Schedule of Portfolio Investments Limited Duration Fund
May 31, 2022 (Unaudited)  

 

Shares or
Principal
Amount
  Security Description  Value
       
Asset Backed Securities (34.9%)    
$275,307‌   Bayview Financial Mortgage Pass-Through Trust, Series 2005-C, Class M3, 1.72% (US0001M + 65 bps), 6/28/44, Callable 6/28/22 @ 100*  $275,300‌ 
 735,438‌   CDC Mortgage Capital Trust, Series 2002-HE1, Class A, 1.63% (US0001M + 62 bps), 1/25/33, Callable 6/25/22 @ 100*   721,435‌ 
 887,026‌   CIT Mortgage Loan Trust, Series 2007-1, Class 1A, 2.36% (US0001M + 135 bps), 10/25/37, Callable 4/25/23 @ 100*(a)   885,292‌ 
 30‌   Citigroup Mortgage Loan Trust, Inc., Series 2005- WF1, Class A5, 5.01%, 11/25/34, Callable 6/25/22 @ 100*(b)   31‌ 
 694,045‌   CLI Funding VIII LLC, Series 2021-1A, Class B, 2.38%, 2/18/46, Callable 3/18/23 @ 100*(a)   619,918‌ 
 228‌   Countrywide Asset-Backed Certificates, Series 2002-S1, Class A5, 6.46%, 5/25/32, Callable 6/25/22 @ 100*(b)(c)   226‌ 
 342,714‌   Countrywide Asset-Backed Certificates, Series 2005-12, Class M2, 1.74% (US0001M + 49 bps), 2/25/36, Callable 6/25/22 @ 100*   342,084‌ 
 1,354,421‌   Driven Brands Funding LLC, Series 2019-2A, Class A2, 3.98%, 10/20/49, Callable 10/20/24 @ 100*(a)   1,278,488‌ 
 806,000‌   Flexential Issuer, Series 2021-1A, Class A2, 3.25%, 11/27/51, Callable 11/25/25 @ 100*(a)   753,610‌ 
 457,984‌   Fremont Home Loan Trust, Series 2004-3, Class 10A1, 2.88% (US0001M + 188 bps), 11/25/34, Callable 6/25/22 @ 100*   377,187‌ 
 1,508,227‌   Goodgreen Trust, Series 2021-1A, Class A, 2.63%, 4/15/55(a)   1,382,627‌ 
 345,000‌   Hi-Fi Music Ip Issuer II L.P, Series 2022-1A, Class A2, 3.94%, 2/1/62, Callable 8/1/22 @ 100*    337,990‌ 
 49,948‌   Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-C, Class 2A3, 1.87% (US0001M + 86 bps), 3/25/35, Callable 6/25/22 @ 100*   49,906‌ 
 35‌   IMC Home Equity Loan Trust, Series 1998-1, Class A6, 7.02%, 6/20/29(b)(c)   35‌ 
 781,075‌   Jack In The Box Funding LLC, Series 2022-1A, Class A2I, 3.45%, 2/26/52, Callable 2/25/25 @100*   729,993‌ 
 303,986‌   Lendingpoint Asset Securitization Trust, Series 2021-A, Class A, 1.00%, 12/15/28, Callable 10/15/23 @ 100*(a)   301,789‌ 
 389,916‌   NMEF Funding LLC, Series 2021-A, Class A2, 0.81%, 12/15/27, Callable 7/15/24 @ 100*   384,131‌ 
 1,660,961‌   NovaStar Mortgage Funding Trust, Series 2003-2, Class M2, 3.78% (US0001M + 278 bps), 9/25/33, Callable 6/25/22 @ 100*   1,681,731‌ 
 493,111‌   RAAC Trust, Series 2007-SP1, Class M1, 1.86% (US0001M + 86 bps), 3/25/37, Callable 6/25/22 @100*   490,613‌ 
 80,646‌   Residential Asset Mortgage Products, Inc., Series 2002-RS2, Class AI5, 6.03%, 3/25/32, Callable 6/25/22 @ 100*   76,003‌ 
 1,830‌   Saxon Asset Securities Trust, Series 2003-3, Class AF6, 4.27%, 12/25/33, Callable 6/25/22 @ 100*(b)(c)   1,777‌ 
 1,539,667‌   Sonic Capital LLC, Series 2021-1A, Class A2I, 2.19%, 8/20/51, Callable 8/20/25 @ 100*(a)   1,285,267‌ 

 

Shares or
Principal
Amount
  Security Description  Value
       
Asset Backed Securities, continued:     
$56,652   Soundview Home Equity Loan Trust, Series 2005-B, Class M2, 6.23%, 5/25/35, Callable 6/25/22 @ 100*(b)(c)   $52,517‌ 
 811,383   Structured Asset Investment Loan Trust, Series 2003-BC2, Class A1, 1.69% (US0001M + 68 bps), 4/25/33, Callable 6/25/22 @ 100*   805,836‌ 
 891,392   Structured Asset Investment Loan Trust, Series 2005-HE3, Class M1, 1.73% (US0001M + 72 bps), 9/25/35, Callable 6/25/22 @ 100*   882,127‌ 
 237,115   Structured Asset Securities Corp Mortgage Pass- Through Certificates, Series 2004-6XS, Class A5A, 6.03%, 3/25/34, Callable 6/25/22 @ 100*(b)(c)   235,778‌ 
 1,330,000   Taco Bell Funding LLC, Series 2016-1A, Class A23, 4.97%, 5/25/46, Callable 5/25/23 @ 100*(a)   1,346,380‌ 
 586,401   Textainer Marine Containers VII, Ltd., Series 2020-1A, Class A, 2.73%, 8/21/45, Callable 8/20/22 @ 100*(a)   555,795‌ 
 848,688   Wendy's Funding LLC, Series 2019-1A, Class A2I, 3.78%, 6/15/49, Callable 3/15/24 @ 100*(a)   816,419‌ 
 650,088   ZAXBY'S Funding LLC, Series 2021-1A, Class A2, 3.24%, 7/30/51, Callable 7/30/25 @ 100*(a)   571,055‌ 
Total Asset Backed Securities (Cost $18,347,777)   17,241,340 
      
Mortgage Backed Securities† (33.5%)     
Alt-A - Adjustable Rate Mortgage Backed Securities (0.8%)     
 82,243   Bear Stearns Alternative Trust, Series 2006-1, Class 21A2, 2.98%, 2/25/36, Callable 6/25/22 @ 100*(b)   65,939‌ 
 9,071   Bear Stearns Alternative Trust, Series 2005-5, Class 26A1, 4.03%, 7/25/35, Callable 6/25/22 @ 100*(b)   7,030‌ 
 11,655   Countrywide Alternative Loan Trust, Series 2005- 24, Class 1A1, 1.63% (12MTA + 131 bps), 7/20/35, Callable 6/19/22 @ 100*   9,476‌ 
 1,059   Deutsche Mortgage Securities, Inc., Series 2006- ABR, Class A1B1, 1.11% (US0001M + 10 bps), 10/25/36, Callable 6/25/22 @ 100*   904‌ 
 2,112   Deutsche Mortgage Securities, Inc., Series 2003- 4XS, Class A6A, 5.32%, 10/25/33, Callable 6/25/22 @ 100*(b)(c)   2,054‌ 
 3,611   Deutsche Mortgage Securities, Inc., Series 2006- AB4, Class A1A, 6.00%, 10/25/36, Callable 6/25/22 @ 100*(b)   3,290‌ 
 3,764   First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1, 2.41%, 9/25/34, Callable 6/25/22 @ 100*(b)     3,576‌ 
 15,778   Master Adjustable Rate Mortgage Trust, Series 2004-13, Class 2A1, 2.70%, 4/21/34, Callable 6/21/22 @ 100*(b)   15,392‌ 
 237,013   Nomura Asset Acceptance Corp., Series 2005- AR4, Class 3A1, 3.03%, 8/25/35, Callable 6/25/22 @ 100*(b)   246,304‌ 
 29,145   Residential Accredit Loans, Inc., Series 2004- QA4, Class NB21, 3.03%, 9/25/34, Callable 6/25/22 @ 100*(b)   28,559‌ 

 

See notes to schedule of portfolio of investments. 

 

- 1 -

 

 

Schedule of Portfolio Investments Limited Duration Fund
May 31, 2022 (Unaudited) Continued

 

Shares or
Principal
Amount
  Security Description  Value
       
Mortgage Backed Securities†, continued: 
Alt-A - Adjustable Rate Mortgage Backed Securities, continued: 
$14,291   Residential Accredit Loans, Inc., Series 2006- QA1, Class A21, 4.35%, 1/25/36, Callable 6/25/22 @ 100*(b)  $11,908 
         394,432 
Alt-A - Fixed Rate Mortgage Backed Securities (1.0%)
 10,574   Chaseflex Trust, Series 2005-1, Class 2A4, 5.50%, 2/25/35, Callable 6/25/22 @ 100*   8,486 
 15,353   Citigroup Mortgage Alternative Loan Trust, Series 2006-A3, Class 1A5, 6.00%, 7/25/36, Callable 6/25/22 @ 100*   13,879 
 373   Countrywide Alternative Loan Trust, Series 2004- 12CB, Class 1A1, 5.00%, 7/25/19, Callable 6/25/22 @ 100*   365 
 12,754   Countrywide Alternative Loan Trust, Series 2005- J13, Class 2A3, 5.50%, 11/25/35, Callable 6/25/22 @ 100*   9,853 
 16,248   Countrywide Alternative Loan Trust, Series 2006- 2CB, Class A3, 5.50%, 3/25/36, Callable 6/25/22 @ 100*   8,346 
 17,011   Countrywide Alternative Loan Trust, Series 2006- 31CB, Class A16, 6.00%, 11/25/36, Callable 6/25/22 @ 100*   11,564 
 16,315   Countrywide Alternative Loan Trust, Series 2006- 43CB, Class 1A4, 6.00%, 2/25/37, Callable 6/25/22 @ 100*   10,390 
 119,543   Countrywide Alternative Loan Trust, Series 2006-J8, Class A2, 6.00%, 2/25/37, Callable 6/25/22 @ 100*   62,873 
 55,466   Countrywide Alternative Loan Trust, Series 2004-J8, Class 2A1, 7.00%, 8/25/34, Callable 6/25/22 @ 100*   47,581 
 119   Master Alternative Loans Trust, Series 2004-3, Class 1A1, 5.00%, 3/25/19, Callable 6/25/22 @ 100*   115 
 719   Master Alternative Loans Trust, Series 2005-1, Class 5A1, 5.50%, 1/25/20, Callable 8/25/23 @ 100*   645 
 3,152   Master Alternative Loans Trust, Series 2004-3, Class 3A1, 6.00%, 4/25/34, Callable 6/25/22 @ 100*   3,058 
 264,202   Master Alternative Loans Trust, Series 2004-3, Class 5A1, 6.50%, 3/25/34, Callable 6/25/22 @ 100*   252,958 
 19,194   Master Alternative Loans Trust, Series 2004-1, Class 3A1, 7.00%, 1/25/34, Callable 6/25/22 @ 100*   18,740 
 2,919   Master Alternative Loans Trust, Series 2004-3, Class 8A1, 7.00%, 4/25/34, Callable 6/25/22 @ 100*   2,839 
 101   Residential Accredit Loans, Inc., Series 2004- QS13, Class CB, 5.00%, 9/25/19, Callable 6/25/22 @ 100*   104 
 5,574   Residential Accredit Loans, Inc., Series 2004- QS6, Class A1, 5.00%, 5/25/19, Callable 6/25/22 @ 100*   5,214 
 23,227   Residential Accredit Loans, Inc., Series 2006- QS6, Class 1A2, 6.00%, 6/25/36, Callable 6/25/22 @ 100*   20,279 
 40,547   Residential Asset Securitization Trust, Series 2006-A9CB, Class A5, 6.00%, 9/25/36, Callable 5/25/24 @ 100*   15,451 

 

Shares or
Principal
Amount
  Security Description  Value
       
Mortgage Backed Securities†, continued:
Alt-A - Fixed Rate Mortgage Backed Securities, continued:
$25,103   Residential Asset Securitization Trust, Series 2007-A5, Class 2A3, 6.00%, 5/25/37, Callable 6/25/22 @ 100*  $16,782 
 10,039   Wells Fargo Mortgage Backed Securities Trust, Series 2005-1, Class 2A3, 5.50%, 2/25/35, Callable 6/25/22 @ 100*   8,750 
         518,272 
Prime Adjustable Rate Mortgage Backed Securities (5.4%)
 275   Adjustable Rate Mortgage Trust, Series 2005-1, Class 2A22, 2.77%, 5/25/35(b)   274 
 327,920   American Home Mortgage Investment Trust, Series 2006-2, Class 3A2, 6.70%, 6/25/36, Callable 6/25/22 @ 100*(b)(c)   63,237 
 477,971   Banc of America Funding Corp., Series 2015-R3, Class 4A1, 1.16% (US0001M + 15 bps), 3/27/37(a)   472,544 
 4,833   Bank of America Mortgage Securities, Series 2003-H, Class 2A3, 2.55%, 9/25/33, Callable 6/25/22 @ 100*(b)   4,566 
 5,563   Bank of America Mortgage Securities, Series 2006-A, Class 2A1, 2.71%, 2/25/36, Callable 6/25/22 @ 100*(b)   5,341 
 4,118   Bank of America Mortgage Securities, Series 2004-E, Class 1A1, 2.81%, 6/25/34, Callable 6/25/22 @ 100*(b)   3,953 
 2,850   Bank of America Mortgage Securities, Series 2006-B, Class 2A1, 2.94%, 11/20/46, Callable 6/20/22 @ 100*(b)   2,631 
 4,690   Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-6, Class 1A1, 2.11%, 9/25/34, Callable 6/25/22 @ 100*(b)   4,267 
 2,999   Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 15A1, 2.31%, 1/25/35, Callable 6/25/22 @ 100*(b)   2,902 
 3,965   Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-9, Class A1, 2.38% (H15T1Y + 230 bps), 10/25/35, Callable 6/25/22 @ 100*   3,975 
 10,664   Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4, Class 1A1, 3.09%, 10/25/36, Callable 6/25/22 @ 100*(b)   9,971 
 6,450   Bear Stearns Mortgage Securities, Inc., Series 1997-6, Class 1A, 6.32%, 3/25/31, Callable 6/25/22 @ 100*(b)   6,327 
 9,445   Chase Mortgage Finance Corp., Series 2007-A2, Class 10A1, 3.14%, 7/25/37, Callable 6/25/22 @ 100*(b)   8,383 
 5,262   Citigroup Mortgage Loan Trust, Inc., Series 2005- 3, Class 2A2A, 2.86%, 8/25/35(b)   5,263 
 483   Coast Savings & Loan Association, Series 1992- 1, Class A, 2.21%, 7/25/22, Callable 6/25/22 @ 100*(b)   483 
 3,352   Countrywide Home Loans, Series 2003-60, Class 2A1, 2.12%, 2/25/34, Callable 6/25/22 @ 100*(b)   3,152 
 7,271   Countrywide Home Loans, Series 2003-58, Class 2A2, 2.48%, 2/19/34, Callable 6/19/22 @ 100*(b)   7,282 
 228   Countrywide Home Loans, Series 2003-42, Class 1A1, 3.99%, 9/25/33, Callable 6/25/22 @ 100*(b)   220 

 

See notes to schedule of portfolio of investments. 

 

- 2 -

 

 

Schedule of Portfolio Investments Limited Duration Fund
May 31, 2022 (Unaudited) Continued

 

Shares or
Principal
Amount
  Security Description  Value
       
Mortgage Backed Securities†, continued: 
Prime Adjustable Rate Mortgage Backed Securities, continued: 
$26,879   Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR28, Class CB3, 2.64%, 11/25/32, Callable 6/25/22 @ 100*(b)  $13,921 
 23,819   Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR7, Class 2A1, 2.80%, 11/25/34, Callable 6/25/22 @ 100*(b)   24,191 
 5,701   First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 2A1, 2.96%, 10/25/35, Callable 6/25/22 @ 100*(b)   5,544 
 34,852   GMAC Mortgage Corp. Loan Trust, Series 2005- AR6, Class 3A1, 2.89%, 11/19/35, Callable 6/19/22 @ 100*(b)   33,261 
 5,172   GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1, 3.02%, 11/25/35, Callable 6/25/22 @ 100*(b)   5,174 
 16,493   GSR Mortgage Loan Trust, Series 2005-AR2, Class 1A2, 3.19%, 4/25/35, Callable 6/25/22 @ 100*(b)   15,590 
 4,040   Harborview Mortgage Loan Trust, Series 2005- 14, Class 3A1A, 2.56%, 12/19/35, Callable 6/19/22 @ 100*(b)   3,748 
 61,729   Harborview Mortgage Loan Trust, Series 2004-10, Class 3A1B, 3.01%, 1/19/35, Callable 6/19/22 @ 100*(b)   58,484 
 10,010   Indymac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, 2.71%, 8/25/34, Callable 6/25/22 @ 100*(b)   9,650 
 20,020   Indymac Index Mortgage Loan Trust, Series 2006- AR13, Class A1, 2.94%, 7/25/36, Callable 6/25/22 @ 100*(b)   16,449 
 32,465   Indymac Index Mortgage Loan Trust, Series 2006- AR19, Class 1A2, 3.02%, 8/25/36, Callable 6/25/22 @ 100*(b)   26,681 
 19,922   Indymac Index Mortgage Loan Trust, Series 2004-AR4, Class 3A, 3.03%, 8/25/34, Callable 6/25/22 @ 100*(b)   19,539 
 1,523   JPMorgan Mortgage Trust, Series 2006-A5, Class 3A4, 3.07%, 8/25/36, Callable 6/25/22 @ 100*(b)   1,317 
 494,651   LSTAR Securities Investment, Ltd., Series 2021-1, Class A, 2.60% (US0001M + 180 bps), 2/1/26, Callable 2/1/23 @ 100*(a)   493,970 
 600,000   Mello Warehouse Securitization Trust, Series 2021-2, Class C, 2.11% (US0001M + 110 bps), 4/25/55, Callable 4/25/24 @ 100*(a)   593,928 
 600,000   Mello Warehouse Securitization Trust, Series 2020-2, Class E, 3.26% (US0001M + 225 bps), 11/25/53, Callable 12/25/23 @ 100*(a)   593,726 
 6,935   Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A2, 2.17%, 12/25/34, Callable 6/25/22 @ 100*(b)   6,737 
 792   Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A2, 2.32%, 2/25/34, Callable 1/25/26 @ 100*(b)   778 
 7,410   Merrill Lynch Mortgage Investors Trust, Series 2004-A2, Class 1A, 2.91%, 7/25/34, Callable 4/25/25 @ 100*(b)   7,284 
 8,864   Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 2A2, 2.54%, 8/25/34, Callable 12/25/22 @ 100*(b)   8,783 

 

Shares or
Principal
Amount
  Security Description  Value
       
Mortgage Backed Securities†, continued:
Prime Adjustable Rate Mortgage Backed Securities, continued:
$3,050   Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 3A, 2.55%, 8/25/34, Callable 8/25/26 @ 100*(b)  $3,042 
 2,359   Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 3A1, 2.42%, 2/25/34, Callable 6/25/22 @ 100*(b)   2,245 
 20,933   Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18, Class 1A2, 2.71%, 12/25/34, Callable 6/25/22 @ 100*(b)   19,609 
 6,075   Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 1A1, 2.62%, 12/27/35, Callable 6/25/22 @ 100*(b)   6,195 
 10,884   Structured Asset Securities Corp., Series 2003- 24A, Class 1A3, 2.49%, 7/25/33, Callable 6/25/22 @ 100*(b)   10,921 
 4,582   Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR10, Class A1B, 1.85% (US0001M + 84 bps), 7/25/44, Callable 6/25/22 @ 100*   4,360 
 43,440   Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR14, Class 1A1, 2.56%, 11/25/36, Callable 6/25/22 @ 100*(b)   41,118 
 1,222   Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR8, Class 1A1, 2.84%, 8/25/46, Callable 6/25/22 @ 100*(b)   1,163 
 7,002   Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR10, Class 1A2, 2.88%, 9/25/36, Callable 6/25/22 @ 100*(b)   6,489 
 3,386   Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR3, Class A2, 3.05%, 6/25/34, Callable 6/25/22 @ 100*(b)   3,274 
         2,641,942 
Prime Fixed Mortgage Backed Securities (11.5%)
 543,884   Angel Oak Mortgage Trust, Series 2021-5, Class A1, 0.95%, 7/25/66, Callable 9/25/23 @ 100*(a)(b)   500,476 
 707,702   Angel Oak Mortgage Trust, Series 2019-6, Class A1, 2.62%, 11/25/59, Callable 6/25/22 @ 100*(a)(b)   698,944 
 13,306   Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class WA2, 6.50%, 6/25/31, Callable 6/25/22 @ 100*   13,200 
 64,094   Citigroup Mortgage Loan Trust, Inc., Series 2004- NCM2, Class 1CB2, 6.75%, 8/25/34, Callable 6/25/22 @ 100*   62,757 
 12,262   Citigroup Mortgage Loan Trust, Inc., Series 2004- NCM2, Class 2CB3, 8.00%, 8/25/34, Callable 6/25/22 @ 100*   12,570 
 3,481   Credit Suisse First Boston Mortgage Securities Corp., Series 2004-7, Class 5A1, 5.00%, 10/25/19, Callable 6/25/22 @ 100*   3,369 
 57,421   Credit Suisse First Boston Mortgage Securities Corp., Series 2003-23, Class 1A11, 6.00%, 10/25/33   55,418 
 11,080   Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1, 6.50%, 4/25/33, Callable 6/25/22 @ 100*   11,181 
 15,838   Credit Suisse First Boston Mortgage Securities Corp., Series 2003-1, Class 1A1, 7.00%, 2/25/33, Callable 6/25/22 @ 100*   16,164 

 

See notes to schedule of portfolio of investments. 

 

- 3 -

 

 

Schedule of Portfolio Investments Limited Duration Fund
May 31, 2022 (Unaudited) Continued

 

Shares or
Principal
Amount
  Security Description  Value
       
Mortgage Backed Securities†, continued: 
Prime Fixed Mortgage Backed Securities, continued: 
$35,793   Credit Suisse First Boston Mortgage Securities Corp., Series 2002-10, Class 2B1, 7.50%, 5/25/32, Callable 6/25/22 @ 100*  $11,556 
 194,224   Credit Suisse First Boston Mortgage Securities Corp., Series 2002-34, Class 1A1, 7.50%, 12/25/32, Callable 6/25/22 @ 100*   191,890 
 609,558   GS Mortgage-Backed Securities, Series 2022- PJ1, Class AB, 2.50%, 5/28/52, Callable 1/25/46 @ 100*(a)(b)   559,293 
 536,551   GS Mortgage-Backed Securities Corp. Trust, Series 2019-PJ2, Class A8, 4.00%, 11/25/49, Callable 9/25/22 @ 100*(a)(b)   532,735 
 17,530   GSR Mortgage Loan Trust, Series 2003-3F, Class 2A1, 4.50%, 4/25/33, Callable 6/25/22 @ 100*   16,445 
 20,690   GSR Mortgage Loan Trust, Series 2005-8F, Class 3A4, 6.00%, 11/25/35, Callable 9/25/24 @ 100*   10,526 
 579,908   JPMorgan Mortgage Trust, Series 2020-4, Class A3A, 2.50%, 11/25/50, Callable 11/25/26 @ 100*(a)(b)   540,323 
 442,548   JPMorgan Mortgage Trust, Series 2017-2, Class A4, 3.00%, 5/25/47, Callable 10/25/25 @ 100*(a)(b)   420,245 
 9,573   Lehman Mortgage Trust, Series 2005-3, Class 1A3, 5.50%, 1/25/36, Callable 6/25/22 @ 100*   6,191 
 1,550,000   NewRez Warehouse Securitization Trust, Series 2021-1, Class D, 2.41% (US0001M + 140 bps), 5/25/55, Callable 5/25/24 @ 100*(a)   1,514,194 
 4,587   Residential Funding Mortgage Securities I, Series 2005-S7, Class A1, 5.50%, 11/25/35, Callable 6/25/22 @ 100*   3,955 
 12,712   Residential Funding Mortgage Securities I, Series 2003-S9, Class A1, 6.50%, 3/25/32, Callable 6/25/22 @ 100*   12,502 
 65,407   Structured Asset Mortgage Investments, Inc., Series 1999-2, Class 3A, 6.75%, 5/25/29, Callable 6/25/22 @ 100*   64,655 
 423,035   Verus Securitization Trust, Series 2020-1, Class A1, 2.42%, 1/25/60, Callable 1/25/23 @ 100*(a)(b)   416,583 
         5,675,172 
Subprime Mortgage Backed Securities (1.9%)
 180,830   Towd Point Mortgage Trust, Series 2017-1, Class A1, 2.75%, 10/25/56, Callable 2/25/27 @ 100*(a)(b)   180,118 
 351,160   Towd Point Mortgage Trust, Series 2017-2, Class A1, 2.75%, 4/25/57, Callable 2/25/25 @ 100*(a)(b)   349,981 
 421,649   Towd Point Mortgage Trust, Series 2017-6, Class A1, 2.75%, 10/25/57, Callable 8/25/26 @ 100*(a)(b)   414,475 
         944,574 
U.S. Government Agency Mortgage Backed Securities (12.9%)
 170,942   Fannie Mae, Series 2013-68, Class 10A1, 1.00%, 3/25/42   149,978 
 11,739   Fannie Mae, 1.67% (US0012M + 132 bps), 1/1/35, Pool #805386   11,891 
 58,114   Fannie Mae, Series 2012-31, Class PA, 2.00%, 4/25/41   57,520 

 

Shares or
Principal
Amount
  Security Description  Value
       
Mortgage Backed Securities†, continued: 
U.S. Government Agency Mortgage Backed Securities, continued: 
$34,468   Fannie Mae, Series 2012-51, Class EB, 2.00%, 1/25/40  $34,475 
 60,877   Fannie Mae, Series 2012-96, Class PD, 2.00%, 7/25/41   60,706 
 139,461   Fannie Mae, Series 2013-18, Class 10A1, 2.00%, 12/25/42   130,680 
 14   Fannie Mae, 2.08% (H15T1Y + 192 bps), 12/1/22, Pool #303247   14 
 96,893   Fannie Mae, Series 2013-73, Class 10A1, 2.25%, 6/25/42   93,832 
 97,625   Fannie Mae, Series 2013-74, Class 10A1, 2.25%, 6/25/42(b)   95,694 
 23,448   Fannie Mae, 2.29% (H15T1Y + 229 bps), 2/1/30, Pool #556998   23,444 
 783   Fannie Mae, 2.35% (H15T1Y + 216 bps), 6/1/32, Pool #725286   784 
 71,351   Fannie Mae, Series 2011-118, Class 10A1, 3.00%, 11/25/41   69,383 
 154,222   Fannie Mae, Series 2014-1, Class AB, 3.00%, 6/25/43   153,011 
 533,816   Fannie Mae, Series 2018-83, Class LC, 3.00%, 11/25/48   514,734 
 621,027   Fannie Mae, Series 2003-W14, Class 2A, 3.73%, 1/25/43, Callable 6/25/22 @ 100*(b)   614,213 
 437,926   Fannie Mae, Series 2003-W16, Class AF5, 4.40%, 11/25/33, Callable 6/25/22 @ 100*(b)(c)   440,869 
 3,046   Fannie Mae, Series 2001-W4, Class AF6, 5.11%, 1/25/32, Callable 6/25/22 @ 100*(b)(c)   3,139 
 6,113   Fannie Mae, Series 2001-W2, Class AF6, 6.09%, 10/25/31, Callable 6/25/22 @ 100*(b)(c)   6,340 
 6,511   Fannie Mae, Series 2001-W1, Class AF6, 6.40%, 7/25/31, Callable 6/25/22 @ 100*(b)(c)   7,636 
 9   Fannie Mae, Series 1992-195, Class C, 7.50%, 10/25/22   9 
 1,000   Fannie Mae, Series 1996-42, Class LL, 7.50%, 9/25/26   1,042 
 744,166   Fannie Mae Grantor Trust, Series 2003-T4, Class 2A5, 4.57%, 9/26/33, Callable 6/26/22 @ 100*(b)(c)   749,008 
 978,987   Fannie Mae REMIC Trust, Series 2004-W10, Class A6, 5.75%, 8/25/34, Callable 6/25/22 @ 100*   996,247 
 50,538   Freddie Mac, Series 4146, Class 10A1, 1.50%, 10/15/42   49,694 
 475,815   Freddie Mac, Series 4220, Class KC, 1.50%, 5/15/32   461,648 
 2,825   Freddie Mac, 1.93% (US0006M + 154 bps), 4/1/36, Pool #1N0148   2,898 
 78,366   Freddie Mac, Series 3982, Class MD, 2.00%, 5/15/39   77,272 
 135,760   Freddie Mac, Series 4019, Class GB, 2.00%, 12/15/41   130,570 
 286,324   Freddie Mac, Series 4272, Class YG, 2.00%, 11/15/26   284,543 
 364   Freddie Mac, Series 3890, Class BA, 2.50%, 11/15/40   364 
 130,307   Freddie Mac, Series 3913, Class PC, 2.50%, 3/15/41   129,488 
 418,472   Freddie Mac, Series 4374, Class GA, 3.00%, 9/15/36   410,266 

 

See notes to schedule of portfolio of investments. 

 

- 4 -

 

 

Schedule of Portfolio Investments Limited Duration Fund
May 31, 2022 (Unaudited) Continued

 
Shares or
Principal
Amount
  Security Description  Value
       
Mortgage Backed Securities†, continued: 
U.S. Government Agency Mortgage Backed Securities, continued: 
$283,576   Freddie Mac, Series T-67, Class 1A1C, 3.10%, 3/25/36, Callable 6/25/22 @ 100*(b)  $293,733 
 2,474   Freddie Mac, 4.00%, 9/1/33, Pool #N31025   2,480 
 54   Freddie Mac, Series 1474, Class E, 7.00%, 2/15/23, Callable 7/15/22 @ 100*   55 
 1   Freddie Mac, Series 1310, Class J, 8.00%, 6/15/22   1 
 6   Freddie Mac, Series 1312, Class I, 8.00%, 7/15/22, Callable 7/15/22 @ 100*   6 
 1,315   Government National Mortgage Assoc., 1.75% (H15T1Y + 150 bps), 12/20/27, Pool #80141   1,333 
 4,212   Government National Mortgage Assoc., 1.75% (H15T1Y + 150 bps), 11/20/29, Pool #876947   4,190 
 7,015   Government National Mortgage Assoc., 1.87% (H15T1Y + 150 bps), 5/20/34, Pool #80916   7,076 
 326,734   Government National Mortgage Assoc., Series 2013-69, 2.00%, 9/20/42   302,580 
 228   Government National Mortgage Assoc., 2.62% (H15T1Y + 150 bps), 1/20/23, Pool #8123   228 
 1,083   Government National Mortgage Assoc., 2.62% (H15T1Y + 150 bps), 1/20/25, Pool #8580   1,095 
 1,654   Government National Mortgage Assoc., 2.62% (H15T1Y + 150 bps), 1/20/25, Pool #8585   1,676 
 665   Government National Mortgage Assoc., 2.62% (H15T1Y + 150 bps), 3/20/26, Pool #8832   667 
 1,198   Government National Mortgage Assoc., 2.62% (H15T1Y + 150 bps), 3/20/29, Pool #80263   1,205 
 68   Government National Mortgage Assoc., 6.50%, 12/15/25, Pool #414856   71 
 30   Government National Mortgage Assoc., 7.00%, 4/20/24, Pool #1655   30 
 23   Government National Mortgage Assoc., 7.00%, 11/20/26, Pool #2320   23 
 112   Government National Mortgage Assoc., 7.50%, 3/15/24, Pool #376439   113 
         6,377,954 
Total Mortgage Backed Securities (Cost $17,466,165)    16,552,346 
      
Corporate Bonds (11.6%)
Aerospace & Defense (2.0%)
 920,000   Boeing Co. (The), 7.95%, 8/15/24   998,928 
Banks (2.4%)
 1,057,740   Southtrust Bank/Georgia, 7.74%, 5/15/25   1,170,055 
Capital Markets (2.2%)
 1,116,000   Goldman Sachs Group, Inc. (The), 1.30%, 11/15/24, Callable 11/15/22 @ 100 *   1,058,801 
 2,000,000   Lehman Brothers Holdings, Inc., 6.00%, 7/19/12, MTN (d)   8,000 
         1,066,801 
Insurance (1.3%)
 670,000   Athene Global Funding, 1.72%, 1/7/25 (a)   631,849 
IT Services (2.2%)
 1,206,000   Western Union Co. (The), 1.35%, 3/15/26, Callable 2/15/26 @ 100 *   1,089,509 
Tobacco (1.5%)
 806,000   BAT Capital Corp., 3.22%, 9/6/26, Callable 7/6/26 @ 100 *   764,735 
Total Corporate Bonds (Cost $7,166,470)    5,721,877 

 

Shares or
Principal
Amount
  Security Description  Value
       
Taxable Municipal Bonds (3.2%) 
Georgia (2.7%) 
$1,285,000   State of Georgia, Build America Bonds, GO, Series H, 4.50%, 11/1/25  $1,322,293 
Pennsylvania (0.5%)
 250,000   Philadelphia Authority for Industrial Development Revenue, 3.96%, 4/15/26   249,557 
Total Taxable Municipal Bonds (Cost $1,605,468)    1,571,850 
 
U.S. Government Agency Securities (2.5%)
Federal Farm Credit Banks
 1,000,000   1.23%, 9/10/29, Callable 6/15/22 @ 100 *   866,840 
Federal Home Loan Bank
 370,000   0.75%, 6/30/25, Callable 6/30/22 @ 100 *(b)   358,461 
Total U.S. Government Agency Securities (Cost $1,370,000)   1,225,301 
 
U.S. Treasury Obligations (3.5%)
U.S. Treasury Notes
 1,700,000   2.50%, 5/15/24   1,700,066 
Total U.S. Treasury Obligations (Cost $1,699,137)    1,700,066 
 
Investment in Affiliates (10.6%)
 5,256,539   Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.54%(e)   5,256,539 
Total Investment in Affiliates (Cost $5,256,539)    5,256,539 
      
Total Investments (Cost $52,911,556) - 99.8%    49,269,319 
Other assets in excess of liabilities — 0.2%   92,797 
Net Assets - 100.0%.   $49,362,116 

 

See notes to schedule of portfolio of investments. 

 

- 5 -

 

 

Schedule of Portfolio Investments Limited Duration Fund
May 31, 2022 (Unaudited) Concluded

 

 

(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 May 31, 2022.
(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, 2022.

(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 May 31, 2022.

*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
US0006M 6 Month US Dollar LIBOR
US0012M 12 Month US Dollar LIBOR

 

See notes to schedule of portfolio of investments. 

 

- 6 -

 

 

Schedule of Portfolio Investments Moderate Duration Fund
May 31, 2022 (Unaudited)

 

Shares or
Principal
Amount
   Security Description  Value 
 
Asset Backed Securities (17.2%)
$250,000   Amur Equipment Finance Receivables X LLC, Series:22-1A, Class C, 2.37%, 4/20/28, Callable 9/20/25 @ 100*(a)  $236,665 
 186,415   Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class A, 3.50%, 1/28/55(b)   184,216 
 332,442   CLI Funding VI LLC, Series 2020-3A, Class A, 2.07%, 10/18/45, Callable 11/18/22 @ 100*(a)   302,916 
 120,683   Cli Funding VIII LLC, Series:22-1A, Class A1, 2.72%, 1/18/47, Callable 1/18/24 @ 100*(a)   108,220 
 248,750   DB Master Finance LLC, Series 2021-1A, Class A2I, 2.05%, 11/20/51, Callable 5/20/24 @ 100*(a)   223,257 
 272,250   Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.66%, 4/25/51, Callable 10/25/25 @ 100*(a)   243,191 
 280,000   Flexential Issuer, Series 2021-1A, Class A2, 3.25%, 11/27/51, Callable 11/25/25 @ 100*(a)   261,800 
 250,000   Hi-Fi Music Ip Issuer II L.P, Series 2022-1A, Class A2, 3.94%, 2/1/62, Callable 8/1/22 @ 100*(a)   244,920 
 289,156   Longtrain Leasing III LLC, Series 2015-1A, Class A2, 4.06%, 1/15/45, Callable 1/15/25 @ 100*(a)   272,905 
 177,847   MVW LLC, Series 2019-2A, Class A, 2.22%, 10/20/38, Callable 4/20/25 @ 100*(a)   171,516 
 250,000   Sabey Data Center Issuer LLC, Series 2020-1, Class A2, 3.81%, 4/20/45, Callable 11/20/23 @ 100*(a)   243,800 
 242,033   Textainer Marine Containers VII, Ltd., Series 2A, Class A, 2.23%, 4/20/46, Callable 4/20/23 @ 100*(a)   218,879 
 300,000   Vantage Data Centers LLC, Series 2020-1A, Class A2, 1.65%, 9/15/45, Callable 9/15/23 @ 100*(a)   273,524 
 244,825   VR Funding LLC, Series 2020-1A, Class A, 2.79%, 11/15/50, Callable 11/15/23 @ 100*(a)   224,822 
 229,375   Wendy's Funding LLC, Series 2019-1A, Class A2I, 3.78%, 6/15/49, Callable 3/15/24 @ 100*(a)   220,654 
 148,946   Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.10%, 5/15/46, Callable 5/15/29 @ 100*(a)   124,230 
Total Asset Backed Securities (Cost $3,846,988)   3,555,515 
 
Mortgage Backed Securities† (13.3%)
Alt-A - Fixed Rate Mortgage Backed Securities (1.3%)
 45,843   Chaseflex Trust, Series 2005-2, Class 1A1, 6.00%, 6/25/35, Callable 6/25/22 @ 100*   35,272 
 2,781   Countrywide Alternative Loan Trust, Series 2005- 3CB, Class 1A4, 5.25%, 3/25/35, Callable 6/25/22 @100*   2,523 
 8,870   Countrywide Alternative Loan Trust, Series 2004- 5CB, Class 1A1, 6.00%, 5/25/34, Callable 6/25/22 @100*   8,587 
 62,917   Countrywide Alternative Loan Trust, Series 2006-J8, Class A2, 6.00%, 2/25/37, Callable 6/25/22 @100*   33,091 

 

Shares or
Principal
Amount
   Security Description  Value 
 
Mortgage Backed Securities†, continued:
Alt-A - Fixed Rate Mortgage Backed Securities, continued:
$7,719   Master Alternative Loans Trust, Series 2004-1, Class 4A1, 5.50%, 2/25/34, Callable 6/25/22 @100*  $7,580 
 3,768   Master Alternative Loans Trust, Series 2004-13, Class 12A1, 5.50%, 12/25/19, Callable 6/25/22 @100*   3,001 
 8,261   Master Alternative Loans Trust, Series 2004-4, Class 1A1, 5.50%, 5/25/34, Callable 6/25/22 @100*   8,134 
 151   Master Alternative Loans Trust, Series 2005-1, Class 5A1, 5.50%, 1/25/20, Callable 8/25/23 @100*   135 
 6,594   Master Alternative Loans Trust, Series 2003-7, Class 6A1, 6.50%, 12/25/33, Callable 6/25/22 @100*   6,495 
 12,080   Master Alternative Loans Trust, Series 2004-4, Class 8A1, 6.50%, 5/25/34, Callable 6/25/22 @100*   11,931 
 22,435   Master Alternative Loans Trust, Series 2004-6, Class 6A1, 6.50%, 7/25/34, Callable 6/25/22 @100*   22,376 
 13,827   MASTR Alternative Loan Trust, Series 2004-6, Class 7A1, 6.00%, 7/25/34, Callable 6/25/22 @100*   13,434 
 479   Nomura Asset Acceptance Corp., Series 2005- WF1, Class 2A5, 5.66%, 3/25/35, Callable 6/25/22 @ 100*(b)(c)   478 
 34,431   Ocwen Residential MBS Corp., Series 1998-R1, Class B1, 3.22%, 10/25/40, Callable 6/25/22 @ 100*(a)(b)   23,720 
 2   Residential Accredit Loans, Inc., Series 2003- QS18, Class A1, 5.00%, 9/25/18, Callable 6/25/22 @100*   2 
 21,988   Residential Accredit Loans, Inc., Series 2006- QS12, Class 1A2, 6.50%, 9/25/36, Callable 6/25/22 @100*   12,360 
 34,999   Residential Asset Securitization Trust, Series 2005-A14, Class A5, 5.50%, 12/25/35, Callable 6/25/22 @ 100*   20,510 
 40,004   Residential Asset Securitization Trust, Series 2006-A8, Class 1A1, 6.00%, 8/25/36, Callable 6/25/22 @100*   29,614 
 36,533   Washington Mutual Mortgage Pass-Through Certificates, Series 2005-6, Class 1CB, 6.50%, 8/25/35, Callable 6/25/22 @ 100*   33,823 
         273,066 
Prime Adjustable Rate Mortgage Backed Securities (3.0%)     
 4,599   Banc of America Funding Trust, Series 2004-B, Class 5A1, 2.53%, 11/20/34, Callable 6/20/22 @ 100*(b)   4,550 
 2,977   Bear Stearns ARM Trust, Series 2004-9, Class 12A3, 2.63%, 11/25/34, Callable 6/25/22 @ 100*(b)   3,038 
 1,367   Bear Stearns ARM Trust, Series 2003-7, Class 4A, 2.80%, 10/25/33, Callable 6/25/22 @ 100*(b)   1,429 
 10,331   CHL Mortgage Pass-Through Trust, Series 2004-2, Class 2A1, 2.73%, 2/25/34, Callable 6/25/22 @ 100*(b)   9,467 
 9,849   HomeBanc Mortgage Trust, Series 2006-1, Class 1A1, 2.54%, 4/25/37, Callable 6/25/22 @ 100*(b)   8,474 

 

See notes to schedule of portfolio of investments.

 

- 7 -

 

 

Schedule of Portfolio Investments Moderate Duration Fund
May 31, 2022 (Unaudited) Continued

 

Shares or
Principal  
Amount
   Security Description  Value 
  
Mortgage Backed Securities†, continued: 
Prime Adjustable Rate Mortgage Backed Securities, continued: 
$16,071   JPMorgan Mortgage Trust, Series 2005-A1, Class 3A4, 2.69%, 2/25/35, Callable 6/25/22 @ 100*(b)  $15,541 
 2,845   JPMorgan Mortgage Trust, Series 2006-A2, Class 2A1, 2.86% (US0003M + 101 bps), 4/25/36, Callable 6/25/22 @ 100*   2,700 
 14,931   JPMorgan Mortgage Trust, Series 2006-A6, Class 1A4L, 2.98%, 10/25/36, Callable 6/25/22 @ 100*(b)   12,145 
 187,845   JPMorgan Mortgage Trust, Series 2005-A6, Class 3A3, 3.19%, 9/25/35, Callable 6/25/22 @ 100*(b)   182,661 
 183,841   LSTAR Securities Investment, Ltd., Series 2019-4, Class A1, 4.30% (US0001M + 150 bps), 5/1/24(a)   183,846 
 60,000   Mello Warehouse Securitization Trust, Series 2020-2, Class C, 2.31% (US0001M + 130 bps), 11/25/53, Callable 12/25/23 @ 100*(a)   59,559 
 140,514   WinWater Mortgage Loan Trust, Series 2014-1, Class A1, 3.91%, 6/20/44, Callable 6/20/22 @ 100*(a)(b)   139,001 
         622,411 
Prime Fixed Mortgage Backed Securities (3.9%)
 2,470   American Home Mortgage Investment Trust, Series 2005-2, Class 5A1, 5.56%, 9/25/35, Callable 6/25/22 @ 100*(b)(c)   2,211 
 96,143   Angel Oak Mortgage Trust, Series 2019-5, Class A1, 2.59%, 10/25/49, Callable 6/25/22 @ 100*(a)(b)   94,806 
 12,503   Chase Mortgage Finance Corp., Series 2007-S2, Class 2A1, 5.50%, 3/25/37, Callable 6/25/22 @100*   6,940 
 5,491   Citigroup Mortgage Loan Trust, Inc., Series 2005- 1, Class 3A1, 6.50%, 4/25/35   5,470 
 5,194   Citigroup Mortgage Loan Trust, Inc., Series 2004- NCM1, Class 1A3, 6.75%, 7/25/34, Callable 6/25/22 @100*   5,151 
 554   Countrywide Home Loans, Series 2004-J6, Class 1A2, 5.25%, 8/25/24, Callable 6/25/22 @ 100*   548 
 6,680   Countrywide Home Loans, Series 2005-29, Class A1, 5.75%, 12/25/35, Callable 6/25/22 @ 100*   3,955 
 4,023   Credit Suisse First Boston Mortgage Securities Corp., Series 2004-1, Class 4A1, 5.00%, 12/31/99, Callable 6/25/22 @ 100*   3,866 
 10,466   Credit Suisse First Boston Mortgage Securities Corp., Series 2003-27, Class 8A1, 6.00%, 11/25/33, Callable 6/25/22 @ 100*   10,356 
 224,816   Flagstar Mortgage Trust, Series 2021-4, Class A5, 2.50%, 6/1/51, Callable 9/25/42 @ 100*(a)(b)   207,402 
 14,605   Galton Funding Mortgage Trust, Series 2017-1, Class A21, 3.50%, 7/25/56, Callable 2/25/23 @ 100*(a)(b)   14,220 
 129,981   GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ3, Class A14, 3.00%, 10/25/50, Callable 4/25/26 @ 100*(a)(b)   123,137 
 136,559   GSR Mortgage Loan Trust, Series 2004-13F, Class 2A1, 4.25%, 11/25/34, Callable 6/25/22 @ 100*   131,079 

 

Shares or
Principal
Amount
   Security Description  Value 
 
Mortgage Backed Securities†, continued:
Prime Fixed Mortgage Backed Securities, continued:
$101   GSR Mortgage Loan Trust, Series 2004-10F, Class 2A4, 5.00%, 8/25/19, Callable 6/25/22 @ 100*  $101 
 449   GSR Mortgage Loan Trust, Series 2003-2F, Class 3A1, 6.00%, 3/25/32, Callable 6/25/22 @ 100*   447 
 1,139   Prime Mortgage Trust, Series 2004-CL1, Class 1A1, 6.00%, 2/25/34, Callable 6/25/22 @ 100*   1,132 
 27,306   RAMP Trust, Series 2005-SL2, Class A3, 7.00%, 2/25/32, Callable 1/25/30 @ 100*   23,305 
 8,116   Structured Asset Mortgage Investments, Inc., Series 1999-2, Class 3A, 6.75%, 5/25/29, Callable 6/25/22 @ 100*   8,022 
 56   Structured Asset Securities Corp., Series 1997-2, Class 2A4, 7.25%, 3/28/30, Callable 6/28/22 @100*   56 
 714   Washington Mutual Mortgage Pass-Through Certificates, Series 2003-S11, Class 1A, 5.00%, 11/25/33, Callable 6/25/22 @ 100*   709 
 284   Washington Mutual Mortgage Pass-Through Certificates, Series 2004-RA1, Class 2A, 7.00%, 3/25/34, Callable 9/25/22 @ 100*   284 
 161,475   Wells Fargo Mortgage Backed Securities Trust, Series 2021-2, Class A3, 2.50%, 6/25/51, Callable 1/25/38 @ 100*(a)(b)   148,866 
         792,063 
Subprime Mortgage Backed Securities (0.7%)
 40,178   Towd Point Mortgage Trust, Series 2018-1, Class A1, 3.00%, 1/28/58, Callable 6/25/25 @ 100*(a)(b)   39,765 
 102,200   Towd Point Mortgage Trust, Series 2018-2, Class A1, 3.25%, 3/25/58, Callable 6/25/27 @ 100*(a)(b)   100,978 
         140,743 
U.S. Government Agency Mortgage Backed Securities (4.4%)     
 1,417   Fannie Mae, 1.88% (US0012M + 162 bps), 9/1/33, Pool #739372   1,411 
 1,765   Fannie Mae, 2.11% (US0012M + 186 bps), 1/1/37, Pool #906675   1,754 
 65,281   Fannie Mae, Series 2010-100, Class LA, 2.50%, 7/25/40   63,854 
 56,075   Fannie Mae, Series 2014-61, Class P, 2.50%, 7/25/44   54,318 
 33,338   Fannie Mae, Series 2015-12, Class PC, 2.50%, 7/25/44   32,977 
 115,450   Fannie Mae, Series 2015-59, Class LM, 3.00%, 7/25/45   111,177 
 211,674   Fannie Mae, Series 2018-M12, Class A1, 3.55%, 2/25/30   216,657 
 90   Fannie Mae, 6.00%, 4/1/35, Pool #735503   97 
 619   Fannie Mae, Series 2001-55, Class PC, 6.50%, 10/25/31   669 
 9,169   Fannie Mae, Series 2003-W2, Class 1A2, 7.00%, 7/25/42, Callable 6/25/22 @ 100*   10,113 
 324   Fannie Mae, Series 2002-T1, Class A3, 7.50%, 11/25/31, Callable 6/25/22 @ 100*   353 
 66,586   Freddie Mac, Series 4220, Class KC, 1.50%, 5/15/32   64,604 
 40,160   Freddie Mac, Series 4076, Class QC, 2.00%, 11/15/41   39,351 

 

See notes to schedule of portfolio of investments.

 

- 8 -

 

 

Schedule of Portfolio Investments Moderate Duration Fund
May 31, 2022 (Unaudited) Continued

 

Shares or
Principal
Amount
   Security Description  Value 
  
Mortgage Backed Securities†, continued: 
U.S. Government Agency Mortgage Backed Securities, continued: 
$50,693   Freddie Mac, Series 4461, Class EA, 2.00%, 7/15/37  $49,965 
 186,493   Freddie Mac, Series 3908, Class B, 2.50%, 6/15/39   176,948 
 8,012   Freddie Mac, 5.37% (H15T1Y + 228 bps), 8/1/34, Pool #755230   7,928 
 84   Freddie Mac, Series 1379, Class H, 7.00%, 10/15/22, Callable 7/15/22 @ 100*   84 
 350   Freddie Mac, Series 1714, Class K, 7.00%, 4/15/24, Callable 7/15/22 @ 100*   360 
 677   Freddie Mac, Series 1904, Class D, 7.50%, 10/15/26, Callable 7/15/22 @ 100*   721 
 3   Freddie Mac, Series 1310, Class J, 8.00%, 6/15/22   3 
 70,015   Government National Mortgage Assoc., Series 2013-69, 2.00%, 9/20/42   64,839 
 9,765   Government National Mortgage Assoc., Series 2010-98, Class MG, 3.00%, 8/20/39   9,796 
 3,663   Government National Mortgage Assoc., 7.00%, 3/15/26, Pool #419128   3,673 
 41   Government National Mortgage Assoc., 7.00%, 3/20/27, Pool #2394   43 
 134   Government National Mortgage Assoc., 8.00%, 10/20/24, Pool #1884   138 
 31   Government National Mortgage Assoc., 8.00%, 2/20/26, Pool #2171   32 
 741   Government National Mortgage Assoc., 8.00%, 4/20/26, Pool #2205   772 
 2,462   Government National Mortgage Assoc., 8.00%, 5/20/26, Pool #2219   2,584 
        915,221 
Total Mortgage Backed Securities (Cost $2,882,365)   2,743,504 
      
Corporate Bonds (26.7%)
Aerospace & Defense (2.0%)
 450,000   Boeing Co. (The), 3.25%, 2/1/28, Callable 12/1/27 @ 100 *   413,024 
Airlines (1.1%)
 220,179   United Airlines Pass Through Trust, Series 2020- 1, Class A, 5.88%, 4/15/29   223,974 
Banks (3.2%)
 510,000   Bank of America Corp., 1.90% (SOFR + 153 bps), 7/23/31, Callable 7/23/30 @ 100, MTN *   424,922 
 250,000   Wells Fargo & Co., 2.88% (SOFR + 143 bps), 10/30/30, Callable 10/30/29 @ 100, MTN *   228,052 
        652,974 
Capital Markets (1.4%)
 290,000   Goldman Sachs Group, Inc., 3.50%, 11/16/26, Callable 11/16/25 @ 100 *   286,211 
Diversified Financial Services (1.4%)
 300,000   National Rural Utilities Cooperative Finance Corp., 3.25%, 11/1/25, Callable 8/1/25 @ 100 *   297,376 
Diversified Telecommunication Services (1.5%)
 310,000   AT&T, Inc., 4.35%, 3/1/29, Callable 12/1/28 @ 100 *   313,764 
Electric Utilities (1.3%)
 275,000   Entergy Mississippi LLC, 3.25%, 12/1/27, Callable 9/1/27 @ 100   272,211 
Electrical Equipment (1.0%)
 250,000   Emerson Electric Co., 2.20%, 12/21/31, Callable 9/21/31 @ 100 *   217,896 

 

Shares or
Principal
Amount
   Security Description  Value 
  
Corporate Bonds, continued: 
Equity Real Estate Investment Trusts (0.4%) 
$75,123   JBG/Rockville NCI Campus LLC, Series 2010-A, 3.90%, 7/15/23 (a)  $75,074 
Food Products (1.4%)
 300,000   Mars, Inc., 3.20%, 4/1/30, Callable 1/1/30 @ 100 *(a)   284,452 
Health Care Providers & Services (2.7%)
 225,000   Ascension Health, Series B, 2.53%, 11/15/29, Callable 8/15/29 @ 100 *   203,375 
 370,000   Sutter Health, 3.70%, 8/15/28, Callable 5/15/28 @ 100 *   365,494 
        568,869 
Hotels, Restaurants & Leisure (2.0%)
 425,000   Hyatt Hotels Corp., 4.38%, 9/15/28, Callable 6/15/28 @ 100 *   411,125 
Household Durables (1.9%)
 400,000   Harman International Industries, Inc., 4.15%, 5/15/25, Callable 2/15/25 @ 100 *   402,884 
Insurance (1.4%)
 300,000   Jackson National Life Global Funding, 2.65%, 6/21/24 (a)   294,581 
Oil, Gas & Consumable Fuels (1.8%)
 380,000   HF Sinclair Corp., 2.63%, 10/1/23   370,902 
Semiconductors & Semiconductor Equipment (2.2%)
 24,000   Broadcom, Inc., 3.19%, 11/15/36, Callable 8/15/36 @ 100 *(a)   19,261 
 451,000   Broadcom, Inc., 4.15%, 11/15/30, Callable 8/15/30 @ 100 *   428,420 
        447,681 
Total Corporate Bonds (Cost $6,064,058)    5,532,998 
 
Taxable Municipal Bonds (18.4%)
Alabama (1.4%)
 300,000   The Water Works Board City of Birmingham Revenue, 2.60%, 1/1/27   288,466 
Arizona (1.1%)
 250,000   City of Glendale Arizona, Certificate participation, 0.90%, 7/1/24   238,509 
California (2.8%)
 600,000   Riverside Unified School District, GO, 2.27%, 2/1/25   586,954 
Colorado (1.4%)
 150,000   Colorado Housing and Finance Authority Revenue, Series I-1, Class I, 0.86%, 11/1/23, GNMA: GOV. NATL MTGE ASSOCIATION   146,174 
 150,000   Colorado Housing and Finance Authority Revenue, Series I-1, Class I, 1.11%, 5/1/25, GNMA: GOV. NATL MTGE ASSOCIATION   141,369 
        287,543 
New York (2.7%)
 300,000   New York City Housing Development Corp. Revenue, Series L, 2.84%, 11/1/28, Continuously Callable @100   277,447 
 300,000   New York City Transitional Finance Authority Revenue, 2.63%, 11/1/29   272,047 
        549,494 
Rhode Island (1.9%)
 400,000   Rhode Island Convention Center Authority Revenue, 3.15%, 5/15/25   394,287 
Texas (3.7%)
 500,000   Austin Community College District Revenue, 0.93%, 2/1/25   468,629 

 

See notes to schedule of portfolio of investments. 

 

- 9 -

 

 

Schedule of Portfolio Investments Moderate Duration Fund
May 31, 2022 (Unaudited) Concluded

 

Shares or
Principal
Amount
   Security Description  Value 
  
Taxable Municipal Bonds, continued: 
Texas, continued: 
$300,000   Midland County Fresh Water Supply District No. 1 Revenue, 2.37%, 9/15/26  $290,803 
        759,432 
Virginia (1.2%)
 275,000   Virginia Housing Development Authority Revenue, Series F, 1.65%, 7/1/26, HUD: US DEPT OF HSG AND URBAN DEV   258,174 
Washington (1.4%)
 300,000   Pierce County School District No. 10 Tacoma, GO, 0.53%, 12/1/23, SCH BD GTY   289,894 
Wisconsin (0.8%)
 165,000   Public Financial Authority Wisconsin Revenue, 4.45%, 10/1/25, Insured by: AGC   166,716 
Total Taxable Municipal Bonds (Cost $3,998,044)   3,819,469 
 
U.S. Government Agency Securities (4.2%)
Federal Farm Credit Banks
 250,000   2.32%, 1/26/32, Callable 1/26/23 @ 100 *   224,414 

 

Shares or
Principal
Amount
   Security Description  Value 
  
U.S. Government Agency Securities, continued: 
Federal Home Loan Banks
$250,000   0.63%, 8/16/28, Callable 8/16/22 @ 100 *(b)  $231,804 
 200,000   1.38%, 10/28/31, Callable 7/28/22 @ 100 *(b)   180,058 
 225,000   2.50%, 4/25/25, Callable 7/25/22 @ 100 *(b)   225,186 
        637,048 
Total U.S. Government Agency Securities (Cost $885,663)   861,462 
 
U.S. Treasury Obligations (18.0%)
U.S. Treasury Notes
 896,000   1.25%, 8/15/31   780,955 
 1,907,000   2.00%, 4/30/24   1,889,569 
 1,082,000   2.25%, 2/15/27   1,053,767 
Total U.S. Treasury Obligations (Cost $3,967,095)   3,724,291 
 
Investment in Affiliates (2.1%)
 439,550   Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.54%(d)   439,550 
Total Investment in Affiliates (Cost $439,550)   439,550 
Total Investments (Cost $22,083,763) - 99.9%   20,676,789 
Other assets in excess of liabilities — 0.1%   15,060 
Net Assets - 100.0%  $20,691,849 

 

 

(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 May 31, 2022.
(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, 2022.

(d)Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at May 31, 2022.

*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
MTN Medium Term Note
SCH BD GTY  School Board Guaranty
SOFR Secured Overnight Financing Rate
US0001M 1 Month US Dollar LIBOR
US0003M 3 Month US Dollar LIBOR
US0012M 12 Month US Dollar LIBOR

 

See notes to schedule of portfolio of investments.

 

- 10 -

 

 

Schedule of Portfolio Investments Bond Fund
May 31, 2022 (Unaudited)

 

Shares or
Principal
Amount
   Security Description  Value 
          
Asset Backed Securities (15.0%)     
$825,000   Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2, 1.94%, 8/15/46, Callable 8/15/24 @ 100*(a)    $744,695 
 459,156   Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class A, 3.50%, 1/28/55 (b)   453,740 
 17,883   Bear Stearns Asset Backed Securities, Inc., Series 2003-AC7, Class A1, 5.50%, 1/25/34, Callable 6/25/22 @ 100*(b)(c)   16,278 
 482,113   BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class B, 3.78%, 9/26/33, Callable 8/25/26 @ 100*(a)   467,246 
 1,100,000   CoreVest American Finance Trust, Series 2021-2, Class B, 2.38%, 7/15/54, Callable 6/15/31 @ 100*(a)   903,767 
 995,000   DB Master Finance LLC, Series 2021-1A, Class A2I, 2.05%, 11/20/51, Callable 5/20/24 @ 100*(a)   893,026 
 99,000   Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.66%, 4/25/51, Callable 10/25/25 @ 100*(a)   88,433 
 1,115,000   Flexential Issuer, Series 2021-1A, Class A2, 3.25%, 11/27/51, Callable 11/25/25 @ 100*(a)   1,042,525 
 1,000,000   Hi-Fi Music Ip Issuer II L.P, Series 2022-1A, Class A2, 3.94%, 2/1/62, Callable 8/1/22 @ 100*(a)   979,681 
 983,412   Horizon Aircraft Finance III, Ltd., Series 2019-2, Class A, 3.43%, 11/15/39 (a)   854,123 
 671,625   Jack In The Box Funding LLC, Series 2022-1A, Class A2I, 3.45%, 2/26/52, Callable 2/25/25 @ 100*(a)   627,701 
 936,081   Longtrain Leasing III LLC, Series 2015-1A, Class A2, 4.06%, 1/15/45, Callable 1/15/25 @ 100*(a)   883,474 
 782,913   MVW LLC, Series 2019-2A, Class A, 2.22%, 10/20/38, Callable 4/20/25 @ 100*(a)   755,045 
 1   RAAC, Series 2004-SP1, Class AI4, 5.29%, 8/25/27, Callable 6/25/22 @ 100*(b)   1 
 455,000   Sabey Data Center Issuer LLC, Series 2020-1, Class A2, 3.81%, 4/20/45, Callable 11/20/23 @ 100*(a)   443,717 
 1,041,450   Sonic Capital LLC, Series 2020-1A, Class A2I, 3.85%, 1/20/50, Callable 1/20/24 @ 100*(a)   999,150 
 919,125   Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.54%, 2/25/44, Callable 2/25/23 @ 100*(a)   919,169 
 22,805   Structured Asset Securities Corp., Series 2003-AL2, Class A, 3.36%, 1/25/31, Callable 6/25/22 @ 100*(a)   21,663 
 646,550   Taco Bell Funding LLC, Series 2018-1A, Class A2II, 4.94%, 11/25/48, Callable 11/25/25 @ 100*(a)   644,156 
 841,879   Textainer Marine Containers VIII, Ltd., Series 2A- A, Class A, 2.10%, 9/20/45, Callable 9/20/22 @ 100*(a)   770,444 
 941,500   TIF Funding II LLC, Series 2021-1A, Class A, 1.65%, 2/20/46, Callable 2/20/23 @ 100*(a)   816,436 
 907,917   Triton Container Finance VIII LLC, Series 2021- 1A, Class A, 1.86%, 3/20/46, Callable 4/20/23 @ 100*(a)   797,267 

 

Shares or
Principal
Amount
   Security Description  Value 
          
Asset Backed Securities, continued:     
$483,911   TRP-TRIP Rail Master Funding LLC, Series 2021- 2, Class A, 2.15%, 6/19/51, Callable 6/17/22 @ 100*(a)  $437,121 
 1,101,000   Wendy's Funding LLC, Series 2019-1A, Class A2I, 3.78%, 6/15/49, Callable 3/15/24 @ 100*(a)   1,059,139 
 704,885   Willis Engine Structured Trust III, Series 17, Class A, 4.69%, 8/15/42, Callable 7/15/27 @ 100*(a)(b)   626,287 
 711,098   Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.10%, 5/15/46, Callable 5/15/29 @ 100*(a)   593,096 
 526,025   ZAXBY'S Funding LLC, Series 2021-1A, Class A2, 3.24%, 7/30/51, Callable 7/30/25 @ 100*(a)   462,075 
Total Asset Backed Securities (Cost $18,964,792)   17,299,455 

 

Mortgage Backed Securities† (13.4%)    
Alt-A - Adjustable Rate Mortgage Backed Securities (0.0%^)     
 55,254   Bear Stearns Alternative-A Trust, Series 2006-6, Class 32A1, 2.93%, 11/25/36, Callable 9/25/24 @ 100*(b)   33,388 
 3,593   JPMorgan Alternative Loan Trust, Series 2006-S4, Class A6, 6.21%, 12/25/36, Callable 6/25/22 @ 100*(b)(c)   3,525 
   36,913 
Alt-A - Fixed Rate Mortgage Backed Securities (1.2%)     
 6,688   Bank of America Alternative Loan Trust, Series 2006-4, Class CB1, 6.50%, 5/25/46, Callable 6/25/22 @ 100*   6,205 
 27,507   Chaseflex Trust, Series 2005-2, Class 1A1, 6.00%, 6/25/35, Callable 6/25/22 @ 100*   21,164 
 21,093   Chaseflex Trust, Series 2007-1, Class 1A3, 6.50%, 2/25/37, Callable 6/25/22 @ 100*   9,158 
 45,440   Countrywide Alternative Loan Trust, Series 2005-46CB, Class A3, 5.50%, 10/25/35, Callable 6/25/22 @ 100*   36,050 
 6,296    Countrywide Alternative Loan Trust, Series 2004-22CB, Class 1A1, 6.00%, 10/25/34, Callable 6/25/22 @ 100*   6,335 
 21,789   Countrywide Alternative Loan Trust, Series 2006-8T1, Class 1A4, 6.00%, 4/25/36, Callable 6/25/22 @ 100*   12,712 
 150,433   Countrywide Alternative Loan Trust, Series 2007-9T1, Class 1A7, 6.00%, 5/25/37, Callable 6/25/22 @ 100*   83,313 
 175,280   Countrywide Alternative Loan Trust, Series 2006-36T2, Class 2A4, 6.25%, 12/25/36, Callable 6/25/22 @ 100*   93,658 
 1,291   Master Alternative Loans Trust, Series 2004-13, Class 8A1, 5.50%, 1/25/25, Callable 6/25/22 @100*   1,154 
 13,680   Master Alternative Loans Trust, Series 2005-3, Class 1A1, 5.50%, 4/25/35, Callable 6/25/23@100*   12,971 
 37,761   Master Alternative Loans Trust, Series 2004-3, Class 3A1, 6.00%, 4/25/34, Callable 6/25/22 @100*   36,632 
 13,529   Master Alternative Loans Trust, Series 2005-3, Class 7A1, 6.00%, 4/25/35, Callable 10/25/22 @100*   12,063 

 

See notes to schedule of portfolio of investments. 

 

- 11 -

 

 

Schedule of Portfolio Investments Bond Fund
May 31, 2022 (Unaudited) Continued

 

Shares or
Principal
Amount
   Security Description  Value 
          
Mortgage Backed Securities†, continued: 
Alt-A - Fixed Rate Mortgage Backed Securities, continued:
$745   Master Alternative Loans Trust, Series 2003-7, Class 5A1, 6.25%, 11/25/33, Callable 6/25/22 @ 100*  $729 
 6,661   Master Alternative Loans Trust, Series 2004-3, Class 2A1, 6.25%, 4/25/34, Callable 6/25/22 @ 100*   6,573 
 13,827   MASTR Alternative Loan Trust, Series 2004-6, Class 7A1, 6.00%, 7/25/34, Callable 6/25/22 @ 100*   13,434 
 1,058,947   Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A3, 3.96%, 8/15/46, Callable 5/15/23 @ 100*   1,053,772 
        1,405,923 
Prime Adjustable Rate Mortgage Backed Securities (3.4%)
 445,001   GS Mortgage-Backed Securities Trust, Series 2021-GR2, Class A6, 2.50%, 2/25/52, Callable 5/25/40 @ 100*(a)(b)   408,723 
 940,037   GS Mortgage-Backed Securities Trust, Series 2021-PJ7, Class A8, 2.50%, 1/25/52, Callable 3/25/40 @ 100*(a)(b)   866,633 
 120,192   JPMorgan Mortgage Trust, Series 2005-A6, Class 2A4, 2.56%, 8/25/35, Callable 6/25/22 @ 100*(b)   117,359 
 3,751   JPMorgan Mortgage Trust, Series 2006-A4, Class 3A1, 3.28%, 6/25/36, Callable 6/25/22 @ 100*(b)   2,916 
 875,435   LSTAR Securities Investment, Ltd., Series 2019-4, Class A1, 4.30% (US0001M + 150 bps), 5/1/24(a)   875,459 
 500,000   Mello Warehouse Securitization Trust, Series 2021-1, Class A, 1.37% (US0001M + 70 bps), 2/25/55, Callable 2/25/24 @ 100*(a)   495,094 
 150,000   Mello Warehouse Securitization Trust, Series 2021-1, Class 21-C, 1.77% (US0001M + 110 bps), 2/25/55, Callable 2/25/24 @ 100*(a)   148,372 
 177,000   Mello Warehouse Securitization Trust, Series 2020-2, Class C, 2.31% (US0001M + 130 bps), 11/25/53, Callable 12/25/23 @ 100*(a)   175,699 
 9,999   Merrill Lynch Mortgage Investors Trust, Series 2004-HB1, Class A3, 2.02%, 4/25/29, Callable 6/25/22 @ 100*(b)   9,379 
 939,417   Starwood Mortgage Residential Trust, Series 2021-5, Class A1, 1.92%, 9/25/66, Callable 10/25/24 @ 100*(a)(b)   856,629 
 3,745   Structured Adjustable Rate Mortgage Loan Trust, Series 2006-5, Class 4A1, 2.96%, 6/25/36, Callable 6/25/22 @ 100*(b)   2,677 
        3,958,940 
Prime Fixed Mortgage Backed Securities (5.1%)
 353,991   Arroyo Mortgage Trust, Series 2019-3, Class A1, 2.96%, 10/25/48, Callable 7/25/22 @ 100*(a)(b)   345,427 
 2,344   Chase Mortgage Finance Corp., Series 2002-S4, Class A23, 6.25%, 3/25/32, Callable 6/25/22 @ 100*   2,206 
 103,285   Chaseflex Trust, Series 2006-2, Class A5, 4.46%, 9/25/36, Callable 6/25/22 @ 100*(b)   96,378 
 1,310,564   CIM Trust, Series 2021-J2, Class A4, 2.50%, 4/25/51, Callable 6/25/44 @ 100*(a)(b)   1,209,047 
 14,933   Citigroup Mortgage Loan Trust, Inc., Series 2005- 1, Class 3A1, 6.50%, 4/25/35   14,876 

 

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 6/25/22 @ 100*  $1,957 
 3,240   Countrywide Home Loans, Series 2004-18, Class A1, 6.00%, 10/25/34, Callable 6/25/22 @ 100*   3,176 
 3,261   Countrywide Home Loans, Series 2004-21, Class A10, 6.00%, 11/25/34, Callable 6/25/22 @ 100*   3,210 
 92,165   Credit Suisse First Boston Mortgage Securities Corp., Series 2005-9, Class 3A1, 6.00%, 10/25/35, Callable 6/25/22 @ 100*   35,800 
 106   First Nationwide Trust, Series 2001-3, Class 1A1, 6.75%, 8/21/31   104 
 870   GMAC Mortgage Corp. Loan Trust, Series 2003- GH2, Class A4, 5.50%, 10/25/33, Callable 6/25/22 @ 100*(b)(c)   866 
 938,062   GS Mortgage-Backed Securities Trust 2022-Mm1, Series 2022-MM1, Class A8, 2.50%, 7/25/52, Callable 9/25/40 @ 100*(a)(b)   859,536 
 13,524   JPMorgan Mortgage Trust, Series 2006-A2, Class 3A2, 2.60%, 4/25/36, Callable 6/25/22 @ 100*(b)   12,021 
 1,110,888   JPMorgan Mortgage Trust, Series 2019-6, Class A5, 3.50%, 12/25/49, Callable 12/25/22 @ 100*(a)(b)   1,079,989 
 17,521   JPMorgan Mortgage Trust, Series 2004-S2, Class 4A5, 6.00%, 11/25/34, Callable 6/25/22 @ 100*   16,654 
 889,554   Mello Mortgage Capital Acceptance Trust, Series 2021-MTG2, Class A10, 2.50%, 6/1/51, Callable 10/25/39 @ 100*(a)(b)   820,975 
 3,882   Nomura Asset Acceptance Corp., Series 2003-A1, Class A2, 6.00%, 5/25/33, Callable 6/25/22 @ 100*   3,844 
 89,424   RAAC, Series 2004-SP2, Class A22, 6.00%, 1/25/32, Callable 6/25/22 @ 100*   82,915 
 36,517   TBW Mortgage Backed Pass-Through Certificates, Series 2006-2, Class 7A1, 7.00%, 7/25/36, Callable 6/25/22 @ 100*   6,238 
 170,765   Washington Mutual Mortgage Pass-Through Certificates, Series 2005-3, Class 1CB5, 5.50%, 5/25/35, Callable 6/25/22 @ 100*   156,851 
 3,981   Washington Mutual Mortgage Pass-Through Certificates, Series 2004-CB1, Class 4A, 6.00%, 6/25/34, Callable 6/25/22 @ 100*   3,963 
 25,468   Washington Mutual Mortgage Pass-Through Certificates, Series 2004-RA1, Class 2A, 7.00%, 3/25/34, Callable 9/25/22 @ 100*   25,526 
 717,665   Wells Fargo Mortgage Backed Securities Trust, Series 2021-2, Class A3, 2.50%, 6/25/51, Callable 1/25/38 @ 100*(a)(b)   661,625 
 278,802   Wells Fargo Mortgage Backed Securities Trust, Series 2019-3, Class A1, 3.50%, 7/25/49, Callable 9/25/22 @ 100*(a)(b)   266,575 
 111,748   WinWater Mortgage Loan Trust, Series 2015-1, Class A1, 3.50%, 1/20/45, Callable 6/20/22 @ 100*(a)(b)   108,738 
        5,818,497 

 

See notes to schedule of portfolio of investments. 

 

- 12 -

 

 

Schedule of Portfolio Investments Bond Fund
May 31, 2022 (Unaudited) Continued

 

Shares or
Principal
Amount
   Security Description   Value 
          
Mortgage Backed Securities†, continued: 
Subprime Mortgage Backed Securities (0.6%)
$257,206   Towd Point Mortgage Trust, Series 2017-6, Class A1, 2.75%, 10/25/57, Callable 8/25/26 @ 100*(a)(b)  $252,829 
 107,143   Towd Point Mortgage Trust, Series 2018-1, Class A1, 3.00%, 1/25/58, Callable 6/25/25 @ 100*(a)(b)   106,039 
 289,566   Towd Point Mortgage Trust, Series 2018-2, Class A1, 3.25%, 3/25/58, Callable 6/25/27 @ 100*(a)(b)   286,106 
        644,974 
U.S. Government Agency Mortgage Backed Securities (3.1%)
 200,419   Fannie Mae, Series 2012-111, Class EC, 2.00%, 12/25/41.   191,713 
 115,325   Fannie Mae, Series 2013-23, Class AB, 2.00%, 2/25/43   110,262 
 439,014   Fannie Mae, Series 2020-54, Class TA, 2.00%, 5/25/43   426,123 
 149,113   Fannie Mae, Series 2012-30, Class CB, 2.25%, 10/25/41   145,043 
 8,855   Fannie Mae, 2.43% (H15T1Y + 231 bps), 12/1/27, Pool #422279   8,831 
 123,512   Fannie Mae, Series 2, Class JD, 2.50%, 2/25/50   114,593 
 109,089   Fannie Mae, Series 2010-100, Class LA, 2.50%, 7/25/40   106,704 
 172,687   Fannie Mae, Series 2012-111, Class QC, 2.50%, 5/25/42   167,092 
 42,056   Fannie Mae, Series 2014-61, Class P, 2.50%, 7/25/44   40,738 
 240,076   Fannie Mae, Series 2014-33, Class PE, 3.00%, 4/25/43   238,548 
 231,707   Fannie Mae, Series 2015-59, Class LM, 3.00%, 7/25/45   223,132 
 719,691   Fannie Mae, Series 2018-M12, Class A1, 3.55%, 2/25/30   736,632 
 10,825   Fannie Mae, Series 2002-W11, Class AF5, 4.98%, 11/25/32, Callable 6/25/22 @ 100*(b)(c)   11,093 
 223   Fannie Mae, 5.00%, 8/1/33, Pool #730856   237 
 99   Fannie Mae, 5.00%, 7/1/35, Pool #832198   105 
 134   Fannie Mae, 5.50%, 2/1/33, Pool #683351   143 
 84   Fannie Mae, 5.50%, 9/1/34, Pool #725773   90 
 1,210   Fannie Mae, Series 1998-36, Class ZB, 6.00%, 7/18/28   1,280 
 553   Fannie Mae, Series 1993-82, Class H, 7.00%, 5/25/23   560 
 22,389   Fannie Mae Whole Loan, Series 2003-W6, Class 6A, 3.22%, 8/25/42, Callable 6/25/22 @ 100*(b)   22,572 
 81,456   Freddie Mac, Series 4019, Class GB, 2.00%, 12/15/41   78,343 
 92,937   Freddie Mac, Series 4461, Class EA, 2.00%, 7/15/37   91,603 
 195,330   Freddie Mac, Series 3913, Class PC, 2.50%, 3/15/41   194,102 
 1,676   Freddie Mac, 3.13% (H15T1Y + 213 bps), 4/1/24, Pool #409624   1,678 
 106,926   Freddie Mac, Series 3721, Class PE, 3.50%, 9/15/40   106,168 
 39,910   Freddie Mac, Series 3780, Class MK, 3.50%, 10/15/40   39,654 

 

Shares or
Principal
Amount
   Security Description  Value 
  
Mortgage Backed Securities†, continued: 
U.S. Government Agency Mortgage Backed Securities, continued:
$349   Freddie Mac, Series 2610, Class VB, 5.50%, 7/15/24  $357 
 193   Freddie Mac, 6.00%, 7/1/35, Pool #A36085   204 
 988   Freddie Mac, Series 2148, Class ZA, 6.00%, 4/15/29   1,048 
 564   Freddie Mac, 6.50%, 2/1/36, Pool #G08113   615 
 6,748   Freddie Mac, Series 2036, Class PD, 6.50%, 3/15/28   7,204 
 151,698   Government National Mortgage Assoc., Series 2013-69, 2.00%, 9/20/42   140,484 
 241,416   Government National Mortgage Assoc., Series 2009-94, Class KB, 3.00%, 9/16/39   240,352 
 94,324   Government National Mortgage Assoc., Series 2011-46, Class GJ, 3.25%, 1/16/41(b)   93,977 
 13,229   Government National Mortgage Assoc., Series 2009-93, Class HG, 4.00%, 9/16/39   13,478 
 286   Government National Mortgage Assoc., 7.00%, 9/15/23, Pool #347688   287 
 3,017   Government National Mortgage Assoc., 7.00%, 7/15/29, Pool #490215   3,166 
 819   Government National Mortgage Assoc., 7.50%, 11/15/23, Pool #354701   826 
        3,559,037 
 Total Mortgage Backed Securities (Cost $16,274,207)    15,424,284 
       
Corporate Bonds (27.9%)
Aerospace & Defense (1.4%)
 1,750,000   Boeing Co. (The), 3.25%, 2/1/28, Callable 12/1/27 @ 100 *   1,606,205 
Airlines (1.8%)
 1,151,567   Alaska Airlines 2020-1, 4.80%, 2/15/29 (a)   1,154,445 
 885,796   United Airlines Pass Through Trust, Series 2020- 1, Class A, 5.88%, 4/15/29   901,066 
        2,055,511 
Banks (3.8%)
 2,475,000   Bank of America Corp., 3.31% (SOFR + 158 bps), 4/22/42, Callable 4/22/41 @ 100 *   2,066,548 
 1,350,000   JPMorgan Chase & Co., 2.52% (SOFR + 204 bps), 4/22/31, Callable 4/22/30 @ 100 *   1,189,793 
 1,350,000   Wells Fargo & Co., 3.07% (SOFR + 253 bps), 4/30/41, Callable 4/30/40 @ 100 *   1,095,824 
        4,352,165 
Beverages (0.7%)
 800,000   PepsiCo, Inc., 2.75%, 3/19/30, Callable 12/19/29 @ 100 *   754,455 
Capital Markets (1.4%)
 1,600,000   Goldman Sachs Group, Inc., 3.50%, 11/16/26, Callable 11/16/25 @ 100 *   1,579,095 
Diversified Financial Services (0.7%)
 850,000   Korea Development Bank, 2.75%, 3/19/23   850,714 
Diversified Telecommunication Services (1.1%)
 1,520,000   AT&T, Inc., 3.50%, 9/15/53, Callable 3/15/53 @ 100 *   1,227,542 
Electric Utilities (0.9%)
 1,000,000   Entergy Mississippi LLC, 3.25%, 12/1/27, Callable 9/1/27 @ 100 *   989,860 
Electrical Equipment (0.9%)
 1,250,000   Emerson Electric Co., 2.20%, 12/21/31, Callable 9/21/31 @ 100 *   1,089,478 

 

See notes to schedule of portfolio of investments. 

 

- 13 -

 

 

Schedule of Portfolio Investments Bond Fund
May 31, 2022 (Unaudited) Continued

 

Shares or
Principal
Amount
   Security Description   Value 
          
Corporate Bonds, continued: 
Equity Real Estate Investment Trusts (1.0%)
$112,685   JBG/Rockville NCI Campus LLC, Series 2010-A, 3.90%, 7/15/23 (a)  $112,611 
 1,100,000   SBA Tower Trust, 1.88%, 1/15/26, Callable 1/15/25 @ 100 *(a)   1,026,425 
        1,139,036 
Food Products (1.9%)
 1,059,000   Conagra Brands, Inc., 4.60%, 11/1/25, Callable 9/1/25 @ 100 *   1,080,407 
 320,000   Mars, Inc., 0.88%, 7/16/26, Callable 6/16/26 @ 100 *(a)   287,534 
 825,000   Mars, Inc., 3.20%, 4/1/30, Callable 1/1/30 @ 100 *(a)   782,244 
        2,150,185 
Health Care Providers & Services (2.8%)
 1,000,000   Ascension Health, Series B, 2.53%, 11/15/29, Callable 8/15/29 @ 100 *   903,891 
 655,000   Montefiore Medical Center, 2.15%, 10/20/26, Callable 4/20/26 @ 100 *   644,575 
 1,050,000   Partners Healthcare Syst, Inc., Series 2020, 3.19%, 7/1/49, Callable 1/1/49 @ 100 *   849,119 
 890,000   Sutter Health, 3.70%, 8/15/28, Callable 5/15/28 @ 100 *   879,161 
        3,276,746 
Hotels, Restaurants & Leisure (2.7%)
 1,875,000   Hyatt Hotels Corp., 4.38%, 9/15/28, Callable 6/15/28 @ 100 *   1,813,787 
 345,000   Royal Caribbean Cruises, 5.25%, 11/15/22   345,859 
 1,200,000   Starbucks Corp., 3.75%, 12/1/47, Callable 6/1/47 @ 100 *   1,008,526 
        3,168,172 
Household Durables (0.5%)
 620,000   Harman International Industries, Inc., 4.15%, 5/15/25, Callable 2/15/25 @ 100 *   624,470 
Insurance (0.9%)
 1,100,000   Jackson National Life Global Funding, 2.65%, 6/21/24 (a)   1,080,131 
IT Services (1.7%)
 1,200,000   International Business Machines Corp., 3.50%, 5/15/29   1,159,040 
 770,000   Western Union Co. (The), 6.20%, 11/17/36   796,853 
        1,955,893 
Oil, Gas & Consumable Fuels (1.6%)
 1,000,000   HF Sinclair Corp., 2.63%, 10/1/23   976,058 
 900,000   Marathon Oil Corp., 4.40%, 7/15/27, Callable 4/15/27 @ 100 *   904,171 
        1,880,229 
Semiconductors & Semiconductor Equipment (2.1%)
 97,000   Broadcom, Inc., 3.19%, 11/15/36, Callable 8/15/36 @ 100 *(a)   77,846 
 2,178,000   Broadcom, Inc., 4.15%, 11/15/30, Callable 8/15/30 @ 100 *   2,068,954 
 325,000   Intel Corp., 3.25%, 11/15/49, Callable 5/15/49 @ 100 *   268,789 
        2,415,589 
Total Corporate Bonds (Cost $35,765,904)    32,195,476 
Taxable Municipal Bonds (13.6%)
Kentucky (0.6%)
 750,000   Lexington-Fayette Urban County Airport Board Corp. Revenue, 2.84%, 7/1/31   688,673 

 

Shares or
Principal
Amount
   Security Description  Value 
          
Taxable Municipal Bonds, continued: 
Massachusetts (0.9%) 
$1,150,000   Massachusetts State College Building Authority Revenue, Series C, 2.44%, 5/1/28, ST APPROP  $1,067,227 
Michigan (1.2%)
 500,000   Michigan State Housing Development Authority Revenue, Series B, 2.72%, 10/1/35, Continuously Callable @100   444,806 
 1,000,000   Michigan State Housing Development Authority Revenue, Series B, 3.49%, 12/1/40, Continuously Callable @100   911,672 
        1,356,478 
New York (1.0%)
 1,260,000   New York City Transitional Finance Authority Revenue, Series F-3, 3.21%, 5/1/29, Continuously Callable @100.   1,194,849 
Oklahoma (3.1%)
 500,000   Grand River Dam Authority Revenue, Series B, 4.55%, 6/1/39, Continuously Callable @100   505,970 
 960,000   Oklahoma Capitol Improvement Authority Revenue, 5.12%, 7/1/25.   986,911 
 450,000   The University of Oklahoma Revenue, Series C, 2.45%, 7/1/32, Continuously Callable @100   389,636 
 1,650,000   University of Oklahoma Health Sciences Center General Revenue, Series A, 3.87%, 7/1/32, Continuously Callable @100   1,646,358 
        3,528,875 
Oregon (0.7%)
 1,000,000   State of Oregon, GO, Series O, 1.70%, 8/1/32, Continuously Callable @100   822,258 
Pennsylvania (1.0%)
 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   1,165,816 
Texas (3.5%)
 1,000,000   Arlington Independent School District, GO, 5.00%, 2/15/26, PSF-GTD   1,067,097 
 1,000,000   Arlington Independent School District, GO, 5.00%, 2/15/27, PSF-GTD   1,079,270 
 1,250,000   Northwest Independent School District, GO, 1.78%, 2/15/31, Continuously Callable @100, TX PERMANENT SCHOOL FUND GUARANTEED   1,068,028 
 785,000   Texas Transportation Commission State Highway Fund Revenue, 5.18%, 4/1/30   845,107 
        4,059,502 
Washington (1.6%)
 1,200,000   County of King WA Sewer Revenue, Series B, 1.86%, 1/1/33, Continuously Callable @100   990,711 
 1,070,000   Pierce County School District No 10 Tacoma, GO, 1.90%, 12/1/33, SCH BD GTY   859,342 
        1,850,053 
Total Taxable Municipal Bonds (Cost $17,120,420)    15,733,731 
       
U.S. Government Agency Securities (7.3%)
Federal Farm Credit Banks
 1,408,000   2.15%, 3/7/36, Callable 6/15/22 @ 100 *   1,155,177 
 1,150,000   2.32%, 1/26/32, Callable 1/26/23 @ 100 *   1,032,303 
 1,220,000   2.75%, 2/2/37, Callable 2/2/23 @ 100 *   1,070,507 
        3,257,987 
Federal Home Loan Banks
 2,000,000   1.25%, 3/24/33, Callable 6/24/22 @ 100 *(b)   1,771,410 

 

See notes to schedule of portfolio of investments. 

 

- 14 -

 

 

Schedule of Portfolio Investments Bond Fund
May 31, 2022 (Unaudited) Concluded

 

Shares or
Principal
Amount
   Security Description  Value 
  
U.S. Government Agency Securities, continued: 
Federal Home Loan Banks, continued:
$1,170,000   1.50%, 2/25/36, Callable 8/25/22 @ 100 *(b)  $973,747 
        2,745,157 
Federal Home Loan Mortgage Corporation
 1,022,883   Series 4893, 2.50%, 5/15/49   964,738 
Federal National Mortgage Association
 1,008,514   Series 2018-94, 3.50%, 1/25/49   989,878 
 500,000   Series 2022-35, 4.00%, 3/25/47   507,000 
        1,496,878 
Total U.S. Government Agency Securities (Cost $8,621,442)    8,464,760 
 
U.S. Treasury Obligations (20.1%)
U.S. Treasury Bonds
 5,215,000   1.75%, 8/15/41   4,062,403 

 

Shares or
Principal
Amount
   Security Description  Value 
  
U.S. Treasury Obligations, continued: 
U.S. Treasury Bonds, continued:
$5,704,000   2.00%, 8/15/51  $4,489,672 
        8,552,075 
U.S. Treasury Notes
 5,395,000   1.13%, 2/15/31   4,689,014 
 3,860,000   2.00%, 4/30/24.   3,824,717 
 6,240,000   2.25%, 2/15/27   6,077,175 
        14,590,906 
Total U.S. Treasury Obligations (Cost $25,364,236)    23,142,981 
 
Investment in Affiliates (2.8%)
 3,192,841   Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.54%(d)   3,192,841 
 Total Investment in Affiliates (Cost $3,192,841)    3,192,841 
       
 Total Investments (Cost $125,303,842) - 100.1%    115,453,528 
 Liabilities in excess of other assets — (0.1)%    (62,697)
 Net Assets - 100.0%   $115,390,831 

 

 

(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 May 31, 2022.
(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, 2022.
(d) Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at May 31, 2022.
* 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.

 

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

 

See notes to schedule of portfolio of investments. 

 

- 15 -

 

 

Schedule of Portfolio Investments Strategic Enhanced Yield Fund
May 31, 2022 (Unaudited)  

 

Shares or
Principal
Amount
    Security Description   Value  
   
Asset Backed Securities (13.2%)  
$ 372,188     AB Issuer LLC, Series 2021-1, Class A2, 3.73%, 7/30/51, Callable 1/30/26 @ 100*(a)   $ 331,955  
  62,677     ABFC Trust, Series 2005-AQ1, Class A6, 4.42%, 1/25/35, Callable 6/25/22 @ 100*(b)(c)     62,547  
  600,000     Amur Equipment Finance Receivables LLC, Series 2021-1A, Class E, 4.13%, 3/20/28, Callable 12/20/24 @ 100*(d)     553,726  
  260,901     Bayview Commercial Asset Trust, Series 2004-3, Class A1, 1.56% (US0001M + 56 bps), 1/25/35, Callable 6/25/22 @ 100*(a)     258,442  
  17,808     Bayview Opportunity Master Fund Trust, Series 2017-RT1, Class A1, 3.00%, 3/28/57(a)(b)     17,477  
  15,571     Centex Home Equity Loan Trust, Series 2002-A, Class AF6, 5.54%, 1/25/32, Callable 6/25/22 @ 100*     15,489  
  9,463     Credit-Based Asset Servicing And Securitization LLC, Series 2005-RP2, Class M2, 3.41% (US0001M + 160 bps), 9/25/35, Callable 6/25/22 @ 100*(a)     9,874  
  8,138     Credit-Based Asset Servicing And Securitization LLC, Series 2007-SP1, Class A4, 4.72%, 12/25/37, Callable 6/25/22 @ 100*(a)(b)(c)     8,098  
  16,525     GSAA Home Equity Trust, Series 2005-1, Class M1, 5.80%, 11/25/34, Callable 6/25/22 @ 100*(b)(c)     16,538  
  100,349     GSAMP Trust, Series 2006-HE1, Class M1, 1.59% (US0001M + 39 bps), 1/25/36, Callable 6/25/22 @ 100*     99,975  
  24,293     MASTR Asset Backed Securities Trust, Series 2004-FRE1, Class M6, 3.11% (US0001M + 210 bps), 7/25/34, Callable 6/25/22 @ 100*     24,298  
  287,100     Neighborly Issuer LLC, Series 2021-1A, Class A2, 3.58%, 4/30/51, Callable 10/30/26 @ 100*(a)     252,668  
  15,467     Residential Asset Mortgage, Series 2004-RS12, Class MI1, 5.60%, 12/25/34, Callable 6/25/22 @ 100*(b)(c)     15,034  
  24,749     Residential Asset Securities Corp., Series 2004- KS8, Class MI1, 5.34%, 9/25/34, Callable 6/25/22 @ 100*(b)     24,647  
  10,902     Saxon Asset Securities Trust, Series 2007-1, Class A2C, 1.16% (US0001M + 15 bps), 1/25/47, Callable 7/25/26 @ 100*     10,871  
Total Asset Backed Securities (Cost $1,824,033)     1,701,639  

 

Mortgage Backed Securities† (38.7%) 
Alt-A - Fixed Rate Mortgage Backed Securities (5.4%) 
 16,976   Bear Stearns Asset-Backed Securities Trust, Series 2004-AC3, Class A1, 5.25%, 6/25/34, Callable 6/25/22 @ 100*(b)(c)   16,762 
 11,658   Countrywide Alternative Loan Trust, Series 2004- 16CB, Class 1A1, 5.50%, 7/25/34, Callable 6/25/22 @ 100*   11,477 
 12,051   Countrywide Alternative Loan Trust, Series 2004- 16CB, Class 3A1, 5.50%, 8/25/34, Callable 6/25/22 @ 100*   11,916 
 84,296   Countrywide Alternative Loan Trust, Series 2003- 22CB, Class 1A1, 5.75%, 12/25/33, Callable 6/25/22 @ 100*   82,168 
 26,027   Countrywide Alternative Loan Trust, Series 2004- 16CB, Class 4A3, 6.00%, 8/25/34, Callable 6/25/22 @ 100*   26,071 

 

Shares or
Principal
Amount
   Security Description  Value 
  
Mortgage Backed Securities†, continued: 
Alt-A - Fixed Rate Mortgage Backed Securities, continued:
$24,157   Countrywide Alternative Loan Trust, Series 2004-J2, Class 2A1, 6.50%, 3/25/34, Callable 6/25/22 @ 100*  $23,723 
 10,462   MASTR Alternative Loans Trust, Series 2004-11, Class 6A1, 5.50%, 10/25/34, Callable 6/25/22 @ 100*   10,360 
 75,976   MASTR Alternative Loans Trust, Series 2004-7, Class 1A1, 5.50%, 7/25/34, Callable 6/25/22 @ 100*   75,493 
 104,008   MASTR Alternative Loans Trust, Series 2003-3, Class 2A5, 6.00%, 5/25/33, Callable 6/25/22 @ 100*   102,486 
 26,285   MASTR Alternative Loans Trust, Series 2004-5, Class 2A1, 6.00%, 6/25/34, Callable 6/25/22 @ 100*   26,055 
 231,000   Residential Asset Securitization Trust, Series 2003-A7, Class A8, 5.00%, 7/25/33, Callable 6/25/22 @ 100*   230,414 
 65,000   Residential Asset Securitization Trust, Series 2003-A10, Class A2, 5.20%, 9/25/33, Callable 6/25/22 @ 100*   62,561 
 18,398   Structured Asset Securities Corp., Series 2004- 4XS, Class A3A, 5.17%, 2/25/34, Callable 6/25/22 @ 100*(b)(c)   17,437 
        696,923  

 

Prime Adjustable Rate Mortgage Backed Securities (14.4%) 
 43,750   Citigroup Mortgage Loan Trust, Inc., Series 2004- UST1, Class A5, 2.04%, 8/25/34, Callable 6/25/22 @ 100*(b)   43,454 
 78,162   Impac Secured Assets CMN Owner Trust, Series 2003-3, Class A1, 5.20%, 8/25/33, Callable 6/25/22 @ 100*(b)   76,503 
 275,762   LSTAR Securities Investment, Ltd., Series 2019-4, Class A1, 4.30% (US0001M + 150 bps), 5/1/24(a)   275,770 
 549,828   LSTAR Securities Investment, Ltd., Series 2019-4, Class A2, 5.30% (US0001M + 250 bps), 5/1/24(a)   549,827 
 300,000   Mello Warehouse Securitization Trust, Series 2020-2, Class E, 3.26% (US0001M + 225 bps), 11/25/53, Callable 12/25/23 @ 100*(a)   296,863 
 500,000   Mello Warehouse Securitization Trust, Series 2021-1, Class G, 5.04% (US0001M + 438 bps), 2/25/55, Callable 2/25/24 @ 100*(a)   496,319 
 15,073   RBSSP Resecuritization Trust, Series 2011-3, Class 2A1, 1.17% (US0001M + 25 bps), 2/26/37(a)   15,061 
 30,068   Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Class 3A, 2.62%, 7/25/34, Callable 6/25/22 @ 100*(b)   29,524 
 25,511   Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 3A2, 16.29%, 9/25/34, Callable 6/25/22 @ 100*(b)   25,785 
 45,036   WinWater Mortgage Loan Trust, Series 2014-1, Class A1, 3.91%, 6/20/44, Callable 6/20/22 @ 100*(a)(b)   44,552 
        1,853,658  

 

Prime Fixed Mortgage Backed Securities (13.5%) 
 104,319   Alternative Loan Trust, Series 2004-18CB, Class 4A1, 5.50%, 9/25/34, Callable 6/25/22 @ 100*   102,746 

 

See notes to schedule of portfolio of investments. 

 

- 16 -

 

 

Schedule of Portfolio Investments Strategic Enhanced Yield Fund
May 31, 2022 (Unaudited) Continued

 

Shares or
Principal
Amount
   Security Description  Value 
  
Mortgage Backed Securities†, continued: 
Prime Fixed Mortgage Backed Securities, continued: 
$9,585   Banc of America Funding Trust, Series 2004-3, Class 1A9, 5.50%, 10/25/34, Callable 6/25/22 @ 100*  $9,211 
 346,767   Brean Asset Backed Securities Trust, Series 2021- RM1, Class M1, 1.60%, 10/25/63, Callable 9/25/27 @ 100*(d)   277,797 
 6,646   Citicorp Mortgage Securities Trust, Series 2006-3, Class 1A19, 5.75%, 6/25/36, Callable 6/25/22 @ 100*   6,154 
 7,854   Citicorp Mortgage Securities Trust, Series 2006-3, Class 1A3, 6.25%, 6/25/36, Callable 6/25/22 @ 100*   7,409 
 96,863   Countrywide Home Loans, Series 2005-6, Class 1A3, 5.15%, 4/25/35, Callable 6/25/22 @ 100*   97,696 
 10,000   Countrywide Home Loans, Series 2004-10, Class A4, 5.25%, 7/25/34, Callable 6/25/22 @ 100*   9,730 
 66,000   Countrywide Home Loans, Series 2004-4, Class A4, 5.25%, 5/25/34, Callable 6/25/22 @ 100*   65,679 
 31,000   Countrywide Home Loans, Series 2004-9, Class A5, 5.25%, 6/25/34, Callable 6/25/22 @ 100*   31,054 
 138,000   Countrywide Home Loans, Series 2005-5, Class A4, 5.40%, 3/25/35, Callable 6/25/22 @ 100*   136,869 
 94,878   Countrywide Home Loans, Series 2004-4, Class A9, 5.50%, 5/25/34, Callable 6/25/22 @ 100*   90,353 
 33,000   Countrywide Home Loans, Series 2004-8, Class 1A3, 5.50%, 7/25/34, Callable 6/25/22 @ 100*   32,290 
 33,000   Countrywide Home Loans, Series 2004-8, Class 1A7, 5.75%, 7/25/34, Callable 6/25/22 @ 100*   32,424 
 50,126   GMAC Mortgage Loan Trust, Series 2004-J2, Class A8, 5.75%, 6/25/34, Callable 6/25/22 @ 100*   48,952 
 84,712   GSR Mortgage Loan Trust, Series 2004-10F, Class 6A1, 5.00%, 9/25/34, Callable 6/25/22 @ 100*   84,190 
 255,000   Mello Warehouse Securitization Trust, Series 2021-2, Class F, 5.76% (US0001M + 475 bps), 4/25/55, Callable 4/25/24 @ 100*(a)   252,224 
 415,000   NewRez Warehouse Securitization Trust, Series 2021-1, Class F, 6.26% (US0001M + 525 bps), 5/25/55, Callable 5/25/24 @ 100*(a)   413,029 
 48,000   WaMu Mortgage Pass-Through Certificate, Series 2004-RS1, Class A3, 5.50%, 11/25/33, Callable 6/25/22 @ 100*   46,727 
        1,744,534 

 

U.S. Government Agency Mortgage Backed Securities (5.4%) 
 42,307   Fannie Mae, Series 2013-56, Class GM, 2.00%, 8/25/41   40,609 
 74,038   Fannie Mae, Series 2003-W14, Class 2A, 3.73%, 1/25/43, Callable 6/25/22 @ 100*(b)   73,226 
 160,974   Fannie Mae, Series 2003-W13, Class AF5, 4.82%, 10/25/33, Callable 6/25/22 @ 100*(b)(c)   175,163 
 98,301   Fannie Mae, Series 2002-W11, Class AF5, 4.98%, 11/25/32, Callable 6/25/22 @ 100*(b)(c)   100,737 
 115,547   Fannie Mae, Series 2004-W3, Class A8, 5.50%, 5/25/34, Callable 6/25/22 @ 100*   118,218 

 

Shares or
Principal
Amount
   Security Description  Value 
  
Mortgage Backed Securities†, continued: 
U.S. Government Agency Mortgage Backed Securities, continued: 
$72,569   Fannie Mae, Series 240, Class 11, 9.00%, 9/25/23  $74,955 
 87,927   Fannie Mae, Series 250, Class 11, 9.00%, 10/25/23   91,078 
 29,695   Freddie Mac, Series 2017-SC01, Class 2A, 3.50%, 12/25/46, Callable 11/25/26 @ 100*   28,988 
        702,974 
Total Mortgage Backed Securities (Cost $5,106,472)   4,998,089 

 

Corporate Bonds (33.3%) 
Aerospace & Defense (3.7%) 
 389,000   The Boeing Co., 8.75%, 9/15/31    480,023 
Airlines (3.6%)
 332,770   Alaska Airlines Pass Through Trust, Class B, 8.00%, 8/15/25 (a)   346,259 
 115,644   American Airlines Pass-Through Trust, Class A, 4.95%, 7/15/24   115,307 
        461,566 
Banks (3.7%)
 250,000   Citigroup, Inc., 4.00% (H15T5Y + 360 bps), 12/31/99, Callable 12/10/25 @ 100 *   225,494 
 273,000   Wells Fargo & Co., 3.90% (H15T5Y + 345 bps), 12/31/99, Callable 3/15/26 @ 100 *   251,268 
        476,762 
Capital Markets (1.7%)
 250,000   The Goldman Sachs Group, Inc., 3.80% (H15T5Y + 297 bps), 12/31/99, Callable 5/10/26 @ 100 *   211,662 
Chemicals (3.0%)
 400,000   Monsanto Co., 5.50%, 7/30/35   389,694 
Oil, Gas & Consumable Fuels (5.8%)
 287,000   HF Sinclair Corp., 4.50%, 10/1/30, Callable 7/1/30 @ 100 *   262,083 
 26,000   ONEOK, Inc., 5.85%, 1/15/26, Callable 12/15/25 @ 100 *   27,347 
 425,000   ONEOK, Inc., 6.35%, 1/15/31, Callable 10/15/30 @ 100 *   463,309 
        752,739 
Sovereign Bond (3.1%)
 450,000   International Bank for Reconstruction & Development, 2.70%, 12/28/37, Callable 12/28/22 @ 100 *   400,554 
Technology Hardware, Storage & Peripherals (1.7%)
 209,000   Hewlett Packard Enterprise Co., 6.35%, 10/15/45, Callable 4/15/45 @ 100 *   223,211 
Tobacco (7.0%)
 180,000   Altria Group, Inc., 5.95%, 2/14/49, Callable 8/14/48 @ 100 *   172,323 
 300,000   BAT Capital Corp., 4.91%, 4/2/30, Callable 1/2/30 @ 100 *   290,746 
 156,000   Philip Morris International, Inc., 6.38%, 5/16/38    172,708 
 227,000   Reynolds American, Inc., 8.13%, 5/1/40    263,174 
        898,951 
Total Corporate Bonds (Cost $4,936,473)   4,295,162 
 
U.S. Treasury Obligations (8.9%)
U.S. Treasury Bonds
 1,500,000   1.88%, 2/15/51   1,145,684 
Total U.S. Treasury Obligations (Cost $1,410,064)    1,145,684 

 

See notes to schedule of portfolio of investments. 

 

- 17 -

 

 

Schedule of Portfolio Investments Strategic Enhanced Yield Fund
May 31, 2022 (Unaudited) Concluded

 

Shares or
Principal
Amount
    Security Description   Value  
   
Investment in Affiliates (6.1%)  
785,020     Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.54%(e)   $ 785,020  

 

Shares or
Principal
Amount
   Security Description  Value  
             
Investment in Affiliates, continued:
Total Investment in Affiliates (Cost $785,020)    $785,020 
              
Total Investments (Cost $14,062,062) - 100.2%    12,925,594 
Liabilities in excess of other assets — (0.2)%    (22,947
Net Assets - 100.0%   $12,902,647 

 

 

(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 May 31, 2022.
(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, 2022.
(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 May 31, 2022, illiquid securities were 6.4% 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 May 31, 2022.
* 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.

 

H15T5Y 5 Year Treasury Constant Maturity Rate
LIBOR London Interbank Offered Rate
US0001M 1 Month US Dollar LIBOR

 

See notes to schedule of portfolio of investments. 

 

- 18 -

 

 

Schedule of Portfolio Investments Ultra Short Tax-Free Income Fund
May 31, 2022 (Unaudited)  

 

Shares or
Principal
Amount
   Security Description  Value 
  
Municipal Bonds (100.3%) 
Illinois (10.0%)   
$300,000   Cook County School District No 81 Schiller Park, GO, 5.00%, 12/1/23  $313,650 
 405,000   Cook County School District No 88 Bellwood, GO, 4.00%, 12/1/22, BAM   409,870 
 170,000   Grundy Kendall & Will Counties Community High School District No 111 Minooka, GO, 4.00%, 5/1/23   173,329 
 130,000   Henry County Community Unit School District No 229 Kewanee, GO, Series B, 3.00%, 12/1/22, AGM   130,954 
 200,000   Henry County Community Unit School District No 229 Kewanee, GO, Series B, 3.00%, 12/1/23, AGM   203,075 
 100,000   Sangamon Logan & Menard Counties Community Unit School Dist No 15 Williamsville, GO, 5.00%, 12/1/22, BAM   101,726 
 345,000   Village of Franklin Park IL, GO, 3.00%, 7/1/23, AGM   349,425 
 230,000   Village of Libertyville IL, GO, Series A, 3.00%, 12/15/22   231,827 
 250,000   Village of Libertyville IL, GO, Series A, 3.00%, 12/15/23   254,080 
 175,000   Village of Libertyville IL, GO, Series B, 4.00%, 5/1/23   178,571 
 170,000   West Chicago Park District, GO, Series B, 3.00%, 12/1/22, BAM   171,340 
 250,000   Yorkville-Bristol Sanitation District, GO, 5.00%, 12/15/23, AGM   261,380 
        2,779,227 
Indiana (1.9%)
 510,000   Lafayette School Corp., GO, 3.00%, 1/15/23   513,843 
Iowa (3.3%)
 510,000   East Mills Community School District, GO, 5.00%, 5/1/23, BAM   524,869 
 400,000   Iowa Finance Authority Revenue, Series E, 0.42%, 2/15/41, Continuously Callable @100(a)   400,000 
        924,869 
Kansas (1.5%)
 155,000   City of Olathe KS, GO, Series 233, 3.00%, 10/1/23   157,478 
 265,000   County of Pottawatomie KS, GO, Series A, 4.00%, 10/1/22   267,326