Schedule of Portfolio Investments Limited Duration Fund
May 31, 2021 (Unaudited)  

 

Shares or
Principal
Amount
Security Description Value  
 
 
         
Asset Backed Securities (24.5%)        
$ 2,434,071     AccessLex Institute, Series 2007-A, Class A3, 0.45% (US0003M + 30 bps), 5/25/36, Callable 5/25/23 @ 100*   $ 2,400,914‌  
  897,358     Asset Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE1, Class A4, 0.71% (US0001M + 30 bps), 1/25/36, Callable 6/25/21 @ 100*     894,881‌  
  922,497     Bayview Financial Mortgage Pass-Through Trust, Series 2005-C, Class M3, 1.09% (US0001M + 65 bps), 6/28/44, Callable 6/28/21 @ 100*     924,414‌  
  302,309     Cazenovia Creek Funding II LLC, Series 2018-1A, Class A, 3.56%, 7/15/30(a)     303,748‌  
  1,048,169     CDC Mortgage Capital Trust, Series 2002-HE1, Class A, 0.71% (US0001M + 62 bps), 1/25/33, Callable 6/25/21 @ 100*     1,041,836‌  
  1,250,449     CIT Mortgage Loan Trust, Series 2007-1, Class 1A, 1.44% (US0001M + 135 bps), 10/25/37, Callable 9/25/24 @ 100*(b)     1,256,555‌  
  245     Citigroup Mortgage Loan Trust, Inc., Series 2005- WF1, Class A5, 5.01%, 11/25/34, Callable 6/25/21 @ 100*(c)     246‌  
  228     Countrywide Asset-Backed Certificates, Series 2002-S1, Class A5, 6.46%, 5/25/32, Callable 6/25/21 @ 100*(c)(d)     227‌  
  1,338,370     Countrywide Asset-Backed Certificates, Series 2005-12, Class M2, 0.83% (US0001M + 49 bps), 2/25/36, Callable 6/25/21 @ 100*     1,336,862‌  
  966     Countrywide Home Equity Loan Trust, Series 2004-C, Class C, 0.32% (US0001M + 22 bps), 1/15/34, Callable 6/15/21 @ 100*     962‌  
  1,019,745     DB Master Finance LLC, Series 2017-1A, Class A2I, 3.63%, 11/20/47, Callable 11/20/21 @ 100*(b)     1,034,837‌  
  1,368,313     Driven Brands Funding LLC, Series 2019-2A, Class A2, 3.98%, 10/20/49, Callable 10/20/24 @ 100*(b)     1,452,546‌  
  457,984     Fremont Home Loan Trust, Series 2004-3, Class 10A1, 1.98% (US0001M + 188 bps), 11/25/34, Callable 6/25/21 @ 100*     409,653‌  
  1,911,041     Goodgreen 2020-1 Trust, Series 2021-1A, Class A, 2.63%, 4/15/55, Callable 10/15/32 @ 100*(b)     1,971,855‌  
  557,350     Home Equity Asset Trust, Series 2005-7, Class M1, 0.77% (US0001M + 45 bps), 1/25/36, Callable 6/25/21 @ 100*     556,868‌  
  1,798,068     Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-C, Class 2A3, 0.95% (US0001M + 86 bps), 3/25/35, Callable 6/25/21 @ 100*     1,795,778‌  
  83     IMC Home Equity Loan Trust, Series 1998-1, Class A6, 7.02%, 6/20/29(c)(d)     84‌  
  242,503     New Century Home Equity Loan Trust, Series 2005-A, Class A4W, 4.70%, 8/25/35, Callable 9/25/21 @ 100*(c)(d)     244,637‌  
  1,734,291     NovaStar Mortgage Funding Trust, Series 2003-2, Class M2, 2.87% (US0001M + 278 bps), 9/25/33, Callable 6/25/21 @ 100*     1,775,551‌  
  114,649     Residential Asset Mortgage Products, Inc., Series 2002-RS2, Class AI5, 6.03%, 3/25/32, Callable 6/25/21 @ 100*     118,439‌  

 

Shares or
Principal
Amount
    Security Description     Value  
         
Asset Backed Securities, continued        
$ 3,272     Saxon Asset Securities Trust, Series 2003-3, Class AF6, 4.48%, 12/25/33, Callable 6/25/21 @ 100*(c)(d)   $ 3,329‌  
74,247     Soundview Home Equity Loan Trust, Series 2005-B, Class M2, 6.23%, 5/25/35, Callable 6/25/21 @ 100*(c)(d)   72,651  
1,261,002     Structured Asset Investment Loan Trust, Series 2003-BC2, Class A1, 0.79% (US0001M + 68 bps), 4/25/33, Callable 6/25/21 @ 100*     1,257,858  
408,684     Structured Asset Securities Corp Mortgage Pass-Through Certificates, Series 2004-6XS, Class A5A, 6.03%, 3/25/34, Callable 6/25/21 @ 100*(c)(d)     413,251  
826,717     Sun Trust Student Loan Trust, Series 2006-1A, Class B, 0.45% (US0003M + 27 bps), 10/28/37, Callable 4/28/26 @ 100*(a)     759,541  
655,000     ZAXBY'S Funding LLC, Series 2021-1A, Class A2, 3.24%, 7/30/51, Callable 7/30/25 @ 100*(b)     655,000  
Total Asset Backed Securities (Cost $20,646,760)     20,682,523  
       
Mortgage Backed Securities† (41.9%)        
Alt-A - Adjustable Rate Mortgage Backed Securities (1.0%)        
94,787     Bear Stearns Alternative Trust, Series 2006-1, Class 21A2, 2.96%, 2/25/36, Callable 6/25/21 @ 100*(c)     79,813  
10,036     Bear Stearns Alternative Trust, Series 2005-5, Class 26A1, 3.91%, 7/25/35, Callable 6/25/21 @ 100*(c)     8,131  
14,556     Countrywide Alternative Loan Trust, Series 2005-24, Class 1A1, 1.44% (12MTA + 131 bps), 7/20/35, Callable 6/19/21 @ 100*     12,643  
1,314     Deutsche Mortgage Securities, Inc., Series 2006-ABR, Class A1B1, 0.19% (US0001M + 10 bps), 10/25/36, Callable 6/25/21 @ 100*     1,022  
4,280     Deutsche Mortgage Securities, Inc., Series 2003-4XS, Class A6A, 5.32% (US0003M + 119 bps), 10/25/33, Callable 6/25/21 @ 100*(d)     4,293  
4,468     Deutsche Mortgage Securities, Inc., Series 2006-AB4, Class A1A, 6.00%, 10/25/36, Callable 6/25/21 @ 100*(c)     4,408  
4,921     First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1, 2.33%, 9/25/34, Callable 6/25/21 @ 100*(c)     4,887  
20,749     Master Adjustable Rate Mortgage Trust, Series 2004-13, Class 2A1, 2.70%, 4/21/34, Callable 6/21/21 @ 100*(c)     20,797  
592,136     Nomura Asset Acceptance Corp., Series 2005-AR4, Class 3A1, 3.13%, 8/25/35, Callable 6/25/21 @ 100*(c)     626,189  
32,444     Residential Accredit Loans, Inc., Series 2004-QA4, Class NB21, 3.22%, 9/25/34, Callable 6/25/21 @ 100*(c)     33,499  
17,987     Residential Accredit Loans, Inc., Series 2006-QA1, Class A21, 4.30%, 1/25/36, Callable 6/25/21 @ 100*(c)     16,343  
        812,025  
Alt-A - Fixed Rate Mortgage Backed Securities (0.8%)        
14,624     Chaseflex Trust, Series 2005-1, Class 2A4, 5.50%, 2/25/35, Callable 6/25/21 @ 100*     12,813  

  

See notes to the schedule of portfolio investments.

- 1 -

 

 

Schedule of Portfolio Investments Limited Duration Fund
May 31, 2021 (Unaudited) Continued

 

Shares or
Principal

Amount
    Security Description     Value  
               
Mortgage Backed Securities†, continued        
Alt-A - Fixed Rate Mortgage Backed Securities, continued:        
$ 19,414     Citigroup Mortgage Alternative Loan Trust, Series 2006-A3, Class 1A5, 6.00%, 7/25/36, Callable 6/25/21 @ 100*   $ 19,320  
  376     Countrywide Alternative Loan Trust, Series 2004-12CB, Class 1A1, 5.00%, 7/25/19, Callable 6/25/21 @ 100*     377  
  13,719     Countrywide Alternative Loan Trust, Series 2005-J13, Class 2A3, 5.50%, 11/25/35, Callable 6/25/21 @ 100*     12,132  
  18,558     Countrywide Alternative Loan Trust, Series 2006-2CB, Class A3, 5.50%, 3/25/36, Callable 6/25/21 @ 100*     11,872  
  19,182     Countrywide Alternative Loan Trust, Series 2006-31CB, Class A16, 6.00%, 11/25/36, Callable 10/25/21 @ 100     15,337  
  18,686     Countrywide Alternative Loan Trust, Series 2006-43CB, Class 1A4, 6.00%, 2/25/37, Callable 7/25/21 @ 100*     14,445  
  134,226     Countrywide Alternative Loan Trust, Series 2006-J8, Class A2, 6.00%, 2/25/37, Callable 2/25/23 @ 100*     86,372  
  66,440     Countrywide Alternative Loan Trust, Series 2004-J8, Class 2A1, 7.00%, 8/25/34, Callable 6/25/21 @ 100*     64,252  
  42,693     First Horizon Alternative Mortgage Securities, Series 2006-FA3, Class A6, 6.00%, 7/25/36, Callable 6/25/21 @ 100*     29,026  
  138     Master Alternative Loans Trust, Series 2004-3, Class 1A1, 5.00%, 3/25/19, Callable 6/25/21 @ 100*     145  
  736     Master Alternative Loans Trust, Series 2005-1, Class 5A1, 5.50%, 1/25/20, Callable 7/25/25 @ 100*     713  
  3,757     Master Alternative Loans Trust, Series 2004-3, Class 3A1, 6.00%, 4/25/34, Callable 6/25/21 @ 100*     3,805  
  300,805     Master Alternative Loans Trust, Series 2004-3, Class 5A1, 6.50%, 3/25/34, Callable 6/25/21 @ 100*     304,219  
  21,565     Master Alternative Loans Trust, Series 2004-1, Class 3A1, 7.00%, 1/25/34, Callable 6/25/21 @ 100*     23,237  
  3,303     Master Alternative Loans Trust, Series 2004-3, Class 8A1, 7.00%, 4/25/34, Callable 6/25/21 @ 100*     3,370  
  1,522     Residential Accredit Loans, Inc., Series 2003- QS14, Class A1, 5.00%, 7/25/18, Callable 6/25/21 @ 100*     1,370  
  101     Residential Accredit Loans, Inc., Series 2004-QS13, Class CB, 5.00%, 9/25/19, Callable 6/25/21 @ 100*     102  
  5,582     Residential Accredit Loans, Inc., Series 2004-QS6, Class A1, 5.00%, 5/25/19, Callable 6/25/21 @ 100*     5,256  
  28,807     Residential Accredit Loans, Inc., Series 2006-QS6, Class 1A2, 6.00%, 6/25/36, Callable 6/25/21 @ 100*     27,617  
  42,743     Residential Asset Securitization Trust, Series 2006-A9CB, Class A5, 6.00%, 9/25/36, Callable 10/25/22 @ 100*     22,211  

 

Shares or
Principal

Amount
    Security Description     Value  
               
Mortgage Backed Securities†, continued        
Alt-A - Fixed Rate Mortgage Backed Securities, continued:        
$ 28,550     Residential Asset Securitization Trust, Series 2007-A5, Class 2A3, 6.00%, 5/25/37, Callable 9/25/21 @ 100*   $ 23,524  
  12,950     Wells Fargo Mortgage Backed Securities Trust, Series 2005-1, Class 2A3, 5.50%, 2/25/35, Callable 6/25/21 @ 100*     12,559  
              694,074  
Prime Adjustable Rate Mortgage Backed Securities (4.4%)        
  7,802     Adjustable Rate Mortgage Trust, Series 2004-4, Class 1A1, 2.38%, 3/25/35, Callable 6/25/21 @ 100*(c)     7,820  
  3,184     Adjustable Rate Mortgage Trust, Series 2005-1, Class 2A22, 2.80%, 5/25/35(c)     3,214  
  336,618     American Home Mortgage Investment Trust, Series 2006-2, Class 3A2, 6.70%, 6/25/36, Callable 6/25/21 @ 100*(c)(d)     88,157  
  582,894     Banc of America Funding Trust, Series 2015-R4, Class 8A1, 0.28% (US0001M + 17 bps), 1/27/35, Callable 11/25/60 @ 100*(b)     581,929  
  4,394     Bank of America Mortgage Securities, Series 2004-E, Class 1A1, 2.43%, 6/25/34, Callable 6/25/21 @ 100*(c)     4,436  
  6,234     Bank of America Mortgage Securities, Series 2003-H, Class 2A3, 2.78%, 9/25/33, Callable 6/25/21 @ 100*(c)     6,255  
  8,255     Bank of America Mortgage Securities, Series 2006-A, Class 2A1, 2.79%, 2/25/36, Callable 6/25/21 @ 100*(c)     8,191  
  4,113     Bank of America Mortgage Securities, Series 2006-B, Class 2A1, 3.15%, 11/20/46, Callable 6/20/21 @ 100*(c)     3,947  
  5,325     Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-9, Class A1, 2.41% (H15T1Y + 230 bps), 10/25/35, Callable 6/25/21 @ 100*     5,427  
  5,339     Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-6, Class 1A1, 2.60%, 9/25/34, Callable 6/25/21 @ 100*(c)     5,150  
  4,368     Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 15A1, 2.64%, 1/25/35, Callable 6/25/21 @ 100*(c)     4,295  
  14,644     Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4, Class 1A1, 3.05%, 10/25/36, Callable 6/25/21 @ 100*(c)     14,384  
  13,509     Bear Stearns Mortgage Securities, Inc., Series 1997-6, Class 1A, 6.30%, 3/25/31, Callable 6/25/21 @ 100*(c)     13,515  
  12,313     Chase Mortgage Finance Corp., Series 2007-A2, Class 10A1, 3.34%, 7/25/37, Callable 6/25/21 @ 100*(c)     11,489  
  7,933     Citigroup Mortgage Loan Trust, Inc., Series 2005- 3, Class 2A2A, 3.06%, 8/25/35(c)     8,221  
  57,029     Coast Savings & Loan Association, Series 1992- 1, Class A, 2.57%, 7/25/22, Callable 6/25/21 @ 100*(c)     57,369  
  3,445     Countrywide Home Loans, Series 2003-60, Class 2A1, 2.24%, 2/25/34, Callable 6/25/21 @ 100*(c)     3,323  
  9,017     Countrywide Home Loans, Series 2003-58, Class 2A2, 2.83%, 2/19/34, Callable 6/19/21 @ 100*(c)     9,317  

 

See notes to the schedule of portfolio investments.

- 2 -

 

 

Schedule of Portfolio Investments Limited Duration Fund
May 31, 2021 (Unaudited) Continued

 

Shares or
Principal
Amount
    Security Description   Value  
         
Mortgage Backed Securities†, continued        
Prime Adjustable Rate Mortgage Backed Securities, continued:        
$ 5,814     Countrywide Home Loans, Series 2004-12, Class 10A1, 3.04%, 8/25/34, Callable 6/25/21 @ 100*(c)   $ 5,700  
  256     Countrywide Home Loans, Series 2003-42, Class 1A1, 3.99%, 9/25/33, Callable 6/25/21 @ 100*(c)     260  
  31,501     Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR28, Class CB3, 2.58%, 11/25/32, Callable 6/25/21 @ 100*(c)     16,526  
  27,499     Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR7, Class 2A1, 3.04%, 11/25/34, Callable 6/25/21 @ 100*(c)     29,313  
  8,244     First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 2A1, 2.94%, 10/25/35, Callable 6/25/21 @ 100*(c)     8,295  
  43,593     GMAC Mortgage Corp. Loan Trust, Series 2005-AR6, Class 3A1, 3.00%, 11/19/35, Callable 6/19/21 @ 100*(c)     43,223  
  11,389     GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1, 2.82%, 11/25/35, Callable 6/25/21 @ 100*(c)     11,492  
  28,284     GSR Mortgage Loan Trust, Series 2005-AR2, Class 1A2, 3.03%, 4/25/35, Callable 6/25/21 @ 100*(c)     28,459  
  7,438     Harborview Mortgage Loan Trust, Series 2005-14, Class 3A1A, 2.66%, 12/19/35, Callable 6/19/21 @ 100*(c)     7,201  
  67,874     Harborview Mortgage Loan Trust, Series 2004-10, Class 3A1B, 3.03%, 1/19/35, Callable 6/19/21 @ 100*(c)     72,592  
  12,569     Indymac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, 2.85%, 8/25/34, Callable 6/25/21 @ 100*(c)     12,510  
  25,188     Indymac Index Mortgage Loan Trust, Series 2004-AR4, Class 3A, 3.03%, 8/25/34, Callable 6/25/21 @ 100*(c)     25,602  
  24,955     Indymac Index Mortgage Loan Trust, Series 2006-AR13, Class A1, 3.08%, 7/25/36, Callable 10/25/21 @ 100*(c)     20,896  
  37,428     Indymac Index Mortgage Loan Trust, Series 2006-AR19, Class 1A2, 3.19%, 8/25/36, Callable 6/25/21 @ 100*(c)     28,351  
  669     JPMorgan Mortgage Trust, Series 2005-A4, Class 3A1, 2.74%, 7/25/35, Callable 6/25/21 @ 100*(c)     669  
  1,979     JPMorgan Mortgage Trust, Series 2006-A5, Class 3A4, 2.92%, 8/25/36, Callable 6/25/21 @ 100*(c)     1,787  
  796,909     LSTAR Securities Investment, Ltd., Series 2021-1, Class A, 1.91% (US0001M + 180 bps), 2/1/26, Callable 2/1/23 @ 100*(b)     796,736  
  600,000     Mello Warehouse Securitization Trust, Series 2021-2, Class C, 1.19% (US0001M + 110 bps), 4/25/55, Callable 4/25/24 @ 100*(b)     600,867  
  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*(b)     1,002,482  
  9,486     Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A2, 2.12%, 12/25/34, Callable 6/25/21 @ 100*(c)     9,703  

 

Shares or
Principal
Amount
   Security Description  Value 
      
Mortgage Backed Securities†, continued    
Prime Adjustable Rate Mortgage Backed Securities, continued:    
$918‌   Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A2, 2.31%, 2/25/34, Callable 11/25/21 @ 100*(c)  $943‌ 
 9,015   Merrill Lynch Mortgage Investors Trust, Series 2004-A2, Class 1A, 2.93%, 7/25/34, Callable 2/25/26 @ 100*(c)   9,219 
 7,960   Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 3A, 2.75%, 8/25/34, Callable 3/25/30 @ 100*(c)   8,226 
 12,284   Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 2A2, 2.96%, 8/25/34, Callable 10/25/24 @ 100*(c)   12,631 
 2,846   Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 3A1, 2.45%, 2/25/34, Callable 6/25/21 @ 100*(c)   2,818 
 23,489   Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18, Class 1A2, 2.71%, 12/25/34, Callable 6/25/21 @ 100*(c)   23,028 
 7,959   Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 1A1, 2.60%, 12/27/35, Callable 6/25/21 @ 100*(c)   8,287 
 13,448   Structured Asset Securities Corp., Series 2003-24A, Class 1A3, 2.34%, 7/25/33, Callable 6/25/21 @ 100*(c)   13,933 
 6,252   Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR10, Class A1B, 0.93% (US0001M + 42 bps), 7/25/44, Callable 6/25/21 @ 100*   6,337 
 4,350   Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR3, Class A2, 2.60%, 6/25/34, Callable 6/25/21 @ 100*(c)   4,470 
 53,129   Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR14, Class 1A1, 2.62%, 11/25/36, Callable 6/25/21 @ 100*(c)   52,799 
 8,945   Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR10, Class 1A2, 3.02%, 9/25/36, Callable 6/25/21 @ 100*(c)   8,831 
 1,500   Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR8, Class 1A1, 3.08%, 8/25/46, Callable 6/25/21 @ 100*(c)   1,491 
         3,712,116‌ 
Prime Fixed Mortgage Backed Securities (15.8%)     
 2,155,843   Angel Oak Mortgage Trust, Series 2019-6, Class A1, 2.62%, 11/25/59, Callable 12/25/21 @ 100*(b)(c)   2,172,518 
 2,470,460   Brean Asset Backed Securities Trust, Series RM1, Class A, 1.40%, 10/25/63, Callable 9/25/27 @ 100*(b)(c)   2,365,407 
 362,307   Citigroup Mortgage Loan Trust, Inc., Series 2014-C, Class A, 3.25%, 2/25/54, Callable 11/25/34 @ 100*(b)(c)   363,275 
 15,859   Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class WA2, 6.50%, 6/25/31, Callable 6/25/21 @ 100*   16,278 
 84,472   Citigroup Mortgage Loan Trust, Inc., Series 2004-NCM2, Class 1CB2, 6.75%, 8/25/34, Callable 6/25/21 @ 100*   89,938 
 15,357   Citigroup Mortgage Loan Trust, Inc., Series 2004-NCM2, Class 2CB3, 8.00%, 8/25/34, Callable 6/25/21 @ 100*   15,906 

  

See notes to the schedule of portfolio investments.

- 3 -

 

 

Schedule of Portfolio Investments Limited Duration Fund
May 31, 2021 (Unaudited) Continued

 

Shares or        
Principal        
Amount   Security Description  Value 
         
Mortgage Backed Securities†, continued    
Prime Fixed Mortgage Backed Securities, continued:    
$3,619   Credit Suisse First Boston Mortgage Securities Corp., Series 2004-7, Class 5A1, 5.00%, 10/25/19, Callable 6/25/21 @ 100*   $3,603 
 78,573   Credit Suisse First Boston Mortgage Securities Corp., Series 2003-23, Class 1A11, 6.00%, 10/25/33   81,505 
 25,191   Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1, 6.50%, 4/25/33, Callable 6/25/21 @ 100*   26,179 
 20,175   Credit Suisse First Boston Mortgage Securities Corp., Series 2003-1, Class 1A1, 7.00%, 2/25/33, Callable 6/25/21 @ 100*   20,778 
 43,538   Credit Suisse First Boston Mortgage Securities Corp., Series 2002-10, Class 2B1, 7.50%, 5/25/32, Callable 6/25/21 @ 100*   18,846 
 225,995   Credit Suisse First Boston Mortgage Securities Corp., Series 2002-34, Class 1A1, 7.50%, 12/25/32, Callable 6/25/21 @ 100*   237,211 
 16,096   Galton Funding Mortgage Trust, Series 2018-1, Class A43, 3.50%, 11/25/57, Callable 11/25/22 @ 100*(b)(c)    16,153 
 25,707   GSR Mortgage Loan Trust, Series 2003-3F, Class 2A1, 4.50%, 4/25/33, Callable 6/25/21 @ 100*   25,591 
 21,954   GSR Mortgage Loan Trust, Series 2005-8F, Class 3A4, 6.00%, 11/25/35, Callable 9/25/23 @ 100*   13,268 
 1,270,830   JPMorgan Mortgage Trust, Series 2020-4, Class A3A, 2.50%, 11/25/50, Callable 3/25/23 @ 100*(b)(c)   1,290,055 
 789,962   JPMorgan Mortgage Trust, Series 2017-2, Class A4, 3.00%, 5/25/47, Callable 10/25/22 @ 100*(b)(c)   803,796 
 11,339   Lehman Mortgage Trust, Series 2005-3, Class 1A3, 5.50%, 1/25/36, Callable 6/25/21 @ 100*   8,578 
 520,447   MFRA Trust, Series 2017-RPL1, Class A1, 2.59%, 2/25/57, Callable 11/25/27 @ 100*(b)(c)    525,676 
 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*(b)   1,552,758 
 7,360   Residential Funding Mortgage Securities I, Series 2005-S7, Class A1, 5.50%, 11/25/35, Callable 6/25/21 @ 100*   7,055 
 13,659   Residential Funding Mortgage Securities I, Series 2003-S9, Class A1, 6.50%, 3/25/32, Callable 6/25/21 @ 100*   14,169 
 26,063   Sequoia Mortgage Trust, Series 2018-CH1, Class A10, 4.00%, 2/25/48, Callable 9/25/22 @ 100*(b)(c)   26,073 
 19,128   Sequoia Mortgage Trust, Series 2018-CH2, Class A12, 4.00%, 6/25/48, Callable 11/25/22 @ 100*(b)(c)   19,127 
 1,749,487   Starwood Mortgage Residential Trust, Series 2018-IMC2, Class A1, 4.12%, 10/25/48, Callable 12/25/21 @ 100*(b)(c)    1,776,496 
 77,808   Structured Asset Mortgage Investments, Inc., Series 1999-2, Class 3A, 6.75%, 5/25/29, Callable 6/25/21 @ 100*   80,825 

 

Shares or        
Principal        
Amount   Security Description  Value 
         
Mortgage Backed Securities†, continued    
Prime Fixed Mortgage Backed Securities, continued:    
$1,728,459   Verus Securitization Trust, Series 2020-1, Class A1, 2.42%, 1/25/60, Callable 9/25/22 @ 100*(b)(c)  $1,753,906 
         13,324,970 
Subprime Mortgage Backed Securities (2.6%)     
 171,342   Towd Point Mortgage Trust, Series 2016-1, Class A1B, 2.75%, 2/25/55, Callable 2/25/23 @ 100*(b)(c)   171,780 
 458,795   Towd Point Mortgage Trust, Series 2017-1, Class A1, 2.75%, 10/25/56, Callable 7/25/26 @ 100*(b)(c)   465,694 
 883,049   Towd Point Mortgage Trust, Series 2017-2, Class A1, 2.75%, 4/25/57, Callable 12/25/23 @ 100*(b)(c)   895,894 
 685,708   Towd Point Mortgage Trust, Series 2017-6, Class A1, 2.75%, 10/25/57, Callable 7/25/24 @ 100*(b)(c)   705,164 
         2,238,532 
U.S. Government Agency Mortgage Backed Securities (17.3%)     
 264,935   Fannie Mae, Series 2013-68, Class 10A1, 1.00%, 3/25/42   262,239 
 15,599   Fannie Mae, 1.70% (US0012M + 132 bps), 1/1/35, Pool #805386   16,144 
 119,166   Fannie Mae, Series 2012-31, Class PA, 2.00%, 4/25/41   121,656 
 248,370   Fannie Mae, Series 2012-51, Class EB, 2.00%, 1/25/40   251,571 
 223,191   Fannie Mae, Series 2012-96, Class PD, 2.00%, 7/25/41   226,457 
 224,460   Fannie Mae, Series 2013-18, Class 10A1, 2.00%, 12/25/42   230,644 
 1,778   Fannie Mae, 2.07% (H15T1Y + 187 bps), 12/1/22, Pool #303247   1,783 
 139,363   Fannie Mae, Series 2013-73, Class 10A1, 2.25%, 6/25/42   144,046 
 156,539   Fannie Mae, Series 2013-74, Class 10A1, 2.25%, 6/25/42(c)   162,057 
 1,702   Fannie Mae, 2.39% (H15T1Y + 216 bps), 6/1/32, Pool #725286   1,705 
 26,866   Fannie Mae, 2.67% (H15T1Y + 229 bps), 2/1/30, Pool #556998   26,801 
 97,710   Fannie Mae, Series 2011-118, Class 10A1, 3.00%,11/25/41   104,711 
 291,232   Fannie Mae, Series 2014-1, Class AB, 3.00%, 6/25/43   304,936 
 1,005,713   Fannie Mae, Series 2018-83, Class LC, 3.00%, 11/25/48   1,049,396 
 757,568   Fannie Mae, Series 2003-W14, Class 2A, 3.88%, 1/25/43, Callable 6/25/21 @ 100*(c)   793,674 
 1,854,122   Fannie Mae, Series 2003-W12, Class 3A, 3.94%, 3/25/43, Callable 6/25/21 @ 100*(c)   1,991,313 
 556,422   Fannie Mae, Series 2003-W16, Class AF5, 4.40%, 11/25/33, Callable 6/25/21 @ 100*(c)(d)   619,460 
 7,313   Fannie Mae, Series 2001-W4, Class AF6, 5.11%, 1/25/32, Callable 6/25/21 @ 100*(c)(d)   7,849 
 2,552,308   Fannie Mae, Series 2004-W3, Class A7, 5.50%, 5/25/34, Callable 6/25/21 @ 100*   2,893,742 
 243   Fannie Mae, Series 1992-129, Class L, 6.00%, 7/25/22   246 

 

See notes to the schedule of portfolio investments.

- 4 -

 

  

Schedule of Portfolio Investments Limited Duration Fund
May 31, 2021 (Unaudited) Continued

 

Shares or        
Principal        
Amount   Security Description  Value 
         
Mortgage Backed Securities†, continued    
U.S. Government Agency Mortgage Backed Securities, continued:    
$8,251   Fannie Mae, Series 2001-W2, Class AF6, 6.09%, 10/25/31, Callable 6/25/21 @ 100*(c)(d)  $8,823 
 8,350   Fannie Mae, Series 2001-W1, Class AF6, 6.40%, 7/25/31, Callable 6/25/21 @ 100*(c)(d)   10,344 
 1   Fannie Mae, Series 1991-108, Class J, 7.00%, 9/25/21   1 
 84   Fannie Mae, Series 1992-195, Class C, 7.50%, 10/25/22   86 
 1,000   Fannie Mae, Series 1996-42, Class LL, 7.50%, 9/25/26   1,090 
 782,524   Fannie Mae Grantor Trust, Series 2003-T4, Class 2A5, 4.66%, 9/26/33, Callable 6/26/21 @ 100*(c)(d)   869,913 
 81,359   Freddie Mac, Series 4146, Class 10A1, 1.50%, 10/15/42   83,088 
 692,560   Freddie Mac, Series 4220, Class KC, 1.50%, 5/15/32   709,525 
 3,523   Freddie Mac, 1.77% (US0006M + 154 bps), 4/1/36, Pool #1N0148   3,661 
 222,030   Freddie Mac, Series 4039, Class ME, 2.00%, 12/15/40(c)   224,740 
 158,626   Freddie Mac, Series 3982, Class MD, 2.00%, 5/15/39   162,827 
 211,692   Freddie Mac, Series 4019, Class GB, 2.00%, 12/15/41   218,964 
 187,449   Freddie Mac, Series 4030, Class DA, 2.00%, 2/15/41   190,628 
 560,722   Freddie Mac, Series 4272, Class YG, 2.00%, 11/15/26   572,045 
 185,897   Freddie Mac, Series 4408, Class GA, 2.00%, 9/15/41   191,058 
 25,355   Freddie Mac, Series 3890, Class BA, 2.50%, 11/15/40   25,725 
 243,446   Freddie Mac, Series 3913, Class PC, 2.50%, 3/15/41   249,816 
 322,891   Freddie Mac, Series 4312, Class 10A1, 2.50%, 12/15/41   333,551 
 8,781   Freddie Mac, Series 4017, Class MA, 3.00%, 3/15/41   8,819 
 536,365   Freddie Mac, Series 4374, Class GA, 3.00%, 9/15/36   571,742 
 377,415   Freddie Mac, Series T-67, Class 1A1C, 3.16%, 3/25/36, Callable 6/25/21 @ 100*(c)   406,072 
 7,645   Freddie Mac, 4.00%, 9/1/33, Pool #N31025   8,190 
 1,659   Freddie Mac, Series 3688, Class HQ, 6.00%, 11/15/21   1,669 
 328   Freddie Mac, Series 1474, Class E, 7.00%, 2/15/23, Callable 7/15/21 @ 100*   341 
 325   Freddie Mac, Series 1310, Class J, 8.00%, 6/15/22, Callable 7/15/21 @ 100*   334 
 261   Freddie Mac, Series 1312, Class I, 8.00%, 7/15/22, Callable 7/15/21 @ 100*   269 
 786   Government National Mortgage Assoc., 2.00% (H15T1Y + 150 bps), 1/20/23, Pool #8123   794 
 1,785   Government National Mortgage Assoc., 2.00% (H15T1Y + 150 bps), 1/20/25, Pool #8580   1,829 
 968   Government National Mortgage Assoc., 2.00% (H15T1Y + 150 bps), 3/20/26, Pool #8832   980 
 1,383   Government National Mortgage Assoc., 2.00% (H15T1Y + 150 bps), 3/20/29, Pool #80263   1,405 
 344,080   Government National Mortgage Assoc., Series 2013-69, 2.00%, 9/20/42   357,090 
 1,810   Government National Mortgage Assoc., 2.13% (H15T1Y + 150 bps), 12/20/27, Pool #80141   1,881 

  

Shares or        
Principal        
Amount   Security Description  Value 
         
Mortgage Backed Securities†, continued    
U.S. Government Agency Mortgage Backed Securities, continued:    
$4,700   Government National Mortgage Assoc., 2.13% (H15T1Y + 150 bps), 11/20/29, Pool #876947  $4,746 
 223   Government National Mortgage Assoc., 2.50% (H15T1Y + 150 bps), 12/20/21, Pool #8889   223 
 2,881   Government National Mortgage Assoc., 2.50% (H15T1Y + 150 bps), 1/20/25, Pool #8585   2,961 
 9,195   Government National Mortgage Assoc., 2.87% (H15T1Y + 150 bps), 5/20/34, Pool #80916   9,469 
 84   Government National Mortgage Assoc., 6.50%, 12/15/25, Pool #414856   94 
 52   Government National Mortgage Assoc., 7.00%, 4/20/24, Pool #1655   54 
 27   Government National Mortgage Assoc., 7.00%, 11/20/26, Pool #2320   27 
 30,491   Government National Mortgage Assoc., Series 2013-176, Class BE, 7.16%, 3/16/46, Callable 6/16/21 @ 100*(c)   46,060 
 177   Government National Mortgage Assoc., 7.50%, 3/15/24, Pool #376439   180 
         14,491,544 
Total Mortgage Backed Securities (Cost $34,967,016)   35,273,261 
      
Corporate Bonds (15.7%)     
Aerospace & Defense (1.3%)     
 920,000   Boeing Co. (The), 7.95%, 8/15/24   1,116,634 
Banks (4.9%)     
 1,450,000   Bank of America Corp., 3.55% (US0003M + 78 bps), 3/5/24, Callable 3/5/23 @ 100*   1,529,493 
 1,500,000   Mizuho Financial Group, Inc., 2.95%, 2/28/22   1,531,156 
 1,000,000   Mizuho Financial Group, Inc., 3.55%, 3/5/23   1,056,589 
Capital Markets (0.0%^)   4,117,238 
 2,000,000   Lehman Brothers Holdings, Inc., 6.00%, 7/19/12, MTN (e)   14,000 
Oil, Gas & Consumable Fuels (6.6%)     
 2,515,000   HollyFrontier Corp., 2.63%, 10/1/23   2,599,813 
 900,000   ONEOK, Inc., 2.20%, 9/15/25, Callable 8/15/25 @ 100*   925,371 
 1,915,000   ONEOK, Inc., 2.75%, 9/1/24, Callable 8/1/24 @ 100*   2,021,854 
         5,547,038 
Tobacco (2.9%)     
 2,150,000   Altria Group, Inc., 4.40%, 2/14/26, Callable 12/14/25 @ 100*   2,436,808 
Total Corporate Bonds (Cost $13,734,123)   13,231,718 
      
Taxable Municipal Bonds (1.3%)     
Georgia (1.3%)     
 1,000,000   State of Georgia, Build America Bonds, GO, Series H,4.50%,11/1/25   1,098,559 
Total Taxable Municipal Bonds (Cost $1,054,675)   1,098,559 
      
U.S. Government Agency Securities (3.6%)     
Federal Farm Credit Banks     
 1,000,000   1.23%, 9/10/29, Callable 9/10/21 @ 100*   966,950 
Federal Home Loan Banks     
 1,250,000   0.75%, 4/30/27, Callable 7/30/21 @ 100*(c)   1,250,069 
 850,500   1.11%, 5/28/26, Callable 6/28/21 @ 100*   850,520 
         2,100,589 
Total U.S. Government Agency Securities (Cost $3,100,500)   3,067,539 

  

See notes to the schedule of portfolio investments.

- 5 -

 

 

Schedule of Portfolio Investments Limited Duration Fund
May 31, 2021 (Unaudited) Concluded

 

Shares or
Principal
Amount
   Security Description  Value 
      
U.S. Treasury Obligations (9.8%)     
U.S. Treasury Notes     
$4,169,000‌   0.50%,2/28/26  $4,121,122‌ 
 4,000,000‌   1.50%,10/31/24   4,147,187‌ 
Total U.S. Treasury Obligations (Cost $8,070,367)   8,268,309‌ 
      
Investment in Affiliates (3.8%)     
 3,204,243   Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.01%(f)   3,204,243‌ 
Total Investment in Affiliates (Cost $3,204,243)   3,204,243‌ 
      
Total Investments (Cost $84,777,684) - 100.6%   84,826,152‌ 
Liabilities in excess of other assets — (0.6)%   (542,572‌) 
Net Assets - 100.0%  $84,283,580‌ 

 

 
(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 illiquid according to the policies and procedures adopted by the Board of Trustees. At May 31, 2021, illiquid securities were 1.3% of the Fund's net assets.
(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) 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 May 31, 2021.
(d) 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 May 31, 2021.
(e) Issuer has defaulted on the payment of interest.
(f) Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at May 31, 2021.
* Represents next call date. Additional subsequent call dates and amounts may apply to this security.
^ Represents less than 0.05%.
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
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
May 31, 2021 (Unaudited)  

 

Shares or

Principal

Amount

   Security Description  Value 
      
Asset Backed Securities (11.9%)     
$378,755‌   AmeriCredit Automobile Receivables Trust, Series 2016-4, Class D, 2.74%, 12/8/22, Callable 7/8/21 @ 100*   $379,005‌ 
 275,999‌   Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class A, 3.50%, 1/28/55, Callable 7/28/21 @ 100*(a)(b)   283,289‌ 
 378,908   CLI Funding VI LLC, Series 2020-3A, Class A, 2.07%, 10/18/45, Callable 11/18/22 @ 100*(b)   383,514‌ 
 314,438‌   DB Master Finance LLC, Series 2017-1A, Class A2I, 3.63%, 11/20/47, Callable 11/20/21 @ 100*(b)   319,091‌ 
 275,000   Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.66%, 4/25/51, Callable 10/25/25 @ 100*(b)   279,410‌ 
 289,156‌   Longtrain Leasing III LLC, Series 2015-1A, Class A2, 4.06%, 1/15/45, Callable 1/15/25 @ 100*(b)   294,036‌ 
 175,000   Sabey Data Center Issuer LLC, Series 2020-1, Class A2, 3.81%, 3/20/45, Callable 11/20/23 @ 100*(b)   186,554‌ 
 263,233   Textainer Marine Containers VII, Ltd., Series 2A, Class A, 2.23%, 4/20/46, Callable 4/20/23 @ 100*(b)   266,519‌ 
 300,000   Vantage Data Centers LLC, Series 2020-1A, Class A2, 1.65%, 9/15/45, Callable 9/15/23 @ 100*(b)   300,317‌ 
 290,650   VR Funding LLC, Series 2020-1A, Class A, 2.79%, 11/15/50, Callable 11/15/23 @ 100*(b)   286,213‌ 
 155,000   Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.10%, 5/15/46, Callable 5/15/29 @ 100*(b)   154,992‌ 
Total Asset Backed Securities (Cost $3,113,543)   3,132,940 
      
Mortgage Backed Securities† (22.2%)     
Alt-A - Adjustable Rate Mortgage Backed Securities (0.5%)     
 131,618   Bear Stearns Alternative-A Trust, Series 2005-7, Class 11A1, 0.65% (US0001M + 54 bps), 8/25/35, Callable 6/25/21 @ 100*   132,701‌ 
Alt-A - Fixed Rate Mortgage Backed Securities (2.0%)     
 54,162   Chaseflex Trust, Series 2005-2, Class 1A1, 6.00%, 6/25/35, Callable 6/25/21 @ 100*   48,021‌ 
 3,403   Countrywide Alternative Loan Trust, Series 2005-3CB, Class 1A4, 5.25%, 3/25/35, Callable 6/25/21 @ 100*   3,355‌ 
 10,378   Countrywide Alternative Loan Trust, Series 2004-5CB, Class 1A1, 6.00%, 5/25/34, Callable 6/25/21 @ 100*   10,697‌ 
 70,645   Countrywide Alternative Loan Trust, Series 2006-J8, Class A2, 6.00%, 2/25/37, Callable 2/25/23 @ 100*   45,459‌ 
 52,137‌   Deutsche Alternative-A Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A3, 4.97%, 6/25/36, Callable 6/25/21 @ 100*(a)   51,837‌ 
 9,817   Master Alternative Loans Trust, Series 2004-1, Class 4A1, 5.50%, 2/25/34, Callable 6/25/21 @ 100*   10,137‌ 
 3,768   Master Alternative Loans Trust, Series 2004-13, Class 12A1, 5.50%, 12/25/19, Callable 6/25/21 @ 100*   3,485‌ 

 

Shares or
Principal
Amount
   Security Description  Value 
         
Mortgage Backed Securities†, continued     
Alt-A - Fixed Rate Mortgage Backed Securities, continued:     
$12,029   Master Alternative Loans Trust, Series 2004-4, Class 1A1, 5.50%, 5/25/34, Callable 6/25/21 @ 100*  $12,387‌ 
 154   ‌Master Alternative Loans Trust, Series 2005-1, Class 5A1, 5.50%, 1/25/20, Callable 7/25/25 @ 100*   150‌ 
 31,175   ‌Master Alternative Loans Trust, Series 2004-6, Class 10A1, 6.00%, 7/25/34, Callable 6/25/21 @ 100*   32,497‌ 
 19,629‌   Master Alternative Loans Trust, Series 2004-6, Class 7A1, 6.00%, 7/25/34, Callable 6/25/21 @ 100*   20,453‌ 
 7,408‌   Master Alternative Loans Trust, Series 2003-7, Class 6A1, 6.50%, 12/25/33, Callable 6/25/21 @ 100*   7,790‌ 
 14,843   ‌Master Alternative Loans Trust, Series 2004-4, Class 8A1, 6.50%, 5/25/34, Callable 6/25/21 @ 100*   15,432‌ 
 27,357   ‌Master Alternative Loans Trust, Series 2004-6, Class 6A1, 6.50%, 7/25/34, Callable 6/25/21 @ 100*   28,890‌ 
 4,911‌   Nomura Asset Acceptance Corp., Series 2005-AP1, Class 2A5, 5.36%, 2/25/35, Callable 6/25/21 @ 100*(a)(c)   5,027‌ 
 25,731   ‌Nomura Asset Acceptance Corp., Series 2005-AP2, Class A5, 5.48%, 5/25/35, Callable 6/25/21 @ 100*(a)(c)   17,110‌ 
 1,147   ‌Nomura Asset Acceptance Corp., Series 2005-WF1, Class 2A5, 5.66%, 3/25/35, Callable 6/25/21 @ 100*(a)(c)   1,166‌ 
 86,480   ‌Nomura Asset Acceptance Corp., Series 2006-AF1, Class 1A2, 6.16%, 5/25/36, Callable 6/25/21 @ 100*(a)   27,527‌ 
 38,489   ‌Ocwen Residential MBS Corp., Series 1998-R1, Class B1, 3.43%, 10/25/40, Callable 6/25/21 @ 100*(a)(b)   29,697‌ 
 2‌   Residential Accredit Loans, Inc., Series 2003-QS18, Class A1, 5.00%, 9/25/18, Callable 6/25/21 @ 100*   2‌ 
 2,805   ‌Residential Accredit Loans, Inc., Series 2006-QS18, Class 3A3, 5.75%, 12/25/21, Callable 6/25/21 @ 100*   2,714‌ 
 10,119‌   Residential Accredit Loans, Inc., Series 2006-QS5, Class A9, 6.00%, 5/25/36, Callable 6/25/21 @ 100*   9,667‌ 
 26,013   ‌Residential Accredit Loans, Inc., Series 2006-QS12, Class 1A2, 6.50%, 9/25/36, Callable 6/25/21 @ 100*   17,736‌ 
 39,442   ‌Residential Asset Securitization Trust, Series 2005-A14, Class A5, 5.50%, 12/25/35, Callable 11/25/21 @ 100*   28,240‌ 
 43,302   ‌Residential Asset Securitization Trust, Series 2006-A8, Class 1A1, 6.00%, 8/25/36, Callable 11/25/26 @ 100*   35,165‌ 
 44,713   ‌Washington Mutual Mortgage Pass-Through Certificates, Series 2005-6, Class 1CB, 6.50%, 8/25/35, Callable 6/25/21 @ 100*   44,577‌ 
         509,218‌ 

 

See notes to the schedule of portfolio investments.

- 7 -

 

 

Schedule of Portfolio Investments Moderate Duration Fund
May 31, 2021 (Unaudited) Continued

 

Shares or
Principal
Amount
   Security Description  Value 
      
Mortgage Backed Securities†, continued     
Prime Adjustable Rate Mortgage Backed Securities (3.5%)     
$6,462‌   Bank of America Funding Corp., Series 2004-B, Class 5A1, 2.90%, 11/20/34, Callable 6/20/21 @ 100*(a)  $6,489‌ 
 1,912   Bear Stearns Mortgage Trust, Series 2003-7, Class 4A, 2.72%, 10/25/33, Callable 6/25/21 @ 100*(a)   2,053‌ 
 4,607   Bear Stearns Mortgage Trust, Series 2004-9, Class 12A3, 2.85%, 11/25/34, Callable 6/25/21 @ 100*(a)   4,915‌ 
 10,900   Countrywide Home Loans, Series 2004-2, Class 2A1, 2.65%, 2/25/34, Callable 6/25/21 @ 100*(a)   10,394‌ 
 3,230‌   Countrywide Home Loans, Series 2004-12, Class 10A1, 3.04%, 8/25/34, Callable 6/25/21 @ 100*(a)   3,166‌ 
 10,535   HomeBanc Mortgage Trust, Series 2006-1, Class 1A1, 1.87%, 4/25/37, Callable 6/25/21 @ 100*(a)   9,475‌ 
 23,438‌   JPMorgan Mortgage Trust, Series 2005-A1, Class 3A4, 2.70%, 2/25/35, Callable 6/25/21 @ 100*(a)   23,198‌ 
 3,862‌   JPMorgan Mortgage Trust, Series 2006-A2, Class 2A1, 2.80% (US0003M + 101 bps), 4/25/36, Callable 7/25/21 @ 100*   3,808‌ 
 18,364   JPMorgan Mortgage Trust, Series 2006-A6, Class 1A4L, 3.33%, 10/25/36, Callable 6/25/21 @ 100*(a)   16,054‌ 
 197,485   JPMorgan Mortgage Trust, Series 2005-A6, Class 3A3, 3.39%, 9/25/35, Callable 6/25/21 @ 100*(a)   201,042‌ 
 281,352   LSTAR Securities Investment, Ltd., Series 2019-4, Class A1, 2.61% (US0001M + 150 bps), 5/1/24(b)   279,896‌ 
 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).   100,251‌ 
 260,221‌   WinWater Mortgage Loan Trust, Series 2014-1, Class A1, 3.85%, 6/20/44, Callable 1/20/22 @ 100*(a)(b)   263,431‌ 
         924,172‌ 
Prime Fixed Mortgage Backed Securities (5.8%)     
 3,833   American Home Mortgage Investment Trust, Series 2005-2, Class 5A1, 5.56%, 9/25/35, Callable 6/25/21 @ 100*(a)(c)   3,722‌ 
 257,574   Angel Oak Mortgage Trust, Series 2019-5, Class A1, 2.59%, 10/25/49, Callable 10/25/21 @ 100*(a)(b)   258,900‌ 
 13,909   Chase Mortgage Finance Corp., Series 2007-S2, Class 2A1, 5.50%, 3/25/37, Callable 6/25/21 @ 100*   9,137‌ 
 7,445‌   Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 3A1, 6.50%, 4/25/35   7,851‌ 
 8,018‌   Citigroup Mortgage Loan Trust, Inc., Series 2004-NCM1, Class 1A3, 6.75%, 7/25/34, Callable 6/25/21 @ 100*   8,409‌ 
 3,469   Countrywide Alternative Loan Trust, Series 2003-J3, Class 2A1, 6.25%, 12/25/33, Callable 6/25/21 @ 100*   3,527‌ 
 1,851   Countrywide Home Loans, Series 2004-J6, Class 1A2, 5.25%, 8/25/24, Callable 6/25/21 @ 100*   1,857‌ 

 

Shares or
Principal
Amount
   Security Description  Value 
      
Mortgage Backed Securities†, continued     
Prime Fixed Mortgage Backed Securities, continued:     
$7,503   ‌Countrywide Home Loans, Series 2005-29, Class A1, 5.75%, 12/25/35, Callable 6/25/21 @ 100*  $5,476‌ 
 4,023‌   Credit Suisse First Boston Mortgage Securities Corp., Series 2004-1, Class 4A1, 5.00%, 12/31/99, Callable 6/25/21 @ 100*   4,104‌ 
 17,322‌   Credit Suisse First Boston Mortgage Securities Corp., Series 2003-27, Class 8A1, 6.00%, 11/25/33, Callable 6/25/21 @ 100*   18,020‌ 
 6,603‌   Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1, 6.50%, 4/25/33, Callable 6/25/21 @ 100*   6,862‌ 
 38,225‌   Flagstar Mortgage Trust, Series 2019-2, Class A3, 3.50%, 12/25/49, Callable 9/25/23 @ 100*(a)(b)   38,351‌ 
 50,274‌   Galton Funding Mortgage Trust, Series 2017-1, Class A21, 3.50%, 7/25/56, Callable 9/25/28 @ 100*(a)(b)   50,991‌ 
 255,724‌   GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ3, Class A14, 3.00%, 10/25/50, Callable 10/25/24 @ 100*(a)(b)   261,718‌ 
 162,256‌   GSR Mortgage Loan Trust, Series 2004-13F, Class 2A1, 4.25%, 11/25/34, Callable 6/25/21 @ 100*   163,881‌ 
 108‌   GSR Mortgage Loan Trust, Series 2004-10F, Class 2A4, 5.00%, 8/25/19, Callable 6/25/21 @ 100*   108‌ 
 827   GSR Mortgage Loan Trust, Series 2003-2F, Class 3A1, 6.00%, 3/25/32, Callable 6/25/21 @ 100*   870‌ 
 19,738   Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 3A, 6.00%, 4/25/34, Callable 2/25/24 @ 100*   21,009‌ 
 407,214   New Residential Mortgage Loan Trust, Series 2019-NQM3, Class A1, 2.80%, 7/25/49, Callable 6/25/21 @ 100*(a)(b)   409,633‌ 
 1,607   Prime Mortgage Trust, Series 2004-CL1, Class 1A1, 6.00%, 2/25/34, Callable 6/25/21 @ 100*   1,631‌ 
 36,032   Residential Asset Mortgage Products, Inc., Series 2005-SL2, Class A3, 7.00%, 2/25/32, Callable 7/25/31 @ 100*   33,841‌ 
 144,896‌   Sequoia Mortgage Trust, Series 2013-1, Class 2A1, 1.86%, 2/25/43, Callable 6/25/21 @ 100*(a)(b)   145,281‌ 
 64,606‌   Sequoia Mortgage Trust, Series 2017-2, Class A4, 3.50%, 2/25/47, Callable 3/25/23 @ 100*(a)(b)   64,743‌ 
 9,654‌   Structured Asset Mortgage Investments, Inc., Series 1999-2, Class 3A, 6.75%, 5/25/29, Callable 6/25/21 @ 100*   10,029‌ 
 88‌   Structured Asset Securities Corp., Series 1997-2, Class 2A4, 7.25%, 3/28/30, Callable 6/28/21 @ 100*   91‌ 
 942‌   Washington Mutual Mortgage Pass-Through Certificates, Series 2003-S11, Class 1A, 5.00%, 11/25/33, Callable 6/25/21 @ 100*   974‌ 
 589‌   Washington Mutual Mortgage Pass-Through Certificates, Series 2004-RA1, Class 2A, 7.00%, 3/25/34, Callable 5/25/28 @ 100*   628‌ 
         1,531,644‌ 

  

See notes to the schedule of portfolio investments.

- 8 -

 

 

Schedule of Portfolio Investments Moderate Duration Fund
May 31, 2021 (Unaudited) Continued

 

Shares or        
Principal        
Amount   Security Description  Value 
         
Mortgage Backed Securities†, continued     
Subprime Mortgage Backed Securities (0.9%)     
$70,381‌   Towd Point Mortgage Trust, Series 2018-1, Class A1, 3.00%, 1/25/58, Callable 7/25/25 @ 100*(a)(b)  $72,839 
  157,724‌   Towd Point Mortgage Trust, Series 2018-2, Class A1, 3.25%, 3/25/58, Callable 11/25/25 @ 100*(a)(b)   164,020 
          236,859‌ 
U.S. Government Agency Mortgage Backed Securities (9.5%)     
  33,117‌   Fannie Mae, Series 2013-68, Class 10A1, 1.00%, 3/25/42   32,780 
  58‌   Fannie Mae, Series 1992-45, Class F, 1.30% (T7Y), 4/25/22   58 
  180,886‌   Fannie Mae, Series 2012-30, Class BA, 2.00%, 6/25/41   186,900 
  104,779‌   Fannie Mae, Series 2012-8, Class KA, 2.00%, 6/25/41   107,334 
  37,410‌   Fannie Mae, Series 2013-18, Class 10A1, 2.00%, 12/25/42   38,441 
  1,534‌   Fannie Mae, 2.20% (US0012M + 162 bps), 9/1/33, Pool #739372   1,547 
  1,863‌   Fannie Mae, 2.23% (US0012M + 186 bps), 1/1/37, Pool #906675   1,866 
  62,616‌   Fannie Mae, Series 2013-74, Class 10A1, 2.25%, 6/25/42(a)   64,823 
  90,208‌   Fannie Mae, Series 2010-100, Class LA, 2.50%, 7/25/40   94,145 
  96,814‌   Fannie Mae, Series 2014-61, Class P, 2.50%, 7/25/44   101,418 
  103,643‌   Fannie Mae, Series 2015-12, Class PC, 2.50%, 7/25/44   105,922 
  194,131‌   Fannie Mae, Series 2017-M5, Class A1, 2.74%, 4/25/29   207,714 
  90,382‌   Fannie Mae, Series 2011-118, Class 10A1, 3.00%,11/25/41   96,858 
  168,431‌   Fannie Mae, Series 2015-59, Class LM, 3.00%, 7/25/45   178,491 
  226,637‌   Fannie Mae, Series 2018-M12, Class A1, 3.55%, 2/25/30   253,771 
  115‌   Fannie Mae, 6.00%, 4/1/35, Pool #735503   133 
  769‌   Fannie Mae, Series 2001-55, Class PC, 6.50%, 10/25/31   898 
  10,413‌   Fannie Mae, Series 2003-W2, Class 1A2, 7.00%, 7/25/42, Callable 6/25/21 @ 100*   12,532 
  402‌   Fannie Mae, Series 2002-T1, Class A3, 7.50%, 11/25/31, Callable 6/25/21 @ 100*   470 
  196‌   Fannie Mae, Series 1992-31, Class M, 7.75%, 3/25/22   200 
  8‌   Fannie Mae, Series G-32, Class L, 8.00%, 10/25/21   9 
  1‌   Fannie Mae, Series G-32, Class N, 8.10%, 10/25/21   1 
  15‌   Freddie Mac, Series 1222, Class P, 1.20% (T10Y - 40 bps), 3/15/22, Callable 7/15/21 @ 100*   14 
  20,340‌   Freddie Mac, Series 4146, Class 10A1, 1.50%, 10/15/42   20,772 
  96,918   Freddie Mac, Series 4220, Class KC, 1.50%, 5/15/32   99,292 
  28,629‌   Freddie Mac, Series 3936, Class LA, 2.00%, 6/15/40   28,849 

 

Shares or         
Principal         
Amount   Security Description   Value 
          
Mortgage Backed Securities†, continued     
U.S. Government Agency Mortgage Backed Securities, continued:     
$93,474‌   Freddie Mac, Series 4076, Class QC, 2.00%, 11/15/41  $95,549‌ 
 ‌103,181‌   Freddie Mac, Series 4408, Class GA, 2.00%, 9/15/41   106,046‌ 
 70,593‌ ‌   Freddie Mac, Series 4461, Class EA, 2.00%, 7/15/37   72,492‌ 
 239,611‌   Freddie Mac, Series 3908, Class B, 2.50%, 6/15/39   252,159‌ 
 58,658‌ ‌   Freddie Mac, Series 4312, Class 10A1, 2.50%, 12/15/41   60,595‌ 
 81,894‌ ‌   Freddie Mac, Series 4316, Class JY, 3.00%, 1/15/44   87,236‌ 
 37,949‌ ‌   Freddie Mac, Series 4332, Class NH, 3.00%, 9/15/43   38,815‌ 
 10,630‌ ‌   Freddie Mac, 5.37% (H15T1Y + 228 bps), 8/1/34, Pool #755230   10,747‌ 
 62‌ ‌   Freddie Mac, Series 1136, Class H, 6.00%, 9/15/21, Callable 7/15/21 @ 100*   63‌ 
 469‌ ‌   Freddie Mac, Series 1379, Class H, 7.00%, 10/15/22, Callable 7/15/21 @ 100*   483‌ 
 689‌ ‌   Freddie Mac, Series 1714, Class K, 7.00%, 4/15/24, Callable 7/15/21 @ 100*   735‌ 
 978‌ ‌   Freddie Mac, Series 1904, Class D, 7.50%, 10/15/26, Callable 7/15/21 @ 100*   1,097‌ 
 10‌ ‌   Freddie Mac, Series 1119, Class H, 7.75%, 8/15/21, Callable 7/15/21 @ 100*   10‌ 
 407‌ ‌   Freddie Mac, Series 1281, Class I, 8.00%, 5/15/22, Callable 7/15/21 @ 100*   415‌ 
 769‌ ‌   Freddie Mac, Series 1310, Class J, 8.00%, 6/15/22, Callable 7/15/21 @ 100*   790‌ 
 3,065‌ ‌   Government National Mortgage Assoc., Series 2013-104, Class DC, 2.00%, 4/20/40   3,087‌ 
 73,732‌ ‌   Government National Mortgage Assoc., Series 2013-69, 2.00%, 9/20/42   76,519‌ 
 14,703‌ ‌   Government National Mortgage Assoc., Series 2010-69, Class MC, 2.50%, 4/20/40   14,800‌ 
 8,775‌ ‌   Government National Mortgage Assoc., Series 2010-98, Class CH, 3.00%, 10/20/39   8,846‌ 
 ‌25,511‌   Government National Mortgage Assoc., Series 2010-98, Class MG, 3.00%, 8/20/39   26,077‌ 
 ‌4,476‌   Government National Mortgage Assoc., 7.00%, 3/15/26, Pool #419128   4,495‌ 
 ‌55‌   Government National Mortgage Assoc., 7.00%, 3/20/27, Pool #2394   61‌ 
 ‌501‌   Government National Mortgage Assoc., 8.00%, 5/15/23, Pool #343406   503‌ 
 ‌281‌   Government National Mortgage Assoc., 8.00%, 10/20/24, Pool #1884   298‌ 
 ‌38‌   Government National Mortgage Assoc., 8.00%, 2/20/26, Pool #2171   42‌ 
 ‌15‌   Government National Mortgage Assoc., 8.00%, 3/20/26, Pool #2187   15‌ 
 ‌1,065‌   Government National Mortgage Assoc., 8.00%, 4/20/26, Pool #2205   1,150‌ 
 ‌3,146‌   Government National Mortgage Assoc., 8.00%, 5/20/26, Pool #2219   3,440‌ 
        2,501,803 
Total Mortgage Backed Securities (Cost $5,778,895)   5,836,397 

 

See notes to the schedule of portfolio investments.

- 9 -

 

 

Schedule of Portfolio Investments Moderate Duration Fund
May 31, 2021 (Unaudited) Continued

 

Shares or         
Principal         
Amount   Security Description   Value 
           
Corporate Bonds (27.9%)     
Aerospace & Defense (1.8%)     
$450,000‌   Boeing Co. (The), 3.25%, 2/1/28, Callable 12/1/27 @ 100*  $473,835‌ 
Airlines (1.0%)     
 247,429‌   United Airlines Pass Through Trust, Series 2020-1, Class A, 5.88%, 4/15/29   273,489‌ 
Banks (3.2%)     
 510,000‌   Bank of America Corp., 3.55% (US0003M + 78 bps), 3/5/24, Callable 3/5/23 @ 100 *   537,960‌ 
 290,000‌   Wells Fargo & Co., 3.00%, 10/23/26   314,471‌ 
         852,431‌ 
Beverages (1.0%)     
 240,000‌   PepsiCo, Inc., 2.75%, 3/19/30, Callable 12/19/29 @ 100*   255,994‌ 
Capital Markets (1.2%)     
 290,000‌   Goldman Sachs Group, Inc., 3.50%, 11/16/26, Callable 11/16/25 @ 100 *   316,962‌ 
Diversified Financial Services (1.2%)     
 300,000‌   National Rural Utilities Cooperative Finance Corp., 3.25%, 11/1/25, Callable 8/1/25 @ 100 *   326,226‌ 
Electric Utilities (1.1%)     
 275,000‌   Entergy Mississippi LLC, 3.25%, 12/1/27, Callable 9/1/27 @ 100 *   300,246‌ 
Entertainment (2.1%)     
 215,000‌   The Walt Disney Co., 2.00%, 9/1/29, Callable 6/1/29 @ 100*   214,109‌ 
 300,000‌   Walt Disney Co. (The), 3.35%, 3/24/25   327,238‌ 
         541,347‌ 
Equity Real Estate Investment Trusts (0.5%)     
 136,851   ‌  JBG/Rockville NCI Campus LLC, Series 2010-A, 3.90%, 7/15/23 (b)   139,666‌ 
Food Products (1.2%)     
 300,000‌   Mars, Inc., 3.20%, 4/1/30, Callable 1/1/30 @ 100 *(b)   325,351‌ 
Health Care Providers & Services (2.5%)     
 225,000‌   Ascension Health, Series B, 2.53%, 11/15/29, Callable 8/15/29 @ 100 *   233,407‌ 
 370,000‌   Sutter Health, 3.70%, 8/15/28, Callable 5/15/28 @ 100*   409,005‌ 
         642,412‌ 
Hotels, Restaurants & Leisure (1.8%)     
 425,000‌   Hyatt Hotels Corp., 4.38%, 9/15/28, Callable 6/15/28 @ 100*   463,784‌ 
Household Durables (1.7%)     
 400,000   Harman International Industries, Inc., 4.15%, 5/15/25, Callable 2/15/25 @ 100 *   440,784‌ 
Insurance (1.2%)     
 300,000‌   Jackson National Life Global Funding, 2.65%, 6/21/24 (b)   316,073‌ 
Internet & Direct Marketing Retail (1.4%)     
 335,000‌   Expedia Group, Inc., 3.80%, 2/15/28, Callable 11/15/27 @ 100*   361,138‌ 
Oil, Gas & Consumable Fuels (1.5%)     
 380,000‌   HollyFrontier Corp., 2.63%, 10/1/23   392,815‌ 
Semiconductors & Semiconductor Equipment (2.0%)     
 460,000‌   Broadcom, Inc., 4.75%, 4/15/29, Callable 1/15/29 @ 100*   526,489‌ 
Technology Hardware, Storage & Peripherals (1.5%)     
 350,000‌   Apple, Inc., 3.20%, 5/11/27, Callable 2/11/27 @ 100*   386,700‌ 
Total Corporate Bonds (Cost $7,176,163)   7,335,742‌ 

 

Shares or         
Principal         
Amount   Security Description   Value 
          
Taxable Municipal Bonds (18.1%)     
Alabama (1.2%)     
$ 300,000‌   The Water Works Board City of Birmingham Revenue, 2.60%, 1/1/27   $322,743‌ 
California (2.4%)     
 600,000‌   Riverside Unified School District, GO, 2.27%, 2/1/25   635,276‌ 
Colorado (1.1%)     
 150,000‌   Colorado Housing and Finance Authority Revenue, Series I-1, Class I, 0.86%, 11/1/23, GNMA: GOV. NATL MTGE ASSOCIATION   150,950‌ 
 150,000‌   Colorado Housing and Finance Authority Revenue, Series I-1, Class I, 1.11%, 5/1/25, GNMA: GOV. NATL MTGE ASSOCIATION   150,666‌ 
         301,616‌ 
Michigan (1.1%)     
 300,000‌   River Rouge School District, GO, 1.89%, 5/1/30, Insured by: Q-SBLF   294,738‌ 
New York (2.4%)     
 300,000‌   New York City Housing Development Corp. Revenue, Series L, 2.84%, 11/1/28, Continuously Callable @ 100   315,345‌ 
 300,000   New York City Transitional Finance Authority Revenue, 2.63%, 11/1/29   318,285‌ 
         633,630‌ 
Rhode Island (1.6%)     
 400,000‌   Rhode Island Convention Center Authority Revenue, 3.15%, 5/15/25   412,142‌ 
Texas (3.1%)     
 500,000‌   Austin Community College District Revenue, 0.93%, 2/1/25   498,875‌ 
 300,000‌   Midland County Fresh Water Supply District No. 1 Revenue, 2.37%, 9/15/26   310,570‌ 
         809,445‌ 
Utah (1.1%)     
 300,000‌   Utah Transit Authority Revenue, 2.04%, 12/15/31, Continuously Callable @ 100   299,741‌ 
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   279,589‌ 
Washington (1.2%)     
 300,000‌   Pierce County School District No 10 Tacoma, GO, 0.53%, 12/1/23, SCH BD GTY   302,002‌ 
Wisconsin (1.8%)     
 465,000‌   Public Financial Authority Wisconsin Revenue, 4.45%, 10/1/25, Insured by: AGC   482,951‌ 
Total Taxable Municipal Bonds (Cost $4,662,970)   4,773,873‌ 
      
U.S. Government Agency Securities (2.1%)     
Federal Home Loan Banks     
 275,000‌   0.65%, 4/28/26, Callable 7/28/21 @ 100 *(a)   275,098‌ 
 285,000   1.30%, 3/17/27, Callable 6/17/21 @ 100*   284,306 
Total U.S. Government Agency Securities (Cost $560,000)   559,404 
      
U.S. Treasury Obligations (13.2%)     
U.S. Treasury Notes     
 1,943,000‌   2.00%, 4/30/24   2,039,239‌ 
 1,332,000‌   2.25%, 2/15/27   1,426,229‌ 
Total U.S. Treasury Obligations (Cost $3,455,057)   3,465,468‌ 

 

See notes to the schedule of portfolio investments.

- 10 -

 

 

Schedule of Portfolio Investments Moderate Duration Fund
May 31, 2021 (Unaudited) Concluded

 

 

Shares or
Principal
Amount
   Security Description  Value 
         
Investment in Affiliates (4.3%)     
 1,118,444   Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.1%(d)   $1,118,444 
Total Investment in Affiliates (Cost $1,118,444)   1,118,444 
           
Total Investments (Cost $25,865,072) - 99.7%   26,222,268 
Other assets in excess of liabilities — 0.3%   88,477 
Net Assets - 100.0%  $26,310,745 

  

 

(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 May 31, 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 May 31, 2021.
(d)Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at May 31, 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.

 

AGC Assured Guaranty Corporation
GNMA Government National Mortgage Association
GO General Obligation
H15T1Y 1 Year Treasury Constant Maturity Rate
LIBOR London Interbank Offered Rate
Q-SBLF Qualified School Bond Loan Fund
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
May 31, 2021 (Unaudited)

 

Shares or
Principal 
Amount
    Security Description     Value  
               

Asset Backed Securities (8.9%)

   
$679,809    Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class A, 3.50%, 1/28/55, Callable 7/28/21 @ 100*(a)(b)   $697,766‌ 
 20,931    Bear Stearns Asset Backed Securities, Inc., Series 2003-AC7, Class A1, 5.50%, 1/25/34, Callable 6/25/21 @ 100*(a)(c)    21,230 
 634,280    ‌BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class B, 3.78%, 9/26/33, Callable 4/25/26 @ 100*(b)   661,781 
 967,500    DB Master Finance LLC, Series 2017-1A, Class A2I, 3.63%, 11/20/47, Callable 11/20/21 @ 100*(b)    981,819‌ 
 838,062    Longtrain Leasing III LLC, Series 2015-1A, Class A2, 4.06%, 1/15/45, Callable 1/15/25 @ 100*(b)    852,207‌ 
 31    RAAC, Series 2004-SP1, Class AI4, 5.29%, 8/25/27, Callable 6/25/21 @ 100*(a)   31 
 415,000    Sabey Data Center Issuer LLC, Series 2020-1, Class A2, 3.81%, 3/20/45, Callable 11/20/23 @ 100*(b)    442,399‌ 
 928,625‌     Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.54%, 2/25/44, Callable 2/25/23 @ 100*(b)    986,781 
 31,706‌     Structured Asset Securities Corp., Series 2003-AL2, Class A, 3.36%, 1/25/31, Callable 6/25/21 @ 100*(b)   31,640‌  
 937,542    Textainer Marine Containers VIII, Ltd., Series 2AA, Class A, 2.10%, 9/20/45, Callable 9/20/22 @ 100*(b)    949,676‌ 
 1,022,875    TIF Funding II LLC, Series 2021-1A, Class A, 1.65%, 2/20/46, Callable 2/20/23 @ 100*(b)    1,005,290‌ 
 985,833‌      Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.86%, 3/20/46, Callable 4/20/23 @ 100*(b)    977,628‌ 
 500,000     TRP-TRIP Rail Master Funding LLC, Series 2021-2, Class A, 2.15%, 6/19/51, Callable 6/17/22 @ 100*(b)    500,575‌ 
 280,200‌    UBS Commercial Mortgage Trust, Series 2018-C10, Class A1, 3.18%, 5/15/51, Callable 3/15/23 @ 100*    286,576‌ 
 600,000     Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.10%, 5/15/46, Callable 5/15/29 @ 100*   599,969‌ 
 530,000     ZAXBY'S Funding LLC, Series 2021-1A, Class A2, 3.24%, 7/30/51, Callable 7/30/25 @ 100*(b)    530,000‌ 
Total Asset Backed Securities (Cost $9,447,283)    9,525,368‌ 

 

Mortgage Backed Securities† (17.1%)      
Alt-A - Adjustable Rate Mortgage Backed Securities (0.5%)        
  424,611‌     Bear Stearns Alternative-A Trust, Series 2005-7, Class 11A1, 0.65% (US0001M + 54 bps), 8/25/35, Callable 6/25/21 @ 100     428,107‌  
  62,949     ‌Bear Stearns Alternative-A Trust, Series 2006-6, Class 32A1, 3.07%, 11/25/36, Callable 5/25/22 @ 100*(a)     42,093  
  7,164     JPMorgan Alternative Loan Trust, Series 2006-S4, Class A6, 5.71%, 12/25/36, Callable 6/25/21 @ 100*(a)(c)     7,264‌  
              477,464‌  

  

Shares or
Principal 
Amount
    Security Description     Value  
               
Mortgage Backed Securities†, continued   
Alt-A - Fixed Rate Mortgage Backed Securities (0.7%)     
$11,380   Bank of America Alternative Loan Trust, Series 2006-4, Class CB1, 6.50%, 5/25/46, Callable 6/25/21 @ 100*   $11,367‌ 
 32,497‌   Chaseflex Trust, Series 2005-2, Class 1A1, 6.00%, 6/25/35, Callable 6/25/21 @ 100*    28,813‌ 
 22,511‌   Chaseflex Trust, Series 2007-1, Class 1A3, 6.50%, 2/25/37, Callable 6/25/21 @ 100*    12,016‌ 
 53,951   Countrywide Alternative Loan Trust, Series 2005- 46CB, Class A3, 5.50%, 10/25/35, Callable 6/25/21 @ 100*    49,862‌ 
 7,165‌   Countrywide Alternative Loan Trust, Series 2006-8T1, Class 2A3, 5.50%, 4/25/36, Callable 6/25/21 @ 100*      6,827‌ 
 8,062‌   Countrywide Alternative Loan Trust, Series 2004-22CB, Class 1A1, 6.00%, 10/25/34, Callable 6/25/21 @ 100*    8,314‌ 
 25,324‌   Countrywide Alternative Loan Trust, Series 2006-8T1, Class 1A4, 6.00%, 4/25/36, Callable 6/25/21 @ 100*      17,636‌ 
 165,817   Countrywide Alternative Loan Trust, Series 2007-9T1, Class 1A7, 6.00%, 5/25/37, Callable 6/25/21 @ 100*      109,597‌ 
 185,807   Countrywide Alternative Loan Trust, Series 2006-36T2, Class 2A4, 6.25%, 12/25/36, Callable 10/25/27 @ 100*    118,479‌ 
 3,376‌   Master Alternative Loans Trust, Series 2003-8, Class 3A1, 5.50%, 12/25/33, Callable 6/25/21 @ 100*    3,402‌ 
 2,608‌   Master Alternative Loans Trust, Series 2004-13, Class 8A1, 5.50%, 1/25/25, Callable 6/25/21 @ 100*    2,414‌ 
 18,430‌   Master Alternative Loans Trust, Series 2005-3, Class 1A1, 5.50%, 4/25/35, Callable 8/25/22 @ 100*      18,660‌ 
 45,000   Master Alternative Loans Trust, Series 2004-3, Class 3A1, 6.00%, 4/25/34, Callable 6/25/21 @ 100*      45,583‌ 
 38,969‌   Master Alternative Loans Trust, Series 2004-6, Class 10A1, 6.00%, 7/25/34, Callable 6/25/21 @ 100*    40,621‌ 
 19,629‌   Master Alternative Loans Trust, Series 2004-6, Class 7A1, 6.00%, 7/25/34, Callable 6/25/21 @ 100*      20,453‌ 
 17,492‌   Master Alternative Loans Trust, Series 2005-3, Class 7A1, 6.00%, 4/25/35, Callable 12/25/21 @ 100*    17,260‌ 
 2,018‌   Master Alternative Loans Trust, Series 2003-7, Class 5A1, 6.25%, 11/25/33, Callable 6/25/21 @ 100*    2,092‌ 
 9,364‌   Master Alternative Loans Trust, Series 2004-3, Class 2A1, 6.25%, 4/25/34, Callable 6/25/21 @ 100*       9,498‌ 
 14,456‌   Residential Accredit Loans, Inc., Series 2006-QS5, Class A9, 6.00%, 5/25/36, Callable 6/25/21 @ 100*    13,810‌ 
 191,552‌   Residential Asset Securitization Trust, Series 2005-A9, Class A3, 5.50%, 7/25/35, Callable 6/25/21 @ 100*    154,256‌ 

  

See notes to the schedule of portfolio investments.

- 12 -

 

 

Schedule of Portfolio Investments Bond Fund
May 31, 2021 (Unaudited) Continued

 

Shares or
Principal 
Amount
    Security Description     Value  
               
Mortgage Backed Securities†, continued   
Alt-A - Fixed Rate Mortgage Backed Securities, continued:     
$117,584‌    Residential Asset Securitization Trust, Series 2006-A2, Class A3, 6.00%, 5/25/36, Callable 3/25/22 @ 100*   $70,130‌ 
Prime Adjustable Rate Mortgage Backed Securities (2.3%)   761,090‌ 
 4,653   JPMorgan Mortgage Trust, Series 2006-A4, Class 3A1, 2.97%, 6/25/36, Callable 6/25/21 @ 100*(a)   3,896‌ 
 140,524‌   JPMorgan Mortgage Trust, Series 2005-A6, Class 2A4, 3.01%, 8/25/35, Callable 6/25/21 @ 100*(a)   142,278‌ 
 1,339,770‌   LSTAR Securities Investment, Ltd., Series 2019-4, Class A1, 2.61% (US0001M + 150 bps), 5/1/24(b)   1,332,839‌ 
 500,000‌   Mello Warehouse Securitization Trust, Series 2021-1, Class A, 0.81% (US0001M + 70 bps), 2/25/55, Callable 2/25/24 @ 100*(b)   500,596‌ 
 150,000   Mello Warehouse Securitization Trust, Series 2021-1, Class 21-C, 1.21% (US0001M + 110 bps), 2/25/55, Callable 2/25/24 @ 100*(b)   150,411‌ 
 270,000‌   Mello Warehouse Securitization Trust, Series 2020-2, Class C, 1.39% (US0001M + 130 bps), 11/25/53, Callable 12/25/23 @ 100*(b)   270,676‌ 
 15,360‌   MLCC Mortgage Investors, Inc., Series 2004-HB1, Class A3, 1.94%, 4/25/29, Callable 6/25/21 @ 100*(a)   15,050‌ 
 4,363‌   Structured Adjustable Rate Mortgage Loan Trust, Series 2006-5, Class 4A1, 2.75%, 6/25/36, Callable 6/25/21 @ 100*(a)   3,437‌ 
Prime Fixed Mortgage Backed Securities (3.4%)   2,419,183‌ 
 2,882‌   Chase Mortgage Finance Corp., Series 2002-S4, Class A23, 6.25%, 3/25/32, Callable 6/25/21 @ 100*   2,347‌ 
 130,175‌   Chaseflex Trust, Series 2006-2, Class A5, 4.51%, 9/25/36, Callable 8/25/22 @ 100*(a)   131,168‌ 
 20,247‌   Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 3A1, 6.50%, 4/25/35   21,352‌ 
 2,000‌   Countrywide Home Loans, Series 2004-8, Class 1A3, 5.50%, 7/25/34, Callable 6/25/21 @ 100*   2,009‌ 
 34,352   Countrywide Home Loans, Series 2005-J1, Class 1A8, 5.50%, 2/25/35, Callable 6/25/21 @ 100*   34,815‌ 
 4,377‌   Countrywide Home Loans, Series 2004-18, Class A1, 6.00%, 10/25/34, Callable 6/25/21 @ 100*   4,517‌ 
 4,752‌   Countrywide Home Loans, Series 2004-21, Class A10, 6.00%, 11/25/34, Callable 6/25/21 @ 100*   4,950‌ 
 77,059‌   Countrywide Home Loans, Series 2007-J3, Class A10, 6.00%, 7/25/37, Callable 6/25/21 @ 100   50,347‌ 
 95,576‌   Credit Suisse First Boston Mortgage Securities Corp., Series 2005-9, Class 3A1, 6.00%, 10/25/35, Callable 6/25/21 @ 100*   43,142‌ 
 11‌   Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 1A1, 4.50%, 10/25/21, Callable 6/25/21 @ 100*   11‌ 
 113‌   First Nationwide Trust, Series 2001-3, Class 1A1, 6.75%, 8/21/31   118‌ 

 

Shares or
Principal 
Amount
    Security Description     Value  
               
Mortgage Backed Securities†, continued  
Prime Fixed Mortgage Backed Securities, continued: