Schedule of investments
Optimum Fixed Income Fund
June 30, 2020 (Unaudited)
Principal | Value | Principal | Value | |||||||
amount° | (US $) | amount° | (US $) | |||||||
Agency Asset-Backed Securities - 0.04% | Agency Collateralized Mortgage Obligations (continued) | |||||||||
SLM Student Loan Trust | Fannie Mae REMICs | |||||||||
Series 2003-11 A6 144A | Series 2001-14 Z | |||||||||
0.863% (LIBOR03M + | 6.00% 5/25/31 | 3,138 | $ | 3,517 | ||||||
0.55%) 12/15/25 #• | 187,044 | $ | 185,580 | Series 2007-30 OE | ||||||
Series 2008-9 A 2.491% | 1.784% 4/25/37 W^ | 1,942,846 | 1,705,197 | |||||||
(LIBOR03M + 1.50%) | Series 2008-24 ZA | |||||||||
4/25/23 | • | 744,532 | 728,476 | 5.00% 4/25/38 | 7,749,896 | 8,860,651 | ||||
Total Agency Asset-Backed | Series 2009-2 AS 5.516% | |||||||||
Securities (cost $933,648) | 914,056 | (5.70% minus LIBOR01M, | ||||||||
Cap 5.70%) 2/25/39 S• | 374,662 | 61,134 | ||||||||
Agency Collateralized Mortgage Obligations - 3.01% | Series 2009-68 SA 6.566% | |||||||||
(6.75% minus LIBOR01M, | ||||||||||
Fannie Mae Connecticut | Cap 6.75%) 9/25/39 S• | 168,912 | 32,116 | |||||||
Avenue Securities | ||||||||||
Series 2017-C03 1M2 | Series 2011-118 DC | |||||||||
3.185% (LIBOR01M + | 4.00% 11/25/41 | 746,600 | 798,761 | |||||||
3.00%) 10/25/29 • | 7,000,000 | 7,040,029 | Series 2017-40 GZ | |||||||
Series 2017-C04 2M2 | 3.50% 5/25/47 | 369,736 | 410,543 | |||||||
3.035% (LIBOR01M + | Series 2017-77 HZ | |||||||||
2.85%) 11/25/29 • | 401,840 | 394,790 | 3.50% 10/25/47 | 525,120 | 577,625 | |||||
Series 2018-C01 1M2 | Series 2017-94 CZ | |||||||||
2.435% (LIBOR01M + | 3.50% 11/25/47 | 329,304 | 358,746 | |||||||
2.25%, Floor 2.25%) | Series 2017-95 FA 0.72% | |||||||||
7/25/30 • | 1,430,124 | 1,395,438 | (LIBOR01M + 0.35%, Floor | |||||||
Series 2018-C02 2M2 | 0.35%) 11/25/47 • | 432,433 | 431,476 | |||||||
2.385% (LIBOR01M + | Freddie Mac REMICs | |||||||||
2.20%, Floor 2.20%) | Series 2165 PE | |||||||||
8/25/30 • | 490,645 | 479,592 | 6.00% 6/15/29 | 46,451 | 52,900 | |||||
Series 2018-C03 1M2 | Series 3143 BC | |||||||||
2.335% (LIBOR01M + | 5.50% 2/15/36 | 1,203,741 | 1,409,699 | |||||||
2.15%, Floor 2.15%) | Series 3289 SA 6.565% | |||||||||
10/25/30 • | 695,708 | 683,696 | (6.75% minus LIBOR01M, | |||||||
Series 2018-C05 1M2 | Cap 6.75%) 3/15/37 S• | 528,501 | 117,626 | |||||||
2.535% (LIBOR01M + | Series 4676 KZ | |||||||||
2.35%, Floor 2.35%) | 2.50% 7/15/45 | 362,569 | 380,126 | |||||||
1/25/31 • | 499,455 | 488,329 | Freddie Mac Structured | |||||||
Fannie Mae Grantor Trust | Agency Credit Risk Debt | |||||||||
Series 1999-T2 A1 | Notes | |||||||||
7.50% 1/19/39 • | 5,276 | 5,789 | Series 2017-DNA1 M2 | |||||||
Series 2004-T1 1A2 | 3.435% (LIBOR01M + | |||||||||
6.50% 1/25/44 | 5,004 | 5,911 | 3.25%, Floor 3.25%) | |||||||
Fannie Mae REMIC Trust | 7/25/29 • | 750,000 | 756,551 | |||||||
Series 2004-W4 A5 | Series 2017-DNA3 M2 | |||||||||
5.50% 6/25/34 | 2,077 | 2,076 | 2.685% (LIBOR01M + | |||||||
Series 2004-W11 1A2 | 2.50%) 3/25/30 • | 315,000 | 316,550 | |||||||
6.50% 5/25/44 | 33,566 | 39,825 | Series 2018-HQA1 M2 | |||||||
Series 2004-W15 1A1 | 2.485% (LIBOR01M + | |||||||||
6.00% 8/25/44 | 26,972 | 31,312 | 2.30%) 9/25/30 • | 765,433 | 754,288 | |||||
Fannie Mae REMICs | ||||||||||
Series 1999-19 PH | ||||||||||
6.00% 5/25/29 | 52,283 | 59,273 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 1
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal | Value | Principal | Value | |||||||
amount° | (US $) | amount° | (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) | Agency Collateralized Mortgage Obligations (continued) | |||||||||
Freddie Mac Structured | GNMA | |||||||||
Agency Credit Risk REMIC | Series 2012-H18 NA | |||||||||
Trust | 0.823% (LIBOR01M + | |||||||||
Series 2019-DNA4 M2 | 0.52%, Cap 10.50%, Floor | |||||||||
144A 2.135% (LIBOR01M | 0.52%) 8/20/62 • | 382,420 | $ | 382,337 | ||||||
+ 1.95%) 10/25/49 #• | 1,407,393 | $ | 1,379,372 | Series 2012-H29 SA | ||||||
Series 2019-HQA4 M2 | 0.818% (LIBOR01M + | |||||||||
144A 2.235% (LIBOR01M | 0.515%, Cap 12.00%, | |||||||||
+ 2.05%) 11/25/49 #• | 1,500,000 | 1,454,917 | Floor 0.515%) 10/20/62 • | 3,726,627 | 3,724,312 | |||||
Series 2020-DNA2 M1 | Series 2013-113 LY | |||||||||
144A 0.935% (LIBOR01M | 3.00% 5/20/43 | 173,000 | 188,744 | |||||||
+ 0.75%, Floor 0.75%) | Series 2015-H10 FA | |||||||||
2/25/50 #• | 1,462,754 | 1,449,341 | 0.903% (LIBOR01M + | |||||||
Series 2020-DNA2 M2 | 0.60%, Cap 7.50%) | |||||||||
144A 2.035% (LIBOR01M | 4/20/65 • | 12,199,670 | 12,210,530 | |||||||
+ 1.85%, Floor 1.85%) | Series 2015-H11 FC | |||||||||
2/25/50 #• | 500,000 | 474,052 | 0.853% (LIBOR01M + | |||||||
Series 2020-HQA2 M1 | 0.55%, Cap 7.50%, Floor | |||||||||
144A 1.285% (LIBOR01M | 0.55%) 5/20/65 • | 1,486,130 | 1,484,801 | |||||||
+ 1.10%) 3/25/50 #• | 1,725,776 | 1,718,637 | Series 2015-H12 FB | |||||||
Freddie Mac Structured | 0.903% (LIBOR01M + | |||||||||
Agency Credit Risk Trust | 0.60%, Cap 7.50%, Floor | |||||||||
Series 2018-HQA2 M1 | 0.60%) 5/20/65 • | 6,280,161 | 6,285,657 | |||||||
144A 0.935% (LIBOR01M | Series 2015-H20 FB | |||||||||
+ 0.75%) 10/25/48 #• | 249,693 | 249,304 | 0.903% (LIBOR01M + | |||||||
Freddie Mac Structured Pass | 0.60%, Cap 7.50%, Floor | |||||||||
Through Certificates | 0.60%) 8/20/65 • | 1,661,151 | 1,662,685 | |||||||
Series T-54 2A 6.50% | Series 2015-H30 FD | |||||||||
2/25/43 ⯁ | 11,888 | 14,577 | 0.903% (LIBOR01M + | |||||||
Series T-58 2A 6.50% | 0.60%, Cap 11.00%, Floor | |||||||||
9/25/43 ⯁ | 5,230 | 6,090 | 0.60%) 10/20/65 • | 109,525 | 109,706 | |||||
GNMA | Series 2016-H06 FD | |||||||||
Series 2008-65 SB 5.81% | 1.223% (LIBOR01M + | |||||||||
(6.00% minus LIBOR01M, | 0.92%, Cap 7.50%, Floor | |||||||||
Cap 6.00%) 8/20/38 S• | 471,057 | 78,572 | 0.92%) 7/20/65 • | 1,686,625 | 1,706,994 | |||||
Series 2009-2 SE 5.63% | Series 2017-34 DY | |||||||||
(5.82% minus LIBOR01M, | 3.50% 3/20/47 | 230,000 | 260,550 | |||||||
Cap 5.82%) 1/20/39 S• | 1,495,079 | 261,207 | Series 2017-107 QZ | |||||||
Series 2011-H21 FT 0.87% | 3.00% 8/20/45 | 236,817 | 255,037 | |||||||
(H15T1Y + 0.70%, Cap | Series 2017-130 YJ | |||||||||
15.25%, Floor 0.70%) | 2.50% 8/20/47 | 270,000 | 294,573 | |||||||
10/20/61 • | 6,064,446 | 6,044,898 | Series 2017-163 ZK | |||||||
Series 2011-H23 FA | 3.50% 11/20/47 | 3,614,643 | 3,974,300 | |||||||
1.003% (LIBOR01M + | Series 2018-34 TY | |||||||||
0.70%, Cap 11.00%, Floor | 3.50% 3/20/48 | 196,000 | 214,049 | |||||||
0.70%) 10/20/61 • | 4,013,215 | 4,029,298 | Total Agency Collateralized | |||||||
Series 2012-H08 FB | Mortgage Obligations | |||||||||
0.903% (LIBOR01M + | (cost $76,112,509) | 78,257,785 | ||||||||
0.60%, Cap 11.00%, Floor | ||||||||||
0.60%) 3/20/62 • | 688,754 | 689,679 |
2 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Principal | Value | Principal | Value | ||||||
amount° | (US $) | amount° | (US $) | ||||||
Agency Commercial Mortgage-Backed Securities - 0.48% | Agency Mortgage-Backed Securities (continued) | ||||||||
Freddie Mac Multifamily | Fannie Mae S.F. 30 yr | ||||||||
Structured Pass Through | 3.50% 12/1/47 | 1,337,338 | $ | 1,412,033 | |||||
Certificates | 3.50% 2/1/48 | 3,704,145 | 4,023,404 | ||||||
Series X3FX A2FX 3.00% | 3.50% 7/1/48 | 8,503,576 | 8,958,399 | ||||||
6/25/27 ⯁ | 1,070,000 | $ 1,145,539 | 3.50% 11/1/48 | 3,518,697 | 3,725,412 | ||||
FREMF Mortgage Trust | 3.50% 6/1/49 | 6,721,671 | 7,062,784 | ||||||
Series 2011-K10 B 144A | 3.50% 11/1/49 | 9,550,309 | 10,038,902 | ||||||
4.735% 11/25/49 #• | 550,000 | 552,322 | 3.50% 1/1/50 | 6,020,646 | 6,331,418 | ||||
Series 2011-K15 B 144A | |||||||||
5.129% 8/25/44 #• | 75,000 | 77,333 | 3.50% 2/1/50 | 4,516,501 | 4,747,732 | ||||
Series 2012-K18 B 144A | 3.50% 3/1/50 | 2,232,748 | 2,450,716 | ||||||
4.394% 1/25/45 #• | 1,000,000 | 1,036,433 | 4.00% 10/1/40 | 16,224 | 17,810 | ||||
Series 2012-K22 B 144A | 4.00% 11/1/40 | 86,639 | 95,068 | ||||||
3.81% 8/25/45 #• | 665,000 | 681,240 | 4.00% 3/1/46 | 96,085 | 103,848 | ||||
Series 2013-K24 B 144A | 4.00% 4/1/47 | 1,097,897 | 1,213,647 | ||||||
3.622% 11/25/45 #• | 3,675,000 | 3,813,936 | 4.00% 4/1/48 | 8,080,446 | 8,600,868 | ||||
Series 2013-K25 C 144A | 4.00% 9/1/48 | 11,130,894 | 11,815,334 | ||||||
3.744% 11/25/45 #• | 500,000 | 510,657 | 4.00% 10/1/48 | 4,934,597 | 5,452,023 | ||||
Series 2014-K716 B 144A | 4.00% 1/1/49 | 207,095 | 219,317 | ||||||
4.081% 8/25/47 #• | 500,000 | 509,474 | 4.00% 3/1/49 | 602,635 | 638,215 | ||||
Series 2014-K717 B 144A | 4.00% 4/1/49 | 7,535,746 | 7,984,327 | ||||||
3.754% 11/25/47 #• | 1,225,000 | 1,250,916 | 4.50% 5/1/35 | 53,455 | 58,312 | ||||
Series 2014-K717 C 144A | 4.50% 8/1/35 | 94,378 | 103,037 | ||||||
3.754% 11/25/47 #• | 1,290,000 | 1,298,198 | 4.50% 9/1/35 | 98,851 | 108,415 | ||||
Series 2015-K721 C 144A | 4.50% 5/1/39 | 353,832 | 393,045 | ||||||
3.681% 11/25/47 #• | 475,000 | 479,554 | 4.50% 6/1/40 | 355,916 | 395,583 | ||||
Series 2016-K53 B 144A | 4.50% 7/1/40 | 298,649 | 330,043 | ||||||
4.158% 3/25/49 #• | 280,000 | 299,188 | 4.50% 2/1/41 | 1,174,942 | 1,307,290 | ||||
Series 2016-K722 B 144A | 4.50% 4/1/41 | 52,655 | 57,786 | ||||||
3.975% 7/25/49 #• | 425,000 | 444,839 | 4.50% 5/1/46 | 627,060 | 696,310 | ||||
Series 2017-K71 B 144A | |||||||||
3.882% 11/25/50 #• | 470,000 | 499,756 | 4.50% 4/1/48 | 1,350,728 | 1,503,522 | ||||
4.50% 7/1/48 | 983,478 | 1,056,694 | |||||||
Total Agency Commercial | 4.50% 8/1/48 | 411,344 | 442,929 | ||||||
Mortgage-Backed Securities | |||||||||
(cost $12,257,548) | 12,599,385 | 4.50% 9/1/48 | 540,322 | 588,249 | |||||
4.50% 12/1/48 | 1,614,814 | 1,734,694 | |||||||
Agency Mortgage-Backed Securities - 21.72% | 4.50% 1/1/49 | 7,916,403 | 8,757,147 | ||||||
4.50% 11/1/49 | 3,001,182 | 3,221,929 | |||||||
Fannie Mae | 4.50% 1/1/50 | 2,227,610 | 2,421,020 | ||||||
5.50% 3/1/37 | 6,312 | 6,959 | 5.00% 3/1/34 | 1,563 | 1,793 | ||||
5.50% 7/1/37 | 11,009 | 11,681 | 5.00% 4/1/34 | 6,739 | 7,671 | ||||
Fannie Mae S. F. 30 yr | 5.00% 8/1/34 | 14,787 | 16,964 | ||||||
3.00% 4/1/43 | 969,593 | 1,038,785 | 5.00% 4/1/35 | 4,655 | 5,298 | ||||
3.00% 11/1/46 | 12,413,197 | 13,124,567 | 5.00% 12/1/37 | 1,533 | 1,746 | ||||
3.00% 1/1/47 | 3,700,000 | 3,964,134 | 5.00% 3/1/38 | 93,669 | 104,623 | ||||
3.00% 4/1/48 | 394,007 | 415,129 | 5.00% 6/1/38 | 3,740 | 4,109 | ||||
3.00% 11/1/48 | 5,366,639 | 5,661,099 | 5.00% 2/1/39 | 3,910 | 4,267 | ||||
3.00% 10/1/49 | 3,493,326 | 3,680,602 | 5.00% 5/1/40 | 90,046 | 103,482 | ||||
3.00% 12/1/49 | 6,615,399 | 7,027,835 | 5.00% 6/1/44 | 680,851 | 783,145 | ||||
3.00% 1/1/50 | 10,870,710 | 11,453,486 | 5.50% 10/1/33 | 299,012 | 342,903 | ||||
3.00% 3/1/50 | 5,901,316 | 6,276,924 | 5.50% 12/1/33 | 11,101 | 12,316 | ||||
3.50% 7/1/47 | 4,149,453 | 4,490,779 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 3
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal | Value | Principal | Value | |||||||
amount° | (US $) | amount° | (US $) | |||||||
Agency Mortgage-Backed Securities (continued) | Agency Mortgage-Backed Securities (continued) | |||||||||
Fannie Mae S. F. 30 yr | Freddie Mac S.F. 30 yr | |||||||||
5.50% 2/1/35 | 228,092 | $ | 262,005 | 6.50% 1/1/35 | 60,779 | $ | 73,725 | |||
5.50% 12/1/38 | 849,525 | 973,763 | 7.00% 1/1/38 | 17,654 | 20,874 | |||||
5.50% 5/1/44 | 9,013,640 | 10,346,787 | GNMA I S.F. 30 yr | |||||||
6.00% 9/1/36 | 11,218 | 12,523 | 3.00% 3/15/50 | 1,558,968 | 1,659,297 | |||||
6.00% 8/1/38 | 30,751 | 34,256 | GNMA II S. F. 30 yr | |||||||
6.00% 12/1/38 | 5,405 | 6,308 | 5.50% 5/20/37 | 101,280 | 115,710 | |||||
6.00% 6/1/41 | 1,703,948 | 1,987,581 | 6.00% 4/20/34 | 3,485 | 3,916 | |||||
6.00% 7/1/41 | 5,842,622 | 6,813,657 | GNMA II S. F. 30 yr TBA | |||||||
6.00% 1/1/42 | 1,477,630 | 1,723,407 | 4.00% 7/20/50 | 6,000,000 | 6,360,938 | |||||
6.50% 11/1/33 | 2,327 | 2,662 | Total Agency Mortgage-Backed | |||||||
6.50% 2/1/36 | 30,588 | 36,251 | Securities (cost $554,507,731) | 564,705,944 | ||||||
6.50% 3/1/36 | 53,704 | 62,292 | ||||||||
6.50% 6/1/36 | 65,029 | 77,445 | Agency Obligation - 0.09% | |||||||
6.50% 2/1/38 | 18,340 | 21,308 | Federal Home Loan Mortgage | |||||||
6.50% 11/1/38 | 4,535 | 5,336 | 2.25% 11/24/20 | 2,300,000 | 2,318,595 | |||||
Fannie Mae S. F. 30 yr TBA | Total Agency Obligation | |||||||||
2.50% 8/1/50 | 5,800,000 | 6,032,967 | (cost $2,300,000) | 2,318,595 | ||||||
2.50% 9/1/50 | 55,000,000 | 57,086,826 | ||||||||
3.00% 9/1/50 | 220,800,000 | 231,743,400 | Collateralized Debt Obligations - 2.00% | |||||||
4.50% 8/1/50 | 6,100,000 | 6,556,099 | AMMC CLO 21 | |||||||
Freddie Mac ARM | Series 2017-21A A 144A | |||||||||
4.75% (LIBOR12M + | 1.806% (LIBOR03M + | |||||||||
1.625%, Cap 10.50%, | 1.25%) 11/2/30 #• | 2,400,000 | 2,345,501 | |||||||
Floor 1.625%) 2/1/38 • | 14,329 | 14,461 | Apex Credit CLO | |||||||
5.055% (LIBOR12M + | Series 2017-1A A1 144A | |||||||||
2.18%, Cap 10.583%, | 2.49% (LIBOR03M + | |||||||||
Floor 2.18%) 5/1/37 • | 124,045 | 133,089 | 1.47%, Floor 1.47%) | |||||||
Freddie Mac S.F. 20 yr | 4/24/29 #• | 1,265,577 | 1,245,443 | |||||||
5.50% 10/1/23 | 10,694 | 11,759 | Series 2018-1A A2 144A | |||||||
5.50% 8/1/24 | 4,981 | 5,478 | 2.021% (LIBOR03M + | |||||||
Freddie Mac S.F. 30 yr | 1.03%) 4/25/31 #• | 2,400,000 | 2,291,575 | |||||||
3.00% 12/1/48 | 13,547,194 | 14,310,214 | Arbor Realty CLO | |||||||
3.00% 11/1/49 | 5,492,147 | 5,786,579 | Series 2017-FL3 A 144A | |||||||
3.00% 12/1/49 | 1,561,642 | 1,654,355 | 1.175% (LIBOR01M + | |||||||
3.00% 1/1/50 | 1,628,934 | 1,727,516 | 0.99%) 12/15/27 #• | 250,000 | 245,547 | |||||
Arbour CLO IV | ||||||||||
3.50% 8/1/48 | 92,448 | 97,330 | Series 4A A2R 144A | |||||||
3.50% 9/1/48 | 5,270,155 | 5,589,977 | 0.87% (EUR003M + | |||||||
3.50% 11/1/48 | 9,377,627 | 10,245,763 | 0.87%, Floor 0.87%) | |||||||
3.50% 10/1/49 | 3,626,792 | 3,812,118 | 1/15/30 #• | EUR | 2,600,000 | 2,889,783 | ||||
4.00% 12/1/45 | 912,545 | 1,006,591 | Atlas Senior Loan Fund X | |||||||
4.00% 7/1/47 | 512,849 | 546,572 | Series 2018-10A A 144A | |||||||
4.00% 10/1/47 | 4,656,039 | 4,952,691 | 2.309% (LIBOR03M + | |||||||
4.50% 8/1/48 | 2,615,118 | 2,856,106 | 1.09%) 1/15/31 #• | 1,488,930 | 1,445,359 | |||||
4.50% 3/1/49 | 1,834,401 | 1,988,080 | Atrium XII | |||||||
4.50% 4/1/49 | 2,178,625 | 2,384,566 | Series 12A AR 144A | |||||||
4.50% 8/1/49 | 3,778,744 | 4,187,992 | 1.928% (LIBOR03M + | |||||||
5.50% 6/1/41 | 1,622,511 | 1,864,067 | 0.83%) 4/22/27 #• | 2,479,498 | 2,435,971 | |||||
5.50% 9/1/41 | 2,506,017 | 2,880,636 | ||||||||
6.50% 11/1/33 | 19,842 | 23,112 |
4 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Principal | Value | Principal | Value | |||||
amount° | (US $) | amount° | (US $) | |||||
Collateralized Debt Obligations (continued) | Collateralized Debt Obligations (continued) | |||||||
BlueMountain CLO | Monarch Grove CLO | |||||||
Series 2015-1A A1R 144A | Series 2018-1A A1 144A | |||||||
2.641% (LIBOR03M + | 1.871% (LIBOR03M + | |||||||
1.33%) 4/13/27 #• | 134,525 | $ | 133,820 | 0.88%) 1/25/28 #• | 4,564,643 | $ | 4,478,663 | |
Catamaran CLO | Mountain View CLO X | |||||||
Series 2013-1A AR 144A | Series 2015-10A AR 144A | |||||||
1.841% (LIBOR03M + | 2.131% (LIBOR03M + | |||||||
0.85%) 1/27/28 #• | 3,253,165 | 3,207,634 | 0.82%, Floor 0.82%) | |||||
CFIP CLO | 10/13/27 #• | 1,825,027 | 1,792,347 | |||||
Series 2017-1A A 144A | OCP CLO | |||||||
2.355% (LIBOR03M + | Series 2015-9A A1R 144A | |||||||
1.22%) 1/18/30 #• | 2,300,000 | 2,260,925 | 2.019% (LIBOR03M + | |||||
Crown Point CLO 5 | 0.80%) 7/15/27 #• | 1,183,723 | 1,170,547 | |||||
Series 2018-5A A 144A | Series 2015-10A A1R | |||||||
2.075% (LIBOR03M + | 144A 1.811% (LIBOR03M | |||||||
0.94%) 7/17/28 #• | 399,700 | 393,682 | + 0.82%) 10/26/27 #• | 2,424,644 | 2,393,631 | |||
Galaxy XXI CLO | Series 2017-13A A1A | |||||||
Series 2015-21A AR 144A | 144A 2.479% (LIBOR03M | |||||||
2.155% (LIBOR03M + | + 1.26%) 7/15/30 #• | 1,000,000 | 984,278 | |||||
1.02%) 4/20/31 #• | 1,650,000 | 1,592,897 | Octagon Investment Partners | |||||
Jamestown CLO IV | XIX | |||||||
Series 2014-4A A1CR | Series 2014-1A AR 144A | |||||||
144A 1.909% (LIBOR03M | 2.319% (LIBOR03M + | |||||||
+ 0.69%) 7/15/26 #• | 232,087 | 230,619 | 1.10%) 4/15/26 #• | 11,038 | 11,008 | |||
Jamestown CLO VII | OFSI Fund VII | |||||||
Series 2015-7A A1R 144A | Series 2014-7A AR 144A | |||||||
1.821% (LIBOR03M + | 2.035% (LIBOR03M + | |||||||
0.83%, Floor 0.83%) | 0.90%) 10/18/26 #• | 204,601 | 203,677 | |||||
7/25/27 #• | 510,152 | 503,195 | Sounds Point CLO IV-R | |||||
Man GLG US CLO | Series 2013-3RA A 144A | |||||||
Series 2018-1A A1R 144A | 2.285% (LIBOR03M + | |||||||
2.275% (LIBOR03M + | 1.15%, Floor 1.15%) | |||||||
1.14%) 4/22/30 #• | 3,000,000 | 2,887,239 | 4/18/31 #• | 1,000,000 | 960,003 | |||
Marathon CLO V | TICP CLO I | |||||||
Series 2013-5A A1R 144A | Series 2015-1A AR 144A | |||||||
1.244% (LIBOR03M + | 1.935% (LIBOR03M + | |||||||
0.87%) 11/21/27 #• | 1,004,796 | 985,500 | 0.80%) 7/20/27 #• | 1,085,811 | 1,070,479 | |||
Mariner CLO 5 | Venture 33 CLO | |||||||
Series 2018-5A A 144A | Series 2018-33A A1L 144A | |||||||
2.101% (LIBOR03M + | 2.359% (LIBOR03M + | |||||||
1.11%, Floor 1.11%) | 1.14%, Floor 1.14%) | |||||||
4/25/31 #• | 1,800,000 | 1,758,922 | 7/15/31 #• | 1,250,000 | 1,211,763 | |||
Midocean Credit CLO VIII | Venture 34 CLO | |||||||
Series 2018-8A A1 144A | Series 2018-34A A 144A | |||||||
1.527% (LIBOR03M + | 2.449% (LIBOR03M + | |||||||
1.15%) 2/20/31 #• | 1,750,000 | 1,714,900 | 1.23%, Floor 1.23%) | |||||
Midocean Credit CLO IX | 10/15/31 #• | 2,500,000 | 2,429,155 | |||||
Series 2018-9A A1 144A | Venture XVI CLO | |||||||
2.285% (LIBOR03M + | Series 2014-16A ARR | |||||||
1.15%, Floor 1.15%) | 144A 2.069% (LIBOR03M | |||||||
7/20/31 #• | 1,250,000 | 1,222,753 | + 0.85%, Floor 0.85%) | |||||
1/15/28 #• | 1,153,145 | 1,135,331 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 5
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal | Value | Principal | Value | |||||||||
amount° | (US $) | amount° | (US $) | |||||||||
Collateralized Debt Obligations (continued) | Corporate Bonds (continued) | |||||||||||
Venture XVII CLO | Banking (continued) | |||||||||||
Series 2014-17A ARR | Bank of America | |||||||||||
144A 2.099% (LIBOR03M | 1.769% (LIBOR03M + | |||||||||||
+ 0.88%) 4/15/27 #• | 396,925 | $ | 389,953 | 0.66%) 7/21/21 • | 900,000 | $ | 900,213 | |||||
Venture XX CLO | 2.496% 2/13/31 µ | 4,945,000 | 5,189,947 | |||||||||
Series 2015-20A AR 144A | 2.592% 4/29/31 µ | 900,000 | 954,047 | |||||||||
2.039% (LIBOR03M + | 2.625% 4/19/21 | 1,000,000 | 1,017,779 | |||||||||
0.82%) 4/15/27 #• | 1,363,874 | 1,345,056 | 2.676% 6/19/41 µ | 1,605,000 | 1,654,544 | |||||||
Voya CLO | ||||||||||||
Series 2014-3A A1R 144A | 3.458% 3/15/25 µ | 6,045,000 | 6,560,102 | |||||||||
1.711% (LIBOR03M + | 3.55% 3/5/24 µ | 2,100,000 | 2,244,805 | |||||||||
0.72%) 7/25/26 #• | 352,774 | 349,843 | 3.864% 7/23/24 µ | 2,200,000 | 2,391,431 | |||||||
WhiteHorse IX | 3.974% 2/7/30 µ | 3,400,000 | 3,958,858 | |||||||||
Series 2014-9A AR 144A | 4.083% 3/20/51 µ | 1,020,000 | 1,278,686 | |||||||||
2.295% (LIBOR03M + | 4.125% 1/22/24 | 200,000 | 221,673 | |||||||||
1.16%) 7/17/26 #• | 92,986 | 92,392 | 4.30%µy | 900,000 | 804,645 | |||||||
Z Capital Credit Partners CLO | Bank of China 144A | |||||||||||
Series 2015-1A A1R 144A | 5.00% 11/13/24 # | 710,000 | 792,330 | |||||||||
2.126% (LIBOR03M + | Bank of Georgia 144A | |||||||||||
0.95%, Floor 0.95%) | 6.00% 7/26/23 # | 890,000 | 886,784 | |||||||||
7/16/27 #• | 2,133,849 | 2,100,057 | Bank of Montreal | |||||||||
Total Collateralized Debt | 1.85% 5/1/25 | 2,590,000 | 2,683,281 | |||||||||
Obligations | Bank of New York Mellon | |||||||||||
(cost $53,016,655) | 51,909,448 | 1.256% (LIBOR03M + | ||||||||||
0.87%) 8/17/20 • | 300,000 | 300,288 | ||||||||||
Corporate Bonds - 41.66% | 4.70%µy | 950,000 | 990,375 | |||||||||
Banking - 11.50% | Bank of Nova Scotia | |||||||||||
Akbank T.A. S. | 1.875% 4/26/21 | 4,500,000 | 4,557,404 | |||||||||
144A 6.80% 2/6/26 # | 610,000 | 609,939 | Barclays | |||||||||
144A 7.20% 3/16/27 #µ | 320,000 | 310,400 | 1.766% (LIBOR03M + | |||||||||
Banco Bilbao Vizcaya | 1.38%) 5/16/24 • | 1,800,000 | 1,784,207 | |||||||||
Argentaria | 4.61% 2/15/23 µ | 1,200,000 | 1,263,829 | |||||||||
5.875%µy | EUR | 400,000 | 438,182 | 4.972% 5/16/29 µ | 3,000,000 | 3,516,589 | ||||||
8.875%µy | EUR | 1,200,000 | 1,396,987 | 6.375%µy | GBP | 300,000 | 350,820 | |||||
Banco de Credito del Peru | 7.125%µy | GBP | 1,800,000 | 2,211,422 | ||||||||
144A 2.70% 1/11/25 # | 735,000 | 737,620 | 8.00%µy | 600,000 | 622,065 | |||||||
Banco General 144A | Barclays Bank | |||||||||||
4.125% 8/7/27 # | 865,000 | 921,069 | 1.70% 5/12/22 | 1,030,000 | 1,048,414 | |||||||
Banco Mercantil del Norte | 7.625% 11/21/22 | 1,800,000 | 1,960,734 | |||||||||
144A 6.75%#µy | 315,000 | 298,354 | BBVA Bancomer | |||||||||
Banco Santander 6.25%µy EUR | 1,300,000 | 1,402,394 | 144A 5.125% 1/18/33 #µ | 617,000 | 576,182 | |||||||
Banco Santander Mexico | 144A 6.75% 9/30/22 # | 351,000 | 374,628 | |||||||||
144A 5.375% 4/17/25 # | 255,000 | 279,550 | BBVA USA | |||||||||
144A 5.95% 10/1/28 #µ | 280,000 | 287,997 | 2.875% 6/29/22 | 1,220,000 | 1,249,090 | |||||||
Bancolombia | 3.875% 4/10/25 | 1,145,000 | 1,210,364 | |||||||||
3.00% 1/29/25 | 750,000 | 735,780 | BNP Paribas | |||||||||
4.625% 12/18/29 µ | 540,000 | 510,300 | 144A 3.052% 1/13/31 #µ | 2,600,000 | 2,738,452 | |||||||
Bangkok Bank 144A | 144A 4.705% 1/10/25 #µ | 1,600,000 | 1,772,633 | |||||||||
3.733% 9/25/34 #µ | 550,000 | 526,409 | 144A 7.375%#µy | 700,000 | 767,861 | |||||||
Bank Leumi Le-Israel 144A | 7.375%µy | 500,000 | 548,473 | |||||||||
3.275% 1/29/31 #µ | 1,750,000 | 1,705,156 | CIT Group 4.125% 3/9/21 | 400,000 | 401,598 |
6 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Principal | Value | Principal | Value | ||||||||
amount° | (US $) | amount° | (US $) | ||||||||
Corporate Bonds (continued) | Corporate Bonds (continued) | ||||||||||
Banking (continued) | Banking (continued) | ||||||||||
Citigroup | Goldman Sachs Group | ||||||||||
2.65% 10/26/20 | 3,200,000 | $ | 3,222,434 | 1.513% (LIBOR03M + | |||||||
3.20% 10/21/26 | 1,000,000 | 1,097,588 | 1.20%) 9/15/20 • | 1,700,000 | $ | 1,702,213 | |||||
4.044% 6/1/24 µ | 1,800,000 | 1,955,182 | 1.562% (LIBOR03M + | ||||||||
4.05% 7/30/22 | 150,000 | 159,504 | 1.17%) 11/15/21 • | 1,700,000 | 1,705,140 | ||||||
4.075% 4/23/29 µ | 3,400,000 | 3,880,846 | 2.351% (LIBOR03M + | ||||||||
Citizens Bank | 1.36%) 4/23/21 • | 1,300,000 | 1,309,954 | ||||||||
2.55% 5/13/21 | 950,000 | 965,615 | 2.60% 2/7/30 | 955,000 | 998,217 | ||||||
Citizens Financial Group | 3.20% 2/23/23 | 2,200,000 | 2,335,974 | ||||||||
5.65%µy | 1,080,000 | 1,097,550 | 3.50% 4/1/25 | 2,780,000 | 3,051,595 | ||||||
Cooperatieve Rabobank | 4.223% 5/1/29 µ | 4,700,000 | 5,471,372 | ||||||||
1.421% (LIBOR03M + | HSBC Bank 144A | ||||||||||
0.43%) 4/26/21 • | 500,000 | 501,513 | 4.125% 8/12/20 # | 500,000 | 502,111 | ||||||
3.75% 7/21/26 | 1,350,000 | 1,485,998 | HSBC Holdings | ||||||||
4.375% 8/4/25 | 2,000,000 | 2,258,097 | 1.386% (LIBOR03M + | ||||||||
Credit Suisse Group | 1.00%) 5/18/24 • | 1,000,000 | 992,553 | ||||||||
144A 2.593% 9/11/25 #µ | 1,105,000 | 1,143,448 | 2.65% 1/5/22 | 200,000 | 206,230 | ||||||
144A 3.869% 1/12/29 #µ | 1,065,000 | 1,176,392 | 4.30% 3/8/26 | 200,000 | 225,933 | ||||||
144A 4.194% 4/1/31 #µ | 1,545,000 | 1,766,715 | ICICI Bank 144A | ||||||||
144A 4.207% 6/12/24 #µ | 410,000 | 441,062 | 4.00% 3/18/26 # | 535,000 | 554,407 | ||||||
144A 6.25%#µy | 5,705,000 | 5,967,875 | Intesa Sanpaolo | ||||||||
144A 6.375%#µy | 1,900,000 | 1,931,037 | 144A 4.00% 9/23/29 # | 1,300,000 | 1,375,704 | ||||||
Credit Suisse Group Funding | 7.00%µy | EUR | 300,000 | 336,352 | |||||||
Guernsey | 7.75%µy | EUR | 200,000 | 246,187 | |||||||
3.125% 12/10/20 | 250,000 | 252,891 | Itau Unibanco Holding 144A | ||||||||
3.80% 9/15/22 | 3,350,000 | 3,560,023 | 3.25% 1/24/25 # | 620,000 | 610,700 | ||||||
3.80% 6/9/23 | 2,300,000 | 2,478,718 | JPMorgan Chase & Co. | ||||||||
DBS Group Holdings 144A | 1.418% (LIBOR03M + | ||||||||||
4.52% 12/11/28 #µ | 530,000 | 573,698 | 1.10%) 6/7/21 • | 2,900,000 | 2,923,236 | ||||||
Deutsche Bank | 1.891% (LIBOR03M + | ||||||||||
2.281% (LIBOR03M + | 0.90%) 4/25/23 • | 1,000,000 | 1,003,830 | ||||||||
0.97%) 7/13/20 • | 100,000 | 100,019 | 2.522% 4/22/31 µ | 1,605,000 | 1,698,748 | ||||||
2.70% 7/13/20 | 500,000 | 500,107 | 3.109% 4/22/41 µ | 670,000 | 723,941 | ||||||
3.961% 11/26/25 µ | 5,700,000 | 5,985,776 | 3.109% 4/22/51 µ | 1,005,000 | 1,086,973 | ||||||
4.25% 10/14/21 | 2,000,000 | 2,053,188 | 3.22% 3/1/25 µ | 500,000 | 538,385 | ||||||
5.00% 2/14/22 | 3,100,000 | 3,237,490 | 4.005% 4/23/29 µ | 900,000 | 1,040,991 | ||||||
Development Bank of | 4.023% 12/5/24 µ | 4,730,000 | 5,214,480 | ||||||||
Mongolia 144A | 4.60%µy | 1,185,000 | 1,058,027 | ||||||||
7.25% 10/23/23 # | 495,000 | 481,912 | 5.00%µy | 1,650,000 | 1,588,417 | ||||||
Emirates NBD Bank | Lloyds Banking Group | ||||||||||
2.625% 2/18/25 | 495,000 | 500,346 | 2.438% 2/5/26 µ | 500,000 | 516,759 | ||||||
Fifth Third Bancorp | 2.858% 3/17/23 µ | 2,900,000 | 2,988,518 | ||||||||
2.55% 5/5/27 | 1,201,000 | 1,285,935 | Mitsubishi UFJ Financial | ||||||||
3.65% 1/25/24 | 790,000 | 862,293 | Group | ||||||||
3.95% 3/14/28 | 1,119,000 | 1,310,448 | 1.373% (LIBOR03M + | ||||||||
Fifth Third Bank | 1.06%) 9/13/21 • | 1,354,000 | 1,365,303 | ||||||||
3.85% 3/15/26 | 835,000 | 937,261 | 2.193% 2/25/25 | 1,700,000 | 1,757,784 | ||||||
2.559% 2/25/30 | 1,800,000 | 1,880,922 | |||||||||
3.218% 3/7/22 | 500,000 | 521,289 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 7
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal | Value | Principal | Value | |||||||||
amount° | (US $) | amount° | (US $) | |||||||||
Corporate Bonds (continued) | Corporate Bonds (continued) | |||||||||||
Banking (continued) | Banking (continued) | |||||||||||
Mitsubishi UFJ Trust & | Sumitomo Mitsui Financial | |||||||||||
Banking 144A | Group | |||||||||||
2.65% 10/19/20 # | 500,000 | $ | 503,389 | 1.474% 7/8/25 | 2,600,000 | $ | 2,602,650 | |||||
Mizuho Financial Group | 1.993% (LIBOR03M + | |||||||||||
1.453% (LIBOR03M + | 1.68%) 3/9/21 • | 2,300,000 | 2,323,052 | |||||||||
1.14%) 9/13/21 • | 1,900,000 | 1,917,565 | Truist Bank | |||||||||
2.226% 5/25/26 µ | 1,600,000 | 1,641,668 | 2.25% 3/11/30 | 2,095,000 | 2,118,495 | |||||||
2.591% 5/25/31 µ | 2,000,000 | 2,068,738 | 2.636% 9/17/29 µ | 5,182,000 | 5,202,175 | |||||||
Morgan Stanley | Truist Financial 4.95%µy | 1,145,000 | 1,173,625 | |||||||||
1.668% (LIBOR03M + | Turkiye Garanti Bankasi | |||||||||||
1.22%) 5/8/24 • | 2,010,000 | 2,025,415 | 144A 5.25% 9/13/22 # | 270,000 | 270,475 | |||||||
2.188% 4/28/26 µ | 3,705,000 | 3,857,653 | 144A 5.875% 3/16/23 # | 270,000 | 270,880 | |||||||
2.50% 4/21/21 | 3,500,000 | 3,558,886 | UBS | |||||||||
3.622% 4/1/31 µ | 930,000 | 1,064,393 | 5.125% 5/15/24 | 200,000 | 217,677 | |||||||
3.625% 1/20/27 | 4,000,000 | 4,519,393 | 7.625% 8/17/22 | 500,000 | 557,851 | |||||||
5.00% 11/24/25 | 3,125,000 | 3,654,418 | UBS Group | |||||||||
Nationwide Building Society | 144A 3.00% 4/15/21 # | 2,400,000 | 2,447,597 | |||||||||
144A 3.766% 3/8/24 #µ | 800,000 | 843,637 | 144A 3.091% (LIBOR03M | |||||||||
144A 4.302% 3/8/29 #µ | 5,200,000 | 5,901,621 | + 1.78%) 4/14/21 #• | 400,000 | 405,390 | |||||||
NBK Tier 1 Financing 2 144A | 144A 3.126% 8/13/30 #µ | 2,000,000 | 2,161,927 | |||||||||
4.50%#µy | 350,000 | 333,550 | 144A 4.125% 9/24/25 # | 2,940,000 | 3,336,322 | |||||||
Northern Trust 1.95% 5/1/30 | 1,545,000 | 1,591,629 | 6.875%µy | 2,445,000 | 2,480,905 | |||||||
PNC Bank | 7.125%µy | 540,000 | 551,952 | |||||||||
2.70% 11/1/22 | 250,000 | 261,661 | UniCredit | |||||||||
4.05% 7/26/28 | 2,400,000 | 2,814,940 | 144A 5.211% (LIBOR03M | |||||||||
PNC Financial Services Group | + 3.90%) 1/14/22 #• | 2,200,000 | 2,222,507 | |||||||||
2.60% 7/23/26 | 2,845,000 | 3,089,190 | 7.50%µy | EUR | 600,000 | 707,299 | ||||||
Popular 6.125% 9/14/23 | 440,000 | 446,004 | 144A 7.83% 12/4/23 # | 2,900,000 | 3,357,506 | |||||||
QNB Finance 3.50% 3/28/24 | 625,000 | 661,633 | 9.25%µy | EUR | 200,000 | 239,705 | ||||||
Royal Bank of Canada | US Bancorp | |||||||||||
2.30% 3/22/21 | 2,300,000 | 2,333,071 | 1.45% 5/12/25 | 1,565,000 | 1,613,116 | |||||||
Royal Bank of Scotland Group | 3.00% 7/30/29 | 1,200,000 | 1,303,967 | |||||||||
1.862% (LIBOR03M + | 3.375% 2/5/24 | 2,915,000 | 3,188,215 | |||||||||
1.47%) 5/15/23 • | 1,000,000 | 1,000,804 | 3.60% 9/11/24 | 1,275,000 | 1,422,941 | |||||||
3.498% 5/15/23 µ | 500,000 | 519,262 | 3.95% 11/17/25 | 2,820,000 | 3,258,701 | |||||||
4.80% 4/5/26 | 5,000,000 | 5,793,952 | US Bank 3.40% 7/24/23 | 815,000 | 881,899 | |||||||
7.50%µy | 1,800,000 | 1,807,200 | USB Capital IX 3.50% | |||||||||
8.625%µy | 5,900,000 | 6,147,623 | (LIBOR03M + 1.02%)y• | 525,000 | 434,566 | |||||||
Santander UK | Virgin Money UK | |||||||||||
3.40% 6/1/21 | 500,000 | 513,358 | 3.375% 4/24/26 µ | GBP | 100,000 | 122,471 | ||||||
3.75% 11/15/21 | 200,000 | 208,475 | 4.00% 9/25/26 µ | GBP | 800,000 | 1,008,882 | ||||||
Santander UK Group Holdings | 4.00% 9/3/27 µ | GBP | 100,000 | 125,280 | ||||||||
3.823% 11/3/28 µ | 3,200,000 | 3,528,294 | Wells Fargo & Co. | |||||||||
7.375%µy | GBP | 2,200,000 | 2,794,511 | 1.378% (LIBOR03M + | ||||||||
Shinhan Financial Group | 0.93%) 2/11/22 • | 1,300,000 | 1,304,061 | |||||||||
144A 3.34% 2/5/30 #µ | 410,000 | 428,447 | 2.55% 12/7/20 | 2,800,000 | 2,826,234 | |||||||
Societe Generale 144A | 3.068% 4/30/41 µ | 795,000 | 830,309 | |||||||||
4.25% 4/14/25 # | 3,600,000 | 3,811,960 | 3.196% 6/17/27 µ | 900,000 | 976,397 | |||||||
3.584% 5/22/28 µ | 5,300,000 | 5,885,688 |
8 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Principal | Value | Principal | Value | |||||
amount° | (US $) | amount° | (US $) | |||||
Corporate Bonds (continued) | Corporate Bonds (continued) | |||||||
Banking (continued) | Basic Industry (continued) | |||||||
Woori Bank 144A | Inversiones 144A | |||||||
4.75% 4/30/24 # | 800,000 | $ | 874,865 | 3.85% 1/13/30 # | 480,000 | $ | 490,889 | |
298,995,818 | Israel Chemicals | |||||||
Basic Industry - 2.05% | 6.375% 5/31/38 | 1,400,000 | 1,674,653 | |||||
Joseph T Ryerson & Son 144A | ||||||||
Air Products and Chemicals | 11.00% 5/15/22 # | 160,000 | 163,902 | |||||
1.50% 10/15/25 | 240,000 | 248,369 | LYB International Finance III | |||||
1.85% 5/15/27 | 2,695,000 | 2,825,984 | 2.875% 5/1/25 | 3,120,000 | 3,326,226 | |||
2.05% 5/15/30 | 905,000 | 952,224 | MEGlobal Canada 144A | |||||
BHP Billiton Finance USA | 5.875% 5/18/30 # | 340,000 | 385,448 | |||||
144A 6.25% 10/19/75 #µ | 2,595,000 | 2,612,374 | Methanex 5.25% 12/15/29 | 2,515,000 | 2,225,725 | |||
Braskem Netherlands Finance | Metinvest | |||||||
4.50% 1/10/28 | 800,000 | 751,608 | 144A 7.75% 4/23/23 # | 200,000 | 199,100 | |||
Chemours 7.00% 5/15/25 | 1,151,000 | 1,102,451 | 144A 8.50% 4/23/26 # | 200,000 | 196,770 | |||
CK Hutchison International 17 | Minera Mexico 144A | |||||||
144A 2.875% 4/5/22 # | 405,000 | 415,571 | 4.50% 1/26/50 # | 770,000 | 768,976 | |||
Corp Nacional del Cobre de | Newmont | |||||||
Chile | 2.25% 10/1/30 | 2,110,000 | 2,142,635 | |||||
144A 3.15% 1/14/30 # | 246,000 | 256,405 | 2.80% 10/1/29 | 3,850,000 | 4,067,450 | |||
144A 4.25% 7/17/42 # | 200,000 | 220,298 | Nexa Resources 144A | |||||
CSN Islands XI 144A | 6.50% 1/18/28 # | 340,000 | 345,270 | |||||
6.75% 1/28/28 # | 270,000 | 231,525 | Novolipetsk Steel Via Steel | |||||
CSN Resources | Funding DAC 144A | |||||||
144A 7.625% 2/13/23 # | 200,000 | 186,250 | 4.00% 9/21/24 # | 715,000 | 759,080 | |||
144A 7.625% 4/17/26 # | 200,000 | 173,250 | Nutrien 2.95% 5/13/30 | 1,120,000 | 1,189,304 | |||
Equate Petrochemical 144A | OCP | |||||||
3.00% 3/3/22 # | 375,000 | 379,931 | 144A 4.50% 10/22/25 # | 944,000 | 986,361 | |||
First Quantum Minerals 144A | 144A 6.875% 4/25/44 # | 210,000 | 255,865 | |||||
7.50% 4/1/25 # | 310,000 | 297,326 | Olin | |||||
Freeport-McMoRan | 5.00% 2/1/30 | 1,840,000 | 1,632,660 | |||||
4.125% 3/1/28 | 1,220,000 | 1,186,249 | 5.625% 8/1/29 | 705,000 | 649,499 | |||
4.25% 3/1/30 | 1,221,000 | 1,185,518 | PolyOne 144A | |||||
5.45% 3/15/43 | 530,000 | 521,194 | 5.75% 5/15/25 # | 2,193,000 | 2,260,161 | |||
Georgia-Pacific | Sasol Financing USA | |||||||
144A 1.75% 9/30/25 # | 925,000 | 954,965 | 5.875% 3/27/24 | 2,450,000 | 2,192,750 | |||
144A 2.10% 4/30/27 # | 735,000 | 763,864 | 6.50% 9/27/28 | 250,000 | 222,290 | |||
144A 2.30% 4/30/30 # | 1,660,000 | 1,731,601 | Sociedad Quimica y Minera de | |||||
8.00% 1/15/24 | 2,242,000 | 2,804,103 | Chile 144A | |||||
Gold Fields Orogen Holdings | 3.625% 4/3/23 # | 495,000 | 512,397 | |||||
BVI 144A | Steel Dynamics | |||||||
6.125% 5/15/29 # | 715,000 | 819,605 | 5.50% 10/1/24 | 510,000 | 524,344 | |||
GUSAP III 144A | Syngenta Finance | |||||||
4.25% 1/21/30 # | 2,120,000 | 2,082,264 | 144A 3.933% 4/23/21 # | 825,000 | 833,163 | |||
Hudbay Minerals 144A | 144A 4.441% 4/24/23 # | 470,000 | 493,670 | |||||
7.625% 1/15/25 # | 170,000 | 163,218 | Vedanta Resources Finance II | |||||
Huntsman International | 144A 9.25% 4/23/26 # | 510,000 | 363,630 | |||||
5.125% 11/15/22 | 1,000,000 | 1,059,770 | ||||||
INEOS Styrolution Group | 53,306,129 | |||||||
144A 2.25% 1/16/27 # EUR | 500,000 | 517,994 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 9
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal | Value | Principal | Value | |||||||
amount° | (US $) | amount° | (US $) | |||||||
Corporate Bonds (continued) | Corporate Bonds (continued) | |||||||||
Brokerage - 0.19% | Capital Goods (continued) | |||||||||
Charles Schwab 5.375%µy | 2,495,000 | $ | 2,671,696 | Klabin Austria 144A | ||||||
Jefferies Group | 7.00% 4/3/49 # | 460,000 | $ | 480,125 | ||||||
4.15% 1/23/30 | 780,000 | 847,491 | L3Harris Technologies | |||||||
6.45% 6/8/27 | 331,000 | 388,577 | 2.90% 12/15/29 | 2,310,000 | 2,492,031 | |||||
6.50% 1/20/43 | 880,000 | 1,024,937 | 3.85% 6/15/23 | 725,000 | 788,796 | |||||
4,932,701 | Masco 5.95% 3/15/22 | 304,000 | 328,129 | |||||||
Mauser Packaging Solutions | ||||||||||
Capital Goods - 1.98% | Holding 144A | |||||||||
Aeropuertos Argentina 2000 | 5.50% 4/15/24 # | 1,820,000 | 1,791,540 | |||||||
144A PIK 9.375% | Otis Worldwide | |||||||||
2/1/27 # ✤ | 680,780 | 536,114 | 144A 2.056% 4/5/25 # | 835,000 | 876,040 | |||||
Amphenol 2.05% 3/1/25 | 605,000 | 632,163 | 144A 2.565% 2/15/30 # | 5,970,000 | 6,273,453 | |||||
Bioceanico Sovereign | ||||||||||
Certificate 144A | 144A 3.112% 2/15/40 # | 860,000 | 884,942 | |||||||
2.884% 6/5/34 #^ | 586,252 | 414,773 | 144A 3.362% 2/15/50 # | 515,000 | 547,695 | |||||
BMC East 144A | Roper Technologies | |||||||||
5.50% 10/1/24 # | 250,000 | 252,786 | 2.35% 9/15/24 | 715,000 | 754,024 | |||||
Boise Cascade 144A | 2.95% 9/15/29 | 2,650,000 | 2,899,729 | |||||||
5.625% 9/1/24 # | 137,000 | 138,527 | Rutas 2 and 7 Finance 144A | |||||||
Bombardier 144A | 3.241% 9/30/36 #^ | 610,000 | 399,550 | |||||||
6.00% 10/15/22 # | 310,000 | 217,759 | Standard Industries | |||||||
Caterpillar | 144A 5.00% 2/15/27 # | 1,067,000 | 1,083,437 | |||||||
2.60% 4/9/30 | 2,470,000 | 2,689,246 | 144A 6.00% 10/15/25 # | 145,000 | 149,696 | |||||
3.25% 4/9/50 | 1,200,000 | 1,346,723 | Textron 0.998% (LIBOR03M | |||||||
Cemex 144A | + 0.55%) 11/10/20 • | 2,900,000 | 2,891,392 | |||||||
7.375% 6/5/27 # | 905,000 | 921,743 | TransDigm 144A | |||||||
Covanta Holding | 6.25% 3/15/26 # | 1,883,000 | 1,885,071 | |||||||
5.875% 7/1/25 | 230,000 | 233,713 | Waste Management | |||||||
EnPro Industries | 2.95% 6/15/24 | 415,000 | 425,082 | |||||||
5.75% 10/15/26 | 105,000 | 105,374 | 3.45% 6/15/29 | 741,000 | 767,322 | |||||
General Dynamics | 4.15% 7/15/49 | 224,000 | 281,256 | |||||||
3.25% 4/1/25 | 1,475,000 | 1,636,880 | WESCO Distribution | |||||||
4.25% 4/1/40 | 1,530,000 | 1,909,554 | 144A 7.125% 6/15/25 # | 220,000 | 232,584 | |||||
4.25% 4/1/50 | 885,000 | 1,154,844 | 144A 7.25% 6/15/28 # | 3,410,000 | 3,604,609 | |||||
General Electric | 51,541,882 | |||||||||
3.45% 5/1/27 | 770,000 | 790,545 | Communications - 5.48% | |||||||
3.625% 5/1/30 | 1,310,000 | 1,313,867 | Altice Financing 144A | |||||||
4.35% 5/1/50 | 2,360,000 | 2,342,738 | 5.00% 1/15/28 # | 2,040,000 | 2,029,708 | |||||
Grupo Cementos de | Altice France 144A | |||||||||
Chihuahua 144A | 2.125% 2/15/25 # | EUR | 1,900,000 | 2,002,014 | ||||||
5.25% 6/23/24 # | 530,000 | 535,907 | Altice France Holding | |||||||
Heathrow Funding 144A | 144A 6.00% 2/15/28 # | 1,550,000 | 1,474,445 | |||||||
4.875% 7/15/21 # | 200,000 | 205,516 | 144A 10.50% 5/15/27 # | 1,980,000 | 2,189,731 | |||||
HTA Group 144A | Amazon. com | |||||||||
7.00% 12/18/25 # | 755,000 | 766,291 | ||||||||
Hutama Karya Persero 144A | 1.20% 6/3/27 | 620,000 | 624,953 | |||||||
3.75% 5/11/30 # | 2,835,000 | 2,984,016 | 1.50% 6/3/30 | 1,000,000 | 1,016,417 | |||||
IHS Netherlands Holdco 144A | 2.50% 6/3/50 | 1,450,000 | 1,474,146 | |||||||
7.125% 3/18/25 # | 565,000 | 576,300 | 3.15% 8/22/27 | 1,700,000 | 1,946,489 | |||||
AMC Networks | ||||||||||
4.75% 8/1/25 | 382,000 | 375,928 |
10 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Principal | Value | Principal | Value | |||||
amount° | (US $) | amount° | (US $) | |||||
Corporate Bonds (continued) | Corporate Bonds (continued) | |||||||
Communications (continued) | Communications (continued) | |||||||
America Movil | Discovery Communications | |||||||
2.875% 5/7/30 | 445,000 | $ | 470,554 | 4.125% 5/15/29 | 5,735,000 | $ | 6,551,546 | |
AT&T | 5.20% 9/20/47 | 4,180,000 | 4,868,765 | |||||
1.10% (LIBOR03M + | Fox 3.666% 1/25/22 | 900,000 | 942,508 | |||||
0.75%) 6/1/21 • | 2,200,000 | 2,211,345 | Frontier Communications | |||||
1.498% (LIBOR03M + | 144A 8.00% 4/1/27 #‡ | 3,613,000 | 3,673,265 | |||||
1.18%) 6/12/24 • | 6,100,000 | 6,114,417 | Gray Television 144A | |||||
2.169% (LIBOR03M + | 5.875% 7/15/26 # | 380,000 | 379,455 | |||||
0.95%) 7/15/21 • | 500,000 | 504,153 | Millicom International Cellular | |||||
2.30% 6/1/27 | 840,000 | 868,615 | 144A 6.25% 3/25/29 # | 745,000 | 795,150 | |||
3.20% 3/1/22 | 100,000 | 104,374 | Netflix 144A | |||||
3.50% 6/1/41 | 670,000 | 706,210 | 3.625% 6/15/25 # | 1,795,000 | 1,816,316 | |||
3.65% 6/1/51 | 455,000 | 476,860 | Ooredoo International | |||||
3.80% 3/1/24 | 100,000 | 109,962 | Finance 144A | |||||
4.10% 2/15/28 | 2,276,000 | 2,610,178 | 5.00% 10/19/25 # | 270,000 | 309,425 | |||
4.35% 3/1/29 | 835,000 | 974,072 | Sable International Finance | |||||
4.50% 3/9/48 | 625,000 | 734,622 | 144A 5.75% 9/7/27 # | 245,000 | 250,253 | |||
4.90% 8/15/37 | 1,825,000 | 2,191,266 | Sirius XM Radio 144A | |||||
Baidu 3.875% 9/29/23 | 565,000 | 602,627 | 4.625% 7/15/24 # | 1,591,000 | 1,636,248 | |||
British Telecommunications | Sprint | |||||||
144A 3.25% 11/8/29 # | 1,700,000 | 1,856,861 | 7.25% 9/15/21 | 300,000 | 314,852 | |||
C&W Senior Financing 144A | 7.625% 3/1/26 | 200,000 | 236,537 | |||||
7.50% 10/15/26 # | 260,000 | 266,605 | Sprint Communications | |||||
CCO Holdings | 7.00% 8/15/20 | 200,000 | 201,146 | |||||
144A 4.50% 8/15/30 # | 500,000 | 512,077 | Sprint Spectrum 144A | |||||
144A 5.00% 2/1/28 # | 900,000 | 930,150 | 4.738% 3/20/25 # | 1,465,000 | 1,591,202 | |||
Charter Communications | Telefonica Celular del | |||||||
Operating | Paraguay 144A | |||||||
2.80% 4/1/31 | 585,000 | 594,353 | 5.875% 4/15/27 # | 395,000 | 412,775 | |||
3.70% 4/1/51 | 1,045,000 | 1,022,068 | Tencent Holdings | |||||
144A 2.221% (LIBOR03M | ||||||||
4.464% 7/23/22 | 4,330,000 | 4,618,240 | + 0.91%) 4/11/24 #• | 200,000 | 197,079 | |||
4.80% 3/1/50 | 835,000 | 950,301 | 144A 3.28% 4/11/24 # | 645,000 | 685,965 | |||
4.908% 7/23/25 | 430,000 | 493,416 | Terrier Media Buyer 144A | |||||
5.05% 3/30/29 | 7,005,000 | 8,268,864 | 8.875% 12/15/27 # | 1,100,000 | 1,057,375 | |||
Clear Channel Worldwide | Time Warner Cable | |||||||
Holdings 9.25% 2/15/24 | 945,000 | 879,072 | 7.30% 7/1/38 | 2,120,000 | 2,942,015 | |||
Comcast | Time Warner Entertainment | |||||||
3.20% 7/15/36 | 1,730,000 | 1,927,767 | 8.375% 3/15/23 | 1,415,000 | 1,659,343 | |||
3.70% 4/15/24 | 2,970,000 | 3,297,614 | T-Mobile USA | |||||
3.75% 4/1/40 | 445,000 | 525,295 | 144A 1.50% 2/15/26 # | 2,915,000 | 2,922,083 | |||
Connect Finco 144A | 144A 3.50% 4/15/25 # | 895,000 | 977,246 | |||||
6.75% 10/1/26 # | 1,740,000 | 1,647,606 | 144A 3.75% 4/15/27 # | 1,255,000 | 1,393,991 | |||
CSC Holdings | 144A 3.875% 4/15/30 # | 4,540,000 | 5,068,660 | |||||
5.875% 9/15/22 | 564,000 | 590,635 | 144A 4.375% 4/15/40 # | 670,000 | 777,934 | |||
6.75% 11/15/21 | 400,000 | 421,010 | 6.50% 1/15/26 | 540,000 | 564,940 | |||
144A 7.75% 7/15/25 # | 420,000 | 438,064 | Turk Telekomunikasyon 144A | |||||
Digicel Group 0.5 PIK | 6.875% 2/28/25 # | 700,000 | 739,726 | |||||
10.00% 4/1/24 ❆ | 323,704 | 224,958 | Turkcell Iletisim Hizmetleri | |||||
144A 5.80% 4/11/28 # | 585,000 | 581,952 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 11
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal | Value | Principal | Value | ||||||
amount° | (US $) | amount° | (US $) | ||||||
Corporate Bonds (continued) | Corporate Bonds (continued) | ||||||||
Communications (continued) | Consumer Cyclical (continued) | ||||||||
VEON Holdings 144A | Daimler Finance North | ||||||||
4.00% 4/9/25 # | 803,000 | $ | 831,583 | America | |||||
Verizon Communications | 144A 1.292% (LIBOR03M | ||||||||
1.492% (LIBOR03M + | + 0.90%) 2/15/22 #• | 1,100,000 | $ | 1,087,200 | |||||
1.10%) 5/15/25 • | 3,200,000 | 3,241,185 | 144A 2.00% 7/6/21 # | 400,000 | 403,223 | ||||
3.15% 3/22/30 | 480,000 | 543,682 | 144A 2.20% 10/30/21 # | 200,000 | 202,758 | ||||
4.00% 3/22/50 | 330,000 | 417,374 | 144A 2.875% 3/10/21 # | 150,000 | 151,603 | ||||
4.016% 12/3/29 | 1,600,000 | 1,916,281 | 144A 3.40% 2/22/22 # | 500,000 | 516,799 | ||||
4.125% 3/16/27 | 1,500,000 | 1,769,252 | 144A 3.75% 11/5/21 # | 300,000 | 310,286 | ||||
4.329% 9/21/28 | 3,427,000 | 4,128,429 | El Puerto de Liverpool 144A | ||||||
4.50% 8/10/33 | 6,325,000 | 7,884,527 | 3.95% 10/2/24 # | 615,000 | 629,609 | ||||
ViacomCBS | Ford Motor Credit | ||||||||
4.375% 3/15/43 | 2,945,000 | 3,083,006 | 1.227% (LIBOR03M + | ||||||
4.95% 1/15/31 | 2,415,000 | 2,829,953 | 0.93%) 9/24/20 • | 1,900,000 | 1,884,845 | ||||
Vodafone Group | 1.576% (LIBOR03M + | ||||||||
4.25% 9/17/50 | 1,070,000 | 1,259,262 | 1.27%) 3/28/22 • | 400,000 | 374,085 | ||||
4.875% 6/19/49 | 4,385,000 | 5,517,663 | 2.826% (LIBOR03M + | ||||||
VTR Comunicaciones 144A | 2.55%) 1/7/21 • | 1,900,000 | 1,871,788 | ||||||
5.125% 1/15/28 # | 330,000 | 338,415 | 3.20% 1/15/21 | 4,200,000 | 4,147,500 | ||||
VTR Finance 144A | 3.55% 10/7/22 | 1,500,000 | 1,461,863 | ||||||
6.375% 7/15/28 # | 235,000 | 242,348 | 4.542% 8/1/26 | 3,040,000 | 2,914,600 | ||||
Weibo 3.375% 7/8/30 | 2,145,000 | 2,130,779 | 5.75% 2/1/21 | 700,000 | 705,901 | ||||
Zayo Group Holdings 144A | Future Retail 144A | ||||||||
6.125% 3/1/28 # | 725,000 | 706,310 | 5.60% 1/22/25 # | 565,000 | 374,109 | ||||
Ziggo Bond | General Motors | ||||||||
144A 3.375% 2/28/30 # EUR | 500,000 | 530,854 | 5.00% 10/1/28 | 939,000 | 997,844 | ||||
144A 5.125% 2/28/30 # | 300,000 | 298,176 | 5.40% 10/2/23 | 685,000 | 742,600 | ||||
142,494,873 | 6.125% 10/1/25 | 685,000 | 770,667 | ||||||
General Motors Financial | |||||||||
Consumer Cyclical - 2.52% | 2.17% (LIBOR03M + | ||||||||
Allison Transmission 144A | 0.85%) 4/9/21 • | 500,000 | 497,059 | ||||||
5.875% 6/1/29 # | 175,000 | 182,508 | 5.20% 3/20/23 | 1,295,000 | 1,386,465 | ||||
Aramark Services 144A | 5.25% 3/1/26 | 1,276,000 | 1,391,617 | ||||||
5.00% 2/1/28 # | 1,200,000 | 1,142,754 | Harley-Davidson Financial | ||||||
BMW US Capital 144A | Services 144A | ||||||||
3.40% 8/13/21 # | 300,000 | 308,084 | 2.85% 1/15/21 # | 1,300,000 | 1,307,054 | ||||
Boyd Gaming 144A | Hilton Domestic Operating | ||||||||
4.75% 12/1/27 # | 880,000 | 757,099 | 5.125% 5/1/26 | 1,000,000 | 999,190 | ||||
CK Hutchison International 20 | Home Depot | ||||||||
144A 2.50% 5/8/30 # | 345,000 | 354,151 | 2.70% 4/15/30 | 780,000 | 858,121 | ||||
Colt Merger Sub 144A | |||||||||
6.25% 7/1/25 # | 1,420,000 | 1,412,474 | 3.35% 4/15/50 | 680,000 | 779,248 | ||||
Costco Wholesale | Kia Motors 144A | ||||||||
3.00% 4/25/23 # | 235,000 | 242,483 | |||||||
1.60% 4/20/30 | 1,320,000 | 1,336,546 | Lowe’s | ||||||
1.75% 4/20/32 | 545,000 | 555,297 | 4.05% 5/3/47 | 470,000 | 551,772 | ||||
Daimler Finance North | |||||||||
America | 4.55% 4/5/49 | 4,310,000 | 5,466,575 | ||||||
144A 0.865% (LIBOR03M | 5.125% 4/15/50 | 1,840,000 | 2,550,886 | ||||||
+ 0.43%) 2/12/21 #• | 1,400,000 | 1,394,405 | McDonald’s 1.317% | ||||||
(LIBOR03M + 0.43%) | |||||||||
10/28/21• | 2,300,000 | 2,305,653 |
12 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Principal | Value | Principal | Value | ||||||
amount° | (US $) | amount° | (US $) | ||||||
Corporate Bonds (continued) | Corporate Bonds (continued) | ||||||||
Consumer Cyclical (continued) | Consumer Non-Cyclical (continued) | ||||||||
MGM China Holdings 144A | Anheuser-Busch InBev | ||||||||
5.25% 6/18/25 # | 570,000 | $ | 584,250 | Worldwide | |||||
MGM Resorts International | 3.65% 2/1/26 | 2,675,000 | $ | 3,005,830 | |||||
5.75% 6/15/25 | 1,184,000 | 1,174,392 | 4.15% 1/23/25 | 2,940,000 | 3,338,139 | ||||
Murphy Oil USA | Bacardi 144A | ||||||||
5.625% 5/1/27 | 190,000 | 196,851 | 4.45% 5/15/25 # | 500,000 | 547,395 | ||||
Nissan Motor Acceptance | Bausch Health | ||||||||
144A 2.15% 9/28/20 # | 500,000 | 498,568 | 144A 5.50% 11/1/25 # | 1,342,000 | 1,372,947 | ||||
144A 2.80% 1/13/22 # | 200,000 | 198,184 | 144A 6.25% 2/15/29 # | 1,754,000 | 1,766,059 | ||||
144A 3.65% 9/21/21 # | 300,000 | 300,852 | Biogen | ||||||
144A 3.875% 9/21/23 # | 3,000,000 | 3,007,245 | 2.25% 5/1/30 | 1,620,000 | 1,638,332 | ||||
Resorts World Las Vegas | 3.15% 5/1/50 | 3,985,000 | 3,854,964 | ||||||
144A 4.625% 4/16/29 # | 600,000 | 588,746 | Boston Scientific | ||||||
Sands China | 3.375% 5/15/22 | 800,000 | 836,804 | ||||||
144A 3.80% 1/8/26 # | 400,000 | 413,004 | 4.00% 3/1/29 | 3,300,000 | 3,777,908 | ||||
144A 4.375% 6/18/30 # | 490,000 | 512,207 | BRF 144A 4.875% 1/24/30 # | 475,000 | 448,281 | ||||
5.40% 8/8/28 | 1,800,000 | 1,993,212 | Bristol-Myers Squibb 144A | ||||||
Schaeffler Finance | 2.90% 7/26/24 # | 4,010,000 | 4,342,895 | ||||||
3.25% 5/15/25 | EUR | 2,600,000 | 2,906,109 | Centene | |||||
Scientific Games International | 3.375% 2/15/30 | 1,000,000 | 1,011,275 | ||||||
144A 8.25% 3/15/26 # | 235,000 | 208,963 | 144A 5.375% 8/15/26 # | 745,000 | 777,985 | ||||
TJX | Charles River Laboratories | ||||||||
3.875% 4/15/30 | 950,000 | 1,118,436 | International 144A | ||||||
4.50% 4/15/50 | 510,000 | 655,007 | 5.50% 4/1/26 # | 360,000 | 375,446 | ||||
Toyota Industries 144A | Cigna | ||||||||
3.11% 3/12/22 # | 1,600,000 | 1,648,677 | 2.109% (LIBOR03M + | ||||||
VF 2.40% 4/23/25 | 1,045,000 | 1,101,335 | 0.89%) 7/15/23 • | 830,000 | 834,564 | ||||
Volkswagen Group of America | 2.40% 3/15/30 | 675,000 | 701,194 | ||||||
Finance | 3.20% 3/15/40 | 645,000 | 685,499 | ||||||
144A 1.157% (LIBOR03M | 4.125% 11/15/25 | 3,325,000 | 3,823,991 | ||||||
+ 0.86%) 9/24/21 #• | 1,500,000 | 1,495,011 | Coca-Cola | ||||||
144A 3.875% 11/13/20 # | 800,000 | 807,633 | 1.45% 6/1/27 | 430,000 | 442,045 | ||||
144A 4.00% 11/12/21 # | 500,000 | 520,758 | 2.50% 6/1/40 | 490,000 | 508,229 | ||||
Wolverine World Wide 144A | Cott Holdings 144A | ||||||||
5.00% 9/1/26 # | 400,000 | 386,250 | 5.50% 4/1/25 # | 260,000 | 262,001 | ||||
65,642,411 | CVS Health | ||||||||
Consumer Non-Cyclical - 4.74% | 3.35% 3/9/21 | 266,000 | 271,296 | ||||||
Abbott Laboratories | 3.75% 4/1/30 | 780,000 | 898,736 | ||||||
3.75% 11/30/26 | 2,400,000 | 2,794,677 | 4.30% 3/25/28 | 11,690,000 | 13,675,580 | ||||
AbbVie | 4.78% 3/25/38 | 1,030,000 | 1,281,085 | ||||||
2.85% 5/14/23 | 900,000 | 949,608 | 5.05% 3/25/48 | 5,000 | 6,514 | ||||
144A 2.95% 11/21/26 # | 2,650,000 | 2,902,159 | CVS Pass Through Trust 144A | ||||||
3.20% 5/14/26 | 500,000 | 556,647 | 5.773% 1/10/33 # ⯁ | 71,656 | 80,675 | ||||
144A 3.25% 10/1/22 # | 300,000 | 313,998 | Danone 144A | ||||||
144A 3.45% 3/15/22 # | 1,000,000 | 1,039,303 | 2.589% 11/2/23 # | 1,500,000 | 1,580,003 | ||||
3.75% 11/14/23 | 1,200,000 | 1,305,120 | DP World Crescent 144A | ||||||
144A 4.05% 11/21/39 # | 3,193,000 | 3,708,314 | 3.908% 5/31/23 # | 400,000 | 416,560 | ||||
Amgen 2.20% 2/21/27 | 3,835,000 | 4,050,000 | Encompass Health | ||||||
4.50% 2/1/28 | 1,235,000 | 1,186,600 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 13
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal | Value | Principal | Value | |||||||
amount° | (US $) | amount° | (US $) | |||||||
Corporate Bonds (continued) | Corporate Bonds (continued) | |||||||||
Consumer Non-Cyclical (continued) | Consumer Non-Cyclical (continued) | |||||||||
Encompass Health | Reynolds American | |||||||||
4.75% 2/1/30 | 290,000 | $ | 277,440 | 4.00% 6/12/22 | 900,000 | $ | 951,323 | |||
5.75% 9/15/25 | 370,000 | 381,612 | Stryker 1.95% 6/15/30 | 2,176,000 | 2,188,055 | |||||
Equifax 1.262% (LIBOR03M | Takeda Pharmaceutical | |||||||||
+ 0.87%) 8/15/21 • | 700,000 | 699,134 | 2.05% 3/31/30 | 595,000 | 590,218 | |||||
Gilead Sciences | 3.025% 7/9/40 | 985,000 | 996,160 | |||||||
4.15% 3/1/47 | 4,195,000 | 5,350,393 | 3.175% 7/9/50 | 985,000 | 993,561 | |||||
Global Payments | Tenet Healthcare | |||||||||
2.65% 2/15/25 | 2,525,000 | 2,683,317 | 5.125% 5/1/25 | 2,395,000 | 2,314,073 | |||||
2.90% 5/15/30 | 1,415,000 | 1,481,760 | Teva Pharmaceutical Finance | |||||||
3.20% 8/15/29 | 4,025,000 | 4,319,132 | Netherlands II | |||||||
HCA | 1.125% 10/15/24 | EUR | 300,000 | 296,300 | ||||||
4.125% 6/15/29 | 3,400,000 | 3,753,853 | Teva Pharmaceutical Finance | |||||||
5.875% 2/15/26 | 595,000 | 653,884 | Netherlands III | |||||||
7.58% 9/15/25 | 30,000 | 34,650 | 6.75% 3/1/28 | 1,066,000 | 1,128,580 | |||||
IHS Markit 3.625% 5/1/24 | 600,000 | 644,319 | Universal Health Services | |||||||
Imperial Brands Finance | 144A 5.00% 6/1/26 # | 210,000 | 215,935 | |||||||
144A 2.95% 7/21/20 # | 700,000 | 700,687 | Upjohn | |||||||
144A 3.75% 7/21/22 # | 470,000 | 490,901 | 144A 1.65% 6/22/25 # | 320,000 | 326,608 | |||||
JBS Investments II | 144A 2.30% 6/22/27 # | 265,000 | 274,009 | |||||||
144A 5.75% 1/15/28 # | 385,000 | 381,246 | 144A 2.70% 6/22/30 # | 1,940,000 | 1,997,436 | |||||
144A 7.00% 1/15/26 # | 370,000 | 389,157 | 144A 4.00% 6/22/50 # | 450,000 | 483,783 | |||||
JBS USA LUX | US Foods 144A | |||||||||
6.25% 4/15/25 # | 2,551,000 | 2,606,803 | ||||||||
144A 5.75% 6/15/25 # | 150,000 | 152,250 | Zimmer Biomet Holdings | |||||||
144A 5.875% 7/15/24 # | 320,000 | 324,901 | 3.15% 4/1/22 | 300,000 | 311,551 | |||||
Kernel Holding | ||||||||||
144A 6.50% 10/17/24 # | 375,000 | 373,594 | 123,157,172 | |||||||
144A 8.75% 1/31/22 # | 350,000 | 362,779 | Energy - 3.64% | |||||||
Kroger 2.20% 5/1/30 | 705,000 | 734,656 | Abu Dhabi Crude Oil Pipeline | |||||||
MHP 144A 7.75% 5/10/24 # | 520,000 | 546,000 | 144A 4.60% 11/2/47 # | 330,000 | 391,504 | |||||
New York and Presbyterian | Bayan Resources 144A | |||||||||
Hospital 4.063% 8/1/56 | 690,000 | 861,701 | 6.125% 1/24/23 # | 455,000 | 428,589 | |||||
PayPal Holdings | BP Capital Markets | |||||||||
1.65% 6/1/25 | 1,235,000 | 1,279,827 | 4.875%µy | 2,465,000 | 2,551,275 | |||||
2.30% 6/1/30 | 1,190,000 | 1,239,325 | Chevron 2.236% 5/11/30 | 930,000 | 974,773 | |||||
Pernod Ricard | Crestwood Midstream | |||||||||
144A 4.25% 7/15/22 # | 150,000 | 160,154 | Partners 6.25% 4/1/23 | 410,000 | 365,968 | |||||
144A 4.45% 1/15/22 # | 1,800,000 | 1,901,147 | Ecopetrol | |||||||
144A 5.75% 4/7/21 # | 1,093,000 | 1,135,449 | 5.375% 6/26/26 | 230,000 | 241,716 | |||||
Pfizer 2.55% 5/28/40 | 855,000 | 889,412 | 6.875% 4/29/30 | 740,000 | 853,590 | |||||
Enable Midstream Partners | ||||||||||
Post Holdings 144A | 4.95% 5/15/28 | 700,000 | 650,564 | |||||||
5.75% 3/1/27 # | 325,000 | 337,319 | ||||||||
Prime Security Services | Energy Transfer Operating | |||||||||
Borrower | 5.25% 4/15/29 | 2,105,000 | 2,298,723 | |||||||
144A 5.75% 4/15/26 # | 90,000 | 93,473 | 5.50% 6/1/27 | 3,200,000 | 3,573,923 | |||||
144A 6.25% 1/15/28 # | 3,020,000 | 2,852,964 | 6.25% 4/15/49 | 3,595,000 | 3,815,056 | |||||
Rede D’or Finance 144A | Energy Transfer Partners | |||||||||
4.50% 1/22/30 # | 710,000 | 627,683 | 5.00% 10/1/22 | 1,500,000 | 1,597,943 | |||||
EQT 6.125% 2/1/25 | 1,100,000 | 1,098,086 |
14 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Principal | Value | Principal | Value | |||||
amount° | (US $) | amount° | (US $) | |||||
Corporate Bonds (continued) | Corporate Bonds (continued) | |||||||
Energy (continued) | Energy (continued) | |||||||
Equinor 1.75% 1/22/26 | 655,000 | $ | 671,438 | Petroleos Mexicanos | ||||
Gazprom via Gaz Finance | 144A 6.49% 1/23/27 # | 1,213,000 | $ | 1,108,549 | ||||
144A 3.25% 2/25/30 # | 735,000 | 733,163 | 6.50% 1/23/29 | 934,000 | 815,793 | |||
Geopark | 6.75% 9/21/47 | 689,000 | 530,964 | |||||
144A 5.50% 1/17/27 # | 645,000 | 556,319 | Petronas Capital | |||||
144A 6.50% 9/21/24 # | 200,000 | 184,609 | 144A 3.50% 4/21/30 # | 440,000 | 489,918 | |||
Gran Tierra Energy 144A | 144A 4.55% 4/21/50 # | 700,000 | 891,120 | |||||
7.75% 5/23/27 # | 580,000 | 263,537 | 144A 4.80% 4/21/60 # | 1,100,000 | 1,516,459 | |||
Greenko Solar Mauritius | Precision Drilling 144A | |||||||
144A 5.95% 7/29/26 # | 540,000 | 534,476 | 7.125% 1/15/26 # | 165,000 | 101,237 | |||
KazMunayGas National JSC | PTTEP Treasury Center 144A | |||||||
144A 6.375% 10/24/48 # | 121,000 | 153,003 | 2.587% 6/10/27 # | 2,466,000 | 2,527,347 | |||
KazTransGas JSC 144A | ReNew Power 144A | |||||||
4.375% 9/26/27 # | 1,525,000 | 1,647,457 | 5.875% 3/5/27 # | 620,000 | 602,013 | |||
Kinder Morgan Energy | Rio Oil Finance Trust | |||||||
Partners 5.00% 10/1/21 | 620,000 | 644,652 | 9.25% 7/6/24 | 133,553 | 136,892 | |||
Lukoil Securities 144A | Sabine Pass Liquefaction | |||||||
3.875% 5/6/30 # | 1,650,000 | 1,722,187 | 5.625% 3/1/25 | 1,455,000 | 1,663,950 | |||
Marathon Oil 4.40% 7/15/27 | 4,770,000 | 4,684,036 | 5.75% 5/15/24 | 8,496,000 | 9,572,512 | |||
MPLX | 6.25% 3/15/22 | 400,000 | 426,459 | |||||
4.00% 3/15/28 | 320,000 | 337,368 | Saudi Arabian Oil | |||||
4.125% 3/1/27 | 2,000,000 | 2,135,455 | 144A 2.875% 4/16/24 # | 395,000 | 411,056 | |||
5.50% 2/15/49 | 3,200,000 | 3,636,312 | 144A 4.25% 4/16/39 # | 530,000 | 591,361 | |||
Murphy Oil 5.875% 12/1/27 | 1,670,000 | 1,471,170 | Schlumberger Holdings 144A | |||||
Noble Energy | 4.30% 5/1/29 # | 2,125,000 | 2,350,031 | |||||
3.25% 10/15/29 | 1,930,000 | 1,746,234 | Sinopec Group Overseas | |||||
3.90% 11/15/24 | 565,000 | 569,821 | Development 2018 144A | |||||
4.20% 10/15/49 | 2,255,000 | 1,873,982 | 2.50% 8/8/24 # | 450,000 | 467,398 | |||
4.95% 8/15/47 | 1,405,000 | 1,254,126 | Southwestern Energy | |||||
5.05% 11/15/44 | 2,085,000 | 1,897,178 | 7.75% 10/1/27 | 1,405,000 | 1,226,783 | |||
NuStar Logistics | Targa Resources Partners | |||||||
5.625% 4/28/27 | 205,000 | 198,617 | 5.375% 2/1/27 | 340,000 | 328,887 | |||
Oil and Gas Holding 144A | Tecpetrol 144A | |||||||
7.625% 11/7/24 # | 200,000 | 217,229 | 4.875% 12/12/22 # | 685,000 | 646,698 | |||
ONEOK | Tennessee Gas Pipeline 144A | |||||||
4.35% 3/15/29 | 1,500,000 | 1,578,819 | 2.90% 3/1/30 # | 5,255,000 | 5,395,355 | |||
7.50% 9/1/23 | 2,840,000 | 3,252,148 | Transocean Proteus 144A | |||||
Pertamina Persero 144A | 6.25% 12/1/24 # | 211,250 | 195,406 | |||||
3.65% 7/30/29 # | 197,000 | 206,841 | Transportadora de Gas del Sur | |||||
Petrobras Global Finance | 144A 6.75% 5/2/25 # | 370,000 | 316,770 | |||||
144A 5.093% 1/15/30 # | 2,048,000 | 2,043,904 | Tullow Oil 144A | |||||
5.999% 1/27/28 | 3,500,000 | 3,673,600 | 7.00% 3/1/25 # | 365,000 | 230,174 | |||
6.125% 1/17/22 | 170,000 | 178,673 | Woodside Finance | |||||
6.75% 6/3/50 | 470,000 | 484,570 | 144A 3.70% 9/15/26 # | 400,000 | 423,479 | |||
6.85% 6/5/15 | 1,700,000 | 1,690,990 | 144A 4.60% 5/10/21 # | 600,000 | 610,908 | |||
6.90% 3/19/49 | 89,000 | 93,939 | YPF 144A 8.50% 6/27/29 # | 560,000 | 415,276 | |||
7.25% 3/17/44 | 900,000 | 981,675 | 94,647,906 | |||||
Petroleos Mexicanos | ||||||||
144A 5.95% 1/28/31 # | 600,000 | 495,873 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 15
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal | Value | Principal | Value | ||||||||
amount° | (US $) | amount° | (US $) | ||||||||
Corporate Bonds (continued) | Corporate Bonds (continued) | ||||||||||
Finance Companies - 1.50% | Finance Companies (continued) | ||||||||||
AerCap Ireland Capital | Shimao Group Holdings | ||||||||||
3.50% 1/15/25 | 300,000 | $ | 281,750 | 5.60% 7/15/26 | 790,000 | $ | 832,956 | ||||
4.45% 10/1/25 | 1,200,000 | 1,152,702 | SMBC Aviation Capital | ||||||||
4.45% 4/3/26 | 150,000 | 142,269 | Finance 144A | ||||||||
4.625% 10/30/20 | 1,000,000 | 1,004,381 | 3.00% 7/15/22 # | 400,000 | 402,202 | ||||||
4.625% 7/1/22 | 1,100,000 | 1,111,455 | Springleaf Finance | ||||||||
AerCap Ireland Capital DAC | 6.125% 3/15/24 | 1,500,000 | 1,527,458 | ||||||||
3.65% 7/21/27 | 2,700,000 | 2,390,142 | 8.25% 12/15/20 | 2,600,000 | 2,687,425 | ||||||
6.50% 7/15/25 | 605,000 | 634,486 | Waha Aerospace | ||||||||
Air Lease | 3.925% 7/28/20 | 105,000 | 105,010 | ||||||||
3.00% 2/1/30 | 1,740,000 | 1,615,721 | 38,920,888 | ||||||||
3.375% 7/1/25 | 670,000 | 670,592 | Insurance - 0.65% | ||||||||
4.25% 2/1/24 | 900,000 | 922,229 | AIA Group | ||||||||
Ally Financial | 3.125% 3/13/23 | 620,000 | 645,913 | ||||||||
5.75% 11/20/25 | 1,635,000 | 1,748,695 | 144A 3.375% 4/7/30 # | 375,000 | 410,152 | ||||||
Arabian Centres Sukuk 144A | 144A 3.90% 4/6/28 # | 1,000,000 | 1,125,620 | ||||||||
5.375% 11/26/24 # | 560,000 | 495,880 | Ambac LSNI 144A 6.00% | ||||||||
ASG Finance Designated | (LIBOR03M + 5.00%) | ||||||||||
Activity 144A | 2/12/23 #• | 111,847 | 110,797 | ||||||||
7.875% 12/3/24 # | 545,000 | 386,950 | American International Group | ||||||||
Aviation Capital Group | 3.40% 6/30/30 | 1,455,000 | 1,579,391 | ||||||||
144A 3.875% 5/1/23 # | 1,000,000 | 952,141 | Aon 2.80% 5/15/30 | 150,000 | 160,681 | ||||||
144A 6.75% 4/6/21 # | 500,000 | 502,554 | AssuredPartners 144A | ||||||||
BOC Aviation | 7.00% 8/15/25 # | 298,000 | 298,928 | ||||||||
2.375% 9/15/21 | 600,000 | 600,732 | Athene Global Funding 144A | ||||||||
3.00% 5/23/22 | 300,000 | 305,138 | 1.534% (LIBOR03M + | ||||||||
China Overseas Finance | 1.23%) 7/1/22 #• | 700,000 | 693,826 | ||||||||
Cayman V | Brighthouse Financial | ||||||||||
3.95% 11/15/22 | 480,000 | 504,542 | 5.625% 5/15/30 | 850,000 | 943,585 | ||||||
GATX 1.261% (LIBOR03M + | Fairfax Financial Holdings | ||||||||||
0.72%) 11/5/21 • | 2,100,000 | 2,071,868 | 144A 4.625% 4/29/30 # | 1,000,000 | 1,079,462 | ||||||
GE Capital Funding 144A | HUB International 144A | ||||||||||
3.45% 5/15/25 # | 1,565,000 | 1,640,726 | 7.00% 5/1/26 # | 1,300,000 | 1,301,307 | ||||||
Goodman HK Finance | MetLife 144A | ||||||||||
4.375% 6/19/24 | 550,000 | 589,172 | 9.25% 4/8/38 # | 1,100,000 | 1,527,421 | ||||||
International Lease Finance | Prudential Financial | ||||||||||
8.625% 1/15/22 | 2,865,000 | 3,079,264 | 3.70% 3/13/51 | 1,660,000 | 1,835,021 | ||||||
Kaisa Group Holdings | 5.375% 5/15/45 µ | 1,405,000 | 1,487,568 | ||||||||
9.375% 6/30/24 | 630,000 | 578,744 | USI 144A 6.875% 5/1/25 # | 1,163,000 | 1,176,799 | ||||||
Logicor Financing | VIVAT 2.375% 5/17/24 | EUR | 2,100,000 | 2,460,318 | |||||||
3.25% 11/13/28 | EUR | 3,400,000 | 4,179,257 | 16,836,789 | |||||||
Nationstar Mortgage Holdings | |||||||||||
144A 8.125% 7/15/23 # | 2,000,000 | 2,057,610 | Real Estate Investment Trusts - 1.00% | ||||||||
ORIX 3.20% 1/19/22 | 500,000 | 515,190 | American Tower | ||||||||
Park Aerospace Holdings Ltd | 3.00% 6/15/23 | 600,000 | 640,143 | ||||||||
144A 3.625% 3/15/21 # | 400,000 | 394,858 | 3.375% 5/15/24 | 500,000 | 543,215 | ||||||
144A 5.25% 8/15/22 # | 2,000,000 | 1,878,333 | American Tower Trust #1 | ||||||||
Samhallsbyggnadsbolaget i | 144A 3.07% 3/15/23 # | 1,285,000 | 1,317,458 | ||||||||
Norden 1.125% 9/4/26 EUR | 900,000 | 958,456 | Corporate Office Properties | ||||||||
3.60% 5/15/23 | 690,000 | 702,647 |
16 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Principal | Value | Principal | Value | ||||||
amount° | (US $) | amount° | (US $) | ||||||
Corporate Bonds (continued) | Corporate Bonds (continued) | ||||||||
Real Estate Investment Trusts (continued) | Technology (continued) | ||||||||
Corporate Office Properties | International Business | ||||||||
5.25% 2/15/24 | 670,000 | $ | 718,309 | Machines | |||||
Crown Castle International | 3.00% 5/15/24 | 4,805,000 | $ | 5,206,215 | |||||
3.80% 2/15/28 | 2,115,000 | 2,379,898 | Microchip Technology 144A | ||||||
4.30% 2/15/29 | 2,745,000 | 3,187,114 | 4.25% 9/1/25 # | 850,000 | 857,815 | ||||
5.25% 1/15/23 | 1,505,000 | 1,675,307 | NortonLifeLock | ||||||
CubeSmart 3.00% 2/15/30 | 1,735,000 | 1,843,813 | 4.20% 9/15/20 | 2,000,000 | 2,005,000 | ||||
CyrusOne 1.45% 1/22/27 EUR | 1,400,000 | 1,516,519 | NXP | ||||||
EPR Properties 4.50% 6/1/27 | 2,900,000 | 2,691,313 | 144A 2.70% 5/1/25 # | 180,000 | 189,376 | ||||
Equinix 5.375% 5/15/27 | 350,000 | 382,660 | 144A 3.40% 5/1/30 # | 350,000 | 377,392 | ||||
GLP Capital 4.00% 1/15/30 | 2,600,000 | 2,591,238 | 144A 3.875% 6/18/26 # | 3,250,000 | 3,642,214 | ||||
Iron Mountain US Holdings | 144A 4.125% 6/1/21 # | 5,365,000 | 5,526,305 | ||||||
144A 5.375% 6/1/26 # | 262,000 | 264,243 | 144A 4.30% 6/18/29 # | 142,000 | 161,383 | ||||
MGM Growth Properties | 144A 4.625% 6/15/22 # | 300,000 | 319,691 | ||||||
Operating Partnership | 144A 4.625% 6/1/23 # | 1,000,000 | 1,097,729 | ||||||
5.75% 2/1/27 | 145,000 | 148,852 | 144A 4.875% 3/1/24 # | 3,280,000 | 3,665,043 | ||||
MPT Operating Partnership | Oracle 2.95% 4/1/30 | 1,355,000 | 1,512,686 | ||||||
3.692% 6/5/28 | GBP | 1,600,000 | 1,995,231 | Xilinx 2.375% 6/1/30 | 825,000 | 851,661 | |||
Regency Centers | 47,821,138 | ||||||||
3.70% 6/15/30 | 1,435,000 | 1,545,698 | |||||||
WEA Finance 144A | Transportation - 1.03% | ||||||||
3.25% 10/5/20 # | 1,800,000 | 1,802,355 | Aerovias de Mexico 144A | ||||||
7.00% 2/5/25 #‡ | 855,000 | 203,063 | |||||||
25,946,013 | American Airlines 2011-1 | ||||||||
Technology - 1.84% | Class A Pass Through Trust | ||||||||
Apple 1.65% 5/11/30 | 975,000 | 1,008,938 | 5.25% 1/31/21 ⯁ | 195,275 | 172,094 | ||||
Broadcom | American Airlines 2015-1 | ||||||||
2.65% 1/15/23 | 1,300,000 | 1,349,501 | Class A Pass Through Trust | ||||||
144A 3.15% 11/15/25 # | 845,000 | 898,236 | 3.375% 5/1/27 ⯁ | 902,854 | 757,849 | ||||
144A 3.459% 9/15/26 # | 2,354,000 | 2,530,192 | American Airlines 2016-3 | ||||||
144A 4.11% 9/15/28 # | 1,052,000 | 1,152,596 | Class AA Pass Through | ||||||
144A 4.15% 11/15/30 # | 1,077,000 | 1,174,265 | Trust 3.00% 10/15/28 | 1,100,866 | 1,013,014 | ||||
144A 4.70% 4/15/25 # | 801,000 | 902,791 | Ashtead Capital 144A | ||||||
144A 5.00% 4/15/30 # | 1,685,000 | 1,940,007 | 5.25% 8/1/26 # | 400,000 | 421,500 | ||||
CDK Global | Autoridad del Canal de | ||||||||
Panama 144A | |||||||||
5.00% 10/15/24 | 840,000 | 893,012 | 4.95% 7/29/35 # | 595,000 | 680,862 | ||||
5.875% 6/15/26 | 1,003,000 | 1,044,058 | Azul Investments 144A | ||||||
CommScope Technologies | 5.875% 10/26/24 # | 830,000 | 390,220 | ||||||
144A 5.00% 3/15/27 # | 183,000 | 165,379 | Delta Air Lines | ||||||
Dell International | 3.625% 3/15/22 | 500,000 | 473,791 | ||||||
4.42% 6/15/21 | 1,600,000 | 1,644,860 | 144A 7.00% 5/1/25 # | 5,800,000 | 5,993,250 | ||||
144A 4.42% 6/15/21 # | 300,000 | 308,385 | Delta Air Lines 2007-1 Class | ||||||
144A 5.45% 6/15/23 # | 600,000 | 656,544 | A Pass Through Trust | ||||||
144A 6.02% 6/15/26 # | 400,000 | 458,927 | 6.821% 8/10/22 ⯁ | 198,228 | 194,718 | ||||
Fiserv | Doric Nimrod Air Finance | ||||||||
2.65% 6/1/30 | 1,155,000 | 1,221,076 | Alpha 2012-1 Class A Pass | ||||||
3.50% 7/1/29 | 3,500,000 | 3,937,675 | Through Trust 144A | ||||||
International Business | 5.125% 11/30/22 # ⯁ | 658,620 | 609,786 | ||||||
Machines | ERAC USA Finance | ||||||||
1.95% 5/15/30 | 1,095,000 | 1,122,186 | 144A 2.70% 11/1/23 # | 300,000 | 303,667 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 17
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal | Value | Principal | Value | ||||||
amount° | (US $) | amount° | (US $) | ||||||
Corporate Bonds (continued) | Corporate Bonds (continued) | ||||||||
Transportation (continued) | Utilities (continued) | ||||||||
ERAC USA Finance | Calpine | ||||||||
144A 4.50% 8/16/21 # | 200,000 | $ | 206,496 | 144A 5.25% 6/1/26 # | 328,000 | $ | 332,138 | ||
FedEx 4.05% 2/15/48 | 4,985,000 | 5,129,647 | CenterPoint Energy | ||||||
Kansas City Southern | 3.85% 2/1/24 | 960,000 | 1,050,811 | ||||||
3.00% 5/15/23 | 500,000 | 510,919 | 4.25% 11/1/28 | 2,618,000 | 3,045,545 | ||||
Latam Airlines 2015-1 Pass | Centrais Eletricas Brasileiras | ||||||||
Through Trust Class A | 144A 3.625% 2/4/25 # | 200,000 | 195,900 | ||||||
4.20% 11/15/27 ⯁ | 382,585 | 330,936 | 144A 4.625% 2/4/30 # | 565,000 | 540,634 | ||||
Lima Metro Line 2 Finance | CLP Power Hong Kong | ||||||||
144A 4.35% 4/5/36 # | 695,000 | 743,073 | Financing | ||||||
Penske Truck Leasing | 2.875% 4/26/23 | 240,000 | 248,415 | ||||||
144A 3.95% 3/10/25 # | 1,000,000 | 1,085,291 | Comision Federal de | ||||||
144A 4.45% 1/29/26 # | 2,100,000 | 2,318,290 | Electricidad 144A | ||||||
144A 4.875% 7/11/22 # | 300,000 | 319,814 | 4.875% 1/15/24 # | 200,000 | 211,229 | ||||
Rumo Luxembourg 144A | Duke Energy 4.875%µy | 1,865,000 | 1,865,404 | ||||||
5.25% 1/10/28 # | 750,000 | 750,000 | Duke Energy Indiana | ||||||
Southwest Airlines | 2.75% 4/1/50 | 2,150,000 | 2,173,795 | ||||||
5.125% 6/15/27 | 1,350,000 | 1,401,603 | 3.25% 10/1/49 | 1,265,000 | 1,404,375 | ||||
Union Pacific 3.25% 2/5/50 | 1,455,000 | 1,598,852 | Emera 6.75% 6/15/76 µ | 57,000 | 61,746 | ||||
United Rentals North America | Empresas Publicas de | ||||||||
5.50% 5/15/27 | 785,000 | 811,639 | Medellin 144A | ||||||
US Airways 2012-2 Class A | 4.25% 7/18/29 # | 760,000 | 764,131 | ||||||
Pass Through Trust 4.625% | Enel Finance International | ||||||||
6/3/25 ⯁ | 390,719 | 331,797 | 144A 2.875% 5/25/22 # | 1,100,000 | 1,138,351 | ||||
26,752,171 | Engie Energia Chile 144A | ||||||||
Utilities - 3.54% | 4.50% 1/29/25 # | 515,000 | 557,493 | ||||||
Adani Electricity Mumbai | Entergy 4.00% 7/15/22 | 300,000 | 318,540 | ||||||
144A 3.949% 2/12/30 # | 475,000 | 443,962 | Entergy Arkansas | ||||||
Aegea Finance 144A | 3.75% 2/15/21 | 200,000 | 202,643 | ||||||
5.75% 10/10/24 # | 590,000 | 599,649 | 4.20% 4/1/49 | 870,000 | 1,100,963 | ||||
AEP Texas | Entergy Louisiana | ||||||||
2.40% 10/1/22 | 200,000 | 207,808 | 4.95% 1/15/45 | 235,000 | 256,233 | ||||
3.45% 1/15/50 | 350,000 | 380,593 | Entergy Mississippi | ||||||
AES Andres 144A | 3.85% 6/1/49 | 1,805,000 | 2,161,050 | ||||||
7.95% 5/11/26 # | 840,000 | 852,600 | Entergy Texas | ||||||
AES Gener 144A | 3.55% 9/30/49 | 700,000 | 774,153 | ||||||
7.125% 3/26/79 #µ | 605,000 | 625,730 | Essential Utilities | ||||||
American Electric Power | 2.704% 4/15/30 | 695,000 | 728,006 | ||||||
2.15% 11/13/20 | 300,000 | 301,900 | 3.351% 4/15/50 | 675,000 | 706,670 | ||||
American Transmission | Evergy 4.85% 6/1/21 | 225,000 | 231,214 | ||||||
Systems 144A | Evergy Kansas Central | ||||||||
5.25% 1/15/22 # | 1,955,000 | 2,071,638 | 3.45% 4/15/50 | 1,670,000 | 1,857,203 | ||||
Appalachian Power | Evergy Metro 3.65% 8/15/25 | 1,350,000 | 1,523,048 | ||||||
3.70% 5/1/50 | 440,000 | 484,621 | Exelon | ||||||
Berkshire Hathaway Energy | 2.45% 4/15/21 | 200,000 | 202,783 | ||||||
144A 4.25% 10/15/50 # | 835,000 | 1,050,597 | 3.497% 6/1/22 | 1,075,000 | 1,122,489 | ||||
Brooklyn Union Gas 144A | 3.95% 6/15/25 | 670,000 | 753,540 | ||||||
3.865% 3/4/29 # | 3,230,000 | 3,711,816 | FirstEnergy 2.85% 7/15/22 | 200,000 | 207,570 | ||||
Calpine | |||||||||
144A 4.50% 2/15/28 # | 453,000 | 444,701 |
18 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Principal | Value | Principal | Value | ||||||
amount° | (US $) | amount° | (US $) | ||||||
Corporate Bonds (continued) | Corporate Bonds (continued) | ||||||||
Utilities (continued) | Utilities (continued) | ||||||||
FirstEnergy Transmission 144A | Saudi Electricity Global Sukuk | ||||||||
4.55% 4/1/49 # | 875,000 | $ | 1,064,570 | Co. 4 4.222% 1/27/24 | 715,000 | $ | 767,226 | ||
Grupo Energia Bogota 144A | Sempra Energy | ||||||||
4.875% 5/15/30 # | 640,000 | 673,200 | 0.763% (LIBOR03M + | ||||||
Infraestructura Energetica | 0.45%) 3/15/21 • | 2,050,000 | 2,053,645 | ||||||
Nova | 1.719% (LIBOR03M + | ||||||||
144A 3.75% 1/14/28 # | 225,000 | 221,301 | 0.50%) 1/15/21 • | 451,000 | 451,082 | ||||
144A 4.875% 1/14/48 # | 595,000 | 566,318 | 4.875%µy | 1,055,000 | 1,057,637 | ||||
Interstate Power and Light | Southern California Edison | ||||||||
4.10% 9/26/28 | 3,565,000 | 4,134,007 | 3.65% 2/1/50 | 1,525,000 | 1,682,858 | ||||
Israel Electric 144A | 4.00% 4/1/47 | 880,000 | 1,006,579 | ||||||
5.00% 11/12/24 # | 832,000 | 934,973 | 4.875% 3/1/49 | 2,330,000 | 3,017,854 | ||||
Kallpa Generacion 144A | Southern Power 144A | ||||||||
4.125% 8/16/27 # | 870,000 | 889,418 | 0.856% (LIBOR03M + | ||||||
Listrindo Capital 144A | 0.55%) 12/20/20 #• | 1,700,000 | 1,700,117 | ||||||
4.95% 9/14/26 # | 540,000 | 545,400 | Southwestern Electric Power | ||||||
Louisville Gas and Electric | 4.10% 9/15/28 | 4,590,000 | 5,222,197 | ||||||
4.25% 4/1/49 | 2,685,000 | 3,271,924 | Trans-Allegheny Interstate | ||||||
Mong Duong Finance | Line 144A 3.85% 6/1/25 # | 165,000 | 185,415 | ||||||
Holdings 144A | Vistra Operations 144A | ||||||||
5.125% 5/7/29 # | 995,000 | 1,005,627 | 5.50% 9/1/26 # | 1,784,000 | 1,830,464 | ||||
National Rural Utilities | Xcel Energy | ||||||||
Cooperative Finance | 2.60% 12/1/29 | 430,000 | 463,123 | ||||||
4.75% 4/30/43 µ | 315,000 | 315,928 | 3.40% 6/1/30 | 625,000 | 720,573 | ||||
Nevada Power | 3.50% 12/1/49 | 2,870,000 | 3,214,874 | ||||||
3.125% 8/1/50 | 1,517,000 | 1,648,798 | |||||||
NextEra Energy Capital | 92,157,213 | ||||||||
Holdings | Total Corporate Bonds | ||||||||
2.403% 9/1/21 | 1,700,000 | 1,738,841 | (cost $1,036,368,480) | 1,083,153,104 | |||||
2.90% 4/1/22 | 2,315,000 | 2,410,360 | |||||||
3.15% 4/1/24 | 1,115,000 | 1,210,848 | Municipal Bonds - 0.64% | ||||||
3.20% 2/25/22 | 400,000 | 417,315 | American Municipal Power, | ||||||
NiSource 5.65%µy | 875,000 | 836,054 | Ohio (Combined | ||||||
NV Energy 6.25% 11/15/20 | 825,000 | 842,849 | Hydroelectric Projects - | ||||||
Pacific Gas and Electric | Build America Bonds) | ||||||||
2.10% 8/1/27 | 1,895,000 | 1,876,183 | Series B | ||||||
2.50% 2/1/31 | 735,000 | 720,373 | 8.084% 2/15/50 | 1,500,000 | 2,715,495 | ||||
3.30% 3/15/27 | 700,000 | 761,709 | California State Various | ||||||
3.30% 8/1/40 | 910,000 | 887,751 | Purposes | ||||||
3.50% 6/15/25 | 400,000 | 442,246 | (Build America Bonds) | ||||||
PacifiCorp | 7.55% 4/1/39 | 395,000 | 705,111 | ||||||
2.70% 9/15/30 | 295,000 | 322,572 | (High-Speed Passenger | ||||||
Train Bonds) Series C | |||||||||
3.30% 3/15/51 | 410,000 | 453,740 | 0.942% (LIBOR01M + | ||||||
Pedernales Electric | 0.78%) 4/1/47 • | 1,250,000 | 1,248,087 | ||||||
Cooperative 144A | Chicago, Illinois Transit | ||||||||
6.202% 11/15/32 # | 620,000 | 745,914 | Authority | ||||||
Perusahaan Listrik Negara | (Pension Funding) Series A | ||||||||
144A 4.125% 5/15/27 # | 300,000 | 316,818 | 6.899% 12/1/40 | 1,800,000 | 2,483,550 | ||||
144A 5.25% 5/15/47 # | 185,000 | 208,920 | |||||||
PG&E 5.25% 7/1/30 | 2,390,000 | 2,407,925 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 19
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal | Value | Principal | Value | |||||||
amount° | (US $) | amount° | (US $) | |||||||
Municipal Bonds (continued) | Non-Agency Asset-Backed Securities (continued) | |||||||||
Chicago, Illinois Transit | Argent Securities Trust | |||||||||
Authority | Series 2006-M1 A2C | |||||||||
(Retiree Health Care | 0.335% (LIBOR01M + | |||||||||
Funding) Series B 6.899% | 0.15%, Floor 0.15%) | |||||||||
12/1/40 | 1,800,000 | $ | 2,483,550 | 7/25/36 • | 1,219,320 | $ | 481,722 | |||
Municipal Electric Authority of | Series 2006-W4 A2C | |||||||||
Georgia (Build America | 0.345% (LIBOR01M + | |||||||||
Bonds Plant Vogtle Units 3 | 0.16%, Floor 0.16%) | |||||||||
& 4 Project) | 5/25/36 • | 644,076 | 227,829 | |||||||
6.655% 4/1/57 | 1,767,000 | 2,596,942 | Bear Stearns Asset-Backed | |||||||
New Jersey Transportation | Securities I Trust | |||||||||
Trust Fund Authority | Series 2005-FR1 M2 | |||||||||
(Build America Bonds) | 1.19% (LIBOR01M + | |||||||||
Series C 5.754% | 1.005%, Floor 0.67%) | |||||||||
12/15/28 | 1,590,000 | 1,733,943 | 6/25/35 • | 1,707,759 | 1,647,174 | |||||
New York City, New York | Series 2007-HE2 1A2 | |||||||||
Transitional Finance | 0.355% (LIBOR01M + | |||||||||
Authority Future Tax | 0.17%, Floor 0.17%) | |||||||||
Secured Revenue | 3/25/37 • | 96,771 | 193,750 | |||||||
(Build America Bonds) | Bear Stearns Asset-Backed | |||||||||
Subordinate Series A-1 | Securities Trust | |||||||||
5.508% 8/1/37 | 700,000 | 981,708 | Series 2007-SD1 22A1 | |||||||
New York State Urban | 3.112% 10/25/36 • | 128,522 | 87,956 | |||||||
Development (Build | Bear Stearns Second Lien | |||||||||
America Bonds) | Trust | |||||||||
Series E 5.77% 3/15/39 | 800,000 | 1,017,072 | Series 2007-SV1A M2 | |||||||
Oregon State Taxable Pension | 144A 1.535% (LIBOR01M | |||||||||
5.892% 6/1/27 | 30,000 | 37,540 | + 1.35%, Cap 11.00%, | |||||||
Pennsylvania Higher | Floor 0.90%) 1/25/36 #• | 435,294 | 432,081 | |||||||
Education Assistance | Centex Home Equity Loan | |||||||||
Agency Revenue | Trust | |||||||||
Series 2002-A AF6 | ||||||||||
(Student Loans) Series | 5.54% 1/25/32 | 500 | 512 | |||||||
2006-2 A-3 1.121% | ||||||||||
(LIBOR03M + 0.13%) | CIT Mortgage Loan Trust | |||||||||
10/25/36 • | 429,212 | 407,129 | Series 2007-1 1M1 144A | |||||||
South Carolina Public Service | 1.685% (LIBOR01M + | |||||||||
Authority | 1.50%, Floor 1.50%) | |||||||||
10/25/37 #• | 3,600,000 | 3,425,724 | ||||||||
(Santee Cooper) Series D | Citicorp Residential Mortgage | |||||||||
4.77% 12/1/45 | 145,000 | 180,600 | Trust | |||||||
Total Municipal Bonds | Series 2006-3 A5 | |||||||||
(cost $14,795,871) | 16,590,727 | 5.14% 11/25/36 • | 746,145 | 770,043 | ||||||
CNH Equipment Trust | ||||||||||
Non-Agency Asset-Backed Securities - 2.74% | Series 2019-A A2 | |||||||||
ABFC Trust | 2.96% 5/16/22 | 580,696 | 583,894 | |||||||
Series 2006-HE1 A2D | Series 2019-B A2 | |||||||||
0.405% (LIBOR01M + | 2.55% 9/15/22 | 1,000,026 | 1,006,603 | |||||||
0.22%, Floor 0.22%) | Countrywide Asset-Backed | |||||||||
1/25/37 • | 330,486 | 217,647 | Certificates | |||||||
Series 2004-3 2A 0.585% | ||||||||||
(LIBOR01M + 0.40%, Floor | ||||||||||
0.20%) 8/25/34 • | 49,386 | 45,750 |
20 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Principal | Value | Principal | Value | |||||||
amount° | (US $) | amount° | (US $) | |||||||
Non-Agency Asset-Backed Securities (continued) | Non-Agency Asset-Backed Securities (continued) | |||||||||
Countrywide Asset-Backed | GSAMP Trust | |||||||||
Certificates | Series 2006-FM3 A2D | |||||||||
Series 2006-1 AF6 | 0.415% (LIBOR01M + | |||||||||
4.642% 7/25/36 • | 136,057 | $ | 137,514 | 0.23%, Floor 0.23%) | ||||||
Series 2006-26 2A4 | 11/25/36 • | 962,478 | $ | 556,616 | ||||||
0.405% (LIBOR01M + | Series 2007-SEA1 A 144A | |||||||||
0.22%, Floor 0.22%) | 0.485% (LIBOR01M + | |||||||||
6/25/37 • | 2,000,000 | 1,862,531 | 0.30%, Floor 0.30%) | |||||||
Series 2007-6 2A4 | 12/25/36 #• | 774,089 | 732,645 | |||||||
0.495% (LIBOR01M + | Hardee’s Funding | |||||||||
0.31%, Floor 0.31%) | Series 2018-1A A2I 144A | |||||||||
9/25/37 • | 922,899 | 624,271 | 4.25% 6/20/48 # | 638,625 | 649,028 | |||||
CWABS Asset-Backed | Series 2018-1A A2II 144A | |||||||||
Certificates Trust | 4.959% 6/20/48 # | 491,250 | 486,308 | |||||||
Series 2005-3 MV7 | Harley-Davidson Motorcycle | |||||||||
2.135% (LIBOR01M + | Trust | |||||||||
1.95%, Floor 1.30%) | Series 2020-A A2A | |||||||||
8/25/35 • | 4,200,000 | 3,952,712 | 1.83% 1/17/23 | 850,000 | 855,125 | |||||
Series 2006-11 1AF6 | HOA Funding | |||||||||
6.15% 9/25/46 • | 113,224 | 115,711 | Series 2014-1A A2 144A | |||||||
Series 2006-17 2A2 | 4.846% 8/20/44 # | 1,243,425 | 1,131,915 | |||||||
0.335% (LIBOR01M + | Home Equity Mortgage Loan | |||||||||
0.15%, Floor 0.15%) | Asset-Backed Trust | |||||||||
3/25/47 • | 1,315,787 | 1,278,249 | Series 2007-A 2A3 | |||||||
Discover Card Execution Note | 0.425% (LIBOR01M + | |||||||||
Trust | 0.24%, Floor 0.24%) | |||||||||
Series 2019-A1 A1 | 4/25/37 • | 1,359,211 | 968,160 | |||||||
3.04% 7/15/24 | 400,000 | 416,318 | HSI Asset Securitization Trust | |||||||
EquiFirst Mortgage Loan Trust | Series 2006-HE1 2A1 | |||||||||
Series 2004-2 M7 3.185% | 0.235% (LIBOR01M + | |||||||||
(LIBOR01M + 3.00%, Floor | 0.05%, Floor 0.05%) | |||||||||
2.00%) 10/25/34 • | 662,361 | 639,565 | 10/25/36 • | 26,304 | 13,510 | |||||
First Franklin Mortgage Loan | JPMorgan Mortgage | |||||||||
Trust | Acquisition Trust | |||||||||
Series 2006-FF5 2A3 | Series 2006-CW2 AV5 | |||||||||
0.345% (LIBOR01M + | 0.425% (LIBOR01M + | |||||||||
0.16%, Floor 0.16%) | 0.24%, Floor 0.24%) | |||||||||
4/25/36 • | 827,444 | 786,457 | 8/25/36 • | 500,000 | 486,185 | |||||
Ford Credit Auto Owner Trust | Long Beach Mortgage Loan | |||||||||
Series 2018-1 A 144A | Trust | |||||||||
3.19% 7/15/31 # | 840,000 | 899,485 | Series 2006-1 2A4 | |||||||
Series 2020-A A2 | 0.485% (LIBOR01M + | |||||||||
1.03% 10/15/22 | 1,250,000 | 1,255,614 | 0.30%, Floor 0.30%) | |||||||
Fremont Home Loan Trust | 2/25/36 • | 3,013,821 | 2,586,862 | |||||||
Series 2004-B M1 1.055% | Series 2006-7 1A 0.34% | |||||||||
(LIBOR01M + 0.87%, Floor | (LIBOR01M + 0.155%, | |||||||||
0.58%) 5/25/34 • | 2,440,140 | 2,321,335 | Floor 0.155%) 8/25/36 • | 2,846,933 | 1,766,018 | |||||
GE-WMC Mortgage Securities | Mercedes-Benz Auto Lease | |||||||||
Trust | Trust | |||||||||
Series 2006-1 A2B 0.335% | Series 2019-B A2 | |||||||||
(LIBOR01M + 0.15%, Floor | 2.01% 12/15/21 | 296,510 | 297,942 | |||||||
0.15%) 8/25/36 • | 2,036,267 | 1,112,168 | Series 2020-A A2 | |||||||
1.82% 3/15/22 | 500,000 | 502,739 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 21
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal | Value | Principal | Value | ||||||
amount° | (US $) | amount° | (US $) | ||||||
Non-Agency Asset-Backed Securities (continued) | Non-Agency Asset-Backed Securities (continued) | ||||||||
Mercedes-Benz Master Owner | RAMP Trust | ||||||||
Trust | Series 2007-RZ1 A2 | ||||||||
Series 2018-BA A 144A | 0.345% (LIBOR01M + | ||||||||
0.525% (LIBOR01M + | 0.16%, Cap 14.00%, Floor | ||||||||
0.34%) 5/15/23 #• | 500,000 | $ | 492,157 | 0.16%) 2/25/37 • | 82,074 | $ | 81,792 | ||
Series 2019-AA A 144A | Sofi Consumer Loan Program | ||||||||
0.535% (LIBOR01M + | Series 2017-3 A 144A | ||||||||
0.35%) 5/15/23 #• | 2,825,000 | 2,815,019 | 2.77% 5/25/26 # | 285,135 | 286,814 | ||||
Morgan Stanley ABS Capital I | Sofi Professional Loan | ||||||||
Trust | Program | ||||||||
Series 2007-HE1 A2C | Series 2016-F A2 144A | ||||||||
0.335% (LIBOR01M + | 3.02% 2/25/40 # | 241,779 | 249,361 | ||||||
0.15%, Floor 0.15%) | Soundview Home Loan Trust | ||||||||
11/25/36 • | 4,682,250 | 3,133,997 | Series 2006-OPT1 2A4 | ||||||
Series 2007-HE5 A2D | 0.455% (LIBOR01M + | ||||||||
0.525% (LIBOR01M + | 0.27%, Floor 0.27%) | ||||||||
0.34%, Floor 0.34%) | 3/25/36 • | 288,628 | 276,184 | ||||||
3/25/37 • | 3,300,326 | 1,669,210 | Structured Asset Investment | ||||||
Navistar Financial Dealer Note | Loan Trust | ||||||||
Master Owner Trust II | Series 2003-BC2 M1 | ||||||||
Series 2018-1 A 144A | 1.565% (LIBOR01M + | ||||||||
0.815% (LIBOR01M + | 1.38%, Floor 0.92%) | ||||||||
0.63%, Floor 0.63%) | 4/25/33 • | 15,777 | 15,054 | ||||||
9/25/23 #• | 450,000 | 448,353 | Structured Asset Securities | ||||||
New Century Home Equity | Mortgage Loan Trust | ||||||||
Loan Trust | Series 2006-BC1 A6 | ||||||||
Series 2005-1 M2 0.905% | 0.455% (LIBOR01M + | ||||||||
(LIBOR01M + 0.72%, Cap | 0.27%, Floor 0.27%) | ||||||||
12.50%, Floor 0.48%) | 3/25/36 • | 1,450,059 | 1,287,514 | ||||||
3/25/35 • | 233,599 | 214,577 | Tesla Auto Lease Trust | ||||||
Nissan Auto Lease Trust | Series 2019-A A2 144A | ||||||||
Series 2020-A A2A | 2.13% 4/20/22 # | 600,000 | 606,724 | ||||||
1.80% 5/16/22 | 1,000,000 | 1,007,731 | Towd Point Mortgage Trust | ||||||
Option One Mortgage Loan | Series 2017-1 A1 144A | ||||||||
Trust | 2.75% 10/25/56 #• | 842,213 | 861,799 | ||||||
Series 2005-1 M1 0.965% | Series 2017-2 A1 144A | ||||||||
(LIBOR01M + 0.78%, Floor | 2.75% 4/25/57 #• | 101,241 | 103,024 | ||||||
0.52%) 2/25/35 • | 1,846,525 | 1,773,569 | Series 2017-4 M1 144A | ||||||
Series 2007-4 2A4 | 3.25% 6/25/57 #• | 615,000 | 633,273 | ||||||
0.495% (LIBOR01M + | Series 2018-1 A1 144A | ||||||||
0.31%, Floor 0.31%) | 3.00% 1/25/58 #• | 196,915 | 203,995 | ||||||
4/25/37 • | 5,956,404 | 4,023,938 | Series 2019-4 A1 144A | ||||||
PFS Financing | 2.90% 10/25/59 #• | 10,831,091 | 11,393,399 | ||||||
Series 2018-E A 144A | Volvo Financial Equipment | ||||||||
0.635% (LIBOR01M + | Master Owner Trust | ||||||||
0.45%) 10/17/22 #• | 2,315,000 | 2,300,494 | Series 2017-A A 144A | ||||||
RAAC Trust | 0.685% (LIBOR01M + | ||||||||
Series 2005-SP2 2A | 0.50%) 11/15/22 #• | 1,075,000 | 1,074,351 | ||||||
0.485% (LIBOR01M + | |||||||||
0.30%, Cap 14.00%, Floor | |||||||||
0.30%) 6/25/44 • | 310,096 | 274,795 |
22 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Principal | Value | Principal | Value | |||||||
amount° | (US $) | amount° | (US $) | |||||||
Non-Agency Asset-Backed Securities (continued) | Non-Agency Collateralized Mortgage Obligations | |||||||||
Wendy’s Funding | (continued) | |||||||||
Series 2018-1A A2I 144A | Connecticut Avenue Securities | |||||||||
3.573% 3/15/48 # | 468,000 | $ | 485,059 | Trust | ||||||
Total Non-Agency Asset-Backed | Series 2019-R02 1M2 | |||||||||
Securities | 144A 2.485% (LIBOR01M | |||||||||
(cost $70,913,840) | 71,267,851 | + 2.30%, Floor 2.30%) | ||||||||
8/25/31 #• | 2,405,967 | $ | 2,369,775 | |||||||
Non-Agency Collateralized Mortgage Obligations - 1.87% | Series 2019-R07 1M2 | |||||||||
Alternative Loan Trust | 144A 2.285% (LIBOR01M | |||||||||
Resecuritization | + 2.10%) 10/25/39 #• | 3,250,000 | 3,150,296 | |||||||
Series 2008-2R 3A1 | Series 2020-R01 1M2 | |||||||||
6.00% 8/25/37 • | 1,028,085 | 803,865 | 144A 2.235% (LIBOR01M | |||||||
ARM Mortgage Trust | + 2.05%, Floor 2.05%) | |||||||||
Series 2004-5 3A1 | 1/25/40 #• | 2,500,000 | 2,372,405 | |||||||
3.769% 4/25/35 • | 110,961 | 109,436 | CSMC Mortgage-Backed Trust | |||||||
Series 2005-10 3A31 | Series 2005-1R 2A5 144A | |||||||||
3.535% 1/25/36 • | 136,475 | 125,347 | 5.75% 12/26/35 # | 942,490 | 868,258 | |||||
Series 2006-2 1A4 | Series 2007-1 5A14 | |||||||||
3.911% 5/25/36 • | 545,948 | 508,844 | 6.00% 2/25/37 | 221,954 | 183,602 | |||||
Banc of America Funding Trust | Series 2007-3 4A6 | |||||||||
Series 2005-E 7A1 2.17% | 0.435% (LIBOR01M + | |||||||||
(COF 11 + 1.43%, Floor | 0.25%, Cap 7.00%, Floor | |||||||||
1.43%) 6/20/35 • | 92,371 | 77,800 | 0.25%) 4/25/37 • | 161,396 | 131,207 | |||||
Series 2006-I 1A1 | Series 2007-3 4A12 | |||||||||
3.799% 12/20/36 • | 166,900 | 163,157 | 6.566% (6.75% minus | |||||||
LIBOR01M, Cap 6.75%) | ||||||||||
Banc of America Mortgage | 4/25/37 S• | 161,396 | 27,341 | |||||||
Trust | ||||||||||
Series 2003-D 2A1 | Series 2007-3 4A15 | |||||||||
4.292% 5/25/33 • | 113,194 | 110,598 | 5.50% 4/25/37 | 71,665 | 71,183 | |||||
Bear Stearns ARM Trust | Flagstar Mortgage Trust | |||||||||
Series 2003-5 2A1 | Series 2018-5 A7 144A | |||||||||
3.833% 8/25/33 • | 23,449 | 22,585 | 4.00% 9/25/48 #• | 111,347 | 112,283 | |||||
Chase Home Lending | Galton Funding Mortgage | |||||||||
Mortgage Trust | Trust | |||||||||
Series 2019-ATR2 A3 144A | Series 2018-1 A43 144A | |||||||||
3.50% 7/25/49 #• | 481,404 | 493,051 | 3.50% 11/25/57 #• | 170,853 | 172,562 | |||||
Chase Mortgage Finance Trust | GMACM Mortgage Loan Trust | |||||||||
Series 2005-A1 3A1 | Series 2006-J1 A1 | |||||||||
3.809% 12/25/35 • | 70,559 | 65,288 | 5.75% 4/25/36 | 29,882 | 29,432 | |||||
CHL Mortgage Pass Through | GS Mortgage-Backed | |||||||||
Trust | Securities Trust | |||||||||
Series 2007-4 1A1 6.00% | Series 2020-PJ1 A1 144A | |||||||||
5/25/37 ⯁ | 908,787 | 656,233 | 3.50% 5/25/50 #• | 689,268 | 699,948 | |||||
Connecticut Avenue Securities | GSR Mortgage Loan Trust | |||||||||
Series 2007-AR1 2A1 | ||||||||||
Trust | 3.747% 3/25/47 • | 568,469 | 457,773 | |||||||
Series 2018-R07 1M2 | ||||||||||
144A 2.585% (LIBOR01M | Holmes Master Issuer | |||||||||
+ 2.40%) 4/25/31 #• | 689,910 | 682,132 | Series 2018-2A A2 144A | |||||||
1.639% (LIBOR03M + | ||||||||||
Series 2019-R01 2M2 | 0.42%) 10/15/54 #• | 1,086,776 | 1,084,884 | |||||||
144A 2.635% (LIBOR01M | ||||||||||
+ 2.45%) 7/25/31 #• | 396,436 | 386,747 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 23
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal | Value | Principal | Value | |||||||
amount° | (US $) | amount° | (US $) | |||||||
Non-Agency Collateralized Mortgage Obligations | Non-Agency Collateralized Mortgage Obligations | |||||||||
(continued) | (continued) | |||||||||
JPMorgan Alternative Loan | Ludgate Funding | |||||||||
Trust | Series 2006-1X A2A | |||||||||
Series 2007-A2 11A1 | 0.427% (BP0003M + | |||||||||
0.365% (LIBOR01M + | 0.19%) 12/1/60 • | GBP | 1,351,698 | $ | 1,592,160 | |||||
0.18%, Cap 11.50%, Floor | Series 2008-W1X A1 | |||||||||
0.18%) 6/25/37 • | 4,056,799 | $ | 2,707,885 | 0.751% (BP0003M + | ||||||
JPMorgan Mortgage Trust | 0.60%) 1/1/61 • | GBP | 579,183 | 689,700 | ||||||
Series 2006-A6 2A4L | Mansard Mortgages | |||||||||
3.955% 10/25/36 • | 315,417 | 276,239 | Series 2007-1X A2 0.846% | |||||||
Series 2006-A7 2A2 | (BP0003M + 0.18%) | |||||||||
3.789% 1/25/37 • | 65,834 | 58,925 | 4/15/47 • | GBP | 640,804 | 753,085 | ||||
Series 2007-A1 6A1 | MASTR Alternative Loan Trust | |||||||||
3.79% 7/25/35 • | 95,680 | 92,439 | Series 2004-3 8A1 | |||||||
Series 2014-2 B1 144A | 7.00% 4/25/34 | 1,413 | 1,464 | |||||||
3.396% 6/25/29 #• | 48,769 | 48,728 | Series 2004-5 6A1 | |||||||
Series 2014-2 B2 144A | 7.00% 6/25/34 | 25,596 | 26,849 | |||||||
3.396% 6/25/29 #• | 48,769 | 48,703 | MASTR ARM Trust | |||||||
Series 2015-4 B1 144A | Series 2004-4 4A1 | |||||||||
3.617% 6/25/45 #• | 751,429 | 762,119 | 3.594% 5/25/34 • | 58,063 | 57,182 | |||||
Series 2015-4 B2 144A | Merrill Lynch Mortgage | |||||||||
3.617% 6/25/45 #• | 321,161 | 324,512 | Investors Trust | |||||||
Series 2015-5 B2 144A | Series 2004-A1 2A2 | |||||||||
2.755% 5/25/45 #• | 602,063 | 611,916 | 3.707% 2/25/34 • | 3,046 | 2,993 | |||||
Series 2015-6 B1 144A | New Residential Mortgage | |||||||||
3.591% 10/25/45 #• | 320,374 | 325,817 | Loan Trust | |||||||
Series 2015-6 B2 144A | Series 2018-RPL1 A1 144A | |||||||||
3.591% 10/25/45 #• | 311,715 | 315,261 | 3.50% 12/25/57 #• | 307,563 | 328,123 | |||||
Series 2016-4 B1 144A | Series 2019-RPL3 A1 144A | |||||||||
3.885% 10/25/46 #• | 226,373 | 235,540 | 2.75% 7/25/59 #• | 5,546,625 | 5,815,267 | |||||
Series 2016-4 B2 144A | Opteum Mortgage | |||||||||
3.885% 10/25/46 #• | 384,834 | 393,650 | Acceptance Trust | |||||||
Series 2017-1 B3 144A | Series 2006-1 2A1 | |||||||||
3.52% 1/25/47 #• | 924,603 | 918,783 | 5.75% 4/25/36 • | 16,667 | 16,627 | |||||
Series 2017-2 A3 144A | RALI Series Trust | |||||||||
3.50% 5/25/47 #• | 217,434 | 222,471 | Series 2007-QA5 2A1 | |||||||
Series 2018-4 A15 144A | 6.014% 9/25/37 • | 3,038,553 | 2,491,920 | |||||||
3.50% 10/25/48 #• | 284,521 | 286,500 | Series 2007-QH8 A | |||||||
Series 2019-LTV3 A3 144A | 2.624% 10/25/37 • | 1,855,511 | 1,622,056 | |||||||
3.50% 3/25/50 #• | 773,185 | 789,765 | Reperforming Loan REMIC | |||||||
Series 2020-1 A4 144A | Trust | |||||||||
3.50% 6/25/50 #• | 850,897 | 867,720 | Series 2006-R1 AF1 144A | |||||||
Series 2020-2 A3 144A | 0.525% (LIBOR01M + | |||||||||
3.50% 7/25/50 #• | 911,913 | 933,337 | 0.34%, Cap 9.50%, Floor | |||||||
Lanark Master Issuer | 0.34%) 1/25/36 #• | 888,763 | 839,589 | |||||||
Series 2019-1A 1A1 144A | RFMSI Trust | |||||||||
1.128% (LIBOR03M + | Series 2004-S9 2A1 | |||||||||
0.77%) 12/22/69 #• | 608,000 | 608,947 | 4.75% 12/25/19 | 28 | 28 | |||||
Lehman Mortgage Trust | ||||||||||
Series 2007-10 2A2 | ||||||||||
6.50% 1/25/38 | 1,438,354 | 811,156 |
24 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Principal | Value | Principal | Value | |||||||
amount° | (US $) | amount° | (US $) | |||||||
Non-Agency Collateralized Mortgage Obligations | Non-Agency Commercial Mortgage-Backed Securities - | |||||||||
(continued) | 4.58% | |||||||||
Sequoia Mortgage Trust | BANK | |||||||||
Series 2004-5 A3 0.985% | Series 2017-BNK5 A5 | |||||||||
(LIBOR06M + 0.56%, Cap | 3.39% 6/15/60 | 1,430,000 | $ | 1,589,039 | ||||||
11.50%, Floor 0.28%) | Series 2017-BNK5 B | |||||||||
6/20/34 • | 127,637 | $ | 118,392 | 3.896% 6/15/60 • | 605,000 | 612,039 | ||||
Series 2007-1 4A1 | Series 2017-BNK7 A5 | |||||||||
3.53% 9/20/46 • | 384,824 | 291,277 | 3.435% 9/15/60 | 1,110,000 | 1,240,595 | |||||
Series 2015-1 B2 144A | Series 2019-BN20 A3 | |||||||||
3.87% 1/25/45 #• | 316,235 | 320,147 | 3.011% 9/15/62 | 8,000,000 | 8,857,187 | |||||
Series 2017-4 A1 144A | Series 2019-BN21 A5 | |||||||||
3.50% 7/25/47 #• | 194,988 | 201,137 | 2.851% 10/17/52 | 2,100,000 | 2,297,412 | |||||
Series 2017-5 B2 144A | BBCMS Trust | |||||||||
3.839% 8/25/47 #• | 3,090,822 | 3,155,027 | Series 2015-STP A 144A | |||||||
Series 2018-5 A4 144A | 3.323% 9/10/28 # | 2,467,097 | 2,466,865 | |||||||
3.50% 5/25/48 #• | 248,337 | 251,787 | Benchmark Mortgage Trust | |||||||
Series 2019-CH1 A1 144A | Series 2018-B1 A5 | |||||||||
4.50% 3/25/49 #• | 398,222 | 412,538 | 3.666% 1/15/51 • | 2,310,000 | 2,616,137 | |||||
Structured ARM Loan Trust | Series 2018-B3 A5 | |||||||||
Series 2006-1 7A4 | 4.025% 4/10/51 | 550,000 | 638,352 | |||||||
3.796% 2/25/36 • | 240,812 | 220,380 | Series 2019-B9 A5 | |||||||
Structured Asset Mortgage | 4.016% 3/15/52 | 7,865,000 | 9,221,356 | |||||||
Investments II Trust | Series 2020-B17 A5 | |||||||||
Series 2005-AR5 A2 | 2.289% 3/15/53 | 2,000,000 | 2,095,119 | |||||||
0.444% (LIBOR01M + | Cantor Commercial Real | |||||||||
0.25%, Cap 11.00%, Floor | Estate Lending | |||||||||
0.25%) 7/19/35 • | 251,042 | 231,310 | Series 2019-CF1 A5 | |||||||
WaMu Mortgage Pass | 3.786% 5/15/52 | 2,340,000 | 2,688,331 | |||||||
Through Certificates Trust | Series 2019-CF2 A5 | |||||||||
Series 2005-AR16 1A3 | 2.874% 11/15/52 | 4,000,000 | 4,133,818 | |||||||
3.746% 12/25/35 ⯁ • | 295,492 | 282,706 | Series 2019-CF3 A4 | |||||||
Series 2007-HY1 3A3 | 3.006% 1/15/53 | 800,000 | 873,777 | |||||||
3.649% 2/25/37 ⯁ • | 185,519 | 163,744 | CD Mortgage Trust | |||||||
Series 2007-HY7 4A1 | ||||||||||
3.715% 7/25/37 ⯁ • | 379,789 | 329,408 | Series 2017-CD6 B 3.911% 11/13/50 • |
440,000 | 459,485 | |||||
Washington Mutual Mortgage | Series 2019-CD8 A4 | |||||||||
Pass Through Certificates | 2.912% 8/15/57 | 8,775,000 | 9,570,810 | |||||||
Trust | CFCRE Commercial Mortgage | |||||||||
Series 2005-1 5A2 6.00% | ||||||||||
3/25/35 | 1,816 | 101 | Trust | |||||||
Series 2016-C7 A3 | ||||||||||
Wells Fargo Mortgage-Backed | 3.839% 12/10/54 | 3,100,000 | 3,459,889 | |||||||
Securities Trust | Citigroup Commercial | |||||||||
Series 2006-AR5 2A1 | ||||||||||
3.995% 4/25/36 • | 20,390 | 18,933 | Mortgage Trust | |||||||
Series 2014-GC25 A4 | ||||||||||
Series 2006-AR11 A6 | ||||||||||
4.12% 8/25/36 • | 205,833 | 194,497 | 3.635% 10/10/47 | 785,000 | 848,619 | |||||
Series 2015-GC27 A5 | ||||||||||
Series 2020-1 A1 144A | 3.137% 2/10/48 | 1,400,000 | 1,486,572 | |||||||
3.00% 12/25/49 #• | 588,955 | 609,196 | Series 2016-P3 A4 | |||||||
Total Non-Agency | 3.329% 4/15/49 | 1,305,000 | 1,417,850 | |||||||
Collateralized Mortgage | Series 2017-C4 A4 | |||||||||
Obligations (cost $50,573,156) | 48,614,068 | 3.471% 10/12/50 | 635,000 | 706,286 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 25
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal | Value | Principal | Value | |||||
amount° | (US $) | amount° | (US $) | |||||
Non-Agency Commercial Mortgage-Backed Securities | Non-Agency Commercial Mortgage-Backed Securities | |||||||
(continued) | (continued) | |||||||
Citigroup Commercial | JPM-DB Commercial | |||||||
Mortgage Trust | Mortgage Securities Trust | |||||||
Series 2018-C5 A4 | Series 2016-C2 A4 | |||||||
4.228% 6/10/51 • | 1,700,000 | $ | 1,984,695 | 3.144% 6/15/49 | 1,640,000 | $ | 1,771,028 | |
Series 2019-C7 A4 | Series 2016-C4 A3 | |||||||
3.102% 12/15/72 | 1,450,000 | 1,615,516 | 3.141% 12/15/49 | 1,065,000 | 1,158,993 | |||
COMM Mortgage Trust | Series 2017-C7 A5 | |||||||
Series 2013-WWP A2 | 3.409% 10/15/50 | 2,395,000 | 2,663,799 | |||||
144A 3.424% 3/10/31 # | 1,100,000 | 1,168,800 | JPMorgan Chase Commercial | |||||
Series 2014-CR20 AM | Mortgage Securities Trust | |||||||
3.938% 11/10/47 | 2,225,000 | 2,350,628 | Series 2013-LC11 B | |||||
Series 2015-3BP A 144A | 3.499% 4/15/46 | 355,000 | 341,658 | |||||
3.178% 2/10/35 # | 605,000 | 640,131 | Series 2016-JP2 AS | |||||
Series 2015-CR23 A4 | 3.056% 8/15/49 | 1,250,000 | 1,278,060 | |||||
3.497% 5/10/48 | 780,000 | 847,430 | Series 2016-WIKI A 144A | |||||
Series 2016-CR28 A4 | 2.798% 10/5/31 # | 705,000 | 700,646 | |||||
3.762% 2/10/49 | 2,330,000 | 2,594,607 | Series 2016-WIKI B 144A | |||||
DB-JPM Mortgage Trust | 3.201% 10/5/31 # | 690,000 | 680,082 | |||||
Series 2016-C1 A4 | LB-UBS Commercial | |||||||
3.276% 5/10/49 | 900,000 | 977,793 | Mortgage Trust | |||||
Series 2016-C3 A5 | Series 2006-C6 AJ | |||||||
2.89% 8/10/49 | 945,000 | 1,012,634 | 5.452% 9/15/39 • | 434,548 | 251,409 | |||
DB-UBS Mortgage Trust | Morgan Stanley Bank of | |||||||
Series 2011-LC1A C 144A | America Merrill Lynch Trust | |||||||
5.876% 11/10/46 #• | 600,000 | 603,552 | Series 2015-C26 A5 | |||||
GS Mortgage Securities Trust | 3.531% 10/15/48 | 960,000 | 1,049,095 | |||||
Series 2010-C1 C 144A | Series 2015-C27 ASB | |||||||
5.635% 8/10/43 #• | 375,000 | 372,385 | 3.557% 12/15/47 | 2,200,000 | 2,323,010 | |||
Series 2015-GC32 A4 | Series 2016-C29 A4 | |||||||
3.764% 7/10/48 | 1,000,000 | 1,101,384 | 3.325% 5/15/49 | 1,445,000 | 1,574,111 | |||
Series 2016-RENT A 144A | Morgan Stanley Capital I Trust | |||||||
3.203% 2/10/29 # | 2,300,000 | 2,292,520 | Series 2014-CPT AM 144A | |||||
Series 2017-GS5 A4 | 3.516% 7/13/29 #• | 2,200,000 | 2,243,694 | |||||
3.674% 3/10/50 | 1,280,000 | 1,422,998 | Series 2019-L3 A4 | |||||
Series 2017-GS6 A3 | 3.127% 11/15/52 | 1,000,000 | 1,114,898 | |||||
3.433% 5/10/50 | 1,935,000 | 2,152,171 | UBS Commercial Mortgage | |||||
Series 2018-GS9 A4 | Trust | |||||||
3.992% 3/10/51 • | 570,000 | 650,610 | Series 2018-C9 A4 | |||||
Series 2019-GC39 A4 | 4.117% 3/15/51 • | 970,000 | 1,104,982 | |||||
3.567% 5/10/52 | 1,250,000 | 1,422,559 | UBS-Barclays Commercial | |||||
Series 2019-GC42 A4 | Mortgage Trust | |||||||
3.001% 9/1/52 | 5,000,000 | 5,506,771 | Series 2013-C5 B 144A | |||||
Series 2020-GC47 A5 | 3.649% 3/10/46 #• | 480,000 | 476,157 | |||||
2.377% 5/12/53 | 685,000 | 721,826 | Wells Fargo Commercial | |||||
JPM-BB Commercial | Mortgage Trust | |||||||
Mortgage Securities Trust | Series 2014-LC18 A5 | |||||||
Series 2015-C31 A3 | 3.405% 12/15/47 | 275,000 | 286,879 | |||||
3.801% 8/15/48 | 8,967,272 | 9,890,198 | Series 2015-NXS3 A4 | |||||
Series 2015-C33 A4 | 3.617% 9/15/57 | 510,000 | 557,327 | |||||
3.77% 12/15/48 | 570,000 | 631,190 | Series 2016-BNK1 A3 | |||||
2.652% 8/15/49 | 1,220,000 | 1,278,856 |
26 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Principal | Value | Principal | Value | |||||||
amount° | (US $) | amount° | (US $) | |||||||
Non-Agency Commercial Mortgage-Backed Securities | Loan Agreements (continued) | |||||||||
(continued) | Blue Ribbon 1st Lien 5.00% | |||||||||
Wells Fargo Commercial | (LIBOR01M + 4.00%) | |||||||||
Mortgage Trust | 11/15/21 • | 245,723 | $ | 211,321 | ||||||
Series 2017-C38 A5 | Boxer Parent 4.428% | |||||||||
3.453% 7/15/50 | 905,000 | $ | 1,010,671 | (LIBOR01M + 4.25%) | ||||||
Total Non-Agency Commercial | 10/2/25 • | 383,730 | 364,270 | |||||||
Mortgage-Backed Securities | Buckeye Partners 2.923% | |||||||||
(cost $112,830,848) | 119,105,291 | (LIBOR01M + 2.75%) | ||||||||
11/1/26 • | 529,047 | 510,134 | ||||||||
Regional Bond - 0.08%D | BWay Holding 4.561% | |||||||||
(LIBOR03M + 3.25%) | ||||||||||
Spain - 0.08% | 4/3/24 • | 155,990 | 140,859 | |||||||
Autonomous Community of | Caesars Resort Collection | |||||||||
Catalonia 4.90% 9/15/21 EUR | 1,800,000 | 2,135,549 | Tranche B-1 TBD 7/21/25 | |||||||
Total Regional Bond | X | 595,000 | 561,106 | |||||||
(cost $2,019,595) | 2,135,549 | Calpine | ||||||||
2.43% (LIBOR01M + | ||||||||||
Loan Agreements - 2.04% | 2.25%) 1/15/24 • | 393,413 | 380,546 | |||||||
Acrisure Tranche B 3.678% | 2.43% (LIBOR01M + | |||||||||
(LIBOR01M + 3.50%) | 2.25%) 4/5/26 • | 247,500 | 239,324 | |||||||
2/15/27 • | 625,906 | 593,046 | Carnival TBD 6/30/25 X | 500,000 | 485,000 | |||||
American Airlines Tranche B | Change Healthcare Holdings | |||||||||
2.185% (LIBOR01M + | 3.50% (LIBOR03M + | |||||||||
2.00%) 12/14/23 • | 647,225 | 527,951 | 2.50%) 3/1/24 • | 196,572 | 189,282 | |||||
Applied Systems 1st Lien TBD | Charter Communications | |||||||||
9/19/24 X | 854,000 | 835,852 | Operating Tranche B2 | |||||||
Applied Systems 2nd Lien | 1.93% (LIBOR01M + | |||||||||
8.00% (LIBOR03M + | 1.75%) 2/1/27 • | 487,308 | 469,711 | |||||||
7.00%) 9/19/25 • | 1,708,922 | 1,713,194 | Chemours Tranche B-2 1.93% | |||||||
Aramark Services Tranche B-3 | (LIBOR01M + 1.75%) | |||||||||
1.928% (LIBOR03M + | 4/3/25 • | 896,598 | 852,515 | |||||||
1.75%) 3/11/25 • | 359,075 | 340,583 | CityCenter Holdings 3.00% | |||||||
AssuredPartners 3.678% | (LIBOR01M + 2.25%) | |||||||||
(LIBOR01M + 3.50%) | 4/18/24 • | 910,023 | 829,638 | |||||||
2/12/27 • | 952,650 | 913,354 | Connect US Finco 5.50% | |||||||
AthenaHealth Tranche B 1st | (LIBOR03M + 4.50%) | |||||||||
Lien 4.818% (LIBOR03M + | 12/12/26 • | 647,377 | 611,448 | |||||||
4.50%) 2/11/26 • | 399,937 | 387,606 | Core & Main 3.75% | |||||||
Ball Metalpack Finco 2nd Lien | (LIBOR03M + 2.75%) | |||||||||
9.75% (LIBOR03M + | 8/1/24 • | 542,481 | 518,748 | |||||||
8.75%) 7/24/26 • | 79,000 | 63,595 | CPI Holdco 1st Lien 4.428% | |||||||
Bausch Health 3.19% | (LIBOR01M + 4.25%) | |||||||||
(LIBOR01M + 3.00%) | 11/4/26 • | 150,622 | 145,727 | |||||||
6/2/25 • | 284,457 | 276,590 | CSC Holdings | |||||||
Berry Global Tranche W | 2.435% (LIBOR01M + | |||||||||
2.177% (LIBOR01M + | 2.25%) 7/17/25 • | 315,250 | 299,803 | |||||||
2.00%) 10/1/22 • | 1,075,000 | 1,050,141 | 2.685% (LIBOR01M + | |||||||
Berry Global Tranche Y | 2.50%) 4/15/27 • | 290,584 | 277,072 | |||||||
2.177% (LIBOR01M + | DaVita Tranche B-1 1.928% | |||||||||
2.00%) 7/1/26 • | 694,980 | 667,429 | (LIBOR01M + 1.75%) | |||||||
8/12/26 • | 802,943 | 780,460 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 27
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal | Value | Principal | Value | |||||||
amount° | (US $) | amount° | (US $) | |||||||
Loan Agreements (continued) | Loan Agreements (continued) | |||||||||
Edgewater Generation | Invictus US 1st Lien 4.779% | |||||||||
3.928% (LIBOR01M + | (LIBOR03M + 3.00%) | |||||||||
3.75%) 12/15/25 • | 106,533 | $ | 102,005 | 3/28/25 • | 218,961 | $ | 204,181 | |||
Ensemble RCM 4.437% | IQVIA Tranche B-3 2.058% | |||||||||
(LIBOR03M + 3.75%) | (LIBOR03M + 1.75%) | |||||||||
8/1/26 • | 365,240 | 356,566 | 6/11/25 • | 543,900 | 528,263 | |||||
ESH Hospitality 2.178% | Iron Mountain Information | |||||||||
(LIBOR01M + 2.00%) | Management Tranche B | |||||||||
9/18/26 • | 463,097 | 441,678 | 1.928% (LIBOR01M + | |||||||
ExamWorks Group Tranche | 1.75%) 1/2/26 • | 622,162 | 598,345 | |||||||
B-1 4.322% (LIBOR03M + | JBS USA LUX 3.072% | |||||||||
3.25%) 7/27/23 • | 723,778 | 709,755 | (LIBOR06M + 2.00%) | |||||||
Frontier Communications | 5/1/26 • | 162,938 | 156,216 | |||||||
Tranche B-1 5.352% | Kronos 3.179% (LIBOR01M + | |||||||||
(LIBOR03M + 3.75%) | 3.00%) 11/1/23 • | 1,235,293 | 1,234,134 | |||||||
6/17/24 • | 715,162 | 700,143 | Merrill Communications | |||||||
Garda World Security Tranche | Tranche B 1st Lien 6.195% | |||||||||
B 1st Lien 4.93% | (LIBOR06M + 5.00%) | |||||||||
(LIBOR01M + 4.75%) | 10/5/26 • | 210,940 | 207,776 | |||||||
10/30/26 • | 191,971 | 189,092 | Microchip Technology 2.18% | |||||||
Gardner Denver Tranche B-1 | (LIBOR01M + 2.00%) | |||||||||
1.928% (LIBOR01M + | 5/29/25 • | 506,310 | 491,542 | |||||||
1.75%) 3/1/27 • | 677,618 | 645,431 | Mileage Plus Holdings TBD | |||||||
Granite US Holdings Tranche | 0.00% 6/25/27 X | 1,000,000 | 994,554 | |||||||
B 6.322% (LIBOR06M + | NFP 3.428% (LIBOR01M + | |||||||||
5.25%) 9/30/26 • | 137,505 | 121,004 | 3.25%) 2/15/27 • | 220,964 | 206,601 | |||||
Gray Television Tranche B-2 | Numericable US Tranche B-11 | |||||||||
2.423% (LIBOR01M + | TBD 7/31/25 X | 350,943 | 333,396 | |||||||
2.25%) 2/7/24 • | 1,018,322 | 985,651 | Numericable US Tranche B-13 | |||||||
GVC Holdings Tranche B3 | 4.185% (LIBOR01M + | |||||||||
3.308% (LIBOR06M + | 4.00%) 8/14/26 • | 132,975 | 128,387 | |||||||
2.25%) 3/29/24 • | 521,008 | 502,772 | ON Semiconductor Tranche | |||||||
Hamilton Projects Acquiror | B-4 TBD 9/16/26 X | 1,284,477 | 1,235,773 | |||||||
5.75% (LIBOR03M + | Penn National Gaming | |||||||||
4.75%) 6/17/27 • | 935,000 | 914,741 | Tranche B-1 3.00% | |||||||
HCA Tranche B-12 1.928% | (LIBOR03M + 2.25%) | |||||||||
(LIBOR01M + 1.75%) | 10/15/25 • | 985,000 | 919,990 | |||||||
3/13/25 • | 1,295,337 | 1,272,668 | PQ Tranche B 2.428% | |||||||
Hilton Worldwide Finance | (LIBOR01M + 2.25%) | |||||||||
Tranche B-2 1.935% | 2/8/27 • | 792,535 | 773,925 | |||||||
(LIBOR01M + 1.75%) | PQ Tranche B TBD 2/7/27 X | 750,000 | 735,938 | |||||||
6/22/26 • | 1,172,387 | 1,099,113 | Prestige Brands Tranche B-4 | |||||||
HUB International 4.02% | 2.178% (LIBOR01M + | |||||||||
(LIBOR02M + 3.00%) | 2.00%) 1/26/24 • | 347,887 | 343,104 | |||||||
4/25/25 • | 735,000 | 702,844 | Prime Security Services | |||||||
Ineos US Finance 2.178% | Borrower Tranche B-1 | |||||||||
(LIBOR01M + 2.00%) | 4.25% (LIBOR01M + | |||||||||
4/1/24 • | 253,191 | 240,057 | 3.25%) 9/23/26 • | 454,809 | 438,322 | |||||
Informatica 3.428% | Radiate Holdco 3.75% | |||||||||
(LIBOR01M + 3.25%) | (LIBOR01M + 3.00%) | |||||||||
2/25/27 • | 1,314,014 | 1,319,763 | 2/1/24 • | 180,432 | 172,939 |
28 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Principal | Value | Principal | Value | |||||||
amount° | (US $) | amount° | (US $) | |||||||
Loan Agreements (continued) | Loan Agreements (continued) | |||||||||
Russell Investments US | United Rentals (North | |||||||||
Institutional Holdco | America) 1.928% | |||||||||
3.822% (LIBOR03M + | (LIBOR01M + 1.75%) | |||||||||
2.75%) 6/1/23 • | 425,673 | $ | 414,854 | 10/31/25 • | 49,125 | $ | 47,805 | |||
Scientific Games International | US Foods Tranche B 3.072% | |||||||||
Tranche B-5 3.476% | (LIBOR01M + 2.00%) | |||||||||
(LIBOR01M + 2.75%) | 9/13/26 • | 809,384 | 763,856 | |||||||
8/14/24 • | 1,803,776 | 1,599,048 | USI 4.308% (LIBOR03M + | |||||||
Sinclair Television Group | 4.00%) 12/2/26 • | 166,861 | 162,169 | |||||||
Tranche B 2.43% | USI Tranche B 3.308% | |||||||||
(LIBOR01M + 2.25%) | (LIBOR03M + 3.00%) | |||||||||
1/3/24 • | 1,544,000 | 1,479,666 | 5/16/24 • | 1,418,188 | 1,350,115 | |||||
Solenis International 1st Lien | USIC Holdings Tranche B | |||||||||
4.363% (LIBOR03M + | 4.25% (LIBOR01M + | |||||||||
4.00%) 6/26/25 • | 587,005 | 564,014 | 3.25%) 12/8/23 • | 477,448 | 456,559 | |||||
SS&C Technologies Tranche | Vertical Midco Tranche B TBD | |||||||||
B-3 1.928% (LIBOR01M + | 6/30/27 X | 1,185,000 | 1,161,300 | |||||||
1.75%) 4/16/25 • | 257,437 | 246,633 | Vistra Operations 1.931% | |||||||
SS&C Technologies Tranche | (LIBOR01M + 1.75%) | |||||||||
B-4 1.928% (LIBOR01M + | 12/31/25 • | 523,012 | 470,710 | |||||||
1.75%) 4/16/25 • | 180,867 | 173,277 | Zekelman Industries 2.43% | |||||||
Stars Group Holdings 3.808% | (LIBOR01M + 2.25%) | |||||||||
(LIBOR03M + 3.50%) | 1/24/27 • | 279,300 | 268,826 | |||||||
7/10/25 • | 156,972 | 156,424 | Zelis Cost Management Buyer | |||||||
Surf Holdings 1st Lien | 4.928% (LIBOR01M + | |||||||||
3.827% (LIBOR03M + | 4.75%) 9/30/26 • | 225,666 | 221,858 | |||||||
3.50%) 3/5/27 • | 320,000 | 308,067 | Total Loan Agreements | |||||||
Tecta America TBD 11/20/25 | (cost $54,540,422) | 53,106,677 | ||||||||
X | 204,071 | 189,786 | ||||||||
Telenet Financing Tranche AR | Sovereign Bonds - 1.97%D | |||||||||
2.185% (LIBOR01M + | ||||||||||
2.00%) 4/30/28 • | 545,000 | 515,512 | Albania - 0.01% | |||||||
Terrier Media Buyer 4.428% | Albania Government | |||||||||
(LIBOR01M + 4.25%) | International Bond | |||||||||
12/17/26 • | 520,385 | 498,269 | 144A 3.50% 6/16/27 # EUR | 150,000 | 167,965 | |||||
Titan Acquisition 4.45% | 167,965 | |||||||||
(LIBOR06M + 3.00%) | ||||||||||
3/28/25 • | 56,971 | 52,214 | Angola - 0.01% | |||||||
T-Mobile USA 3.178% | Angolan Government | |||||||||
(LIBOR01M + 3.00%) | International Bond | |||||||||
4/1/27 • | 610,000 | 610,000 | 8.25% 5/9/28 | 200,000 | 165,559 | |||||
Transdigm Tranche F 2.428% | 165,559 | |||||||||
(LIBOR01M + 2.25%) | Argentina - 0.03% | |||||||||
12/9/25 • | 596,195 | 541,171 | Argentine Republic | |||||||
Trident TPI Holdings Tranche | Government International | |||||||||
B-1 4.072% (LIBOR03M + | Bonds | |||||||||
3.00%) 10/17/24 • | 268,673 | 257,674 | 5.625% 1/26/22 | 1,412,000 | 590,237 | |||||
Ultimate Software Group 1st | 6.875% 1/11/48 | 214,000 | 84,155 | |||||||
Lien 3.928% (LIBOR01M + | ||||||||||
3.75%) 5/4/26 • | 1,971,507 | 1,912,715 | 674,392 | |||||||
Ultimate Software Group TBD | ||||||||||
5/4/26 X | 3,475,000 | 3,441,181 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 29
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal | Value | Principal | Value | ||||||
amount° | (US $) | amount° | (US $) | ||||||
Sovereign BondsD (continued) | Sovereign BondsD (continued) | ||||||||
Azerbaijan - 0.02% | Egypt - 0.13% | ||||||||
Republic of Azerbaijan | Egypt Government | ||||||||
International Bond | International Bonds | ||||||||
144A 4.75% 3/18/24 # | 547,000 | $ | 584,103 | 144A 5.577% 2/21/23 # | 2,620,000 | $ | 2,685,500 | ||
584,103 | 144A 5.75% 5/29/24 # | 275,000 | 276,222 | ||||||
144A 8.70% 3/1/49 # | 359,000 | 353,405 | |||||||
Bahrain - 0.01% | |||||||||
Bahrain Government | 3,315,127 | ||||||||
International Bond | El Salvador - 0.01% | ||||||||
144A 7.375% 5/14/30 # | 300,000 | 342,510 | El Salvador Government | ||||||
342,510 | International Bond | ||||||||
144A 7.125% 1/20/50 # | 275,000 | 225,087 | |||||||
Brazil - 0.02% | |||||||||
Brazilian Government | 225,087 | ||||||||
International Bonds | Gabon - 0.01% | ||||||||
3.875% 6/12/30 | 223,000 | 215,429 | Gabon Government | ||||||
4.75% 1/14/50 | 233,000 | 219,515 | International Bond | ||||||
434,944 | 144A 6.625% 2/6/31 # | 200,000 | 179,193 | ||||||
Chile - 0.02% | 179,193 | ||||||||
Chile Government | Ghana - 0.01% | ||||||||
International Bonds | Ghana Government | ||||||||
2.55% 1/27/32 | 258,000 | 268,724 | International Bond | ||||||
3.50% 1/25/50 | 200,000 | 225,302 | 144A 7.875% 3/26/27 # | 309,000 | 307,159 | ||||
494,026 | 307,159 | ||||||||
Colombia - 0.03% | Guatemala - 0.02% | ||||||||
Colombia Government | Guatemala Government Bond | ||||||||
International Bonds | 144A 4.875% 2/13/28 # | 400,000 | 428,000 | ||||||
3.00% 1/30/30 | 272,000 | 269,110 | 428,000 | ||||||
4.00% 2/26/24 | 202,000 | 212,164 | |||||||
5.00% 6/15/45 | 200,000 | 225,359 | Honduras - 0.01% | ||||||
Honduras Government | |||||||||
706,633 | International Bond | ||||||||
Cyprus - 0.06% | 144A 5.625% 6/24/30 # | 300,000 | 305,850 | ||||||
Cyprus Government | 305,850 | ||||||||
International Bond | |||||||||
3.875% 5/6/22 | EUR | 1,200,000 | 1,444,379 | Indonesia - 0.01% | |||||
Indonesia Government | |||||||||
1,444,379 | International Bond | ||||||||
Dominican Republic - 0.03% | 144A 4.625% 4/15/43 # | 200,000 | 230,054 | ||||||
Dominican Republic | 230,054 | ||||||||
International Bonds | Israel - 0.05% | ||||||||
144A 4.50% 1/30/30 # | 367,000 | 333,786 | Israel Government | ||||||
144A 6.00% 7/19/28 # | 435,000 | 439,159 | International Bond | ||||||
772,945 | 2.75% 7/3/30 | 1,200,000 | 1,326,288 | ||||||
Ecuador - 0.01% | 1,326,288 | ||||||||
Ecuador Government | |||||||||
International Bond | |||||||||
144A 10.65% 1/31/29 # | 663,000 | 275,311 | |||||||
275,311 |
30 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Principal | Value | Principal | Value | |||||
amount° | (US $) | amount° | (US $) | |||||
Sovereign BondsD (continued) | Sovereign BondsD (continued) | |||||||
Ivory Coast - 0.01% | Nigeria - 0.02% | |||||||
Ivory Coast Government | Nigeria Government | |||||||
International Bond | International Bond | |||||||
144A 6.125% 6/15/33 # | 366,000 | $ | 366,168 | 144A 7.875% 2/16/32 # | 537,000 | $ | 508,147 | |
366,168 | 508,147 | |||||||
Jordan - 0.01% | North Macedonia - 0.01% | |||||||
Jordan Government | North Macedonia | |||||||
International Bond | Government International | |||||||
144A 4.95% 7/7/25 # | 200,000 | 200,000 | Bond | |||||
144A 3.675% 6/3/26 # EUR | 150,000 | 171,643 | ||||||
200,000 | ||||||||
Kazakhstan - 0.01% | 171,643 | |||||||
Kazakhstan Government | Oman - 0.01% | |||||||
International Bond | Oman Government | |||||||
144A 6.50% 7/21/45 # | 207,000 | 307,340 | International Bond | |||||
144A 6.75% 1/17/48 # | 343,000 | 298,153 | ||||||
307,340 | ||||||||
Kenya - 0.04% | 298,153 | |||||||
Kenya Government | Panama - 0.04% | |||||||
International Bonds | Panama Government | |||||||
144A 6.875% 6/24/24 # | 248,000 | 252,631 | International Bonds | |||||
144A 8.00% 5/22/32 # | 835,000 | 826,917 | 3.16% 1/23/30 | 452,000 | 487,425 | |||
144A 3.75% 4/17/26 # | 580,000 | 607,820 | ||||||
1,079,548 | ||||||||
Kuwait - 0.13% | 1,095,245 | |||||||
Kuwait International | Paraguay - 0.17% | |||||||
Government Bond | Paraguay Government | |||||||
2.75% 3/20/22 | 3,400,000 | 3,512,404 | International Bonds | |||||
3,512,404 | 144A 4.95% 4/28/31 # | 3,600,000 | 4,027,500 | |||||
144A 5.40% 3/30/50 # | 403,000 | 468,203 | ||||||
Lebanon - 0.00% | ||||||||
Lebanon Government | 4,495,703 | |||||||
International Bond | Peru - 0.02% | |||||||
6.25% 5/27/22 ‡ | 582,000 | 111,599 | Peruvian Government | |||||
111,599 | International Bonds | |||||||
2.844% 6/20/30 | 512,000 | 550,943 | ||||||
Mexico - 0.03% | 5.625% 11/18/50 | 35,000 | 55,363 | |||||
Mexico Government | ||||||||
International Bonds | 606,306 | |||||||
3.25% 4/16/30 | 200,000 | 198,390 | Philippines - 0.01% | |||||
4.60% 2/10/48 | 458,000 | 477,142 | Philippine Government | |||||
675,532 | International Bond | |||||||
2.457% 5/5/30 | 300,000 | 315,273 | ||||||
Mongolia - 0.01% | ||||||||
Mongolia Government | 315,273 | |||||||
International Bond | Qatar - 0.18% | |||||||
144A 5.625% 5/1/23 # | 306,000 | 307,148 | Qatar Government | |||||
307,148 | International Bonds | |||||||
144A 3.40% 4/16/25 # | 650,000 | 708,503 | ||||||
144A 4.00% 3/14/29 # | 725,000 | 835,663 | ||||||
144A 4.40% 4/16/50 # | 200,000 | 248,036 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 31
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal | Value | Principal | Value | ||||||
amount° | (US $) | amount° | (US $) | ||||||
Sovereign BondsD (continued) | Sovereign BondsD (continued) | ||||||||
Qatar (continued) | South Africa - 0.13% | ||||||||
Qatar Government | Republic of South Africa | ||||||||
International Bonds | Government International | ||||||||
5.103% 4/23/48 | 2,200,000 | $ | 2,998,230 | Bonds | |||||
4.85% 9/30/29 | 3,000,000 | $ | 2,851,110 | ||||||
4,790,432 | 5.75% 9/30/49 | 200,000 | 174,462 | ||||||
Republic of Vietnam - 0.01% | 5.875% 6/22/30 | 268,000 | 273,311 | ||||||
Vietnam Government | |||||||||
International Bond | 3,298,883 | ||||||||
144A 4.80% 11/19/24 # | 200,000 | 219,497 | Sri Lanka - 0.02% | ||||||
219,497 | Sri Lanka Government | ||||||||
International Bonds | |||||||||
Romania - 0.01% | 144A 5.875% 7/25/22 # | 206,000 | 160,680 | ||||||
Romanian Government | 144A 6.20% 5/11/27 # | 453,000 | 297,872 | ||||||
International Bond | |||||||||
144A 3.375% 1/28/50 # EUR | 223,000 | 243,909 | 458,552 | ||||||
243,909 | Trinidad & Tobago - 0.01% | ||||||||
Trinidad & Tobago | |||||||||
Russia - 0.05% | Government International | ||||||||
Russian Foreign Bond - | Bond | ||||||||
Eurobonds | 144A 4.50% 6/26/30 # | 200,000 | 197,000 | ||||||
144A 4.25% 6/23/27 # | 800,000 | 896,000 | |||||||
144A 4.375% 3/21/29 # | 200,000 | 227,750 | 197,000 | ||||||
144A 5.25% 6/23/47 # | 200,000 | 264,500 | Turkey - 0.03% | ||||||
1,388,250 | Turkey Government | ||||||||
International Bonds | |||||||||
Saudi Arabia - 0.37% | 5.75% 5/11/47 | 200,000 | 163,915 | ||||||
Saudi Government | 7.625% 4/26/29 | 500,000 | 527,664 | ||||||
International Bonds | |||||||||
2.375% 10/26/21 | 200,000 | 203,268 | 691,579 | ||||||
144A 2.875% 3/4/23 # | 2,200,000 | 2,299,035 | Ukraine - 0.06% | ||||||
144A 2.90% 10/22/25 # | 200,000 | 212,590 | Ukraine Government | ||||||
144A 3.625% 3/4/28 # | 741,000 | 816,071 | International Bonds | ||||||
144A 4.50% 10/26/46 # | 800,000 | 922,392 | 144A 7.75% 9/1/26 # | 960,000 | 1,003,396 | ||||
4.50% 10/26/46 | 800,000 | 922,392 | 144A 9.75% 11/1/28 # | 515,000 | 588,428 | ||||
144A 5.00% 4/17/49 # | 3,500,000 | 4,340,826 | 1,591,824 | ||||||
9,716,574 | United Kingdom - 0.00% | ||||||||
Senegal - 0.01% | United Kingdom Gilt | ||||||||
Senegal Government | 1.75% 9/7/22 | GBP | 100,000 | 128,908 | |||||
International Bond | 128,908 | ||||||||
144A 6.75% 3/13/48 # | 210,000 | 203,569 | |||||||
Uruguay - 0.05% | |||||||||
203,569 | Uruguay Government | ||||||||
Serbia - 0.00% | International Bonds | ||||||||
Serbia International Bond | 4.375% 1/23/31 | 1,131,000 | 1,325,051 | ||||||
144A 3.125% 5/15/27 # EUR | 100,000 | 117,833 | 4.50% 8/14/24 | 57,000 | 62,552 | ||||
117,833 | 1,387,603 |
32 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Principal | Value | Principal | Value | |||||
amount° | (US $) | amount° | (US $) | |||||
Sovereign BondsD (continued) | US Treasury Obligations (continued) | |||||||
Uzbekistan - 0.02% | US Treasury Notes | |||||||
Republic of Uzbekistan Bond | 1.25% 8/31/24 | 25,600,000 | $ | 26,678,999 | ||||
144A 5.375% 2/20/29 # | 448,000 | $ | 490,654 | 1.50% 1/31/27 | 1,700,000 | 1,815,182 | ||
490,654 | 1.50% 2/15/30 | 38,000,000 | 41,081,564 | |||||
1.625% 9/30/26 | 8,300,000 | 8,915,043 | ||||||
Total Sovereign Bonds (cost $49,259,960) | 51,354,801 | 1.625% 10/31/26 | 12,900,000 | 13,860,445 | ||||
1.875% 7/31/22 | 39,700,000 | 41,117,413 | ||||||
Supranational Banks - 0.03% | 1.875% 8/31/24 ∞ | 2,170,000 | 2,318,213 | |||||
Banque Ouest Africaine de | 2.00% 10/31/21 ∞ | 1,600,000 | 1,639,219 | |||||
Developpement | 2.00% 11/30/22 ∞ | 7,700,000 | 8,040,184 | |||||
144A 4.70% 10/22/31 # | 301,000 | 304,401 | 2.00% 6/30/24 | 7,700,000 | 8,245,166 | |||
144A 5.00% 7/27/27 # | 406,000 | 424,615 | 2.125% 3/31/24 | 2,010,000 | 2,153,919 | |||
Total Supranational Banks (cost $699,180) | 729,016 | 2.125% 11/30/24 | 11,130,000 | 12,048,660 | ||||
2.25% 11/15/24 | 11,030,000 | 11,993,832 | ||||||
US Treasury Obligations - 26.03% | 2.25% 3/31/26 | 24,500,000 | 27,118,438 | |||||
US Treasury Bonds | 2.375% 2/29/24 | 4,000,000 | 4,317,266 | |||||
1.25% 5/15/50 | 1,800,000 | 1,728,563 | 2.375% 8/15/24 | 1,820,000 | 1,980,530 | |||
2.00% 2/15/50 | 16,000,000 | 18,319,374 | 2.375% 4/30/26 | 10,900,000 | 12,154,777 | |||
2.50% 2/15/45 | 37,100,000 | 45,771,402 | 2.50% 1/31/24 | 2,790,000 | 3,018,758 | |||
2.75% 8/15/42 | 900,000 | 1,154,285 | 2.50% 2/28/26 | 3,700,000 | 4,143,422 | |||
2.75% 11/15/42 | 1,400,000 | 1,793,859 | 2.625% 3/31/25 | 12,700,000 | 14,108,659 | |||
2.75% 7/31/23 | 46,200,000 | 49,849,980 | ||||||
2.875% 5/15/43 | 2,200,000 | 2,875,082 | 2.875% 11/30/23 ∞ | 2,500,000 | 2,727,783 | |||
2.875% 8/15/45 | 16,700,000 | 22,012,035 | ||||||
3.00% 5/15/47 | 900,000 | 1,226,496 | 2.875% 7/31/25 | 15,500,000 | 17,509,550 | |||
3.00% 8/15/48 | 3,770,000 | 5,183,308 | 2.875% 11/30/25 | 8,100,000 | 9,203,308 | |||
3.125% 5/15/48 | 1,490,000 | 2,087,717 | US Treasury Strip Principal | |||||
4.375% 5/15/40 | 100,000 | 158,070 | 2.26% 5/15/44 ^ | 19,205,000 | 13,592,483 | |||
4.50% 2/15/36 | 16,655,000 | 25,499,391 | Total US Treasury Obligations | |||||
US Treasury Inflation | (cost $634,141,177) | 676,953,764 | ||||||
Indexed Notes | ||||||||
0.125% 4/15/22 | 3,373,600 | 3,426,406 | Number of | |||||
0.125% 10/15/24 | 5,751,029 | 6,031,013 | shares | |||||
0.125% 7/15/26 | 21,392 | 22,748 | Common Stock - 0.00% | |||||
0.125% 1/15/30 | 58,914,263 | 63,727,664 | Adelphia Recovery Trust =† | 1 | — | |||
0.25% 1/15/25 | 9,525,824 | 10,035,127 | Century Communications =† | 1,975,000 | — | |||
0.375% 7/15/27 | 7,127,216 | 7,757,273 | Total Common Stock | |||||
0.625% 4/15/23 | 3,034,668 | 3,158,897 | (cost $59,790) | — | ||||
0.625% 1/15/26 | 8,740,143 | 9,475,962 | ||||||
0.875% 1/15/29 | 10,864,673 | 12,391,175 | ||||||
1.75% 1/15/28 | 12,629,926 | 15,081,182 | ||||||
2.375% 1/15/25 | 9,249,224 | 10,662,233 | ||||||
2.375% 1/15/27 | 1,652,768 | 2,009,242 | ||||||
2.50% 1/15/29 | 35,825 | 45,967 | ||||||
US Treasury Notes | ||||||||
0.50% 4/30/27 | 10,900,000 | 10,918,521 | ||||||
0.50% 6/30/27 | 12,900,000 | 12,909,574 | ||||||
0.625% 5/15/30 | 10,300,000 | 10,270,227 | ||||||
1.125% 8/31/21 | 13,800,000 | 13,953,094 | ||||||
1.125% 2/28/27 | 16,900,000 | 17,635,084 |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 33
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Number of | Value | Number of | Value | |||||||
shares | (US $) | shares | (US $) | |||||||
Preferred Stock - 0.02% | Short-Term Investments (continued) | |||||||||
General Electric 5.00%µ | 300,000 | $ | 235,994 | Money Market Mutual Funds (continued) | ||||||
USB Realty 144A 2.366% | State Street Institutional US | |||||||||
(LIBOR03M + 1.147%)#• | 500,000 | 399,622 | Government Money Market | |||||||
Total Preferred Stock | Fund - Investor Class | |||||||||
(cost $748,887) | 635,616 | (seven-day effective yield | ||||||||
0.04%) | 5,272,659 | $ | 5,272,659 | |||||||
Number of | 26,363,295 | |||||||||
contracts | Principal | |||||||||
Options Purchased - 0.00% | amount° | |||||||||
Repurchase Agreements - 3.27% | ||||||||||
Put Swaption - 0.00% | US Treasury repurchase | |||||||||
30 yr IRS pay a fixed rate | agreement with Standard | |||||||||
0.86% and receive a | Chartered Bank 0.12%, | |||||||||
floating rate based on | dated 6/29/20, to be | |||||||||
6-month GBP-ICE LIBOR | repurchased 7/1/20, | |||||||||
expiration date 2/26/21, | repurchase price | |||||||||
notional amount | $48,800,163 | |||||||||
1,565,200 (GS) | 1,820,000 | 40,078 | (collateralized by US | |||||||
40,078 | government obligation; | |||||||||
Total Options Purchased | 3.375% 5/15/44; market | |||||||||
(premium paid $110,782) | 40,078 | value $49,606,980) | 48,800,000 | 48,800,000 | ||||||
US Treasury repurchase | ||||||||||
Number of | agreement with Standard | |||||||||
Chartered Bank 0.12%, | ||||||||||
shares | dated 6/30/20, to be | |||||||||
Short-Term Investments - 4.98% | repurchased 7/2/20, | |||||||||
Money Market Mutual Funds - 1.01% | repurchase price | |||||||||
BlackRock FedFund - | $36,100,120 | |||||||||
Institutional Shares | (collateralized by US | |||||||||
(seven-day effective yield | government obligation; | |||||||||
0.10%) | 5,272,659 | 5,272,659 | 3.375% 5/15/44; market | |||||||
value $36,499,564) | 36,100,000 | 36,100,000 | ||||||||
Fidelity Investments Money | ||||||||||
Market Government | 84,900,000 | |||||||||
Portfolio - Class I | US Treasury Obligation - 0.70%` | |||||||||
(seven-day effective yield | US Treasury Bill 0.174% | |||||||||
0.06%) | 5,272,659 | 5,272,659 | 10/15/20 ∞ | 18,200,000 | 18,192,363 | |||||
GS Financial Square | 18,192,363 | |||||||||
Government Fund - | ||||||||||
Institutional Shares | Total Short-Term Investments | |||||||||
(seven-day effective yield | (cost $129,453,970) | 129,455,658 | ||||||||
0.15%) | 5,272,659 | 5,272,659 | ||||||||
Morgan Stanley Government | Total Value of Securities Before | |||||||||
Portfolio - Institutional | Options Written - 113.98% | |||||||||
Share Class (seven-day | (cost $2,855,644,049) | 2,963,847,413 | ||||||||
effective yield 0.03%) | 5,272,659 | 5,272,659 |
34 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Number of | Value | † Non-income producing security. | |||||||
contracts | (US $) | • Variable rate investment. Rates reset periodically. Rate shown reflects | |||||||
the rate in effect at June 30, 2020. For securities based on a published | |||||||||
Options Written - 0.00% | reference rate and spread,the reference rate and spread are indicated | ||||||||
Put Swaption - 0.00% | intheirdescriptionabove. Thereferenceratedescriptions(i. e. LIBOR03M, | ||||||||
10 yr IRS pay a fixed rate | LIBOR06M,etc. ) used in this report are identical for different securities, | ||||||||
0.78% and receive a | but the underlying reference rates may differ due to the timing of | ||||||||
floating rate based on | the reset period. Certain variable rate securities are not based on | ||||||||
6-month GBP-ICE LIBOR | a published reference rate and spread but are determined by the | ||||||||
expiration date 2/26/21, | issuer or agent and are based on current market conditions, or for | ||||||||
notional amount | |||||||||
(4,032,600) (GS) | (5,170,000) | $ | (25,689) | mortgage-backed securities,are impacted by the individual mortgages | |||||
which are paying off over time. These securities do not indicate a | |||||||||
Total Options Written(premium | reference rate and spread in their description above. | ||||||||
received $108,782) | (25,689) | X This loan will settle after June 30, 2020, at which time the interest | |||||||
Liabilities Net of Receivables | rate, based on the LIBOR and the agreed upon spread on trade date, | ||||||||
and Other | will be reflected. | ||||||||
Assets - (13.98%) ★ | (363,569,988) | ∞ Fully or partially pledged as collateral for futures and swap | |||||||
Net Assets Applicable to | contracts. | ||||||||
255,790,528 Shares | ^ Zero-coupon security. The rate shown is the effective yield at the | ||||||||
Outstanding - 100.00% | $ | 2,600,251,736 | time of purchase. | ||||||
# | Security exempt from registration under Rule 144A of the Securities | ||||||||
Act of 1933, as amended. At June 30, 2020, the aggregate value | |||||||||
of Rule 144A securities was $492,750,936,which represents 18.95% | |||||||||
of the Fund’s net assets. | |||||||||
⯁ Pass Through Agreement. Security represents the contractual right | |||||||||
to receive a proportionate amount of underlying payments due to | |||||||||
the counterparty pursuant to various agreements related to the | |||||||||
rescheduling of obligations and the exchange of certain notes. | |||||||||
✤ PIK. 100% of the income received was in the form of both cash and | |||||||||
principal. | |||||||||
❆ PIK. The first payment of cash and/or principal will be made after | |||||||||
Oct. 1, 2020. | |||||||||
★ Includes $1,205,000 cash collateral held at brokers for certain open | |||||||||
derivatives, $2,929,000 cash collateral pledged forTBA transactions, | |||||||||
and $290,000 cash collateral due to brokers for certain open | |||||||||
derivatives. | |||||||||
= The value of this security was determined using significant unobservable | |||||||||
inputs and is reported as a Level 3 security. | |||||||||
` The rate shown is the effective yield at the time of purchase. | |||||||||
° Principal amount shown is stated in USD unless noted that the security | |||||||||
is denominated in another currency. | |||||||||
‡ | Non-income producing security. Security is currently in default. | ||||||||
D Securities have been classified by country of origin. | |||||||||
µ | Fixed to variable rate investment. The rate shown reflects the fixed | ||||||||
rate in effect at June 30, 2020. Rate will reset at a future date. | |||||||||
S Interest only security. An interest only security is the interest only | |||||||||
portion of a fixed income security, which is separated and sold | |||||||||
individually from the principal portion of the security. | |||||||||
y No contractual maturity date. | |||||||||
W Principal only security. A principal only security is the principal only | |||||||||
portionofafixedincomesecuritywhichisseparatedandsoldindividually | |||||||||
from the interest portion of the security. |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 35
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
The following foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at June 30, 2020: | ||||||||||||||||||||
Foreign Currency Exchange Contracts | ||||||||||||||||||||
Currency to | Settlement | Unrealized | Unrealized | |||||||||||||||||
Counterparty | Receive (Deliver) | In Exchange For | Date | Appreciation | Depreciation | |||||||||||||||
BAML | JPY | 65,700,000 | USD | (609,562) | 7/2/20 | $ | — | $ | (1,076) | |||||||||||
BAML | JPY | (35,155,313) | USD | 329,015 | 7/2/20 | 3,421 | — | |||||||||||||
BAML | JPY | 35,155,313 | USD | (329,154) | 8/4/20 | — | (3,417) | |||||||||||||
BNP | EUR | 32,492,000 | USD | (36,493,389) | 7/2/20 | 12,857 | — | |||||||||||||
BNP | EUR | (32,492,000) | USD | 36,519,270 | 8/4/20 | — | (14,841) | |||||||||||||
CITI | EUR | (34,290,000) | USD | 38,101,813 | 7/2/20 | — | (424,569) | |||||||||||||
CITI | KRW | (128,438,975) | USD | 104,252 | 9/16/20 | — | (2,877) | |||||||||||||
JPMCB | EUR | 1,798,000 | USD | (2,018,507) | 7/2/20 | 1,628 | — | |||||||||||||
JPMCB | EUR | (581,000) | USD | 660,940 | 9/25/20 | 7,100 | — | |||||||||||||
JPMCB | GBP | (1,673,000) | USD | 2,073,911 | 7/2/20 | 874 | — | |||||||||||||
JPMCB | INR | 23,338,266 | USD | (305,682) | 9/16/20 | 622 | — | |||||||||||||
Total Foreign Currency Exchange Contracts | $ | 26,502 | $ | (446,780) | ||||||||||||||||
Futures Contracts | ||||||||||||||||||||
Value/ | Value/ | Variation Margin | ||||||||||||||||||
Notional | Notional | Expiration | Unrealized | Unrealized | Due from | |||||||||||||||
Contracts to Buy (Sell) | Amount | Cost | Date | Appreciation | Depreciation | (Due to) Brokers | ||||||||||||||
2 | Bankers’ Acceptance | $ | 366,308 | $ | 361,502 | 9/14/20 | $ | 4,806 | $ | — | $ | 54 | ||||||||
127 | Euro-BTP | 20,529,446 | 20,020,194 | 9/8/20 | 509,252 | — | 78,419 | |||||||||||||
(73) | Euro-Bund | (14,477,376) | (14,353,887) | 9/8/20 | — | (123,489) | 11,500 | |||||||||||||
(32) | Long 10 yr Gilt | (5,457,591) | (5,461,735) | 9/28/20 | 4,144 | — | 6,327 | |||||||||||||
327 | US Treasury 5 yr Notes | 41,117,695 | 41,029,056 | 9/30/20 | 88,639 | — | (10,219) | |||||||||||||
(645) | US Treasury 5 yr Notes | (81,103,711) | (80,919,932) | 9/30/20 | — | (183,779) | 20,156 | |||||||||||||
287 | US Treasury 10 yr Notes | 39,942,328 | 39,861,997 | 9/21/20 | 80,331 | — | (44,844) | |||||||||||||
(347) | US Treasury 10 yr Notes | (48,292,641) | (48,202,026) | 9/21/20 | — | (90,615) | 54,219 | |||||||||||||
189 | US Treasury 10 yr Ultra Notes | 29,764,547 | 29,683,803 | 9/21/20 | 80,744 | — | (47,250) | |||||||||||||
(11) | US Treasury 10 yr Ultra Notes | (1,732,328) | (1,727,461) | 9/21/20 | — | (4,867) | 2,750 | |||||||||||||
337 | US Treasury Long Bonds | 60,175,563 | 59,783,014 | 9/21/20 | 392,549 | — | (157,969) | |||||||||||||
Total Futures Contracts | $ | 40,074,525 | $ | 1,160,465 | $ | (402,750) | $ | (86,857) |
36 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Swap Contracts | |||||||||||||||||
CDS Contracts1 | |||||||||||||||||
Counterparty/ | Upfront | ||||||||||||||||
Reference Obligation/ | Payments | Variation Margin | |||||||||||||||
Termination Date/ | Notional | Annual Protection | Paid | Unrealized | Unrealized | Due from | |||||||||||
Payment Frequency | Amount2 | Payments | Value | (Received) | Appreciation3 | Depreciation3 | (Due to) Brokers | ||||||||||
Centrally Cleared: | |||||||||||||||||
Protection Sold | |||||||||||||||||
Moody’s Ratings: | |||||||||||||||||
AT&T 2.45% 5/15/18 | |||||||||||||||||
Baa2 6/20/24- | |||||||||||||||||
Quarterly | 1,800,000 | 1.000 | % | $ | (403) | $ | (3,900) | $ | 3,497 | $ | — | $ | 1,785 | ||||
Citigroup CDS 6.125% | |||||||||||||||||
6/30/20 WR | |||||||||||||||||
12/20/20-Quarterly | 700,000 | 1.000 | % | 1,884 | 1,727 | 157 | — | (10) | |||||||||
Daimler CDS 0.625% | |||||||||||||||||
3/5/20 A2 12/20/20- | |||||||||||||||||
Quarterly | EUR800,000 | 1.000 | % | 2,949 | 2,981 | — | (32) | 22 | |||||||||
British Telecom 5.75% | |||||||||||||||||
12/7/28 Baa2 | |||||||||||||||||
12/20/24-Quarterly | EUR2,800,000 | 1.000 | % | 10,260 | 7,447 | 2,813 | — | 1,959 | |||||||||
CDX. ITRX. EUR. 33.14 | |||||||||||||||||
6/20/25-Quarterly | EUR14,000,000 | 1.000 | % | 261,822 | 256,510 | 5,312 | — | 28,163 | |||||||||
CDX. NA. HY. 335 | |||||||||||||||||
12/20/24-Quarterly | 2,576,000 | 5.000 | % | (15,433) | 129,418 | — | (144,851) | 23,320 | |||||||||
CDX. NA. HY. 345 6/20/25- | |||||||||||||||||
Quarterly | 2,851,000 | 5.000 | % | (20,769) | 8,969 | — | (29,738) | 19,223 | |||||||||
CDX. NA. IG. 336 | |||||||||||||||||
12/20/24-Quarterly | 37,900,000 | 1.000 | % | 438,451 | 734,682 | — | (296,231) | 51,917 | |||||||||
CDX. NA. IG. 346 6/20/25- | |||||||||||||||||
Quarterly | 9,000,000 | 1.000 | % | 102,941 | (146,136) | 249,077 | — | 14,877 | |||||||||
781,702 | 991,698 | 260,856 | (470,852) | 141,256 | |||||||||||||
Over-The-Counter: | |||||||||||||||||
Protection Purchases | |||||||||||||||||
Moody’s Ratings: | |||||||||||||||||
JPMCB Mexico 3.60% | |||||||||||||||||
12/31/21 WR | |||||||||||||||||
6/20/25-Quarterly | 3,330,000 | 1.000 | % | 90,825 | 236,854 | — | (146,029) | — | |||||||||
Protection Sold | |||||||||||||||||
Moody’s Ratings: | |||||||||||||||||
BAML Republic of | |||||||||||||||||
Colombia 10.375% | |||||||||||||||||
1/28/33 Baa2 | |||||||||||||||||
6/20/21-Quarterly | 100,000 | 1.000 | % | 436 | (635) | 1,071 | — | — | |||||||||
BAML Republic of | |||||||||||||||||
Colombia 10.375% | |||||||||||||||||
1/28/33 Baa2 | |||||||||||||||||
6/20/22-Quarterly | 250,000 | 1.000 | % | 872 | (1,499) | 2,371 | — | — |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 37
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Counterparty/ | Upfront | |||||||||||||||||||||
Reference Obligation/ | Payments | Variation Margin | ||||||||||||||||||||
Termination Date/ | Notional | Annual Protection | Paid | Unrealized | Unrealized | Due from | ||||||||||||||||
Payment Frequency | Amount2 | Payments | Value | (Received) | Appreciation3 | Depreciation3 | (Due to) Brokers | |||||||||||||||
Protection Sold | ||||||||||||||||||||||
Moody’s Ratings (continued): | ||||||||||||||||||||||
BNP Republic of | ||||||||||||||||||||||
Colombia 10.375% | ||||||||||||||||||||||
1/28/33 Baa2 | ||||||||||||||||||||||
6/20/21-Quarterly | 200,000 | 1.000 | % | $ | 871 | $ | (1,285) | $ | 2,156 | $ | — | $ | — | |||||||||
CITI Republic of Brazil | ||||||||||||||||||||||
4.25% 1/7/25 /Ba2 | ||||||||||||||||||||||
6/20/22-Quarterly | 100,000 | 1.000 | % | (1,023) | (2,493) | 1,470 | — | — | ||||||||||||||
CITI Republic of Colombia | ||||||||||||||||||||||
10.375% | ||||||||||||||||||||||
1/28/33 /Baa2 | ||||||||||||||||||||||
12/20/24-Quarterly | 200,000 | 1.000 | % | (4,126) | 665 | — | (4,791) | — | ||||||||||||||
DB CMBX. NA. AAA7 | ||||||||||||||||||||||
10/17/57-Monthly | 14,200,000 | 0.500 | % | 142,860 | (858,406) | 1,001,266 | — | — | ||||||||||||||
DB Republic of Colombia | ||||||||||||||||||||||
10.375% 1/28/33 | ||||||||||||||||||||||
Baa2 6/20/21- | ||||||||||||||||||||||
Quarterly | 200,000 | 1.000 | % | 871 | (1,269) | 2,140 | — | — | ||||||||||||||
GSC Republic of Brazil | ||||||||||||||||||||||
4.25% 1/7/25 /Ba2 | ||||||||||||||||||||||
6/20/22-Quarterly | 500,000 | 1.000 | % | (5,115) | (12,795) | 7,680 | — | — | ||||||||||||||
GSC Republic of | ||||||||||||||||||||||
Colombia 10.375% | ||||||||||||||||||||||
1/28/33 Baa2 | ||||||||||||||||||||||
6/20/21-Quarterly | 3,100,000 | 1.000 | % | 13,505 | (20,192) | 33,697 | — | — | ||||||||||||||
JPMCB South Africa | ||||||||||||||||||||||
5.50% 3/9/20 Baa3 | ||||||||||||||||||||||
12/20/23-Quarterly | 700,000 | 1.000 | % | (38,812) | (23,475) | — | (15,337) | — | ||||||||||||||
JPMCB Republic of | ||||||||||||||||||||||
Colombia 10.375% | ||||||||||||||||||||||
1/28/33 Baa2 | ||||||||||||||||||||||
6/20/21-Quarterly | 100,000 | 1.000 | % | 436 | (643) | 1,079 | — | — | ||||||||||||||
201,600 | (685,173) | 1,052,930 | (166,157) | — | ||||||||||||||||||
Total CDS Contracts | $ | 983,302 | $ | 306,525 | $ | 1,313,786 | $ | (637,009) | $ | 141,256 | ||||||||||||
IRS Contracts8 | ||||||||||||||||||||||
Fixed/Floating | ||||||||||||||||||||||
Reference Obligation/ | Interest | Upfront | ||||||||||||||||||||
Termination Date/ | Rate | Payments | Variation Margin | |||||||||||||||||||
Payment Frequency | Paid | Paid | Unrealized | Unrealized | Due from | |||||||||||||||||
(Fixed Rate/Floating Rate) | Notional Amount3 | (Received) | Value | (Received) | Appreciation4 | Depreciation4 | (Due to Brokers) | |||||||||||||||
Centrally Cleared: | ||||||||||||||||||||||
2 yr IRS9 6/28/21- | ||||||||||||||||||||||
(Semiannually/ | ||||||||||||||||||||||
Quarterly) | 30,100,000 | 1.45%/(0.306%) | $ | (355,250) | $ | — | $ | — | (355,250) | $ | (285) |
38 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Fixed/Floating | ||||||||||||||
Reference Obligation/ | Interest | Upfront | ||||||||||||
Termination Date/ | Rate | Payments | Variation Margin | |||||||||||
Payment Frequency | Paid | Paid | Unrealized | Unrealized | Due from | |||||||||
(Fixed Rate/Floating Rate) | Notional Amount3 | (Received) | Value | (Received) | Appreciation4 | Depreciation4 | (Due to Brokers) | |||||||
Centrally Cleared (continued): | ||||||||||||||
2 yr IRS10 | ||||||||||||||
3/3/22-(Semiannually/ | ||||||||||||||
Quarterly) | CAD | 8,800,000 | (1.27%)/0.568% | $ | 77,983 | $ | — | $ | 77,983 | $ | — | $ | (8) | |
2 yr IRS10 | ||||||||||||||
3/3/22-(Semiannually/ | ||||||||||||||
Quarterly) | CAD | 2,400,000 | (1.273%)/0.568% | 21,342 | — | 21,342 | — | (2) | ||||||
2 yr IRS10 6/17/22- | ||||||||||||||
(Semiannually/ | ||||||||||||||
Quarterly) | CAD | 4,000,000 | (1.50%)/0.563% | 54,500 | 15,213 | 39,287 | — | (1) | ||||||
3 yr IRS9 6/20/21- | ||||||||||||||
(Semiannually/ | ||||||||||||||
Quarterly) | 17,800,000 | 1.75%/(0.306%) | (257,759) | 149,775 | — | (407,534) | 17 | |||||||
5 yr IRS10 | ||||||||||||||
3/3/25-(Semiannually/ | ||||||||||||||
Quarterly) | CAD | 2,900,000 | (1.22%)/0.568% | 47,345 | — | 47,345 | — | (657) | ||||||
5 yr IRS10 | ||||||||||||||
3/3/25-(Semiannually/ | ||||||||||||||
Quarterly) | CAD | 2,600,000 | (1.275%)/0.568% | 47,341 | — | 47,341 | — | (594) | ||||||
5 yr IRS10 | ||||||||||||||
3/3/25-(Semiannually/ | ||||||||||||||
Quarterly) | CAD | 1,600,000 | (1.276%)/0.568% | 29,188 | — | 29,188 | — | (365) | ||||||
5 yr IRS10 | ||||||||||||||
3/3/25-(Semiannually/ | ||||||||||||||
Quarterly) | CAD | 800,000 | (1.29%)/0.568% | 14,977 | — | 14,977 | — | (183) | ||||||
5 yr IRS10 | ||||||||||||||
3/4/25-(Semiannually/ | ||||||||||||||
Quarterly) | CAD | 20,500,000 | (1.235%)/0.568% | 345,204 | 9,022 | 336,182 | — | (4,745) | ||||||
5 yr IRS11 9/16/25- | ||||||||||||||
(Semiannually/ | ||||||||||||||
Semiannually) | GBP | 15,800,000 | 0.50%/(0.063%) | (488,219) | (3,065) | — | (485,154) | 4,968 | ||||||
5 yr IRS12 12/16/25- | ||||||||||||||
(Annually/ Annually) | GBP | 28,400,000 | 0.50%/(0.063%) | (869,915) | (735,756) | — | (134,159) | 10,962 | ||||||
7 yr IRS9 12/16/22- | ||||||||||||||
(Semiannually/ | ||||||||||||||
Quarterly) | 41,600,000 | 2.25%/(2.41%) | (2,078,447) | 392,572 | — | (2,471,019) | 703 | |||||||
30 yr IRS9 2/12/45- | ||||||||||||||
(Semiannually/ | ||||||||||||||
Quarterly) | 600,000 | 2.00%/(0.435%) | (156,059) | (10,736) | — | (145,323) | 3,460 | |||||||
Total IRS Contracts | $ | (3,567,769) | $ | (182,975) | $ | 613,645 | $ | (3,998,439) | $ | 13,270 |
The use of foreign currency exchange contracts, futures contracts, and swap contracts involves elements of market risk and risks in excess of the
amounts disclosed in these financial statements. The foreign currency exchange contracts and notional amounts presented above represent the
Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) and variation margin are reflected in the
Fund’s net assets.
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 39
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
1 A CDS contract is a risk-transfer instrument through which one | BP0003M - 3 Month Sterling LIBOR Interest Rate |
party (purchaser of protection) transfers to another party (seller of | BP0006M - 6 Month Sterling LIBOR Interest Rate |
protection) the financial risk of a credit event (as defined in the CDS | |
agreement), as it relates to a particular reference security or basket of | BP0012M - 12 Month Sterling LIBOR Interest |
securities (such as an index) . Periodic payments (receipts) on such | Rate |
contracts are accrued daily and recorded as unrealized losses (gains) | BTP - Buoni del Tesoro Poliennali |
on swap contracts. Upon payment (receipt), such amounts are | CAD - Canadian Dollar |
recorded as realized losses (gains) on swap contracts. Upfront | CAD0003M - Canadian Dollar 3 Month LIBOR |
payments made or received in connection with CDS contracts are | Interest Rate |
amortized over the expected life of the CDS contracts as unrealized | CDS - Credit Default Swap |
losses (gains) on swap contracts. The change in value of CDS | CDX. ITRX. EUR - Credit Default Swap Index iTraxx |
contracts is recorded daily as unrealized appreciation or depreciation. | Europe |
A realized gain or loss is recorded upon a credit event (as defined in | CDX. NA. HY - Credit Default Swap Index North |
the CDS agreement) or the maturity or termination of the agreement. | America High Yield |
2 Notional amount shown is stated in USD unless noted that the swap | CDX. NA. IG - Credit Default Swap Index North |
is denominated in another currency. | America Investment Grade |
CITI - Citigroup | |
3 Unrealized appreciation (depreciation) does not include periodic | CLO - Collateralized Loan Obligation |
interest payments (receipt) on swap contracts accrued daily in the | CMBX. NA - Commercial Mortgage-Backed Index |
amount of $232,650. | North America |
COF 11 - Cost of Funds for the 11th District of | |
4 Markit’s iTraxx Europe Subordinated Financials Index, or the ITRX | San Francisco |
EUR SUB FIN, is comprised of 25 Financial entities from the Markit | |
iTraxx® Europe Index referencing subordinated debt. | DAC - Designated Activity Company |
DB - Deutsche Bank AG | |
5 Markit’s North America High Yield CDX Index, or the CDX. NA. HY | DBJPM - Deutsche Bank JP Morgan |
Index, is composed of 100 liquid North American entities with high | EUR - European Monetary Unit |
yield credit ratings that trade is in the CDS market. | EURIBOR - Euro Interbank Offered Rate |
EUR003M - EURIBOR EUR 3 Month | |
6 Markit’s North America Investment Grade Index, or the CDX. NA. IG | |
Index, is composed of 125 liquid North American entities with | FREMF - Freddie Mac Multifamily |
investment grade credit ratings that trade in the CDS market. | GBP - British Pound Sterling |
GNMA - Government National Mortgage | |
7 Markit’s CMBX Index, or the CMBX. NA Index, is a synthetic tradable | Association |
index referencing a basket of 25 commercial mortgage-backed | GS - Goldman Sachs |
securities in North America. Credit-quality rating are measured on a | GSC - Goldman Sachs Bank USA |
scale that generally ranges from AAA (highest) to BB (lowest) . US | H15T1Y - US Treasury Yield Curve Rate T Note |
Agency and US Agency mortgage-backed securities appear under US | Constant Maturity 1 Year |
Government. | ICE - Intercontinental Exchange |
8 An IRS agreement is an exchange of interest rates between | INR - Indian Rupee |
counterparties. Periodic payments (receipt) on such contracts are | IRS - Interest Rate Swap |
accrued daily and recorded as unrealized appreciation (depreciation) | JPMBB - JPMorgan Barclays Bank |
on swap contracts. Upon periodic payment (receipt) or termination of | JPMCB - JPMorgan Chase Bank, National |
the contract, such amounts are recorded as realized gains (losses) on | Association |
swap contracts. | JPMDB - JPMorgan Deutsche Bank |
9 Rate resets based on LIBOR03M. | JPY - Japanese Yen |
JSC - Joint Stock Company | |
10 Rate resets based on CAD0003M. | KRW - South Korean Won |
LB - Lehman Brothers | |
11 Rate resets based on BP0006M. | LIBOR - London interbank offered rate |
12 Rate resets based on BP0012M. | LIBOR01M - ICE LIBOR USD 1 Month |
LIBOR03M - ICE LIBOR USD 3 Month | |
Summary of abbreviations: | LIBOR06M - ICE LIBOR USD 6 Month |
ABS - Asset-Backed Security | LIBOR12M - ICE LIBOR USD 12 Month |
ARM - Adjustable Rate Mortgage | MASTR - Mortgage Asset Securitization |
BAML - Bank of America Merrill Lynch | Transactions, Inc. |
BNP - BNP Paribas |
40 NQ-OPTFI [6/20] 8/20 (1294519)
(Unaudited)
Summary of abbreviations: (continued) | UK - United Kingdom |
REMIC - Real Estate Mortgage Investment | USD - US Dollar |
Conduit | yr - Year |
S.F. - Single Family | |
TBA - To be announced | |
TBD - To be determined |
(continues) NQ-OPTFI [6/20] 8/20 (1294519) 41