NPORT-EX 2 MW14TCW063023.htm
ESG
Securitized
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
1
/
June
2023
Issues
Maturity
Date
Principal
Amount
Value
BONDS
–
110.56%
ASSET-BACKED
SECURITIES
—
10.18%**  
Aligned
Data
Centers
Issuer
LLC,
Series
2021-1A,
Class
A2
1.94%
08/15/46
1
$
150,000‌
$
131,727‌
CIFC
Funding
Ltd.,
Series
2022-1A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.32%)
6.31%
04/17/35
1,2,3
50,000‌
49,010‌
Flexential
Issuer,
Series
2021-1A,
Class
A2
3.25%
11/27/51
1
150,000‌
131,384‌
GoodLeap
Sustainable
Home
Solutions
Trust,
Series
2022-1GS,
Class
A
2.70%
01/20/49
1
90,649‌
72,744‌
GoodLeap
Sustainable
Home
Solutions
Trust,
Series
2023-1GS,
Class
A
5.52%
02/22/55
1
43,493‌
41,442‌
GoodLeap
Sustainable
Home
Solutions
Trust,
Series
2023-2GS,
Class
A
5.70%
05/20/55
1
49,097‌
47,471‌
Loanpal
Solar
Loan
Ltd.,
Series
2021-1GS,
Class
A
2.29%
01/20/48
1
157,396‌
117,193‌
Sunnova
Helios
VII
Issuer
LLC,
Series
2021-C,
Class
A
2.03%
10/20/48
1
176,829‌
146,684‌
Total
Asset-Backed
Securities
(Cost
$853,142)
737,655‌
MORTGAGE-BACKED
—
100.38%**  
Non-Agency
Commercial
Mortgage-Backed
—
19.96%
1211
Avenue
of
the
Americas
Trust,
Series
2015-1211,
Class
A1A1
3.90%
08/10/35
1
150,000‌
139,773‌
CAMB
Commercial
Mortgage
Trust,
Series
2021-CX2,
Class
B
2.86%
11/10/46
1,4
150,000‌
116,355‌
DBUBS
Mortgage
Trust,
Series
2017-BRBK,
Class
F
3.65%
10/10/34
1,4
150,000‌
112,150‌
DOLP
Trust,
Series
2021-NYC,
Class
A
2.96%
05/10/41
1
150,000‌
117,863‌
Frost
CMBS
DAC,
Series
2021-1A,
Class
GBB
(Ireland)
(SONIA
plus
1.65%)
6.40%
11/20/33
1,2,3
248,780‌
291,312‌
Grace
Trust,
Series
2020-GRCE,
Class
B
2.60%
12/10/40
1
150,000‌
115,155‌
KREST
Commercial
Mortgage
Securities
Trust,
Series
2021-CHIP,
Class
C
3.02%
11/05/44
1,4
125,000‌
82,482‌
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Commercial
Mortgage-Backed
(continued)
KREST
Commercial
Mortgage
Securities
Trust,
Series
2021-CHIP,
Class
F
3.02%
11/05/44
1,4
$
200,000‌
$
103,478‌
MFT
Mortgage
Trust,
Series
2020-B6,
Class
B
3.39%
08/10/40
1,4
150,000‌
95,843‌
Natixis
Commercial
Mortgage
Securities
Trust,
Series
2019-10K,
Class
A
3.62%
05/15/39
1
150,000‌
131,424‌
One
New
York
Plaza
Trust,
Series
2020-1NYP,
Class
AJ
(LIBOR
USD
1-Month
plus
1.25%)
6.44%
01/15/36
1,2
150,000‌
140,329‌
1,446,164‌
Non-Agency
Mortgage-Backed
—
2.00%
Cascade
MH
Asset
Trust,
Series
2021-MH1,
Class
A1
1.75%
02/25/46
1
72,879‌
60,634‌
Cascade
MH
Asset
Trust,
Series
2022-MH1,
Class
A
(STEP-reset
date
08/25/23)
4.25%
08/25/54
1
95,900‌
84,464‌
145,098‌
U.S.
Agency
Commercial
Mortgage-Backed
—
1.49%
Freddie
Mac
Multifamily
ML
Certificates,
Series
2021-ML12,
Class
XUS
(IO)
1.30%
07/25/41
4
1,084,554‌
108,314‌
U.S.
Agency
Mortgage-Backed
—
76.93%
Fannie
Mae
Pool
AL9266
3.00%
10/01/46
125,555‌
112,661‌
Fannie
Mae
Pool
BO2256
3.00%
10/01/49
297,380‌
264,957‌
Fannie
Mae
Pool
BQ1226
2.00%
09/01/50
131,160‌
107,473‌
Fannie
Mae
Pool
BV9977
3.50%
06/01/52
95,660‌
87,277‌
Fannie
Mae
Pool
BW0000
4.00%
07/01/52
95,448‌
89,655‌
Fannie
Mae
Pool
CA5496
3.00%
04/01/50
371,373‌
332,044‌
Fannie
Mae
Pool
CB2074
2.50%
11/01/51
159,282‌
135,562‌
Fannie
Mae
Pool
CB4211
4.50%
07/01/52
120,568‌
115,921‌
Fannie
Mae
Pool
FM2870
3.00%
03/01/50
228,176‌
204,011‌
Fannie
Mae
Pool
FM3687
2.50%
06/01/50
339,241‌
291,909‌
Fannie
Mae
Pool
FM5254
2.00%
12/01/50
156,068‌
127,840‌
Fannie
Mae
Pool
FM6400
2.00%
03/01/51
105,978‌
86,839‌
Fannie
Mae
Pool
FS1334
2.00%
11/01/51
159,932‌
130,655‌
ESG
Securitized
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
June
2023
/
2
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Fannie
Mae
Pool
FS1598
2.00%
04/01/52
$
118,093‌
$
96,252‌
Fannie
Mae
Pool
MA4398
2.00%
08/01/51
166,779‌
136,501‌
Fannie
Mae
Pool
MA4414
2.50%
09/01/51
191,714‌
162,732‌
Fannie
Mae
REMICS,
Series
2019-25,
Class
PA
3.00%
05/25/48
209,454‌
190,895‌
Freddie
Mac
Gold
Pool
G67707
3.50%
01/01/48
197,492‌
184,372‌
Freddie
Mac
Gold
Pool
G67708
3.50%
03/01/48
39,081‌
36,133‌
Freddie
Mac
Pool
QA7550
3.00%
03/01/50
66,543‌
59,247‌
Freddie
Mac
Pool
QA8518
3.00%
04/01/50
79,552‌
70,829‌
Freddie
Mac
Pool
QC8921
2.50%
10/01/51
147,188‌
125,195‌
Freddie
Mac
Pool
QD1841
2.00%
11/01/51
135,670‌
110,806‌
Freddie
Mac
Pool
RA4201
2.00%
12/01/50
95,847‌
78,481‌
Freddie
Mac
Pool
RA5552
3.00%
07/01/51
231,392‌
204,646‌
Freddie
Mac
Pool
RA5855
2.50%
09/01/51
199,907‌
169,691‌
Freddie
Mac
Pool
RA6071
2.00%
10/01/51
141,014‌
115,244‌
Freddie
Mac
Pool
RA6528
2.50%
02/01/52
22,806‌
19,354‌
Freddie
Mac
Pool
RA7091
2.50%
03/01/52
140,349‌
119,189‌
Freddie
Mac
Pool
RA7543
4.00%
06/01/52
117,119‌
109,955‌
Freddie
Mac
Pool
SD7511
3.50%
01/01/50
35,013‌
32,425‌
Freddie
Mac
Pool
SD7549
2.00%
01/01/52
141,991‌
117,329‌
Freddie
Mac
Pool
SD8222
4.00%
06/01/52
93,900‌
88,103‌
Freddie
Mac
REMICS,
Series
3067,
Class
FA
(LIBOR
USD
1-Month
plus
0.35%)
5.54%
11/15/35
2
58,422‌
57,887‌
Freddie
Mac
REMICS,
Series
3071,
Class
TF
(LIBOR
USD
1-Month
plus
0.30%)
5.49%
04/15/35
2
11,924‌
11,885‌
Freddie
Mac
REMICS,
Series
3210,
Class
F
(LIBOR
USD
1-Month
plus
0.40%)
5.59%
05/15/36
2
3,292‌
3,289‌
Freddie
Mac
REMICS,
Series
4139,
Class
DA
1.25%
12/15/27
22,051‌
20,459‌
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Ginnie
Mae
(TBA)
2.50%
07/15/53
$
150,000‌
$
129,848‌
4.50%
07/20/53
200,000‌
193,022‌
5.00%
07/20/53
25,000‌
24,568‌
UMBS
(TBA)
3.00%
07/01/53
75,000‌
66,012‌
4.00%
07/01/53
175,000‌
164,213‌
4.50%
07/01/53
100,000‌
96,137‌
4.50%
08/01/53
75,000‌
72,152‌
5.00%
07/01/53
200,000‌
195,984‌
5.50%
07/01/53
225,000‌
223,989‌
5,573,628‌
Total
Mortgage-Backed
(Cost
$8,138,957)
7,273,204‌
Total
Bonds
—
110.56%
(Cost
$8,992,099)
8,010,859‌
Issues
Maturity
Date
Principal
Amount
/
Shares
Value
SHORT-TERM
INVESTMENTS
—
5.55%
Money
Market
Funds
—
5.55%
Dreyfus
Government
Cash
Management
Fund
5.00%
5
5,000‌
5,000‌
Fidelity
Investments
Money
Market
Funds
-
Government
Portfolio
4.99%
5
21,043‌
21,043‌
Morgan
Stanley
Institutional
Liquidity
Funds
-
Government
Portfolio
5.02%
5
376,000‌
376,000‌
Total
Short-Term
Investments
(Cost
$402,043)
402,043‌
Total
Investments
-
116.11%
(Cost
$9,394,142)
8,412,902‌
Liabilities
in
Excess
of
Other
Assets
-
(16.11)%
(1,167,414‌)
Net
Assets
-
100.00%
$
7,245,488‌
1
Securities
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933,
as
amended.
The
securities
may
be
resold
in
transactions
exempt
from
registration,
normally
to
qualified
institutional
buyers.
2
Floating
rate
security.
The
rate
disclosed
was
in
effect
at
June
30,
2023.
3
Foreign
denominated
security
issued
by
foreign
domiciled
entity.
4
Variable
rate
security.
Interest
rate
disclosed
is
as
of
the
most
recent
information
available.
Certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
are
based
on
current
market
conditions.
5
Represents
the
current
yield
as
of
June
30,
2023.
**
Securities
backed
by
mortgage
or
consumer
loans
where
payment
is
periodically
made
will
have
an
effective
maturity
date
sooner
than
the
stated
maturity
date.
ESG
Securitized
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
3
/
June
2023
Note:
For
Fund
compliance
purposes,
the
Fund's
industry
classifications
refer
to
any
one
or
more
of
the
industry
sub-classifications
used
by
one
or
more
widely
recognized
market
indexes
or
ratings
group
indexes,
and/or
as
defined
by
Fund
management.
This
definition
may
not
apply
for
purposes
of
this
report,
which
may
combine
industry
sub-classifications
for
more
meaningful
presentation
for
investors.
(GBP):
British
Pound
(IO):
Interest
Only
(LIBOR):
London
InterBank
Offer
Rate
(SOFR):
Secured
Overnight
Financing
Rate
(SONIA):
Sterling
Overnight
Index
Average
(STEP):
Step
Coupon
Bond
(TBA):
To-Be-Announced
(USD):
U.S.
Dollar
Currency
to
be
Purchased
Currency
to
be
Sold
Counterparty
Settlement
Date
Unrealized
(Depreciation)
FOREIGN
CURRENCY
EXCHANGE
CONTRACT
USD
291,579
GBP
234,000
Citibank
N.A.
07/14/23
$
(5,949‌)
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
FUTURES
CONTRACTS:
LONG
POSITIONS
U.S.
Treasury
Two-Year
Note
9
09/29/23
$
1,830,094‌
$
(22,320‌)
$
(22,320‌)
U.S.
Treasury
Ten-Year
Ultra
Bond
3
09/20/23
355,313‌
(3,342‌)
(3,342‌)
U.S.
Treasury
Ultra
Bond
1
09/20/23
136,219‌
1,529‌
1,529‌
2,321,626‌
(24,133‌)
(24,133‌)
FUTURES
CONTRACTS:
SHORT
POSITIONS
U.S.
Treasury
Five-Year
Note
6
09/29/23
(642,563‌)
10,886‌
10,886‌
TOTAL
FUTURES
CONTRACTS
$
1,679,063‌
$
(13,247‌)
$
(13,247‌)
ESG
Securitized
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
June
2023
/
4
SIGNIFICANT
ACCOUNTING
POLICIES
The
following
is
a
summary
of
significant
accounting
policies
consistently
followed
by
the
Fund:
Net
Asset
Value
The
Net
Asset
Value
(“NAV”)
of
each
class
of
the
Fund
is
determined
by
dividing
the
net
assets
attributable
to
each
class
of
shares
of
the
Fund
by
the
number
of
issued
and
outstanding
shares
of
the
class
of
the
Fund
on
each
business
day
as
of
4
p.m.
ET.
Security
Valuation
Pursuant
to
Rule
2a-5
under
the
1940
Act,
the
Board
of
Trustees
(the
"Board"
or
the
"Board
of
Trustees")
has
designated
the
Adviser
as
the
"valuation
designee"
with
respect
to
the
fair
valuation
of
the
Fund's
portfolio
securities,
subject
to
oversight
by
and
periodic
reporting
to
the
Board. Fixed
income
securities
for
which
market
quotations
are
readily
available were
valued
during
the
period at
prices
as
provided
by
independent
pricing
vendors
or
broker
quotes.
The
Fund
received
pricing
information
from
independent
pricing
vendors
selected
and
overseen
by
the
valuation
designee.
Securities
with
a
demand
feature
exercisable
within
one
to
seven
days
are
valued
at
par.
The
Fund
also
uses
a
benchmark
pricing
system
to
the
extent
vendors’
prices
for
their
securities
are
either
inaccurate
(such
as
when
the
reported
prices
are
different
from
recent
known
market
transactions)
or
are
not
available
from
another
pricing
source.
For
a
security
priced
using
this
system,
the
Adviser
initially
selects
a
proxy
composed
of
a
relevant
security
(e.g.,
U.S.
Treasury
Note)
or
benchmark
(e.g.,
LIBOR)
and
a
multiplier,
divisor
or
margin
that
the
Adviser
believes
would
together
best
reflect
changes
in
the
market
value
of
the
security.
The
value
of
the
security
changes
daily
based
on
changes
to
the
market
price
of
the
assigned
benchmark.
The
benchmark
pricing
system
is
continuously
reviewed
by
the
Adviser
and
implemented
according
to
the
pricing
policy
reviewed
by
the
Board.
S&P
500
Index
futures
contracts
are
valued
at
the
first
sale
price
after
4
p.m.
ET
on
the
Chicago
Mercantile
Exchange.
All
other
futures
contracts
are
valued
at
the
official
settlement
price
of
the
exchange
on
which
those
securities
are
traded.
Equity
securities,
including
depository
receipts,
are
valued
at
the
last
reported
sale
price
or
the
market’s
closing
price
on
the
exchange
or
market
on
which
such
securities
are
traded,
as
of
the
close
of
business
on
the
day
the
securities
are
being
valued
or,
lacking
any
sales,
at
the
average
of
the
bid
and
ask
prices.
In
cases
where
equity
securities
are
traded
on
more
than
one
exchange,
the
securities
are
valued
on
the
exchange
or
market
determined
by
the
Adviser
to
be
the
broadest
and
most
representative
market,
which
may
be
either
a
securities
exchange
or
the
over-the-counter
market.
Equity
options
are
valued
at
the
average
of
the
bid
and
ask
prices.
Securities
and
other
assets
that
could
not be
valued
as
described
above were
valued
for
the
period at
their
fair
value
as
determined
by
the
Adviser
in
accordance
with
procedures
approved by
and
under
the
general
oversight
of
the
Board.
Investments
in
registered
open-ended
investment
companies,
including
those
classified
as
money
market
funds,
are
valued
based
upon
the
reported
NAV
of
such
investments.
Fair
value
methods
used
by
the
Adviser
for
the
period included,
but were
not
limited
to,
obtaining
market
quotations
from
secondary
pricing
services,
broker-dealers,
or
widely
used
quotation
systems.
General
factors
considered
in
determining
the
fair
value
of
securities
include
fundamental
analytical
data,
the
nature
and
duration
of
any
restrictions
on
disposition
of
the
securities,
and
an
evaluation
of
the
forces
that
influence
the
market
in
which
the
investments
are
purchased
and
sold.
These
securities
are
either
categorized
as
Level
2
or
3
depending
on
the
relevant
inputs
used.
In
the
event
that
the
security
or
asset
could
not be
valued
pursuant
to
one
of
the
valuation
methods
used
by
the
Adviser,
the
value
of
the
security
or
asset was
determined
in
good
faith
by
the Adviser,
as
the
valuation
designee.
When
the
Fund
uses
these
fair
valuation
methods that
use
significant
unobservable
inputs
to
determine
NAV,
securities
will
be
priced
by
a
method
that
the
Adviser
believes
accurately
reflects
fair
value
and
are
categorized
as
Level
3
of
the
fair
value
hierarchy.
These
methods
may
require
subjective
determinations
about
the
value
of
a
security.
While
the
Fund’s
policy
is
intended
to
result
in
a
calculation
of
its
NAV
that
fairly
reflects
security
values
as
of
the
time
of
pricing,
the
Fund
cannot
guarantee
that
values
determined
by
the
Adviser
would
accurately
reflect
the
price
that
the
Fund
could
obtain
for
a
security
if
it
were
to
dispose
of
that
security
as
of
the
time
of
pricing
(for
instance,
in
a
forced
or
distressed
sale).
The
prices
used
by
the
Fund
may
differ
from
the
value
that
would
be
realized
if
the
securities
were
sold.
Fair
Value
Measurements
Various
inputs
are
used
in
determining
the
fair
value
of
investments,
which
are
as
follows:
*
Level
1
-
unadjusted
quoted
prices
in
active
markets
for
identical
securities
*
Level
2
-
other
significant
observable
inputs
(including
quoted
prices
for
similar
securities,
interest
rates,
prepayment
speeds,
credit
risk,
etc.)
*
Level
3
-
significant
unobservable
inputs
that
are
not
corroborated
by
observable
market
data
ESG
Securitized
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
5
/
June
2023
The
inputs
or
methodology
used
for
valuing
investments
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
investments
and
the
determination
of
the
significance
of
a
particular
input
to
the
fair
value
measurement
in
its
entirety
requires
judgment
and
consideration
of
factors
specific
to
each
security.
The
availability
of
observable
inputs
can
vary
from
security
to
security
and
is
affected
by
a
wide
variety
of
factors,
including,
for
example,
the
type
of
security,
whether
the
security
is
new
and
not
yet
established
in
the
marketplace,
the
liquidity
of
markets,
and
other
characteristics
particular
to
the
security.
To
the
extent
that
valuation
is
based
on
models
or
inputs
that
are
less
observable
or
unobservable
in
the
market,
the
determination
of
fair
value
requires
more
judgment.
Accordingly,
the
degree
of
judgment
exercised
in
determining
fair
value
is
greatest
for
instruments
categorized as
Level
3.
In
periods
of
market
dislocation,
the
observability
of
prices
and
inputs
may
be
reduced
for
many
instruments.
This
condition,
as
well
as
changes
related
to
liquidity
of
investments,
could
cause
a
security
to
be
reclassified
between
Level
1,
Level
2,
or
Level
3.
In
certain
cases,
the
inputs
used
to
measure
fair
value
may
fall
into
different
levels
of
the
fair
value
hierarchy.
In
such
cases,
for
disclosure
purposes
the
level
in
the
fair
value
hierarchy
within
which
the
fair
value
measurement
falls
in
its
entirety
is
determined
based
on
the
lowest
level
input
that
is
significant
to
the
fair
value
measurement
in
its
entirety.
The
summary
of
inputs
used
to
value
the
Fund’s
investments
and
other
financial
instruments
carried
at
fair
value
as
of
June
30,
2023
is
as
follows:
ESG
SECURITIZED
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTAL
Investments
in
Securities
Assets:
Short-Term
Investments:
Money
Market
Funds
$
402,043‌
$
—‌
$
—‌
$
402,043‌
Long-Term
Investments:
Asset-Backed
Securities
—‌
737,655‌
—‌
737,655‌
Mortgage-Backed
Securities
—‌
7,273,204‌
—‌
7,273,204‌
Other
Financial
Instruments
*
Assets:
Interest
rate
contracts
12,415‌
—‌
—‌
12,415‌
Liabilities:
Foreign
currency
exchange
contracts
—‌
(
5,949‌
)
—‌
(
5,949‌
)
Interest
rate
contracts
(
25,662‌
)
—‌
—‌
(
25,662‌
)
Total
$
388,796‌
$
8,004,910‌
$
—‌
$
8,393,706‌
*Other
financial
instruments
include
foreign
currency
exchange
contracts
and
futures.
Interest
rate
contracts
include
futures.