Loan Trust, Series 2006-A3, Class 1A5, 6.00%, 7/25/36, Callable 12/25/21 @ 100* | 16,688 | ||||||
375 | Countrywide Alternative Loan Trust, Series 2004- 12CB, Class 1A1, 5.00%, 7/25/19, Callable 12/25/21 @ 100* | 379 | ||||||
13,434 | Countrywide Alternative Loan Trust, Series 2005- J13, Class 2A3, 5.50%, 11/25/35, Callable 12/25/21 @ 100* | 11,641 | ||||||
17,152 | Countrywide Alternative Loan Trust, Series 2006- 2CB, Class A3, 5.50%, 3/25/36, Callable 12/25/21 @ 100* | 10,572 | ||||||
17,930 | Countrywide Alternative Loan Trust, Series 2006- 31CB, Class A16, 6.00%, 11/25/36, Callable 12/25/21 @ 100* | 14,034 | ||||||
17,517 | Countrywide Alternative Loan Trust, Series 2006- 43CB, Class 1A4, 6.00%, 2/25/37, Callable 12/25/21 @ 100* | 13,013 | ||||||
127,195 | Countrywide Alternative Loan Trust, Series 2006-J8, Class A2, 6.00%, 2/25/37, Callable 2/25/22 @ 100* | 79,328 | ||||||
60,724 | Countrywide Alternative Loan Trust, Series 2004-J8, Class 2A1, 7.00%, 8/25/34, Callable 12/25/21 @ 100* | 59,156 | ||||||
40,062 | First Horizon Alternative Mortgage Securities, Series 2006-FA3, Class A6, 6.00%, 7/25/36, Callable 12/25/21 @ 100* | 26,018 | ||||||
132 | Master Alternative Loans Trust, Series 2004-3, Class 1A1, 5.00%, 3/25/19, Callable 12/25/21 @ 100* | 131 | ||||||
723 | Master Alternative Loans Trust, Series 2005-1, Class 5A1, 5.50%, 1/25/20, Callable 5/25/24 @ 100* | 720 | ||||||
3,467 | Master Alternative Loans Trust, Series 2004-3, Class 3A1, 6.00%, 4/25/34, Callable 12/25/21 @ 100* | 3,576 | ||||||
292,722 | Master Alternative Loans Trust, Series 2004-3, Class 5A1, 6.50%, 3/25/34, Callable 12/25/21 @ 100* | 302,662 | ||||||
19,495 | Master Alternative Loans Trust, Series 2004-1, Class 3A1, 7.00%, 1/25/34, Callable 12/25/21 @ 100* | 20,660 | ||||||
3,014 | Master Alternative Loans Trust, Series 2004-3, Class 8A1, 7.00%, 4/25/34, Callable 12/25/21 @ 100* | 3,126 | ||||||
1,522 | Residential Accredit Loans, Inc., Series 2003- QS14, Class A1, 5.00%, 7/25/18, Callable 12/25/21 @ 100* | 1,370 |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
Alt-A - Fixed Rate Mortgage Backed Securities, continued: | ||||||||
$ | 101 | Residential Accredit Loans, Inc., Series 2004- QS13, Class CB, 5.00%, 9/25/19, Callable 12/25/21 @ 100* | $ | 106 | ||||
5,578 | Residential Accredit Loans, Inc., Series 2004- QS6, Class A1, 5.00%, 5/25/19, Callable 12/25/21 @ 100* | 5,240 | ||||||
25,366 | Residential Accredit Loans, Inc., Series 2006- QS6, Class 1A2, 6.00%, 6/25/36, Callable 12/25/21 @ 100* | 25,128 | ||||||
41,270 | Residential Asset Securitization Trust, Series 2006-A9CB, Class A5, 6.00%, 9/25/36, Callable 7/25/22 @ 100* | 20,375 | ||||||
26,364 | Residential Asset Securitization Trust, Series 2007-A5, Class 2A3, 6.00%, 5/25/37, Callable 12/25/21 @ 100* | 20,906 | ||||||
12,042 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-1, Class 2A3, 5.50%, 2/25/35, Callable 12/25/21 @ 100* | 11,790 | ||||||
655,703 | ||||||||
Prime Adjustable Rate Mortgage Backed Securities (4.3%) | ||||||||
940 | Adjustable Rate Mortgage Trust, Series 2005-1, Class 2A22, 2.72%, 5/25/35(b) | 944 | ||||||
331,571 | American Home Mortgage Investment Trust, Series 2006-2, Class 3A2, 6.70%, 6/25/36, Callable 12/25/21 @ 100*(b)(c) | 77,127 | ||||||
863,966 | Banc of America Funding Corp., Series 2015-R3, Class 4A1, 0.24% (US0001M + 15 bps), 3/27/37(a) | 846,954 | ||||||
4,238 | Bank of America Mortgage Securities, Series 2004-E, Class 1A1, 2.25%, 6/25/34, Callable 12/25/21 @ 100*(b) | 4,287 | ||||||
5,669 | Bank of America Mortgage Securities, Series 2003-H, Class 2A3, 2.36%, 9/25/33, Callable 12/25/21 @ 100*(b) | 5,688 | ||||||
6,053 | Bank of America Mortgage Securities, Series 2006-A, Class 2A1, 2.67%, 2/25/36, Callable 12/25/21 @ 100*(b) | 5,981 | ||||||
3,357 | Bank of America Mortgage Securities, Series 2006-B, Class 2A1, 2.84%, 11/20/46, Callable 12/20/21 @ 100*(b) | 3,212 | ||||||
5,171 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-6, Class 1A1, 2.11%, 9/25/34, Callable 12/25/21 @ 100*(b) | 4,930 | ||||||
3,595 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 15A1, 2.32%, 1/25/35, Callable 12/25/21 @ 100*(b) | 3,542 | ||||||
4,369 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-9, Class A1, 2.38% (H15T1Y + 230 bps), 10/25/35, Callable 12/25/21 @ 100* | 4,457 | ||||||
14,313 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4, Class 1A1, 2.81%, 10/25/36, Callable 12/25/21 @ 100*(b) | 14,101 | ||||||
9,161 | Bear Stearns Mortgage Securities, Inc., Series 1997-6, Class 1A, 6.33%, 3/25/31, Callable 12/25/21 @ 100*(b) | 9,171 | ||||||
9,948 | Chase Mortgage Finance Corp., Series 2007- A2, Class 10A1, 3.04%, 7/25/37, Callable 12/25/21 @ 100*(b) | 9,161 | ||||||
6,253 | Citigroup Mortgage Loan Trust, Inc., Series 2005- 3, Class 2A2A, 2.77%, 8/25/35(b) | 6,473 |
See notes to the schedule of portfolio investments.
- 2 -
Schedule of Portfolio Investments | Limited Duration Fund |
November 30, 2021 (Unaudited) | Continued |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
Prime Adjustable Rate Mortgage Backed Securities, continued: | ||||||||
$ | 21,518 | Coast Savings & Loan Association, Series 1992- 1, Class A, 2.60%, 7/25/22, Callable 12/25/21 @ 100*(b) | $ | 21,563 | ||||
3,406 | Countrywide Home Loans, Series 2003-60, Class 2A1, 2.24%, 2/25/34, Callable 12/25/21 @ 100*(b) | 3,304 | ||||||
8,040 | Countrywide Home Loans, Series 2003-58, Class 2A2, 2.48%, 2/19/34, Callable 12/19/21 @ 100*(b) | 8,325 | ||||||
835 | Countrywide Home Loans, Series 2004-12, Class 10A1, 2.76%, 8/25/34, Callable 12/25/21 @ 100*(b) | 838 | ||||||
237 | Countrywide Home Loans, Series 2003-42, Class 1A1, 3.99%, 9/25/33, Callable 12/25/21 @ 100*(b) | 241 | ||||||
30,151 | Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR28, Class CB3, 2.47%, 11/25/32, Callable 12/25/21 @ 100*(b) | 16,225 | ||||||
26,967 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR7, Class 2A1, 2.93%, 11/25/34, Callable 12/25/21 @ 100*(b) | 28,749 | ||||||
7,268 | First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 2A1, 2.81%, 10/25/35, Callable 12/25/21 @ 100*(b) | 7,304 | ||||||
40,883 | GMAC Mortgage Corp. Loan Trust, Series 2005- AR6, Class 3A1, 2.92%, 11/19/35, Callable 12/19/21 @ 100*(b) | 41,097 | ||||||
7,411 | GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1, 2.81%, 11/25/35, Callable 12/25/21 @ 100*(b) | 7,532 | ||||||
24,521 | GSR Mortgage Loan Trust, Series 2005-AR2, Class 1A2, 2.91%, 4/25/35, Callable 12/25/21 @ 100*(b) | 24,562 | ||||||
6,104 | Harborview Mortgage Loan Trust, Series 2005- 14, Class 3A1A, 2.45%, 12/19/35, Callable 12/19/21 @ 100*(b) | 5,891 | ||||||
63,137 | Harborview Mortgage Loan Trust, Series 2004- 10, Class 3A1B, 2.94%, 1/19/35, Callable 12/19/21 @ 100*(b) | 62,587 | ||||||
11,320 | Indymac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, 2.68%, 8/25/34, Callable 12/25/21 @ 100*(b) | 11,266 | ||||||
21,842 | Indymac Index Mortgage Loan Trust, Series 2006- AR13, Class A1, 2.88%, 7/25/36, Callable 12/25/21 @ 100*(b) | 18,943 | ||||||
22,082 | Indymac Index Mortgage Loan Trust, Series 2004-AR4, Class 3A, 2.94%, 8/25/34, Callable 12/25/21 @ 100*(b) | 22,643 | ||||||
33,781 | Indymac Index Mortgage Loan Trust, Series 2006- AR19, Class 1A2, 3.01%, 8/25/36, Callable 12/25/21 @ 100*(b) | 31,100 | ||||||
1,666 | JPMorgan Mortgage Trust, Series 2006-A5, Class 3A4, 2.80%, 8/25/36, Callable 12/25/21 @ 100*(b) | 1,496 | ||||||
275 | JPMorgan Mortgage Trust, Series 2005-A4, Class 3A1, 2.83%, 7/25/35, Callable 12/25/21 @ 100*(b) | 275 | ||||||
557,198 | LSTAR Securities Investment, Ltd., Series 2021-1, Class A, 1.89% (US0001M + 180 bps), 2/1/26, Callable 2/1/23 @ 100*(a) | 556,791 |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
Prime Adjustable Rate Mortgage Backed Securities, continued: | ||||||||
$ | 600,000 | Mello Warehouse Securitization Trust, Series 2021-2, Class C, 1.19% (US0001M + 110 bps), 4/25/55, Callable 4/25/24 @ 100*(a) | $ | 598,141 | ||||
1,000,000 | Mello Warehouse Securitization Trust, Series 2020-2, Class E, 2.34% (US0001M + 225 bps), 11/25/53, Callable 12/25/23 @ 100*(a) | 996,336 | ||||||
8,156 | Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A2, 2.04%, 12/25/34, Callable 12/25/21 @ 100*(b) | 8,301 | ||||||
873 | Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A2, 2.24%, 2/25/34, Callable 8/25/26 @ 100*(b) | 899 | ||||||
8,205 | Merrill Lynch Mortgage Investors Trust, Series 2004-A2, Class 1A, 2.59%, 7/25/34, Callable 7/25/25 @ 100*(b) | 8,415 | ||||||
11,155 | Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 2A2, 2.53%, 8/25/34, Callable 1/25/23 @ 100*(b) | 11,421 | ||||||
4,393 | Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 3A, 2.60%, 8/25/34, Callable 8/25/22 @ 100*(b) | 4,515 | ||||||
2,445 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 3A1, 2.39%, 2/25/34, Callable 12/25/21 @ 100*(b) | 2,394 | ||||||
22,116 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18, Class 1A2, 2.59%, 12/25/34, Callable 12/25/21 @ 100*(b) | 21,675 | ||||||
7,464 | Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 1A1, 2.63%, 12/27/35, Callable 12/25/21 @ 100*(b) | 7,770 | ||||||
12,581 | Structured Asset Securities Corp., Series 2003- 24A, Class 1A3, 2.48%, 7/25/33, Callable 12/25/21 @ 100*(b) | 13,117 | ||||||
5,449 | Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR10, Class A1B, 0.93% (US0001M + 84 bps), 7/25/44, Callable 12/25/21 @ 100*. | 5,455 | ||||||
47,385 | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR14, Class 1A1, 2.56%, 11/25/36, Callable 12/25/21 @ 100*(b) | 47,216 | ||||||
3,887 | Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR3, Class A2, 2.59%, 6/25/34, Callable 12/25/21 @ 100*(b) | 3,993 | ||||||
7,944 | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR10, Class 1A2, 2.84%, 9/25/36, Callable 12/25/21 @ 100*(b) | 7,923 | ||||||
1,302 | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR8, Class 1A1, 2.85%, 8/25/46, Callable 12/25/21 @ 100*(b) | 1,297 | ||||||
3,605,628 | ||||||||
Prime Fixed Mortgage Backed Securities (12.0%) | ||||||||
695,302 | Angel Oak Mortgage Trust, Series 2021-5, Class A1, 0.95%, 7/25/66, Callable 9/25/23 @ 100*(a)(b) | 688,295 | ||||||
1,231,373 | Angel Oak Mortgage Trust, Series 2019-6, Class A1, 2.62%, 11/25/59, Callable 12/25/21 @ 100*(a)(b) | 1,231,131 | ||||||
2,224,825 | Brean Asset Backed Securities Trust, Series RM1, Class A, 1.40%, 10/25/63, Callable 9/25/27 @ 100*(a)(b) | 2,119,569 |
See notes to the schedule of portfolio investments.
- 3 -
Schedule of Portfolio Investments | Limited Duration Fund |
November 30, 2021 (Unaudited) | Continued |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
Prime Fixed Mortgage Backed Securities, continued: | ||||||||
$ | 13,777 | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class WA2, 6.50%, 6/25/31, Callable 12/25/21 @ 100* | $ | 14,174 | ||||
70,935 | Citigroup Mortgage Loan Trust, Inc., Series 2004- NCM2, Class 1CB2, 6.75%, 8/25/34, Callable 12/25/21 @ 100* | 75,100 | ||||||
12,401 | Citigroup Mortgage Loan Trust, Inc., Series 2004- NCM2, Class 2CB3, 8.00%, 8/25/34, Callable 12/25/21 @ 100* | 12,924 | ||||||
3,550 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-7, Class 5A1, 5.00%, 10/25/19, Callable 12/25/21 @ 100* | 3,541 | ||||||
75,221 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-23, Class 1A11, 6.00%, 10/25/33 | 78,623 | ||||||
12,196 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1, 6.50%, 4/25/33, Callable 12/25/21 @ 100* | 12,654 | ||||||
18,987 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-1, Class 1A1, 7.00%, 2/25/33, Callable 12/25/21 @ 100* | 20,570 | ||||||
41,831 | Credit Suisse First Boston Mortgage Securities Corp., Series 2002-10, Class 2B1, 7.50%, 5/25/32, Callable 12/25/21 @ 100* | 17,893 | ||||||
216,330 | Credit Suisse First Boston Mortgage Securities Corp., Series 2002-34, Class 1A1, 7.50%, 12/25/32, Callable 12/25/21 @ 100* | 229,268 | ||||||
847,876 | GS Mortgage-Backed Securities Corp. Trust, Series 2019-PJ2, Class A8, 4.00%, 11/25/49, Callable 5/25/22 @ 100*(a)(b) | 849,657 | ||||||
18,218 | GSR Mortgage Loan Trust, Series 2003-3F, Class 2A1, 4.50%, 4/25/33, Callable 12/25/21 @ 100* | 18,038 | ||||||
21,220 | GSR Mortgage Loan Trust, Series 2005-8F, Class 3A4, 6.00%, 11/25/35, Callable 2/25/25 @ 100* | 12,287 | ||||||
749,388 | JPMorgan Mortgage Trust, Series 2020-4, Class A3A, 2.50%, 11/25/50, Callable 8/25/23 @ 100*(a)(b) | 748,334 | ||||||
547,881 | JPMorgan Mortgage Trust, Series 2017-2, Class A4, 3.00%, 5/25/47, Callable 3/25/23 @ 100*(a)(b) | 552,696 | ||||||
10,383 | Lehman Mortgage Trust, Series 2005-3, Class 1A3, 5.50%, 1/25/36, Callable 12/25/21 @ 100* | 7,705 | ||||||
1,550,000 | NewRez Warehouse Securitization Trust, Series 2021-1, Class D, 1.49% (US0001M + 140 bps), 5/25/55, Callable 5/25/24 @ 100*(a). | 1,546,947 | ||||||
5,329 | Residential Funding Mortgage Securities I, Series 2005-S7, Class A1, 5.50%, 11/25/35, Callable 12/25/21 @ 100* | 5,171 | ||||||
13,197 | Residential Funding Mortgage Securities I, Series 2003-S9, Class A1, 6.50%, 3/25/32, Callable 12/25/21 @ 100* | 13,913 | ||||||
811,724 | Starwood Mortgage Residential Trust, Series 2018-IMC2, Class A1, 4.12%, 10/25/48, Callable 12/25/21 @ 100*(a)(b) | 816,552 | ||||||
71,829 | Structured Asset Mortgage Investments, Inc., Series 1999-2, Class 3A, 6.75%, 5/25/29, Callable 12/25/21 @ 100* | 75,324 |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
Prime Fixed Mortgage Backed Securities, continued: | ||||||||
$ | 854,409 | Verus Securitization Trust, Series 2020-1, Class A1, 2.42%, 1/25/60, Callable 11/25/22 @ 100*(a)(b) | $ | 858,396 | ||||
10,008,762 | ||||||||
Subprime Mortgage Backed Securities (1.7%) | ||||||||
300,275 | Towd Point Mortgage Trust, Series 2017-1, Class A1, 2.75%, 10/25/56, Callable 5/25/26 @ 100*(a)(b) | 303,228 | ||||||
585,916 | Towd Point Mortgage Trust, Series 2017-2, Class A1, 2.75%, 4/25/57, Callable 1/25/24 @ 100*(a)(b) | 591,835 | ||||||
529,169 | Towd Point Mortgage Trust, Series 2017-6, Class A1, 2.75%, 10/25/57, Callable 7/25/25 @ 100*(a)(b) | 537,738 | ||||||
1,432,801 | ||||||||
U.S. Government Agency Mortgage Backed Securities (15.0%) | ||||||||
216,279 | Fannie Mae, Series 2013-68, Class 10A1, 1.00%, 3/25/42 | 210,135 | ||||||
13,195 | Fannie Mae, 1.70% (US0012M + 132 bps), 1/1/35, Pool #805386 | 13,629 | ||||||
824 | Fannie Mae, 1.99% (H15T1Y + 192 bps), 12/1/22, Pool #303247 | 825 | ||||||
86,643 | Fannie Mae, Series 2012-31, Class PA, 2.00%, 4/25/41 | 87,801 | ||||||
122,777 | Fannie Mae, Series 2012-51, Class EB, 2.00%, 1/25/40 | 123,563 | ||||||
124,858 | Fannie Mae, Series 2012-96, Class PD, 2.00%, 7/25/41 | 125,832 | ||||||
173,724 | Fannie Mae, Series 2013-18, Class 10A1, 2.00%, 12/25/42 | 175,899 | ||||||
115,644 | Fannie Mae, Series 2013-73, Class 10A1, 2.25%, 6/25/42 | 117,996 | ||||||
125,181 | Fannie Mae, Series 2013-74, Class 10A1, 2.25%, 6/25/42(b) | 128,826 | ||||||
1,311 | Fannie Mae, 2.27% (H15T1Y + 216 bps), 6/1/32, Pool #725286 | 1,311 | ||||||
25,173 | Fannie Mae, 2.29% (H15T1Y + 229 bps), 2/1/30, Pool #556998 | 25,060 | ||||||
82,581 | Fannie Mae, Series 2011-118, Class 10A1, 3.00%, 11/25/41 | 86,909 | ||||||
201,067 | Fannie Mae, Series 2014-1, Class AB, 3.00%, 6/25/43 | 206,811 | ||||||
729,461 | Fannie Mae, Series 2018-83, Class LC, 3.00%, 11/25/48 | 756,607 | ||||||
1,672,214 | Fannie Mae, Series 2003-W12, Class 3A, 3.70%, 3/25/43, Callable 12/25/21 @ 100*(b) | 1,783,807 | ||||||
699,742 | Fannie Mae, Series 2003-W14, Class 2A, 3.78%, 1/25/43, Callable 12/25/21 @ 100*(b) | 730,327 | ||||||
512,141 | Fannie Mae, Series 2003-W16, Class AF5, 4.40%, 11/25/33, Callable 12/25/21 @ 100*(b)(c) | 568,096 | ||||||
5,196 | Fannie Mae, Series 2001-W4, Class AF6, 5.11%, 1/25/32, Callable 12/25/21 @ 100*(b)(c) | 5,545 | ||||||
2,222,380 | Fannie Mae, Series 2004-W3, Class A7, 5.50%, 5/25/34, Callable 12/25/21 @ 100* | 2,475,051 | ||||||
63 | Fannie Mae, Series 1992-129, Class L, 6.00%, 7/25/22 | 63 | ||||||
7,138 | Fannie Mae, Series 2001-W2, Class AF6, 6.09%, 10/25/31, Callable 12/25/21 @ 100*(b)(c) | 7,592 | ||||||
7,763 | Fannie Mae, Series 2001-W1, Class AF6, 6.40%, 7/25/31, Callable 12/25/21 @ 100*(b)(c) | 9,518 |
See notes to the schedule of portfolio investments.
- 4 -
Schedule of Portfolio Investments | Limited Duration Fund |
November 30, 2021 (Unaudited) | Continued |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
U.S. Government Agency Mortgage Backed Securities, continued: | ||||||||
$ | 43 | Fannie Mae, Series 1992-195, Class C, 7.50%, 10/25/22 | $ | 44 | ||||
1,000 | Fannie Mae, Series 1996-42, Class LL, 7.50%, 9/25/26 | 1,072 | ||||||
744,166 | Fannie Mae Grantor Trust, Series 2003-T4, Class 2A5, 4.60%, 9/26/33, Callable 12/26/21 @ 100*(b)(c) | 797,307 | ||||||
1,087,234 | Fannie Mae REMIC Trust, Series 2004-W10, Class A6, 5.75%, 8/25/34, Callable 12/25/21 @ 100* | 1,172,562 | ||||||
64,481 | Freddie Mac, Series 4146, Class 10A1, 1.50%, 10/15/42 | 65,402 | ||||||
582,313 | Freddie Mac, Series 4220, Class KC, 1.50%, 5/15/32 | 589,063 | ||||||
3,056 | Freddie Mac, 1.67% (US0006M + 154 bps), 4/1/36, Pool #1N0148 | 3,172 | ||||||
125,913 | Freddie Mac, Series 3982, Class MD, 2.00%, 5/15/39 | 128,182 | ||||||
163,857 | Freddie Mac, Series 4019, Class GB, 2.00%, 12/15/41 | 167,061 | ||||||
54,865 | Freddie Mac, Series 4030, Class DA, 2.00%, 2/15/41 | 55,161 | ||||||
410,369 | Freddie Mac, Series 4272, Class YG, 2.00%, 11/15/26 | 416,129 | ||||||
70,647 | Freddie Mac, Series 4039, Class ME, 2.00%, 12/15/40(b) | 70,924 | ||||||
9,579 | Freddie Mac, Series 3890, Class BA, 2.50%, 11/15/40 | 9,633 | ||||||
175,329 | Freddie Mac, Series 3913, Class PC, 2.50%, 3/15/41 | 178,259 | ||||||
328,555 | Freddie Mac, Series T-67, Class 1A1C, 3.00%, 3/25/36, Callable 12/25/21 @ 100*(b) | 353,462 | ||||||
474,284 | Freddie Mac, Series 4374, Class GA, 3.00%, 9/15/36 | 496,842 | ||||||
2,823 | Freddie Mac, 4.00%, 9/1/33, Pool #N31025 | 3,008 | ||||||
153 | Freddie Mac, Series 1474, Class E, 7.00%, 2/15/23, Callable 1/15/22 @ 100* | 156 | ||||||
119 | Freddie Mac, Series 1310, Class J, 8.00%, 6/15/22, Callable 1/15/22 @ 100* | 120 | ||||||
115 | Freddie Mac, Series 1312, Class I, 8.00%, 7/15/22, Callable 1/15/22 @ 100* | 117 | ||||||
7,977 | Government National Mortgage Assoc., 1.87% (H15T1Y + 150 bps), 5/20/34, Pool #80916 | 8,205 | ||||||
332,182 | Government National Mortgage Assoc., Series 2013-69, 2.00%, 9/20/42 | 339,667 | ||||||
496 | Government National Mortgage Assoc., 2.00% (H15T1Y + 150 bps), 1/20/23, Pool #8123 | 499 | ||||||
1,414 | Government National Mortgage Assoc., 2.00% (H15T1Y + 150 bps), 1/20/25, Pool #8580 | 1,444 | ||||||
804 | Government National Mortgage Assoc., 2.00% (H15T1Y + 150 bps), 3/20/26, Pool #8832 | 811 | ||||||
1,290 | Government National Mortgage Assoc., 2.00% (H15T1Y + 150 bps), 3/20/29, Pool #80263 | 1,307 | ||||||
1,524 | Government National Mortgage Assoc., 2.13% (H15T1Y + 150 bps), 12/20/27, Pool #80141 | 1,580 | ||||||
4,459 | Government National Mortgage Assoc., 2.13% (H15T1Y + 150 bps), 11/20/29, Pool #876947 | 4,493 | ||||||
2,248 | Government National Mortgage Assoc., 2.50% (H15T1Y + 150 bps), 1/20/25, Pool #8585 | 2,300 | ||||||
76 | Government National Mortgage Assoc., 6.50%, 12/15/25, Pool #414856 | 84 |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
U.S. Government Agency Mortgage Backed Securities, continued: | ||||||||
$ | 41 | Government National Mortgage Assoc., 7.00%, 4/20/24, Pool #1655 | $ | 43 | ||||
25 | Government National Mortgage Assoc., 7.00%, 11/20/26, Pool #2320 | 25 | ||||||
145 | Government National Mortgage Assoc., 7.50%, 3/15/24, Pool #376439 | 147 | ||||||
12,509,484 | ||||||||
Total Mortgage Backed Securities (Cost $28,851,748) | 28,788,668 | |||||||
Corporate Bonds (19.3%) | ||||||||
Aerospace & Defense (1.3%) | ||||||||
920,000 | Boeing Co. (The), 7.95%, 8/15/24 | 1,081,375 | ||||||
Banks (4.9%) | ||||||||
1,450,000 | Bank of America Corp., 3.55% (US0003M + 78 bps), 3/5/24, Callable 3/5/23 @ 100 * | 1,498,079 | ||||||
1,500,000 | Mizuho Financial Group, Inc., 2.95%, 2/28/22 | 1,509,391 | ||||||
1,000,000 | Mizuho Financial Group, Inc., 3.55%, 3/5/23 | 1,035,606 | ||||||
4,043,076 | ||||||||
Capital Markets (1.3%) | ||||||||
1,116,000 | Goldman Sachs Group, Inc. (The), 1.30%, 11/15/24, Callable 11/15/22 @ 100, MTN * | 1,115,237 | ||||||
2,000,000 | Lehman Brothers Holdings, Inc., 6.00%, 7/19/12, MTN (d) | 11,000 | ||||||
1,126,237 | ||||||||
IT Services (1.4%) | ||||||||
1,206,000 | Western Union Co. (The), 1.35%, 3/15/26, Callable 2/15/26 @ 100 * | 1,180,771 | ||||||
Oil, Gas & Consumable Fuels (6.6%) | ||||||||
2,515,000 | HollyFrontier Corp., 2.63%, 10/1/23 | 2,574,857 | ||||||
900,000 | ONEOK, Inc., 2.20%, 9/15/25, Callable 8/15/25 @ 100 * | 916,707 | ||||||
1,915,000 | ONEOK, Inc., 2.75%, 9/1/24, Callable 8/1/24 @ 100 * | 1,980,006 | ||||||
5,471,570 | ||||||||
Tobacco (3.8%) | ||||||||
2,150,000 | Altria Group, Inc., 4.40%, 2/14/26, Callable 12/14/25 @ 100 * | 2,359,910 | ||||||
806,000 | BAT Capital Corp., 3.22%, 9/6/26, Callable 7/6/26 @ 100 * | 837,559 | ||||||
3,197,469 | ||||||||
Total Corporate Bonds (Cost $16,833,594) | 16,100,498 | |||||||
Taxable Municipal Bonds (1.7%) | ||||||||
Georgia (1.7%) | ||||||||
1,285,000 | State of Georgia, Build America Bonds, GO, Series H, 4.50%, 11/1/25 | 1,397,961 | ||||||
Total Taxable Municipal Bonds (Cost $1,365,521) | 1,397,961 | |||||||
U.S. Government Agency Securities (2.6%) | ||||||||
Federal Farm Credit Banks | ||||||||
1,000,000 | 1.23%, 9/10/29, Callable 12/15/21 @ 100 * | 970,828 | ||||||
Federal Home Loan Banks | ||||||||
1,240,000 | 0.40%, 8/26/26, Callable 2/26/22 @ 100 *(b) | 1,232,902 | ||||||
Total U.S. Government Agency Securities (Cost $2,240,000) | 2,203,730 | |||||||
U.S. Treasury Obligations (9.4%) | ||||||||
U.S. Treasury Notes | ||||||||
5,369,000 | 0.50%, 2/28/26 | 5,238,550 | ||||||
2,500,000 | 1.50%, 10/31/24 | 2,550,000 | ||||||
Total U.S. Treasury Obligations (Cost $7,765,929) | 7,788,550 |
See notes to the schedule of portfolio investments.
- 5 -
Schedule of Portfolio Investments | Limited Duration Fund |
November 30, 2021 (Unaudited) | Concluded |
Shares or Principal Amount |
Security Description | Value | ||||||
Investment in Affiliates (6.2%) | ||||||||
5,129,012 | Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.01%(e) |
$ | 5,129,012 | |||||
Total Investment in Affiliates (Cost $5,129,012) | 5,129,012 | |||||||
Total Investments (Cost $85,880,708) - 102.0% | 85,007,291 | |||||||
Liabilities in excess of other assets — (2.0)% | (1,681,303 | ) | ||||||
Net Assets - 100.0% | $ | 83,325,988 |
(a) | Represents a restricted security, purchased under Rule 144A, Section 4(2), which is exempt from registration under the Securities Act of 1933, as amended. The security has been deemed liquid according to the policies and procedures adopted by the Board of Trustees. |
(b) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at November 30, 2021. |
(c) | Step Bond: Coupon rate is set for an initial period and then increased to a higher coupon rate at a specified date. The rate shown is the rate in effect at November 30, 2021. |
(d) | Issuer has defaulted on the payment of interest. |
(e) | Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at November 30, 2021. |
* | Represents next call date. Additional subsequent call dates and amounts may apply to this security. |
† | Mortgage backed securities are classified based on the characteristics of their underlying collateral, the fixed vs. variable nature of the obligations, and the credit standing of the mortgagors. The fixed or variable rate nature of securities interest payments to which the fund is entitled may not coincide with the payment nature of the collateral underlying the securities. |
12MTA | 12 Month Treasury Average |
GO | General Obligation |
H15T1Y | 1 Year Treasury Constant Maturity Rate |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
REMIC | Real Estate Mortgage Investment Conduits |
US0001M | 1 Month US Dollar LIBOR |
US0003M | 3 Month US Dollar LIBOR |
US0006M | 6 Month US Dollar LIBOR |
US0012M | 12 Month US Dollar LIBOR |
See notes to the schedule of portfolio investments.
- 6 -
Schedule of Portfolio Investments | Moderate Duration Fund |
November 30, 2021 (Unaudited) |
Shares
or Principal Amount | Security Description | Value | ||||||
Asset Backed Securities (13.8%) | ||||||||
$ | 220,513 | Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class A, 3.50%, 1/28/55, Callable 12/28/21 @ 100*(a)(b) | $ | 223,648 | ||||
355,333 | CLI Funding VI LLC, Series 2020-3A, Class A, 2.07%, 10/18/45, Callable 11/18/22 @ 100*(b) | 354,128 | ||||||
250,000 | DB Master Finance LLC, Series 2021-1A, Class A2I, 2.05%, 11/20/51, Callable 5/20/24 @ 100*(b). | 245,960 | ||||||
273,625 | Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.66%, 4/25/51, Callable 10/25/25 @ 100*(b) | 274,728 | ||||||
280,000 | Flexential Issuer, Series 2021-1A, Class A2, 3.25%, 11/27/51, Callable 11/25/25 @ 100*(b) | 277,980 | ||||||
289,156 | Longtrain Leasing III LLC, Series 2015-1A, Class A2, 4.06%, 1/15/45, Callable 1/15/25 @ 100*(b) | 289,260 | ||||||
219,789 | MVW LLC, Series 2019-2A, Class A, 2.22%, 10/20/38, Callable 4/20/25 @ 100*(b) | 222,887 | ||||||
250,000 | Sabey Data Center Issuer LLC, Series 2020-1, Class A2, 3.81%, 4/20/45, Callable 11/20/23 @ 100*(b) | 261,247 | ||||||
252,633 | Textainer Marine Containers VII, Ltd., Series 2A, Class A, 2.23%, 4/20/46, Callable 4/20/23 @ 100*(b) | 252,621 | ||||||
300,000 | Vantage Data Centers LLC, Series 2020-1A, Class A2, 1.65%, 9/15/45, Callable 9/15/23 @ 100*(b) | 294,097 | ||||||
267,158 | VR Funding LLC, Series 2020-1A, Class A, 2.79%, 11/15/50, Callable 11/15/23 @ 100*(b) | 265,792 | ||||||
233,125 | Wendy's Funding LLC, Series 2019-1A, Class A2I, 3.78%, 6/15/49, Callable 3/15/24 @ 100*(b) | 242,408 | ||||||
152,704 | Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.10%, 5/15/46, Callable 5/15/29 @ 100*(b) | 152,012 | ||||||
Total Asset Backed Securities (Cost $3,369,813) | 3,356,768 | |||||||
Mortgage Backed Securities† (15.5%) | ||||||||
Alt-A - Adjustable Rate Mortgage Backed Securities (0.2%) | ||||||||
40,278 | Bear Stearns Alternative-A Trust, Series 2005-7, Class 11A1, 0.63% (US0001M + 54 bps), 8/25/35, Callable 12/25/21 @ 100* | 40,398 | ||||||
Alt-A - Fixed Rate Mortgage Backed Securities (1.7%) | ||||||||
50,154 | Chaseflex Trust, Series 2005-2, Class 1A1, 6.00%, 6/25/35, Callable 12/25/21 @ 100*.. | 43,267 | ||||||
3,049 | Countrywide Alternative Loan Trust, Series 2005- 3CB, Class 1A4, 5.25%, 3/25/35, Callable 12/25/21 @ 100* | 3,006 | ||||||
9,529 | Countrywide Alternative Loan Trust, Series 2004- 5CB, Class 1A1, 6.00%, 5/25/34, Callable 12/25/21 @ 100* | 9,901 | ||||||
66,944 | Countrywide Alternative Loan Trust, Series 2006-J8, Class A2, 6.00%, 2/25/37, Callable 2/25/22 @ 100* | 41,752 | ||||||
45,943 | Deutsche Alternative-A Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A3, 4.92%, 6/25/36, Callable 12/25/21 @ 100*(a) | 45,914 |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
Alt-A - Fixed Rate Mortgage Backed Securities, continued: | ||||||||
$ | 8,521 | Master Alternative Loans Trust, Series 2004-1, Class 4A1, 5.50%, 2/25/34, Callable 12/25/21 @ 100* | $ | 8,902 | ||||
3,768 | Master Alternative Loans Trust, Series 2004-13, Class 12A1, 5.50%, 12/25/19, Callable 12/25/21 @ 100* | 3,616 | ||||||
10,536 | Master Alternative Loans Trust, Series 2004-4, Class 1A1, 5.50%, 5/25/34, Callable 12/25/21 @ 100* | 10,940 | ||||||
152 | Master Alternative Loans Trust, Series 2005-1, Class 5A1, 5.50%, 1/25/20, Callable 5/25/24 @ 100* | 151 | ||||||
15,126 | Master Alternative Loans Trust, Series 2004-6, Class 7A1, 6.00%, 7/25/34, Callable 12/25/21 @ 100* | 16,117 | ||||||
6,985 | Master Alternative Loans Trust, Series 2003-7, Class 6A1, 6.50%, 12/25/33, Callable 12/25/21 @ 100* | 7,507 | ||||||
14,089 | Master Alternative Loans Trust, Series 2004-4, Class 8A1, 6.50%, 5/25/34, Callable 12/25/21 @ 100* | 14,810 | ||||||
25,109 | Master Alternative Loans Trust, Series 2004-6, Class 6A1, 6.50%, 7/25/34, Callable 12/25/21 @ 100* | 26,960 | ||||||
698 | Nomura Asset Acceptance Corp., Series 2005- WF1, Class 2A5, 5.66%, 3/25/35, Callable 12/25/21 @ 100*(a)(c) | 711 | ||||||
84,165 | Nomura Asset Acceptance Corp., Series 2006- AF1, Class 1A2, 6.16%, 5/25/36, Callable 12/25/21 @ 100*(a) | 26,573 | ||||||
35,995 | Ocwen Residential MBS Corp., Series 1998-R1, Class B1, 3.33%, 10/25/40, Callable 12/25/21 @ 100*(a)(b) | 27,180 | ||||||
2 | Residential Accredit Loans, Inc., Series 2003- QS18, Class A1, 5.00%, 9/25/18, Callable 12/25/21 @ 100* | 2 | ||||||
1,534 | Residential Accredit Loans, Inc., Series 2006- QS18, Class 3A3, 5.75%, 12/25/21, Callable 12/25/21 @ 100* | 1,485 | ||||||
22,724 | Residential Accredit Loans, Inc., Series 2006- QS12, Class 1A2, 6.50%, 9/25/36, Callable 12/25/21 @ 100* | 14,697 | ||||||
38,269 | Residential Asset Securitization Trust, Series 2005-A14, Class A5, 5.50%, 12/25/35, Callable 5/25/22 @ 100* | 26,969 | ||||||
41,709 | Residential Asset Securitization Trust, Series 2006-A8, Class 1A1, 6.00%, 8/25/36, Callable 1/25/22 @ 100* | 35,600 | ||||||
41,005 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-6, Class 1CB, 6.50%, 8/25/35, Callable 12/25/21 @ 100* | 40,824 | ||||||
406,884 | ||||||||
Prime Adjustable Rate Mortgage Backed Securities (3.1%) | ||||||||
5,656 | Bank of America Funding Corp., Series 2004-B, Class 5A1, 2.61%, 11/20/34, Callable 12/20/21 @ 100*(a) | 5,732 | ||||||
4,102 | Bear Stearns Mortgage Trust, Series 2004-9, Class 12A3, 2.58%, 11/25/34, Callable 12/25/21 @ 100*(a) | 4,381 |
See notes to the schedule of portfolio investments.
- 7 -
Schedule of Portfolio Investments | Moderate Duration Fund |
November 30, 2021 (Unaudited) | Continued |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
Prime Adjustable Rate Mortgage Backed Securities, continued: | ||||||||
$ | 1,634 | Bear Stearns Mortgage Trust, Series 2003-7, Class 4A, 2.66%, 10/25/33, Callable 12/25/21 @ 100*(a) | $ | 1,758 | ||||
464 | Countrywide Home Loans, Series 2004-12, Class 10A1, 2.76%, 8/25/34, Callable 12/25/21 @ 100*(a) | 465 | ||||||
10,614 | Countrywide Home Loans, Series 2004-2, Class 2A1, 2.76%, 2/25/34, Callable 12/25/21 @ 100*(a) | 10,234 | ||||||
10,099 | HomeBanc Mortgage Trust, Series 2006-1, Class 1A1, 2.33%, 4/25/37, Callable 12/25/21 @ 100*(a) | 9,183 | ||||||
18,884 | JPMorgan Mortgage Trust, Series 2005-A1, Class 3A4, 2.59%, 2/25/35, Callable 12/25/21 @ 100*(a) | 18,710 | ||||||
3,242 | JPMorgan Mortgage Trust, Series 2006-A2, Class 2A1, 2.78% (US0003M + 101 bps), 4/25/36, Callable 12/25/21 @ 100* | 3,172 | ||||||
193,920 | JPMorgan Mortgage Trust, Series 2005-A6, Class 3A3, 3.18%, 9/25/35, Callable 12/25/21 @ 100*(a) | 198,449 | ||||||
16,171 | JPMorgan Mortgage Trust, Series 2006-A6, Class 1A4L, 3.23%, 10/25/36, Callable 12/25/21 @ 100*(a) | 13,665 | ||||||
218,651 | LSTAR Securities Investment, Ltd., Series 2019-4, Class A1, 2.58% (US0001M + 150 bps), 5/1/24(b) | 217,536 | ||||||
100,000 | Mello Warehouse Securitization Trust, Series 2020-2, Class C, 1.39% (US0001M + 130 bps), 11/25/53, Callable 12/25/23 @ 100*(b) | 99,835 | ||||||
167,251 | WinWater Mortgage Loan Trust, Series 2014-1, Class A1, 3.88%, 6/20/44, Callable 1/20/22 @ 100*(a)(b) | 167,365 | ||||||
750,485 | ||||||||
Prime Fixed Mortgage Backed Securities (4.2%) | ||||||||
3,026 | American Home Mortgage Investment Trust, Series 2005-2, Class 5A1, 5.56%, 9/25/35, Callable 12/25/21 @ 100*(a)(c) | 2,893 | ||||||
170,082 | Angel Oak Mortgage Trust, Series 2019-5, Class A1, 2.59%, 10/25/49, Callable 12/25/21 @ 100*(a)(b) | 169,796 | ||||||
13,118 | Chase Mortgage Finance Corp., Series 2007-S2, Class 2A1, 5.50%, 3/25/37, Callable 12/25/21 @ 100* | 8,322 | ||||||
5,659 | Citigroup Mortgage Loan Trust, Inc., Series 2005- 1, Class 3A1, 6.50%, 4/25/35 | 6,026 | ||||||
7,378 | Citigroup Mortgage Loan Trust, Inc., Series 2004- NCM1, Class 1A3, 6.75%, 7/25/34, Callable 12/25/21 @ 100* | 7,757 | ||||||
2,970 | Countrywide Alternative Loan Trust, Series 2003- J3, Class 2A1, 6.25%, 12/25/33, Callable 12/25/21 @ 100* | 3,064 | ||||||
1,004 | Countrywide Home Loans, Series 2004-J6, Class 1A2, 5.25%, 8/25/24, Callable 12/25/21 @ 100*. | 1,007 | ||||||
6,912 | Countrywide Home Loans, Series 2005-29, Class A1, 5.75%, 12/25/35, Callable 12/25/21 @ 100* | 4,945 | ||||||
4,023 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-1, Class 4A1, 5.00%, 12/31/99, Callable 12/25/21 @ 100* | 4,106 |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
Prime Fixed Mortgage Backed Securities, continued: | ||||||||
$ | 10,627 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-27, Class 8A1, 6.00%, 11/25/33, Callable 12/25/21 @ 100* | $ | 11,020 | ||||
20 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1, 6.50%, 4/25/33, Callable 12/25/21 @ 100* | 21 | ||||||
240,120 | Flagstar Mortgage Trust, Series 2021-4, Class A5, 2.50%, 6/1/51, Callable 10/25/42 @ 100*(a)(b) | 243,103 | ||||||
29,423 | Galton Funding Mortgage Trust, Series 2017-1, Class A21, 3.50%, 7/25/56, Callable 2/25/23 @ 100*(a)(b) | 29,691 | ||||||
161,531 | GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ3, Class A14, 3.00%, 10/25/50, Callable 8/25/23 @ 100*(a)(b) | 162,780 | ||||||
157,586 | GSR Mortgage Loan Trust, Series 2004-13F, Class 2A1, 4.25%, 11/25/34, Callable 12/25/21 @ 100* | 162,470 | ||||||
104 | GSR Mortgage Loan Trust, Series 2004-10F, Class 2A4, 5.00%, 8/25/19, Callable 12/25/21 @ 100* | 104 | ||||||
615 | GSR Mortgage Loan Trust, Series 2003-2F, Class 3A1, 6.00%, 3/25/32, Callable 12/25/21 @ 100* | 662 | ||||||
1,388 | Prime Mortgage Trust, Series 2004-CL1, Class 1A1, 6.00%, 2/25/34, Callable 12/25/21 @ 100* | 1,444 | ||||||
29,804 | Residential Asset Mortgage Products, Inc., Series 2005-SL2, Class A3, 7.00%, 2/25/32, Callable 5/25/30 @ 100* | 27,236 | ||||||
8,912 | Structured Asset Mortgage Investments, Inc., Series 1999-2, Class 3A, 6.75%, 5/25/29, Callable 12/25/21 @ 100* | 9,346 | ||||||
62 | Structured Asset Securities Corp., Series 1997-2, Class 2A4, 7.25%, 3/28/30, Callable 12/28/21 @ 100* | 65 | ||||||
803 | Washington Mutual Mortgage Pass-Through Certificates, Series 2003-S11, Class 1A, 5.00%, 11/25/33, Callable 12/25/21 @ 100* | 833 | ||||||
458 | Washington Mutual Mortgage Pass-Through Certificates, Series 2004-RA1, Class 2A, 7.00%, 3/25/34, Callable 6/25/27 @ 100* | 489 | ||||||
174,129 | Wells Fargo Mortgage Backed Securities Trust, Series 2021-2, Class A3, 2.50%, 6/25/51, Callable 12/25/37 @ 100*(a) | 176,292 | ||||||
1,033,472 | ||||||||
Subprime Mortgage Backed Securities (0.7%) | ||||||||
53,075 | Towd Point Mortgage Trust, Series 2018-1, Class A1, 3.00%, 1/25/58, Callable 8/25/24 @ 100*(a)(b) | 53,835 | ||||||
128,516 | Towd Point Mortgage Trust, Series 2018-2, Class A1, 3.25%, 3/25/58, Callable 11/25/25 @ 100*(a)(b) | 131,744 | ||||||
185,579 | ||||||||
U.S. Government Agency Mortgage Backed Securities (5.6%) | ||||||||
20 | Fannie Mae, Series 1992-45, Class F, 1.49% (T7Y ), 4/25/22 | 20 | ||||||
1,475 | Fannie Mae, 1.88% (US0012M + 162 bps), 9/1/33, Pool #739372 | 1,485 | ||||||
129,151 | Fannie Mae, Series 2012-30, Class BA, 2.00%, 6/25/41 | 131,972 |
See notes to the schedule of portfolio investments.
- 8 -
Schedule of Portfolio Investments | Moderate Duration Fund |
November 30, 2021 (Unaudited) | Continued |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
U.S. Government Agency Mortgage Backed Securities, continued: | ||||||||
$ | 30,285 | Fannie Mae, Series 2012-8, Class KA, 2.00%, 6/25/41 | $ | 30,521 | ||||
1,815 | Fannie Mae, 2.23% (US0012M + 186 bps), 1/1/37, Pool #906675 | 1,816 | ||||||
50,072 | Fannie Mae, Series 2013-74, Class 10A1, 2.25%, 6/25/42(a) | 51,531 | ||||||
76,906 | Fannie Mae, Series 2010-100, Class LA, 2.50%, 7/25/40 | 79,518 | ||||||
72,155 | Fannie Mae, Series 2014-61, Class P, 2.50%, 7/25/44 | 74,365 | ||||||
45,190 | Fannie Mae, Series 2015-12, Class PC, 2.50%, 7/25/44 | 45,692 | ||||||
— | Fannie Mae, Series 2011-118, Class 10A1, 3.00%, 11/25/41 | — | ||||||
136,604 | Fannie Mae, Series 2015-59, Class LM, 3.00%, 7/25/45 | 142,189 | ||||||
217,314 | Fannie Mae, Series 2018-M12, Class A1, 3.55%, 2/25/30 | 237,627 | ||||||
102 | Fannie Mae, 6.00%, 4/1/35, Pool #735503 | 116 | ||||||
682 | Fannie Mae, Series 2001-55, Class PC, 6.50%, 10/25/31 | 776 | ||||||
9,824 | Fannie Mae, Series 2003-W2, Class 1A2, 7.00%, 7/25/42, Callable 12/25/21 @ 100* | 11,595 | ||||||
366 | Fannie Mae, Series 2002-T1, Class A3, 7.50%, 11/25/31, Callable 12/25/21 @ 100* | 421 | ||||||
54 | Fannie Mae, Series 1992-31, Class M, 7.75%, 3/25/22 | 54 | ||||||
2 | Freddie Mac, Series 1222, Class P, 1.19% (T10Y - 40 bps), 3/15/22, Callable 1/15/22 @ 100* | 2 | ||||||
81,490 | Freddie Mac, Series 4220, Class KC, 1.50%, 5/15/32 | 82,434 | ||||||
54,332 | Freddie Mac, Series 4076, Class QC, 2.00%, 11/15/41 | 54,991 | ||||||
62,679 | Freddie Mac, Series 4461, Class EA, 2.00%, 7/15/37 | 63,717 | ||||||
215,860 | Freddie Mac, Series 3908, Class B, 2.50%, 6/15/39 | 223,000 | ||||||
15,473 | Freddie Mac, Series 4332, Class NH, 3.00%, 9/15/43 | 15,653 | ||||||
9,328 | Freddie Mac, 5.37% (H15T1Y + 228 bps), 8/1/34, Pool #755230 | 9,332 | ||||||
257 | Freddie Mac, Series 1379, Class H, 7.00%, 10/15/22, Callable 1/15/22 @ 100* | 262 | ||||||
507 | Freddie Mac, Series 1714, Class K, 7.00%, 4/15/24, Callable 1/15/22 @ 100* | 533 | ||||||
822 | Freddie Mac, Series 1904, Class D, 7.50%, 10/15/26, Callable 1/15/22 @ 100* | 909 | ||||||
80 | Freddie Mac, Series 1281, Class I, 8.00%, 5/15/22, Callable 1/15/22 @ 100* | 81 | ||||||
281 | Freddie Mac, Series 1310, Class J, 8.00%, 6/15/22, Callable 1/15/22 @ 100* | 284 | ||||||
71,182 | Government National Mortgage Assoc., Series 2013-69, 2.00%, 9/20/42 | 72,786 | ||||||
570 | Government National Mortgage Assoc., Series 2010-98, Class CH, 3.00%, 10/20/39 | 569 | ||||||
17,209 | Government National Mortgage Assoc., Series 2010-98, Class MG, 3.00%, 8/20/39 | 17,466 | ||||||
4,077 | Government National Mortgage Assoc., 7.00%, 3/15/26, Pool #419128 | 4,093 | ||||||
47 | Government National Mortgage Assoc., 7.00%, 3/20/27, Pool #2394 | 51 |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
U.S. Government Agency Mortgage Backed Securities, continued: | ||||||||
$ | 186 | Government National Mortgage Assoc., 8.00%, 10/20/24, Pool #1884 | $ | 196 | ||||
35 | Government National Mortgage Assoc., 8.00%, 2/20/26, Pool #2171 | 37 | ||||||
13 | Government National Mortgage Assoc., 8.00%, 3/20/26, Pool #2187 | 13 | ||||||
879 | Government National Mortgage Assoc., 8.00%, 4/20/26, Pool #2205 | 941 | ||||||
2,804 | Government National Mortgage Assoc., 8.00%, 5/20/26, Pool #2219 | 3,032 | ||||||
1,360,080 | ||||||||
Total Mortgage Backed Securities (Cost $3,785,878) | 3,776,898 | |||||||
Corporate Bonds (29.3%) | ||||||||
Aerospace & Defense (1.9%) | ||||||||
450,000 | Boeing Co. (The), 3.25%, 2/1/28, Callable 12/1/27 @ 100 * | 467,377 | ||||||
Airlines (1.1%) | ||||||||
234,858 | United Airlines Pass Through Trust, Series 2020- 1, Class A, 5.88%, 4/15/29 | 256,616 | ||||||
Banks (3.2%) | ||||||||
510,000 | Bank of America Corp., 3.55% (US0003M + 78 bps), 3/5/24, Callable 3/5/23 @ 100 * | 526,911 | ||||||
250,000 | Wells Fargo & Co., 2.88%, 10/30/30, Callable 10/30/29 @ 100, MTN *(a) | 259,306 | ||||||
786,217 | ||||||||
Capital Markets (1.3%) | ||||||||
290,000 | Goldman Sachs Group, Inc., 3.50%, 11/16/26, Callable 11/16/25 @ 100 * | 309,343 | ||||||
Diversified Financial Services (1.3%) | ||||||||
300,000 | National Rural Utilities Cooperative Finance Corp., 3.25%, 11/1/25, Callable 8/1/25 @ 100 * | 318,779 | ||||||
Electric Utilities (1.2%) | ||||||||
275,000 | Entergy Mississippi LLC, 3.25%, 12/1/27, Callable 9/1/27 @ 100 * | 292,561 | ||||||
Entertainment (2.2%) | ||||||||
215,000 | The Walt Disney Co., 2.00%, 9/1/29, Callable 6/1/29 @ 100 * | 214,646 | ||||||
300,000 | Walt Disney Co. (The), 3.35%, 3/24/25 | 318,801 | ||||||
533,447 | ||||||||
Equity Real Estate Investment Trusts (0.4%) | ||||||||
106,310 | JBG/Rockville NCI Campus LLC, Series 2010-A, 3.90%, 7/15/23 (b) | 107,432 | ||||||
Food Products (1.3%) | ||||||||
300,000 | Mars, Inc., 3.20%, 4/1/30, Callable 1/1/30 @ 100 *(b) | 321,935 | ||||||
Health Care Providers & Services (2.6%) | ||||||||
225,000 | Ascension Health, Series B, 2.53%, 11/15/29, Callable 8/15/29 @ 100 * | 234,851 | ||||||
370,000 | Sutter Health, 3.70%, 8/15/28, Callable 5/15/28 @ 100 * | 408,535 | ||||||
643,386 | ||||||||
Hotels, Restaurants & Leisure (1.9%) | ||||||||
425,000 | Hyatt Hotels Corp., 4.38%, 9/15/28, Callable 6/15/28 @ 100 * | 460,083 | ||||||
Household Durables (1.8%) | ||||||||
400,000 | Harman International Industries, Inc., 4.15%, 5/15/25, Callable 2/15/25 @ 100 * | 433,186 | ||||||
Insurance (1.3%) | ||||||||
300,000 | Jackson National Life Global Funding, 2.65%, 6/21/24 (b) | 310,927 |
See notes to the schedule of portfolio investments.
- 9 -
Schedule of Portfolio Investments | Moderate Duration Fund |
November 30, 2021 (Unaudited) | Continued |
Shares
or Principal Amount | Security Description | Value | ||||||
Corporate Bonds, continued: | ||||||||
Internet & Direct Marketing Retail (1.5%) | ||||||||
$ | 335,000 | Expedia Group, Inc., 3.80%, 2/15/28, Callable 11/15/27 @ 100 * | $ | 360,633 | ||||
Multiline Retail (1.0%) | ||||||||
235,000 | Target Corp., 2.25%, 4/15/25, Callable 3/15/25 @ 100 * | 242,390 | ||||||
Oil, Gas & Consumable Fuels (1.6%) | ||||||||
380,000 | HollyFrontier Corp., 2.63%, 10/1/23 | 389,044 | ||||||
Semiconductors & Semiconductor Equipment (2.1%) | ||||||||
24,000 | Broadcom, Inc., 3.19%, 11/15/36, Callable 8/15/36 @ 100 *(b) | 23,705 | ||||||
451,000 | Broadcom, Inc., 4.15%, 11/15/30, Callable 8/15/30 @ 100 * | 493,804 | ||||||
517,509 | ||||||||
Technology Hardware, Storage & Peripherals (1.6%) | ||||||||
350,000 | Apple, Inc., 3.20%, 5/11/27, Callable 2/11/27 @ 100 * | 376,675 | ||||||
Total Corporate Bonds (Cost $7,078,428). | 7,127,540 | |||||||
Taxable Municipal Bonds (18.1%) | ||||||||
Alabama (1.3%) | ||||||||
300,000 | The Water Works Board City of Birmingham Revenue, 2.60%, 1/1/27 | 318,389 | ||||||
Arizona (1.0%) | ||||||||
250,000 | City of Glendale Arizona, Certificate participation, 0.90%, 7/1/24 | 249,142 | ||||||
California (2.6%) | ||||||||
600,000 | Riverside Unified School District, GO, 2.27%, 2/1/25 | 622,316 | ||||||
Colorado (1.2%) | ||||||||
150,000 | Colorado Housing and Finance Authority Revenue, Series I-1, Class I, 0.86%, 11/1/23, GNMA: GOV. NATL MTGE ASSOCIATION | 149,855 | ||||||
150,000 | Colorado Housing and Finance Authority Revenue, Series I-1, Class I, 1.11%, 5/1/25, GNMA: GOV. NATL MTGE ASSOCIATION | 148,498 | ||||||
298,353 | ||||||||
New York (2.6%) | ||||||||
300,000 | New York City Housing Development Corp. Revenue, Series L, 2.84%, 11/1/28, Continuously Callable @100 | 312,663 | ||||||
300,000 | New York City Transitional Finance Authority Revenue, 2.63%, 11/1/29 | 316,557 | ||||||
629,220 | ||||||||
Rhode Island (1.8%) | ||||||||
400,000 | Rhode Island Convention Center Authority Revenue, 3.15%, 5/15/25 | 423,013 | ||||||
Texas (3.3%) | ||||||||
500,000 | Austin Community College District Revenue, 0.93%, 2/1/25 | 495,050 | ||||||
300,000 | Midland County Fresh Water Supply District No. 1 Revenue, 2.37%, 9/15/26 | 312,495 | ||||||
807,545 | ||||||||
Utah (1.3%) | ||||||||
300,000 | Utah Transit Authority Revenue, 2.04%, 12/15/31, Continuously Callable @100 | 300,800 | ||||||
Virginia (1.1%) | ||||||||
275,000 | Virginia Housing Development Authority Revenue, Series F, 1.65%, 7/1/26, HUD: US DEPT OF HSG AND URBAN DEV | 275,363 | ||||||
Shares or Principal Amount | Security Description | Value | ||||||
Taxable Municipal Bonds, continued: | ||||||||
Washington (1.2%) | ||||||||
$ | 300,000 | Pierce County School District No. 10 Tacoma, GO, 0.53%, 12/1/23, SCH BD GTY | $ | 299,459 | ||||
Wisconsin (0.7%) | ||||||||
165,000 | Public Financial Authority Wisconsin Revenue, 4.45%, 10/1/25, Insured by: AGC | 170,287 | ||||||
Total Taxable Municipal Bonds (Cost $4,298,987) | 4,393,887 | |||||||
U.S. Government Agency Securities (1.0%) | ||||||||
Federal Home Loan Banks | ||||||||
250,000 | 0.63%, 8/16/28, Callable 2/16/22 @ 100 *(a) | 246,715 | ||||||
Total U.S. Government Agency Securities (Cost $250,000) | 246,715 | |||||||
U.S. Treasury Obligations (17.2%) | ||||||||
U.S. Treasury Notes | ||||||||
775,000 | 1.25%, 8/15/31 | 762,527 | ||||||
2,193,000 | 2.00%, 4/30/24 | 2,262,902 | ||||||
1,082,000 | 2.25%, 2/15/27 | 1,140,496 | ||||||
Total U.S. Treasury Obligations (Cost $4,187,108) | 4,165,925 | |||||||
Investment in Affiliates (5.8%) | ||||||||
1,408,322 | Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.01%(d) | 1,408,322 | ||||||
Total Investment in Affiliates (Cost $1,408,322) | 1,408,322 | |||||||
Total Investments (Cost $24,378,536) - 100.7% | 24,476,055 | |||||||
Liabilities in excess of other assets — (0.7)% | (175,497 | ) | ||||||
Net Assets - 100.0% | $ | 24,300,558 |
See notes to the schedule of portfolio investments.
- 10 -
Schedule of Portfolio Investments | Moderate Duration Fund |
November 30, 2021 (Unaudited) | Concluded |
(a) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at November 30, 2021. |
(b) | Represents a restricted security, purchased under Rule 144A, Section 4(2), which is exempt from registration under the Securities Act of 1933, as amended. The security has been deemed liquid according to the policies and procedures adopted by the Board of Trustees. |
(c) | Step Bond: Coupon rate is set for an initial period and then increased to a higher coupon rate at a specified date. The rate shown is the rate in effect at November 30, 2021. |
(d) | Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at November 30, 2021. |
* | Represents next call date. Additional subsequent call dates and amounts may apply to this security. |
† | Mortgage backed securities are classified based on the characteristics of their underlying collateral, the fixed vs. variable nature of the obligations, and the credit standing of the mortgagors. The fixed or variable rate nature of securities interest payments to which the fund is entitled may not coincide with the payment nature of the collateral underlying the securities. |
Amounts shown as “—” are either 0 or round to less than 1.
AGC | Assured Guaranty Corporation |
GNMA | Government National Mortgage Association |
GO | General Obligation |
H15T1Y | 1 Year Treasury Constant Maturity Rate |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
SCH BD GTY | School Board Guaranty |
T10Y | 10 Year Treasury Constant Maturity Rate |
T7Y | 7 Year Treasury Constant Maturity Rate |
US0001M | 1 Month US Dollar LIBOR |
US0003M | 3 Month US Dollar LIBOR |
US0012M | 12 Month US Dollar LIBOR |
See notes to the schedule of portfolio investments.
- 11 -
Schedule of Portfolio Investments | Bond Fund |
November 30, 2021 (Unaudited) |
Shares
or Principal Amount | Security Description | Value | ||||||
Asset Backed Securities (15.3%) | ||||||||
$ | 825,000 | Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2, 1.94%, 8/15/46, Callable 8/15/24 @ 100*(a) | $ | 817,673 | ||||
543,142 | Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class A, 3.50%, 1/28/55, Callable 12/28/21 @ 100*(a)(b) | 550,864 | ||||||
19,572 | Bear Stearns Asset Backed Securities, Inc., Series 2003-AC7, Class A1, 5.50%, 1/25/34, Callable 12/25/21 @ 100*(b)(c) | 19,971 | ||||||
553,039 | BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class B, 3.78%, 9/26/33, Callable 11/25/26 @ 100*(a) | 569,467 | ||||||
1,100,000 | CoreVest American Finance Trust, Series 2021-2, Class B, 2.38%, 7/15/54, Callable 6/15/31 @ 100*(a) | 1,073,626 | ||||||
1,000,000 | DB Master Finance LLC, Series 2021-1A, Class A2I, 2.05%, 11/20/51, Callable 5/20/24 @ 100*(a) | 983,840 | ||||||
1,115,000 | Flexential Issuer, Series 2021-1A, Class A2, 3.25%, 11/27/51, Callable 11/25/25 @ 100*(a) | 1,106,956 | ||||||
1,000,610 | Horizon Aircraft Finance III, Ltd., Series 2019-2, Class A, 3.43%, 11/15/39(a) | 991,632 | ||||||
838,062 | Longtrain Leasing III LLC, Series 2015-1A, Class A2, 4.06%, 1/15/45, Callable 1/15/25 @ 100*(a) | 838,365 | ||||||
967,550 | MVW LLC, Series 2019-2A, Class A, 2.22%, 10/20/38, Callable 4/20/25 @ 100*(a) | 981,186 | ||||||
2 | RAAC, Series 2004-SP1, Class AI4, 5.29%, 8/25/27, Callable 12/25/21 @ 100*(b) | 2 | ||||||
415,000 | Sabey Data Center Issuer LLC, Series 2020-1, Class A2, 3.81%, 4/20/45, Callable 11/20/23 @ 100*(a) | 433,670 | ||||||
1,046,750 | Sonic Capital LLC, Series 2020-1A, Class A2I, 3.85%, 1/20/50, Callable 1/20/24 @ 100*(a) | 1,089,595 | ||||||
923,875 | Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.54%, 2/25/44, Callable 2/25/23 @ 100*(a) | 960,107 | ||||||
26,838 | Structured Asset Securities Corp., Series 2003-AL2, Class A, 3.36%, 1/25/31, Callable 12/25/21 @ 100*(a) | 26,658 | ||||||
388,000 | Taco Bell Funding LLC, Series 2018-1A, Class A2II, 4.94%, 11/25/48, Callable 11/25/25 @ 100*(a) | 422,679 | ||||||
889,373 | Textainer Marine Containers VIII, Ltd., Series 2A-A, Class A, 2.10%, 9/20/45, Callable 9/20/22 @ 100*(a) | 889,053 | ||||||
982,187 | TIF Funding II LLC, Series 2021-1A, Class A, 1.65%, 2/20/46, Callable 2/20/23 @ 100*(a) | 953,237 | ||||||
943,333 | Triton Container Finance VIII LLC, Series 2021- 1A, Class A, 1.86%, 3/20/46, Callable 4/20/23 @ 100*(a) | 922,193 | ||||||
493,170 | TRP-TRIP Rail Master Funding LLC, Series 2021- 2, Class A, 2.15%, 6/19/51, Callable 6/17/22 @ 100*(a) | 490,875 | ||||||
208,634 | UBS Commercial Mortgage Trust, Series 2018- C10, Class A1, 3.18%, 5/15/51, Callable 3/15/23 @ 100* | 211,721 | ||||||
1,119,000 | Wendy's Funding LLC, Series 2019-1A, Class A2I, 3.78%, 6/15/49, Callable 3/15/24 @ 100*(a) | 1,163,560 |
Shares
or Principal Amount | Security Description | Value | ||||||
Asset Backed Securities, continued: | ||||||||
$ | 669,929 | Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.10%, 5/15/46, Callable 5/15/29 @ 100*(a) | $ | 666,892 | ||||
528,675 | ZAXBY'S Funding LLC, Series 2021-1A, Class A2, 3.24%, 7/30/51, Callable 7/30/25 @ 100*(a) | 539,953 | ||||||
Total Asset Backed Securities (Cost $16,824,686) | 16,703,775 | |||||||
Mortgage Backed Securities† (15.9%) | ||||||||
Alt-A - Adjustable Rate Mortgage Backed Securities (0.2%) | ||||||||
129,942 | Bear Stearns Alternative-A Trust, Series 2005-7, Class 11A1, 0.63% (US0001M + 54 bps), 8/25/35, Callable 12/25/21 @ 100* | 130,326 | ||||||
59,095 | Bear Stearns Alternative-A Trust, Series 2006-6, Class 32A1, 2.99%, 11/25/36, Callable 8/25/22 @ 100*(b) | 38,109 | ||||||
4,880 | JPMorgan Alternative Loan Trust, Series 2006-S4, Class A6, 6.21%, 12/25/36, Callable 12/25/21 @ 100*(b)(c) | 4,960 | ||||||
173,395 | ||||||||
Alt-A - Fixed Rate Mortgage Backed Securities (1.4%) | ||||||||
9,502 | Bank of America Alternative Loan Trust, Series 2006-4, Class CB1, 6.50%, 5/25/46, Callable 12/25/21 @ 100* | 9,441 | ||||||
30,093 | Chaseflex Trust, Series 2005-2, Class 1A1, 6.00%, 6/25/35, Callable 12/25/21 @ 100* | 25,961 | ||||||
21,918 | Chaseflex Trust, Series 2007-1, Class 1A3, 6.50%, 2/25/37, Callable 12/25/21 @ 100* | 11,595 | ||||||
48,743 | Countrywide Alternative Loan Trust, Series 2005- 46CB, Class A3, 5.50%, 10/25/35, Callable 12/25/21 @ 100* | 44,647 | ||||||
6,885 | Countrywide Alternative Loan Trust, Series 2004- 22CB, Class 1A1, 6.00%, 10/25/34, Callable 12/25/21 @ 100* | 7,133 | ||||||
23,391 | Countrywide Alternative Loan Trust, Series 2006- 8T1, Class 1A4, 6.00%, 4/25/36, Callable 12/25/21 @ 100* | 16,003 | ||||||
156,977 | Countrywide Alternative Loan Trust, Series 2007- 9T1, Class 1A7, 6.00%, 5/25/37, Callable 12/25/21 @ 100* | 102,771 | ||||||
180,032 | Countrywide Alternative Loan Trust, Series 2006- 36T2, Class 2A4, 6.25%, 12/25/36, Callable 8/25/23 @ 100* | 111,612 | ||||||
186 | Master Alternative Loans Trust, Series 2003-8, Class 3A1, 5.50%, 12/25/33, Callable 12/25/21 @ 100* | 185 | ||||||
1,492 | Master Alternative Loans Trust, Series 2004-13, Class 8A1, 5.50%, 1/25/25, Callable 12/25/21 @ 100* | 1,358 | ||||||
16,989 | Master Alternative Loans Trust, Series 2005-3, Class 1A1, 5.50%, 4/25/35, Callable 3/25/25 @ 100* | 16,971 | ||||||
41,528 | Master Alternative Loans Trust, Series 2004-3, Class 3A1, 6.00%, 4/25/34, Callable 12/25/21 @ 100* | 42,840 | ||||||
15,126 | Master Alternative Loans Trust, Series 2004-6, Class 7A1, 6.00%, 7/25/34, Callable 12/25/21 @ 100* | 16,117 | ||||||
16,292 | Master Alternative Loans Trust, Series 2005-3, Class 7A1, 6.00%, 4/25/35, Callable 9/25/26 @ 100* | 16,284 |
See notes to the schedule of portfolio investments.
- 12 -
Schedule of Portfolio Investments | Bond Fund |
November 30, 2021 (Unaudited) | Continued |
Shares
or Principal Amount |
Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
Alt-A - Fixed Rate Mortgage Backed Securities, continued: | ||||||||
$ | 1,962 | Master Alternative Loans Trust, Series 2003-7, Class 5A1, 6.25%, 11/25/33, Callable 12/25/21 @ 100* | $ | 2,063 | ||||
7,808 | Master Alternative Loans Trust, Series 2004-3, Class 2A1, 6.25%, 4/25/34, Callable 12/25/21 @ 100* | 8,163 | ||||||
963,115 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A3, 3.96%, 8/15/46, Callable 5/15/23 @ 100* | 983,013 | ||||||
189,712 | Residential Asset Securitization Trust, Series 2005-A9, Class A3, 5.50%, 7/25/35, Callable 12/25/21 @ 100* | 150,791 | ||||||
1,566,948 | ||||||||
Prime Adjustable Rate Mortgage Backed Securities (4.4%) | ||||||||
485,201 | GS Mortgage-Backed Securities Trust, Series 2021-GR2, Class A6, 2.50%, 2/25/52, Callable 2/25/43 @ 100*(a)(b) | 491,610 | ||||||
1,026,494 | GS Mortgage-Backed Securities Trust, Series 2021-PJ7, Class A8, 2.50%, 1/25/52, Callable 4/25/40 @ 100*(a)(b) | 1,039,245 | ||||||
129,926 | JPMorgan Mortgage Trust, Series 2005-A6, Class 2A4, 2.54%, 8/25/35, Callable 12/25/21 @ 100*(b) | 131,688 | ||||||
4,181 | JPMorgan Mortgage Trust, Series 2006-A4, Class 3A1, 2.98%, 6/25/36, Callable 12/25/21 @ 100*(b) | 3,417 | ||||||
1,041,195 | LSTAR Securities Investment, Ltd., Series 2019-4, Class A1, 2.58% (US0001M + 150 bps), 5/1/24(a) | 1,035,888 | ||||||
500,000 | Mello Warehouse Securitization Trust, Series 2021-1, Class A, 0.79% (US0001M + 70 bps), 2/25/55, Callable 2/25/24 @ 100*(a) | 497,542 | ||||||
150,000 | Mello Warehouse Securitization Trust, Series 2021-1, Class 21-C, 1.19% (US0001M + 110 bps), 2/25/55, Callable 2/25/24 @ 100*(a) | 149,566 | ||||||
270,000 | Mello Warehouse Securitization Trust, Series 2020-2, Class C, 1.39% (US0001M + 130 bps), 11/25/53, Callable 12/25/23 @ 100*(a) | 269,555 | ||||||
13,155 | Merrill Lynch Mortgage Investors Trust, Series 2004-HB1, Class A3, 1.86%, 4/25/29, Callable 12/25/21 @ 100*(b) | 12,859 | ||||||
1,100,000 | Starwood Mortgage Residential Trust, Series 2021-5, Class A1, 1.92%, 9/25/66, Callable 10/25/24 @ 100*(b) | 1,100,888 | ||||||
4,105 | Structured Adjustable Rate Mortgage Loan Trust, Series 2006-5, Class 4A1, 2.71%, 6/25/36, Callable 12/25/21 @ 100*(b) | 3,153 | ||||||
4,735,411 | ||||||||
Prime Fixed Mortgage Backed Securities (4.1%) | ||||||||
470,854 | Arroyo Mortgage Trust, Series 2019-3, Class A1, 2.96%, 10/25/48, Callable 7/25/22 @ 100*(a)(b) | 473,496 | ||||||
2,843 | Chase Mortgage Finance Corp., Series 2002-S4, Class A23, 6.25%, 3/25/32, Callable 12/25/21 @ 100* | 2,349 | ||||||
115,286 | Chaseflex Trust, Series 2006-2, Class A5, 4.44%, 9/25/36, Callable 12/25/21 @ 100*(b) | 115,366 | ||||||
1,408,986 | CIM Trust, Series 2021-J2, Class A4, 2.50%, 4/25/51, Callable 10/25/28 @ 100*(a)(b) | 1,426,893 | ||||||
15,389 | Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 3A1, 6.50%, 4/25/35 | 16,387 |
Shares
or Principal Amount |
Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
Prime Fixed Mortgage Backed Securities, continued: | ||||||||
$ | 2,000 | Countrywide Home Loans, Series 2004-8, Class 1A3, 5.50%, 7/25/34, Callable 12/25/21 @ 100* | $ | 2,036 | ||||
3,606 | Countrywide Home Loans, Series 2004-18, Class A1, 6.00%, 10/25/34, Callable 12/25/21 @ 100* | 3,751 | ||||||
3,419 | Countrywide Home Loans, Series 2004-21, Class A10, 6.00%, 11/25/34, Callable 12/25/21 @ 100* | 3,561 | ||||||
72,524 | Countrywide Home Loans, Series 2007-J3, Class A10, 6.00%, 7/25/37, Callable 12/25/21 @ 100* | 45,028 | ||||||
92,409 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-9, Class 3A1, 6.00%, 10/25/35, Callable 12/25/21 @ 100* | 41,856 | ||||||
109 | First Nationwide Trust, Series 2001-3, Class 1A1, 6.75%, 8/21/31 | 114 | ||||||
1,338 | GMAC Mortgage Corp. Loan Trust, Series 2003- GH2, Class A4, 5.50%, 10/25/33, Callable 12/25/21 @ 100*(b)(c) | 1,376 | ||||||
15,327 | JPMorgan Mortgage Trust, Series 2006-A2, Class 3A2, 2.59%, 4/25/36, Callable 12/25/21 @ 100*(b) | 13,966 | ||||||
19,849 | JPMorgan Mortgage Trust, Series 2004-S2, Class 4A5, 6.00%, 11/25/34, Callable 12/25/21 @ 100* | 20,134 | ||||||
884,279 | Mello Mortgage Capital Acceptance Trust, Series 2021-MTG2, Class A10, 2.50%, 6/1/51, Callable 7/25/37 @ 100*(a)(b) | 896,507 | ||||||
4,042 | Nomura Asset Acceptance Corp., Series 2003-A1, Class A2, 6.00%, 5/25/33, Callable 12/25/21 @ 100* | 4,206 | ||||||
103,201 | RAAC, Series 2004-SP2, Class A22, 6.00%, 1/25/32, Callable 12/25/21 @ 100* | 102,669 | ||||||
36,777 | TBW Mortgage Backed Pass-Through Certificates, Series 2006-2, Class 7A1, 7.00%, 7/25/36, Callable 12/25/21 @ 100* | 7,652 | ||||||
188,147 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-3, Class 1CB5, 5.50%, 5/25/35, Callable 12/25/21 @ 100* | 190,598 | ||||||
5,033 | Washington Mutual Mortgage Pass-Through Certificates, Series 2004-CB1, Class 4A, 6.00%, 6/25/34, Callable 12/25/21 @ 100* | 5,285 | ||||||
41,112 | Washington Mutual Mortgage Pass-Through Certificates, Series 2004-RA1, Class 2A, 7.00%, 3/25/34, Callable 6/25/27 @ 100* | 43,948 | ||||||
773,906 | Wells Fargo Mortgage Backed Securities Trust, Series 2021-2, Class A3, 2.50%, 6/25/51, Callable 12/25/37 @ 100*(a)(b) | 783,519 | ||||||
125,429 | Wells Fargo Mortgage Backed Securities Trust, Series 2019-3, Class A1, 3.50%, 7/25/49, Callable 8/25/22 @ 100*(a)(b) | 126,378 | ||||||
134,937 | WinWater Mortgage Loan Trust, Series 2015-1, Class A1, 3.50%, 1/20/45, Callable 12/20/21 @ 100*(a)(b) | 136,537 | ||||||
4,463,612 | ||||||||
Subprime Mortgage Backed Securities (0.8%) | ||||||||
322,793 | Towd Point Mortgage Trust, Series 2017-6, Class A1, 2.75%, 10/25/57, Callable 7/25/25 @ 100*(a)(b) | 328,020 |
See notes to the schedule of portfolio investments.
- 13 -
Schedule of Portfolio Investments | Bond Fund |
November 30, 2021 (Unaudited) | Continued |
Shares
or Principal Amount |
Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
Subprime Mortgage Backed Securities, continued: | ||||||||
$ | 141,534 | Towd Point Mortgage Trust, Series 2018-1, Class A1, 3.00%, 1/25/58, Callable 8/25/24 @ 100*(a)(b) | $ | 143,560 | ||||
364,130 | Towd Point Mortgage Trust, Series 2018-2, Class A1, 3.25%, 3/25/58, Callable 11/25/25 @ 100*(a)(b) | 373,276 | ||||||
844,856 | ||||||||
U.S. Government Agency Mortgage Backed Securities (5.0%) | ||||||||
129,587 | Fannie Mae, Series 2010-102, Class PE, 2.00%, 9/25/40 | 131,373 | ||||||
230,859 | Fannie Mae, Series 2012-111, Class EC, 2.00%, 12/25/41 | 234,450 | ||||||
305,313 | Fannie Mae, Series 2012-30, Class BA, 2.00%, 6/25/41 | 311,981 | ||||||
298,853 | Fannie Mae, Series 2012-83, Class AH, 2.00%, 11/25/41 | 303,516 | ||||||
134,093 | Fannie Mae, Series 2013-23, Class AB, 2.00%, 2/25/43 | 136,645 | ||||||
515,024 | Fannie Mae, Series 2020-54, Class TA, 2.00%, 5/25/43 | 522,309 | ||||||
185,744 | Fannie Mae, Series 2012-30, Class CB, 2.25%, 10/25/41 | 189,545 | ||||||
62,591 | Fannie Mae, Series 2013-74, Class 10A1, 2.25%, 6/25/42(b) | 64,414 | ||||||
9,621 | Fannie Mae, 2.43% (H15T1Y + 231 bps), 12/1/27, Pool #422279 | 9,677 | ||||||
158,018 | Fannie Mae, Series 2, Class JD, 2.50%, 2/25/50 | 159,728 | ||||||
128,513 | Fannie Mae, Series 2010-100, Class LA, 2.50%, 7/25/40 | 132,880 | ||||||
198,746 | Fannie Mae, Series 2012-111, Class QC, 2.50%, 5/25/42 | 203,900 | ||||||
54,116 | Fannie Mae, Series 2014-61, Class P, 2.50%, 7/25/44 | 55,774 | ||||||
— | Fannie Mae, Series 2011-118, Class 10A1, 3.00%, 11/25/41 | — | ||||||
293,949 | Fannie Mae, Series 2014-33, Class PE, 3.00%, 4/25/43 | 303,225 | ||||||
55,222 | Fannie Mae, Series 2014-72, Class KA, 3.00%, 10/25/44 | 56,805 | ||||||
274,164 | Fannie Mae, Series 2015-59, Class LM, 3.00%, 7/25/45 | 285,372 | ||||||
738,866 | Fannie Mae, Series 2018-M12, Class A1, 3.55%, 2/25/30 | 807,931 | ||||||
143,975 | Fannie Mae, Series 2018-M13, Class A1, 3.82%, 3/25/30(b) | 154,957 | ||||||
17,475 | Fannie Mae, Series 2012-16, Class K, 4.00%, 10/25/41 | 18,375 | ||||||
12,527 | Fannie Mae, Series 2002-W11, Class AF5, 4.98%, 11/25/32, Callable 12/25/21 @ 100*(b)(c) | 13,392 | ||||||
233 | Fannie Mae, 5.00%, 8/1/33, Pool #730856 | 263 | ||||||
112 | Fannie Mae, 5.00%, 7/1/35, Pool #832198 | 127 | ||||||
156 | Fannie Mae, 5.50%, 2/1/33, Pool #683351 | 175 | ||||||
95 | Fannie Mae, 5.50%, 9/1/34, Pool #725773 | 109 | ||||||
1,367 | Fannie Mae, Series 1998-36, Class ZB, 6.00%, 7/18/28 | 1,507 | ||||||
1,173 | Fannie Mae, Series 1993-82, Class H, 7.00%, 5/25/23 | 1,210 | ||||||
25,146 | Fannie Mae Whole Loan, Series 2003-W6, Class 6A, 3.16%, 8/25/42, Callable 12/25/21 @ 100*(b) | 26,109 |
Shares
or Principal Amount |
Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
U.S. Government Agency Mortgage Backed Securities, continued: | ||||||||
$ | 14,315 | Freddie Mac, Series 3997, Class AE, 2.00%, 4/15/40 | $ | 14,346 | ||||
98,314 | Freddie Mac, Series 4019, Class GB, 2.00%, 12/15/41 | 100,237 | ||||||
104,465 | Freddie Mac, Series 4461, Class EA, 2.00%, 7/15/37 | 106,195 | ||||||
2,309 | Freddie Mac, 2.25% (H15T1Y + 213 bps), 4/1/24, Pool #409624 | 2,312 | ||||||
262,819 | Freddie Mac, Series 3913, Class PC, 2.50%, 3/15/41 | 267,210 | ||||||
89,836 | Freddie Mac, Series 4009, Class PK, 2.50%, 6/15/41, Callable 12/15/31 @ 100* | 92,274 | ||||||
122,502 | Freddie Mac, Series 3721, Class PE, 3.50%, 9/15/40 | 129,844 | ||||||
45,110 | Freddie Mac, Series 3780, Class MK, 3.50%, 10/15/40 | 47,737 | ||||||
483 | Freddie Mac, Series 2610, Class VB, 5.50%, 7/15/24 | 508 | ||||||
199 | Freddie Mac, 6.00%, 7/1/35, Pool #A36085 | 222 | ||||||
1,142 | Freddie Mac, Series 2148, Class ZA, 6.00%, 4/15/29 | 1,270 | ||||||
653 | Freddie Mac, 6.50%, 2/1/36, Pool #G08113 | 747 | ||||||
8,018 | Freddie Mac, Series 2036, Class PD, 6.50%, 3/15/28 | 8,943 | ||||||
85 | Freddie Mac, Series 1281, Class I, 8.00%, 5/15/22, Callable 1/15/22 @ 100* | 85 | ||||||
154,227 | Government National Mortgage Assoc., Series 2013-69, 2.00%, 9/20/42 | 157,702 | ||||||
291,239 | Government National Mortgage Assoc., Series 2009-94, Class KB, 3.00%, 9/16/39 | 304,640 | ||||||
106,804 | Government National Mortgage Assoc., Series 2011-46, Class GJ, 3.25%, 1/16/41(b) | 113,107 | ||||||
— | Government National Mortgage Assoc., Series 2019-85, Class MP, 3.50%, 6/20/49 | — | ||||||
16,409 | Government National Mortgage Assoc., Series 2009-93, Class HG, 4.00%, 9/16/39 | 17,326 | ||||||
813 | Government National Mortgage Assoc., 7.00%, 9/15/23, Pool #347688 | 822 | ||||||
3,253 | Government National Mortgage Assoc., 7.00%, 7/15/29, Pool #490215 | 3,521 | ||||||
1,974 | Government National Mortgage Assoc., 7.50%, 11/15/23, Pool #354701 | 2,041 | ||||||
5,496,838 | ||||||||
Total Mortgage Backed Securities (Cost $17,175,961) | 17,281,060 | |||||||
Corporate Bonds (34.4%) | ||||||||
Aerospace & Defense (1.4%) | ||||||||
1,450,000 | Boeing Co. (The), 3.25%, 2/1/28, Callable 12/1/27 @ 100 * | 1,505,993 | ||||||
Airlines (0.9%) | ||||||||
944,852 | United Airlines Pass Through Trust, Series 2020- 1, Class A, 5.88%, 4/15/29 | 1,032,385 | ||||||
Banks (3.9%) | ||||||||
1,940,000 | Bank of America Corp., 3.55% (US0003M + 78 bps), 3/5/24, Callable 3/5/23 @ 100 * | 2,004,326 | ||||||
1,100,000 | JPMorgan Chase & Co., 2.52% (SOFR + 204 bps), 4/22/31, Callable 4/22/30 @ 100 * | 1,110,296 | ||||||
1,100,000 | Wells Fargo & Co., 3.07%, 4/30/41, Callable 4/30/40 @ 100 *(b) | 1,131,954 | ||||||
4,246,576 |
See notes to the schedule of portfolio investments.
- 14 -
Schedule of Portfolio Investments | Bond Fund |
November 30, 2021 (Unaudited) | Continued |
Shares
or Principal Amount |
Security Description | Value | ||||||
Corporate Bonds, continued: | ||||||||
Beverages (0.8%) | ||||||||
$ | 800,000 | PepsiCo, Inc., 2.75%, 3/19/30, Callable 12/19/29 @ 100 * | $ | 843,960 | ||||
Capital Markets (2.2%) | ||||||||
1,300,000 | Goldman Sachs Group, Inc., 3.50%, 11/16/26, Callable 11/16/25 @ 100 * | 1,386,711 | ||||||
1,000,000 | LSEGA Financing PLC, 1.38%, 4/6/26, Callable 3/6/26 @ 100 *(a) | 985,721 | ||||||
2,372,432 | ||||||||
Diversified Financial Services (0.8%) | ||||||||
850,000 | Korea Development Bank, 2.75%, 3/19/23 | 873,035 | ||||||
Diversified Telecommunication Services (1.4%) | ||||||||
1,520,000 | AT&T, Inc., 3.50%, 9/15/53, Callable 3/15/53 @ 100 * | 1,541,913 | ||||||
Electric Utilities (1.0%) | ||||||||
1,000,000 | Entergy Mississippi LLC, 3.25%, 12/1/27, Callable 9/1/27 @ 100 * | 1,063,860 | ||||||
Entertainment (0.7%) | ||||||||
715,000 | The Walt Disney Co., 2.00%, 9/1/29, Callable 6/1/29 @ 100 * | 713,823 | ||||||
Equity Real Estate Investment Trusts (1.2%) | ||||||||
159,465 | JBG/Rockville NCI Campus LLC, Series 2010-A, 3.90%, 7/15/23 (a) | 161,147 | ||||||
1,100,000 | SBA Tower Trust, 1.88%, 7/15/50, Callable 1/15/25 @ 100 *(a) | 1,104,574 | ||||||
1,265,721 | ||||||||
Food Products (2.2%) | ||||||||
1,059,000 | Conagra Brands, Inc., 4.60%, 11/1/25, Callable 9/1/25 @ 100 * | 1,174,166 | ||||||
320,000 | Mars, Inc., 0.88%, 7/16/26, Callable 6/16/26 @ 100 *(a) | 310,445 | ||||||
825,000 | Mars, Inc., 3.20%, 4/1/30, Callable 1/1/30 @ 100 *(a) | 885,320 | ||||||
2,369,931 | ||||||||
Health Care Providers & Services (3.6%) | ||||||||
1,000,000 | Ascension Health, Series B, 2.53%, 11/15/29, Callable 8/15/29 @ 100 * | 1,043,782 | ||||||
725,000 | Montefiore Medical Center, 2.15%, 10/20/26, Callable 4/20/26 @ 100 * | 747,331 | ||||||
1,050,000 | Partners Healthcare Syst, Inc., Series 2020, 3.19%, 7/1/49, Callable 1/1/49 @ 100 * | 1,155,477 | ||||||
890,000 | Sutter Health, 3.70%, 8/15/28, Callable 5/15/28 @ 100 * | 982,691 | ||||||
3,929,281 | ||||||||
Hotels, Restaurants & Leisure (2.8%) | ||||||||
1,500,000 | Hyatt Hotels Corp., 4.38%, 9/15/28, Callable 6/15/28 @ 100 * | 1,623,822 | ||||||
345,000 | Royal Caribbean Cruises, 5.25%, 11/15/22 | 348,019 | ||||||
1,000,000 | Starbucks Corp., 3.75%, 12/1/47, Callable 6/1/47 @ 100 * | 1,115,916 | ||||||
3,087,757 | ||||||||
Household Durables (0.6%) | ||||||||
620,000 | Harman International Industries, Inc., 4.15%, 5/15/25, Callable 2/15/25 @ 100 * | 671,439 | ||||||
Insurance (1.0%) | ||||||||
1,100,000 | Jackson National Life Global Funding, 2.65%, 6/21/24 (a) | 1,140,064 | ||||||
Internet & Direct Marketing Retail (1.0%) | ||||||||
1,000,000 | Expedia Group, Inc., 3.80%, 2/15/28, Callable 11/15/27 @ 100 * | 1,076,518 |
Shares
or Principal Amount |
Security Description | Value | ||||||
Corporate Bonds, continued: | ||||||||
IT Services (1.9%) | ||||||||
$ | 1,000,000 | International Business Machines Corp., 3.50%, 5/15/29 | $ | 1,086,716 | ||||
770,000 | Western Union Co. (The), 6.20%, 11/17/36 | 963,597 | ||||||
2,050,313 | ||||||||
Multiline Retail (0.9%) | ||||||||
1,000,000 | Target Corp., 2.25%, 4/15/25, Callable 3/15/25 @ 100 * | 1,031,448 | ||||||
Oil, Gas & Consumable Fuels (1.8%) | ||||||||
1,000,000 | HollyFrontier Corp., 2.63%, 10/1/23 | 1,023,800 | ||||||
900,000 | Marathon Oil Corp., 4.40%, 7/15/27, Callable 4/15/27 @ 100 * | 985,182 | ||||||
2,008,982 | ||||||||
Semiconductors & Semiconductor Equipment (2.2%) | ||||||||
97,000 | Broadcom, Inc., 3.19%, 11/15/36, Callable 8/15/36 @ 100 *(a) | 95,807 | ||||||
1,778,000 | Broadcom, Inc., 4.15%, 11/15/30, Callable 8/15/30 @ 100 * | 1,946,749 | ||||||
325,000 | Intel Corp., 3.25%, 11/15/49, Callable 5/15/49 @ 100 * | 347,787 | ||||||
2,390,343 | ||||||||
Specialty Retail (1.1%) | ||||||||
1,000,000 | Lowe's Cos., Inc., 4.50%, 4/15/30, Callable 1/15/30 @ 100 * | 1,160,432 | ||||||
Technology Hardware, Storage & Peripherals (1.0%) | ||||||||
1,000,000 | Apple, Inc., 3.20%, 5/11/27, Callable 2/11/27 @ 100 * | 1,076,215 | ||||||
Total Corporate Bonds (Cost $36,636,230) | 37,452,421 | |||||||
Taxable Municipal Bonds (14.9%) | ||||||||
Kentucky (0.7%) | ||||||||
750,000 | Lexington-Fayette Urban County Airport Board Corp. Revenue, 2.84%, 7/1/31 | 772,968 | ||||||
Massachusetts (1.1%) | ||||||||
1,150,000 | Massachusetts State College Building Authority Revenue, Series C, 2.44%, 5/1/28, ST APPROP | 1,204,964 | ||||||
Michigan (1.4%) | ||||||||
500,000 | Michigan State Housing Development Authority Revenue, Series B, 2.72%, 10/1/35, Continuously Callable @100 | 511,173 | ||||||
1,000,000 | Michigan State Housing Development Authority Revenue, Series B, 3.49%, 12/1/40, Continuously Callable @100 | 1,054,408 | ||||||
1,565,581 | ||||||||
New York (1.2%) | ||||||||
1,260,000 | New York City Transitional Finance Authority Revenue, Series F-3, 3.21%, 5/1/29, Continuously Callable @100 | 1,354,205 | ||||||
Oklahoma (2.6%) | ||||||||
500,000 | Grand River Dam Authority Revenue, Series B, 4.55%, 6/1/39, Continuously Callable @100 | 539,463 | ||||||
450,000 | The University of Oklahoma Revenue, Series C, 2.45%, 7/1/32, Continuously Callable @100 | 460,020 | ||||||
1,650,000 | University of Oklahoma Health Sciences Center General Revenue, Series A, 3.87%, 7/1/32, Continuously Callable @100 | 1,845,071 | ||||||
2,844,554 | ||||||||
Oregon (0.9%) | ||||||||
1,000,000 | State of Oregon, GO, Series O, 1.70%, 8/1/32, Continuously Callable @100 | 984,018 |
See notes to the schedule of portfolio investments.
- 15 -
Schedule of Portfolio Investments | Bond Fund |
November 30, 2021 (Unaudited) | Concluded |
Shares
or Principal Amount | Security Description | Value | ||||||
Taxable Municipal Bonds, continued: | ||||||||
Pennsylvania (1.1%) | ||||||||
$ | 1,110,000 | City of Bethlehem Lehigh and Northampton Countries, GO, Series C, 5.15%, 11/1/34, Pre-refunded 11/1/24 @ 100, AGM | $ | 1,244,436 | ||||
Texas (3.8%) | ||||||||
1,000,000 | Arlington Independent School District, GO, 5.00%, 2/15/26, PSF-GTD | 1,157,008 | ||||||
1,000,000 | Arlington Independent School District, GO, 5.00%, 2/15/27, PSF-GTD | 1,184,779 | ||||||
675,000 | Country of Galveston Texas, Build America Bonds, GO, 5.91%, 2/1/29 | 786,694 | ||||||
785,000 | Texas Transportation Commission State Highway Fund Revenue, 5.18%, 4/1/30 | 958,253 | ||||||
4,086,734 | ||||||||
Washington (2.1%) | ||||||||
1,200,000 | County of King WA Sewer Revenue, Series B, 1.86%, 1/1/33, Continuously Callable @100 | 1,163,372 | ||||||
1,070,000 | Pierce County School District No 10 Tacoma, GO, 1.90%, 12/1/33, SCH BD GTY | 1,070,462 | ||||||
2,233,834 | ||||||||
Total Taxable Municipal Bonds (Cost $15,900,275) | 16,291,294 |
Shares
or Principal Amount | Security Description | Value | ||||||
Taxable Municipal Bonds, continued: | ||||||||
Washington, continued: | ||||||||
U.S. Government Agency Securities (1.9%) | ||||||||
Federal Home Loan Banks | ||||||||
$ | 2,075,000 | 0.63%, 8/26/26, Callable 2/26/22 @ 100 *(b) | $ | 2,053,412 | ||||
Total U.S. Government Agency Securities (Cost $2,075,000) | 2,053,412 | |||||||
U.S. Treasury Obligations (14.6%) | ||||||||
U.S. Treasury Bonds | ||||||||
3,405,000 | 1.75%, 8/15/41 | 3,343,816 | ||||||
U.S. Treasury Notes | ||||||||
3,255,000 | 1.13%, 2/15/31 | 3,177,694 | ||||||
257,000 | 1.38%, 10/15/22 | 259,590 | ||||||
4,547,000 | 2.00%, 4/30/24 | 4,691,936 | ||||||
4,233,000 | 2.25%, 2/15/27 | 4,461,846 | ||||||
12,591,066 | ||||||||
Total U.S. Treasury Obligations (Cost $15,751,020) | 15,934,882 | |||||||
Investment in Affiliates (2.6%) | ||||||||
2,822,431 | Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.01%(d) | 2,822,431 | ||||||
Total Investment in Affiliates (Cost $2,822,431) | 2,822,431 | |||||||
Total Investments (Cost $107,185,603) - 99.6% | 108,539,275 | |||||||
Other assets in excess of liabilities — 0.4% | 392,259 | |||||||
Net Assets - 100.0% | $ | 108,931,534 |
(a) | Represents a restricted security, purchased under Rule 144A, Section 4(2), which is exempt from registration under the Securities Act of 1933, as amended. The security has been deemed liquid according to the policies and procedures adopted by the Board of Trustees. |
(b) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at November 30, 2021. |
(c) | Step Bond: Coupon rate is set for an initial period and then increased to a higher coupon rate at a specified date. The rate shown is the rate in effect at November 30, 2021. |
(d) | Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at November 30, 2021. |
* | Represents next call date. Additional subsequent call dates and amounts may apply to this security. |
† | Mortgage backed securities are classified based on the characteristics of their underlying collateral, the fixed vs. variable nature of the obligations, and the credit standing of the mortgagors. The fixed or variable rate nature of securities interest payments to which the fund is entitled may not coincide with the payment nature of the collateral underlying the securities. |
Amounts shown as “—“ are either 0 or round to less than 1. | |
AGM | Assured Guaranty Municipal Corporation |
GO | General Obligation |
H15T1Y | 1 Year Treasury Constant Maturity Rate |
LIBOR | London Interbank Offered Rate |
PSF-GTD | Public School Fund Guaranteed |
SCH BD GTY | School Board Guaranty |
SOFR | Secured Overnight Financing Rate |
US0001M | 1 Month US Dollar LIBOR |
US0003M | 3 Month US Dollar LIBOR |
See notes to the schedule of portfolio investments.
- 16 -
Schedule of Portfolio Investments | Strategic Enhanced Yield Fund |
November 30, 2021 (Unaudited) |
Shares
or Principal Amount | Security Description | Value | ||||||
Asset Backed Securities (15.0%) | ||||||||
$ | 374,063 | AB Issuer LLC, Series 2021-1, Class A2, 3.73%, 7/30/51, Callable 1/30/26 @ 100*(a) | $ | 377,824 | ||||
94,467 | ABFC Trust, Series 2005-AQ1, Class A6, 4.51%, 1/25/35, Callable 12/25/21 @ 100*(b)(c) | 97,382 | ||||||
600,000 | Amur Equipment Finance Receivables LLC, Series 2021-1A, Class E, 4.13%, 3/20/28, Callable 1/20/25 @ 100*(d) | 594,320 | ||||||
287,868 | Bayview Commercial Asset Trust, Series 2004-3, Class A1, 0.64% (US0001M + 56 bps), 1/25/35, Callable 12/25/21 @ 100*(a) | 286,366 | ||||||
6,289 | Bayview Financial Mortgage Pass Trust, Series 2005-D, Class AF4, 5.50%, 12/28/35, Callable 12/28/21 @ 100*(b) | 6,273 | ||||||
22,772 | Bayview Opportunity Master Fund Trust, Series 2017-RT1, Class A1, 3.00%, 3/28/57, Callable 4/28/22 @ 100*(a)(b) | 22,941 | ||||||
33,611 | Bear Stearns Structured Products Trust, Series 2007-EMX1, Class A2, 1.39% (US0001M + 130 bps), 3/25/37, Callable 1/25/24 @ 100*(a) | 33,602 | ||||||
20,498 | Centex Home Equity Loan Trust, Series 2002-A, Class AF6, 5.54%, 1/25/32, Callable 12/25/21 @ 100* | 20,853 | ||||||
57,863 | Credit-Based Asset Servicing And Securitization LLC, Series 2005-RP2, Class M2, 2.49% (US0001M + 160 bps), 9/25/35, Callable 12/25/21 @ 100*(a) | 58,873 | ||||||
98,857 | Credit-Based Asset Servicing And Securitization LLC, Series 2007-SP1, Class A4, 4.77%, 12/25/37, Callable 12/25/21 @ 100*(a)(b)(c) | 99,339 | ||||||
25,642 | GSAA Home Equity Trust, Series 2005-1, Class M1, 5.79%, 11/25/34, Callable 12/25/21 @ 100*(b)(c) | 25,994 | ||||||
178,755 | GSAMP Trust, Series 2006-HE1, Class M1, 0.68% (US0001M + 39 bps), 1/25/36, Callable 12/25/21 @ 100* | 178,857 | ||||||
27,616 | MASTR Asset Backed Securities Trust, Series 2004-FRE1, Class M6, 2.19% (US0001M + 210 bps), 7/25/34, Callable 12/25/21 @ 100* | 27,630 | ||||||
433,175 | Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC3, Class M1, 1.44% (US0001M + 135 bps), 3/25/33, Callable 12/25/21 @ 100* | 435,960 | ||||||
288,550 | Neighborly Issuer LLC, Series 2021-1A, Class A2, 3.58%, 4/30/51, Callable 10/30/26 @ 100*(a) | 291,801 | ||||||
408,155 | NovaStar Mortgage Funding Trust, Series 2003-4, Class A1, 0.83% (US0001M + 74 bps), 2/25/34, Callable 12/25/21 @ 100* | 404,640 | ||||||
21,562 | Residential Asset Mortgage, Series 2004-RS12, Class MI1, 5.61%, 12/25/34, Callable 12/25/21 @ 100*(b)(c) | 21,945 | ||||||
38,628 | Residential Asset Securities Corp., Series 2004- KS8, Class MI1, 5.34%, 9/25/34, Callable 12/25/21 @ 100*(b) | 39,348 | ||||||
54,627 | Saxon Asset Securities Trust, Series 2007-1, Class A2C, 0.24% (US0001M + 15 bps), 1/25/47, Callable 1/25/27 @ 100* | 54,334 | ||||||
Total Asset Backed Securities (Cost $3,051,860) | 3,078,282 |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities† (32.4%) | ||||||||
Alt-A - Fixed Rate Mortgage Backed Securities (4.0%) | ||||||||
$ | 18,700 | Bear Stearns Asset-Backed Securities Trust, Series 2004-AC3, Class A1, 5.25%, 6/25/34, Callable 12/25/21 @ 100*(b)(c) | $ | 19,472 | ||||
13,228 | Countrywide Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.50%, 7/25/34, Callable 12/25/21 @ 100* | 13,560 | ||||||
14,122 | Countrywide Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.50%, 8/25/34, Callable 12/25/21 @ 100* | 14,466 | ||||||
93,163 | Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.75%, 12/25/33, Callable 12/25/21 @ 100* | 96,837 | ||||||
31,511 | Countrywide Alternative Loan Trust, Series 2004-16CB, Class 4A3, 6.00%, 8/25/34, Callable 12/25/21 @ 100* | 31,904 | ||||||
26,455 | Countrywide Alternative Loan Trust, Series 2004-J2, Class 2A1, 6.50%, 3/25/34, Callable 12/25/21 @ 100* | 26,976 | ||||||
11,682 | MASTR Alternative Loans Trust, Series 2004-11, Class 6A1, 5.50%, 10/25/34, Callable 12/25/21 @ 100* | 12,279 | ||||||
87,763 | MASTR Alternative Loans Trust, Series 2004-7, Class 1A1, 5.50%, 7/25/34, Callable 12/25/21 @ 100* | 91,929 | ||||||
118,497 | MASTR Alternative Loans Trust, Series 2003-3, Class 2A5, 6.00%, 5/25/33, Callable 12/25/21 @ 100* | 124,654 | ||||||
33,634 | MASTR Alternative Loans Trust, Series 2004-5, Class 2A1, 6.00%, 6/25/34, Callable 12/25/21 @ 100* | 34,857 | ||||||
264,000 | Residential Asset Securitization Trust, Series 2003-A7, Class A8, 5.00%, 7/25/33, Callable 12/25/21 @ 100* | 271,072 | ||||||
66,000 | Residential Asset Securitization Trust, Series 2003-A10, Class A2, 5.20%, 9/25/33, Callable 12/25/21 @ 100* | 67,707 | ||||||
20,006 | Structured Asset Securities Corp., Series 2004-4XS, Class A3A, 5.13%, 2/25/34, Callable 12/25/21 @ 100*(b)(c) | 20,405 | ||||||
826,118 | ||||||||
Prime Adjustable Rate Mortgage Backed Securities (14.4%) | ||||||||
53,117 | Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A5, 1.94%, 8/25/34, Callable 12/25/21 @ 100*(b) | 54,337 | ||||||
91,172 | Impac Secured Assets CMN Owner Trust, Series 2003-3, Class A1, 5.20%, 8/25/33, Callable 12/25/21 @ 100*(b) | 94,219 | ||||||
327,977 | LSTAR Securities Investment, Ltd., Series 2019-4, Class A1, 2.58% (US0001M + 150 bps), 5/1/24(a) | 326,305 | ||||||
539,704 | LSTAR Securities Investment, Ltd., Series 2019-4, Class A2, 3.58% (US0001M + 250 bps), 5/1/24(a) | 585,101 | ||||||
715,107 | LSTAR Securities Investment, Ltd., Series 2019-3, Class A2, 3.59% (US0001M + 250 bps), 4/1/24(a) | 715,107 | ||||||
500,000 | Mello Warehouse Securitization Trust, Series 2020-2, Class E, 2.34% (US0001M + 225 bps), 11/25/53, Callable 12/25/23 @ 100*(a) | 498,168 |
See notes to the schedule of portfolio investments.
- 17 -
Schedule of Portfolio Investments | Strategic Enhanced Yield Fund | |
November 30, 2021 (Unaudited) | Continued |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
Prime Adjustable Rate Mortgage Backed Securities, continued: | ||||||||
$ | 500,000 | Mello Warehouse Securitization Trust, Series 2021-1, Class G, 4.46% (US0001M + 438 bps), 2/25/55, Callable 2/25/24 @ 100*(a) | $ | 501,441 | ||||
72,808 | RBSSP Resecuritization Trust, Series 2011-3, Class 2A1, 0.59% (US0001M + 25 bps), 2/26/37(a) | 72,966 | ||||||
30,150 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 3A2, 2.41%, 9/25/34, Callable 12/25/21 @ 100*(b) | 30,814 | ||||||
32,447 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Class 3A, 2.61%, 7/25/34, Callable 12/25/21 @ 100*(b) | 33,279 | ||||||
53,606 | WinWater Mortgage Loan Trust, Series 2014-1, Class A1, 3.88%, 6/20/44, Callable 1/20/22 @ 100*(a)(b) | 53,643 | ||||||
2,965,380 | ||||||||
Prime Fixed Mortgage Backed Securities (9.5%) | ||||||||
116,490 | Alternative Loan Trust, Series 2004-18CB, Class 4A1, 5.50%, 9/25/34, Callable 12/25/21 @ 100* | 120,098 | ||||||
11,971 | Banc of America Funding Trust, Series 2004-3, Class 1A9, 5.50%, 10/25/34, Callable 12/25/21 @ 100* | 12,288 | ||||||
348,156 | Brean Asset Backed Securities Trust, Series 2021-RM1, Class M1, 1.60%, 10/25/63, Callable 9/25/27 @ 100*(d) | 318,372 | ||||||
7,859 | Citicorp Mortgage Securities Trust, Series 2006-3, Class 1A19, 5.75%, 6/25/36, Callable 12/25/21 @ 100* | 7,866 | ||||||
9,288 | Citicorp Mortgage Securities Trust, Series 2006-3, Class 1A3, 6.25%, 6/25/36, Callable 12/25/21 @ 100* | 9,504 | ||||||
105,660 | Countrywide Home Loans, Series 2005-6, Class 1A3, 5.15%, 4/25/35, Callable 12/25/21 @ 100* | 107,039 | ||||||
20,000 | Countrywide Home Loans, Series 2004-10, Class A4, 5.25%, 7/25/34, Callable 12/25/21 @ 100* | 20,304 | ||||||
77,000 | Countrywide Home Loans, Series 2004-4, Class A4, 5.25%, 5/25/34, Callable 12/25/21 @ 100* | 78,364 | ||||||
36,000 | Countrywide Home Loans, Series 2004-9, Class A5, 5.25%, 6/25/34, Callable 12/25/21 @ 100* | 36,543 | ||||||
172,000 | Countrywide Home Loans, Series 2005-5, Class A4, 5.40%, 3/25/35, Callable 12/25/21 @ 100* | 174,472 | ||||||
105,790 | Countrywide Home Loans, Series 2004-4, Class A9, 5.50%, 5/25/34, Callable 12/25/21 @ 100* | 106,556 | ||||||
40,000 | Countrywide Home Loans, Series 2004-8, Class 1A3, 5.50%, 7/25/34, Callable 12/25/21 @ 100* | 40,714 | ||||||
39,000 | Countrywide Home Loans, Series 2004-8, Class 1A7, 5.75%, 7/25/34, Callable 12/25/21 @ 100* | 39,805 | ||||||
58,637 | GMAC Mortgage Loan Trust, Series 2004-J2, Class A8, 5.75%, 6/25/34, Callable 12/25/21 @ 100* | 59,686 |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued: | ||||||||
Prime Fixed Mortgage Backed Securities, continued: | ||||||||
$ | 93,284 | GSR Mortgage Loan Trust, Series 2004-10F, Class 6A1, 5.00%, 9/25/34, Callable 12/25/21 @ 100* | $ | 95,475 | ||||
255,000 | Mello Warehouse Securitization Trust, Series 2021-2, Class F, 4.84% (US0001M + 475 bps), 4/25/55, Callable 4/25/24 @ 100*(a) | 254,418 | ||||||
415,000 | NewRez Warehouse Securitization Trust, Series 2021-1, Class F, 5.34% (US0001M + 525 bps), 5/25/55, Callable 5/25/24 @ 100*(a) | 414,512 | ||||||
54,000 | WaMu Mortgage Pass-Through Certificate, Series 2004-RS1, Class A3, 5.50%, 11/25/33, Callable 12/25/21 @ 100* | 55,607 | ||||||
1,951,623 | ||||||||
U.S. Government Agency Mortgage Backed Securities (4.5%) | ||||||||
56,476 | Fannie Mae, Series 2013-56, Class GM, 2.00%, 8/25/41 | 57,514 | ||||||
83,423 | Fannie Mae, Series 2003-W14, Class 2A, 3.78%, 1/25/43, Callable 12/25/21 @ 100*(b) | 87,069 | ||||||
173,827 | Fannie Mae, Series 2003-W13, Class AF5, 4.80%, 10/25/33, Callable 12/25/21 @ 100*(b)(c) | 196,003 | ||||||
113,755 | Fannie Mae, Series 2002-W11, Class AF5, 4.98%, 11/25/32, Callable 12/25/21 @ 100*(b)(c) | 121,608 | ||||||
130,856 | Fannie Mae, Series 2004-W3, Class A8, 5.50%, 5/25/34, Callable 12/25/21 @ 100* | 141,971 | ||||||
119,664 | Fannie Mae, Series 240, Class 11, 9.00%, 9/25/23 | 127,045 | ||||||
138,128 | Fannie Mae, Series 250, Class 11, 9.00%, 10/25/23 | 147,173 | ||||||
38,688 | Freddie Mac, Series 2017-SC01, Class 2A, 3.50%, 12/25/46, Callable 7/25/25 @ 100* | 39,613 | ||||||
917,996 | ||||||||
Total Mortgage Backed Securities (Cost $6,561,354) | 6,661,117 | |||||||
Corporate Bonds (28.7%) | ||||||||
Aerospace & Defense (2.8%) | ||||||||
389,000 | The Boeing Co., 8.75%, 9/15/31 | 572,216 | ||||||
Airlines (2.6%) | ||||||||
372,560 | Alaska Airlines Pass Through Trust, Class B, 8.00%, 2/15/27 (a) | 417,631 | ||||||
122,657 | American Airlines Pass-Through Trust, Class A, 4.95%, 7/15/24 | 125,737 | ||||||
543,368 | ||||||||
Banks (4.0%) | ||||||||
543,000 | Citigroup, Inc., 4.00% (H15T5Y + 360 bps), 12/31/99, Callable 12/10/25 @ 100 * | 538,862 | ||||||
273,000 | Wells Fargo & Co., 3.90% (H15T5Y + 345 bps), 12/31/99, Callable 3/15/26 @ 100 * | 274,638 | ||||||
813,500 | ||||||||
Capital Markets (2.4%) | ||||||||
500,000 | The Goldman Sachs Group, Inc., 3.80% (H15T5Y + 297 bps), 12/31/99, Callable 5/10/26 @ 100 * | 487,100 | ||||||
Chemicals (2.3%) | ||||||||
400,000 | Monsanto Co., 5.50%, 7/30/35 | 467,603 | ||||||
Oil, Gas & Consumable Fuels (4.2%) | ||||||||
287,000 | HollyFrontier Corp., 4.50%, 10/1/30, Callable 7/1/30 @ 100 * | 309,120 | ||||||
26,000 | ONEOK, Inc., 5.85%, 1/15/26, Callable 12/15/25 @ 100 * | 29,910 |
See notes to the schedule of portfolio investments.
- 18 -
Schedule of Portfolio Investments | Strategic Enhanced Yield Fund | |
November 30, 2021 (Unaudited) | Concluded |
Shares
or Principal Amount | Security Description | Value | ||||||
Corporate Bonds, continued: | ||||||||
Oil, Gas & Consumable Fuels, continued: | ||||||||
$ | 425,000 | ONEOK, Inc., 6.35%, 1/15/31, Callable 10/15/30 @ 100 * | $ | 534,141 | ||||
873,171 | ||||||||
Sovereign Bond (2.2%) | ||||||||
450,000 | International Bank for Reconstruction & Development, 2.70%, 12/28/37, Callable 12/28/22 @ 100 * | 451,387 | ||||||
Technology Hardware, Storage & Peripherals (1.4%) | ||||||||
209,000 | Hewlett Packard Enterprise Co., 6.35%, 10/15/45, Callable 4/15/45 @ 100 * | 283,701 | ||||||
Tobacco (6.8%) | ||||||||
180,000 | Altria Group, Inc., 5.95%, 2/14/49, Callable 8/14/48 @ 100 * | 228,882 | ||||||
546,000 | BAT Capital Corp., 4.91%, 4/2/30, Callable 1/2/30 @ 100 * | 615,704 | ||||||
156,000 | Philip Morris International, Inc., 6.38%, 5/16/38 | 219,808 | ||||||
Shares
or Principal Amount | Security Description | Value | ||||||
Corporate Bonds, continued: | ||||||||
Tobacco, continued: | ||||||||
$ | 227,000 | Reynolds American, Inc., 8.13%, 5/1/40 | $ | 333,760 | ||||
1,398,154 | ||||||||
Total Corporate Bonds (Cost $5,847,976) | 5,890,200 | |||||||
U.S. Treasury Obligations (13.8%) | ||||||||
U.S. Treasury Bonds | ||||||||
1,630,000 | 1.88%, 2/15/51 | 1,658,843 | ||||||
U.S. Treasury Notes | ||||||||
1,200,000 | 0.50%, 2/28/26 | 1,170,844 | ||||||
Total U.S. Treasury Obligations (Cost $2,763,401) | 2,829,687 | |||||||
Investment Companies (5.2%) | ||||||||
12,511 | iShares IBoxx High Yield Corporate Bond ETF | 1,071,442 | ||||||
Total Investment Companies (Cost $1,086,674) | 1,071,442 | |||||||
Investment in Affiliates (4.4%) | ||||||||
895,685 | Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.01%(e) | 895,685 | ||||||
Total Investment in Affiliates (Cost $895,685) | 895,685 | |||||||
Total Investments (Cost $20,206,950) - 99.5% | 20,426,413 | |||||||
Other assets in excess of liabilities — 0.5% | 94,322 | |||||||
Net Assets - 100.0% | $ | 20,520,735 |
(a) | Represents a restricted security, purchased under Rule 144A, Section 4(2), which is exempt from registration under the Securities Act of 1933, as amended. The security has been deemed liquid according to the policies and procedures adopted by the Board of Trustees. |
(b) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at November 30, 2021. |
(c) | Step Bond: Coupon rate is set for an initial period and then increased to a higher coupon rate at a specified date. The rate shown is the rate in effect at November 30, 2021. |
(d) | Represents a restricted security, purchased under Rule 144A, Section 4(2), which is exempt from registration under the Securities Act of 1933, as amended. The security has been deemed illiquid according to the policies and procedures adopted by the Board of Trustees. At November 30, 2021, illiquid securities were 4.5% of the Fund's net assets. |
(e) | Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at November 30, 2021. |
* | Represents next call date. Additional subsequent call dates and amounts may apply to this security. |
† | Mortgage backed securities are classified based on the characteristics of their underlying collateral, the fixed vs. variable nature of the obligations, and the credit standing of the mortgagors. The fixed or variable rate nature of securities interest payments to which the fund is entitled may not coincide with the payment nature of the collateral underlying the securities. |
ETF | Exchange Traded Fund |
H15T5Y | 5 Year Treasury Constant Maturity Rate |
LIBOR | London Interbank Offered Rate |
US0001M | 1 Month US Dollar LIBOR |
See notes to the schedule of portfolio investments.
- 19 -
Schedule of Portfolio Investments | Ultra Short Tax-Free Income Fund |
November 30, 2021 (Unaudited) |
Shares
or Principal Amount | Security Description | Value | ||||||
Municipal Bonds (101.4%) | ||||||||
Alaska (1.7%) | ||||||||
$ | 525,000 | City of Valdez Alaska Revenue, 0.03%, 12/1/29, Continuously Callable @100(a) | $ | 525,000 | ||||
Florida (4.4%) | ||||||||
1,400,000 | Palm Beach County Revenue, 0.06%, 7/1/32, Callable 1/3/22 @ 100, Northern Trust Co.*(a) | 1,400,000 | ||||||
Illinois (14.5%) | ||||||||
130,000 | City of Monmouth IL, GO, 4.00%, 12/1/21, BAM | 130,012 | ||||||
165,000 | City of Waukegan IL Water & Sewer System Revenue, 4.00%, 12/30/21, AGM | 165,477 | ||||||
525,000 | Cook County Community Unit School District No 401 Elmwood Park, GO, 3.00%, 12/1/21 | 525,037 | ||||||
340,000 | Cook County School District No 162 Matteson, GO, Series B, 3.00%, 12/1/21, BAM | 340,024 | ||||||
300,000 | Cook County School District No 81 Schiller Park, GO, 5.00%, 12/1/23 | 326,957 | ||||||
405,000 | Cook County School District No 88 Bellwood, GO, 4.00%, 12/1/22, BAM | 419,346 | ||||||
130,000 | Henry County Community Unit School District No 229 Kewanee, GO, Series B, 3.00%, 12/1/22, AGM | 133,379 | ||||||
200,000 | Henry County Community Unit School District No 229 Kewanee, GO, Series B, 3.00%, 12/1/23, AGM | 209,825 | ||||||
200,000 | Kankakee & Will Counties Community Unit School District No 5, GO, 5.00%, 12/1/21, BAM | 200,024 | ||||||
100,000 | Sangamon Logan & Menard Counties Community Unit School Dist No 15 Williamsville, GO, 5.00%, 12/1/22, BAM | 104,598 | ||||||
345,000 | Village of Franklin Park IL, GO, 3.00%, 7/1/23, AGC | 358,764 | ||||||
125,000 | Village of Libertyville IL, GO, Series A, 3.00%, 12/15/21 | 125,129 | ||||||
230,000 | Village of Libertyville IL, GO, Series A, 3.00%, 12/15/22 | 236,273 | ||||||
250,000 | Village of Libertyville IL, GO, Series A, 3.00%, 12/15/23 | 262,762 | ||||||
175,000 | Village of Libertyville IL, GO, Series B, 4.00%, 5/1/22 | 177,659 | ||||||
175,000 | Village of Libertyville IL, GO, Series B, 4.00%, 5/1/23 | 183,753 | ||||||
170,000 | West Chicago Park District, GO, Series B, 3.00%, 12/1/22, BAM | 174,608 | ||||||
500,000 | Williamson & Johnson Counties Community Unit School District No 2 Marion, GO, 2.00%, 12/1/21, BAM | 500,020 | ||||||
4,573,647 | ||||||||
Indiana (6.8%) | ||||||||
750,000 | Hamilton Southeastern Schools, GO, Series B, 3.00%, 12/31/21, ST INTERCEPT | 751,656 | ||||||
510,000 | Lafayette School Corp., GO, 3.00%, 1/15/23, ST INTERCEPT | 523,464 | ||||||
850,000 | Lafayette School Corp., GO, 4.00%, 1/15/22, ST INTERCEPT | 853,651 | ||||||
2,128,771 | ||||||||
Kansas (0.9%) | ||||||||
265,000 | County of Pottawatomie KS, GO, Series A, 4.00%, 10/1/22 | 273,157 |
Shares
or Principal Amount | Security Description | Value | ||||||
Municipal Bonds, continued: | ||||||||
Kentucky (11.1%) | ||||||||
$ | 380,000 | Bowling Green Independent School District Finance Corp. Revenue, 4.00%, 11/1/22, ST INTERCEPT | $ | 391,965 | ||||
380,000 | County of Madison KY, GO, Series B, 5.00%, 3/1/22 | 384,443 | ||||||
200,000 | Kentucky Association of Counties Finance Corp. Revenue, 2.00%, 2/1/23 | 203,588 | ||||||
1,000,000 | Kentucky Interlocal School Transportation Association, 1.25%, 3/1/23, STATE INTERCEPT PROG FOR HIGHER ED | 1,009,427 | ||||||
395,000 | Leslie County School District Finance Corp. Revenue, 1.00%, 12/1/22, ST INTERCEPT | 397,569 | ||||||
485,000 | Mason County School District Finance Corp. Revenue, 2.00%, 9/1/22, ST INTERCEPT | 491,179 | ||||||
615,000 | Mason County School District Finance Corp. Revenue, 2.00%, 9/1/23, ST INTERCEPT | 632,116 | ||||||
3,510,287 | ||||||||
Lousiana (1.0%) | ||||||||
325,000 | Lafourche Parish School Board, GO, 5.00%, 3/1/22 | 328,710 | ||||||
Massachusetts (1.0%) | ||||||||
311,735 | Town of Sherborn MA, GO, 1.00%, 8/24/22 | 313,388 | ||||||
Michigan (1.0%) | ||||||||
295,000 | Charter Township of Brownstown MI, GO, 4.00%, 5/1/23 | 310,056 | ||||||
Minnesota (4.4%) | ||||||||
1,400,000 | City of Minneapolis MN Revenue, Series B, 0.05%, 12/1/27, Callable 1/3/22 @ 100, WELLS FARGO*(a) | 1,400,000 | ||||||
Mississippi (2.5%) | ||||||||
800,000 | Mississippi Business Finance Corp. Revenue, Series C, 0.02%, 12/1/30, Callable 1/3/22 @ 100*(a) | 800,000 | ||||||
Missouri (3.1%) | ||||||||
150,000 | City of Sikeston MO Revenue, 3.00%, 6/1/22 | 151,990 | ||||||
225,000 | County of Dunklin MO Revenue, 3.00%, 12/1/21 | 225,016 | ||||||
200,000 | County of Dunklin MO Revenue, 3.00%, 12/1/22 | 205,198 | ||||||
200,000 | Nixa Public Schools, 4.00%, 4/1/22 | 202,390 | ||||||
185,000 | Nixa Public Schools, 4.00%, 4/1/23 | 193,628 | ||||||
978,222 | ||||||||
Montana (1.5%) | ||||||||
470,000 | Four Corners County Water & Sewer District Special Assessment, Series A, 4.00%, 7/1/22, AGM | 480,016 | ||||||
Nevada (1.8%) | ||||||||
525,000 | Washoe County School District, GO, Series A, 5.00%, 6/1/23 | 561,626 | ||||||
North Dakota (0.7%) | ||||||||
200,000 | City of Horace ND, GO, 3.00%, 5/1/23 | 206,669 | ||||||
Pennsylvania (2.0%) | ||||||||
580,000 | Borough of Lewistown PA, GO, 4.00%, 12/15/23, BAM | 621,958 | ||||||
Tennessee (10.4%) | ||||||||
255,000 | County of Fayette TN, GO, 2.00%, 3/1/23 | 260,164 | ||||||
500,000 | County of Hawkins TN, GO, 3.00%, 3/1/22 | 503,315 | ||||||
1,200,000 | Loudon Industrial Development Board Revenue, 0.05%, 6/1/23, Continuously Callable @100, CITI: CITIGROUP(a) | 1,200,000 |
See notes to the schedule of portfolio investments.
- 20 -
Schedule of Portfolio Investments | Ultra Short Tax-Free Income Fund |
November 30, 2021 (Unaudited) | Concluded |
Shares
or Principal Amount | Security Description | Value | ||||||
Municipal Bonds, continued: | ||||||||
Tennessee, continued: | ||||||||
$ | 1,300,000 | Montgomery County Public Building Authority Revenue, 0.08%, 11/1/27, Callable 1/1/22 @ 100, Bank of America*(a) | $ | 1,300,000 | ||||
3,263,479 | ||||||||
Texas (25.3%) | ||||||||
815,000 | Austin Texas Hotel Occupancy Tax Revenue, 0.07%, 11/15/29, Continuously Callable @100, JPM(a) | 815,000 | ||||||
195,000 | Brazoria County Municipal Utility District No 28, GO, Series A, 2.00%, 9/1/23, BAM | 200,082 | ||||||
420,000 | Broaddus Independent School District, GO, Series A, 4.00%, 2/15/23, PSF-GTD | 438,294 | ||||||
215,000 | City of Austin Texas Revenue, 5.00%, 11/15/22, Continuously Callable @100, AGC | 215,835 | ||||||
300,000 | City of Edinburg Texas, GO, 5.00%, 3/1/23, AGM | 317,497 | ||||||
100,000 | City of Elgin Texas, GO, 4.00%, 7/15/22, AGC | 102,272 | ||||||
100,000 | City of Elgin Texas, GO, 4.00%, 7/15/22, AGC | 102,272 | ||||||
100,000 | City of Elgin Texas, GO, 4.00%, 7/15/23, AGC | 105,625 | ||||||
100,000 | City of Elgin Texas, GO, 4.00%, 7/15/23, AGC | 105,625 | ||||||
270,000 | City of Gonzales Texas, GO, 4.00%, 3/1/22 | 272,504 | ||||||
375,000 | City of Haltom City Texas, GO, Series A, 5.00%, 2/1/23 | 394,997 | ||||||
400,000 | East Cedar Creek Fresh Water Supply District Revenue, 3.00%, 1/1/23, AGM | 411,226 | ||||||
265,000 | Fort Bend County Municipal Utility District No 130, GO, 2.00%, 9/1/22, AGM | 268,137 | ||||||
165,000 | Fort Bend County Municipal Utility District No 139, GO, 4.00%, 3/1/22, AGC | 166,489 | ||||||
180,000 | Fort Bend County Municipal Utility District No 139, GO, 4.00%, 3/1/23, AGC | 187,843 | ||||||
380,000 | Fort Bend County Municipal Utility District No 169, GO, 3.00%, 12/1/21, AGM | 380,026 | ||||||
220,000 | Fulshear Municipal Utility District No 3A, GO, 4.00%, 9/1/23, AGM | 233,378 | ||||||
675,000 | Galveston County Municipal Utility District No 56, GO, 4.50%, 12/1/22, AGM | 702,611 |
Shares
or Principal Amount | Security Description | Value | ||||||
Municipal Bonds, continued: | ||||||||
Texas, continued: | ||||||||
$ | 170,000 | Grand Mission Municipal Utility District No 1, GO, 3.00%, 9/1/22, AGM | $ | 173,356 | ||||
375,000 | Harris County Municipal Utility District NO 278, GO, 4.00%, 9/1/23, BAM | 397,803 | ||||||
570,000 | Harris County Municipal Utility District No 287, GO, 2.00%, 9/1/22, AGM | 577,004 | ||||||
200,000 | Harris County Municipal Utility District No 449, GO, 3.00%, 9/1/22, AGM | 203,888 | ||||||
450,000 | Harris County Municipal Utility District No 449, GO, 3.00%, 9/1/23, AGM | 469,224 | ||||||
250,000 | Kaufman County Municipal Utility District No 14, GO, 2.00%, 3/1/23, AGM | 254,591 | ||||||
300,000 | San Patricio Municipal Water District Revenue, 3.00%, 7/10/23, AGM | 311,997 | ||||||
165,000 | Sienna Plantation Municipal Utility District No 12, GO, 3.00%, 9/1/22, AGC | 168,333 | ||||||
7,975,909 | ||||||||
Wisconsin (6.7%) | ||||||||
250,000 | City of Fond Du Lac WI Waterworks System Revenue, 4.00%, 9/1/22 | 256,838 | ||||||
830,000 | City of Park Falls WI Water & Sewer System Revenue, 3.00%, 3/1/22 | 835,062 | ||||||
1,000,000 | Milwaukee & Ozaukee County Joint School District No 2 Fox Point & Bayside Revenue, 1.00%, 8/30/22 | 1,004,750 | ||||||
2,096,650 | ||||||||
Wyoming (0.6%) | ||||||||
200,000 | County of Lincoln Wyoming Revenue, Series E, 0.03%, 10/1/44, Continuously Callable @100(a) | 200,000 | ||||||
Total Municipal Bonds (Cost $31,951,878) | 31,947,545 | |||||||
Investment in Affiliates (0.2%) | ||||||||
58,387 | Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.01%(b) | 58,387 | ||||||
Total Investment in Affiliates (Cost $58,387) | 58,387 | |||||||
Total Investments (Cost $32,010,265) - 101.6% | 32,005,932 | |||||||
Liabilities in excess of other assets — (1.6)% | (499,201 | ) | ||||||
Net Assets - 100.0% | $ | 31,506,731 |
(a) | Interest rate is determined by the Remarketing Agent. The rate presented is the rate in effect at November 30, 2021. |
(b) | Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at November 30, 2021. |
* | Represents next call date. Additional subsequent call dates and amounts may apply to this security. |
AGC | Assured Guaranty Corporation |
AGM | Assured Guaranty Municipal Corporation |
BAM | Build America Mutual Assurance Company |
GO | General Obligation |
JPM | J.P. Morgan Chase Bank |
PSF-GTD | Public School Fund Guaranteed |
See notes to the schedule of portfolio investments.
- 21 -
Schedule of Portfolio Investments | Active Core Fund |
November 30, 2021 (Unaudited) |
Shares
or Principal Amount | Security Description | Value | ||||||
Common Stocks (54.3%) | ||||||||
Aerospace & Defense (0.6%) | ||||||||
310 | General Dynamics Corp. | $ | 58,581 | |||||
367 | Hexcel Corp.(a) | 18,856 | ||||||
165 | L3Harris Technologies, Inc. | 34,498 | ||||||
220 | Lockheed Martin Corp. | 73,330 | ||||||
71 | Northrop Grumman Corp. | 24,765 | ||||||
62 | Raytheon Technologies Corp. | 5,017 | ||||||
243 | The Boeing Co.(a) | 48,078 | ||||||
41 | TransDigm Group, Inc.(a) | 23,700 | ||||||
1,082 | Virgin Galactic Holdings, Inc.(a) | 17,312 | ||||||
304,137 | ||||||||
Air Freight & Logistics (0.1%) | ||||||||
365 | Atlas Air Worldwide Holdings, Inc.(a) | 31,978 | ||||||
72 | United Parcel Service, Inc., Class B | 14,282 | ||||||
46,260 | ||||||||
Airlines (0.0%^) | ||||||||
364 | Southwest Airlines Co.(a) | 16,162 | ||||||
Auto Components (0.3%) | ||||||||
595 | BorgWarner, Inc. | 25,752 | ||||||
756 | Gentex Corp. | 26,029 | ||||||
50 | Lear Corp. | 8,389 | ||||||
409 | Patrick Industries, Inc. | 32,626 | ||||||
352 | XPEL, Inc.(a) | 25,305 | ||||||
118,101 | ||||||||
Automobiles (0.5%) | ||||||||
216 | Tesla, Inc.(a) | 247,268 | ||||||
Banks (1.7%) | ||||||||
1,888 | Bank of America Corp. | 83,959 | ||||||
750 | Citigroup, Inc. | 47,775 | ||||||
563 | East West Bancorp, Inc. | 43,351 | ||||||
701 | Financial Institutions, Inc. | 21,591 | ||||||
1,967 | JPMorgan Chase & Co. | 312,419 | ||||||
715 | People's United Financial, Inc. | 12,184 | ||||||
94 | SVB Financial Group(a) | 65,079 | ||||||
170 | The PNC Financial Services Group, Inc. | 33,490 | ||||||
1,585 | Truist Financial Corp. | 94,006 | ||||||
1,737 | U.S Bancorp | 96,126 | ||||||
249 | Western Alliance Bancorp | 27,335 | ||||||
837,315 | ||||||||
Beverages (0.8%) | ||||||||
54 | Coca-Cola Consolidated, Inc. | 30,811 | ||||||
119 | Keurig Dr Pepper, Inc. | 4,045 | ||||||
632 | Monster Beverage Corp.(a) | 52,949 | ||||||
1,389 | PepsiCo, Inc. | 221,934 | ||||||
1,744 | The Coca-Cola Co. | 91,473 | ||||||
401,212 | ||||||||
Biotechnology (0.9%) | ||||||||
1,283 | AbbVie, Inc. | 147,904 | ||||||
101 | Amgen, Inc. | 20,087 | ||||||
272 | Biogen, Inc.(a) | 64,121 | ||||||
498 | Exact Sciences Corp.(a) | 42,514 | ||||||
789 | Gilead Sciences, Inc. | 54,386 | ||||||
1,015 | Iovance Biotherapeutics, Inc.(a) | 19,001 | ||||||
119 | Moderna, Inc.(a) | 41,939 | ||||||
96 | Neurocrine Biosciences, Inc.(a) | 7,992 | ||||||
77 | Novavax, Inc.(a) | 16,065 | ||||||
17 | Regeneron Pharmaceuticals, Inc.(a) | 10,821 | ||||||
309 | Sage Therapeutics, Inc.(a) | 12,023 | ||||||
45 | Vertex Pharmaceuticals, Inc.(a) | 8,412 | ||||||
445,265 | ||||||||
Building Products (0.2%) | ||||||||
235 | Allegion PLC | 29,055 |
Shares
or Principal Amount | Security Description | Value | ||||||
Common Stocks, continued: | ||||||||
Building Products, continued: | ||||||||
150 | Carrier Global Corp. | $ | 8,118 | |||||
132 | Lennox International, Inc. | 40,791 | ||||||
236 | Simpson Manufacturing Co, Inc. | 27,225 | ||||||
38 | Trane Technologies PLC | 7,093 | ||||||
112,282 | ||||||||
Capital Markets (2.4%) | ||||||||
260 | Ameriprise Financial, Inc. | 75,296 | ||||||
429 | Artisan Partners Asset Management, Inc., Class A | 19,189 | ||||||
87 | BlackRock, Inc. | 78,701 | ||||||
423 | CME Group, Inc. | 93,280 | ||||||
618 | Cowen, Inc., Class A | 21,865 | ||||||
329 | Evercore, Inc. | 45,632 | ||||||
816 | GAMCO Investors, Inc., Class A | 19,976 | ||||||
247 | Houlihan Lokey, Inc. | 26,809 | ||||||
452 | Intercontinental Exchange, Inc. | 59,085 | ||||||
112 | LPL Financial Holdings, Inc. | 17,652 | ||||||
80 | Moody's Corp. | 31,251 | ||||||
188 | MSCI, Inc., Class A | 118,337 | ||||||
399 | Nasdaq, Inc. | 81,089 | ||||||
156 | Piper Sandler Cos | 25,857 | ||||||
282 | PJT Partners, Inc., Class A | 21,455 | ||||||
230 | S&P Global, Inc. | 104,818 | ||||||
320 | StoneX Group, Inc.(a) | 17,976 | ||||||
307 | T. Rowe Price Group, Inc. | 61,385 | ||||||
607 | The Goldman Sachs Group, Inc. | 231,261 | ||||||
1,150,914 | ||||||||
Chemicals (0.9%) | ||||||||
517 | AdvanSix, Inc. | 23,415 | ||||||
79 | Air Products & Chemicals, Inc. | 22,708 | ||||||
366 | Axalta Coating Systems, Ltd.(a) | 11,097 | ||||||
1,297 | CF Industries Holdings, Inc. | 78,585 | ||||||
165 | Chase Corp. | 16,267 | ||||||
1 | Corteva, Inc. | 45 | ||||||
645 | Dow, Inc. | 35,430 | ||||||
224 | Ecolab, Inc. | 49,609 | ||||||
499 | Hawkins, Inc. | 16,557 | ||||||
202 | Innospec, Inc. | 16,402 | ||||||
574 | Koppers Holdings, Inc.(a) | 17,335 | ||||||
691 | Olin Corp. | 37,556 | ||||||
145 | PPG Industries, Inc. | 22,355 | ||||||
1,102 | The Mosaic Co. | 37,711 | ||||||
84 | The Sherwin-Williams Co. | 27,824 | ||||||
187 | Westlake Chemical Corp. | 17,376 | ||||||
430,272 | ||||||||
Commercial Services & Supplies (0.4%) | ||||||||
263 | Cintas Corp. | 111,036 | ||||||
35 | Copart, Inc.(a) | 5,081 | ||||||
36 | Republic Services, Inc. | 4,761 | ||||||
412 | Waste Management, Inc. | 66,196 | ||||||
187,074 | ||||||||
Communications Equipment (0.6%) | ||||||||
504 | Arista Networks, Inc.(a) | 62,526 | ||||||
713 | Cambium Networks Corp.(a) | 19,401 | ||||||
3,724 | Cisco Systems, Inc. | 204,224 | ||||||
26 | Motorola Solutions, Inc. | 6,583 | ||||||
292,734 | ||||||||
Construction & Engineering (0.3%) | ||||||||
1,040 | Primoris Services Corp. | 23,317 | ||||||
817 | Quanta Services, Inc. | 92,958 | ||||||
1,159 | Sterling Construction Co, Inc.(a) | 29,868 | ||||||
146,143 |
See notes to the schedule of portfolio investments.
- 22 -
Schedule of Portfolio Investments | Active Core Fund |
November 30, 2021 (Unaudited) | Continued |
Shares
or Principal Amount | Security Description | Value | ||||||
Common Stocks, continued: | ||||||||
Construction Materials (0.1%) | ||||||||
160 | Vulcan Materials Co. | $ | 30,662 | |||||
Consumer Finance (0.6%) | ||||||||
391 | Capital One Financial Corp. | 54,947 | ||||||
675 | Enova International, Inc.(a) | 25,731 | ||||||
508 | Onemain Holdings, Inc. | 25,293 | ||||||
2,756 |