0001752724-21-069158.txt : 20210331 0001752724-21-069158.hdr.sgml : 20210331 20210331161646 ACCESSION NUMBER: 0001752724-21-069158 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20210131 FILED AS OF DATE: 20210331 PERIOD START: 20211031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Dunham Funds CENTRAL INDEX KEY: 0001420040 IRS NUMBER: 000000000 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22153 FILM NUMBER: 21793533 BUSINESS ADDRESS: STREET 1: 10251 VISTA SORRENTO PARKWAY STREET 2: SUITE 200 CITY: SAN DIEGO STATE: CA ZIP: 92121 BUSINESS PHONE: 858-964-0500 MAIL ADDRESS: STREET 1: 10251 VISTA SORRENTO PARKWAY STREET 2: SUITE 200 CITY: SAN DIEGO STATE: CA ZIP: 92121 0001420040 S000020974 Dunham Small Cap Value Fund C000059517 Dunham Small Cap Value Fund Class A DASVX C000059518 Dunham Small Cap Value Fund Class C DCSVX C000059519 Dunham Small Cap Value Fund Class N DNSVX NPORT-P 1 primary_doc.xml NPORT-P false 0001420040 XXXXXXXX S000020974 C000059519 C000059518 C000059517 Dunham Funds 811-22153 0001420040 549300FI2C3SP4YCHL80 10251 VISTA SORRENTO PARKWAY SUITE 200 SAN DIEGO 92121 858-964-0500 Dunham Small Cap Value Fund S000020974 549300FUKK5THH5JHD83 2021-10-31 2021-01-31 N 62554212.00 77709.82 62476502.18 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 N Simmons First Natl 549300IVR5AJKUVOGN05 SIMMONS FIRST -A 828730200 27065.00000000 NS USD 668505.50000000 1.070011086846 Long EC CORP US N 1 N N Clearwater Paper Corporation 549300HCVV19GXN4P292 CLEARWATER 18538R103 11576.00000000 NS USD 440814.08000000 0.705567796881 Long EC CORP US N 1 N N N Trico Bancshares N/A TRICO BANCSHARES 896095106 13279.00000000 NS USD 495306.70000000 0.792788780929 Long EC CORP US N 1 N N N Knowles Corporation 5493003EO323TDZQU148 KNOWLES CORP 49926D109 31413.00000000 NS USD 605956.77000000 0.969895478870 Long EC CORP US N 1 N N N Bancorp Inc N/A BANCORP INC/THE 05969A105 32916.00000000 NS USD 552001.32000000 0.883534290075 Long EC CORP US N 1 N N N Fiesta Restaurant Group, Inc. 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DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited)
January 31, 2021

 

Shares               Value ($) 
     EXCHANGE-TRADED FUNDS — 0.8%              
     FIXED INCOME - 0.8%              
 5,198   iShares iBoxx High Yield Corporate Bond ETF (e)            452,071 
 2,077   iShares JP Morgan USD Emerging Markets Bond ETF            236,466 
                 688,537 
                    
     TOTAL EXCHANGE-TRADED FUNDS (Cost $687,659)            688,537 
                    
           Interest        
Principal Amount      Variable Rate  Rate %  Maturity    
     ASSET BACKED SECURITIES — 28.6%              
 107,256   Ajax Mortgage Loan Trust 2017-B(a)     3.163  09/25/56   110,277 
 156,719   Ajax Mortgage Loan Trust 2019-D(a),(g)     2.956  09/25/65   159,009 
 225,000   AJAX Mortgage Loan Trust 2021 -A (a),(b)     1.065  09/25/65   224,995 
 41,594   American Credit Acceptance Receivables Trust 2018-3(a)     3.750  10/15/24   41,882 
 125,000   American Credit Acceptance Receivables Trust 2019-2(a)     3.170  06/12/25   127,207 
 170,000   American Credit Acceptance Receivables Trust 2020-4(a)     1.770  12/14/26   173,082 
 230,000   American Homes 4 Rent 2014-SFR2 Trust(a)     4.705  10/17/36   251,478 
 220,000   American Homes 4 Rent 2015-SFR2 Trust(a)     4.691  10/17/45   246,392 
 135,000   AmeriCredit Automobile Receivables Trust 2018-1     3.820  03/18/24   142,028 
 230,000   AmeriCredit Automobile Receivables Trust 2020-3     1.060  08/18/26   233,212 
 314,698   AMSR 2020-SFR1 Trust(a)     1.819  04/17/25   323,450 
 175,000   AMSR 2020-SFR1 Trust(a)     2.120  04/17/37   179,061 
 250,000   AMSR 2020-SFR2 Trust(a)     2.533  07/17/37   258,140 
 100,000   AMSR 2020-SFR2 Trust(a)     3.282  07/17/37   104,725 
 63,407   Amur Equipment Finance Receivables VI, LLC(a)     3.890  07/20/22   64,604 
 407,814   Angel Oak Mortgage Trust 2020-R1(a),(b)     1.247  12/26/24   408,369 
 271,276   Angel Oak SB Commercial Mortgage Trust 2020- SBC1(a),(b)     2.068  05/25/50   272,535 
 310,768   Aqua Finance Trust 2019-A(a)     3.140  07/16/40   319,029 
 180,000   Aqua Finance Trust 2019-A(a)     4.010  07/16/40   186,096 
 258,316   Arroyo Mortgage Trust 2019-1 , Series 2019-1, Class A1(a),(b)     3.805  01/25/49   267,352 
 125,680   Arroyo Mortgage Trust 2019-2 , Series 2019-2, Class A1(a),(b)     3.347  04/25/49   130,161 
 150,000   Avis Budget Rental Car Funding AESOP, LLC(a)     3.070  09/20/23   155,212 
 155,000   Avis Budget Rental Car Funding AESOP, LLC(a)     2.360  03/20/26   163,940 
 30,272   Banc of America Funding 2005-1 Trust     5.500  02/25/35   31,443 
 100,000   Bayview Opportunity Master Fund IVa Trust2017–RT1(a),(b)     4.000  06/28/57   107,577 
 42,981   Bayview Opportunity Master Fund IVa Trust 2017-RT1(a),(b)     3.000  03/28/57   43,821 
 98,140   BRE Grand Islander Timeshare Issuer 2019-A, LLC(a)(g)     3.280  09/26/33   102,418 
 233,773   Bunker Hill Loan Depositary Trust 2019-2(a),(g)     2.879  07/25/49   242,773 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount      Variable Rate  Rate %  Maturity  Value 
     ASSET BACKED SECURITIES — 28.6% (Continued)              
 130,000   BX Trust 2019-OC11 , (a),(b)     4.075  12/09/41   $140,681 
 160,000   Capital Auto Receivables Asset Trust 2017-1(a)     2.700  09/20/22   161,713 
 140,000   Carmax Auto Owner Trust 2019-1     3.740  01/15/25   148,386 
 145,000   Carvana Auto Receivables Trust 2019-1(a)     3.880  10/15/24   151,752 
 185,000   Carvana Auto Receivables Trust 2019-3(a)     2.710  10/15/24   190,865 
 175,000   Carvana Auto Receivables Trust 2019-3 Class D(a)     3.040  04/15/25   181,278 
 100,000   CCG Receivables Trust 2019-2(a)     2.550  03/15/27   102,873 
 109,754   CF Hippolyta, LLC(a)     1.690  07/15/60   112,100 
 46,758   Chase Mortgage Finance Corporation 2016-SH1 M2(a),(b)     3.750  02/25/44   48,811 
 73,187   Chase Mortgage Finance Corporation 2016-SH1 M2(a),(b)     3.750  04/25/45   74,978 
 233,990   CHC Commercial Mortgage Trust 2019 - CHC(a)(i)  1 Month Libor + 1.120%  1.246  06/15/34   232,715 
 130,000   Citigroup Commercial Mortgage Trust 2015-GC27     2.878  02/10/48   137,475 
 145,000   Citigroup Commercial Mortgage Trust 2019-SST2(a) (i)  1 Month Libor + 0.920%  1.046  12/15/36   145,402 
 72,152   Citigroup Mortgage Loan Trust 2019-IMC1(a),(b)     2.720  07/25/49   73,731 
 35,384   Citigroup Mortgage Loan Trust, Inc. 2004-NCM2 2CB2     6.750  08/25/34   39,095 
 190,722   COLT 2020-RPL1 Trust(a),(b)     1.390  01/25/65   192,387 
 155,810   Commonbond Student Loan Trust 2020-1(a)     1.690  10/25/51   157,276 
 175,000   Consumer Loan Underlying Bond CLUB Credit Trust 2020-P1(a)     2.920  03/15/28   178,907 
 208,185   CoreVest American Finance 2018-2 Trust A(a)     4.026  11/15/52   223,996 
 100,000   Corevest American Finance 2019-3 Trust C(a)     3.265  10/15/52   106,005 
 157,099   Corevest American Finance 2020-1 Trust A1(a)     1.832  03/15/50   161,475 
 228,568   Corevest American Finance 2020-4 Trust A(a)     1.174  12/15/52   229,464 
 205,000   CSMC 2019-ICE4(a),(i)  1 Month Libor + 0.980%  1.106  05/15/36   205,590 
 85,639   CSMC 2020-NQM1 Trust(a),(g)     1.208  05/25/65   86,306 
 250,554   CSMC 2020-RPL4 Trust(a)     2.000  01/25/60   258,161 
 16,995   Deephaven Residential Mortgage Trust 2017-2(a),(b)     2.453  06/25/47   17,006 
 42,494   Diamond Resorts Owner Trust 2017-1A A(a)     3.270  10/22/29   43,387 
 135,000   Drive Auto Receivables Trust 2019-4     2.510  11/17/25   138,230 
 120,000   DT Auto Owner Trust 2019-1(a)     3.610  11/15/24   122,103 
 67,798   Ellington Financial Mortgage Trust 2019-2(a) (b)     3.046  11/25/59   69,577 
 134,379   Exantas Capital Corporation 2020 RS08 A(a) (i)  1 Month Libor + 1.150%  1.276  03/15/35   134,547 
 305,000   Fair Square Issuance Trust , Series 2020-AA, A(a)     2.900  09/20/24   309,372 
 150,000   First Investors Auto Owner Trust 2019-1(a)     3.260  03/17/25   154,898 
 270,000   FirstKey Homes 2020-SFR2 Trust(a)     1.567  10/19/37   271,851 
 11,259   Flagship Credit Auto Trust 2017-1(a)     3.220  05/15/23   11,278 
 180,000   Flagship Credit Auto Trust 2020-4(a)     1.280  02/16/27   182,923 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount      Variable Rate  Rate %  Maturity  Value 
     ASSET BACKED SECURITIES — 28.6% (Continued)              
 82,925   Flagstar Mortgage Trust 2017-1(a),(b)     3.500  03/25/47   $84,865 
 72,668   Foundation Finance Trust 2019-1(a)     3.860  11/15/34   75,398 
 48,759   Galton Funding Mortgage Trust 2017-1(a),(b)     3.500  11/25/57   50,508 
 24,227   Galton Funding Mortgage Trust 2018-2(a)     4.500  10/25/58   24,707 
 63,885   Galton Funding Mortgage Trust 2019-H1(a),(b)     2.657  10/25/59   65,323 
 121,985   Galton Funding Mortgage Trust 2020-H1(a),(b)     2.310  01/25/60   124,479 
 165,989   GCAT 2019-NQM1, LLC(a),(g)     2.985  02/25/59   167,929 
 305,000   GCT Commercial Mortgage Trust 2021-GCT(a),(i)  1 Month Libor + 0.800%    02/15/23   305,000 
 200,000   Genesis Private Label Amortizing Trust 2020-1(a)     2.830  07/20/30   201,307 
 410,000   Genesis Sales Finance Master Trust 2020-AA D(a)     1.650  09/22/25   413,390 
 185,000   GLS Auto Receivables Issuer Trust 2019-4 C(a)     3.060  08/15/25   193,053 
 190,000   GLS Auto Receivables Issuer Trust 2020-1(a)     2.430  11/15/24   195,520 
 252,000   GS Mortgage Securities Corp Trust 2012-ALOHA(a)     3.551  04/10/22   256,597 
 135,000   GS Mortgage Securities Trust 2020-GC45     3.173  02/13/53   150,006 
 237,513   GS Mortgage-Backed Securities Trust 2020-NQM1(a),(b)     2.352  09/27/60   242,514 
 26,488   Hertz Vehicle Financing II, L.P. 2015-3A A(a)     2.670  09/25/21   26,577 
 185,000   Hilton USA Trust 2016-SFP(a)     3.323  11/05/35   185,766 
 185,089   HIN Timeshare Trust 2020-A , Series C, 20-A(a)     3.420  10/09/39   194,324 
 213,737   Homeward Opportunities Fund I Trust 2018-2(a),(b)     3.985  11/25/58   219,000 
 94,020   Homeward Opportunities Fund I Trust 2019-1(a),(b)     3.454  01/25/59   95,255 
 130,000   Jersey Mike’s Funding 2019-1A A2(a)     4.433  02/15/50   138,604 
 28,649   JP Morgan Chase Commercial Mortgage Securities 2011-C4 P4(a)     4.388  05/15/21   28,811 
 36,534   JP Morgan Mortgage Trust 2005-A5(b)     2.881  08/25/35   37,892 
 142,530   JP Morgan Mortgage Trust 2017-5(a),(b)     3.128  12/15/47   147,023 
 145,000   LHOME Mortgage Trust 2019-RTL1(a),(b)     4.580  10/25/23   146,865 
 125,571   LL A.B.S Trust 2020-1 , Series 2020-1A, A(a)     2.330  07/15/22   126,686 
 61,551   Marlette Funding Trust 2019-4(a)     2.390  12/17/29   62,070 
 34,111   MASTR Alternative Loan Trust 2004-4     5.500  04/25/34   35,468 
 100,000   METLIFE S.E.CURITIZATION TRUST 2017-1A M1(a),(b)     3.480  04/25/55   108,144 
 96,140   METLIFE S.E.CURITIZATION TRUST 2019-1A A1A(a),(b)     3.750  04/25/58   100,634 
 100,000   Mill City Mortgage Loan Trust 2017-1 M2(a),(b)     3.250  11/25/58   108,520 
 199,632   Mill City Mortgage Loan Trust 2019-1 M2(a),(b)     3.500  10/25/69   218,680 
 150,249   MVW 2020-1, LLC(a)     1.740  10/20/37   153,803 
 31,978   MVW Owner Trust 2016-1(a)     2.250  12/20/33   32,405 
 264,524   New Residential Mortgage Loan Trust 2014-3(a),(b)     3.750  11/25/54   285,486 
 69,792   New Residential Mortgage Loan Trust 2016-4(a),(b)     3.750  11/25/56   74,986 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount      Variable Rate  Rate %  Maturity  Value 
     ASSET BACKED SECURITIES — 28.6% (Continued)              
 395,274   New Residential Mortgage Loan Trust 2017-2(a),(b)     4.000  03/25/57   $426,536 
 145,534   New Residential Mortgage Loan Trust 2018-1(a),(b)     4.000  12/25/57   156,613 
 694,233   New Residential Mortgage Loan Trust 2020-1(a),(b)     3.500  10/25/59   743,302 
 277,480   New Residential Mortgage Loan Trust 2020-NPL1(a),(b)     4.335  07/25/50   282,400 
 29,833   NovaStar Mortgage Funding Trust Series 2004-4(i)  1 Month Libor + 1.725%  1.855  03/25/35   30,038 
 51,740   OBX 2018-EXP2 Trust(a),(b)     4.000  11/25/48   52,464 
 66,430   OBX 2019-INV1 Trust(a),(b)     4.500  11/25/48   69,535 
 56,203   Octane Receivables Trust 2019-1 A(a)     3.160  09/20/23   56,933 
 165,721   Octane Receivables Trust 2020-1 A(a)     1.710  02/20/25   166,525 
 125,000   OneMain Direct Auto Receivables Trust 2018-1(a)     3.850  10/14/25   127,747 
 90,710   Orange Lake Timeshare Trust 2019-A(a)     3.360  04/09/38   94,723 
 205,000   Prestige Auto Receivables Trust 2020-1(a)     1.310  11/16/26   207,040 
 473,220   Pretium Mortgage Credit Partners I 2020-NPL3, LLC(a),(b)     3.105  06/27/60   475,132 
 83,846   Provident Funding Mortgage Loan Trust 2019-1 A2(a),(b)     3.000  12/25/49   85,448 
 156,295   PRPM 2020-1, LLC(a),(g)     2.981  02/25/25   156,965 
 288,961   PRPM 2020-3, LLC(a),(g)     2.857  09/25/25   291,880 
 199,726   RCKT Mortgage Trust 2020-1(a),(b)     3.000  02/25/50   205,661 
 133,472   RCO V Mortgage, LLC 2019-2(a),(g)     3.475  11/25/24   134,005 
 99,093   Residential Mortgage Loan Trust 2019-2(a),(b)     2.913  05/25/59   101,407 
 288,227   Residential Mortgage Loan Trust 2020-1(a),(b)     2.376  02/25/24   293,811 
 345,000   Santander Drive Auto Receivables Trust 2020-4     1.010  01/15/26   349,329 
 145,835   Sierra Timeshare Receivables Funding, LLC 2020-2A B(a)     2.320  07/20/37   149,377 
 32,685   Small Business Lending Trust 2019-A A(a)     2.850  07/15/26   32,636 
 22,236   Sofi Consumer Loan Program 2017-5, LLC(a)     2.780  09/25/26   22,399 
 11,049   Sofi Consumer Loan Program 2017-6, LLC(a)     2.820  11/25/26   11,093 
 316,037   Starwood Mortgage Residential Trust 2020-1(a),(b)     2.275  02/25/50   323,298 
 131,360   Starwood Mortgage Residential Trust 2020-2(a),(b)     2.718  04/25/60   133,740 
 98,999   Starwood Mortgage Residential Trust 2020-3(a),(b)     1.486  04/25/65   100,384 
 86,850   Taco Bell Funding, LLC , Series 2016-1A, Class A23(a)     4.970  05/25/46   93,848 
 199,001   Towd Point HE Trust 2019-HE1(a),(i)  1 Month Libor + 0.900%  1.030  04/25/48   199,612 
 345,000   Towd Point Mortgage Trust 2016-3(a),(b)     3.500  04/25/56   368,120 
 115,000   Towd Point Mortgage Trust 2017-1(a),(b)     3.750  10/25/56   126,168 
 200,000   Towd Point Mortgage Trust 2017-4(a),(b)     3.000  06/25/57   215,304 
 135,000   Towd Point Mortgage Trust 2017-6(a),(b)     3.000  10/25/57   144,157 
 164,616   Towd Point Mortgage Trust 2018-4 Class A1(a),(b)     3.000  06/25/58   175,050 
 300,000   Towd Point Mortgage Trust 2018-6(a),(b)     3.750  03/25/58   335,336 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount      Variable Rate  Rate %  Maturity  Value 
     ASSET BACKED SECURITIES — 28.6% (Continued)              
 140,000   Towd Point Mortgage Trust 2018-6(a),(b)     3.750  03/25/58   $154,600 
 33,886   Towd Point Mortgage Trust 2018-SJ1(a),(b)     4.000  10/25/58   33,990 
 255,000   Towd Point Mortgage Trust 2019-2(a),(b)     3.750  12/25/58   282,839 
 100,791   Towd Point Mortgage Trust 2019-MH1(a),(b)     3.000  11/25/58   103,444 
 98,468   Tricon American Homes 2017-SFR1 Trust(a)     2.716  09/17/22   99,798 
 100,000   Tricon American Homes 2020-SFR2 Trust(a)     2.281  11/17/27   100,593 
 33,005   TRIP Rail Master Funding, LLC , Series 2017-1A, Class A1(a)     2.709  08/15/47   33,093 
 100,000   United Auto Credit Securitization Trust 2020-1 C(a)     2.150  02/10/25   101,549 
 40,922   VCAT 2019-NPL2, LLC(a),(b)     3.573  11/25/49   41,080 
 130,000   VCAT 2021-NPL1, LLC(a)     4.826  12/26/50   130,240 
 153,987   Vericrest Opportunity Loan Trust 2019-NPL7(a),(g)     3.179  10/25/49   154,482 
 65,388   Vericrest Opportunity Loan Trust 2020-NPL2(a),(g)     2.981  02/25/50   65,678 
 155,000   Veros Automobile Receivables Trust 2020-1 , Series B(a)     2.190  06/16/25   156,738 
 282,091   Verus Securitization Trust 2019-2(a),(b)     3.211  05/25/49   284,828 
 232,932   Verus Securitization Trust 2019-INV2(a),(b)     2.913  07/25/59   238,867 
 141,657   VOLT LXXXV, LLC 2020-NPL1 A1A(a),(g)     3.228  01/25/50   142,350 
 225,000   VOLT XCII, LLC 2021-NPL1 A1(a),(g)     1.892  02/27/51   226,664 
 46,814   VSE 2017-A VOI Mortgage, LLC(a)     2.330  03/20/35   47,901 
 80,485   Wells Fargo Mortgage Backed Securities 2020-4(a),(b)     3.000  07/25/50   83,201 
 136,491   Westlake Automobile Receivables Trust 2018-3(a)     3.610  10/16/23   137,641 
 170,000   Westlake Automobile Receivables Trust 2020-3(a)     1.240  11/17/25   171,903 
 62,000   WFRBS Commercial Mortgage Trust 2014-C24     3.931  11/15/47   64,370 
     TOTAL ASSET BACKED SECURITIES (Cost $24,702,864)     25,138,322 
                  
     CORPORATE BONDS — 35.1%              
     AEROSPACE & DEFENSE — 0.8%              
 90,000   Boeing Company (The) (e)     5.150  05/01/30   106,868 
 45,000   Boeing Company (The)     3.750  02/01/50   45,325 
 108,000   Boeing Company (The)     5.930  05/01/60   144,954 
 120,000   Howmet Aerospace, Inc. (e)     6.875  05/01/25   140,250 
 135,000   Spirit AeroSystems, Inc.(a)     5.500  01/15/25   141,750 
 135,000   TransDigm, Inc. (e)     5.500  11/15/27   139,490 
                  718,637 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount      Variable Rate  Rate %  Maturity  Value 
     CORPORATE BONDS — 35.1% (Continued)              
     APPAREL & TEXTILE PRODUCTS — 0.4%              
 175,000   Hanesbrands, Inc.(a) (e)     5.375  05/15/25   $186,375 
 75,000   Under Armour, Inc. (e)     3.250  06/15/26   75,312 
 74,000   VF Corporation     2.400  04/23/25   78,855 
                  340,542 
     ASSET MANAGEMENT — 1.7%              
 190,000   Ares Finance Co LLC(a)     4.000  10/08/24   204,949 
 165,000   Brightsphere Investment Group, Inc.     4.800  07/27/26   182,131 
 195,000   Charles Schwab Corporation (The) (i)  HIST10Y + 3.079%  4.000  03/01/69   201,825 
 155,000   Citadel, L.P.(a)     4.875  01/15/27   171,283 
 250,000   Drawbridge Special Opportunities Fund, L.P. (a)     3.875  02/15/26   252,014 
 170,000   Icahn Enterprises, L.P. / Icahn Enterprises     6.250  05/15/26   180,018 
 15,000   Icahn Enterprises, L.P. / Icahn Enterprises(a)     4.375  02/01/29   14,944 
 250,000   UBS A.G. (e)     7.625  08/17/22   276,068 
                  1,483,232 
     AUTOMOTIVE — 1.1%              
 125,000   American Axle & Manufacturing, Inc. (e)     6.500  04/01/27   130,913 
 190,000   Dana, Inc.     5.375  11/15/27   199,856 
 188,000   Ford Motor Company (e)     9.000  04/22/25   228,884 
 125,000   General Motors Company, B     6.800  10/01/27   160,690 
 200,000   Nissan Motor Company Ltd.(a)     4.810  09/17/30   222,869 
                  943,212 
     BANKING — 6.0%              
 260,000   Bank of America Corporation (i)  3 Month Libor + 0.790%  3.004  12/20/23   272,414 
 366,000   Bank of America Corporation (e)     4.200  08/26/24   408,923 
 160,000   Bank of America Corporation(i)  3 Month Libor + 0.770%  0.995  02/05/26   161,202 
 234,000   Bank of Montreal (e) (i)  USSW5+ 1.432%  3.803  12/15/32   268,024 
 200,000   BBVA Bancomer S.A.(a),(i)  HIST5Y + 2.650%  5.125  01/18/33   211,960 
 300,000   Citigroup, Inc.     4.050  07/30/22   316,136 
 325,000   Citigroup, Inc.(i)  3 Month Libor + 1.250%  1.487  07/01/26   333,750 
 95,000   Citigroup, Inc. (e)     3.200  10/21/26   104,775 
 360,000   Discover Bank (i)  USSW5+ 1.730%  4.682  08/09/28   384,845 
 199,000   Fifth Third Bancorp (i),(e)  HIST5Y + 4.215%  4.500  09/30/68   211,438 
 400,000   JPMorgan Chase & Company (i)  SOFRRATE+ 2.515%  2.956  05/13/31   427,984 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount      Variable Rate  Rate %  Maturity  Value ($) 
     CORPORATE BONDS — 35.1% (Continued)              
     BANKING — 6.0% (Continued)              
 47,000   JPMorgan Chase & Company , Series HH(i)  SOFRRATE+ 3.125%  4.600  08/01/68   48,422 
 155,000   KeyCorporation (i)  3 Month Libor + 3.606%  5.000  12/29/49   168,222 
 133,000   Santander Holdings USA, Inc.     3.700  03/28/22   137,348 
 65,000   Santander Holdings USA, Inc. (e)     4.400  07/13/27   74,567 
 200,000   Societe Generale S.A.(a)     4.750  11/24/25   227,315 
 230,000   SVB Financial Group (i)  H15T10Y+ 3.064%  4.100  05/15/69   234,301 
 70,000   Synovus Financial Corporation(i)  USSW5+ 3.379%  5.900  02/07/29   75,531 
 195,000   Toronto-Dominion Bank (The)(e) (i)  USSW5+ 2.205%  3.625  09/15/31   220,459 
 185,000   Truist Financial Corporation (i)  H15T10Y+ 4.349%  5.100  03/01/69   209,106 
 435,000   Wells Fargo & Company (e) (i)  SOFRRATE+ 2.100%  2.393  06/02/28   459,115 
 330,000   Wells Fargo & Company (e) (i)  HIST5Y + 3.453%  3.900  03/15/69   330,206 
                  5,286,043 
     BEVERAGES — 0.4%              
 180,000   Anheuser-Busch InBev Worldwide, Inc. (e)     4.000  04/13/28   208,527 
 40,000   Anheuser-Busch InBev Worldwide, Inc.     4.750  01/23/29   48,487 
 100,000   Bacardi Ltd.(a)     4.700  05/15/28   118,636 
                  375,650 
     BIOTECH & PHARMA — 0.5%              
 50,000   Bausch Health Companies, Inc.(a) (e)     5.750  08/15/27   53,906 
 180,000   Mylan N.V. (e)     3.950  06/15/26   204,804 
 50,000   Par Pharmaceutical, Inc.(a)     7.500  04/01/27   53,844 
 125,000   Teva Pharmaceutical Finance Netherlands III BV (e)     3.150  10/01/26   119,478 
                  432,032 
     CABLE & SATELLITE — 0.5%              
 45,000   CCO Holdings, LLC / CCO Holdings Capital(a)     4.500  08/15/30   47,447 
 135,000   DISH DBS Corporation     5.000  03/15/23   139,226 
 20,000   Radiate Holdco, LLC / Radiate Finance, Inc.(a)     4.500  09/15/26   20,407 
 200,000   Virgin Media Finance plc(a)     5.000  07/15/30   206,000 
                  413,080 
     CHEMICALS — 0.8%              
 185,000   Avient Corporation(a)     5.750  05/15/25   196,563 
 190,000   Celanese US Holdings, LLC     3.500  05/08/24   205,732 
 165,000   Nutrition & Biosciences, Inc.(a) (e)     2.300  11/01/30   168,205 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount      Variable Rate  Rate %  Maturity  Value ($) 
     CORPORATE BONDS — 35.1% (Continued)              
     CHEMICALS — 0.8% (Continued)              
 120,000   Olin Corporation     5.625  08/01/29   128,701 
                  699,201 
     COMMERCIAL SUPPORT SERVICES — 0.4%              
 50,000   Aramark Services, Inc.(a)(e)     6.375  05/01/25   53,263 
 190,000   Block Financial, LLC, B     3.875  08/15/30   202,951 
 135,000   GFL Environmental, Inc.(a)     3.750  08/01/25   137,953 
                  394,167 
     CONTAINERS & PACKAGING — 0.2%              
 200,000   Ardagh Packaging Finance plc / Ardagh Holdings(a)     4.125  08/15/26   206,500 
                    
     DIVERSIFIED INDUSTRIALS — 0.2%              
 181,000   General Electric Company , Series D (i)  3 Month Libor + 3.330%  5.000  06/15/69   171,188 
                    
     ELEC & GAS MARKETING & TRADING — 0.3%              
 200,000   Southern Power Company     4.150  12/01/25   228,965 
                    
     ELECTRIC UTILITIES — 1.2%              
 205,000   American Electric Power Company, Inc.     2.300  03/01/30   210,528 
 120,000   DPL, Inc.     4.350  04/15/29   135,130 
 195,000   Edison International (e)     4.125  03/15/28   214,577 
 85,000   Exelon Corporation     3.497  06/01/22   88,222 
 60,000   Talen Energy Supply, LLC(a) (e)     6.625  01/15/28   62,576 
 90,000   TerraForm Power Operating, LLC(a)     5.000  01/31/28   100,069 
 180,000   Vistra Operations Company, LLC(a)     4.300  07/15/29   205,489 
                  1,016,591 
     ENTERTAINMENT CONTENT — 0.1%              
 55,000   Diamond Sports Group, LLC / Diamond Sports Finance(a) (e)    5.375  08/15/26   44,481 
 30,000   Diamond Sports Group, LLC / Diamond Sports Finance(a)     6.625  08/15/27   19,088 
                  63,569 
     FORESTRY, PAPER & WOOD PRODUCTS — 0.2%              
 145,000   Resolute Forest Products, Inc.(a)     4.875  03/01/26   144,456 
                    
     HEALTH CARE FACILITIES & SERVICES — 1.0%              
 150,000   Anthem, Inc. (e)     2.875  09/15/29   164,018 
 45,000   Centene Corporation (e)     4.625  12/15/29   49,950 
 145,000   CVS Health Corporation (i)  3 Month Libor + 0.720%  0.950  03/09/21   145,108 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount      Variable Rate  Rate %  Maturity  Value ($) 
     CORPORATE BONDS — 35.1% (Continued)              
     HEALTH CARE FACILITIES & SERVICES — 1.0% (Continued)       
 90,000   HCA, Inc. (e)     5.250  06/15/49   115,520 
 85,000   Jaguar Holding Company II / PPD Development, L.P.(a)     5.000  06/15/28   90,419 
 80,000   Legacy LifePoint Health, LLC(a) (e)     4.375  02/15/27   81,700 
 15,000   Tenet Healthcare Corporation(a)     7.500  04/01/25   16,228 
 50,000   Tenet Healthcare Corporation(a)     5.125  11/01/27   52,875 
 161,000   Universal Health Services, Inc.(a)     2.650  10/15/30   163,635 
                  879,453 
     HOME CONSTRUCTION — 0.5%              
 105,000   M/I Homes, Inc.     4.950  02/01/28   110,788 
 125,000   PulteGroup, Inc.     6.375  05/15/33   170,313 
 185,000   Weekley Homes, LLC / Weekley Finance Corporation(a)     4.875  09/15/28   192,862 
                  473,963 
     INDUSTRIAL SUPPORT SERVICES — 0.2%              
 200,000   Ashtead Capital, Inc.(a) (e)     4.375  08/15/27   211,250 
                    
     INSTITUTIONAL FINANCIAL SERVICES — 2.0%              
 160,000   Bank of New York Mellon Corporation (The) (i)  HIST5Y + 4.358%  4.700  09/20/68   175,602 
 310,000   Brookfield Finance, Inc.     4.250  06/02/26   358,681 
 295,000   Goldman Sachs Group, Inc. (The)     4.250  10/21/25   335,903 
 115,000   Jefferies Financial Group, Inc.     5.500  10/18/23   125,969 
 120,000   Jefferies Group, LLC / Jefferies Group Capital     4.850  01/15/27   142,441 
 285,000   Morgan Stanley     3.125  07/27/26   315,840 
 175,000   Morgan Stanley     6.375  07/24/42   274,347 
                  1,728,783 
     INSURANCE — 2.3%              
 150,000   Allstate Corporation (The) (e) (i)  3 Month Libor + 2.938%  5.750  08/15/53   161,977 
 185,000   Ascot Group Ltd.(a)     4.250  12/15/30   193,787 
 150,000   Athene Global Funding(a)     2.450  08/20/27   158,272 
 120,000   Brighthouse Financial, Inc.     5.625  05/15/30   147,045 
 150,000   Fairfax Financial Holdings Ltd. , Series 144A, B     4.850  04/17/28   168,242 
 90,000   Liberty Mutual Group, Inc.(a)     4.250  06/15/23   98,001 
 150,000   Liberty Mutual Group, Inc.(a)     4.569  02/01/29   181,082 
 180,000   Lincoln National Corporation (i)  3 Month Libor + 2.040%  2.264  04/20/67   143,888 
 160,000   MetLife, Inc. (e) (i)  HIST5Y + 3.576%  3.850  03/15/69   165,600 
 76,000   MetLife, Inc. (e) (i)  3 Month Libor + 2.959%  5.875  09/15/66   88,274 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount      Variable Rate  Rate %  Maturity  Value ($) 
     CORPORATE BONDS — 35.1% (Continued)              
     INSURANCE — 2.3% (Continued)              
 70,000   Prudential Financial, Inc.(i)  3 Month Libor + 4.175%  5.875  09/15/42   74,217 
 230,000   Prudential Financial, Inc.(i)  3 Month Libor + 3.920%  5.625  06/15/43   247,562 
 60,000   Trinity Acquisition plc     4.400  03/15/26   69,465 
 145,000   Voya Financial, Inc. (e) (i)  3 Month Libor + 3.580%  5.650  05/15/53   153,953 
                  2,051,365 
     INTERNET MEDIA & SERVICES — 0.1%              
 100,000   TripAdvisor, Inc.(a)     7.000  07/15/25   108,201 
                    
     LEISURE FACILITIES & SERVICES — 0.4%              
 25,000   Caesars Entertainment, Inc.(a)     6.250  07/01/25   26,482 
 45,000   Gateway Casinos & Entertainment Ltd.(a)     8.250  03/01/24   41,845 
 20,000   International Game Technology plc(a)     5.250  01/15/29   21,382 
 95,000   Marriott Ownership Resorts, Inc.     4.750  01/15/28   96,050 
 80,000   Scientific Games International, Inc.(a) (e)     5.000  10/15/25   82,545 
 50,000   Scientific Games International, Inc.(a)     8.250  03/15/26   52,955 
 20,000   Scientific Games International, Inc.(a)     7.000  05/15/28   21,234 
                  342,493 
     MACHINERY — 0.8%              
 290,000   Flowserve Corporation (e)     3.500  10/01/30   308,894 
 165,000   Hillenbrand, Inc.     4.500  09/15/26   187,894 
 165,000   Stanley Black & Decker, Inc. (i)  HIST5Y + 2.657%  4.000  03/15/60   175,119 
                  671,907 
     METALS & MINING — 0.7%              
 70,000   Alliance Resource Operating Partners, L.P. (a)     7.500  05/01/25   61,863 
 160,000   Cleveland-Cliffs, Inc.(a) (e)     6.750  03/15/26   172,366 
 160,000   Glencore Funding, LLC(a) (e)     1.625  09/01/25   163,778 
 145,000   Teck Resources Ltd.     6.125  10/01/35   184,476 
                  582,483 
     OIL & GAS PRODUCERS — 2.5%              
 150,000   Aker BP ASA(a)     2.875  01/15/26   154,575 
 155,000   Boardwalk Pipelines, L.P., B     4.950  12/15/24   175,024 
 45,000   Cheniere Energy, Inc.(a)     4.625  10/15/28   46,978 
 75,000   CrownRock, L.P. / CrownRock Finance, Inc.(a)     5.625  10/15/25   74,953 
 15,000   EQM Midstream Partners, L.P.(a)     6.000  07/01/25   15,710 
 20,000   EQM Midstream Partners, L.P.(a)     6.500  07/01/27   21,630 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount      Variable Rate  Rate %  Maturity  Value ($) 
     CORPORATE BONDS — 35.1% (Continued)              
     OIL & GAS PRODUCERS — 2.5% (Continued)              
 35,000   EQM Midstream Partners, L.P.(a)     4.500  01/15/29   33,946 
 35,000   EQM Midstream Partners, L.P.(a)     4.750  01/15/31   33,832 
 165,000   HollyFrontier Corporation (e)     5.875  04/01/26   186,934 
 70,000   Indigo Natural Resources, LLC(a)     5.375  02/01/29   69,300 
 160,000   Kinder Morgan, Inc. (e)     4.300  06/01/25   180,811 
 45,000   Kinder Morgan, Inc.     7.750  01/15/32   66,441 
 15,000   Murphy Oil USA, Inc.(a)     3.750  02/15/31   15,038 
 5,000   Occidental Petroleum Corporation     5.500  12/01/25   5,233 
 70,000   Parsley Energy, LLC / Parsley Finance Corporation(a)     4.125  02/15/28   74,506 
 200,000   Pertamina Persero PT(a)     6.450  05/30/44   270,636 
 85,000   Petroleos Mexicanos (e)     6.500  03/13/27   87,720 
 185,000   Petroleos Mexicanos     7.690  01/23/50   175,191 
 200,000   Petronas Capital Ltd.(a)     3.500  04/21/30   225,690 
 100,000   Sabine Pass Liquefaction, LLC     6.250  03/15/22   104,869 
 65,000   Sabine Pass Liquefaction, LLC     4.200  03/15/28   73,753 
 140,000   Targa Resources Partners, L.P. / Targa Resources (e)     5.875  04/15/26   146,914 
                  

2,239,684

 
     OIL & GAS SERVICES & EQUIPMENT — 0.1%       
 80,000   Patterson-UTI Energy, Inc.     5.150  11/15/29   77,736 
 29,000   Transocean Guardian Ltd.(a)     5.875  01/15/24   25,429 
                  103,165 
     PUBLISHING & BROADCASTING — 0.1%              
 85,000   Meredith Corporation (e)     6.875  02/01/26   86,107 
                    
     REAL ESTATE OWNERS & DEVELOPERS 0.0%(c)       
 20,000   Kennedy-Wilson, Inc.     4.750  03/01/29   20,050 
                    
     REIT — 2.9%              
 260,000   American Assets Trust, L.P.     3.375  02/01/31   268,417 
 196,000   Corporate Office Properties, L.P.     3.600  05/15/23   207,666 
 220,000   EPR Properties (e)     4.750  12/15/26   229,173 
 80,000   ESH Hospitality, Inc.(a)     4.625  10/01/27   81,898 
 155,000   GLP Capital, L.P. / GLP Financing II, Inc.     5.750  06/01/28   184,717 
 190,000   Iron Mountain, Inc.(a)     4.875  09/15/29   198,170 
 105,000   iStar, Inc.     4.250  08/01/25   103,425 
 85,000   MPT Operating Partnership, L.P. / MPT Finance     5.000  10/15/27   89,843 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount      Variable Rate  Rate %  Maturity   Value ($) 
     CORPORATE BONDS — 35.1% (Continued)              
     REIT — 2.9% (Continued)              
 25,000   MPT Operating Partnership, L.P. / MPT Finance (e)     4.625  08/01/29   26,780 
 130,000   MPT Operating Partnership, L.P. / MPT Finance (e)     3.500  03/15/31   132,012 
 170,000   Office Properties Income Trust     4.500  02/01/25   181,327 
 105,000   Retail Opportunity Investments Partnership, L.P.     4.000  12/15/24   111,341 
 225,000   Retail Properties of America, Inc.     4.750  09/15/30   246,958 
 170,000   SBA Tower Trust , Series 2020-1-2, 1C(a),(b)     1.884  01/15/26   176,047 
 165,000   Service Properties Trust (e)     4.950  02/15/27   159,638 
 155,000   Spirit Realty, L.P.     3.200  02/15/31   162,899 
                  2,560,311 
     RETAIL - CONSUMER STAPLES — 0.2%              
 85,000   Albertsons Companies Inc / Safeway Inc / New(a)     3.250  03/15/26   85,744 
 105,000   Albertsons Companies Inc / Safeway Inc / New(a)     4.625  01/15/27   110,147 
 15,000   Albertsons Companies Inc / Safeway Inc / New(a)     3.500  03/15/29   14,831 
                  210,722 
     RETAIL - DISCRETIONARY — 0.3%              
 185,000   American Builders & Contractors Supply Company,(a)     4.000  01/15/28   191,094 
 75,000   QVC, Inc.     4.375  03/15/23   79,406 
                  270,500 
     SEMICONDUCTORS — 0.9%              
 180,000   Broadcom, Inc. (e)     4.150  11/15/30   204,041 
 148,000   Broadcom, Inc.(a)     2.450  02/15/31   147,366 
 175,000   Microchip Technology, Inc.(a)     4.250  09/01/25   183,317 
 270,000   SK Hynix, Inc.(a)     1.500  01/19/26   272,389 
                  807,113 
     SOFTWARE — 0.6%              
 265,000   Citrix Systems, Inc.     3.300  03/01/30   285,445 
 175,000   VMware, Inc. (e)     3.900  08/21/27   196,375 
 55,000   VMware, Inc.     4.700  05/15/30   65,043 
                  546,863 
     SPECIALTY FINANCE — 1.3%              
 150,000   AerCap Ireland Capital DAC / AerCap Global (e)     3.650  07/21/27   160,942 
 145,000   Aviation Capital Group, LLC(a) (e)     3.500  11/01/27   153,355 
 125,000   Avolon Holdings Funding Ltd.(a)     4.375  05/01/26   135,596 
 120,000   Capital One Financial Corporation (e)     4.200  10/29/25   136,118 
 165,000   Capital One Financial Corporation     3.750  07/28/26   184,795 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount      Variable Rate  Rate %  Maturity  Value ($) 
     CORPORATE BONDS — 35.1% (Continued)              
     SPECIALTY FINANCE — 1.3% (Continued)              
 65,000   Discover Financial Services (i)  HIST5Y + 5.783%  6.125  03/23/69   73,442 
 50,000   FirstCash, Inc.(a)     4.625  09/01/28   51,921 
 10,000   Fortress Transportation and Infrastructure(a) (e)     6.500  10/01/25   10,369 
 115,000   Ladder Capital Finance Holdings LLLP / Ladder(a) (e)     4.250  02/01/27   111,588 
 70,000   OneMain Finance Corporation     6.875  03/15/25   80,456 
 25,000   OneMain Finance Corporation     7.125  03/15/26   29,281 
                  1,127,863 
     STEEL — 0.1%              
 85,000   Commercial Metals Company     3.875  02/15/31   87,125 
                    
     TECHNOLOGY HARDWARE — 1.4%              
 105,000   Dell International, LLC / EMC Corporation(a)     8.100  07/15/36   153,451 
 94,000   Flex Ltd.     3.750  02/01/26   104,016 
 240,000   Hewlett Packard Enterprise Company (e)     4.900  10/15/25   279,383 
 255,000   HP, Inc.     3.400  06/17/30   277,616 
 96,429   Motorola Solutions, Inc.     4.600  02/23/28   114,926 
 50,000   Motorola Solutions, Inc.     4.600  05/23/29   59,369 
 75,000   Seagate HDD Cayman(a)     3.375  07/15/31   73,219 
 140,000   Xerox Holdings Corporation(a)     5.500  08/15/28   144,596 
                  1,206,576 
     TECHNOLOGY SERVICES — 0.4%              
 185,000   Leidos, Inc.(a)     2.300  02/15/31   186,208 
 160,000   Science Applications International Corporation(a)     4.875  04/01/28   168,675 
                  354,883 
     TELECOMMUNICATIONS — 1.2%              
 140,000   Consolidated Communications, Inc.(a) (e)     6.500  10/01/28   152,506 
 170,000   Level 3 Financing, Inc.(a)     4.250  07/01/28   174,896 
 5,000   Level 3 Financing, Inc.(a)     3.750  07/15/29   5,037 
 75,000    Sprint Spectrum Company, LLC / Sprint Spectrum , Series 2016-1(a)      3.360  09/20/21   75,781 
 200,000   Sprint Spectrum Company, LLC / Sprint Spectrum(a)     4.738  03/20/25   217,705 
 85,000   Telesat Canada / Telesat, LLC(a)     6.500  10/15/27   90,141 
 215,000   T-Mobile USA, Inc.(a)     3.875  04/15/30   243,511 
 85,000   Verizon Communications, Inc.(i)  3 Month Libor + 1.100%  1.321  05/15/25   87,518 
                  1,047,095 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount     Variable Rate  Rate %  Maturity   Value ($) 
     CORPORATE BONDS — 35.1% (Continued)              
     TOBACCO & CANNABIS — 0.3%              
 195,000   BAT Capital Corporation     4.906  04/02/30   230,731 
 40,000   Vector Group Ltd.(a)     5.750  02/01/29   41,401 
                  272,132 
                    
     TOTAL CORPORATE BONDS (Cost $29,432,755)            

30,907,152

 
                    
     MUNICIPAL BONDS — 3.3%              
     CITY — 0.6%              
 340,000   City of Bristol VA     4.210  01/01/42   364,918 
 145,000   City of San Antonio TX     1.963  02/01/33   148,334 
                  513,252 
     GOVERNMENT LEASE — 0.2%              
 145,000   Texas Public Finance Authority     2.140  02/01/35   147,613 
                    
     HIGHER EDUCATION — 0.1%              
 115,000   University of California     4.428  05/15/48   129,561 
                    
     HOSPITALS — 0.2%              
 135,000   Idaho Health Facilities Authority     5.020  03/01/48   171,773 
                    
     LOCAL AUTHORITY — 2.0%              
 325,000   San Diego County Regional Airport Authority     5.594  07/01/43   342,758 
 385,000   State of California (e)     7.600  11/01/40   689,049 
 600,000   State of Texas     3.211  04/01/44   645,762 
 35,000   Texas Transportation Commission State Highway Fund     4.000  10/01/33   44,154 
                  

1,721,723

 
     SALES TAX 0.0%(c)              
 20,000   Sales Tax Securitization Corporation     3.411  01/01/43   21,572 
                    
     WATER AND SEWER — 0.2%              
 160,000   Santa Clara Valley Water District     2.967  06/01/50   161,898 
                    
     TOTAL MUNICIPAL BONDS (Cost $2,608,777)            

2,867,392

 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount      Variable Rate  Rate %  Maturity  Value ($) 
     NON U.S. GOVERNMENT & AGENCIES — 2.1%              
 200,000   Brazilian Government International Bond (e)     3.875  06/12/30   206,100 
 200,000   Emirate of Dubai Government International Bonds     5.250  01/30/43   233,026 
 200,000   Mexico Government International Bond (e)     2.659  05/24/31   199,408 
 200,000   Oman Government International Bond(a)     7.375  10/28/32   227,619 
 200,000   Qatar Government International Bond(a)     4.400  04/16/50   256,296 
 200,000   Republic of South Africa Government International     4.850  09/27/27   213,177 
 200,000   Saudi Government International Bond(a) (e)     3.250  10/22/30   218,130 
 325,000   Turkey Government International Bond (e)     5.875  06/26/31   331,575 
     TOTAL NON U.S. GOVERNMENT & AGENCIES (Cost $1,876,366)     1,885,331 
                    
     TERM LOANS — 6.0%              
     AEROSPACE & DEFENSE — 0.4%              
 94,288   AI Convoy Luxembourg Sarl(i)  6 Month Libor + 3.500%  4.500  01/20/27   94,513 
 208,878   TransDigm, Inc.(i)  1 Month Libor + 2.250%  2.396  05/30/25   206,053 
                  300,566 
     AUTOMOTIVE — 0.1%              
 68,785   Cooper-Standard Automotive, Inc.(i)  1 Month Libor + 2.00%  2.750  11/02/23   65,616 
                    
     BIOTECH & PHARMA 0.0%(c)              
 22,500   Bausch Health Americas, Inc.(i)  1 Month Libor + 2.750%  2.898  06/01/25   22,501 
 7,224   Bausch Health Americas, Inc.(i)  1 Month Libor +3.000%  3.143  06/01/25   7,240 
                  29,741 
     CABLE & SATELLITE — 0.3%              
 64,673   Charter Communications Operating, LLC(b)  1 Month Libor + 1.750%  1.900  02/01/27   64,686 
 99,492   CSC Holdings, LLC(b)  1 Month Libor + 2.250%  2.409  01/11/26   99,088 
 45,000   Newco Financing Partnership(b)  1 Month Libor + 3.500%  3.673  01/31/29   45,110 
 17,860   Radiate Holdco, LLC(b)  1 Month Libor + 3.500%  4.250  09/11/26   17,897 
 45,000   UPC Financing Partnership(b)  1 Month Libor + 3.500%  3.677  01/31/29   45,110 
 20,000   Virgin Media Bristol, LLC(b)  1 Month Libor + 3.250%  0.000  01/10/29   20,063 
                  291,954 
     CHEMICALS — 0.5%              
 45,000   Gemini HDPE, LLC(b)  3 Month Libor + 3.000%  0.000  12/11/27   44,850 
 129,333   INEOS US Finance, LLC(b)  1 Month Libor + 2.000%  2.147  03/31/24   128,811 
 135,000   INEOS US Petrochem, LLC(b)  1 Month Libor + 2.750%  0.000  01/21/26   135,703 
 159,583   Nouryon USA, LLC(b)  1 Month Libor + 3.000%  3.153  10/01/25   159,185 
                  468,549 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount      Variable Rate  Rate %  Maturity  Value ($) 
     TERM LOANS — 6.0% (Continued)              
     COMMERCIAL SUPPORT SERVICES — 0.2%              
 30,000   AlixPartners LLP(b)  1 Month Libor + 2.750%  0.000  01/28/28   30,025 
 24,813   Aramark Services, Inc.(b)  1 Month Libor + 1.750%  1.895  12/10/26   24,626 
 76,620   CHG Healthcare Services, Inc.(b)  3 Month Libor + 3.000%  4.000  06/07/23   76,681 
 81,215   TKC Holdings, Inc.(b)  3 Month Libor + 3.750%  4.750  02/01/23   79,886 
                  211,218 
     CONSTRUCTION MATERIALS — 0.2%              
 40,087   AZEK Company, LLC (The)(b)  3 Month Libor + 3.750%  4.750  05/04/24   40,192 
 97,733   Summit Materials, LLC(b)  1 Month Libor + 2.000%  2.145  11/10/24   97,743 
                  137,935 
     CONTAINERS & PACKAGING — 0.2%              
 168,796   Berry Global, Inc.(b)  1 Month Libor + 2.000%  2.133  05/17/26   168,764 
                    
     ELECTRIC UTILITIES — 0.3%              
 48,553   APLP Holdings, L.P.(b)  1 Month Libor + 2.500%  3.500  04/19/25   48,636 
 125,000   Astoria Energy, LLC(b)  3 Month Libor + 3.500%  4.500  12/10/27   125,293 
 98,500   Calpine Corporation(b)  1 Month Libor + 2.250%  2..371  04/01/26   98,453 
                  272,382 
     ELECTRICAL EQUIPMENT — 0.2%              
 187,949   Brookfield WEC Holdings, Inc.(b) (h)  1 Month Libor + 2.750%  3.750  08/01/25   188,114 
 9,925   Ingersoll-Rand Services Company(b)  1 Month Libor + 1.750%  1.871  02/28/27   9,889 
                  198,003 
     FOOD — 0.1%              
 100,000   CHG PPC Parent, LLC(b)  1 Month Libor + 2.750%  2.871  03/23/25   99,313 
                    
     HEALTH CARE FACILITIES & SERVICES — 0.3%              
 49,496   Catalent Pharma Solutions, Inc.(b)  1 Month Libor + 2.250%  3.250  05/10/26   49,744 
 107,250   IQVIA, Inc.(b)  3 Month Libor + 1.750%  2.004  06/08/25   107,394 
 71,596   Legacy LifePoint Health, LLC(b)  1 Month Libor + 3.750%  3.897  11/16/25   71,645 
 20,000   PPD, Inc.(b)  1 Month Libor + 2.250%  2.750  01/06/28   20,115 
                  248,898 
     HOME & OFFICE PRODUCTS — 0.1%              
 75,000   Weber-Stephen Products, LLC(b)  1 Month Libor + 3.250%  4.000  10/20/27   75,356 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount      Variable Rate  Rate %  Maturity  Value ($) 
     TERM LOANS — 6.0% (Continued)              
     HOME CONSTRUCTION — 0.1%              
 30,000   CP Atlas Buyer, Inc.(b)  3 Month Libor + 4.500%  5.250  11/20/27   30,069 
 10,000   CP Atlas Buyer, Inc.(b)  3 Month Libor + 4.500%  5.250  11/20/27   10,023 
                  40,092 
     INSTITUTIONAL FINANCIAL SERVICES — 0.1%              
 100,000   Citadel Securities, L.P.(b)  1 Month Libor + 2.500%  0.000  02/27/28   99,667 
                    
     INSURANCE — 0.1%              
 203,146   Sedgwick Claims Management Services, Inc.(b)  1 Month Libor + 3.250%  3.371  11/05/25   202,243 
                    
     INTERNET MEDIA & SERVICES — 0.1%              
 64,350   Pug, LLC(b)  1 Month Libor + 3.500%  3.621  12/31/49   61,937 
                    
     LEISURE FACILITIES & SERVICES — 0.3%              
 14,925   Aristocrat International Pty Ltd.(b)  3 Month Libor + 3.750%  4.750  10/19/24   15,025 
 154,357   Boyd Gaming Corporation(b)  ICE LIBOR USD 1 Week + 2.250%  2.342  09/15/23   154,172 
 39,608   Station Casinos, LLC(b)  1 Month Libor + 2.250%  2.500  01/31/27   39,088 
                  208,285 
     MACHINERY — 0.4%              
 60,000   Alliance Laundry Systems, LLC(b)  3 Month Libor + 3.500%  4.250  09/30/27   60,287 
 9,950   Gardner Denver, Inc.(b)  1 Month Libor + 2.750%  2.871  02/28/27   9,971 
 85,698   Seminole Tribe of Florida, Inc.(b)  1 Month Libor + 1.750%  1.871  07/06/24   85,820 
 134,625   Star US Bidco, LLC(b)  1 Month Libor + 4.250%  5.250  03/03/27   134,289 
                  290,367 
     MEDICAL EQUIPMENT & DEVICES — 0.1%              
 112,686   Greatbatch Ltd.(b)  1 Month Libor + 2.500%  3.500  10/27/22   112,897 
                    
     OIL & GAS PRODUCERS — 0.1%              
 24,813   Buckeye Partners, L.P.(b)  1 Month Libor + 2.750%  2.897  10/16/26   24,852 
 58,218   CITGO Petroleum Corporation(b)  3 Month Libor + 6.250%  7.250  03/27/24   58,058 
                  82,910 
     PUBLISHING & BROADCASTING — 0.1%              
 73,333   Nexstar Broadcasting, Inc.(b)  1 Month Libor + 2.750%  2.894  06/20/26   73,506 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount      Variable Rate  Rate %  Maturity  Value ($) 
     TERM LOANS — 6.0% (Continued)              
     RETAIL - DISCRETIONARY — 0.1%              
 105,000   Harbor Freight Tools USA, Inc.(b)  1 Month Libor + 3.250%  4.000  10/14/27   105,276 
 20,000   PetSmart, Inc.(b)  1 Month Libor + 4.500%  0.000  01/29/28   19,800 
                  125,076 
     SOFTWARE — 0.4%              
 59,692   Applied Systems, Inc.(b)  3 Month Libor + 3.000%  4.000  09/18/24   59,865 
 133,162   Boxer Parent Company, Inc.(b)  1 Month Libor + 4.25%  4.371  06/28/25   133,224 
 125,000   Sophia, L.P.(b)  3 Month Libor + 3.750%  4.500  09/23/27   125,656 
 64,900   UKG, Inc.(b)  3 Month Libor + 3.250%  4.750  05/03/26   65,271 
                  384,016 
     SPECIALTY FINANCE — 0.1%              
 75,000   Avolon TLB Borrower 1 US, LLC(b)  1 Month Libor + 2.500%  3.250  12/01/27   75,450 
                    
     TECHNOLOGY HARDWARE — 0.1%              
 63,649   Dell International, LLC(b) (e)  1 Month Libor + 2.000%  2.750  09/12/25   63,853 
                    
     TECHNOLOGY SERVICES — 0.2%              
 169,200   Dun & Bradstreet Corporation (The)(b)  1 Month Libor + 3.250%  3..378  02/01/26   169,865 
                    
     TELECOMMUNICATIONS — 0.4%              
 39,588   CenturyLink, Inc.(b)  1 Month Libor + 2.250%  2.371  03/15/27   39,533 
 44,888   Consolidated Communications, Inc.(b)  1 Month Libor + 4.750%  5.750  10/18/27   45,331 
 179,337   SBA Senior Finance II, LLC(b)  1 Month Libor + 1.750%  1.871  04/11/25   178,991 
 115,717   Zayo Group Holdings, Inc.(b)  1 Month Libor + 3.000%  3.121  02/21/27   115,211 
                  379,066 
     TRANSPORTATION & LOGISTICS — 0.3%              
 103,939   American Airlines, Inc.(b)  1 Month Libor + 1.750%  1.878  06/27/25   93,791 
 120,000   Mileage Plus Holdings, LLC(b)  3 Month Libor + 5.250%  6.250  06/25/27   128,207 
                  221,998 
     TRANSPORTATION EQUIPMENT — 0.1%              
 87,525   Navistar, Inc.(b)  1 Month Libor + 3.500%  3.630  11/02/24   87,645 
                    
     TOTAL TERM LOANS (Cost $5,217,393)            5,247,168 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

          Interest       
Principal Amount     Variable Rate  Rate %  Maturity   Value ($) 
     U.S. GOVERNMENT & AGENCIES — 21.6%              
     AGENCY FIXED RATE — 2.3%              
 46,070   Fannie Mae Pool 310041     6.500  05/01/37   55,937 
 13,286   Fannie Mae Pool 735061     6.000  11/01/34   15,979 
 12,274   Fannie Mae Pool 866009     6.000  03/01/36   14,781 
 24,542   Fannie Mae Pool 909175     5.500  04/01/38   28,682 
 60,989   Fannie Mae Pool 909220     6.000  08/01/38   71,830 
 117,655   Fannie Mae Pool 938574     5.500  09/01/36   137,585 
 18,030   Fannie Mae Pool 962752     5.000  04/01/38   20,988 
 111,354   Fannie Mae Pool AA7001     5.000  06/01/39   129,512 
 89,826   Fannie Mae Pool AS6522     3.500  01/01/46   96,712 
 131,873   Fannie Mae Pool AS7026     4.000  04/01/46   143,275 
 205,860   Fannie Mae Pool BJ9260     4.000  04/01/48   221,361 
 114,255   Fannie Mae Pool CA4128     3.000  09/01/49   120,437 
 176,481   Fannie Mae Pool CA4978     3.000  01/01/50   186,110 
 257,547   Fannie Mae Pool MA3803     3.500  10/01/49   273,672 
 337,704   Fannie Mae Pool MA3905     3.000  01/01/50   355,419 
 128,247   Freddie Mac Gold Pool G01980     5.000  12/01/35   149,222 
 18,234   Freddie Mac Gold Pool G05888     5.500  10/01/39   21,466 
                  2,042,968 
     U.S. TREASURY BONDS — 6.7%              
 590,000   United States Treasury Bond     3.000  08/15/48   742,824 
 1,280,000   United States Treasury Bond     2.875  05/15/49   1,581,350 
 1,260,000   United States Treasury Bond     2.000  02/15/50   1,305,823 
 2,500,000   United States Treasury Bond     1.375  08/15/50   2,225,976 
                  5,855,973 
     U.S. TREASURY NOTES — 12.6%              
 1,010,000   United States Treasury Note     0.125  05/31/22   1,010,316 
 3,500,000   United States Treasury Note     0.250  05/31/25   3,484,824 
 1,210,000   United States Treasury Note     2.875  08/15/28   1,390,602 
 3,890,000   United States Treasury Note (e)     2.625  02/15/29   4,411,655 
 770,000   United States Treasury Note     1.500  02/15/30   802,454 
                  11,099,851 
                    
     TOTAL U.S. GOVERNMENT & AGENCIES (Cost $19,125,098)     18,998,792 

 

 

DUNHAM CORPORATE/GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares         Value ($) 
     COLLATERAL FOR SECURITIES LOANED — 17.1%        
 15,023,572   Mount Vernon Prime Portfolio (Cost $15,023,572)(b)(f)  0.150   15,023,572 
              
     TOTAL INVESTMENTS – 114.6% (Cost $98,674,484)     $100,756,266 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (14.6)%      (12,795,524)
     NET ASSETS - 100.0%     $87,960,742 

 

ETF- Exchange-Traded Fund

 

LLC - Limited Liability Corporation

 

LP - Limited Partnership

 

Perpetual - Perpetual bonds are fixed income instruments without defined maturity dates

 

REITs - Real Estate Investment Trusts

 

SARL - Private Limited Liability Company in Luxembourg

 

(a)Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2021 the total market value of 144A securities is 34,681,681 or 39.4%

 

(b)Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

 

(c)Percentage rounds to less than 0.1%.

 

(d)Rate disclosed is the seven day effective yield as of January 31, 2021.

 

(e)All or a portion of these securities are on loan. Total loaned securities had a value of $14,690,837 at January 31, 2021.

 

(f)The Trust’s securities lending policies and procedures require that the borrower. (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

(g)Step up Bond the interest rate shown is the rate in effect as of January 31,2021.

 

(h)Security has not settled. Interest rate will be set at settlement.

 

(i)Variable rate security. Interest rate is as of January 31, 2021.

 

H15T10Y 10 Year US Treasury Yield Curve Constant Maturity Rate
   
H15T5Y 5 Year US Treasury Yield Curve Constant Maturity Rate
   
USSW5 5 Year USSW Rate
   
SOFRRATE Secured Overnight Financing Rate

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Floating Rate Bond Fund
January 31, 2021

 

   Variable    Principal   Interest    Maturity    
Security  Rate    Amount   Rate %    Date  Value 
TERM LOANS - 96.4%                        
BASIC MATERIALS - 5.7%                        
Acuity Specialty Products, Inc. (aka Zep Inc.), Initial Term Loan (First Lien)  LIBOR + 4.000  %  963,083    5.000  +  8/12/2024  $955,460 
Aruba Investments Holdings, LLC, Initial Dollar Term Loan (First Lien)  LIBOR + 4.000  %   445,000    4.750  +  11/24/2027   448,062 
Ascend Performance Materials Operations LLC, Initial Term Loan  LIBOR + 5.250  %   222,750    6.250  +  8/28/2026   224,671 
Covia Holdings Corporation (fka Unimin Corporation), Initial Term Loan **  LIBOR + 4.000  %   460,531    4.119  +  5/31/2025   446,140 
Diamond (BC) B.V. (aka Diversey), Initial USD Term Loan  LIBOR + 3.000  %   1,199,909    3.121  +  9/06/2024   1,197,660 
Diamond (BC) B.V. (aka Diversey), New Term Loan  LIBOR + 5.000  %   189,525    6.000  +  9/06/2024   189,762 
Element Solutions Inc (Macdermid, Incorporated), Tranche B-1 Term Loan  LIBOR + 2.000  %   720,369    2.121  +  1/30/2026   719,922 
H.B. Fuller Company, Commitment  LIBOR + 2.000  %   654,060    2.129  +  10/20/2024   654,698 
Hexion Inc., USD Term Loan  LIBOR + 3.500  %   566,375    3.737  +  6/30/2026   568,499 
Ineos US Finance LLC, New 2024 Dollar Term Loan  LIBOR + 2.000  %   2,264,293    2.121  +  3/31/2024   2,255,156 
Ineos US Petrochem, LLC, Term Loan B (USD)  LIBOR + 2.750  %   520,000    2.869  +  1/29/2026   522,709 
Innophos Holdings, Inc., Initial Term Loan  LIBOR + 3.500  %   441,663    3.621  +  2/04/2027   442,583 
NIC Acquisition Corporation, Term Loan  LIBOR + 3.750  %   190,000    3.869  +  12/29/2027   190,951 
Nouryon Finance B.V. (aka AkzoNobel), Initial Dollar Term Loan  LIBOR + 3.000  %   1,078,296    3.129  +  9/30/2025   1,075,600 
                       9,891,873 
COMMUNICATIONS - 15.6%                        
Altice France S.A., USD TLB-13 Incremental Term Loan  LIBOR + 4.000  %   229,713    4.127  +  8/14/2026   230,159 
Barracuda Networks, Inc., 2020 Term Loan (First Lien)  LIBOR + 3.750  %   608,475    4.500  +  2/12/2025   609,868 
CenturyLink, Inc., Term B Loan  LIBOR + 2.250  %   727,650    2.371  +  3/16/2027   726,649 
Charter Communications Operating, LLC (aka CCO Safari LLC), Term B-2 Loan  LIBOR + 1.750  %   1,867,834    1.871  +  1/31/2027   1,868,226 
Clear Channel Outdoor Holdings, Inc., Term B Loan  LIBOR + 3.500  %   835,777    3.711  +  8/20/2026   817,231 
CNT Holdings I Corporation, Initial Term Loan (First Lien)  LIBOR + 3.750  %   660,000    4.500  +  11/08/2027   664,597 
Consolidated Communications, Inc., Initial Term Loan  LIBOR + 4.750  %   763,088    5.750  +  10/02/2027   770,631 
CSC Holdings, LLC (fka CSC Holdings Inc. (Cablevision)), March 2017 Refinancing Term Loan  LIBOR + 2.250  %   1,724,937    2.376  +  7/16/2025   1,718,072 
CSC Holdings, LLC (fka CSC Holdings Inc. (Cablevision)), October 2018 Incremental Term Loan  LIBOR + 2.250  %   372,400    2.376  +  1/16/2026   370,888 
Diamond Sports Group, LLC, Term Loan  LIBOR + 3.250  %   600,136    3.371  +  8/24/2026   515,619 
Hoya Midco, LLC (aka Vivid Seats LLC), Initial Term Loan (First Lien)  LIBOR + 3.500  %   926,090    4.500  +  6/30/2024   891,362 
iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.), New Term Loan  LIBOR + 3.000  %   1,775,600    3.121  +  4/30/2026   1,756,956 
Intelsat Jackson Holdings S.A., Tranche B-3 Term Loan  LIBOR + 5.750  %   660,000    8.000  +  11/28/2023   669,860 
Intelsat Jackson Holdings S.A., Tranche B-5 Term Loan  LIBOR + 8.625  %   354,000    8.625  +  1/02/2024   360,721 
Intrado Corporation, Initial Term B Loan  LIBOR + 4.000  %   437,266    5.000  +  10/10/2024   431,116 
Intrado Corporation, Incremental Term B-1 Loan  LIBOR + 3.500  %   243,750    4.500  +  10/10/2024   239,560 
Level 3 Financing, Inc., Tranche B 2027 Term Loan  LIBOR + 1.750  %   1,936,567    1.871  +  2/28/2027   1,928,705 
McGraw Hill LLC, Term B Loan (First Lien)  LIBOR + 4.750  %   830,155    5.750  +  10/31/2024   818,953 
Meredith Corporation, Tranche B-2 Term Loan  LIBOR + 2.500  %   520,864    2.621  +  2/01/2025   518,213 
NewCo I B.V., Facility AV1  LIBOR + 3.500  %   495,000    3.626  +  2/01/2029   496,208 
Nexstar Broadcasting, Inc., Term B-4 Loan  LIBOR + 2.750  %   905,472    2.894  +  9/18/2026   907,609 
Numericable U.S. LLC, USD TLB-11 Term Loan  LIBOR + 2.750  %   627,250    2.871  +  8/01/2025   621,633 
Numericable U.S. LLC, USD TLB-[12] Term Loan  LIBOR + 3.688  %   772,770    3.814  +  2/01/2026   771,418 
Plantronics, Inc., Initial Term B Loan  LIBOR + 2.500  %   560,000    2.621  +  7/02/2025   555,486 
Pug LLC, USD Term B Loan  LIBOR + 3.500  %   742,500    3.621  +  2/12/2027   714,656 
Radiate HoldCo, LLC (aka RCN Grande), Term B Loan  LIBOR + 3.500  %   126,901    4.250  +  9/24/2026   127,165 
Rodan & Fields, LLC, Closing Date Term Loan  LIBOR + 4.000  %   628,875    4.127  +  6/16/2025   554,353 
SBA Senior Finance II LLC, Initial Term Loan  LIBOR + 1.750  %   1,130,546    1.871  +  4/12/2025   1,128,364 
Sinclair Television Group, Inc., Tranche B Term Loan  LIBOR + 2.250  %   850,163    2.371  +  1/04/2024   845,912 
Uber Technologies, Inc., 2018 Refinancing Term Loan  LIBOR + 3.500  %   1,057,246    3.621  +  7/12/2023   1,060,766 
Univision Communications Inc., 2017 Replacement Repriced First-Lien Term Loan  LIBOR + 2.750  %   1,992,315    3.750  +  3/16/2024   1,991,608 
UPC Financing Partnership , Facility AV  LIBOR + 3.500  %   495,000    3.626  +  2/01/2029   496,208 
Virgin Media Bristol LLC, N Facility  LIBOR + 2.500  %   500,000    2.626  +  2/01/2028   498,715 
Zayo Group Holdings, Inc., Initial Dollar Term Loan  LIBOR + 3.000  %   489,934    3.121  +  3/08/2027   487,791 
                       27,165,278 
CONSUMER, CYCLICAL - 15.2%                        
Accuride Corporation, 2017 Refinancing Term Loan  LIBOR + 5.250  %   442,790    6.250  +  11/16/2023   406,481 
American Airlines, Inc., 2017 Class B Term Loan  LIBOR + 2.000  %   479,568    2.126  +  12/16/2023   447,660 
American Axle & Manufacturing, Inc., Tranche B Term Loan  LIBOR + 2.250  %   1,149,876    3.000  +  4/06/2024   1,145,207 
American Builders & Contractors Supply Co., Inc., Restatement Effective Date Term Loan  LIBOR + 2.000  %   1,095,209    2.121  +  1/16/2027   1,093,156 
Aramark Intermediate HoldCo Corporation, U.S. Term B-2 Loan  LIBOR + 1.750  %   195,170    1.871  +  3/28/2024   194,520 
Aramark Intermediate HoldCo Corporation, U.S. Term B-3 Loan  LIBOR + 1.750  %   1,357,024    1.871  +  3/12/2025   1,350,965 
Aristocrat Leisure Limited, Initial Term Loan  LIBOR + 3.750  %   49,750    4.750  +  10/20/2024   50,084 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Floating Rate Bond Fund (Continued)
January 31, 2021

 

   Variable    Principal   Interest    Maturity    
Security  Rate    Amount   Rate %    Date  Value 
TERM LOANS - 96.4% (Continued)                        
CONSUMER, CYCLICAL - 15.2% (Continued)                        
Aristocrat Leisure Limited, Term B-3 Loan  LIBOR + 1.750  %  $1,368,045    1.974  +  10/20/2024  $1,365,192 
Bass Pro Group, LLC, Initial Term Loan  LIBOR + 5.000  %   917,115    5.750  +  9/24/2024   920,224 
Boyd Gaming Corporation, Refinancing Term B Loan  LIBOR + 2.250  %   662,243    2.342  +  9/16/2023   661,448 
Caesars Resort Collection, LLC, Term B-1 Loan  LIBOR + 4.500  %   678,300    4.621  +  6/20/2025   679,111 
Carlisle FoodService Products, Inc., Initial Term Loan (First Lien)  LIBOR + 3.000  %   545,415    4.000  +  3/20/2025   522,916 
Carnival Corporation, Initial Advance (USD)  LIBOR + 7.500  %   129,350    8.500  +  6/30/2025   133,696 
CCM Merger, Inc. (MotorCity Casino Hotel), Term B Loan  LIBOR + 3.750  %   365,000    4.500  +  11/04/2025   367,737 
CityCenter Holdings, LLC, Term B Loan  LIBOR + 2.250  %   941,908    3.000  +  4/18/2024   931,707 
Clarios Global LP, Initial Dollar Term Loan (First Lien)  LIBOR + 3.500  %   828,583    3.621  +  4/30/2026   830,136 
Cooper-Standard Automotive Inc., Additional Term B-1 Loan  LIBOR + 2.000  %   778,436    2.750  +  11/02/2023   742,574 
DexKo Global Inc., Replacement U.S. Dollar Term B Loan (First Lien)  LIBOR + 3.500  %   505,370    4.500  +  7/24/2024   506,793 
Gateway Casinos & Entertainment Limited, Initial Term Loan  LIBOR + 3.500  %   492,373    3.619  +  3/12/2025   482,447 
Golden Nugget Online Gaming, Inc., 2020 Initial Term Loan  LIBOR + 12.000  %   15,000    13.000  +  10/04/2023   17,100 
Golden Nugget, Inc. (aka Landry’s Inc.), Initial B Term Loan  LIBOR + 2.500  %   1,155,545    3.250  +  10/04/2023   1,135,508 
Harbor Freight Tools USA, Inc., Initial Loan (2020)  LIBOR + 3.250  %   1,278,165    4.000  +  10/20/2027   1,281,520 
Isagenix International, LLC, Senior Lien Term Loan  LIBOR + 5.750  %   511,404    6.750  +  6/14/2025   286,386 
Kestrel Bidco Inc. (aka WestJet Airlines), Term Loan  LIBOR + 3.000  %   578,180    4.000  +  12/12/2026   558,160 
LBM Acquisition, LLC, Initial Term Loan (First Lien)  LIBOR + 3.750  %   65,000    4.500  +  12/16/2027   65,219 
LBM Acquisition, LLC, Initial Delayed Draw Term Loan (First Lien)  LIBOR + 3.750  %   13,860    3.869  +  12/18/2027   13,906 
Michaels Stores, Inc., 2020 Refinancing Term B Loan  LIBOR + 3.500  %   810,927    4.250  +  9/30/2027   811,941 
Mileage Plus Holdings LLC (Mileage Plus Intellectual Property Assets, Ltd.), Initial Term Loan  LIBOR + 5.250  %   995,000    6.250  +  6/20/2027   1,063,053 
Navistar, Inc., Tranche B Term Loan  LIBOR + 3.500  %   914,150    3.629  +  11/06/2024   915,407 
Ozark Holdings LLC (aka Royal Oak), 2020 Refinancing Term Loan  LIBOR + 4.000  %   185,000    4.750  +  12/16/2027   185,983 
Park River Holdings, Inc., Initial Term Loan (First Lien)  LIBOR + 4.000  %   165,000    4.000  +  12/28/2027   165,598 
Petco Animal Supplies, Inc., Term Loan  LIBOR + 3.250  %   610,523    4.250  +  1/26/2023   610,697 
PetSmart, Inc., Term Loan B  LIBOR + 4.500  %   160,000    4.619  +  2/11/2028   158,400 
Playa Resorts Holding B.V., Initial Term Loan  LIBOR + 2.750  %   711,313    3.750  +  4/28/2024   688,195 
Protective Industrial Products, Inc., Initial Term Loan  LIBOR + 4.000  %   650,000    4.119  +  12/29/2027   650,812 
Scientific Games International, Inc., Initial Term B-5 Loan  LIBOR + 2.750  %   1,045,127    2.871  +  8/14/2024   1,029,288 
Serta Simmons Bedding, LLC, Initial Term Loan (First Lien)  LIBOR + 3.500  %   293,760    4.500  +  11/08/2023   176,957 
Station Casinos LLC, Term B-1 Facility Loan  LIBOR + 2.250  %   445,592    2.500  +  2/08/2027   439,743 
Tenneco Inc., Tranche B Term Loan  LIBOR + 3.000  %   779,100    3.121  +  9/30/2025   771,991 
TI Group Automotive Systems, L.L.C., Initial US Term Loan (2020)  LIBOR + 3.750  %   315,529    4.500  +  12/16/2024   316,712 
TKC Holdings, Inc., Initial Term Loan (First Lien)  LIBOR + 3.750  %   692,744    4.750  +  1/31/2023   681,401 
Truck Hero, Inc., Term Loan B  LIBOR + 3.750  %   510,000    3.869  +  1/31/2028   511,849 
UFC Holdings, LLC, Term B-1 Loan (First Lien)  LIBOR + 3.250  %   1,074,039    3.369  +  4/28/2026   1,074,442 
                       26,442,322 
CONSUMER, NON-CYCLICAL - 24.9%                        
Accelerated Health Systems, LLC (Athletico Management, LLC), Initial Term Loan  LIBOR + 3.500  %   455,700    3.629  +  11/01/2025   455,130 
Advanz Pharma Corporation, Initial Dollar Term Loan  LIBOR + 5.500  %   529,946    6.500  +  9/06/2024   529,697 
Agiliti Health, Inc., Amendment No. 2 Term Loan  LIBOR + 2.750  %   370,000    3.500  +  1/04/2026   369,537 
AHP Health Partners, Inc. (aka Ardent Health Partners, LLC), Term Loan  LIBOR + 4.500  %   565,437    5.500  +  6/30/2025   568,884 
AlixPartners, LLP, 2017 Refinancing Term Loan  LIBOR + 2.500  %   1,205,488    2.621  +  4/04/2024   1,205,904 
AlixPartners, LLP, USD Term Loan B  LIBOR + 2.750  %   435,000    2.869  +  2/04/2028   435,363 
Amentum Government Services Holdings LLC, Tranche 2 Term Loan (First Lien)  LIBOR + 4.750  %   815,000    5.500  +  1/28/2027   821,112 
Arterra Wines Canada, Inc., Initial Tranche B-1 Term Loan  LIBOR + 3.500  %   495,000    4.250  +  11/24/2027   499,022 
Bausch Health Companies Inc., Initial Term Loan  LIBOR + 3.000  %   908,709    3.121  +  6/02/2025   910,626 
Bausch Health Companies Inc., First Incremental Term Loan  LIBOR + 2.750  %   161,250    2.871  +  11/28/2025   161,263 
Cano Health, LLC, Initial Term Loan  LIBOR + 5.250  %   527,634    5.500  +  11/24/2027   526,315 
Cano Health, LLC, Delayed Draw Term Loan  LIBOR + 4.750  %   192,366    4.869  +  11/24/2027   191,886 
CHG Healthcare Services, Inc. (fka CHG Buyer Corporation), New Term Loan (2017) (First Lien)  LIBOR + 3.000  %   804,777    4.000  +  6/08/2023   805,425 
CHG PPC Parent LLC, Initial Term Loan (First Lien)  LIBOR + 2.750  %   575,250    2.871  +  4/01/2025   571,295 
Chobani, LLC, 2020 New Term Loan  LIBOR + 3.500  %   882,788    4.500  +  10/24/2027   887,480 
CPI Acquisition, Inc., Term Loan (First Lien)  LIBOR + 4.500  %   673,336    5.500  +  8/16/2022   628,559 
CPI Holdco, LLC, Term B-1 Loan (First Lien)  LIBOR + 4.000  %   290,000    4.119  +  11/04/2026   290,906 
CPI Holdco, LLC, Closing Date Term Loan (First Lien)  LIBOR + 4.000  %   223,313    4.121  +  11/04/2026   224,010 
CSC SW Holdco, Inc. (fka CSC Serviceworks, Inc.) (aka Spin Holdco), Term B-1 Loan (First Lien)  LIBOR + 3.250  %   596,907    4.250  +  11/14/2022   596,871 
Dole Food Company, Inc., Tranche B Term Loan  LIBOR + 2.750  %   828,409    3.750  +  4/04/2024   829,743 
Elanco Animal Health, Inc., Term Loan  LIBOR + 1.750  %   769,545    1.894  +  7/31/2027   768,741 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Floating Rate Bond Fund (Continued)
January 31, 2021

 

   Variable    Principal   Interest    Maturity    
Security  Rate    Amount   Rate %    Date  Value 
TERM LOANS - 96.4% (Continued)                        
CONSUMER, NON-CYCLICAL - 24.9% (Continued)                        
Endo Luxembourg Finance Company I S.a r.l., Initial Term Loan  LIBOR + 4.250  %  $734,293    5.000  +  4/28/2024  $730,622 
Envision Healthcare Corporation, Initial Term Loan  LIBOR + 3.750  %   1,108,699    3.871  +  10/10/2025   947,938 
eResearchTechnology, Inc., Initial Term Loan (First Lien)  LIBOR + 4.500  %   542,725    5.500  +  2/04/2027   545,892 
Froneri International Limited, Facility B2 (First Lien)  LIBOR + 2.250  %   756,200    2.371  +  1/28/2027   753,629 
Garda World Security Corporation, Initial Term Loan  LIBOR + 4.750  %   350,000    4.988  +  10/30/2026   351,787 
Gentiva Health Services, Inc., Term B Loan (First Lien)  LIBOR + 3.250  %   268,943    3.371  +  7/02/2025   269,532 
Greenrock Finance, Inc., Initial USD Term B Loan (First Lien)  LIBOR + 3.500  %   247,356    4.500  +  6/28/2024   245,758 
Heartland Dental, LLC, Initial Term Loan  LIBOR + 3.500  %   609,325    3.621  +  4/30/2025   597,900 
Help at Home, LLC, Delayed Draw Term Loan (First Lien)  LIBOR + 5.000  %   100,302    5.119  +  10/22/2027   100,803 
Help at Home, LLC, Initial Term Loan (First Lien)  LIBOR + 5.000  %   794,698    6.000  +  10/28/2027   798,672 
H-Food Holdings, LLC (aka Hearthside Food Solutions, LLC), Initial Term Loan  LIBOR + 3.688  %   1,369,203    3.808  +  5/24/2025   1,364,678 
Hostess Brands, LLC, 2019 Refinancing Term B Loan (First Lien)  LIBOR + 2.250  %   580,471    3.000  +  8/04/2025   581,342 
Iqvia Inc. (Quintiles IMS), Term B-3 Dollar Loan  LIBOR + 1.750  %   800,028    2.004  +  6/12/2025   801,100 
Kronos Acquisition Holdings Inc., Initial Loan (2020)  LIBOR + 4.500  %   260,000    5.250  +  12/22/2026   260,185 
Kronos Acquisition Holdings Inc., Term Loan B  LIBOR + 3.750  %   1,025,000    3.869  +  12/22/2026   1,025,728 
LifePoint Health, Inc. (fka Regionalcare Hospital Partners Holdings, Inc.), Term B Loan (First Lien)  LIBOR + 3.750  %   892,432    3.871  +  11/16/2025   893,048 
Milano Acquisition Corporation, Term B Loan (First Lien)  LIBOR + 4.000  %   775,000    4.750  +  9/30/2027   778,395 
Milk Specialties Company, New Term Loan  LIBOR + 4.000  %   517,071    5.000  +  8/16/2023   518,044 
NAB Holdings, LLC (aka North American Bancard Holdings), 2018 Refinancing Term Loan  LIBOR + 3.000  %   950,144    4.000  +  6/30/2024   949,564 
National Mentor Holdings, Inc. (aka Civitas Solutions, Inc.), Initial Term Loan (First Lien)  LIBOR + 4.250  %   268,820    4.410  +  3/08/2026   269,492 
National Mentor Holdings, Inc. (aka Civitas Solutions, Inc.), Initial Term C Loan (First Lien)  LIBOR + 4.250  %   12,302    4.397  +  3/08/2026   12,333 
National Mentor Holdings, Inc. (aka Civitas Solutions, Inc.), Incremental Term Loan B  LIBOR + 4.250  %   168,496    4.369  +  3/08/2026   168,918 
National Mentor Holdings, Inc. (aka Civitas Solutions, Inc.), Incremental Term Loan C  LIBOR + 4.250  %   6,504    4.369  +  3/08/2026   6,520 
One Call Corporation, Extended Term Loan (First Lien)  LIBOR + 5.250  %   791,913    6.250  +  11/28/2022   771,791 
Ortho-Clinical Diagnostics, Inc., Second Amendment New Term Loan  LIBOR + 3.250  %   776,853    3.394  +  6/30/2025   775,882 
Packaging Coordinators Midco, Inc., Term B Loan (First Lien)  LIBOR + 3.750  %   520,000    4.500  +  11/30/2027   522,275 
Parexel International Corporation, Initial Term Loan  LIBOR + 2.750  %   864,513    2.871  +  9/28/2024   864,768 
Parfums Holding Company, Inc., Initial Term Loan (First Lien)  LIBOR + 4.000  %   1,071,601    4.233  +  6/30/2024   1,073,943 
PetVet Care Centers, LLC (fka Pearl Intermediate Parent LLC), Initial Term Loan (First Lien)  LIBOR + 2.750  %   884,752    2.871  +  2/14/2025   878,855 
PetVet Care Centers, LLC (fka Pearl Intermediate Parent LLC), 2018 Term Loan (First Lien)  LIBOR + 3.250  %   62,692    3.371  +  2/14/2025   62,653 
PetVet Care Centers, LLC (fka Pearl Intermediate Parent LLC), 2020 First Lien Incremental Term Loan  LIBOR + 4.250  %   489,068    5.250  +  2/14/2025   491,819 
Phoenix Guarantor Inc. (aka Brightspring), Tranche B-1 Term Loan (First Lien)  LIBOR + 3.250  %   534,937    3.379  +  3/04/2026   534,380 
Phoenix Guarantor Inc. (aka Brightspring), Tranche B-2 Term Loan (First Lien)  LIBOR + 3.750  %   180,000    4.250  +  3/04/2026   181,238 
Pluto Acquisition I, Inc. (aka AccentCare, Inc.), 2020 Incremental Term Loan  LIBOR + 5.000  %   400,000    5.500  +  6/22/2026   402,000 
PPD, Inc., Initial Term Loan  LIBOR + 2.250  %   400,000    2.750  +  1/12/2028   402,292 
Precision Medicine Group, LLC, Initial DDTL  LIBOR + 3.750  %   49,038    3.869  +  10/30/2027   49,315 
Precision Medicine Group, LLC, Initial Term Loan  LIBOR + 3.750  %   375,962    4.500  +  11/18/2027   378,078 
Refinitiv US Holdings Inc. (fka Financial & Risk US Holdings, Inc.), Initial Dollar Term Loan  LIBOR + 3.250  %   1,764,983    3.398  +  9/30/2025   1,764,983 
Select Medical Corporation, Tranche B Term Loan  LIBOR + 2.250  %   632,966    2.372  +  3/06/2025   630,592 
Shearer’s Foods, LLC, Term Loan (First Lien)  LIBOR + 4.000  %   1,377,780    4.750  +  9/24/2027   1,384,669 
Sigma Holdco B.V. (aka Flora Foods), Facility B2  LIBOR + 3.000  %   841,504    3.260  +  7/02/2025   839,190 
Sotera Health Holdings, LLC, Refinancing Loan (First Lien)  LIBOR + 2.750  %   485,000    3.250  +  12/12/2026   484,697 
Southern Veterinary Partners, LLC, Delayed Draw Term Loan (First Lien)  LIBOR + 4.000  %   86,234    4.119  +  10/02/2027   86,342 
Southern Veterinary Partners, LLC, Initial Term Loan (First Lien)  LIBOR + 4.000  %   625,195    5.000  +  10/04/2027   625,976 
St. George’s University Scholastic Services LLC, Term Loan  LIBOR + 3.250  %   787,088    3.371  +  7/16/2025   786,104 
Surgery Center Holdings, Inc., Initial Term Loan  LIBOR + 3.250  %   809,475    4.250  +  9/04/2024   805,933 
Surgery Center Holdings, Inc., 2020 Incremental Term Loan  LIBOR + 8.000  %   84,363    9.000  +  9/04/2024   86,815 
Trans Union LLC, 2019 Replacement Term B-5 Loan  LIBOR + 1.750  %   1,150,624    1.871  +  11/12/2026   1,150,716 
Viant Medical Holdings, Inc., Initial Term Loan (First Lien)  LIBOR + 3.750  %   1,178,728    3.871  +  7/02/2025   1,153,975 
WEX Inc., Term B-3 Loan  LIBOR + 2.250  %   865,835    2.371  +  5/16/2026   866,917 
                       43,305,847 
ENERGY - 1.1%                        
CITGO Holding, Inc., Term Loan  LIBOR + 7.000  %   341,680    7.119  +  7/31/2023   321,340 
CITGO Petroleum Corporation, 2019 Incremental Term B Loan  LIBOR + 6.250  %   541,176    7.250  +  3/28/2024   539,688 
Fieldwood Energy LLC, Closing Date Loan (First Lien)  LIBOR + 5.250  %   605,554    5.369  +  4/12/2022   157,193 
Medallion Midland Acquisition, LLC, Initial Term Loan  LIBOR + 3.250  %   476,439    4.250  +  10/30/2024   473,909 
Paragon Offshore Finance Company, Term Loan **  LIBOR + 2.750  %   1,153    2.869  +  7/18/2021    
Traverse Midstream Partners LLC, Advance  LIBOR + 5.500  %   470,085    6.500  +  9/28/2024   463,915 
                       1,956,045 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Floating Rate Bond Fund (Continued)
January 31, 2021

 

   Variable    Principal   Interest    Maturity    
Security  Rate    Amount   Rate %    Date  Value 
TERM LOANS - 96.4% (Continued)                        
FINANCIAL - 6.1%                        
Acrisure, LLC, 2020 Term Loan (First Lien)  LIBOR + 3.500  %  $1,042,744    3.621  +  2/16/2027  $1,040,231 
Asurion, LLC (fka Asurion Corporation), Replacement B-6 Term Loan  LIBOR + 3.000  %   214,529    3.121  +  11/04/2023   214,462 
Asurion, LLC (fka Asurion Corporation), New B-7 Term Loan  LIBOR + 3.000  %   380,250    3.121  +  11/04/2024   379,537 
Asurion, LLC (fka Asurion Corporation), Second Lien Replacement B-2 Term Loan  LIBOR + 6.500  %   401,550    6.621  +  8/04/2025   403,055 
Asurion, LLC (fka Asurion Corporation), New B-8 Term Loan  LIBOR + 3.250  %   772,537    3.371  +  12/24/2026   769,640 
Asurion, LLC (fka Asurion Corporation), Term Loan B9  LIBOR + 3.250  %   410,000    3.369  +  7/31/2027   405,900 
Asurion, LLC (fka Asurion Corporation), Second Lien Term Loan B3  LIBOR + 6.000  %   355,000    6.119  +  1/31/2028   355,000 
Blackhawk Network Holdings, Inc., Term Loan (First Lien)  LIBOR + 3.000  %   520,335    3.121  +  6/16/2025   513,613 
Citadel Securities LP, Term Loan B  LIBOR + 2.500  %   1,250,000    2.619  +  2/02/2028   1,245,831 
Deerfield Dakota Holding, LLC (aka Duff & Phelps), Initial Dollar Term Loan (First Lien)  LIBOR + 3.750  %   960,512    4.750  +  4/08/2027   967,029 
iStar Inc. (fka iStar Financial Inc.), Loan  LIBOR + 2.750  %   208,813    2.888  +  6/28/2023   209,140 
Masergy Holdings, Inc., 2017 Replacement Term Loan (First Lien)  LIBOR + 3.250  %   663,272    4.250  +  12/16/2023   662,549 
PAI Holdco, Inc., Term B Loan (First Lien)  LIBOR + 4.000  %   145,000    5.000  +  10/28/2027   146,087 
PI UK Holdco II Limited, Facility B1  LIBOR + 3.500  %   1,640,320    4.500  +  1/04/2025   1,644,126 
Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.), Initial Term Loan  LIBOR + 3.250  %   1,517,600    3.371  +  1/01/2026   1,510,854 
Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.), 2019 Term Loan  LIBOR + 4.000  %   192,075    4.121  +  9/04/2026   192,836 
                       10,659,890 
INDUSTRIALS - 17.7%                        
AI Convoy (Luxembourg) S.a r.l., Facility B (USD)  LIBOR + 3.500  %   749,338    4.500  +  1/18/2027   751,132 
Alliance Laundry Systems LLC, Initial Term B Loan  LIBOR + 3.500  %   850,000    4.250  +  10/08/2027   854,071 
Altium Packaging LLC, Term Loan B  LIBOR + 2.750  %   165,000    2.869  +  2/03/2028   164,175 
Anchor Glass Container Corporation, July 2017 Additional Term Loan (First Lien)  LIBOR + 2.750  %   682,732    3.750  +  12/08/2023   564,688 
Anchor Glass Container Corporation, 2020 Incremental Loan  LIBOR + 5.000  %   117,120    5.119  +  12/08/2023   96,038 
Anchor Glass Container Corporation, Term Loan (Second Lien)  LIBOR + 7.750  %   81,333    8.750  +  12/08/2024   38,311 
ASP Navigate Acquisition Corporation, Initial Term Loan  LIBOR + 4.500  %   370,000    5.500  +  10/06/2027   371,850 
Atlantic Aviation FBO Inc., Term Loan  LIBOR + 3.750  %   550,243    3.871  +  12/06/2025   551,104 
Berlin Packaging L.L.C., Initial Term Loan (First Lien)  LIBOR + 3.000  %   902,644    3.145  +  11/08/2025   898,533 
Berry Global, Inc. (fka Berry Plastics Corporation), Term X Loan  LIBOR + 2.000  %   511,439    2.133  +  1/20/2024   512,015 
Berry Global, Inc. (fka Berry Plastics Corporation), Term Y Loan  LIBOR + 2.000  %   627,702    2.133  +  6/30/2026   627,583 
Brookfield WEC Holdings Inc. (aka Westinghouse Electric Company LLC), Initial Term Loan (2021)  LIBOR + 2.750  %   1,449,067    2.869  +  7/31/2025   1,450,335 
BWay Holding Company , Initial Term Loan  LIBOR + 3.250  %   965,880    3.381  +  4/04/2024   950,185 
Circor International, Inc., New Term Loan  LIBOR + 3.250  %   735,114    4.250  +  12/12/2024   728,681 
CP Atlas Buyer, Inc. (aka American Bath), Initial Tranche B-1 Term Loan  LIBOR + 4.500  %   206,250    5.250  +  11/24/2027   206,722 
CP Atlas Buyer, Inc. (aka American Bath), Initial Tranche B-2 Term Loan  LIBOR + 4.500  %   68,750    5.250  +  11/24/2027   68,907 
CPG International LLC (fka CPG International Inc.) , New Term Loan  LIBOR + 3.750  %   507,779    4.750  +  5/04/2024   509,102 
DXP Enterprises, Inc., Initial Term Loan  LIBOR + 4.750  %   285,000    5.750  +  12/24/2027   286,425 
Filtration Group Corporation, Series A Term Loan  LIBOR + 3.750  %   334,163    4.500  +  3/28/2025   336,669 
Filtration Group Corporation, Initial Dollar Term Loan  LIBOR + 3.000  %   1,251,666    3.121  +  4/01/2025   1,241,496 
Fluidra, S.A., Tranche B-1 USD Term Loan  LIBOR + 2.000  %   710,372    2.121  +  7/02/2025   710,816 
Fort Dearborn Holding Company, Inc., Initial Term Loan (First Lien)  LIBOR + 4.000  %   1,080,147    5.000  +  10/20/2023   1,078,797 
Gardner Denver, Inc., Series A New Term Loan  LIBOR + 2.750  %   49,750    2.871  +  2/28/2027   49,856 
Gardner Denver, Inc., 2020 GDI Tranche B-2 Dollar Term Loan  LIBOR + 1.750  %   822,767    1.871  +  2/28/2027   819,814 
Gates Global LLC, Initial B-2 Dollar Term Loan  LIBOR + 2.750  %   454,936    3.750  +  3/31/2024   455,648 
Gemini HDPE LLC, 2027 Advance  LIBOR + 3.000  %   385,000    3.500  +  1/01/2028   383,718 
GFL Environmental Inc., 2020 Refinancing Term Loan  LIBOR + 3.000  %   596,210    3.500  +  5/30/2025   600,059 
Klockner Pentaplast of America, Inc. (fka Kleopatra Acquisition Corporation), Dollar Term Loan  LIBOR + 4.250  %   1,302,172    5.250  +  6/30/2022   1,303,533 
LEB Holdings (USA), Inc., Initial Term Loan  LIBOR + 4.000  %   575,000    4.750  +  11/02/2027   578,056 
NN, Inc., Extended 2017 Incremental Term Loan  LIBOR + 5.750  %   14,940    5.871  +  10/20/2022   14,936 
NN, Inc., Tranche B Term Loan  LIBOR + 5.750  %   19,170    6.500  +  10/20/2022   19,164 
Pactiv Evergreen Inc., Tranche B-1 U.S. Term Loan  LIBOR + 2.750  %   441,668    2.871  +  2/04/2023   442,395 
Pactiv Evergreen Inc., Tranche B-2 U.S. Term Loan  LIBOR + 3.250  %   1,365,000    3.371  +  2/04/2026   1,368,412 
Patriot Container Corporation (aka Wastequip), Closing Date Term Loan (First Lien)  LIBOR + 3.500  %   711,484    4.500  +  3/20/2025   709,705 
Spectrum Holdings III Corporation, Closing Date Term Loan (First Lien)  LIBOR + 3.250  %   894,213    4.250  +  2/01/2025   859,701 
Star US Bidco LLC, Initial Term Loan  LIBOR + 4.250  %   807,600    5.250  +  3/16/2027   805,581 
Summit Materials, LLC, New Term Loan  LIBOR + 2.000  %   1,308,534    2.121  +  11/20/2024   1,308,672 
Titan Acquisition Limited (aka Husky IMS International Ltd.), Initial Term Loan  LIBOR + 3.000  %   991,947    3.240  +  3/28/2025   973,968 
TransDigm Inc., Tranche E Refinancing Term Loan  LIBOR + 2.250  %   783,193    2.371  +  5/30/2025   772,604 
TransDigm Inc., Tranche F Refinancing Term Loan  LIBOR + 2.250  %   1,068,790    2.371  +  12/08/2025   1,052,759 
TRC Companies, Inc., 2019 Incremental Term Loan  LIBOR + 5.000  %   489,716    6.000  +  6/20/2024   492,167 
Tricorbraun Holdings, Inc., Closing Date Term Loan (First Lien)  LIBOR + 3.750  %   718,521    4.750  +  11/30/2023   718,791 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Floating Rate Bond Fund (Continued)
January 31, 2021

 

   Variable    Principal   Interest    Maturity    
Security  Rate    Amount   Rate %    Date  Value 
TERM LOANS - 96.4% (Continued)                        
INDUSTRIALS - 17.7% (Continued)                        
Tricorbraun Inc. (fka Kranson Industries, Inc.), Term Loan  LIBOR + 3.250  %  $602,075    3.369  +  1/29/2028  $599,065 
Tricorbraun Inc. (fka Kranson Industries, Inc.), Delayed Draw Term Loan  LIBOR + 3.250  %   135,425    3.369  +  1/29/2028   135,425 
Trident TPI Holdings, Inc., Tranche B-1 Term Loan  LIBOR + 3.000  %   872,294    4.000  +  10/16/2024   871,570 
Tunnel Hill Partners, LP, Initial Term Loan  LIBOR + 3.500  %   643,538    3.621  +  2/06/2026   629,058 
U.S. Farathane, LLC, Term B-4 Loan  LIBOR + 3.500  %   961,510    4.500  +  12/24/2021   930,862 
Vertiv Group Corporation (fka Cortes NP Acquisition Corporation), Initial Term Loan  LIBOR + 3.000  %   873,400    3.144  +  3/02/2027   875,972 
                       30,769,126 
TECHNOLOGY - 8.5%                        
Applied Systems, Inc., Closing Date Term Loan (First Lien)  LIBOR + 3.000  %   980,708    4.000  +  9/20/2024   983,552 
Aston FinCo S.a r.l., Dollar Term Loan (First Lien)  LIBOR + 4.250  %   457,647    4.379  +  10/08/2026   455,574 
Azalea TopCo, Inc., Initial Term Loan (First Lien)  LIBOR + 3.500  %   296,250    3.711  +  7/24/2026   296,546 
Azalea TopCo, Inc., 2020 Incremental Term Loan (First Lien)  LIBOR + 4.000  %   135,000    4.119  +  7/24/2026   136,013 
Boxer Parent Company Inc. (aka BMC Software, Inc.), Initial Dollar Term Loan  LIBOR + 4.250  %   1,376,206    4.371  +  10/02/2025   1,376,853 
Cardtronics USA, Inc., Initial Term Loan  LIBOR + 4.000  %   537,300    5.000  +  6/28/2027   540,156 
Dell International L.L.C. (EMC Corporation), Refinancing Term B-1 Loan  LIBOR + 2.000  %   377,990    2.750  +  9/20/2025   379,202 
Dun & Bradstreet Corporation, The, Initial Term Borrowing  LIBOR + 3.250  %   1,183,235    3.378  +  2/06/2026   1,187,885 
Epicor Software Corporation (fka Eagle Parent Inc.), Term B Loan (2020)  LIBOR + 4.250  %   807,975    5.250  +  7/30/2027   813,178 
Everi Payments Inc., Term Loan  LIBOR + 10.500  %   29,850    11.500  +  5/08/2024   31,343 
Everi Payments Inc., Term B Loan  LIBOR + 2.750  %   966,571    3.750  +  5/08/2024   966,977 
Grab Holdings, Inc., Term Loan B  LIBOR + 5.500  %   1,050,000    5.619  +  1/29/2026   1,051,313 
Greeneden U.S. Holdings I, LLC, Initial Dollar Term Loan (2020)  LIBOR + 4.000  %   570,000    4.750  +  11/30/2027   572,850 
Hyland Software, Inc., 2018 Refinancing Term Loan (First Lien)  LIBOR + 3.500  %   738,112    4.250  +  6/30/2024   742,176 
MedAssets Software Intermediate Holdings, Inc., Initial Term Loan (First Lien)  LIBOR + 3.750  %   80,000    3.869  +  1/28/2028   80,275 
Navicure, Inc., Initial Term Loan (First Lien)  LIBOR + 4.000  %   337,450    4.121  +  10/22/2026   337,872 
Navicure, Inc., 2020 Incremental Term Loan (First Lien)  LIBOR + 4.000  %   209,475    4.750  +  10/22/2026   210,522 
NCR Corporation, Initial Term Loan (2019)  LIBOR + 2.500  %   723,747    2.711  +  8/28/2026   723,447 
Sophia, L.P., Closing Date Term Loan  LIBOR + 3.750  %   795,000    4.500  +  10/08/2027   799,174 
Tempo Acquisition, LLC, Extended Term Loan  LIBOR + 3.250  %   682,670    3.750  +  11/02/2026   683,203 
UKG Inc., 2021 Incremental Term Loan (First Lien)  LIBOR + 3.250  %   1,416,488    4.000  +  5/04/2026   1,424,583 
UKG Inc., Initial Term Loan (2020) (Second Lien)  LIBOR + 6.750  %   30,000    7.500  +  5/04/2027   31,153 
Virtusa Corporation, Term Loan  LIBOR + 4.250  %   245,000    4.369  +  12/08/2027   247,245 
Weld North Education LLC, 2020 Term Loan  LIBOR + 4.000  %   715,000    4.750  +  12/20/2027   716,190 
                       14,787,282 
UTILITIES - 1.6%                        
Astoria Energy LLC, Term B Advance (2020)  LIBOR + 3.500  %   430,000    4.500  +  12/10/2027   431,008 
Calpine Construction Finance Company, L.P., Term B Loan  LIBOR + 2.000  %   702,437    2.121  +  1/16/2025   700,902 
Calpine Corporation, Term Loan  LIBOR + 2.000  %   281,568    2.121  +  8/12/2026   281,418 
Hamilton Projects Acquiror, LLC, Term Loan  LIBOR + 4.750  %   697,375    5.750  +  6/16/2027   704,928 
Lightstone Holdco LLC, Refinancing Term B Loan  LIBOR + 3.750  %   470,678    4.750  +  1/30/2024   430,082 
Lightstone Holdco LLC, Refinancing Term C Loan  LIBOR + 3.750  %   26,547    4.750  +  1/30/2024   24,258 
PG&E Corporation, Loan  LIBOR + 4.500  %   169,150    6.750  +  6/24/2025   171,116 
Pike Corporation, 2028 Initial Term Loan  LIBOR + 3.000  %   42,637    3.129  +  1/20/2028   42,761 
Pike Corporation, 2028 Delayed Draw Term Loan  LIBOR + 3.000  %   32,363    3.119  +  1/21/2028   32,457 
Texas Competitive Electric Holdings Co. LLC Escrow Bonds #        635,000    11.500    1/29/2071   445 
                       2,819,375 
TOTAL TERM LOANS (Cost - $167,702,149)                      167,797,038 
                         
CORPORATE BONDS - 3.9%                        
AEROSPACE/DEFENSE - 0.3%                        
Howmet Aerospace, Inc. ^        115,000    6.875    5/01/2025   134,406 
Spirit AeroSystems, Inc. ^        185,000    3.950    6/15/2023   183,266 
Spirit AeroSystems, Inc. - 144A        160,000    5.500    1/15/2025   168,000 
                       485,672 
APPAREL & TEXTILE PRODUCTS - 0.1%                        
Hanesbrands, Inc. - 144A ^        210,000    5.375    5/15/2025   223,650 
                         
ASSET MANAGEMENT - 0.2%                        
Icahn Enterprises, L.P. / Icahn Enterprises Finance Corporation        360,000    4.750    9/15/2024   379,517 
                         
AUTOMOTIVE - 0.1%                        
Tennco, Inc. ^        165,000    5.375    12/15/2024   160,359 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Floating Rate Bond Fund (Continued)
January 31, 2021

 

   Principal   Interest   Maturity    
Security  Amount   Rate %   Date  Value 
CORPORATE BONDS - 3.9% (Continued)                  
BIOTECHNOLOGY & PHARMACEUTICALS - 0.3%                  
Bausch Health Companies, Inc. - 144A  $445,000    5.500   11/01/2025  $458,661 
                   
CABLE & SATELLITE - 0.3%                  
CCO Holdings, LLC / CCO Holdings Capital Corporation - 144A ^   180,000    4.000   3/01/2023   182,197 
Radiate Holdco, LLC / Radiate Finance, Inc. - 144A   235,000    4.500   9/15/2026   239,787 
Sirius XM Radio, Inc. - 144A   85,000    4.625   7/15/2024   87,993 
                 509,977 
CHEMICALS - 0.1%                  
INEOS Quattro Finance 2 plc - 144A   230,000    3.375   1/15/2026   231,294 
                   
CONTAINERS & PACKAGING - 0.4%                  
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. - 144A   475,000    4.125   8/15/2026   490,437 
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. - 144A   200,000    5.250   8/15/2027   208,050 
                 698,487 
ENTERTAINMENT CONTENT - 0.1%                  
Diamond Sports Group, LLC / Diamond Sports Finance Company - 144A ^   210,000    5.375   8/15/2026   169,838 
                   
FOOD - 0.1%                  
Dole Food Company, Inc. - 144A   175,000    7.250   6/15/2025   181,325 
                   
HEALTH CARE FACILITIES & SERVICES - 0.9%                  
CHS / Community Health Systems, Inc. - 144A   215,000    6.625   2/15/2025   226,734 
Legacy LifePoint Health, LLC - 144A   5,000    6.750   4/15/2025   5,350 
Legacy LifePoint Health, LLC - 144A   135,000    4.375   2/15/2027   137,869 
One Call Corporation - 144A   753,025    7.500   7/01/2024   754,908 
Tenet Healthcare Corporation   405,000    4.625   7/15/2024   412,979 
Tenet Healthcare Corporation - 144A   50,000    7.500   4/01/2025   54,094 
                 1,591,934 
HOUSEHOLD PRODUCTS - 0.0%                  
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. - 144A   5,000    5.000   12/31/2026   5,106 
                   
INSURANCE - 0.2%                  
Acrisure, LLC / Acrisure Finance, Inc. - 144A   90,000    8.125   2/15/2024   94,162 
Acrisure, LLC / Acrisure Finance, Inc. - 144A   190,000    4.250   2/15/2029   190,000 
                 284,162 
LEISURE FACILITIES & SERVICES - 0.2%                  
Caesars Entertainment, Inc. - 144A   80,000    6.250   7/01/2025   84,743 
Carnival Corporation - 144A   190,000    11.500   4/01/2023   215,926 
NCL Corporation Ltd. - 144A   65,000    5.875   3/15/2026   64,472 
                 365,141 
METALS & MINING - 0.0%                  
Cleveland-Cliffs, Inc. - 144A ^   50,000    6.750   3/15/2026   53,864 
                   
PUBLISHING & BROADCASTING - 0.2%                  
Clear Channel Worldwide Holdings, Inc. - 144A ^   65,000    5.125   8/15/2027   66,462 
iHeartCommunications, Inc. ^   96,514    6.375   5/01/2026   102,999 
iHeartCommunications, Inc.   174,933    8.375   5/01/2027   186,905 
                 356,366 
REITS - 0.3%                  
iStar, Inc.   460,000    4.250   8/01/2025   453,100 
MGM Growth Properties Operating Partnership, L.P. / MGP Finance Co-Issuer, Inc. - 144A   60,000    4.625   6/15/2025   63,660 
                 516,760 
SPECIALTY FINANCE - 0.1%                  
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corporation - 144A ^   140,000    4.250   2/01/2027   135,846 
                   
TELECOMMUNICATIONS - 0.0%                  
Level 3 Financing, Inc. - 144A   45,000    4.250   7/01/2028   46,296 
                   
TOTAL CORPORATE BONDS (Cost - $6,679,873)                6,854,255 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Floating Rate Bond Fund (Continued)
January 31, 2021

 

Security  Shares          Value 
COMMON STOCKS - 0.2%                  
PUBLISHING & BROADCASTING - 0.1%                  
Clear Channel Outdoor Holdings, Inc. *   40,131           $79,860 
iHeartMedia, Inc. - Class A *   2,133            31,014 
iHeartMedia, Inc. - Class B *#   29            377 
                 111,251 
RETAIL - DISCRETIONARY - 0.1%                  
Libbey Glass, Inc. *   17,244            56,043 
NMG Parent, LLC *   2,073            136,818 
                 192,861 
TOTAL COMMON STOCKS (Cost - $1,747,079)                304,112 
                   
EXCHANGE TRADED FUNDS - 1.2%                  
FIXED INCOME FUNDS - 1.2%                  
Invesco Senior Loan ETF ^   56,347            1,252,030 
SPDR Bloomberg Barclays Short Term High Yield Bond ETF   33,710            909,496 
TOTAL EXCHANGE TRADED FUNDS - (Cost - $2,177,460)                2,161,526 
                   
             Expiration     
             Date     
RIGHTS - 0.0%                  
TRA Rights   10,588        11/22/2049   12,335 
TOTAL RIGHTS (Cost - $17,470)                  
                   
WARRANTS - 0.1%                  
iHeartMedia, Inc.   14,903        12/31/2049   190,386 
TOTAL WARRANTS (Cost - $287,609)                  
                   
        Interest         
        Rate %         
SHORT-TERM INVESTMENT - 3.4%                 
MONEY MARKET FUND - 3.4%                  
Fidelity Government Portfolio - Class Institutional   5,848,168    0.010 +      5,848,168 
TOTAL SHORT-TERM INVESTMENT - (Cost - $5,848,168)                  
                   
COLLATERAL FOR SECURITIES LOANED - 1.0%                  
Mount Vernon Prime Portfolio !   1,659,028    0.150 +      1,659,028 
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $1,659,028)                  
                   
TOTAL INVESTMENTS - 106.2% (Cost - $186,118,836)               $184,826,848 
LIABILITIES IN EXCESS OF OTHER ASSETS - (6.2)%                (10,783,843)
NET ASSETS - 100.0%               $174,043,005 

 

ETF - Exchange Traded Fund

 

LIBOR - London Inter-bank Offered Rate

 

L.P. - Limited Partnership

 

LLC - Limited Liability Company

 

LLLP - Limited Liability Limited Partnership

 

LLP - Limited Liability Partnership

 

Ltd. - Limited Company

 

plc - Public Limited Company

 

REITs - Real Estate Investment Trusts

 

144A- Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2021 the total market value of 144A securities is $4,840,724 or 2.78% of net assets.

 

*Non-Income producing security.

 

**Security is in default.

 

+Variable rate security. Interest rate is as of January 31, 2021.

 

#Fair Value estimated using fair value procedures adopted by Board of Trustees. Total Value of such securities is $822 or 0.0% of net assets as of January 31, 2021.

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $1,585,193 at January 31, 2021.

 

!The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund
January 31, 2021

 

   Principal   Interest   Maturity    
Security  Amount   Rate %   Date  Value 
CONVERTIBLE BONDS - 0.3%                  
OIL & GAS SERVICES & EQUIPMENT - 0.3%                  
Hi-Crush, Inc. - 144A  $290,000    8.000   4/9/2026  $290,000 
TOTAL CONVERTIBLE BONDS (Cost - $290,000)                  
                   
CORPORATE BONDS - 93.3%                  
ADVERTISING & MARKETING - 0.3%                  
Terrier Media Buyer, Inc. - 144A   267,000    8.875   12/15/2027   289,194 
                   
AEROSPACE & DEFENSE - 1.1%                  
Moog, Inc. - 144A   625,000    4.250   12/15/2027   649,219 
Spirit AeroSystems, Inc. - 144A   504,000    7.500   4/15/2025   541,593 
                 1,190,812 
AUTOMOTIVE - 1.8%                  
Ford Motor Company   690,000    6.625   10/1/2028   803,850 
Ford Motor Company   105,000    7.450   7/16/2031   134,334 
Ford Motor Company   1,029,000    4.750   1/15/2043   1,039,860 
                 1,978,044 
BIOTECHNOLOGY & PHARMACEUTICALS - 0.9%                  
Endo Dac / Endo Finance, LLC / Endo Finco, Inc. - 144A   521,000    6.000   6/30/2028   442,069 
Par Pharmaceutical, Inc. - 144A   547,000    7.500   4/1/2027   589,053 
                 1,031,122 
CABLE & SATELLITE - 2.4%                  
Altice Financing S.A. - 144A   601,000    5.000   1/15/2028   616,815 
Block Communications, Inc. - 144A   435,000    4.875   3/1/2028   450,701 
CCO Holdings, LLC / CCO Holdings Capital Corporation - 144A   478,000    5.500   5/1/2026   495,700 
CCO Holdings, LLC / CCO Holdings Capital Corporation - 144A   378,000    5.000   2/1/2028   397,467 
CCO Holdings, LLC / CCO Holdings Capital Corporation - 144A   335,000    5.375   6/1/2029   363,857 
CSC Holdings, LLC - 144A   390,000    5.500   4/15/2027   411,723 
                 2,736,263 
CHEMICALS - 1.7%                  
Consolidated Energy Finance S.A. - 144A   535,000    6.875   6/15/2025   545,366 
Minerals Technologies, Inc. - 144A   387,000    5.000   7/1/2028   407,318 
OCI N.V. - 144A   472,000    5.250   11/1/2024   490,585 
Tronox, Inc. - 144A   490,000    6.500   4/15/2026   505,925 
                 1,949,194 
COMMERCIAL SUPPORT SERVICES - 4.5%                  
Brink’s Company (The) - 144A   281,000    5.500   7/15/2025   299,089 
Brink’s Company (The) - 144A   340,000    4.625   10/15/2027   355,310 
Covanta Holding Corporation   506,000    5.000   9/1/2030   531,933 
Garda World Security Corporation - 144A   510,000    4.625   2/15/2027   518,925 
Harsco Corporation - 144A   610,000    5.750   7/31/2027   633,256 
Korn Ferry - 144A   477,000    4.625   12/15/2027   503,354 
Prime Security Services Borrower, LLC / Prime Finance, Inc. - 144A   631,000    5.250   4/15/2024   672,015 
Prime Security Services Borrower, LLC / Prime Finance, Inc. - 144A   540,000    5.750   4/15/2026   591,867 
Prime Security Services Borrower, LLC / Prime Finance, Inc. - 144A   325,000    6.250   1/15/2028   346,583 
Sotheby’s - 144A   505,000    7.375   10/15/2027   548,778 
                 5,001,110 
CONSTRUCTION MATERIALS - 0.4%                  
Standard Industries, Inc. - 144A   505,000    3.375   1/15/2031   499,319 
                   
CONTAINERS & PACKAGING - 1.7%                  
Cascades, Inc. / Cascades USA, Inc. - 144A   479,000    5.375   1/15/2028   506,842 
Intertape Polymer Group, Inc. - 144A   524,000    7.000   10/15/2026   554,780 
Silgan Holdings, Inc.   288,000    4.750   3/15/2025   293,580 
Trivium Packaging Finance BV - 144A   525,000    8.500   8/15/2027   570,557 
                 1,925,759 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund (Continued)
January 31, 2021

 

   Principal   Interest   Maturity    
Security  Amount   Rate %   Date  Value 
CORPORATE BONDS - 93.3% (Continued)                  
ELECTRIC UTILITIES - 3.0%                  
Calpine Corporation - 144A  $620,000    3.750   3/1/2031  $603,880 
Clearway Energy Operating, LLC   539,000    5.000   9/15/2026   561,131 
NextEra Energy Operating Partners, L.P. - 144A   550,000    4.250   7/15/2024   583,743 
NRG Energy, Inc. - 144A   176,000    3.375   2/15/2029   180,360 
NRG Energy, Inc. - 144A   510,000    3.625   2/15/2031   531,994 
Talen Energy Supply, LLC - 144A   317,000    6.625   1/15/2028   330,610 
Vistra Operations Company, LLC - 144A   535,000    5.000   7/31/2027   565,656 
                 3,357,374 
ENTERTAINMENT CONTENT - 1.2%                  
Banijay Entertainment S.A. SU - 144A   400,000    5.375   3/1/2025   409,750 
Univision Communications, Inc. - 144A   74,000    5.125   2/15/2025   74,540 
Univision Communications, Inc. - 144A   811,000    6.625   6/1/2027   854,449 
                 1,338,739 
FOOD - 2.8%                  
Dole Food Company, Inc. - 144A   550,000    7.250   6/15/2025   569,880 
Herbalife Nutrition Ltd / HLF Financing, Inc. - 144A   208,000    7.875   9/1/2025   226,980 
HLF Financing Sarl, LLC / Herbalife International, Inc. - 144A   497,000    7.250   8/15/2026   525,578 
JBS USA LUX S.A. / JBS USA Finance, Inc. - 144A   272,000    5.750   6/15/2025   279,650 
Kraft Heinz Foods Company   205,000    4.875   10/1/2049   230,216 
Land O’ Lakes, Inc. - 144A   210,000    7.000   12/29/2049   213,183 
Land O’ Lakes Capital Trust I - 144A   484,000    7.450   3/15/2028   573,540 
Pilgrim’s Pride Corporation - 144A   520,000    5.875   9/30/2027   554,034 
                 3,173,061 
HEALTH CARE FACILITIES & SERVICES - 4.2%                  
Acadia Healthcare Company, Inc. - 144A   357,000    5.500   7/1/2028   381,767 
Acadia Healthcare Company, Inc. - 144A   96,000    5.000   4/15/2029   101,280 
Catalent Pharma Solutions, Inc. - 144A   280,000    5.000   7/15/2027   295,523 
CHS/Community Health Systems, Inc. - 144A   500,000    5.625   3/15/2027   525,625 
CHS/Community Health Systems, Inc. - 144A   272,000    6.875   4/15/2029   277,183 
HCA, Inc.   990,000    3.500   9/1/2030   1,027,106 
Jaguar Holding Company II / PPD Development, L.P. - 144A   101,000    4.625   6/15/2025   106,088 
Jaguar Holding Company II / PPD Development, L.P. - 144A   380,000    5.000   6/15/2028   404,225 
Legacy LifePoint Health, LLC - 144A   370,000    4.375   2/15/2027   377,863 
Tenet Healthcare Corporation   525,000    4.625   7/15/2024   535,343 
Tenet Healthcare Corporation - 144A   656,000    6.125   10/1/2028   688,390 
                 4,720,393 
HOME CONSTRUCTION - 0.9%                  
Griffon Corporation   464,000    5.750   3/1/2028   491,260 
Mattamy Group Corporation - 144A   489,000    5.250   12/15/2027   516,201 
                 1,007,461 
HOUSEHOLD PRODUCTS - 1.4%                  
Clearwater Paper Corporation - 144A   665,000    4.750   8/15/2028   689,322 
Coty, Inc. - 144A   480,000    6.500   4/15/2026   454,320 
Energizer Holdings, Inc. - 144A   410,000    4.375   3/31/2029   419,840 
                 1,563,482 
INDUSTRIAL SUPPORT SERVICES - 1.0%                  
Ahern Rentals, Inc. - 144A   787,000    7.375   5/15/2023   584,839 
H&E Equipment Services, Inc. - 144A   520,000    3.875   12/15/2028   518,336 
                 1,103,175 
INSTITUTIONAL FINANCIAL SERVICES - 0.4%                  
LPL Holdings, Inc. - 144A   397,000    5.750   9/15/2025   411,046 
                   
INSURANCE - 0.3%                  
NMI Holdings, Inc. - 144A   270,000    7.375   6/1/2025   304,140 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund (Continued)
January 31, 2021

 

   Principal   Interest   Maturity    
Security  Amount   Rate %   Date  Value 
CORPORATE BONDS - 93.3% (Continued)                  
INTERNET MEDIA & SERVICES - 1.6%                  
GrubHub Holdings, Inc. - 144A  $660,000    5.500   7/1/2027  $695,475 
Netflix, Inc. - 144A   922,000    4.875   6/15/2030   1,116,164 
                 1,811,639 
LEISURE FACILITIES & SERVICES - 7.5%                  
Boyd Gaming Corporation - 144A   230,000    8.625   6/1/2025   254,438 
Boyd Gaming Corporation   382,000    4.750   12/1/2027   393,699 
Brinker International, Inc. - 144A   289,000    5.000   10/1/2024   301,613 
Caesars Entertainment, Inc. - 144A   630,000    6.250   7/1/2025   667,350 
Carnival Corporation - 144A   104,000    7.625   3/1/2026   110,175 
Dave & Buster’s, Inc. - 144A   510,000    7.625   11/1/2025   536,775 
Genting New York, LLC / GENNY Capital, Inc. - 144A   452,000    3.300   2/15/2026   455,916 
Hilton Grand Vacations Borrower, LLC / Hilton Grand Vacations Borrower, Inc.   480,000    6.125   12/1/2024   503,350 
Live Nation Entertainment, Inc. - 144A   410,000    4.750   10/15/2027   411,667 
Live Nation Entertainment, Inc. - 144A   90,000    3.750   1/15/2028   90,844 
Melco Resorts Finance Ltd. - 144A   209,000    5.375   12/4/2029   220,328 
NCL Corporation Ltd. - 144A   710,000    3.625   12/15/2024   629,681 
NCL Corporation Ltd. - 144A   187,000    5.875   3/15/2026   185,481 
SeaWorld Parks & Entertainment, Inc. - 144A ^   445,000    8.750   5/1/2025   480,322 
Silversea Cruise Finance Ltd. - 144A   550,000    7.250   2/1/2025   568,906 
Six Flags Entertainment Corporation - 144A ^   505,000    5.500   4/15/2027   510,833 
Six Flags Theme Parks, Inc. - 144A   49,000    7.000   7/1/2025   52,889 
Viking Ocean Cruises Ship VII Ltd. - 144A   76,000    5.625   2/15/2029   75,810 
VOC Escrow Ltd. - 144A   680,000    5.000   2/15/2028   661,426 
Wyndham Destinations, Inc.   750,000    5.750   4/1/2027   830,850 
Wynn Macau Ltd. - 144A   515,000    5.125   12/15/2029   520,311 
                 8,462,664 
METALS & MINING - 3.5%                  
Cleveland-Cliffs, Inc. - 144A   475,000    4.875   1/15/2024   485,984 
Cleveland-Cliffs, Inc.   327,000    5.750   3/1/2025   334,971 
Cleveland-Cliffs, Inc. - 144A   200,000    6.750   3/15/2026   215,458 
First Quantum Minerals Ltd. - 144A   473,000    7.250   4/1/2023   483,834 
First Quantum Minerals Ltd. - 144A   223,000    6.875   3/1/2026   232,617 
FMG Resources August 2006 Pty Ltd. - 144A   469,000    4.500   9/15/2027   515,984 
Freeport-McMoRan, Inc.   260,000    4.125   3/1/2028   273,956 
Freeport-McMoRan, Inc.   123,000    4.375   8/1/2028   130,571 
Freeport-McMoRan, Inc.   352,000    5.250   9/1/2029   393,075 
Freeport-McMoRan, Inc.   260,000    4.250   3/1/2030   282,100 
Mineral Resources Ltd. - 144A   525,000    8.125   5/1/2027   583,406 
                 3,931,956 
OIL & GAS PRODUCERS - 14.6%                  
Antero Midstream Partners, L.P. / Antero Midstream Finance Corporation - 144A   252,000    5.750   1/15/2028   252,473 
Antero Resources Corporation - 144A   324,000    7.625   2/1/2029   331,898 
Apache Corporation   58,000    4.625   11/15/2025   59,269 
Apache Corporation   68,000    4.875   11/15/2027   69,972 
Apache Corporation   405,000    4.375   10/15/2028   405,608 
Apache Corporation   309,000    4.750   4/15/2043   294,014 
Buckeye Partners, L.P. - 144A   429,000    4.500   3/1/2028   444,195 
California Resources Corporation - 144A   550,000    7.125   2/1/2026   544,266 
Callon Petroleum Company   781,000    6.375   7/1/2026   487,149 
Cenovus Energy, Inc.   521,000    4.250   4/15/2027   571,100 
Cheniere Energy, Inc. - 144A   360,000    4.625   10/15/2028   375,826 
Cheniere Energy Partners, L.P.   432,000    5.250   10/1/2025   443,880 
Cheniere Energy Partners, L.P.   248,000    4.500   10/1/2029   266,230 
Continental Resources, Inc.   117,000    4.375   1/15/2028   120,071 
Continental Resources, Inc. - 144A   284,000    5.750   1/15/2031   307,799 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund (Continued)
January 31, 2021

 

   Principal   Interest   Maturity    
Security  Amount   Rate %   Date  Value 
CORPORATE BONDS - 93.3% (Continued)                  
OIL & GAS PRODUCERS - 14.6% (Continued)                  
DCP Midstream Operating, L.P.  $296,000    5.625   7/15/2027  $322,936 
DCP Midstream Operating, L.P. - 144A   132,000    6.750   9/15/2037   147,180 
DCP Midstream Operating, L.P.   235,000    5.600   4/1/2044   246,584 
eG Global Finance plc - 144A   605,000    6.750   2/7/2025   624,058 
Endeavor Energy Resources, L.P. / EER Finance, Inc. - 144A   270,000    5.750   1/30/2028   286,605 
Genesis Energy, L.P. / Genesis Energy Finance Corporation   893,000    5.625   6/15/2024   841,094 
Genesis Energy, L.P. / Genesis Energy Finance Corporation   325,000    6.500   10/1/2025   301,332 
Genesis Energy, L.P. / Genesis Energy Finance Corporation   307,000    8.000   1/15/2027   292,226 
Harvest Midstream I, L.P. - 144A   677,000    7.500   9/1/2028   712,712 
Hilcorp Energy I, L.P. / Hilcorp Finance Company - 144A   234,000    5.750   2/1/2029   236,241 
Hilcorp Energy I, L.P. / Hilcorp Finance Company - 144A   479,000    6.000   2/1/2031   487,083 
Holly Energy Partners, L.P. / Holly Energy Finance Corporation - 144A   714,000    5.000   2/1/2028   720,480 
Indigo Natural Resources, LLC - 144A   193,000    5.375   2/1/2029   191,070 
MEG Energy Corporation - 144A   693,000    6.500   1/15/2025   714,726 
MEG Energy Corporation - 144A   447,000    7.125   2/1/2027   462,366 
MEG Energy Corporation - 144A   200,000    5.875   2/1/2029   199,000 
Murphy Oil USA, Inc.   405,000    4.750   9/15/2029   431,756 
Murphy Oil USA, Inc. - 144A   110,000    3.750   2/15/2031   110,275 
NGL Energy Operating, LLC / NGL Energy Finance Corporation - 144A   650,000    7.500   2/1/2026   657,995 
NuStar Logistics, L.P.   152,000    5.750   10/1/2025   160,208 
NuStar Logistics, L.P.   379,000    6.375   10/1/2030   418,558 
Occidental Petroleum Corporation   326,000    5.875   9/1/2025   344,256 
Occidental Petroleum Corporation   503,000    6.375   9/1/2028   547,956 
Occidental Petroleum Corporation   251,000    6.125   1/1/2031   275,705 
PBF Holding Company, LLC / PBF Finance Corporation   595,000    6.000   2/15/2028   346,350 
Range Resources Corporation - 144A   302,000    8.250   1/15/2029   317,666 
Southwestern Energy Company ^   300,000    7.500   4/1/2026   313,890 
Southwestern Energy Company   189,000    8.375   9/15/2028   202,604 
Targa Resources Partners, L.P. / Targa Resources Partners Finance Corporation - 144A   427,000    4.875   2/1/2031   447,923 
                 16,334,585 
OIL & GAS SERVICES & EQUIPMENT - 1.5%                  
Archrock Partners, L.P. / Archrock Partners Finance Corporation - 144A   463,000    6.875   4/1/2027   487,145 
ChampionX Corporation   397,000    6.375   5/1/2026   417,866 
Hi-Crush, Inc. - 144A *   961,000    9.500   8/1/2026   4,805 
Nine Energy Service, Inc.- 144A   727,000    8.750   11/1/2023   303,068 
USA Compression Partners, L.P. / USA Compression Finance Corporation   437,000    6.875   4/1/2026   457,572 
                 1,670,456 
PUBLISHING & BROADCASTING - 1.5%                  
Belo Corporation   735,000    7.750   6/1/2027   855,558 
Belo Corporation   235,000    7.250   9/15/2027   276,374 
EW Scripps Company (The) - 144A   490,000    5.125   5/15/2025   500,719 
Scripps Escrow II, Inc. - 144A   46,000    5.375   1/15/2031   46,546 
                 1,679,197 
REAL ESTATE OWNERS & DEVELOPERS - 0.4%                  
Kennedy-Wilson, Inc.   400,000    4.750   3/1/2029   401,000 
                   
REAL ESTATE SERVICES - 1.1%                  
Cushman & Wakefield US Borrower, LLC - 144A   416,000    6.750   5/15/2028   453,783 
Newmark Group, Inc.   679,000    6.125   11/15/2023   738,707 
                 1,192,490 
REITS - 4.3%                  
CTR Partnership, L.P. / CareTrust Capital Corporation   604,000    5.250   6/1/2025   625,650 
ESH Hospitality, Inc. - 144A   150,000    5.250   5/1/2025   153,221 
ESH Hospitality, Inc. - 144A   355,000    4.625   10/1/2027   363,424 
HAT Holdings I, LLC / HAT Holdings II, LLC - 144A   621,000    5.250   7/15/2024   644,791 
iStar, Inc.   162,000    4.250   8/1/2025   159,570 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund (Continued)
January 31, 2021

 

   Variable  Principal   Interest   Maturity    
Security  Rate  Amount   Rate %   Date  Value 
CORPORATE BONDS - 93.3% (Continued)                     
REITS - 4.3% (Continued)                     
MGM Growth Properties Operating Partnership, L.P. / MGP Finance Co-Issuer, Inc.     $513,000    5.750   2/1/2027  $577,641 
MPT Operating Partnership, L.P. / MPT Finance Corporation      419,000    5.000   10/15/2027   442,873 
MPT Operating Partnership, L.P. / MPT Finance Corporation      223,000    3.500   3/15/2031   226,452 
Park Intermediate Holdings, LLC / PK Domestic Property, LLC / PK Finance Co-Issuer - 144A      520,000    5.875   10/1/2028   545,675 
Sabra Health Care, L.P.      465,000    5.125   8/15/2026   526,833 
Service Properties Trust      96,000    4.750   10/1/2026   92,880 
Service Properties Trust      46,000    5.500   12/15/2027   49,146 
Service Properties Trust      65,000    4.950   10/1/2029   62,050 
Service Properties Trust      374,000    4.375   2/15/2030   341,043 
                    4,811,249 
RENEWABLE ENERGY - 0.4%                     
EnerSys - 144A      485,000    5.000   4/30/2023   511,372 
                      
RETAIL - CONSUMER STAPLES - 0.5%                     
Albertsons Companies Inc / Safeway Inc / New Albertsons, L.P. / Albertsons, LLC      88,000    5.750   3/15/2025   91,291 
Albertsons Companies Inc / Safeway Inc / New Albertsons, L.P. / Albertsons, LLC - 144A      440,000    4.625   1/15/2027   461,567 
                    552,858 
RETAIL - DISCRETIONARY - 0.9%                     
Avis Budget Car Rental, LLC / Avis Budget Finance, Inc. - 144A      433,000    5.750   7/15/2027   441,121 
Conn’s, Inc.      405,000    7.250   7/15/2022   404,399 
PetSmart, Inc. / PetSmart Finance Corporation - 144A      153,000    7.750   2/15/2029   156,060 
                    1,001,580 
SEMICONDUCTORS - 0.3%                     
ON Semiconductor Corporation - 144A      350,000    3.875   9/1/2028   363,125 
                      
SOFTWARE - 1.2%                     
Camelot Finance S.A. - 144A      345,000    4.500   11/1/2026   359,447 
Donnelley Financial Solutions, Inc.      477,000    8.250   10/15/2024   499,657 
SS&C Technologies, Inc. - 144A      520,000    5.500   9/30/2027   551,959 
                    1,411,063 
SPECIALTY FINANCE - 7.1%                     
AerCap Global Aviation Trust - 144A  3 month LIBOR+ 4.300%   570,000    6.500 +  6/15/2045   594,225 
Alliance Data Systems Corporation - 144A      555,000    4.750   12/15/2024   564,366 
Credit Acceptance Corporation      559,000    6.625   3/15/2026   594,636 
Enova International, Inc. - 144A      921,000    8.500   9/1/2024   908,240 
Fairstone Financial, Inc. - 144A      566,000    7.875   7/15/2024   598,839 
FirstCash, Inc. - 144A      512,000    4.625   9/1/2028   531,674 
Freeport-McMoRan, Inc.      123,000    4.625   8/1/2030   136,782 
Genworth Mortgage Holdings, Inc. - 144A      343,000    6.500   8/15/2025   366,367 
goeasy Ltd. - 144A      482,000    5.375   12/1/2024   503,439 
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corporation - 144A      677,000    4.250   2/1/2027   656,913 
LD Holdings Group, LLC - 144A      500,000    6.500   11/1/2025   532,500 
OneMain Finance Corporation      263,000    6.875   3/15/2025   302,286 
OneMain Finance Corporation      89,000    5.375   11/15/2029   98,122 
Pattern Energy Operations, L.P. / Pattern Energy Operations, Inc. - 144A      475,000    4.500   8/15/2028   503,251 
Quicken Loans, LLC / Quicken Loans Co-Issuer, Inc. - 144A      342,000    3.625   3/1/2029   342,795 
Starwood Property Trust, Inc. - 144A      101,000    5.500   11/1/2023   105,166 
Starwood Property Trust, Inc.      588,000    4.750   3/15/2025   594,077 
                    7,933,678 
STEEL - 1.5%                     
Commercial Metals Company      470,000    5.750   4/15/2026   488,189 
Commercial Metals Company      542,000    3.875   2/15/2031   555,550 
SunCoke Energy Partners, L.P. / SunCoke Energy Partners Finance Corporation - 144A      627,000    7.500   6/15/2025   642,283 
                    1,686,022 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund (Continued)
January 31, 2021

 

   Principal   Interest   Maturity    
Security  Amount   Rate %   Date  Value 
CORPORATE BONDS - 93.3% (Continued)                  
TECHNOLOGY HARDWARE - 1.7%                  
Dell International, LLC / EMC Corporation - 144A  $490,000    7.125   6/15/2024  $510,212 
Diebold Nixdorf, Inc. ^   358,000    8.500   4/15/2024   365,607 
Diebold Nixdorf, Inc. - 144A   181,000    9.375   7/15/2025   200,571 
Ingram Micro, Inc.   715,000    5.450   12/15/2024   824,097 
                 1,900,487 
TECHNOLOGY SERVICES - 2.5%                  
Banff Merger Sub, Inc. - 144A   395,000    9.750   9/1/2026   420,734 
MPH Acquisition Holdings, LLC - 144A   530,000    5.750   11/1/2028   526,025 
Nielsen Finance, LLC / Nielsen Finance Company - 144A   299,000    5.000   4/15/2022   299,897 
Nielsen Finance, LLC / Nielsen Finance Company - 144A   255,000    5.625   10/1/2028   273,436 
Nielsen Finance, LLC / Nielsen Finance Company - 144A   402,000    5.875   10/1/2030   446,471 
Shift4 Payments, LLC / Shift4 Payments Finance Sub, Inc. - 144A   288,000    4.625   11/1/2026   300,960 
Tempo Acquisition, LLC / Tempo Acquisition Finance Corporation - 144A   120,000    5.750   6/1/2025   128,514 
Tempo Acquisition, LLC / Tempo Acquisition Finance Corporation - 144A   355,000    6.750   6/1/2025   365,650 
                 2,761,687 
TELECOMMUNICATIONS - 5.5%                  
Altice France Holding S.A. - 144A   500,000    6.000   2/15/2028   504,677 
Altice France S.A. - 144A   380,000    7.375   5/1/2026   398,719 
Cablevision Lightpath, LLC - 144A   360,000    3.875   9/15/2027   362,286 
CenturyLink, Inc.   497,000    7.500   4/1/2024   560,884 
CenturyLink, Inc. - 144A   410,000    5.125   12/15/2026   436,582 
Cogent Communications Group, Inc. - 144A   505,000    5.375   3/1/2022   519,006 
Connect Finco S.A.RL / Connect US Finco, LLC - 144A   480,000    6.750   10/1/2026   513,528 
Frontier Communications Corporation - 144A   505,000    5.000   5/1/2028   524,884 
Hughes Satellite Systems Corporation   706,000    6.625   8/1/2026   799,806 
Telesat Canada / Telesat, LLC - 144A   302,000    4.875   6/1/2027   314,805 
Telesat Canada / Telesat, LLC - 144A ^   740,000    6.500   10/15/2027   784,755 
Zayo Group Holdings, Inc. - 144A   391,000    6.125   3/1/2028   407,378 
                 6,127,310 
TRANSPORTATION & LOGISTICS - 3.3%                  
American Airlines, Inc. - 144A   725,000    11.750   7/15/2025   842,160 
Cargo Aircraft Management, Inc. - 144A   650,000    4.750   2/1/2028   677,219 
Delta Air Lines, Inc. - 144A   650,000    7.000   5/1/2025   754,150 
Delta Air Lines, Inc.   150,000    4.375   4/19/2028   153,357 
Delta Air Lines, Inc.   112,000    3.750   10/28/2029   109,946 
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. - 144A   368,417    5.750   1/20/2026   384,075 
UAL 2007-1 Pass Through Trust   167,458    6.636   7/2/2022   171,611 
United Airlines Holdings, Inc. ^   317,000    5.000   2/1/2024   313,331 
United Airlines Holdings, Inc. ^   339,000    4.875   1/15/2025   328,660 
                 3,734,509 
TRANSPORTATION EQUIPMENT - 0.8%                  
Allison Transmission, Inc. - 144A   505,000    3.750   1/30/2031   505,000 
JB Poindexter & Company, Inc. - 144A   380,000    7.125   4/15/2026   405,650 
                 910,650 
WHOLESALE - CONSUMER STAPLES - 1.2%                  
C&S Group Enterprises, LLC - 144A   520,000    5.000   12/15/2028   519,025 
Performance Food Group, Inc. - 144A   450,000    5.500   10/15/2027   476,010 
US Foods, Inc. - 144A   303,000    6.250   4/15/2025   323,890 
                 1,318,925 
WHOLESALE - DISCRETIONARY - 0.4%                  
KAR Auction Services, Inc. - 144A   475,000    5.125   6/1/2025   488,062 
                   
TOTAL CORPORATE BONDS (Cost - $100,939,591)                104,576,252 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham High-Yield Bond Fund (Continued)
January 31, 2021

 

       Interest      
Security  Shares   Rate %    Value 
SHORT-TERM INVESTMENT - 3.2%                
MONEY MARKET FUND - 3.2%                
First American Government Obligations Fund - Class Z   3,568,764    0.030  +  $3,568,764 
TOTAL SHORT-TERM INVESTMENT (Cost - $3,568,764)                
                 
COLLATERAL FOR SECURITIES LOANED - 1.9%                
HSBC US Government Money Market Fund - Class I #   2,198,661    0.030  +   2,198,661 
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $2,198,661)                
                 
TOTAL INVESTMENTS - 98.7% (Cost - $106,997,016)             $110,633,677 
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.3%              1,415,833 
NET ASSETS - 100.0%             $112,049,510 

 

LIBOR - London Inter-bank Offered Rate

 

LLC - Limited Liability Corporation

 

LLLP - Limited Liability Limited Partnership

 

L.P. - Limited Partnership

 

LTD - Limited Company

 

plc - Public Limited Company

 

REITs - Real Estate Investment Trusts

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $2,155,502 at January 31, 2021.

 

*Illiquid security. Total illiquid securities had a value of $4,805 at January 31, 2021.

 

+Variable rate security. Interest rate is as of January 31, 2021.

 

#The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

144A - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2021 the total market value of 144A securities is $74,668,816 or 66.64% of net assets.

 

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited)
January 31, 2021

 

Principal Amount     Variable Rate %  Interest Rate %  Maturity  Value 
   ASSET BACKED SECURITIES — 0.2%              
65,425 EUR  Bankinter 10 FTA(a)  3 Month Euro LIBOR + 0.16%  0.0001  06/21/43  $79,633 
27,899 EUR  Fondo de Titulizacion de Activos Santander(a)  3 Month Euro LIBOR + 0.15%  0.0001  01/18/49   33,783 
   TOTAL ASSET BACKED SECURITIES (Cost $99,061)            113,416 
                  
   CORPORATE BONDS — 61.8%              
   AEROSPACE & DEFENSE — 0.8%              
250,000 EUR  Airbus S.E.     2.375  06/09/40   351,530 
100,000 EUR  Rolls-Royce plc(b)     4.625  02/16/26   129,574 
                481,104 
   ASSET MANAGEMENT — 0.7%              
300,000 EUR  JAB Holdings BV     1.000  12/20/27   380,628 
87,000 USD  MDGH - GMTN BV(b)     2.875  11/07/29   93,356 
                473,984 
   AUTOMOTIVE — 2.9%              
300,000 EUR  Daimler A.G.     0.750  02/08/30   374,332 
100,000 EUR  Faurecia S.E.     3.125  06/15/26   125,096 
200,000 USD  Fiat Chrysler Automobiles N.V.     3.875  01/05/26   281,624 
300,000 USD  Hyundai Capital America(b)     1.300  01/08/26   299,430 
300,000 EUR  Nissan Motor Company Ltd.(b)     3.522  09/17/25   321,311 
200,000 EUR  Volkswagen International Finance N.V.     1.875  03/30/27   265,552 
100,000 EUR  ZF Finance GmbH     3.750  09/21/28   129,401 
                1,796,746 
   BANKING — 8.8%              
250,000 USD  AIB Group plc(b),(c)     4.750  10/12/23   274,588 
250,000 EUR  AIB Group plc     2.250  07/03/25   330,018 
200,000 EUR  Banco Bilbao Vizcaya Argentaria S.A.     3.500  02/10/27   282,820 
535,000 USD  Banco Mercantil del Norte S.A.(a),(b)  H15T5Y + 4.97%  6.750  09/27/68   568,768 
200,000 EUR  Banco Santander S.A.     1.125  01/17/25   252,669 
200,000 EUR  Banque Federative du Credit Mutuel S.A.     2.625  03/18/24   264,759 
350,000 USD  Barclays plc     4.836  05/09/28   399,238 
200,000 EUR  BPCE S.A.     4.625  07/18/23   270,283 
200,000 EUR  Cooperatieve Rabobank UA     1.375  02/03/27   264,514 
300,000 EUR  Credit Agricole S.A.     1.875  12/20/26   399,829 
250,000 USD  Danske Bank A/S(a),(b)  H15T1Y + 1.35%  1.621  09/11/26   251,460 
300,000 USD  Deutsche Bank AG/New York NY(a)     2.129  11/24/26   304,125 
150,000 USD  HSBC Holdings plc(a)  3 Month LIBOR + 0.99%  3.950  05/18/24   161,444 
100,000 USD  HSBC Holdings PLC(a),(c)     1.589  05/24/27   101,242 

 

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Principal Amount     Variable Rate %  Interest Rate %  Maturity  Value 
   CORPORATE BONDS — 61.8% (Continued)              
   BANKING — 8.8% (Continued)              
200,000 EUR  ING Bank N.V. (a)  EUSA5 + 2.25%  3.625  02/25/26  $243,537 
300,000 USD  Mizuho Financial Group, Inc. (a),(c)  3 Month LIBOR + 1.27%  1.979  09/08/31   300,461 
250,000 EUR  Natwest Group plc(a)  3 Month Euro LIBOR + 1.08%  1.750  03/02/26   321,595 
300,000 USD  Standard Chartered plc(a),(b),(c)  3 Month LIBOR + 1.21%  2.819  01/30/26   318,066 
150,000 USD  Standard Chartered plc(b)     5.700  03/26/44   200,886 
                5,510,302 
   BEVERAGES — 0.8%              
200,000 EUR  Heineken N.V.     3.500  03/19/24   270,660 
200,000 EUR  Pernod Ricard S.A.     1.500  05/18/26   262,723 
                533,383 
   BIOTECH & PHARMA — 2.7%              
300,000 EUR  Bayer A.G.     1.375  07/06/32   384,111 
250,000 GBP  GlaxoSmithKline Capital plc     1.250  10/12/28   353,553 
100,000 EUR  Grifols S.A.     3.200  05/01/25   122,705 
100,000 EUR  Grifols S.A.     2.250  11/15/27   123,447 
200,000 EUR  Mylan N.V.     3.125  11/22/28   288,564 
100,000 EUR  Nidda BondCompany GmbH     5.000  09/30/25   122,872 
100,000 USD  Nidda Healthcare Holding GmbH     3.500  09/30/24   122,091 
200,000 EUR  Perrigo Finance Unlimited Company(c)     3.150  06/15/30   211,555 
                1,728,898 
   CABLE & SATELLITE — 1.4%              
100,000 EUR  Telenet Finance Luxembourg Notes Sarl     3.500  03/01/28   126,526 
200,000 EUR  UPCB Finance VII Ltd.     3.625  06/15/29   251,151 
100,000 GBP  Virgin Media Secured Finance plc     5.000  04/15/27   144,679 
100,000 GBP  Virgin Media Secured Finance plc     4.250  01/15/30   142,222 
100,000 EUR  Ziggo Bond Company BV(b)     3.375  02/28/30   121,446 
100,000 EUR  Ziggo BV     2.875  01/15/30   123,048 
                909,072 
   CHEMICALS — 0.8%              
100,000 EUR  CeramTec BondCompany GmbH     5.250  12/15/25   124,129 
100,000 EUR  OCI N.V.     3.125  11/01/24   124,345 
100,000 EUR  Solvay Finance S.A.CA(a)  EUSA5 + 5.22%  5.869  Perpetual   137,145 
100,000 EUR  SPCM SA(b)     2.000  02/01/26   123,774 
                509,393 

 

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Principal Amount     Variable Rate %  Interest Rate %  Maturity  Value 
   CORPORATE BONDS — 61.8% (Continued)              
   COMMERCIAL SUPPORT SERVICES — 0.2%              
100,000 EUR  Intertrust Group BV     3.375  11/15/25  $124,237 
                  
   CONSTRUCTION MATERIALS — 0.1%              
69,000 USD  Cemex S.A.B. de C.V.(b)     7.375  06/05/27   77,970 
                  
   CONTAINERS & PACKAGING — 1.2%              
200,000 GBP  Ardagh Packaging Finance plc / Ardagh Holdings     4.750  07/15/27   285,783 
85,000 USD  Klabin Austria GmbH(b)     3.200  01/12/31   84,821 
100,000 EUR  Smurfit Kappa Treasury ULC     1.500  09/15/27   126,534 
200,000 EUR  Trivium Packaging Finance BV     3.750  08/15/26   248,901 
                746,039 
   ELEC & GAS MARKETING & TRADING — 0.5%              
250,000 EUR  Orsted A/S     1.500  11/26/29   342,009 
                  
   ELECTRIC UTILITIES — 4.6%              
200,000 EUR  Enel Finance International N.V.     1.966  01/27/25   262,712 
1,341,000 USD  Eskom Holdings SOC Ltd.(b),(c)     6.750  08/06/23   1,403,021 
95,000 USD  Eskom Holdings SOC Ltd.(b)     7.125  02/11/25   101,766 
200,000 EUR  Iberdrola Finanzas S.A.     1.000  03/07/25   254,076 
250,000 EUR  innogy Finance BV     1.000  04/13/25   316,803 
200,000 EUR  Naturgy Finance BV     1.500  01/29/28   265,924 
233,000 USD  Star Energy Geothermal Darajat II / Star Energy(b)     4.850  10/14/38   260,960 
                2,865,262 
   ELECTRICAL EQUIPMENT — 0.4%              
100,000 EUR  Vertical Midco GmbH     4.375  07/15/27   127,397 
100,000 EUR  Vertical Midco GmbH(b)     4.375  07/15/27   127,398 
                254,795 
   ENGINEERING & CONSTRUCTION — 0.4%              
248,000 USD  IHS Netherlands Holdco BV(b)     8.000  09/18/27   267,530 
                  
   FOOD — 2.5%              
634,000 USD  Adecoagro S.A.(b)     6.000  09/21/27   668,572 
512,000 USD  Minerva Luxembourg S.A.(b)     6.500  09/20/26   539,520 
100,000 EUR  Sigma Holdco BV     5.750  05/15/26   118,468 

 

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Principal Amount     Variable Rate %  Interest Rate %  Maturity  Value 
   CORPORATE BONDS — 61.8% (Continued)              
   FOOD — 2.5% (Continued)              
207,000 USD  Ulker Biskuvi Sanayi A/S(b)     6.950  10/30/25  $225,034 
                1,551,594 
   FORESTRY, PAPER & WOOD PRODUCTS — 0.2%              
100,000 EUR  WEPA Hygieneprodukte GmbH     2.875  12/15/27   123,683 
                  
   GAS & WATER UTILITIES — 0.4%              
200,000 EUR  Veolia Environnement S.A.     1.496  11/30/26   264,558 
                  
   INDUSTRIAL INTERMEDIATE PROD — 0.7%              
407,000 USD  HTA Group Ltd./Mauritius(b)     7.000  12/18/25   436,406 
                  
   INDUSTRIAL SUPPORT SERVICES — 0.6%              
100,000 EUR  Loxam S.A.S     3.750  07/15/26   123,003 
100,000 EUR  Techem Verwaltungsgesellschaft 674 mbH     6.000  07/30/26   126,433 
100,000 EUR  Techem Verwaltungsgesellschaft 675 mbH(b)     2.000  07/15/25   120,117 
                369,553 
   INSTITUTIONAL FINANCIAL SERVICES — 0.4%              
225,000 USD  Nomura Holdings, Inc. (c)     1.851  07/16/25   232,971 
                  
   INSURANCE — 1.6%              
200,000 EUR  Allianz S.E. (a)  3 Month Euro LIBOR + 3.35%  3.099  07/06/47   279,561 
300,000 EUR  Great-West Lifeco, Inc.     2.500  04/18/23   386,034 
250,000 EUR  NN Group N.V.     1.625  06/01/27   332,512 
                998,107 
   INTERNET MEDIA & SERVICES — 0.3%              
200,000 USD  Tencent Holdings Ltd.(b)     3.240  06/03/50   199,921 
                  
   LEISURE FACILITIES & SERVICES — 0.5%              
100,000 EUR  Gamma Bidco SpA     6.250  07/15/25   126,222 
100,000 EUR  Motion Finco Sarl     7.000  05/15/25   126,252 
73,000 USD  Studio City Finance Ltd.(b)     6.000  07/15/25   77,015 
                329,489 
   METALS & MINING — 2.2%              
66,000 USD  Corp Nacional del Cobre de Chile(b)     3.000  09/30/29   71,253 

 

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Principal Amount     Variable Rate %  Interest Rate %  Maturity  Value 
   CORPORATE BONDS — 61.8% (Continued)              
   METALS & MINING — 2.2% (Continued)              
142,000 USD  Corp Nacional del Cobre de Chile(b)     4.375  02/05/49  $169,064 
562,000 USD  First Quantum Minerals Ltd.(b)     6.875  03/01/26   586,236 
300,000 EUR  Glencore Capital Finance DAC     1.125  03/10/28   379,877 
81,000 USD  Indika Energy Capital IV Pte Ltd.(b)     8.250  10/22/25   87,217 
26,000 USD  Indonesia Asahan Aluminium Persero PT(b)     5.800  05/15/50   31,753 
58,000 USD  Southern Copper Corporation     6.750  04/16/40   85,524 
                1,410,924 
                  
   OIL & GAS PRODUCERS — 7.1%              
325,000 USD  BP Capital Markets plc(a)  H15T5Y + 4.04%  4.375  Perpetual   346,951 
100,000 EUR  eG Global Finance plc     6.250  10/30/25   124,946 
651,000 USD  Geopark Ltd.(b)     6.500  09/21/24   674,599 
97,000 USD  KazMunayGas National Company JSC(b),(c)     5.750  04/19/47   125,035 
369,000 USD  Kosmos Energy Ltd.(b)     7.125  04/04/26   368,941 
94,000 USD  Leviathan Bond Ltd.     6.500  06/30/27   106,138 
45,000 USD  Petroleos Mexicanos     6.875  08/04/26   48,206 
149,000 USD  Petroleos Mexicanos     5.950  01/28/31   141,592 
38,000 USD  Petroleos Mexicanos     6.625  06/15/35   35,777 
452,000 USD  Petroleos Mexicanos     7.690  01/23/50   428,035 
161,000 USD  Petroleos Mexicanos(c)     6.950  01/28/60   141,350 
300,000 USD  Total Capital International S.A.(c)     3.127  05/29/50   308,244 
1,598,000 USD  Tullow Oil plc(b)     7.000  03/01/25   1,052,043 
859,000 USD  YPF S.A.(b)     8.500  07/28/25   591,636 
                4,493,493 
   REAL ESTATE OWNERS & DEVELOPERS — 5.5%              
636,000 USD  China SCE Group Holdings Ltd.     7.375  04/09/24   670,582 
700,000 USD  China SCE Group Holdings Ltd.     7.000  05/02/25   738,500 
500,000 USD  Theta Capital Pte Ltd.     8.125  01/22/25   507,514 
250,000 USD  Theta Capital Pte Ltd.     6.750  10/31/26   233,418 
1,300,000 USD  Wanda Properties International Company Ltd.     7.250  01/29/24   1,335,425 
                3,485,439 
   REAL ESTATE SERVICES — 0.9%              
557,000 USD  ESR Cayman Ltd.     7.875  04/04/22   581,364 

 

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Principal Amount     Variable Rate %  Interest Rate %  Maturity  Value 
   CORPORATE BONDS — 61.8% (Continued)              
   REIT— 1.1%              
400,000 USD  LMIRT Capital Pte Ltd.     7.250  06/19/24  $402,974 
200,000 GBP  Westfield America Management Ltd.     2.125  03/30/25   280,474 
                683,448 
   RENEWABLE ENERGY — 1.1%              
700,000 USD  ENN Clean Energy International Investment Ltd.     7.500  02/27/21   694,397 
                  
   RETAIL - CONSUMER STAPLES — 0.2%              
100,000 EUR  Quatrim S.A.SU     5.875  01/15/24   126,731 
                  
   SEMICONDUCTORS — 0.4%              
150,000 USD  TSMC Global Ltd.(b)     1.000  09/28/27   148,390 
100,000 USD  TSMC Global Ltd.(b)     1.375  09/28/30   97,408 
                245,798 
   SPECIALTY FINANCE — 0.5%              
100,000 EUR  Parts Europe S.A.(b)     6.500  07/16/25   126,781 
184,000 USD  Studio City Finance Ltd.(b)     6.500  01/15/28   197,800 
                324,581 
   STEEL — 3.2%              
648,000 USD  CSN Resources S.A.(b)     7.625  04/17/26   697,203 
1,199,000 USD  Metinvest BV(b)     7.750  10/17/29   1,295,232 
                1,992,435 
   TECHNOLOGY HARDWARE — 0.6%              
100,000 EUR  Nokia OYJ     3.125  05/15/28   134,850 
250,000 USD  Seagate HDD Cayman(b),(c)     4.125  01/15/31   262,356 
                397,206 
   TELECOMMUNICATIONS — 3.6%              
100,000 EUR  Altice France Holding S.A.(b)     8.000  05/15/27   133,572 
100,000 EUR  Altice France S.A.(b)     2.125  02/15/25   118,854 
230,000 USD  Axtel S.A.B. de C.V.(b)     6.375  11/14/24   240,925 
250,000 EUR  Deutsche Telekom International Finance BV     0.875  01/30/24   313,552 
200,000 USD  Millicom International Cellular S.A.(b)     5.125  01/15/28   211,587 
200,000 EUR  Orange S.A.     2.000  01/15/29   278,745 
200,000 EUR  Telecom Italia SpA     3.625  05/25/26   269,140 
100,000 EUR  Telefonica Europe BV(a)  EUSA6 + 4.11%  4.375  03/14/68   131,569 
250,000 USD  VF Ukraine PAT via VFU Funding plc(b)     6.200  02/11/25   261,254 

 

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Principal Amount     Variable Rate %  Interest Rate %  Maturity  Value 
   CORPORATE BONDS — 61.8% (Continued)              
   TELECOMMUNICATIONS — 3.6% (Continued)              
100,000 EUR  Vodafone Group plc(a)  EUSA5 + 2.67%  3.100  01/03/79  $126,046 
100,000 EUR  Vodafone Group plc(a)  EUSA5 + 3.00%  2.625  08/27/80   125,071 
                2,210,315 
   TRANSPORTATION & LOGISTICS — 1.9%              
250,000 USD  Aerovias de Mexico S.A. de CV(b)     7.000  02/05/25   103,078 
3,000 USD  DP World plc(b)     6.850  07/02/37   4,059 
64,000 USD  DP World plc(b)     5.625  09/25/48   80,275 
6,000 USD  DP World plc(b)     4.700  09/30/49   6,726 
662,000 USD  Gol Finance S.A.(b),(c)     7.000  01/31/25   585,043 
100,000 GBP  Heathrow Funding Ltd.     7.125  02/14/24   157,033 
155,000 USD  Rumo Luxembourg Sarl(b)     5.250  01/10/28   166,757 
86,000 USD  Simpar Europe S.A.(b)     5.200  01/26/31   86,378 
                1,189,349 
                  
   TOTAL CORPORATE BONDS (Cost $37,534,066)            38,962,486 
                  
   NON U.S. GOVERNMENT & AGENCIES — 32.0%              
202,000 USD  Angolan Government International Bond(b)     9.125  11/26/49   196,942 
1,783 USD  Argentine Republic Government International Bond     1.000  07/09/29   744 
1,003,000 USD  Argentine Republic Government International Bond(a),(c),(d)     0.125  07/09/30   385,913 
350,000 USD  Argentine Republic Government International Bond(a),(d)     0.125  07/09/35   120,316 
48,520 USD  Argentine Republic Government International Bond(a),(d)     0.125  01/09/38   19,093 
280,000 USD  Argentine Republic Government International Bond(a),(d)     0.125  07/09/46   96,533 
860,000 AUD  Australia Government Bond     1.250  05/21/32   662,298 
93,000 USD  Bahamas Government International Bond(b)     8.950  10/15/32   100,673 
227,000 USD  Banque Centrale de Tunisie International Bond(b)     5.750  01/30/25   208,043 
194,000 EUR  Benin Government International Bond(b)     4.875  01/19/32   234,169 
44,800 USD  Brazil Minas SPE via State of Minas Gerais(b)     5.333  02/15/28   48,776 
291,000 USD  Brazilian Government International Bond     12.500  01/05/22   58,540 
1,919,000 BRL  Brazilian Government International Bond     12.500  01/05/22   386,042 
137,000 USD  Brazilian Government International Bond     4.500  05/30/29   149,750 
175,000 USD  Brazilian Government International Bond(c)     3.875  06/12/30   180,337 
550,000 CAD  Canadian Government Bond     2.250  06/01/29   484,751 

 

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Principal Amount     Variable Rate %  Interest Rate %  Maturity  Value 
   NON U.S. GOVERNMENT & AGENCIES — 32.0% (Continued)              
100,000 EUR  Colombia Government International Bond     3.875  03/22/26  $138,974 
84,000 USD  Colombia Government International Bond     3.000  01/30/30   86,762 
261,000 USD  Colombia Government International Bond     3.125  04/15/31   270,071 
14,000 USD  Colombia Government International Bond     5.625  02/26/44   17,325 
44,000 USD  Colombia Government International Bond     5.000  06/15/45   51,271 
1,159,200,000 COP  Colombian TES     6.000  04/28/28   347,450 
40,000 CZK  Czech Republic Government Bond     3.850  09/29/21   1,920 
4,010,000 CZK  Czech Republic Government Bond     0.950  05/15/30   182,040 
118,000 USD  Dominican Republic International Bond(b)     5.875  01/30/60   124,136 
52,074 USD  Ecuador Government International Bond(b),(e)       07/31/30   22,523 
90,800 USD  Ecuador Government International Bond(a),(b),(d)     0.500  07/31/30   48,805 
46,060 USD  Ecuador Government International Bond(a),(b),(d)     0.500  07/31/35   21,188 
94,000 USD  Egypt Government International Bond(b)     5.250  10/06/25   100,459 
29,000 USD  Egypt Government International Bond(b)     7.053  01/15/32   31,079 
120,000 USD  Egypt Government International Bond(b)     7.625  05/29/32   133,356 
25,000 USD  Egypt Government International Bond(b)     8.500  01/31/47   27,587 
26,000 USD  Egypt Government International Bond(b)     8.700  03/01/49   29,051 
165,000 USD  Egypt Government International Bond(b)     8.875  05/29/50   187,364 
200,000 USD  Egypt Government International Bond(b)     8.150  11/20/59   213,244 
2,175,000 EGP  Egypt Treasury Bills(e)       08/10/21   130,108 
4,100,000 EGP  Egypt Treasury Bills(e)       09/28/21   241,161 
27,000 USD  El Salvador Government International Bond(b)     8.250  04/10/32   27,486 
146,000 USD  El Salvador Government International Bond     8.250  04/10/32   148,628 
104,000 USD  El Salvador Government International Bond     7.650  06/15/35   102,440 
57,000 USD  El Salvador Government International Bond     7.125  01/20/50   52,925 
550,000 BRL  European Investment Bank(e)       08/27/21   99,302 
200,000 EUR  European Investment Bank     1.125  09/15/36   286,943 
68,000 USD  Gabon Government International Bond(b)     6.950  06/16/25   72,926 
17,000 USD  Ghana Government International Bond(b)     6.375  02/11/27   17,648 
139,000 USD  Ghana Government International Bond(b)     7.875  03/26/27   152,710 
13,000 USD  Ghana Government International Bond(b)     7.625  05/16/29   13,776 
60,000 USD  Ghana Government International Bond(b)     7.875  02/11/35   60,785 
281,000 USD  Ghana Government International Bond(b)     8.950  03/26/51   287,854 
7,000 USD  Ghana Government International Bond(b)     8.750  03/11/61   7,044 
100,000 EUR  Indonesia Government International Bond(b)     2.150  07/18/24   129,691 
36,000 USD  Indonesia Government International Bond     2.850  02/14/30   38,457 

 

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Principal Amount     Variable Rate %  Interest Rate %  Maturity  Value 
   NON U.S. GOVERNMENT & AGENCIES — 32.0% (Continued)              
35,000 USD  Indonesia Government International Bond     5.125  01/15/45  $45,017 
1,234,000,000 IDR  Indonesia Treasury Bond     9.000  03/15/29   102,855 
1,943,000,000 IDR  Indonesia Treasury Bond     7.000  09/15/30   145,647 
680,000,000 IDR  Indonesia Treasury Bond     8.250  06/15/32   54,314 
755,000,000 IDR  Indonesia Treasury Bond     8.375  03/15/34   61,138 
76,000 EUR  Ireland Government Bond     5.400  03/13/25   115,561 
50,000 EUR  Ireland Government Bond     0.900  05/15/28   66,785 
130,000 EUR  Ireland Government Bond     1.300  05/15/33   185,957 
240,000 EUR  Italy Buoni Poliennali Del Tesoro     4.500  03/01/24   333,773 
750,000 EUR  Italy Buoni Poliennali Del Tesoro     2.800  12/01/28   1,079,140 
640,000 EUR  Italy Buoni Poliennali Del Tesoro(b)     2.450  09/01/33   926,019 
180,000 EUR  Italy Buoni Poliennali Del Tesoro     5.000  08/01/39   358,257 
235,000 EUR  Italy Buoni Poliennali Del Tesoro     5.000  09/01/40   471,970 
123,000 EUR  Ivory Coast Government International Bond(b)     5.875  10/17/31   164,254 
6,150,000 JPY  Japan Government Forty Year Bond     0.800  03/20/58   61,015 
17,000,000 JPY  Japan Government Thirty Year Bond     1.500  03/20/45   196,976 
17,150,000 JPY  Japan Government Thirty Year Bond     0.500  09/20/46   160,567 
164,000 USD  Kenya Government International Bond(b)     8.000  05/22/32   189,598 
175,000 USD  Lebanon Government International Bond(f)     6.650  02/26/30   23,026 
6,449,000 MXN  Mexican Bonos(a)     7.500  06/03/27   364,915 
6,530,000 MXN  Mexican Bonos     7.750  11/13/42   367,138 
100,000 EUR  Mexico Government International Bond     1.625  04/08/26   128,078 
62,000 USD  Mexico Government International Bond     4.750  04/27/32   72,385 
200,000 USD  Mozambique International Bond(b)     5.000  09/15/31   181,000 
244,000 USD  Nigeria Government International Bond(b)     7.875  02/16/32   267,722 
200,000 USD  Nigeria Government International Bond     7.625  11/28/47   208,978 
63,000 USD  Oman Government International Bond(b)     7.375  10/28/32   71,700 
53,000 USD  Oman Government International Bond(b)     6.750  01/17/48   52,484 
40,000 USD  Panama Government International Bond     3.870  07/23/60   44,660 
260,000 USD  Papua New Guinea Government International Bond(b)     8.375  10/04/28   269,099 
100,000 EUR  Portugal Obrigacoes do Tesouro OT     4.125  04/14/27   155,327 
150,000 CAD  Province of British Columbia Canada     3.200  06/18/44   139,773 
250,000 CAD  Province of Ontario Canada     2.800  06/02/48   217,924 
25,231 USD  Republic of Angola Via Avenir II BV(a)  6 Month LIBOR + 7.50%  7.760  07/01/23   23,847 
185,714 USD  Republic of Angola Via Avenir Issuer II Ireland     6.927  02/18/27   166,621 
125,000 USD  Republic of Armenia International Bond(b)     3.600  02/02/31   121,348 
47,000 USD  Republic of Belarus International Bond(b)     7.625  06/29/27   51,586 

 

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Principal Amount     Variable Rate %  Interest Rate %  Maturity  Value 
   NON U.S. GOVERNMENT & AGENCIES — 32.0% (Continued)              
71,000 USD  Republic of Belarus Ministry of Finance(b)     6.378  02/24/31  $72,281 
157,000 USD  Republic of Cameroon International Bond(b)     9.500  11/19/25   178,972 
1,655,000 ZAR  Republic of South Africa Government Bond     6.250  03/31/36   75,949 
1,854,000 ZAR  Republic of South Africa Government Bond     8.500  01/31/37   102,918 
33,000 USD  Republic of South Africa Government International     5.750  09/30/49   31,895 
42,000 USD  Romanian Government International Bond(b)     3.000  02/14/31   44,627 
76,000 EUR  Romanian Government International Bond(b)     3.375  02/08/38   106,043 
42,000 USD  Romanian Government International Bond(b)     6.125  01/22/44   58,015 
48,000 EUR  Romanian Government International Bond(b)     3.375  01/28/50   65,842 
127,000 USD  Romanian Government International Bond(b)     4.000  02/14/51   135,689 
8,560,000 RUB  Russian Federal Bond - OFZ     7.400  12/07/22   119,129 
20,655,000 RUB  Russian Federal Bond - OFZ     7.050  01/19/28   290,842 
6,120,000 RUB  Russian Federal Bond - OFZ     6.900  05/23/29   85,291 
14,040,000 RUB  Russian Federal Bond - OFZ     7.700  03/23/33   204,783 
600,000 USD  Russian Foreign Bond - Eurobond     4.250  06/23/27   683,299 
121,000 USD  Saudi Government International Bond(b)     2.250  02/02/33   119,699 
350,000 EUR  Spain Government Bond     1.250  10/31/30   472,641 
170,000 EUR  Spain Government Bond     4.200  01/31/37   325,452 
250,000 EUR  Spain Government Bond     2.700  10/31/48   438,278 
93,000 USD  Trinidad & Tobago Government International Bond     4.500  08/04/26   101,370 
47,000 USD  Turkey Government International Bond     5.750  03/22/24   49,609 
27,000 USD  Turkey Government International Bond     6.350  08/10/24   29,057 
29,000 USD  Turkey Government International Bond     6.125  10/24/28   30,887 
210,000 USD  Turkey Government International Bond     7.625  04/26/29   242,738 
111,000 USD  Turkey Government International Bond     5.875  06/26/31   113,246 
35,000 USD  Turkey Government International Bond     5.750  05/11/47   32,125 
40,000 USD  Ukraine Government International Bond(b)     9.750  11/01/28   48,652 
100,000 EUR  Ukraine Government International Bond(b)     4.375  01/27/30   115,780 
119,000 USD  Ukraine Government International Bond(b)     7.375  09/25/32   128,011 
300,000 GBP  United Kingdom Gilt     4.500  09/07/34   625,400 
7,493,000 USD  Uruguay Government International Bond     9.875  06/20/22   184,669 
   TOTAL NON U.S. GOVERNMENT & AGENCIES (Cost $19,062,873)            20,197,052 

 

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value 
     COLLATERAL FOR SECURITIES LOANED – 5.3%     
 3,351,555   Mount Vernon Prime Portfolio, 0.15% (Cost $3,351,555)(g),(h)  $3,351,555 
           
     TOTAL INVESTMENTS - 99.3% (Cost $60,047,555)  $62,624,509 
     OTHER ASSETS IN EXCESS OF LIABILITIES- 0.7%   422,591 
     NET ASSETS - 100.0%  $63,047,100 

 

OPEN FUTURES CONTRACTS(i) 
Number of        Notional   Unrealized Appreciation 
Contracts  Open Long Futures Contracts  Expiration  Amount   (Depreciation) 
10  CBOT 10 Year US Treasury Note  03/22/2021  $1,370,310   $310 
7  Eurex 30 Year Euro BUXL Future  03/08/2021   1,882,003    (36,005)
24  Long Gilt Future  03/29/2021   4,418,521    (6,767)
8  TSE Japanese 10 Year Bond Futures  03/15/2021   11,600,936    (8,605)
   TOTAL FUTURES CONTRACTS          $(51,067)

 

OPEN FUTURES CONTRACTS           
Number of        Notional   Unrealized Appreciation 
Contracts  Open Short Futures Contracts  Expiration  Amount   (Depreciation) 
6  CBOT 10 Year US Treasury Note  03/22/2021   822,186   $5,673 
63  CBOT 5 Year US Treasury Note  03/31/2021   7,930,125    (985)
8  Eurex 10 Year Euro BUND Future  03/08/2021   1,722,729    5,835 
   TOTAL FUTURES CONTRACTS          $10,523 

 

AUD – Australian Dollar

 

BRL – Brazilian Real

 

CAD – Canadian Dollar

 

COP – Colombian Peso

 

CZK – Czech Koruna

 

EGP – Egyptian Pound

 

EUR – Euro

 

GBP – United Kingdom Pound

 

IDR – Indonesian Rupiah

 

JPY – Japanese Yen

 

MXN – Mexican Peso

 

RUB – Russian Ruble

 

USD – US Dollar

 

ZAR – South African Rand

 

H15T5Y 5 Year US Treasury Yield Curve Constant Maturity Rate
   
H15T1Y 1 Year US Treasury Yield Curve Constant Maturity Rate
   
EUSA5 5 Year EUR Annual Swap Rate
   
EUSA6 6 Year EUR Annual Swap Rate

 

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

(a)Variable rate security. Interest rate is as of January 31, 2021.

 

(b)Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2021 the total market value of 144A securities is 21,739,901 or 34.5%.

 

(c)All or a portion of these securities are on loan. Total loaned securities had a value of $3,317,373 at January 31, 2021.

 

(d)Step-Up Bond; the interest rate shown is the rate in effect as of January 31, 2021.

 

(e)Zero coupon rate.

 

(f)Represents issuer in default on interest payments; non-income producing security.

 

(g)Rate disclosed is the seven day effective yield as of January 31, 2021.

 

(h)The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

(i)Face amounts are the underlying reference notional amounts to stock exchange indices and bonds upon which the fair value of the futures contracts traded by the Fund are based. While face amounts do not represent the current fair value and are not necessarily indicative of the future cash flows of the Fund’s futures contracts, the underlying price changes in relation to the variables specified by the face amounts affect the fair value of these derivative financial instruments. Instrument is non-income producing.

 

OPEN CREDIT DEFAULT SWAP AGREEMENTS

 

      Notional Value at   Fixed Deal  Premium   Maturity  Unrealized 
Description  Counterparty  January 31, 2021   (Received) Rate  Paid (Received)   Date  Appreciation 
To Sell Protection CDX.EM.33-V2 (1)  Citibank  $(722,000)  1.00%  $(26,903)  6/20/2025  $20,753 
To Sell Protection CDX.EM.32-V3 (1)  Citibank   (465,000)  1.00%   (28,187)  12/20/2021   27,768 
                       48,521 

 

(1)If the Fund is a seller of protection and if a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising of the referenced index.

 

                 Unrealized 
Foreign Currency  Settlement Date  Counterparty  Local Currency   U.S. Dollar Value   Appreciation/(Depreciation) 
To Buy:                     
Euro  02/04/2021  Barclays   75,258   $91,435   $(261)
British Pound  02/12/2021  Citigroup   551,328    757,121    6,791 
British Pound  02/12/2021  JP Morgan Chase   100,000    137,327    1,521 
Euro  02/25/2021  Capstone Global Markets   880,000    1,069,614    1,467 
Euro  02/25/2021  Citigroup   130,000    158,012    1,084 
Mexican Peso  02/25/2021  Capstone Global Markets   12,000,000    591,991    (15,529)
Mexican Peso  02/25/2021  JP Morgan Chase   6,330,000    312,275    (1,233)
Euro  03/22/2021  Citigroup   66,154    80,459    (860)
Euro  03/22/2021  JP Morgan Chase   279,914    340,441    (1,570)
                   $(8,590)

 

 

DUNHAM INTERNATIONAL OPPORTUNITY BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

                 Unrealized 
Foreign Currency  Settlement Date  Counterparty  Local Currency   U.S. Dollar Value   Appreciation/(Depreciation) 
To Sell:                     
Euro  02/01/2021  JP Morgan Chase   61,643   $74,890   $(137)
Euro  02/04/2021  Barclays   5,221,676    6,344,076    80,051 
British Pound  02/12/2021  Capstone Global Markets   460,000    631,703    (6,171)
Australian Dollar  03/22/2021  Citigroup   874,500    671,158    (22,480)
British Pound  03/22/2021  Citigroup   1,246,300    1,711,887    (48,009)
Canadian Dollar  03/22/2021  Citigroup   1,110,100    869,102    (128)
Euro  03/22/2021  BNY Mellon   190,283    231,429    203 
Euro  03/22/2021  Barclays   12,357,856    15,030,087    (11,783)
Euro  03/22/2021  Citigroup   656,890    798,934    4,388 
Japanese Yen  03/22/2021  Citigroup   70,715,099    675,760    4,749 
                   $683 

 

                              
      Settlement     Currency Amount   Currency Amount           Unrealized Appreciation/ 
Foreign Currency     Date  Counterparty  Purch Buy   Purch Sell   U.S. Dollar MV Buy   U.S. Dollar MV Sell   (Depreciation) 
To Buy:                                  
British Pound  Euro  2/12/2021  Citigroup   559,399    620,000    768,204    (753,392)  $14,812 
Euro  British Pound  2/12/2021  Capstone Global Markets   240,000    213,129    291,636    (292,683)   (1,048)
Euro  British Pound  2/12/2021  Citigroup   380,000    338,199    461,756    (464,438)   (2,681)
Euro  Japanese Yen  2/12/2021  Citigroup   260,000    33,089,771    315,939    (316,086)   (147)
Japanese Yen  Australian Dollar  2/12/2021  JP Morgan Chase   68,672,094    850,000    655,981    (652,199)   3,782 
Australian Dollar  Japanese Yen  2/25/2021  Capstone Global Markets   690,000    55,289,700    529,470    (528,206)   1,264 
Euro  British Pound  3/22/2021  JP Morgan Chase   481,926    439,700    586,137    (603,961)   (17,824)
                                $(1,842)
                                   
Total                               $(9,749)

 

 

DUNHAM LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited)
January 31, 2021

 

Shares      Value 
         
     COMMON STOCKS — 93.4%     
     AEROSPACE & DEFENSE - 2.3%     
 9,024   L3Harris Technologies, Inc.  $1,547,706 
 3,350   Lockheed Martin Corporation   1,078,097 
         2,625,803 
     ASSET MANAGEMENT - 2.9%     
 2,545   BlackRock, Inc.   1,784,707 
 29,896   Charles Schwab Corporation (The)   1,540,840 
         3,325,547 
     AUTOMOTIVE - 1.2%     
 26,763   General Motors Company   1,356,349 
           
     BANKING - 7.7%     
 114,832   Bank of America Corporation   3,404,769 
 31,469   JPMorgan Chase & Company   4,049,115 
 33,251   Truist Financial Corporation   1,595,383 
         9,049,267 
     BIOTECH & PHARMA - 6.5%     
 14,394   AbbVie, Inc.   1,475,097 
 27,168   Bristol-Myers Squibb Company   1,668,930 
 18,191   Johnson & Johnson   2,967,499 
 19,821   Merck & Company, Inc.   1,527,604 
         7,639,130 
     CABLE & SATELLITE - 1.6%     
 52,084   Altice USA, Inc., Class A(a)   1,852,628 
           
     CHEMICALS - 2.7%     
 5,940   Air Products and Chemicals, Inc.   1,584,554 
 55,759   Huntsman Corporation   1,473,153 
         3,057,707 
     CONSTRUCTION MATERIALS - 1.8%     
 3,440   Martin Marietta Materials, Inc.   988,690 
 14,789   Owens Corning   1,147,627 
         2,136,317 
     CONSUMER SERVICES - 1.2%     
 28,522   Service Corp International   1,438,364 

 

 

DUNHAM LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value 
         
     COMMON STOCKS — 93.4% (Continued)     
     CONTAINERS & PACKAGING - 0.7%     
 20,883   WestRock Company  $865,183 
           
     DIVERSIFIED INDUSTRIALS - 3.4%     
 25,476   Emerson Electric Company   2,021,520 
 9,734   Honeywell International, Inc.   1,901,732 
         3,923,252 
     ELECTRIC UTILITIES - 4.3%     
 17,895   American Electric Power Company, Inc.(b)   1,447,884 
 16,453   DTE Energy Company   1,953,301 
 25,387   Xcel Energy, Inc.   1,624,514 
         5,025,699 
     ELECTRICAL EQUIPMENT - 1.0%     
 8,336   Trane Technologies plc   1,194,966 
           
     ENGINEERING & CONSTRUCTION - 1.5%     
 25,007   Quanta Services, Inc.   1,762,243 
           
     ENTERTAINMENT CONTENT - 2.7%     
 37,140   Discovery, Inc. - Series A(a),(b)   1,538,339 
 10,199   Walt Disney Company (The)   1,715,166 
         3,253,505 
     FOOD - 1.5%     
 30,529   Mondelez International, Inc., Class A   1,692,528 
           
     HEALTH CARE FACILITIES & SERVICES - 3.2%     
 12,708   AmerisourceBergen Corporation   1,324,174 
 6,171   Cigna Corporation   1,339,415 
 3,329   UnitedHealth Group, Inc.   1,110,488 
         3,774,077 
     HOME CONSTRUCTION - 0.9%     
 25,131   PulteGroup, Inc.   1,093,199 
           
     HOUSEHOLD PRODUCTS - 1.0%     
 9,479   Procter & Gamble Company (The)   1,215,303 

 

 

DUNHAM LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value 
         
     COMMON STOCKS — 93.4% (Continued)     
     INSTITUTIONAL FINANCIAL SERVICES - 3.0%     
 45,757   Bank of New York Mellon Corporation (The)  $1,822,502 
 14,701   Intercontinental Exchange, Inc.   1,622,255 
         3,444,757 
     INSURANCE - 6.9%     
 17,494   Allstate Corporation (The)   1,875,007 
 5,738   Berkshire Hathaway, Inc., Class B(a)   1,307,518 
 24,859   Hartford Financial Services Group, Inc. (The)   1,193,729 
 19,960   Prudential Financial, Inc.   1,562,469 
 10,269   Travelers Companies, Inc. (The)   1,399,665 
 3,547   Willis Towers Watson plc   719,828 
         8,058,216 
     INTERNET MEDIA & SERVICES - 2.5%     
 1,589   Alphabet, Inc., Class A(a)   2,903,675 
           
     LEISURE FACILITIES & SERVICES - 1.0%     
 9,917   Darden Restaurants, Inc.   1,159,198 
           
     MACHINERY - 3.2%     
 9,311   Caterpillar, Inc.   1,702,423 
 7,610   Parker-Hannifin Corporation   2,013,682 
         3,716,105 
     MEDICAL EQUIPMENT & DEVICES - 5.8%     
 21,406   Abbott Laboratories   2,645,567 
 11,242   Hill-Rom Holdings, Inc.(b)   1,079,682 
 5,459   Stryker Corporation   1,206,494 
 3,485   Thermo Fisher Scientific, Inc.   1,776,304 
         6,708,047 
     OIL & GAS PRODUCERS - 4.1%     
 45,576   ConocoPhillips   1,824,408 
 28,640   EOG Resources, Inc.(b)   1,459,494 
 21,339   Phillips 66(b)   1,446,784 
         4,730,686 
     RETAIL - CONSUMER STAPLES - 1.9%     
 12,028   Target Corporation   2,179,112 

 

 

DUNHAM LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value 
         
     COMMON STOCKS — 93.4% (Continued)     
     RETAIL - DISCRETIONARY - 2.4%     
 1,291   AutoZone, Inc.(a)  $1,443,816 
 8,232   Lowe’s Companies, Inc.   1,373,509 
         2,817,325 
     SEMICONDUCTORS - 4.8%     
 3,074   Broadcom, Inc.   1,384,837 
 16,997   Intel Corporation   943,503 
 21,337   Micron Technology, Inc.(a)   1,670,047 
 45,865   ON Semiconductor Corporation(a)   1,581,884 
         5,580,271 
     SOFTWARE - 1.0%     
 5,065   Microsoft Corporation   1,174,877 
           
     SPECIALTY FINANCE - 0.7%     
 7,347   American Express Company   854,162 
           
     TECHNOLOGY HARDWARE - 1.8%     
 5,544   Apple, Inc.   731,586 
 31,061   Cisco Systems, Inc.   1,384,700 
         2,116,286 
     TECHNOLOGY SERVICES - 1.2%     
 7,773   Global Payments, Inc.   1,372,090 
           
     TELECOMMUNICATIONS - 2.2%     
 45,960   Verizon Communications, Inc.   2,516,310 
           
     TRANSPORTATION & LOGISTICS - 2.8%     
 6,221   Kansas City Southern(b)   1,260,810 
 29,395   Knight-Swift Transportation Holdings, Inc.   1,175,800 
 19,844   Southwest Airlines Company(b)   871,945 
         3,308,555 
           
     TOTAL COMMON STOCKS (Cost $82,246,574)   108,920,739 

 

 

DUNHAM LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value 
         
     REITS — 4.3%     
     REITS - 4.3%     
 5,294   American Tower Corporation, A  $1,203,644 
 10,818   Boston Properties, Inc.   987,359 
 25,126   Equity LifeStyle Properties, Inc.   1,528,666 
 12,737   Prologis, Inc.   1,314,458 
     TOTAL REITS (Cost $4,497,363)   5,034,127 
           
     COLLATERAL FOR SECURITIES LOANED — 4.7%     
 5,465,288   Mount Vernon Prime Portfolio, 0.15% (Cost $5,465,288)(c),(d)   5,465,288 
           
     TOTAL INVESTMENTS - 102.4% (Cost $92,209,225)  $119,420,154 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (2.4)%   (2,810,187)
     NET ASSETS - 100.0%  $116,609,967 

 

PLC - Public Limited Company

 

REIT - Real Estate Investment Trust

 

(a)Non-income producing security.

 

(b)All or a portion of these securities are on loan. Total loaned securities had a value of $5,223,098 at January 31, 2021.

 

(c)Rate disclosed is the seven day effective yield as of January 31, 2021.

 

(d)The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

 

DUNHAM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited)
January 31, 2021

 

Shares      Value 
         
     COMMON STOCKS — 87.9%     
     AEROSPACE & DEFENSE - 1.0%     
 5,898   Barnes Group, Inc.  $283,517 
 6,612   Kaman Corporation   332,980 
         616,497 
     ASSET MANAGEMENT - 1.0%     
 13,551   Artisan Partners Asset Management, Inc., Class A   655,868 
           
     AUTOMOTIVE - 1.0%     
 61,626   Goodyear Tire & Rubber Company (The)   650,154 
           
     BANKING - 17.9%     
 41,007   Associated Banc-Corporation   735,666 
 32,916   Bancorp, Inc. (The)(a)   552,001 
 11,775   Banner Corporation   520,808 
 19,637   Central Pacific Financial Corporation   390,384 
 14,927   Eagle Bancorp, Inc.   634,248 
 870   First Citizens BancShares, Inc., Class A(b)   518,511 
 9,851   First Financial Corporation   378,180 
 12,753   First Interstate BancSystem, Inc., Class A   493,031 
 35,579   First Midwest Bancorp, Inc.   588,121 
 22,551   Flagstar Bancorp, Inc.   966,309 
 18,340   Hancock Whitney Corporation   626,128 
 13,623   Heartland Financial USA, Inc.(b)   581,157 
 24,203   Independent Bank Corporation (Michigan)   444,367 
 27,065   Simmons First National Corporation, Class A(b)   668,506 
 14,757   The First Bancshares, Inc.   441,825 
 13,279   TriCompany Bancshares   495,307 
 23,916   Trustmark Corporation   656,973 
 9,855   UMB Financial Corporation   699,410 
 24,758   United Community Banks, Inc.   738,530 
         11,129,462 
     BIOTECH & PHARMA - 2.4%     
 10,029   Anika Therapeutics, Inc.(a),(b)   371,173 
 14,413   Coherus Biosciences, Inc.(a),(b)   270,964 
 14,482   Supernus Pharmaceuticals, Inc.(a)   425,627 
 28,322   Vanda Pharmaceuticals, Inc.(a)   406,138 
         1,473,902 

 

 

DUNHAM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value 
         
     COMMON STOCKS — 87.9%     
     CHEMICALS - 2.8%     
 8,956   Cabot Corporation  $393,258 
 22,408   Lydall, Inc.(a)   674,481 
 11,572   Minerals Technologies, Inc.   713,182 
         1,780,921 
     COMMERCIAL SUPPORT SERVICES - 1.0%     
 8,109   Insperity, Inc.   636,475 
           
     CONSUMER SERVICES - 1.2%     
 1,337   Graham Holdings Company, Class B   759,563 
           
     CONTAINERS & PACKAGING - 0.9%     
 11,848   Greif, Inc., Class A   535,056 
           
     ELECTRIC UTILITIES - 2.7%     
 22,687   Hawaiian Electric Industries, Inc.(b)   750,032 
 9,855   NorthWestern Corporation   536,802 
 9,565   Unitil Corporation   389,965 
         1,676,799 
     ENGINEERING & CONSTRUCTION - 1.4%     
 30,282   Primoris Services Corporation   881,358 
           
     FOOD - 2.3%     
 17,101   Phibro Animal Health Corporation, Class A   354,675 
 34,927   Pilgrim’s Pride Corporation(a)   676,885 
 10,380   Seneca Foods Corporation, Class A(a)   376,275 
         1,407,835 
     GAS & WATER UTILITIES - 2.0%     
 4,779   SJW Group   316,226 
 7,235   Southwest Gas Holdings, Inc.   433,811 
 8,261   Spire, Inc.   505,491 
         1,255,528 
     HEALTH CARE FACILITIES & SERVICES - 2.0%     
 12,826   Hanger, Inc.(a)   262,805 
 6,485   National HealthCare Corporation   415,364 

 

 

DUNHAM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value 
         
     COMMON STOCKS — 87.9% (Continued)     
     HEALTH CARE FACILITIES & SERVICES - 2.0% (Continued)     
 20,101   Owens & Minor, Inc.  $584,537 
         1,262,706 
     HOME CONSTRUCTION - 2.9%     
 6,638   American Woodmark Corporation(a)   574,253 
 12,681   M/I Homes, Inc.(a)   626,062 
 7,659   Meritage Homes Corporation(a)   614,711 
         1,815,026 
     HOUSEHOLD PRODUCTS - 0.7%     
 11,576   Clearwater Paper Corporation(a)   440,814 
           
     INDUSTRIAL INTERMEDIATE PROD - 3.1%     
 13,369   AZZ, Inc.(b)   636,231 
 18,416   Mueller Industries, Inc.   628,906 
 3,400   Valmont Industries, Inc.   655,928 
         1,921,065 
     INSTITUTIONAL FINANCIAL SERVICES - 0.8%     
 5,217   Piper Sandler Cos   476,469 
           
     INSURANCE - 2.5%     
 16,268   American Equity Investment Life Holding Company   474,863 
 14,261   Mercury General Corporation   755,976 
 1,703   National Western Life Group, Inc., Class A   306,540 
         1,537,379 
     LEISURE FACILITIES & SERVICES - 2.0%     
 37,898   Fiesta Restaurant Group, Inc.(a),(b)   570,744 
 15,693   Wyndham Destinations, Inc.   694,258 
         1,265,002 
     MACHINERY - 4.9%     
 8,119   Altra Industrial Motion Corporation   417,398 
 11,377   Columbus McKinnon Corporation   491,373 
 4,312   Curtiss-Wright Corporation   447,542 
 16,884   Federal Signal Corporation(b)   551,938 
 13,264   Hillenbrand, Inc.   545,150 
 4,743   Regal Beloit Corporation   595,151 
         3,048,552 

 

 

DUNHAM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value 
         
     COMMON STOCKS — 87.9% (Continued)     
     MEDICAL EQUIPMENT & DEVICES - 1.2%     
 1,980   ICU Medical, Inc.(a)  $404,870 
 23,007   Lantheus Holdings, Inc.(a)   374,324 
         779,194 
     METALS & MINING - 0.9%     
 30,862   Alcoa Corporation   555,516 
           
     OIL & GAS PRODUCERS - 2.1%     
 32,111   Bonanza Creek Energy, Inc.(a),(b)   663,413 
 15,750   Cimarex Energy Company   664,335 
         1,327,748 
     OIL & GAS SERVICES & EQUIPMENT - 2.2%     
 76,774   Archrock, Inc.   680,985 
 57,930   Liberty Oilfield Services, Inc., Class A(b)   696,319 
         1,377,304 
     PUBLISHING & BROADCASTING - 1.0%     
 38,152   Gray Television, Inc.(a)   650,492 
           
     REAL ESTATE OWNERS & DEVELOPERS - 1.0%     
 8,840   McGrath RentCorp   616,944 
           
     RETAIL - CONSUMER STAPLES - 2.8%     
 11,949   Big Lots, Inc.   713,116 
 12,282   Ingles Markets, Inc., Class A   584,132 
 28,152   Natural Grocers by Vitamin Cottage, Inc.   468,731 
         1,765,979 
     RETAIL - DISCRETIONARY - 6.7%     
 27,395   Abercrombie & Fitch Company, Class A   632,003 
 37,550   At Home Group, Inc.(a),(b)   915,093 
 8,619   Dick’s Sporting Goods, Inc.(b)   577,559 
 17,430   Foot Locker, Inc.   763,782 
 20,909   Lumber Liquidators Holdings, Inc.(a),(b)   584,616 
 17,161   Sonic Automotive, Inc., Class A   702,400 
         4,175,453 
     SEMICONDUCTORS - 2.4%     
 44,347   Amkor Technology, Inc.   688,265 

 

 

DUNHAM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value 
         
     COMMON STOCKS — 87.9% (Continued)     
     SEMICONDUCTORS - 2.4% (Continued)     
 42,982   Rambus, Inc.(a)  $816,444 
         1,504,709 
     SPECIALTY FINANCE - 2.3%     
 30,220   Mr Cooper Group, Inc.(a)   822,890 
 13,387   Stewart Information Services Corporation   620,889 
         1,443,779 
     STEEL - 0.8%     
 25,417   Commercial Metals Company   500,461 
           
     TECHNOLOGY HARDWARE - 2.6%     
 22,427   Comtech Telecommunications Corporation   478,592 
 31,413   Knowles Corporation(a)   605,957 
 16,195   NCR Corporation(a)   540,265 
         1,624,814 
     TECHNOLOGY SERVICES - 2.0%     
 7,685   Insight Enterprises, Inc.(a)   584,829 
 17,681   Sykes Enterprises, Inc.(a)   682,309 
         1,267,138 
     TRANSPORTATION & LOGISTICS - 1.0%     
 34,784   Heartland Express, Inc.   652,896 
           
     WHOLESALE - DISCRETIONARY - 2.4%     
 8,073   ePlus, Inc.(a)   678,455 
 29,769   G-III Apparel Group Ltd.(a)   804,954 
         1,483,409 
           
     TOTAL COMMON STOCKS (Cost $43,667,670)   54,952,267 
           
     REITS — 10.8%     
     REITS - 10.0%     
 47,934   Apple Hospitality REIT, Inc.   598,216 
 48,992   Armada Hoffler Properties, Inc.   526,664 
 51,970   Chatham Lodging Trust   556,599 
 7,844   Community Healthcare Trust, Inc.   350,784 
 29,275   Corporate Office Properties Trust(b)   769,054 

 

 

DUNHAM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value 
         
     REITS — 10.8% (Continued)     
     REITS - 10.0% (Continued)     
 30,891   Dynex Capital, Inc.(b)  $557,583 
 32,945   Global Net Lease, Inc.   530,744 
 91,296   New Senior Investment Group, Inc.   483,869 
 17,127   Physicians Realty Trust(b)   301,949 
 25,326   Sabra Health Care REIT, Inc.(b)   425,223 
 17,603   STAG Industrial, Inc.   524,569 
 39,619   UMH Properties, Inc.   592,399 
         6,207,653 
     SPECIALTY FINANCE - 0.8%     
 97,064   Capstead Mortgage Corporation   518,322 
           
     TOTAL REITS (Cost $5,890,741)   6,725,975 
           
     COLLATERAL FOR SECURITIES LOANED - 13.2%     
 8,248,151   Mount Vernon Prime Portfolio, 0.15% (Cost $8,248,151)(c,d)   8,248,151 
           
     TOTAL INVESTMENTS - 111.9% (Cost $57,806,562)  $69,926,393 
     LIABILITIES IN EXCESS OF OTHER ASSETS- (11.9)%   (7,449,891)
     NET ASSETS - 100.0%  $62,476,502 

 

REIT - Real Estate Investment Trust

 

(a)Non-income producing security.

 

(b)All or a portion of these securities are on loan. Total loaned securities had a value of $7,921,778 at January 31, 2021.

 

(c)Rate disclosed is the seven day effective yield as of January 31, 2021.

 

(d)The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Focused Large Cap Growth Fund
January 31, 2021

 

Security  Shares   Value 
COMMON STOCKS - 96.1%          
AEROSPACE & DEFENSE - 1.1%          
TransDigm Group, Inc. *   3,462   $1,915,455 
           
E-COMMERCE DISCRETIONARY - 11.2%          
Amazon.com, Inc. *   4,310    13,818,722 
MercadoLibre, Inc. *   2,950    5,249,554 
         19,068,276 
INTERNET MEDIA & SERVICES - 2.4%          
Facebook, Inc. *   15,844    4,092,980 
           
LEISURE FACILITIES & SERVICES - 1.7%          
Chipotle Mexican Grill, Inc. *   1,940    2,871,200 
           
MEDICAL EQUIPMENT & DEVICES - 12.2%          
Align Technology, Inc. *   8,072    4,240,867 
DexCom, Inc. *   12,159    4,557,801 
Edwards Lifesciences Corporation *   47,628    3,933,120 
Insulet Corporation *   12,500    3,339,750 
Intuitive Surgical, Inc. *   6,293    4,704,899 
         20,776,437 
RETAIL - CONSUMER STAPLES - 1.0%          
Costco Wholesale Corporation   4,800    1,691,664 
           
RETAIL - DISCRETIONARY - 5.4%          
Burlington Stores, Inc. *   14,055    3,498,289 
Lululemon Athletica, Inc. *   9,732    3,198,714 
Tractor Supply Company   17,477    2,477,190 
         9,174,193 
SEMICONDUCTORS - 5.9%          
NVIDIA Corporation   14,274    7,416,628 
QUALCOMM, Inc.   16,500    2,578,620 
         9,995,248 
SOFTWARE - 32.3%          
Adobe, Inc. *   11,700    5,367,609 
Autodesk, Inc. *   25,812    7,161,023 
Microsoft Corporation   37,138    8,614,530 
salesforce.com, Inc. *   29,367    6,624,021 
ServiceNow, Inc. *   16,566    8,997,989 
Splunk, Inc. *   18,086    2,984,733 
Unity Software, Inc. *   12,500    1,872,750 
Veeva Systems, Inc. *   26,088    7,211,767 
Workday, Inc. *   19,388    4,411,352 
Zendesk, Inc. *   12,000    1,730,880 
         54,976,654 
TECHNOLOGY HARDWARE - 1.9%          
Apple, Inc.   25,000    3,299,000 
           
TECHNOLOGY SERVICES - 20.9%          
Global Payments, Inc.   10,534    1,859,462 
Mastercard, Inc.   27,790    8,789,699 
PayPal Holdings, Inc. *   41,135    9,638,342 
Square, Inc. *   31,769    6,860,833 
Visa, Inc.   43,476    8,401,737 
         35,550,073 
           
TOTAL COMMON STOCKS (Cost - $68,655,818)        163,411,180 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Focused Large Cap Growth Fund (Continued)
January 31, 2021

 

Security  Shares   Interest
Rate %
   Value 
COLLATERAL FOR SECURITIES LOANED - 12.7%               
Mount Vernon Prime Portfolio #   21,588,637    0.150 +  $21,588,637 
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $21,588,637)               
                
TOTAL INVESTMENTS - 108.8% (Cost - $90,244,455)            $184,999,817 
LIABILITIES IN EXCESS OF OTHER ASSETS - (8.8)%             (14,995,828)
NET ASSETS - 100.0%            $170,003,989 

 

*Non-Income producing security.

 

+Variable rate security. Interest rate is as of January 31, 2021.

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $20,820,485 at January 31, 2021.

 

#The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Small Cap Growth Fund
January 31, 2021

 

Security  Shares   Value 
COMMON STOCKS - 97.7%          
ADVERTISING & MARKETING - 1.0%          
Cardlytics, Inc. *   6,049   $739,611 
           
AEROSPACE & DEFENSE - 0.8%          
Mercury Systems, Inc. *   8,488    603,157 
           
APPAREL & TEXTILE PRODUCTS - 1.2%          
Crocs, Inc. *   12,257    858,235 
           
AUTOMOTIVE - 1.0%          
Methode Electronics, Inc.   18,650    704,038 
           
BANKING - 2.7%          
First Merchants Corporation   17,803    670,639 
Seacoast Banking Corporation of Florida *   23,241    707,688 
Silvergate Capital Corporation - Class A *   6,304    586,650 
         1,964,977 
BIOTECHNOLOGY & PHARMACEUTICALS - 7.2%          
Allogene Therapeutics, Inc. *   17,230    597,881 
Avid Bioservices, Inc. *   47,968    699,853 
Biohaven Pharmaceutical Holding Company Ltd. *   6,527    556,231 
Emergent BioSolutions, Inc. *   7,243    773,915 
Intra-Cellular Therapies, Inc. *   14,616    469,904 
Mirati Therapeutics, Inc. *   1,812    372,058 
Myovant Sciences Ltd. *   26,827    624,801 
Seer, Inc. *   9,878    616,387 
TG Therapeutics, Inc. *   9,253    446,642 
         5,157,672 
COMMERCIAL SUPPORT SERVICES - 1.5%          
Avalara, Inc. *   2,654    398,100 
FTI Consulting, Inc. *   6,198    681,594 
         1,079,694 
ELECTRICAL EQUIPMENT - 1.6%          
Itron, Inc. *   7,692    661,666 
nLight, Inc. *   15,920    504,346 
         1,166,012 
ENGINEERING & CONSTRUCTION - 3.8%          
Exponent, Inc.   6,215    513,235 
Installed Building Products, Inc. *   7,059    740,701 
Montrose Environmental Group, Inc. *   20,916    773,474 
WillScot Mobile Mini Holdings Corporation *   28,720    680,951 
         2,708,361 
FOOD - 0.9%          
Vital Farms, Inc. * ^   25,019    618,720 
           
FORESTRY, PAPER & WOOD PRODUCTS - 0.9%          
Trex Company, Inc. *   7,422    681,117 
           
HEALTH CARE FACILITIES & SERVICES - 5.4%          
Amedisys, Inc. *   1,708    490,725 
Catalent, Inc. *   6,160    708,708 
HealthEquity, Inc. *   8,773    732,984 
LHC Group, Inc. *   3,191    635,711 
Personalis, Inc. *   15,477    595,400 
Progyny, Inc. *   16,082    752,155 
         3,915,683 
HOME & OFFICE PRODUCTS - 0.5%          
Purple Innovation, Inc. *   10,890    370,696 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Small Cap Growth Fund (Continued)
January 31, 2021

 

Security  Shares   Value 
COMMON STOCKS - 97.7% (Continued)          
HOME CONSTRUCTION - 2.8%          
AZEK Company, Inc. (The) *   17,675   $705,056 
LGI Homes, Inc. *   5,951    635,031 
Skyline Champion Corporation *   19,912    669,641 
         2,009,728 
HOUSEHOLD PRODUCTS - 2.0%          
elf Beauty, Inc. *   32,545    708,179 
Inter Parfums, Inc.   12,024    747,652 
         1,455,831 
INDUSTRIAL INTERMEDIATE PRODUCTS - 1.1%          
Chart Industries, Inc. *   6,505    781,316 
           
INDUSTRIAL SUPPORT SERVICES - 0.7%          
SiteOne Landscape Supply, Inc. *   3,022    476,509 
           
INSTITUTIONAL FINANCIAL SERVICES - 2.7%          
Evercore, Inc.   6,308    688,203 
Houlihan Lokey, Inc.   8,998    583,520 
Moelis & Company   13,553    673,720 
         1,945,443 
INSURANCE - 0.9%          
GoHealth, Inc. *   46,512    619,075 
           
INTERNET MEDIA & SERVICES - 5.4%          
Eventbrite, Inc. *   37,144    663,020 
Pinterest, Inc. *   12,349    846,030 
TechTarget, Inc. *   12,136    906,559 
Upwork, Inc. *   18,052    748,255 
Wix.com Ltd. *   3,032    749,056 
         3,912,920 
LEISURE FACILITIES & SERVICES - 3.3%          
Papa John’s International, Inc.   6,854    701,027 
Shake Shack, Inc. *   8,106    919,383 
Wingstop, Inc.   4,838    725,942 
         2,346,352 
LEISURE PRODUCTS - 1.0%          
Fox Factory Holding Corporation *   6,170    738,179 
           
MACHINERY - 0.9%          
MSA Safety, Inc.   4,356    680,059 
           
MEDICAL EQUIPMENT & DEVICES - 6.8%          
Acutus Medical, Inc. *   20,150    521,684 
Adaptive Biotechnologies Corporation *   9,526    528,407 
Alphatec Holdings, Inc. *   56,199    836,241 
BioLife Solutions, Inc. *   9,881    374,688 
Cerus Corporation *   45,811    301,894 
Inari Medical, Inc. *   7,333    699,715 
Insulet Corporation *   2,442    652,454 
Repligen Corporation *   2,934    586,800 
Tandem Diabetes Care, Inc. *   4,079    377,919 
         4,879,802 
REAL ESTATE SERVICES - 0.8%          
Redfin Corporation *   8,147    580,148 
           
RENEWABLE ENERGY - 0.8%          
SolarEdge Technologies, Inc. *   1,976    569,740 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Small Cap Growth Fund (Continued)
January 31, 2021

 

Security  Shares   Value 
COMMON STOCKS - 97.7% (Continued)          
RETAIL - CONSUMER STAPLES - 0.6%          
Ollie’s Bargain Outlet Holdings, Inc. *   4,413   $418,043 
           
RETAIL - DISCRETIONARY - 2.5%          
American Eagle Outfitters, Inc.   38,661    877,218 
Freshpet, Inc. *   2,532    352,733 
Vroom, Inc. *   16,141    594,473 
         1,824,424 
SEMICONDUCTORS - 7.6%          
Axcelis Technologies, Inc. *   9,470    324,253 
Brooks Automation, Inc.   13,473    1,020,714 
Cree, Inc. *   9,640    974,411 
Diodes, Inc. *   6,626    468,988 
FormFactor, Inc. *   17,361    709,544 
Lattice Semiconductor Corporation *   15,927    638,832 
Semtech Corporation *   8,460    600,237 
Silicon Laboratories, Inc. *   5,642    740,061 
         5,477,040 
SOFTWARE - 16.2%          
1Life Healthcare, Inc. *   18,186    920,212 
Appfolio, Inc. *   2,427    370,870 
Bandwidth, Inc. *   4,441    791,120 
Blackline, Inc. *   5,828    755,425 
Coupa Software, Inc. *   2,057    637,403 
Elastic N.V. *   5,220    793,231 
Five9, Inc. *   3,719    618,284 
Intelligent Systems Corporation *   14,501    587,145 
LivePerson, Inc. *   9,610    608,890 
MongoDB, Inc. *   1,377    508,953 
Oak Street Health, Inc. *   13,124    680,742 
Omnicell, Inc. *   5,388    634,706 
Ontrak, Inc. * ^   5,181    410,801 
PROS Holdings, Inc. *   14,499    610,988 
Q2 Holdings, Inc. *   5,742    734,919 
Schrodinger, Inc. *   9,143    825,887 
Tenable Holdings, Inc. *   12,860    636,441 
Workiva, Inc. *   5,065    493,686 
         11,619,703 
TECHNOLOGY HARDWARE - 4.1%          
Cubic Corporation   10,084    616,939 
Fabrinet *   10,055    793,742 
Kornit Digital Ltd. *   7,451    675,321 
PagerDuty, Inc. *   17,567    856,040 
         2,942,042 
TECHNOLOGY SERVICES - 4.9%          
Endava plc - ADR *   8,385    662,918 
MAXIMUS, Inc.   11,404    855,984 
MSCI, Inc.   1,472    581,882 
Telos Corporation *   18,152    640,766 
WNS Holdings Ltd. - ADR *   11,257    756,245 
         3,497,795 
TRANSPORTATION & LOGISTICS - 4.1%          
Air Transport Services Group, Inc. *   24,097    612,305 
Allegiant Travel Company   3,494    634,126 
CryoPort, Inc. *   8,472    577,790 
Marten Transport Ltd.   33,745    534,858 
Saia, Inc. *   3,429    606,076 
         2,965,155 
TOTAL COMMON STOCKS (Cost - $45,303,829)        70,307,277 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Small Cap Growth Fund (Continued)
January 31, 2021

 

Security  Shares   Interest Rate %   Value 
COLLATERAL FOR SECURITIES LOANED - 1.4%               
HSBC US Government Money Market Fund - Class I #   1,012,882    0.03 +   1,012,882 
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $1,012,882)               
                
TOTAL INVESTMENTS - 99.1% (Cost - $46,316,711)            $71,320,159 
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.9%             629,842 
TOTAL NET ASSETS - 100.00%            $71,950,001 

 

ADR - American Depositary Receipt.

 

PLC - Public Limited Company

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $992,876 at January 31, 2021.

 

#The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

*Non-Income producing security.

 

+Variable rate security. Interest rate is as of January 31, 2021.

 

 

DUNHAM EMERGING MARKETS STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited)
January 31, 2021

 

Shares      Value 
         
     CLOSED END FUND — 1.0%     
     MIXED ALLOCATION - 1.0%     
 136,545   Vietnam Enterprise Investments Ltd.(a)  $1,071,376 
           
     TOTAL CLOSED END FUND (Cost $861,698)   1,071,376 
           
     COMMON STOCKS — 97.4%     
     AUTOMOTIVE - 2.5%     
 545,000   Geely Automobile Holdings Ltd.   1,975,357 
 23,651   Hankook Tire & Technology Company Ltd.   867,034 
         2,842,391 
     BANKING - 10.7%     
 272,290   Banco Bradesco S.A. - ADR(b)   1,236,197 
 428,600   Bank Central Asia Tbk P.T.   1,030,839 
 239,000   China Merchants Bank Company Ltd., H Shares   1,830,090 
 53,600   ICICI Bank Ltd. - ADR   809,360 
 152,100   Itau Unibanco Holding S.A. - ADR   793,962 
 395,000   Kasikornbank PCL - ADR   1,667,739 
 34,754   KB Financial Group, Inc.   1,254,802 
 323,500   Ping An Bank Company Ltd.   1,153,484 
 1,127,500   Public Bank Bhd   1,166,390 
 39,012   Sberbank of Russia PJSC - ADR   536,805 
 96,584   Sberbank of Russia PJSC   303,326 
 81,660   Security Bank Corporation   220,126 
         12,003,120 
     BEVERAGES - 1.9%     
 207,500   Budweiser Brewing Company APAC Ltd.   693,700 
 117,440   Varun Beverages Ltd.   1,443,258 
         2,136,958 
     CHEMICALS - 2.3%     
 1,906,200   AKR Corporindo Tbk P.T.   383,973 
 2,725   LG Chem Ltd.   2,222,654 
         2,606,627 
     CONSTRUCTION MATERIALS - 1.7%     
 204,500   Anhui Conch Cement Company Ltd., H Shares   1,208,057 
 951,900   Semen Indonesia Persero Tbk P.T.   717,234 
         1,925,291 

 

 

DUNHAM EMERGING MARKETS STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value 
         
     COMMON STOCKS — 97.4% (Continued)     
     CONSUMER SERVICES - 1.2%     
 653,000   China Education Group Holdings Ltd.  $1,370,007 
           
     E-COMMERCE DISCRETIONARY - 5.4%     
 186,900   Alibaba Group Holding Ltd.(a)   5,930,725 
           
     ENGINEERING & CONSTRUCTION - 2.2%     
 37,539   Larsen & Toubro Ltd. - ADR   684,711 
 50,319   Larsen & Toubro Ltd.   917,380 
 62,884   Mytilineos S.A.   916,597 
         2,518,688 
     INSTITUTIONAL FINANCIAL SERVICES - 1.2%     
 123,700   B3 S.A. - Brasil Bolsa Balcao   1,356,684 
           
     INSURANCE - 3.6%     
 130,200   AIA Group Ltd.   1,569,668 
 205,500   Ping An Insurance Group Company of China Ltd., H Shares   2,420,148 
         3,989,816 
     INTERNET MEDIA & SERVICES - 11.5%     
 44,400   Dada Nexus Ltd. - ADR(a),(b)   1,835,496 
 6,830   Naspers Ltd., N Shares   1,587,589 
 4,316   NAVER Corporation   1,316,946 
 79,600   Tencent Holdings Ltd.   7,092,075 
 16,900   Yandex N.V., Class A(a),(b)   1,058,616 
         12,890,722 
     LEISURE FACILITIES & SERVICES - 2.9%     
 1,199,165   Lemon Tree Hotels Ltd.(a)   677,387 
 879,800   Minor International PCL - ADR   726,348 
 86,437   OPAP S.A.   1,059,356 
 436,800   Wynn Macau Ltd.   691,999 
         3,155,090 
     LEISURE PRODUCTS - 0.8%     
 89,000   Giant Manufacturing Company Ltd.   863,510 
           
     MACHINERY - 2.6%     
 33,000   Airtac International Group   1,174,113 

 

 

DUNHAM EMERGING MARKETS STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value 
         
     COMMON STOCKS — 97.4% (Continued)     
     MACHINERY - 2.6% (Continued)     
 266,390   Sany Heavy Industry Company Ltd., Class A  $1,660,651 
         2,834,764 
     METALS & MINING - 4.2%     
 316,000   Grupo Mexico S.A.B. de C.V. - Series B   1,382,378 
 323,417   Hindalco Industries Ltd.   995,328 
 718,000   Jiangxi Copper Company Ltd., H Shares   1,179,464 
 3,336   MMC Norilsk Nickel PJSC   1,077,197 
         4,634,367 
     OIL & GAS PRODUCERS - 0.4%     
 391,900   PTT PCL - ADR   491,656 
           
     REAL ESTATE OWNERS & DEVELOPERS - 2.2%     
 72,527   Godrej Properties Ltd.(a)   1,245,315 
 164,000   Multiplan Empreendimentos Imobiliarios S.A.   639,509 
 892,000   Powerlong Real Estate Holdings Ltd.   581,762 
         2,466,586 
     REAL ESTATE SERVICES - 0.8%     
 260,200   ESR Cayman Ltd.(a)   927,202 
           
     RENEWABLE ENERGY - 2.5%     
 22,700   Contemporary Amperex Technology Company Ltd.   1,228,519 
 93,900   LONGi Green Energy Technology Company Ltd., Class A   1,553,982 
         2,782,501 
     RETAIL - CONSUMER STAPLES - 2.9%     
 510,000   Alibaba Health Information Technology Ltd.(a)   1,589,840 
 266,700   Atacadao S.A.   930,562 
 10,176   Magnit PJSC   660,463 
         3,180,865 
     RETAIL - DISCRETIONARY - 3.6%     
 1,264,200   Astra International Tbk P.T.   547,815 
 1,279,600   Home Product Center PCL   583,513 
 116,500   Li Ning Company Ltd.   725,717 
 95,100   Localiza Rent a Car S.A.   1,111,293 
 140,370   Lojas Renner S.A.   1,072,620 
         4,040,958 

 

 

DUNHAM EMERGING MARKETS STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value 
         
     COMMON STOCKS — 97.4% (Continued)     
     SEMICONDUCTORS - 13.2%     
 9,500   ACM Research, Inc., Class A(a)  $855,000 
 67,000   MediaTek, Inc.   2,092,656 
 53,000   Realtek Semiconductor Corporation   852,591 
 21,107   SK Hynix, Inc.   2,304,474 
 358,000   Taiwan Semiconductor Manufacturing Company Ltd.   7,565,755 
 9,200   Taiwan Semiconductor Manufacturing Company Ltd. - ADR(b)   1,117,984 
         14,788,460 
     SOFTWARE - 1.5%     
 59,800   Glodon Company Ltd.   765,489 
 222,000   Kingdee International Software Group Company Ltd.   889,213 
         1,654,702 
     SPECIALTY FINANCE - 2.7%     
 91,007   Housing Development Finance Corp Ltd.   2,959,266 
           
     TECHNOLOGY HARDWARE - 6.2%     
 48,848   Samsung Electronics Company Ltd.   3,571,133 
 32,043   Samsung Electronics Company Ltd.   2,089,761 
 48,800   Sunny Optical Technology Group Company Ltd.   1,274,750 
         6,935,644 
     TELECOMMUNICATIONS - 2.7%     
 56,200   21Vianet Group, Inc. - ADR(a),(b)   2,120,426 
 105,817   Bharti Airtel Ltd.   801,358 
         2,921,785 
     TRANSPORTATION & LOGISTICS - 3.0%     
 110,300   International Container Terminal Services, Inc.   271,593 
 131,676   Spring Airlines Company Ltd.   1,198,534 
 30,321   Wizz Air Holdings plc(a)   1,813,256 
         3,283,383 
     TRANSPORTATION EQUIPMENT - 1.0%     
 30,410   Eicher Motors Ltd.   1,141,142 
           
     TOTAL COMMON STOCKS (Cost $76,491,875)   108,632,909 

 

 

DUNHAM EMERGING MARKETS STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value 
         
     WARRANT — 0.0%(c)     
     LEISURE FACILITIES & SERVICES - 0.0% (c)     
 26,977   Minor International PCL (Thailand)  $6,347 
 51,085   Minor International PCL (Thailand)   525 
     TOTAL WARRANT (Cost $867)   6,872 
           
     COLLATERAL FOR SECURITIES LOANED – 4.7%     
 5,279,545   Mount Vernon Prime Portfolio, 0.15% (Cost $5,279,545)(d),(e)   5,279,545 
           
     TOTAL INVESTMENTS - 103.1% (Cost $82,633,985)  $114,990,702 
     LIABILITIES IN EXCESS OF OTHER ASSETS – (3.1)%   (3,468,452)
     NET ASSETS - 100.0%  $111,522,250 

 

ADR - American Depositary Receipt

 

(a)Non-income producing security.

 

(b)All or a portion of these securities are on loan. Total loaned securities had a value of $4,875,103 at January 31, 2021.

 

(c)Percentage rounds to less than 0.1%.

 

(d)Rate disclosed is the seven day effective yield as of January 31, 2021.

 

(e)The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited)
January 31, 2021

 

Shares      Value ($) 
     COMMON STOCKS — 97.7%     
     ADVERTISING & MARKETING - 0.1%     
 2,563   WPP plc - ADR   133,122 
           
     AEROSPACE & DEFENSE - 0.2%     
 330   Dassault Aviation S.A. (a)   344,453 
           
     APPAREL & TEXTILE PRODUCTS - 0.5%     
 11,300   Gildan Activewear, Inc.   281,596 
 13,957   Gildan Activewear, Inc.   349,075 
 92,000   Pou Chen Corporation   91,816 
 2,000   Teijin Ltd.   36,606 
         759,093 
     ASSET MANAGEMENT - 0.5%     
 64,581   Grupo de Inversiones Suramericana S.A.   371,663 
 7,753   Magellan Financial Group Ltd.   282,794 
 20,935   Melrose Industries plc (a)   47,988 
         702,445 
     AUTOMOTIVE - 7.7%     
 26,600   Aisin Seiki Company Ltd.   817,969 
 8,860   Bayerische Motoren Werke A.G.   578,882 
 7,424   Continental A.G.   1,040,175 
 1,700   Ferrari N.V.   353,906 
 7,314   Hankook Tire & Technology Company Ltd. (a)   268,128 
 23,900   Honda Motor Company Ltd. – ADR (e)   632,872 
 923   Hyundai Motor Company   188,192 
 6,461   Hyundai Motor Company   575,059 
 2,828   Kia Motors Corporation   207,259 
 12,282   Magna International, Inc.   862,811 
 58,500   Mitsubishi Motors Corporation (a)   133,066 
 77,900   Nissan Motor Company Ltd. (a)   401,822 
 3,193   Porsche Automobil Holding S.E.   222,016 
 30,650   Porsche Automobil Holding S.E. - ADR   215,470 
 15,100   Renault S.A. (a)   642,896 
 11,374   Schaeffler A.G., Preferred Shares   89,985 
 60,512   Stellantis N.V.   921,156 
 3,900   Sumitomo Rubber Industries Ltd.   35,909 
 25,200   Suzuki Motor Corporation   1,137,770 
 121,994   Tofas Turk Otomobil Fabrikasi A/S (a)   602,339 
 13,233   Volkswagen A.G. – ADR (e)   279,613 

 

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value ($) 
    COMMON STOCKS — 97.7% (Continued)    
 1,732   Volkswagen A.G.   327,800 
 162,600   Weifu High-Technology Group Company Ltd.   304,129 
 30,600   Yamaha Motor Company Ltd.   675,398 
         11,514,622 
     BANKING - 3.3%     
 134,695   Akbank T.A.S. (a)   116,856 
 31,712   BNK Financial Group, Inc. (a)   155,769 
 1   Haci Omer Sabanci Holding A/S   1 
 10,225   Hana Financial Group, Inc.   298,104 
 449,900   Mebuki Financial Group, Inc.   871,463 
 550,580   Sberbank of Russia PJSC   1,873,462 
 228,700   Siam Commercial Bank PCL (The)   716,849 
 1   Turkiye Is Bankasi A/S (a)   1 
 1,915,580,000   VTB Bank PJSC   926,300 
         4,958,805 
     BEVERAGES - 0.3%     
 18,100   Kirin Holdings Company Ltd.   389,228 
           
     BIOTECH & PHARMA - 3.8%     
 21,360   AstraZeneca plc – ADR (e)   1,080,816 
 10,390   Novo Nordisk A/S, Class B (a)   724,633 
 18,200   Ono Pharmaceutical Company Ltd.   543,513 
 8,606   Roche Holding A.G.   2,973,875 
 4,137   Sanofi   389,511 
         5,712,348 
     CHEMICALS - 8.7%     
 3,933   Chr Hansen Holding A/S (a)   356,198 
 46,318   Clariant A.G. (a)   985,344 
 20,889   Covestro A.G.   1,420,609 
 29,100   Daicel Corporation   221,473 
 6,516   Evonik Industries A.G.   214,511 
 38   Givaudan S.A.   153,291 
 6,809   Hanwha Solutions Corporation (a)(g)   302,933 
 20,163   Huabao Flavours & Fragrances Company Ltd.   148,913 
 8,100   Kaneka Corporation   291,035 
 475   KCC Corporation   84,177 

 

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value ($) 
    COMMON STOCKS — 97.7% (Continued)    
     CHEMICALS - 8.7% (Continued)     
 482   LG Chem Ltd.   200,911 
 27,300   Mitsubishi Gas Chemical Company, Inc.   624,949 
 23,900   Mitsui Chemicals, Inc.   685,175 
 98,285   National Industrialization Company,(a)   352,683 
 39,700   Nippon Sanso Holdings Corporation   765,668 
 3,200   Nitto Denko Corporation   290,194 
 16,600   Nutrien Ltd.   816,222 
 10,128   PhosAgro PJSC   489,205 
 14,171   Sasol Ltd. (a)   153,490 
 26,739   Saudi Arabian Fertilizer Company   660,346 
 30,326   Saudi Industrial Investment Group   207,861 
 6,800   Shin-Etsu Chemical Company Ltd.   1,184,300 
 16,400   Sinopec Shanghai Petrochemical Company Ltd. - ADR   359,488 
 298,300   Tangshan Sanyou Chemical Industries Company Ltd., Advisor Class   541,683 
 42,700   Toray Industries, Inc.   278,739 
 608,200   Xinjiang Zhongtai Chemical Company Ltd.   764,252 
 38,900   Zhejiang Juhua Company Ltd.   52,950 
 257,600   Zhejiang Runtu Company Ltd.   387,899 
         12,994,499 
     COMMERCIAL SUPPORT SERVICES - 0.8%     
 6,877   Adecco Group A.G.   430,130 
 43,600   Persol Holdings Company Ltd.   818,138 
         1,248,268 
     CONSTRUCTION MATERIALS - 0.9%     
 8,700   Cie de Saint-Gobain – ADR (a)   86,739 
 619,000   CSG Holding Company Ltd.   227,929 
 100,600   Guangdong Tapai Group Company Ltd.   176,779 
 8,410   James Hardie Industries plc – ADR (a) ,(e)   234,723 
 304   ROCKWOOL International A/S (a)   114,808 
 10,281   Saudi Cement Company   181,065 
 10,500   Taiheiyo Cement Corporation   261,544 
 8,762   Titan Cement International S.A.   153,568 
         1,437,155 
     CONTAINERS & PACKAGING - 0.1%     
 123,000   Klabin S.A.   123,907 

 

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value ($) 
    COMMON STOCKS — 97.7% (Continued)    
     DIVERSIFIED INDUSTRIALS - 1.5%     
 2,940   Doosan Company Ltd. (a)   104,292 
 21,200   Hitachi Ltd.   873,758 
 18,800   Kawasaki Heavy Industries Ltd. (a)   399,704 
 5,000   Mitsubishi Heavy Industries Ltd.   143,685 
 7,800   Omron Corporation   691,383 
         2,212,822 
     E-COMMERCE DISCRETIONARY - 0.8%     
 13,924   Farfetch Ltd.(a)   852,706 
 4,900   Rakuten, Inc. (a)   48,252 
 26,500   Rakuten, Inc. – ADR (a)   262,350 
         1,163,308 
     ELECTRIC UTILITIES - 2.9%     
 34,000   Chubu Electric Power Company, Inc.   416,622 
 30,600   Cia Paranaense de Energia   351,131 
 5,492   EDP Renovaveis S.A.   150,571 
 201,825   Enel SpA   2,003,928 
 32,500   Engie Brasil Energia S.A.   256,857 
 270,000   Huadian Power International Corp Ltd.   68,792 
 61,100   Kansai Electric Power Company, Inc. (The)   599,335 
 29,500   Tokyo Electric Power Company Holdings, Inc.,(a)   113,213 
 9,154   Uniper S.E. (a)   320,915 
         4,281,364 
     ELECTRICAL EQUIPMENT - 0.2%     
 151,700   Xuji Electric Company Ltd.   305,341 
           
     ENGINEERING & CONSTRUCTION - 0.7%     
 1,061   DL Holdings Company Ltd. (a)   35,020 
 1   Enka Insaat ve Sanayi A/S   1 
 11,971   GS Engineering & Construction Corporation (a)   407,657 
 74,500   Long Yuan Construction Group Company Ltd.   58,474 
 680,500   Sichuan Road & Bridge Company Ltd.   488,892 
 118,509   Tus Environmental Science And Technology,(a)   102,836 
         1,092,880 

 

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value ($) 
    COMMON STOCKS — 97.7% (Continued)    
     ENTERTAINMENT CONTENT - 1.2%     
 538,600   Beijing Jetsen Technology Company Ltd.,(a)   249,856 
 6,853   Sea Ltd. - ADR(a) (e)   1,485,114 
         1,734,970 
     FOOD - 0.2%     
 16,716   Almarai Company JSC   239,855 
 362   CJ CheilJedang Corporation (a)   66,177 
         306,032 
     GAS & WATER UTILITIES - 0.3%     
 3,974,200   Perusahaan Gas Negara Tbk P.T.   378,669 
           
     HEALTH CARE FACILITIES & SERVICES - 0.3%     
 3,115   Dr Sulaiman Al Habib Medical Services Group   95,651 
 455   Lonza Group A.G.   290,984 
         386,635 
     HOME & OFFICE PRODUCTS - 0.4%     
 64,164   Arcelik A/S (a)   289,399 
 2,254   Coway Company Ltd. (a)   139,984 
 1,800   Rinnai Corporation   188,097 
         617,480 
     HOUSEHOLD PRODUCTS – 1.0%     
 2,256   Amorepacific Corporation (a)   163,806 
 2,344   AMOREPACIFIC Group (a)   123,428 
 236   LG Household & Health Care Ltd.   147,722 
 24,900   Lion Corporation   569,384 
 3,100   Unicharm Corporation   139,100 
 4,648   Unilever plc   271,373 
         1,414,813 
     INDUSTRIAL INTERMEDIATE PROD - 0.8%     
 172,100   Anhui Zhongding Sealing Parts Company Ltd.   263,648 
 1,330   DL E&C Company Ltd.(a)   85,964 
 135,100   Hartalega Holdings Bhd   428,711 
 41,300   NSK Ltd.   374,635 
         1,152,958 

 

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value ($) 
    COMMON STOCKS — 97.7% (Continued)    
     INSTITUTIONAL FINANCIAL SERVICES - 1.5%     
 35,500   B3 S.A. - Brasil Bolsa Balcao   389,348 
 25,961   Computershare Ltd.   284,470 
 51,300   Daiwa Securities Group, Inc.   244,276 
 268,400   Haitong Securities Company Ltd.   238,281 
 65,478   Mirae Asset Daewoo Company Ltd. (a)   257,660 
 111,000   Nomura Holdings, Inc.   587,586 
 182,400   Orient Securities Company Ltd.   128,340 
 32,300   Zhongtai Securities Company Ltd.(a)   72,541 
         2,202,502 
     INSURANCE - 1.4%     
 128,204   Aegon N.V.   532,159 
 108,800   COFCO Capital Holdings Company Ltd.   141,321 
 12,423   Hanwha Corporation (a)   355,862 
 5,255   Hanwha Corporation (a)   67,162 
 8,900   MS&AD Insurance Group Holdings, Inc.   256,188 
 7,520   NN Group N.V.   313,568 
 11,816   Talanx A.G.   441,755 
         2,108,015 
     INTERNET MEDIA & SERVICES - 1.0%     
 6,400   M3, Inc.   538,615 
 804   NAVER Corporation   245,326 
 386   Shopify, Inc., Class A(a)   421,305 
 300   Shopify, Inc., Class A(a)   329,577 
         1,534,823 
     LEISURE FACILITIES & SERVICES - 0.8%     
 24,953   Aristocrat Leisure Ltd.   590,146 
 995   Evolution Gaming Group A.B.   97,126 
 5,711   Melco Resorts & Entertainment Ltd. - ADR   91,319 
 1,700   Oriental Land Company Ltd.   266,196 
 5,300   Wynn Macau Ltd. - ADR(a)   84,217 
         1,129,004 
     LEISURE PRODUCTS - 0.2%     
 34,000   Giant Manufacturing Company Ltd.   329,880 

 

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value ($) 
    COMMON STOCKS — 97.7% (Continued)    
     MACHINERY - 2.1%     
 35,259   CNH Industrial N.V. (a)   449,785 
 7,034   GEA Group A.G.   243,309 
 3,742   KION Group A.G.   323,445 
 13,100   Kurita Water Industries Ltd.   531,986 
 7,139   Techtronic Industries Company Ltd. - ADR   537,210 
 7,000   Techtronic Industries Company Ltd.   104,561 
 460,500   Tian Di Science & Technology Company Ltd.   206,143 
 42,400   WEG S.A.   650,783 
 4,500   Yokogawa Electric Corporation   97,329 
         3,144,551 
     MEDICAL EQUIPMENT & DEVICES - 2.9%     
 4,268   Coloplast A/S - Series B (a)   637,762 
 7,200   Hoya Corporation   921,709 
 13,908   Koninklijke Philips N.V. (a)   758,957 
 28,600   Olympus Corporation   517,357 
 27,710   Smith & Nephew plc   584,700 
 1,809   Sonova Holding A.G. (a)   436,966 
 12,300   Terumo Corporation   478,276 
 8,100   Top Glove Corp Bhd - ADR   57,915 
         4,393,642 
     METALS & MINING - 9.3%     
 31,822   Anglo American plc   1,049,066 
 13,240   AngloGold Ashanti Ltd. – ADR (e)   310,610 
 73,406   BHP Group Ltd.   2,457,626 
 36,022   BHP Group plc   989,393 
 1,777   BHP Group plc – ADR (e)   97,060 
 41,287   Cia de Minas Buenaventura S.A.A – ADR (a)   420,302 
 10,400   First Quantum Minerals Ltd.   173,313 
 27,372   First Quantum Minerals Ltd.   456,396 
 206,824   Glencore plc (a)   691,942 
 15,916   Glencore plc – ADR (a)   105,841 
 116,629   Huaibei Mining Holdings Company Ltd.   180,246 
 112,600   Jinduicheng Molybdenum Company Ltd.   96,245 
 4,100   Mitsubishi Materials Corporation   87,157 
 1,316   MMC Norilsk Nickel PJSC   424,938 

 

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value ($) 
    COMMON STOCKS — 97.7% (Continued)    
     METALS & MINING - 9.3% (Continued)     
 3,591   MMC Norilsk Nickel PJSC - ADR   115,738 
 39,026   Northam Platinum Ltd.,(a)   487,171 
 992   Polyus PJSC   189,337 
 9,035   Rio Tinto Ltd.   759,189 
 4,296   Rio Tinto plc   326,651 
 9,616   Rio Tinto plc – ADR (e)   734,855 
 121,380   Sibanye Stillwater Ltd.   462,999 
 27,683   South32 Ltd.   53,601 
 4,590   South32 Ltd. - ADR   44,615 
 11,689   Southern Copper Corporation   776,266 
 1,300   Sumitomo Metal Mining Company Ltd.   56,392 
 36,900   Teck Resources Ltd., Class B   674,532 
 19,452   Teck Resources Ltd., Class B   355,708 
 63,900   Vale S.A.   1,031,108 
 187,100   Yunnan Tin Company Ltd.,(a)   354,663 
         13,962,960 
     OIL & GAS PRODUCERS - 8.2%     
 40,660   BP plc - ADR   903,465 
 1,550,000   China Petroleum & Chemical Corporation, H Shares   733,996 
 17,700   ENEOS Holdings, Inc.   71,768 
 32,540   Eni SpA – ADR (e)   655,681 
 13,665   Eni SpA   138,181 
 409,190   Gazprom PJSC   1,153,468 
 58,300   Idemitsu Kosan Company Ltd.   1,369,769 
 92,035   KOC Holding A/S   252,677 
 24,250   LUKOIL PJSC   1,729,133 
 25,833   Motor Oil Hellas Corinth Refineries S.A.   363,532 
 9,000   OMV A.G.   378,077 
 7,492   PetroChina Company Ltd. – ADR (e)   227,907 
 146,500   PetroChina Company Ltd.   92,580 
 177,700   Petroleo Brasileiro S.A.   872,267 
 38,400   PTT Exploration & Production PCL   131,858 
 56,314   Rabigh Refining & Petrochemical Company,(a)   209,818 
 15,000   Repsol S.A. - ADR   147,450 
 18,394   Repsol S.A.   180,898 

 

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value ($) 
    COMMON STOCKS — 97.7% (Continued)    
     OIL & GAS PRODUCERS - 8.2% (Continued)     
 142,310   Rosneft Oil Company PJSC   890,350 
 63,742   Royal Dutch Shell plc, Class A   1,181,787 
 196,688   Shandong Xinchao Energy Corp Ltd.,(a)   42,549 
 1,345,800   Surgutneftegas PJSC   595,457 
         12,322,668 
     OIL & GAS SERVICES & EQUIPMENT - 0.0%(b)     
 608,000   Sinopec Oilfield Service Corporation,(a)   46,898 
           
     PUBLISHING & BROADCASTING - 0.0%(b)     
 5,500   Fuji Media Holdings, Inc.   63,874 
           
     REAL ESTATE OWNERS & DEVELOPERS - 0.5%     
 923,012   Emaar Malls PJSC (a)   453,686 
 37,000   Hang Lung Group Ltd.   93,571 
 21,900   Swire Pacific Ltd. - ADR   138,408 
         685,665 
     RENEWABLE ENERGY - 0.2%     
 5,490   Siemens Gamesa Renewable Energy S.A.   225,471 
           
     RETAIL - CONSUMER STAPLES - 1.0%     
 63,578   BIM Birlesik Magazalar A/S (a)   627,299 
 77,648   CK Hutchison Holdings Ltd. - ADR   533,830 
 3,577   Magnit PJSC   232,162 
 4,800   Welcia Holdings Company Ltd.   162,694 
         1,555,985 
     RETAIL - DISCRETIONARY - 0.9%     
 3,385   CJ ENM Company Ltd. (a)   461,514 
 4,585   JUMBO S.A.   71,904 
 47,089   Kingfisher plc (a)   179,157 
 18,100   Lao Feng Xiang Company Ltd.   51,567 
 3,800   USS Company Ltd.   74,864 
 12,057   Wesfarmers Ltd.   502,443 
         1,341,449 
     SEMICONDUCTORS - 10.5%     
 4,900   Advantest Corporation   387,418 

 

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value ($) 
    COMMON STOCKS — 97.7% (Continued)    
     SEMICONDUCTORS - 10.5% (Continued)     
 5,709   ASML Holding N.V.   3,051,164 
 1,086   ASML Holding N.V. – ADR (e)   580,098 
 89,099   Hoshine Silicon Industry Company Ltd.   609,178 
 23,714   Infineon Technologies A.G.   951,126 
 40,500   Renesas Electronics Corporation,(a)   462,384 
 1,935   Silicon Motion Technology Corporation - ADR   95,608 
 14,214   SK Hynix, Inc.   1,551,891 
 2,238   STMicroelectronics N.V.   89,778 
 3,739   STMicroelectronics N.V.   150,058 
 23,921   STMicroelectronics N.V. – ADR (e)   955,644 
 35,000   Taiwan Semiconductor Manufacturing Company Ltd.   739,669 
 32,394   Taiwan Semiconductor Manufacturing Company Ltd. – ADR (e)   3,936,518 
 800   Tokyo Electron Ltd.   304,348 
 4,100   Tokyo Electron Ltd. - ADR   391,345 
 768,000   United Microelectronics Corporation   1,376,075 
         15,632,302 
     SOFTWARE - 3.2%     
 1,376   Atlassian Corp plc, Class A(a)   318,035 
 2,081   Check Point Software Technologies Ltd.(a)   265,827 
 100   Constellation Software, Inc.   121,945 
 20,549   Micro Focus International plc (a)   124,202 
 22,900   Montnets Cloud Technology Group Company Ltd.,(a)   54,580 
 11,102   Nemetschek S.E.   782,475 
 8,800   Open Text Corporation (e)   394,152 
 3,200   Oracle Corp Japan   377,198 
 16,965   Sage Group plc (The)   136,907 
 9,473   SAP S.E.   1,203,348 
 37,100   Shenzhen Infogem Technologies Company Ltd.(a)   89,007 
 3,691   Temenos A.G.   466,672 
 186   Topicus.com, Inc.(a)(g)   700 
 149,480   Xiamen Meiya Pico Information Company Ltd.   433,963 
         4,769,011 
     STEEL - 2.5%     
 484,242   Angang Steel Company Ltd.   214,591 
 69,040   ArcelorMittal S.A.(a)   1,513,614 

 

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value ($) 
    COMMON STOCKS — 97.7% (Continued)    
     STEEL - 2.5% (Continued)     
 72,608   Eregli Demir ve Celik Fabrikalari TAS   142,243 
 30,700   Gerdau S.A.   110,997 
 8,272   Hyundai Steel Company   286,197 
 251,984   Iskenderun Demir ve Celik A/S   389,073 
 614,900   Magnitogorsk Iron & Steel Works PJSC   420,254 
 4,700   Nippon Steel Corporation (a)   54,318 
 71,280   Novolipetskiy Metallurgicheskiy Kombinat PAO   197,810 
 383   POSCO   84,071 
 18,151   Tenaris S.A. – ADR (e)   280,614 
         3,693,782 
     TECHNOLOGY HARDWARE - 9.2%     
 523,000   AU Optronics Corporation (a)   275,013 
 10,100   Brother Industries Ltd.   225,323 
 9,900   Canon, Inc.   219,108 
 13,600   Casio Computer Company Ltd.   240,386 
 103,000   Chicony Electronics Company Ltd.   317,621 
 4,700   Ibiden Company Ltd.   218,200 
 36,416   LG Display Company Ltd. (a), (e)   707,888 
 2,286   LG Electronics, Inc.   312,093 
 8,191   LG Electronics, Inc.   575,556 
 66,300   Nikon Corporation   528,626 
 2,900   Nintendo Company Ltd.   1,670,140 
 113,676   Nokia OYJ – ADR (a), (e)   518,363 
 20,218   Nokia OYJ (a)   97,268 
 89,200   Panasonic Corporation   1,158,569 
 161   Samsung Electro-Mechanics Company Ltd.   19,811 
 94   Samsung Electronics Company Ltd. - ADR   172,960 
 8,550   Samsung Electronics Company Ltd.   557,609 
 63,719   Samsung Electronics Company Ltd.   4,658,306 
 305   Samsung Electronics Company Ltd. 144A - ADR(c)   501,420 
 41,194   Shenzhen Everwin Precision Technology Company Ltd.   166,158 
 44,643   Telefonaktiebolaget LM Ericsson, B Shares (a)   563,858 
         13,704,276 
     TECHNOLOGY SERVICES - 1.7%     
 8,600   Adyen N.V. - ADR(a)   360,082 

 

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value ($) 
    COMMON STOCKS — 97.7% (Continued)    
     TECHNOLOGY SERVICES - 1.7% (Continued)     
 11,174   Experian plc   391,430 
 3,600   Fujitsu Ltd.   549,622 
 2,800   NEC Corporation   152,417 
 32,611   Nexi SpA,(a)   579,201 
 12,700   Nomura Research Institute Ltd.   427,996 
 1,876   Wolters Kluwer N.V.   156,051 
         2,616,799 
     TELECOMMUNICATIONS - 1.9%     
 8,207   Elisa OYJ   489,163 
 221,340   Mobile TeleSystems PJSC   964,637 
 29,600   Nippon Telegraph & Telephone Corporation   740,170 
 266,852   Turkcell Iletisim Hizmetleri A/S   585,865 
         2,779,835 
     TRANSPORTATION & LOGISTICS - 0.5%     
 200,000   Air China Ltd., H Shares   138,384 
 1,399   CJ Logistics Corporation,(a)   209,754 
 318,500   CMST Development Company Ltd.(a)   218,349 
 4,900   Kyushu Railway Company   102,954 
 29,363   Pan Ocean Company Ltd.(a)   119,406 
 1   Turk Hava Yollari AO(a)   2 
         788,849 
     TRANSPORTATION EQUIPMENT - 0.4%     
 7,410   Samsung Heavy Industries Company Ltd.(a)   41,106 
 19,019   Traton S.E.   521,126 
         562,232 
     WHOLESALE - CONSUMER STAPLES - 0.1%     
 29,500   Marubeni Corporation   196,101 
           
     WHOLESALE - DISCRETIONARY - 0.6%     
 21,700   Toyota Tsusho Corporation   847,998 
           
     TOTAL COMMON STOCKS (Cost $115,898,204)   146,003,789 

 

 

DUNHAM INTERNATIONAL STOCK FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Shares      Value ($) 
    EXCHANGE-TRADED FUNDS — 1.1%    
     EQUITY - 1.1%     
 26,769   Global X MSCI Argentina ETF   772,492 
 10,300   iShares MSCI EAFE ETF   745,617 
 1,700   iShares MSCI Eurozone ETF   73,627 
     TOTAL EXCHANGE-TRADED FUNDS (Cost $1,482,256)   1,591,736 
           
     RIGHT — 0.0%(b)     
     CHEMICALS - 0.0% (b)     
 1,066   Hanwha Solutions Corporation (Korea, Republic Of) (a) (Cost $4,147)   4,638 
           
     WARRANT — 0.0%(b)     
     CHEMICALS - 0.0% (b)     
 178,610   Barito Pacific Tbk P.T. (a)(g) (Indonesia) (Cost $0)   12,412 
     COLLATERAL FOR SECURITIES LOANED — 8.3%     
           
 12,434,046   Mount Vernon Prime Portfolio, 0.15% (Cost $12,434,046) (d) (f)   12,434,046 
           
     TOTAL INVESTMENTS – 107.1% (Cost $129,818,653)  $160,046,621 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (7.1) %   1,289,214 
     NET ASSETS - 100.0%  $149,465,200 

 

ADR - American Depositary Receipt

 

EAFE - Europe, Australasia and Far East

 

ETF - Exchange-Traded Fund

 

MSCI - Morgan Stanley Capital International

 

(a)Non-income producing security.

 

(b)Percentage rounds to less than 0.1%.

 

(c)Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2021 the total market value of 144A securities is 501,420 or 0.3%

 

(d)Rate disclosed is the seven day effective yield as of January 31, 2021.

 

(e)All or a portion of these securities are on loan. Total loaned securities had a value of $11,820,778 at January 31, 2021.

 

(f)The Trust’s securities lending policies and procedures require that the borrower. (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

(g)Illiquid Holding

 

 

DUNHAM DYNAMIC MACRO FUND
SCHEDULE OF INVESTMENTS (Unaudited)
January 31, 2021

 

Shares            Value 
     EXCHANGE-TRADED FUNDS — 41.3%           
     COMMODITY - 3.1%           
 25,743   iShares Commodities Select Strategy ETF        $708,962 
                 
     EQUITY - 30.7%           
 37,060   iShares Currency Hedged MSCI Germany ETF         1,078,817 
 9,000   iShares MSCI Emerging Markets ETF(a)         479,790 
 14,917   SPDR S&P 500 ETF Trust(a)         5,520,334 
               7,078,941 
     FIXED INCOME - 7.5%           
 15,920   SPDR Bloomberg Barclays High Yield Bond ETF(a)         1,725,728 
                 
                 
     TOTAL EXCHANGE-TRADED FUNDS (Cost $6,738,088)   9,513,631 
                 
Principal               
Amount ($)      Interest Rate %  Maturity     
     U.S. GOVERNMENT & AGENCIES — 39.4%           
     U.S. TREASURY BILLS — 39.4%           
 697,000   United States Treasury Bill(b)  0.0393  02/25/21   696,981 
 8,390,000   United States Treasury Bill  0.0514  03/18/21   8,389,450 
     TOTAL U.S. GOVERNMENT & AGENCIES (Cost $9,086,161)   9,086,431 
                 
Shares               
     SHORT-TERM INVESTMENTS — 9.3%           
     MONEY MARKET FUNDS - 9.3%           
 2,151,307   Morgan Stanley Institutional Liquidity Funds -, Institutional Class, 0.03% (Cost $2,151,307)(c)   2,151,307 
                 
     COLLATERAL FOR SECURITIES LOANED - 32.0%           
 7,371,086   Mount Vernon Prime Portfolio, 0.15% (Cost $7,371,086)(c,d)   7,371,086 

 

Contracts(e)      Counterparty  Expiration Date    Exercise Price   Notional Value     
    OPTIONS PURCHASED - 5.8%                    
     CALL OPTIONS PURCHASED - 5.7%                    
 6   S&P500 E-MINI Option, Maturing June 2021  Goldman Sachs  03/19/2021 US  $3,820   $1,146,000    22,260 
 6   S&P500 E-MINI Option, Maturing June 2021  Goldman Sachs  03/19/2021 US  $3,870    1,161,000    15,780 
 91   US 10 Year Future, Maturing June 2021  Goldman Sachs  03/19/2021 US  $123    12,469,821    1,276,848 
     TOTAL CALL OPTIONS PURCHASED (Cost - $1,378,544)                  1,314,888 

 

 

DUNHAM DYNAMIC MACRO FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

Contracts(e)      Counterparty  Expiration Date    Exercise Price   Notional Value   Value 
                         
     PUT OPTIONS PURCHASED - 0.1%                    
 18   EURO-BUND Option, Maturing June 2021(f)  Goldman Sachs  03/19/2021 EUR  $200   $3,190,500   $21,605 
     TOTAL PUT OPTIONS PURCHASED (Cost - $0)                    
                             
     TOTAL OPTIONS PURCHASED (Cost - $1,378,544)                  1,336,493 
                             
     TOTAL INVESTMENTS - 127.8% (Cost $26,725,186)                $29,458,948 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (27.8)%                  (6,420,783)
     NET ASSETS - 100.0%                 $23,038,165 

 

OPEN FUTURES CONTRACTS 
Number of         Notional   Unrealized Appreciation 
Contracts   Open Long Futures Contracts  Expiration  Amount   (Depreciation) 
 5   CBOT 10 Year US Treasury Note  03/22/2021  $685,155   $1,572 
 6   CME E-mini Russell 2000 Index Futures  03/19/2021   620,460    (1,965)
 1   Eurex 10 Year Euro BUND Future  03/08/2021   215,341    154 
 3   Euronext CAC 40 Index Future  02/19/2021   196,668    (9,476)
 16   FTSE 100 Index Future  03/19/2021   1,397,590    (61,516)
 3   FTSE/MIB Index Future  03/19/2021   392,498    (14,486)
 12   Montreal Exchange 10 Year Canadian Bond Future  03/22/2021   1,386,606    (1,017)
 1   Montreal Exchange S&P/TSX 60 Index Future  03/18/2021   160,178    (4,500)
 40   SFE 10 Year Australian Bond Future  03/15/2021   4,476,687    (31,189)
 2   SFE S&P ASX Share Price Index 200 Future  03/18/2021   250,929    (4,833)
 3   TSE TOPIX (Tokyo Price Index) Future  03/11/2021   516,930    (7,385)
     TOTAL FUTURES CONTRACTS          $(134,641)
                   
OPEN FUTURES CONTRACTS 
Number of         Notional   Unrealized Appreciation 
Contracts   Open Short Futures Contracts  Expiration  Amount   (Depreciation) 
 1   Eurex DAX Index Future  03/19/2021   408,267   $14,724 
 2   Eurex Swiss Market New Index Future  03/19/2021   236,578    6,667 
 3   HKG Hang Seng Index Future  02/25/2021   547,838    20,677 
 20   Long Gilt Future  03/29/2021   3,682,101    4,565 
 3   MEFF Madrid IBEX 35 Index Future  02/19/2021   282,472    20,628 
     TOTAL FUTURES CONTRACTS          $67,261 

 

Contracts(d)      Counterparty  Expiration Date    Exercise Price   Notional Value   Value 
    WRITTEN OPTIONS - (0.1)%                    
     PUT OPTIONS WRITTEN - (0.1)%                       
 12   S&P500 E-MINI Option, Maturing March 2021  Goldman Sachs  02/26/2021 US  $3,350   $2,010,000   $20,100 
     TOTAL PUT OPTIONS WRITTEN (Proceeds - $17,318)                       

 

 

DUNHAM DYNAMIC MACRO FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2021

 

ETF - Exchange-Traded Fund

 

MSCI - Morgan Stanley Capital International

 

SPDR - Standard & Poor’s Depositary Receipt

 

(a)All or a portion of these securities are on loan. Total loaned securities had a value of $7,100,915 at January 31, 2021.

 

(b)All of this security is segregated as collateral for futures contracts.

 

(c)Rate disclosed is the seven day effective yield as of January 31, 2021.

 

(d)The Trust’s securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

(e)Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

 

(f)Security traded on Eurex exchange and trades like a future. Security trades with no upfront cost and is mark to market like a future.

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Long/Short Credit Fund
January 31, 2021

 

   Variable  Principal   Interest   Maturity     
Security  Rate  Amount   Rate %   Date   Value 
TERM LOANS - 1.7%                      
LEISURE FACILITIES & SERVICES - 1.7%                      
Spectacle Gary Holdings, LLC  1 mo. LIBOR + 9.000%  $2,502,703    9.119 +  11/7/2025   $2,585,079 
Spectacle Gary Holdings, LLC  1 mo. LIBOR + 9.000%   182,297    9.119 +  11/7/2025    188,298 
TOTAL TERM LOANS (Cost - $2,580,790)                    2,773,377 
                       
CORPORATE BONDS - 37.8%                      
APPAREL & TEXTILE PRODUCTS - 1.0%                      
PVH Corporation ^      1,360,000    4.625   7/10/2025    1,531,452 
                       
ASSET MANAGEMENT - 1.9%                      
Monroe Capital Corporation      3,000,000    4.750   2/15/2026    3,039,170 
                       
AUTOMOTIVE - 1.0%                      
Ford Motor Company ^      415,000    9.000   4/22/2025    505,248 
General Motors Financial Company, Inc. ^  3 mo. LIBOR + 1.550%   1,010,000    1.784 +  1/14/2022    1,019,715 
                     1,524,963 
BANKING - 4.2%                      
HSBC Holdings plc ^  5 Year Treasury + 3.649%   2,740,000    4.600 +  6/17/2169    2,784,525 
JP Morgan Chase & Company  3 mo. LIBOR + 0.550%   2,005,000    0.760 +  2/1/2027    1,909,322 
Wachovia Capital Trust II - 144A  3 mo. LIBOR + 0.500%   1,000,000    0.741 +  1/15/2027    963,780 
Wells Fargo & Company      795,000    5.950   12/1/2086    1,097,372 
                     6,754,999 
BIOTECHNOLOGY & PHARMACEUTICALS - 2.8%                      
AstraZeneca plc      1,350,000    6.450   9/15/2037    2,021,097 
P&L Development, LLC / PLD Finance Corporation - 144A      1,500,000    7.750   11/15/2025    1,608,750 
Royalty Pharma plc - 144A      755,000    1.750   9/2/2027    770,514 
                     4,400,361 
CHEMICALS - 0.4%                      
TPC Group, Inc. - 144A      750,000    10.500   8/1/2024    712,732 
                       
CONSUMER SERVICES - 0.2%                      
WW International, Inc. - 144A      350,000    8.625   12/1/2025    365,066 
                       
CONTAINERS & PACKAGING - 1.1%                      
CCL Industries, Inc. - 144A      1,690,000    3.050   6/1/2030    1,818,168 
                       
DIVERSIFIED INDUSTRIALS - 0.5%                      
General Electric Company      90,000    5.875   1/14/2038    120,470 
General Electric Company      530,000    4.250   5/1/2040    604,526 
                     724,996 
E-COMMERCE DISCRETIONARY - 1.6%                      
MercadoLibre, Inc. ^      2,600,000    3.125   1/14/2031    2,614,664 
                       
FOOD - 2.6%                      
Cargill, Inc. - 144A      750,000    1.700   2/2/2031    750,421 
Del Monte Foods, Inc. - 144A      1,250,000    11.875   5/15/2025    1,414,844 
Kraft Heinz Foods Company      500,000    3.750   4/1/2030    537,114 
Kraft Heinz Foods Company ^      525,000    5.000   6/4/2042    606,269 
Smithfield Foods, Inc. - 144A      890,000    2.650   10/3/2021    897,592 
                     4,206,240 
HEALTH CARE FACILITIES & SERVICES - 1.1%                      
CommonSpirit Health      1,500,000    4.187   10/1/2049    1,732,020 
                       
INSTITUTIONAL FINANCIAL SERVICES - 1.8%                      
Blackstone / GSO Secured Lending Fund - 144A ^      1,255,000    3.625   1/15/2026    1,291,808 
Goldman Sachs Capital I ^      1,150,000    6.345   2/15/2034    1,609,761 
                     2,901,569 
INSURANCE - 5.1%                      
Markel Corporation ^  5 Year Treasury + 5.662%   920,000    6.000 +  12/1/2068    1,011,430 
Mutual of Omaha Insurance Company - 144A  3 mo. LIBOR + 2.640%   2,155,000    4.297 +  7/15/2054    2,255,206 
Ohio National Financial Services, Inc. - 144A      1,980,000    5.550   1/24/2030    2,104,391 
Pacific Life Insurance Company - 144A      1,000,000    9.250   6/15/2039    1,615,864 
United Insurance Holdings Corporation      1,000,000    6.250   12/15/2027    1,064,761 
                     8,051,652 

 

See accompanying notes to financial statements.

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Long/Short Credit Fund (Continued)
January 31, 2021

 

   Variable  Principal   Interest   Maturity     
Security  Rate  Amount   Rate %   Date   Value 
CORPORATE BONDS - 37.8% (Continued)                      
LEISURE FACILITIES & SERVICES - 1.9%                      
Enterprise Development Authority (The) - 144A     $725,000    12.000   7/15/2024   $817,437 
Genting New York, LLC / GENNY Capital, Inc. - 144A      625,000    3.300   2/15/2026    630,415 
Mohegan Gaming & Entertainment - 144A      1,650,000    8.000   2/1/2026    1,654,546 
                     3,102,398 
METALS & MINING - 1.4%                      
First Quantum Minerals Ltd. - 144A ^      1,500,000    6.875   10/15/2027    1,619,895 
Fresnillo plc - 144A      605,000    4.250   10/2/2050    645,157 
                     2,265,052 
OIL & GAS PRODUCERS - 1.6%                      
WPX Energy, Inc. ^      2,385,000    5.750   6/1/2026    2,506,635 
                       
REITS - 2.1%                      
Agree, L.P. ^      1,390,000    2.900   10/1/2030    1,470,164 
Scentre Group Trust 2 - 144A  5 Year Treasury + 4.379%   1,775,000    4.750 +  9/24/2080    1,832,815 
                     3,302,979 
SEMICONDUCTORS - 1.0%                      
Broadcom, Inc. - 144A ^      1,550,000    3.500   2/15/2041    1,565,182 
                       
SPECIALTY FINANCE - 1.4%                      
Finance of America Funding, LLC - 144A      1,240,000    7.875   11/15/2025    1,240,000 
GE Capital International Funding Company Unlimited Company ^  785,000    4.418   11/15/2035    918,761 
                     2,158,761 
TELECOMMUNICATIONS - 1.8%                      
HC2 Holdings, Inc. - 144A      1,750,000    8.500   2/1/2026    1,756,562 
Sprint Spectrum Company, LLC - 144A      930,000    5.152   3/20/2028    1,084,891 
                     2,841,453 
TRANSPORTATION & LOGISTICS - 1.3%                      
United Airlines 2020-1 Class B Pass Through Trust      2,000,000    4.875   1/15/2026    2,047,840 
                       
TOTAL CORPORATE BONDS (Cost - $57,492,584)                    60,168,352 
                       
      Shares               
COMMON STOCK - 2.6%                      
INSURANCE - 1.3%                      
Assurant, Inc. *      79,925             2,113,217 
                       
REAL ESTATE SERVICES - 1.3%                      
UIRC-GSA International, LLC Series QIB - 144A * !      2,000             2,060,000 
                       
TELECOMMUNICATIONS - 0.0%                      
NII Holdings, Inc. - 144A * !      10,000             21,700 
                       
TOTAL COMMON STOCK (Cost - $4,055,855)                    4,194,917 
                       
      Principal               
      Amount               
U.S. GOVERNMENT & AGENCIES - 47.5%                      
TREASURY BILLS - 39.4%                      
Treasury Bill ^     $20,855,000    0.031   2/18/2021    20,854,680 
Treasury Bill      20,855,000    0.045   3/4/2021    20,854,192 
Treasury Bill      20,850,000    0.051   4/8/2021    20,847,802 
                     62,556,674 
TREASURY NOTES / BONDS - 8.1%                      
Treasury Note / Bond      2,500,000    0.375   12/31/2025    2,493,164 
Treasury Note / Bond      8,420,000    0.875   11/15/2030    8,250,942 
Treasury Note / Bond ^      2,420,000    1.375   8/15/2050    2,154,745 
                     12,898,851 
TOTAL U.S. GOVERNMENT & AGENCIES (Cost - $75,508,741)             75,455,525 
                
      Shares               
SHORT-TERM INVESTMENT - 7.3%                      
MONEY MARKET FUND - 7.3%                      
First American Government Obligations Fund - Class X  11,656,519    0.030 +       11,656,519 
TOTAL SHORT-TERM INVESTMENT (Cost - $11,656,519)               

 

See accompanying notes to financial statements.

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Long/Short Credit Fund (Continued)
January 31, 2021

 

       Interest     
Security  Shares   Rate %   Value 
COLLATERAL FOR SECURITIES LOANED - 23.0%               
Mount Vernon Prime Portfolio #   36,486,735    0.150 +  $36,486,735 
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $36,486,735)               
                
TOTAL INVESTMENTS - 119.9% (Cost - $187,781,224)            $190,735,425 
LIABILITIES IN EXCESS OF OTHER ASSETS - (19.9)%             (31,710,397)
TOTAL NET ASSETS - 100.0%            $159,025,028 

 

LIBOR - London Inter-Bank Offered Rate

 

LLC - Limited Liability Company

 

L.P. - Limited Partnership

 

Ltd. - Limited Company

 

plc - Public Limited Company

 

REITs - Real Estate Investment Trusts

 

*Non-income producing security.

 

 +Variable rate security. Interest rate is as of January 31, 2021.

 

!Fair Value estimated using fair value procedures adopted by Board of Trustees. Total value of such securities is $2,081,700 or 1.31% of net assets as of January 31, 2021.

 

144A-Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2021 the total market value of 144A securities is $31,497,736 or 19.8% of net assets.

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $35,743,193 at January 31, 2021.

 

#The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

                  Unrealized 
      Short   Notional Value at   Maturity   Appreciation/ 
Security  Counterparty  Contracts   January 31, 2021   Date   (Depreciation) 
OPEN SHORT FUTURES CONTRACTS ** - (0.4)%              
CBOT 5 Year US Treasury Note  HSBC Securities, Inc.  63   $7,930,125   March-21   $(973)
CBOT 10 Year US Treasury Note  HSBC Securities, Inc.  190    26,035,890   March-21    157,962 
CBOT US Long Bond Future  HSBC Securities, Inc.  80    13,497,520   March-21    443,653 
NET UNREALIZED GAIN FROM OPEN SHORT FUTURE CONTRACTS           $600,642 

 

CREDIT DEFAULT SWAPS
                     Unrealized 
      Notional Value at   Fixed Deal   Premium   Maturity  Appreciation/ 
Description  Counterparty  January 31, 2021   (Received) Rate   Paid (Received)   Date  (Depreciation) 
To Buy Protection - CDX NA IG. 32  HSBC Securities, Inc.  $1,000,000    1.00%  $(14,246)  6/20/2024  $459 
To Buy Protection - CDX NA IG. 33  HSBC Securities, Inc.   10,000,000    1.00%   (139,311)  12/20/2024   1,442 
To Buy Protection - Commonwealth Bank of Australia  Goldman Sachs   2,000,000    1.00%   (9,625)  12/20/2023   (31,295)
To Buy Protection - D.R. Horton, Inc.  Barclays   3,000,000    1.00%   (83,950)  3/20/2025   2,456 
To Buy Protection - Fiserv, Inc.  Barclays   5,000,000    1.00%   (213,078)  12/20/2025   31,234 
To Sell Protection - Johnson & Johnson (1)  Barclays   (5,000,000)   1.00%   213,078   12/20/2025   (26,404)
To Buy Protection - Packaging Corporation of America  Barclays   3,000,000    1.00%   (117,040)  6/20/2025   26,471 
To Buy Protection - Prudential Financial, Inc.  JPMorgan   3,000,000    1.00%   (31,980)  9/20/2024   (35,875)
To Buy Protection - United Rentals  JPMorgan   3,000,000    5.00%   (191,504)  6/20/2022   (3,214)
To Sell Protection - Verizon Communications (1)  Barclays   (3,000,000)   1.00%   17,919   7/20/2022   11,750 
To Buy Protection - Kraft Heinz Food  JPMorgan   2,000,000    1.00%   (31,954)  6/20/2023   (885)
To Sell Protection - Kraft Heinz Food (1)  Goldman Sachs   (2,000,000)   1.00%   14,987   6/20/2023   19,689 
To Buy Protection - Newell Brands  Goldman Sachs   2,000,000    1.00%   22,030   6/20/2023   12,027 
To Sell Protection - Newell Brands (1)  JPMorgan   (2,000,000)   1.00%   (32,614)  6/20/2023   (3,280)
NET UNREALIZED GAIN FROM CREDIT DEFAULT SWAPS                $4,575 

 

TOTAL RETURN SWAPS
      Notional Value      Maturity  Unrealized 
Reference Entity  Counterparty  (Received) Rate   Variable Rate  Date  Depreciation 
iBoxx USD Liquid High Yield Index  Goldman Sachs  $8,000,000   3 mo LIBOR + 0.00%  3/20/2021  $(437,573)
iBoxx USD Liquid High Yield Index  Goldman Sachs   5,000,000   3 mo LIBOR + 0.00%  6/20/2021   (33,591)
NET UNREALIZED LOSS FROM TOTAL RETURN SWAPS         $(471,164)

 

LIBOR - London Inter-bank Offered Rate

 

**The amounts shown are the underlying reference notional amounts to stock exchange indices, debt securities and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund.

 

(1)If the Fund is a seller of protection and if a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising of the referenced index.

 

See accompanying notes to financial statements.

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund
January 31, 2021

 

Security  Shares   Value 
COMMON STOCKS - 58.3%          
AEROSPACE & DEFENSE - 0.5%          
Aerojet Rocketdyne Holdings, Inc. *   15,507   $806,984 
Boeing Company (The)   396    76,899 
General Dynamics Corporation   478    70,113 
Howmet Aerospace, Inc.   765    18,804 
Huntington Ingalls Industries, Inc.   142    22,341 
L3Harris Technologies, Inc.   203    34,816 
TransDigm Group, Inc. *   38    21,025 
         1,050,982 
APPAREL & TEXTILE PRODUCTS - 0.4%          
Columbia Sportswear Company   222    19,416 
NIKE, Inc. @   5,649    754,650 
PVH Corporation   315    26,857 
Ralph Lauren Corporation   273    27,587 
Tapestry, Inc.   897    28,363 
Under Armour, Inc. *   1,154    20,195 
         877,068 
ASSET MANAGEMENT - 5.1%          
26 Capital Acquisition Corporation *   923    9,691 
890 5th Avenue Partners, Inc. *   7,500    78,000 
AEA-Bridges Impact Corporation *   6,003    70,475 
Aequi Acquisition Corporation *   12,258    129,812 
Altitude Acquisition Corporation *   4,560    49,248 
Apollo Strategic Growth Capital *   6,082    68,909 
Artius Acquisition, Inc. *   6,628    74,764 
Athlon Acquisition Corporation *   375    3,870 
Atlas Crest Investment Corporation *   6,704    72,671 
Authentic Equity Acquisition Corporation *   369    3,830 
Avanti Acquisition Corporation *   4,000    44,840 
BlueRiver Acquisition Corporation *   1,825    18,980 
Bridgetown 2 Holdings Ltd. *   915    11,163 
Bright Lights Acquisition Corporation *   709    7,423 
Burgundy Technology Acquisition Corporation *   3,273    40,160 
Carney Technology Acquisition Corporation II *   4,570    47,985 
CBRE Acquisition Holdings, Inc. *   3,420    36,355 
CC Neuberger Principal Holdings II *   6,487    67,789 
CF Acquisition Corporation IV *   2,748    29,459 
CF Acquisition Corporation V *   913    9,815 
Churchill Capital Corporation II *   11,456    115,820 
Churchill Capital Corporation V *   9,120    98,861 
Clarim Acquisition Corporation *   1,825    18,724 
Class Acceleration Corporation *   1,845    19,834 
Climate Real Impact Solutions II Acquisition Corporation *   1,830    20,624 
Cohn Robbins Holdings Corporation *   6,169    69,463 
Concord Acquisition Corporation *   10,968    119,332 
Constellation Acquisition Corporation I *   2,562    27,413 
Conx Corporation *   11,482    119,413 
Corner Growth Acquisition Corporation *   2,275    23,774 
Crucible Acquisition Corporation *   1,266    13,608 
D8 Holdings Corporation *   5,586    60,105 
DiamondHead Holdings Corporation *   1,830    19,855 
Eaton Vance Corporation   97,132    6,521,442 
Edify Acquisition Corporation *   2,768    28,427 
EdtechX Holdings Acquisition Corporation II *   2,280    23,940 
Empowerment & Inclusion Capital I Corporation *   709    7,303 
Environmental Impact Acquisition Corporation *   5,565    59,768 
Epiphany Technology Acquisition Corporation *   1,772    18,907 
EQ Health Acquisition Corporation *   913    9,358 
Fortistar Sustainable Solutions Corporation *   3,660    38,723 
Fortress Capital Acquisition Corporation *   1,855    19,292 
Fortress Value Acquisition Corporation III *   3,165    34,182 
Franklin Resources, Inc.   1,095    28,788 
Frazier Lifesciences Acquisition Corporation *   1,824    19,334 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund (Continued)
January 31, 2021

 

Security  Shares   Value 
COMMON STOCKS - 58.3% (Continued)          
ASSET MANAGEMENT - 5.1% (Continued)          
Global Partner Acquisition Corporation II *   2,813   $28,664 
Global Synergy Acquisition Corporation *   1,772    18,447 
GO Acquisition Corporation *   11,087    120,516 
Golden Falcon Acquisition Corporation *   1,138    11,892 
Gores Holdings VI, Inc. *   4,560    48,564 
Gores Metropoulos II, Inc. *   3,720    40,362 
Group Nine Acquisition Corporation *   2,768    29,064 
Hamilton Lane Alliance Holdings I, Inc. *   1,855    19,533 
Health Assurance Acquisition Corporation *   3,203    38,948 
HealthCor Catalio Acquisition Corporation *   183    1,848 
Hennessy Capital Investment Corporation V *   2,768    30,808 
HPX Corporation *   2,130    23,643 
Hudson Executive Investment Corporation II *   3,294    35,015 
HumanCompany Acquisition Corporation *   31,920    374,741 
ITHAX Acquisition Corporation *   1,815    18,259 
Jack Creek Investment Corporation *   2,790    28,765 
Kairos Acquisition Corporation *   3,541    36,862 
KINS Technology Group, Inc. *   1,820    19,019 
Kismet Acquisition One Corporation *   9,163    95,937 
KL Acquisition Corporation *   531    5,443 
Lefteris Acquisition Corporation *   6,033    66,363 
Liberty Media Acquisition Corporation *   1,116    13,950 
Live Oak Acquisition Corporation II *   1,359    15,465 
Locust Walk Acquisition Corporation *   1,772    18,500 
Marlin Technology Corporation *   1,855    19,311 
Marquee Raine Acquisition Corporation *   1,820    19,747 
Mason Industrial Technology, Inc. *   14,600    147,022 
MedTech Acquisition Corporation *   1,592    16,875 
Motive Capital Corporation *   2,280    24,077 
Nebula Caravel Acquisition Corporation *   3,192    34,122 
North Atlantic Acquisition Corporation *   372    3,869 
Northern Genesis Acquisition Corporation II *   1,484    16,814 
Northern Star Investment Corporation II *   3,660    39,089 
Oaktree Acquisition Corporation II *   421    4,572 
OCA Acquisition Corporation *   369    3,841 
One Equity Partners Open Water I Corporation *   4,650    48,453 
Pioneer Merger Corporation *   932    9,739 
Pontem Corporation *   1,855    19,366 
Powered Brands *   1,772    18,429 
Primavera Capital Acquisition Corporation *   1,860    20,032 
PropTech Investment Corporation II *   4,550    48,731 
Provident Acquisition Corporation *   1,772    19,687 
Queen’s Gambit Growth Capital *   744    8,110 
Revolution Acceleration Acquisition Corporation *   4,172    45,224 
Rotor Acquisition Corporation *   1,845    19,004 
Science Strategic Acquisition Corporation Alpha *   3,660    38,467 
ScION Tech Growth I *   2,275    24,320 
SCP & CO Healthcare Acquisition Company *   930    9,598 
Senior Connect Acquisition Corp I *   4,560    47,880 
Silver Crest Acquisition Corporation *   1,855    19,088 
Spartacus Acquisition Corporation *   10,067    110,435 
Sports Ventures Acquisition Corporation *   6,345    65,925 
Star Peak Corporation II *   2,115    24,492 
Starboard Value Acquisition Corporation *   1,749    18,644 
Tastemaker Acquisition Corporation *   1,772    18,092 
Thayer Ventures Acquisition Corporation *   1,140    12,244 
Thoma Bravo Advantage *   6,284    75,031 
TLG Acquisition One Corporation *   3,630    36,554 
TPG Pace Tech Opportunities Corporation *   3,544    38,098 
Turmeric Acquisition Corporation *   2,203    23,132 
Tuscan Holdings Corporation II *   94    1,011 
TZP Strategies Acquisition Corporation *   3,720    38,614 
VectoIQ Acquisition Corporation II *   1,864    20,765 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund (Continued)
January 31, 2021

 

Security  Shares   Value 
COMMON STOCKS - 58.3% (Continued)          
ASSET MANAGEMENT - 5.1% (Continued)          
Ventoux CCM Acquisition Corporation *   13,745   $141,848 
Virtuoso Acquisition Corporation *   3,720    38,316 
Viveon Health Acquisition Corporation *   164    1,696 
Z-Work Acquisition Corporation *   730    7,592 
         10,950,093 
AUTOMOTIVE - 1.4%          
Adient plc *   12,071    389,773 
Daimler A.G.   9,449    667,194 
General Motors Company @   34,921    1,769,796 
Magna International, Inc.   3,631    255,078 
         3,081,841 
BANKING - 0.9%          
Bank of America Corporation   20,568    609,841 
CIT Group, Inc.   1,355    50,000 
Citigroup, Inc.   19,025    1,103,260 
Citizens Financial Group, Inc.   692    25,216 
Fifth Third Bancorp   842    24,359 
Huntington Bancshares, Inc.   1,874    24,784 
Sterling Bancorp   1,121    20,694 
Truist Financial Corporation   460    22,071 
Webster Financial Corporation   475    22,206 
         1,902,431 
BEVERAGES - 0.5%          
Keurig Dr Pepper, Inc.   32,984    1,048,891 
           
BIOTECHNOLOGY & PHARMACEUTICALS - 3.1%          
Alexion Pharmaceuticals, Inc. *   38,437    5,893,545 
AstraZeneca plc - ADR   7,774    393,364 
Bristol-Myers Squibb Company   6,787    416,925 
Viatris, Inc. *   3,190    54,198 
         6,758,032 
CABLE & SATELLITE - 0.2%          
Comcast Corporation   8,858    439,091 
DISH Network Corporation   798    23,158 
         462,249 
CHEMICALS - 1.0%          
CF Industries Holdings, Inc.   5,790    239,590 
Covestro A.G.   4,726    322,449 
Huntsman Corporation   10,491    277,172 
Ingevity Corporation *   276    18,130 
International Flavors & Fragrances, Inc.   5,253    590,309 
Linde plc   2,654    651,292 
Mosaic Company (The)   1,317    34,189 
         2,133,131 
CONSTRUCTION MATERIALS - 0.2%          
Owens Corning   5,811    450,934 
           
DIVERSIFIED INDUSTRIALS - 0.2%          
General Electric Company   35,901    383,423 
           
E-COMMERCE DISCRETIONARY - 0.5%          
Amazon.com, Inc. *   318    1,019,572 
           
ELECTRIC UTILITIES - 1.1%          
ALLETE, Inc.   331    20,800 
NRG Energy, Inc.   364    15,073 
PNM Resources, Inc.   50,171    2,434,297 
         2,470,170 
ELECTRICAL EQUIPMENT - 1.8%          
Allegion plc   169    18,085 
Carrier Global Corporation   27,696    1,066,296 
Siemens Energy A.G. *   30,409    1,129,745 
Vertiv Holdings Company   33,239    668,769 
Vontier Corporation *   30,154    977,894 
         3,860,789 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund (Continued)
January 31, 2021

 

Security  Shares   Value 
COMMON STOCKS - 58.3% (Continued)          
ENTERTAINMENT CONTENT - 0.4%          
Discovery, Inc. * ^   6,119   $253,449 
Fox Corporation   853    26,597 
Walt Disney Company (The) *   4,202    706,650 
         986,696 
FOOD - 0.3%          
Mondelez International, Inc.   11,745    651,143 
           
FORESTRY, PAPER & WOOD PRODUCTS - 0.3%          
Louisiana-Pacific Corporation   17,598    668,900 
           
GAS & WATER UTILITIES - 0.3%          
Essential Utilities, Inc.   12,811    593,149 
           
HEALTH CARE FACILITIES & SERVICES - 1.3%          
Cigna Corporation   13,025    2,827,076 
CVS Health Corporation   330    23,645 
         2,850,721 
HOME CONSTRUCTION - 0.4%          
AZEK Company, Inc. (The)   4,592    183,175 
DR Horton, Inc.   8,463    649,958 
         833,133 
HOUSEHOLD PRODUCTS - 0.5%          
Coty, Inc.   2,509    15,982 
elf Beauty, Inc. *   3,044    66,237 
Estee Lauder Companies, Inc. (The)   3,503    828,985 
Procter & Gamble Company (The)   1,705    218,598 
         1,129,802 
INDUSTRIAL INTERMEDIATE PRODUCTS - 0.5%          
Timken Company, (The)   14,757    1,116,515 
           
INDUSTRIAL SUPPORT SERVICES - 0.0%          
United Rentals, Inc. *   369    89,671 
           
INSTITUTIONAL FINANCIAL SERVICES - 0.4%          
Goldman Sachs Group, Inc. (The)   104    28,202 
Morgan Stanley   12,134    813,585 
State Street Corporation   378    26,460 
         868,247 
INSURANCE - 1.9%          
Allstate Corporation (The)   238    25,509 
American International Group, Inc.   596    22,314 
Everest Re Group Ltd.   96    20,264 
Hartford Financial Services Group, Inc. (The)   498    23,914 
Lincoln National Corporation   524    23,837 
Principal Financial Group, Inc.   469    23,108 
Willis Towers Watson plc   19,292    3,915,118 
         4,054,064 
INTERNET MEDIA & SERVICES - 0.9%          
Alphabet, Inc. *   474    866,169 
Booking Holdings, Inc. *   10    19,443 
Kuaishou Technology *   1,628    24,145 
Netflix, Inc. *   985    524,404 
TripAdvisor, Inc. *   628    19,449 
Uber Technologies, Inc. *   9,266    471,917 
Yelp, Inc. *   603    19,652 
         1,945,179 
LEISURE FACILITIES & SERVICES - 3.2%          
Choice Hotels International, Inc.   178    17,914 
Darden Restaurants, Inc.   7,390    863,817 
Hilton Worldwide Holdings, Inc.   11,834    1,199,849 
Las Vegas Sands Corporation   438    21,063 
Marriott International, Inc.   1,411    164,113 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund (Continued)
January 31, 2021

 

Security  Shares   Value 
COMMON STOCKS - 58.3% (Continued)          
LEISURE FACILITIES & SERVICES - 3.2% (Continued)          
Marriott Vacations Worldwide Corporation   9,070   $1,113,433 
Norwegian Cruise Line Holdings Ltd. *   739    16,738 
Papa John’s International, Inc.   4,252    434,895 
Starbucks Corporation   11,587    1,121,737 
Wyndham Hotels & Resorts, Inc.   5,706    331,918 
Wynn Resorts Ltd.   7,664    762,798 
Yum China Holdings, Inc.   15,771    894,373 
         6,942,648 
MACHINERY - 1.1%          
AGCO Corporation   6,535    724,732 
Caterpillar, Inc.   1,185    216,665 
Crane Company   263    19,904 
Oshkosh Corporation   288    26,378 
Parker-Hannifin Corporation   5,570    1,473,878 
         2,461,557 
MEDICAL EQUIPMENT & DEVICES - 2.9%          
Danaher Corporation   2,300    547,032 
DENTSPLY SIRONA, Inc.   435    23,268 
Envista Holdings Corporation *   34,251    1,217,281 
Illumina, Inc. *   55    23,454 
LivaNova plc *   351    22,078 
QIAGEN N.V. *   12,493    676,496 
Thermo Fisher Scientific, Inc.   725    369,533 
Varian Medical Systems, Inc. *   15,674    2,751,884 
Zimmer Biomet Holdings, Inc.   3,867    594,242 
         6,225,268 
METALS & MINING - 0.5%          
Freeport-McMoRan, Inc. @   42,691    1,148,815 
           
OIL & GAS PRODUCERS - 1.2%          
Apache Corporation   2,297    32,801 
Chevron Corporation @   281    23,941 
ConocoPhillips   21,850    874,656 
Devon Energy Corporation   1,976    32,525 
Diamondback Energy, Inc.   690    39,116 
Exxon Mobil Corporation   20,107    901,598 
Hess Corporation   516    27,854 
Kinder Morgan, Inc.   1,820    25,626 
Marathon Petroleum Corporation   613    26,457 
Occidental Petroleum Corporation   1,831    36,730 
Petroleo Brasileiro S.A. - ADR   43,141    433,567 
Phillips 66   392    26,578 
Pioneer Natural Resources Company   252    30,467 
Valero Energy Corporation   446    25,168 
Williams Companies, Inc. (The)   1,156    24,542 
         2,561,626 
OIL & GAS SERVICES & EQUIPMENT - 0.2%          
Baker Hughes Company   1,267    25,454 
Halliburton Company   1,557    27,450 
Schlumberger N.V.   828    18,390 
TechnipFMC plc   39,843    425,922 
         497,216 
PUBLISHING & BROADCASTING - 0.1%          
TEGNA, Inc.   18,579    297,821 
           
REAL ESTATE OWNERS & DEVELOPERS - 0.4%          
Brookfield Property Partners, L.P.   49,752    847,277 
           
REAL ESTATE SERVICES - 0.0%          
CBRE Group, Inc. *   383    23,355 
           
REITS - 0.3%          
Weyerhaeuser Company   21,591    673,423 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund (Continued)
January 31, 2021

 

Security  Shares   Value 
COMMON STOCKS - 58.3% (Continued)          
RETAIL - DISCRETIONARY - 1.5%          
AutoNation, Inc. *   366   $26,088 
Builders FirstSource, Inc. *   27,086    1,036,039 
Home Depot, Inc. (The) @   4,133    1,119,299 
Lowe’s Companies, Inc.   6,431    1,073,012 
Ross Stores, Inc.   206    22,926 
         3,277,364 
SEMICONDUCTORS - 8.9%          
Advanced Micro Devices, Inc. *   21,150    1,811,286 
Coherent, Inc. *   1,672    335,804 
Inphi Corporation *   5,342    900,715 
Intel Corporation @   13,574    753,493 
Marvell Technology Group Ltd.   24,172    1,243,891 
Maxim Integrated Products, Inc.   66,281    5,813,507 
Microchip Technology, Inc.   3,398    462,502 
NXP Semiconductors N.V.   7,756    1,244,605 
ON Semiconductor Corporation * @   6,042    208,389 
Texas Instruments, Inc.   3,836    635,587 
Xilinx, Inc.   45,305    5,915,474 
         19,325,253 
SOFTWARE - 8.2%          
Borqs Technologies, Inc. * ^   61,731    72,225 
Change Healthcare, Inc. *   108,387    2,586,114 
Microsoft Corporation @   9,328    2,163,723 
Okta, Inc. *   858    222,231 
RealPage, Inc. *   15,343    1,328,244 
ServiceNow, Inc. *   645    350,338 
Slack Technologies, Inc. *   262,535    11,071,101 
         17,793,976 
SPECIALTY FINANCE - 0.3%          
Alliance Data Systems Corporation   232    15,695 
Fortress Transportation and Infrastructure Investors, LLC   23,277    514,422 
Synchrony Financial   749    25,204 
         555,321 
TECHNOLOGY HARDWARE - 1.5%          
Apple, Inc. @   5,599    738,844 
Cisco Systems, Inc.   1,847    82,339 
FLIR Systems, Inc.   43,906    2,285,307 
Hewlett Packard Enterprise Company   3,995    49,298 
NetApp, Inc.   450    29,898 
Western Digital Corporation   539    30,416 
         3,216,102 
TECHNOLOGY SERVICES - 1.5%          
CACI International, Inc. *   109    26,293 
Fiserv, Inc. *   441    45,286 
Global Payments, Inc.   1,738    306,792 
IHS Markit Ltd.   30,368    2,644,445 
International Business Machines Corporation   610    72,657 
Leidos Holdings, Inc.   236    25,030 
Nielsen Holdings plc   1,082    24,161 
Sabre Corporation   1,568    16,903 
         3,161,567 
TELECOMMUNICATIONS - 0.2%          
AT&T, Inc.   1,713    49,043 
NII Holdings, Inc. * #   205,893    452,965 
         502,008 
TOBACCO & CANNABIS - 0.0%          
Altria Group, Inc.   542    22,265 
Philip Morris International, Inc.   288    22,939 
         45,204 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund (Continued)
January 31, 2021

 

Security  Shares      Value 
COMMON STOCKS - 58.3% (Continued)             
TRANSPORTATION & LOGISTICS - 0.9%             
Kansas City Southern   1,283      $260,026 
Norfolk Southern Corporation   3,192       755,291 
Southwest Airlines Company   8,583       377,137 
Union Pacific Corporation   2,787       550,349 
            1,942,803 
TRANSPORTATION EQUIPMENT - 1.3%             
Cummins, Inc.   7,420       1,739,396 
Navistar International Corporation *   23,208       1,021,152 
            2,760,548 
TOTAL COMMON STOCKS (Cost - $123,890,500)           126,495,978 
              
CLOSED END FUND - 1.3%             
Altaba, Inc. * #   193,882       2,791,901 
TOTAL CLOSED END FUND (Cost - $3,805,238)             
              
EXCHANGE-TRADED FUNDS - 3.2%             
EQUITY FUNDS - 1.9%             
Invesco S&P 500 Equal Weight ETF   3,987       504,355 
iShares MSCI Brazil ETF   4,118       140,794 
iShares U.S. Home Construction ETF ^   8,883       523,830 
iShares U.S. Real Estate ETF   3,864       329,522 
SPDR S&P 500 ETF Trust @   4,879       1,805,572 
SPDR S&P Homebuilders ETF   12,889       777,207 
            4,081,280 
FIXED INCOME FUNDS - 1.3%             
SPDR Blackstone / GSO Senior Loan ETF ^   64,092       2,941,823 
              
TOTAL EXCHANGE-TRADED FUNDS - (Cost - $7,030,534)           7,023,103 
              
        Expiration Date     
RIGHTS - 0.0%             
Alder BioPharmaceuticals, Inc. * #   10,079   12/31/2024   12,599 
Pan American Silver Corporation *   41,375   3/19/2049   31,859 
TOTAL RIGHTS (Cost - $46,979)           44,458 
              
WARRANTS - 0.0%             
Borqs Technologies, Inc. *   105,552   8/19/2022   17,416 
Multiplan Corporation *   10,004   3/2/2027   16,907 
TOTAL WARRANTS (Cost - $26,975)           34,323 

 

   Counterparty  Contracts**   Notional Value   Exercise Price        
PURCHASED OPTIONS - 0.5%                          
PURCHASED CALL OPTIONS - 0.2%                          
Apple, Inc.  JP Morgan   72   $972,000   $135.00   2/19/2021   30,240 
Chevron Corporation  JP Morgan   96    912,000    95.00   3/19/2021   14,304 
FedEx Corporation  JP Morgan   22    550,000    250.00   2/19/2021   8,030 
Freeport-McMoRan, Inc.  JP Morgan   173    467,100    27.00   2/19/2021   27,853 
General Motors Company  JP Morgan   121    556,600    46.00   2/19/2021   72,600 
Home Depot, Inc. (The)  JP Morgan   55    1,540,000    280.00   3/19/2021   47,025 
Intel Corporation  JP Morgan   264    1,386,000    52.50   2/19/2021   104,280 
Microsoft Corporation  JP Morgan   24    528,000    220.00   2/19/2021   36,600 
NIKE, Inc.  JP Morgan   49    686,000    140.00   3/19/2021   19,110 
ON Semiconductor Corporation  JP Morgan   113    395,500    35.00   4/16/2021   33,900 
Wells Fargo & Company  JP Morgan   193    675,500    35.00   2/19/2021   2,509 
TOTAL PURCHASED CALL OPTIONS (Cost - $346,965)                        396,451 
                           
PURCHASED PUT OPTIONS - 0.3%                          
S&P 500 Index  JP Morgan   26    9,620,000    3,700.00   3/19/2021   372,580 
SPDR S&P 500 ETF Trust  JP Morgan   192    7,180,800    374.00   2/19/2021   210,240 
TOTAL PURCHASED PUT OPTIONS (Cost - $561,818)                        582,820 
TOTAL PURCHASED OPTIONS (Cost - $908,783)                        979,271 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund (Continued)
January 31, 2021

 

Security  Shares   Interest Rate %   Value 
SHORT-TERM INVESTMENT - 23.0%               
MONEY MARKET FUND - 23.0%               
Fidelity Government Portfolio - Class Institutional   49,790,284    0.010 +   $49,790,284 
TOTAL SHORT-TERM INVESTMENT (Cost - $49,790,284)               
                
COLLATERAL FOR SECURITIES LOANED - 0.4%               
HSBC US Government Money Market Fund - Class I !   881,286    0.030 +    881,286 
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $881,286)               
                
TOTAL INVESTMENTS - 86.7% (Cost - $186,380,579)            $188,040,604 
OTHER ASSETS IN EXCESS OF LIABILITIES - 13.3%             28,965,976 
NET ASSETS - 100.0%            $217,006,580 

 

ADR - American Depositary Receipt.

 

ETF - Exchange Traded Fund

 

LLC - Limited Liability Company

 

L.P. - Limited Partnership

 

plc - Public Limited Company

 

REITS - Real Estate Investment Trusts

 

*Non-Income producing security.

 

**Each Purchased Option contract allows the option holder to buy/sell 100 shares of the underlying security at the exercise price.

 

 +Variable rate security. Interest rate is as of January 31, 2021.

 

#Fair Value estimated using fair value procedures adopted by Board of Trustees. Total value of such securities is $3,257,465 or 1.50% of net assets as of January 31, 2021. ^ All or a portion of these securities are on loan. Total loaned securities had a value of $859,268 at January 31, 2021.

 

@Subject to Options Written

 

!The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

Security  Counterparty  Contracts**   Notional Value   Exercise Price   Expiration Date  Value 
WRITTEN OPTIONS - (0.3)%                          
WRITTEN CALL OPTIONS - (0.2)%                          
Apple, Inc.  JP Morgan   72   $1,044,000   $145.00   2/19/2021  $11,808 
Chevron Corporation  JP Morgan   96    1,008,000    105.00   3/19/2021   3,744 
FedEx Corporation  JP Morgan   22    594,000    270.00   2/19/2021   2,640 
Freeport-McMoRan, Inc.  JP Morgan   173    519,000    30.00   2/19/2021   9,688 
General Motors Company  JP Morgan   30    150,000    50.00   2/19/2021   11,400 
General Motors Company  JP Morgan   177    973,500    55.00   2/19/2021   31,152 
Home Depot, Inc.  JP Morgan   55    1,650,000    300.00   3/19/2021   17,050 
Intel Corporation  JP Morgan   264    1,518,000    57.50   2/19/2021   29,568 
Microsoft Corporation  JP Morgan   24    564,000    235.00   2/19/2021   13,224 
NIKE, Inc.  JP Morgan   49    759,500    155.00   3/19/2021   5,880 
ON Semiconductor Corporation  JP Morgan   113    452,000    40.00   4/16/2021   18,080 
S&P 500 Index  JP Morgan   26    9,620,000    3,700.00   3/19/2021   375,440 
Uber Technologies, Inc.  JP Morgan   88    528,000    60.00   2/19/2021   6,072 
Wells Fargo & Company  JP Morgan   193    772,000    40.00   2/19/2021   772 
TOTAL WRITTEN CALL OPTIONS - (Premiums Received - $521,817)     536,518 
                           
WRITTEN PUT OPTIONS - (0.1)%                          
Apple, Inc.  JP Morgan   72    900,000    125.00   2/19/2021   20,376 
FedEx Corporation  JP Morgan   22    506,000    230.00   2/19/2021   14,388 
Freeport-McMoRan, Inc.  JP Morgan   173    415,200    24.00   2/19/2021   8,996 
General Motors Company  JP Morgan   121    496,100    41.00   2/19/2021   4,235 
Microsoft Corporation  JP Morgan   24    492,000    205.00   2/19/2021   3,000 
NIKE, Inc.  JP Morgan   49    563,500    115.00   3/19/2021   7,007 
SPDR S&P 500 ETF Trust  JP Morgan   192    6,950,400    362.00   2/19/2021   136,512 
TOTAL WRITTEN PUT OPTIONS - (Premiums Received - $171,780)        194,514 
TOTAL WRITTEN OPTIONS (Premiums Received - $693,597)        731,032 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund (Continued)
January 31, 2021

 

Security  Shares   Value 
SECURITIES SOLD SHORT * - (40.0)%          
AEROSPACE & DEFENSE - (1.3)%          
Boeing Company (The)   249   $48,353 
General Dynamics Corporation   4,335    635,858 
L3Harris Technologies, Inc.   2,653    455,016 
Teledyne Technologies, Inc.   3,207    1,144,931 
Textron, Inc.   10,458    473,329 
         2,757,487 
AUTOMOTIVE - (0.7)%          
General Motors Company   11,400    577,752 
Tesla, Inc.   1,237    981,597 
         1,559,349 
BANKING - (0.2)%          
Citigroup, Inc.   7,300    423,327 
First Citizens BancShares, Inc.   109    64,963 
         488,290 
BIOTECHNOLOGY & PHARMACEUTICALS - (2.1)%          
AstraZeneca plc - ADR   89,390    4,523,134 
Viatris, Inc.   1,710    29,053 
         4,552,187 
CHEMICALS - (0.2)%          
Ecolab, Inc.   2,225    455,035 
International Flavors & Fragrances, Inc.   441    49,560 
         504,595 
DIVERSIFIED INDUSTRIALS - (0.6)%          
3M Company   3,822    671,372 
Illinois Tool Works, Inc.   2,794    542,623 
         1,213,995 
E-COMMERCE DISCRETIONARY - (0.4)%          
eBay, Inc.   14,915    842,847 
           
ELECTRICAL EQUIPMENT - (0.3)%          
Acuity Brands, Inc.   2,520    303,005 
Roper Technologies, Inc.   979    384,659 
         687,664 
ENTERTAINMENT CONTENT - (0.4)%          
Activision Blizzard, Inc.   6,117    556,647 
Discovery, Inc.   5,108    211,573 
         768,220 
EXCHANGE-TRADED FUNDS - (14.8)%          
Consumer Discretionary Select Sector SPDR Fund   12,390    2,007,304 
Consumer Staples Select Sector SPDR Fund   59,807    3,833,031 
Energy Select Sector SPDR Fund   15,560    611,819 
Financial Select Sector SPDR Fund   50,045    1,448,803 
Health Care Select Sector SPDR Fund   20,454    2,352,824 
Industrial Select Sector SPDR Fund   24,257    2,056,266 
Invesco S&P 500 Equal Weight ETF   12,464    1,576,696 
iShares Russell 2000 ETF   50,016    10,281,289 
iShares U.S. Real Estate ETF   33,831    2,885,108 
SPDR S&P 500 ETF Trust   7,149    2,645,630 
SPDR S&P Retail ETF   2,605    229,266 
Utilities Select Sector SPDR Fund   34,873    2,167,357 
         32,095,393 
FOOD - (0.1)%          
McCormick & Company, Inc.   3,674    328,970 
           
HEALTH CARE FACILITIES & SERVICES - (1.3)%          
Cigna Corporation   12,920    2,804,286 
           
HOME CONSTRUCTION - (0.1)%          
Masco Corporation   5,718    310,544 
           
HOUSEHOLD PRODUCTS - (0.1)%          
Clorox Company (The)   1,284    268,947 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund (Continued)
January 31, 2021

 

Security  Shares   Value 
SECURITIES SOLD SHORT * - (40.0)% (Continued)          
INDUSTRIAL SUPPORT SERVICES - (0.3)%          
Fastenal Company   12,773   $582,321 
           
INSTITUTIONAL FINANCIAL SERVICES - (1.9)%          
Morgan Stanley   61,476    4,121,966 
           
INSURANCE - (1.5)%          
Aon plc   15,659    3,180,343 
           
INTERNET MEDIA & SERVICES - (0.3)%          
Facebook, Inc.   2,112    545,593 
Twitter, Inc.   3,572    180,493 
         726,086 
LEISURE FACILITIES & SERVICES - (0.2)%          
Marriott International, Inc.   1,223    142,247 
McDonald’s Corporation   1,041    216,361 
         358,608 
MACHINERY - (0.2)%          
IDEX Corporation   2,222    413,714 
           
RETAIL - CONSUMER STAPLES - (0.2)%          
Walmart, Inc.   3,748    526,556 
           
RETAIL - DISCRETIONARY - (0.4)%          
Builders FirstSource, Inc.   19,160    732,870 
TJX Companies, Inc. (The)   3,280    210,051 
         942,921 
SEMICONDUCTORS - (6.9)%          
Advanced Micro Devices, Inc.   89,290    7,646,796 
Analog Devices, Inc.   41,477    6,110,806 
Marvell Technology Group Ltd.   19,100    982,886 
Taiwan Semiconductor Manufacturing Company Ltd.   1,696    206,098 
         14,946,586 
SOFTWARE - (2.3)%          
salesforce.com, Inc.   21,812    4,919,915 
           
TECHNOLOGY HARDWARE - (0.5)%          
Apple, Inc.   1,475    194,641 
Cisco Systems, Inc.   15,690    699,460 
Hewlett Packard Enterprise Company   1,652    20,386 
Lumentum Holdings, Inc.   1,979    185,630 
         1,100,117 
TECHNOLOGY SERVICES - (1.9)%          
Accenture plc   2,122    513,354 
Fiserv, Inc.   237    24,337 
International Business Machines Corporation   2,216    263,948 
PayPal Holdings, Inc.   2,260    529,541 
S&P Global, Inc.   8,610    2,729,370 
         4,060,550 
TELECOMMUNICATIONS - (0.5)%          
AT&T, Inc.   23,915    684,686 
Verizon Communications, Inc.   7,457    408,271 
         1,092,957 
TRANSPORTATION EQUIPMENT - (0.3)%          
Allison Transmission Holdings, Inc.   9,123    371,306 
Cummins, Inc.   748    175,346 
         546,652 
TOTAL SECURITIES SOLD SHORT - (Proceeds - $79,648,964)       $86,702,066 

 

ETF - Exchange Traded Fund

 

plc - Public Limited Company

 

REITs - Real Estate Investment Trusts

 

*Non-Income producing security.

 

**Each Written Option contract allows the option holder to buy/sell 100 shares of the underlying security at the exercise price.

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund (Continued)
January 31, 2021

 

TOTAL RETURN SWAPS 
      Notional Value at      Maturity  Unrealized Appreciation/ 
Reference Entity  Counterparty  January 31, 2021   Interest Rate  Date  (Depreciation) 
LONG TOTAL RETURN SWAPS                   
Airbus SE  JPMorgan  $599,866   1 mo. EURIBOR + 0.400%  8/1/2024  $(65,189)
Flutter plc  JPMorgan   229,854   1 mo. LIBOR + 0.400%  8/1/2024   (22,452)
JP1RTL  JPMorgan   636,860   1 mo. LIBOR + 0.400%  8/1/2024   14,411 
JP1TRL  JPMorgan   654,258   1 mo. LIBOR + 0.400%  8/1/2024   (5,982)
JPGWCYDE #  JPMorgan   3,480,911   1 mo. LIBOR + 0.700%  8/1/2024   119,435 
JPPQGRO +  JPMorgan   541,743   1 mo. LIBOR + 0.700%  8/1/2024   (7,907)
NET UNREALIZED GAIN FROM TOTAL RETURN SWAPS     $32,316 

 

EURIBOR - Euro Inter-bank Offered Rate

 

LIBOR - London Inter-bank Offered Rate

 

#Total return swap with JPMorgan Chase. The swap provides exposure to the total returns on a basket of common stock that is calculated on a daily basis. Under the terms of the swap, the Sub-Adviser has the ability to periodically adjust the notional level of the swap. The swap was effective on August 25, 2020 and is reset on a monthly basis. The swap has a termination date of August 1, 2024, unless earlier terminated. In addition, the Fund will receive the total return on the basket of securities, including dividends and provide a fee to JPMorgan, in the amount of 1month LIBOR plus 70 bps.

 

 +Total return swap with JPMorgan Chase. The swap provides long exposure to the total returns of the JP Morgan iDex U.S. Growth Top Rank Index and short exposure to the total returns of the JP Morgan iDex U.S. Growth Bottom Rank Index. Under the terms of the swap, the Sub-Adviser has the ability to periodically adjust the notional level of the swap. The swap was effective on October 26, 2020 and is reset on a monthly basis. The swap has a termination date of August 1, 2024, unless earlier terminated. In addition, the Fund will receive the total return on the Index, including dividends and provide a fee to JPMorgan, in the amount of 1 month LIBOR plus 70 bps.

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Monthly Distribution Fund (Continued)
January 31, 2021

 

JPGWCYDE Top 50 Holdings ^ 
Reference Entity  Shares   % of Basket Swap   Value 
JPGWCYCL   73,194    51.0%  $5,264,262 
JPGWDEFN   97,222    49.0%   5,061,129 
              10,325,391 

 

^The make up of the underlying index and the total positions will not correlate to the notional value presented for the total return swaps due to timing of contracts opened and closed in the index. The top 50 holdings were determined based on the absolute notional values of the positions within the underlying basket.

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Real Estate Stock Fund
January 31, 2021

 

Security  Shares   Value 
COMMON STOCKS - 48.5%          
ELECTRIC UTILITIES - 2.2%          
Brookfield Renewable Corporation   32,272   $1,805,618 
           
LEISURE FACILITIES & SERVICES - 18.4%          
Caesars Entertainment, Inc. *   103,069    7,255,027 
Drive Shack, Inc. * ^   714,895    1,722,897 
Hilton Grand Vacations, Inc. *   51,016    1,516,196 
Las Vegas Sands Corporation   20,760    998,348 
Marriott Vacations Worldwide Corporation   18,685    2,293,771 
MGM Resorts International   55,614    1,588,336 
         15,374,575 
SPECIALTY FINANCE - 6.4%          
Fortress Transportation and Infrastructure Investors, LLC   243,963    5,391,582 
           
TECHNOLOGY SERVICES - 4.3%          
CoStar Group, Inc. *   3,964    3,566,450 
           
TELECOMMUNICATIONS - 17.2%          
21Vianet Group, Inc. - ADR *   77,645    2,929,546 
Chindata Group Holdings Ltd. - ADR *   123,895    2,056,657 
GDS Holdings Ltd. - ADR * ^   34,103    3,531,707 
Switch, Inc.   339,197    5,840,972 
         14,358,882 
TOTAL COMMON STOCKS (Cost - $32,724,927)        40,497,107 
           
REITS - 51.4%          
DATA CENTER - 7.6%          
CyrusOne, Inc. ^   18,715    1,365,259 
Equinix, Inc.   555    4,110,478 
QTS Realty Trust, Inc. ^   13,970    909,447 
         6,385,184 
INDUSTRIAL - 9.4%          
Innovative Industrial Properties, Inc. ^   19,646    3,676,160 
Prologis, Inc.   13,860    1,430,352 
Rexford Industrial Realty, Inc.   29,113    1,424,790 
Terreno Realty Corporation   23,396    1,323,746 
         7,855,048 
INFRASTRUCTURE - 18.8%          
American Tower Corporation   31,643    7,194,353 
Crown Castle International Corporation ^   32,259    5,137,568 
SBA Communications Corporation   12,413    3,335,001 
         15,666,922 
MULTI ASSET CLASS - 2.7%          
Colony Capital, Inc. ^   446,722    2,215,741 
           
OFFICE - 5.7%          
Alexandria Real Estate Equities, Inc. ^   28,531    4,767,815 
           
RESIDENTIAL - 7.2%          
Equity LifeStyle Properties, Inc.   28,892    1,757,789 
Invitation Homes, Inc.   85,878    2,531,683 
Sun Communities, Inc.   12,207    1,747,188 
         6,036,660 
TOTAL REITS (Cost - $34,631,906)        42,927,370 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Real Estate Stock Fund (Continued)
January 31, 2021

 

       Interest    
Security  Shares   Rate %  Value 
COLLATERAL FOR SECURITIES LOANED - 23.1%             
Mount Vernon Prime Portfolio #   19,341,600   0.150 +  $19,341,600 
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $19,341,600)             
              
TOTAL INVESTMENTS - 123.0% (Cost - $86,698,433)          $102,766,077 
LIABILITIES IN EXCESS OF OTHER ASSETS - (23.0)%           (19,189,742)
TOTAL NET ASSETS - 100.00%          $83,576,335 

 

ADR - American Depositary Receipt.

 

LLC - Limited Liability Company

 

REITs - Real Estate Investment Trusts

 

*Non-Income producing security.

 

 +Variable rate security. Interest rate is as of January 31, 2021.

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $18,369,277 at January 31, 2021.

 

#The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Funds
January 31, 2021

 

The following is a summary of significant accounting policies followed by the Funds in preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies” including FASB Accounting Standard Update ASU 2013-08.

 

Security Valuation – In determining each Fund’s Net Asset Value (“NAV”) per share, equity securities for which market quotations are readily available are valued at current market value using the last reported sales price. NASDAQ traded securities are valued using the NASDAQ official closing price (“NOCP”). If no sale price is reported, the mean between the current bid and ask. If market quotations are not readily available, then securities are valued at fair value as determined by the Board of Trustees (the “Board”) (or its delegate). U.S. Government and agency securities are valued at the mean between the most recent bid and asked prices. Short-term debt instruments with a remaining maturity of more than 60 days, intermediate and long-term bonds, convertible bonds, and other debt securities are generally valued on the basis of dealer supplied quotations or by a pricing system selected by Dunham & Associates Investment Counsel, Inc. (“Dunham & Associates” or the “Adviser”) and approved by the Board. Where such prices are not available, valuations will be obtained from brokers who are market makers for such securities. However, in circumstances where the Adviser deems it appropriate to do so, the mean of the bid and asked prices for over-the-counter securities or the last available sale price for exchange-traded debt securities may be used. Where no last sale price for exchange traded debt securities is available, the mean of the bid and asked prices may be used. Short-term debt securities with a remaining maturity of 60 days or less are valued at amortized cost, provided such valuations represent fair value.

 

Options are valued at the last reported sale price at the close of the exchange on which the security is primarily traded. If no sales are reported for the exchange-traded options, or the options are not exchange-traded, then they are valued at the mean of their most recent quoted bid and asked price.

 

Futures and future options are valued at the final settled price or, in the absence of a settled price, at the last sale price on the day of valuation, or in the absences of a last sale at the mean between the bid and ask price. Forward foreign currency exchange contracts (“forward contracts”) are valued at the forward rate.

 

Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from the swap counterparty issuing the swap. Total return swaps on securities listed on an exchange shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices.

 

Trading in securities on Far Eastern securities exchanges and over-the-counter markets is normally completed well before the close of business on each business day in New York (i.e., a day on which the NYSE is open). In addition, Far Eastern securities trading generally, or in a particular country or countries, may not take place on all business days in New York. Furthermore, trading takes place in Japanese markets on certain Saturdays and in various foreign markets on days, which are not business days in New York, and on which a Fund’s net asset value is not calculated. Each Fund calculates net asset value per share, and therefore effects sales, redemptions and repurchases of its shares, as of the close of regular trading on the NYSE once on each day on which the NYSE is open. Such calculation may not take place contemporaneously with the determination of the prices of the majority of the portfolio securities used in such calculation. If events that may materially affect the value of such securities occur between the time when their price is determined and the time when the Fund’s net asset value is calculated, such securities may be valued at fair value as determined in good faith in accordance with procedures approved by the Board.

 

Securities in which the Funds invest may be traded in markets that close before 4:00 p.m. Eastern Time (“ET”). Normally, developments that occur between the close of the foreign markets and 4:00 p.m. ET will not be reflected in the Fund’s NAV. However, Funds may determine that such developments are so significant that they will materially affect the value of the Fund’s securities, and the Fund may adjust the previous closing prices to reflect what the Board believes to be the fair value of these securities as of 4:00 p.m. ET. Equity securities issued by foreign companies are fair valued on a daily basis using prices received from an independent pricing service.

 

Securities for which current market quotations are not readily available, or for which quotations are not deemed to be representative of market values, are valued at fair value as determined in good faith by or under the direction of the Board in accordance with the Trust’s Portfolio Securities Valuation Procedures (the “Procedures”). The Procedures consider, among others, the following factors to determine a security’s fair value: the nature and pricing history (if any) of the security; whether any dealer quotations for the security are available; and possible valuation methodologies that could be used to determine the fair value of the security.

 

Valuation of Fund of Funds – The Funds may invest in portfolios of open-end investment companies. Open-end funds are valued at their respective net asset values as reported by such investment companies. Open-end funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based on the methods established by the board of directors of the open-end funds.

 

The Fund utilizes various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities.

 

Level 2 – Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Funds (Continued)
January 31, 2021

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of January 31, 2021 for the Fund’s assets and liabilities measured at fair value:

 

Corporate/Government Bond

 

Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $688,537.00   $   $   $688,537 
Asset Backed Securities *       25,138,322        25,138,322 
Corporate Bonds       30,907,152        30,907,152 
Municipal       2,867,392        2,867,392 
Non U.S. Government & Agency       1,885,331        1,885,331 
Term Loans       5,247,168        5,247,168 
U.S. Government & Agency       18,998,792        18,998,792 
Collateral for Securities Loaned   15,023,572            15,023,572 
Total Investments  $15,712,109   $85,044,157   $   $100,756,266 

 

Floating Rate Bond

 

Assets  Level 1   Level 2   Level 3   Total 
Term Loans *  $   $167,797,038   $   $167,797,038 
Corporate Bonds *       6,854,255        6,854,255 
Common Stock *   303,735    377        304,112 
Exchange Traded Funds   2,161,526            2,161,526 
Rights       12,335        12,335 
Warrants       190,386        190,386 
Short-Term Investment   5,848,168            5,848,168 
Collateral for Securities Loaned   1,659,028            1,659,028 
Total Investments  $9,972,457   $174,854,391   $   $184,826,848 

 

High-Yield Bond

 

Assets  Level 1   Level 2   Level 3   Total 
Convertible Bonds *  $   $290,000   $   $290,000 
Corporate Bonds *       104,576,252        104,576,252 
Short-Term Investment   3,568,764            3,568,764 
Collateral for Securities Loaned   2,198,661            2,198,661 
Total Investments  $5,767,425   $104,866,252   $   $110,633,677 

 

International Opportunity Bond

 

Assets  Level 1   Level 2   Level 3   Total 
Asset Backed Securities *  $   $113,416   $   $113,416 
Corporate Bonds       38,962,486        38,962,486 
Non U.S. Government & Agencies       20,197,052        20,197,052 
Collateral for Securities Loaned   3,351,555            3,351,555 
Total Assets  $3,351,555   $59,272,954   $   $62,624,509 
Assets-Derivatives                    
Futures  $11,818   $   $   $11,818 
Forward Currency Contracts       120,111        120,111 
Swap Contracts       48,521        48,521 
Total Asset Derivatives  $11,818   $168,632   $   $180,450 
Liabilities-Derivatives                    
Futures  $52,362   $   $   $52,362 
Forward Currency Contracts       129,860        129,860 
Total Liability Derivatives  $52,362   $129,860   $   $182,222 

 

Large Cap Value

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stock *  $108,920,739   $   $   $108,920,739 
REITs   5,034,127            5,034,127 
Collateral for Securities Loaned   5,465,288            5,465,288 
Total Investments  $119,420,154   $   $   $119,420,154 

 

Small Cap Value

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stock *  $54,952,267   $   $   $54,952,267 
REITs   6,725,975            6,725,975 
Collateral for Securities Loaned   8,248,151            8,248,151 
Total Investments  $69,926,393   $   $   $69,926,393 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Funds (Continued)
January 31, 2021

 

Focused Large Cap Growth

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stock *  $163,411,180   $   $   $163,411,180 
Collateral for Securities Loaned   21,588,637            21,588,637 
Total Investments  $184,999,817   $   $   $184,999,817 

 

Small Cap Growth

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stock *  $70,307,277   $   $   $70,307,277 
Collateral for Securities Loaned   1,012,882            1,012,882 
Total Investments  $71,320,159   $   $   $71,320,159 

 

Emerging Markets Stock

 

Assets  Level 1   Level 2   Level 3   Total 
Closed End Fund *  $1,071,376   $   $   $1,071,376 
Common Stock   16,463,342    92,169,567        108,632,909 
Warrant   6,872            6,872 
Collateral for Securities Loaned   5,279,545            5,279,545 
Total Investments  $22,821,135   $92,169,567   $   $114,990,702 

 

International Stock

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stock *  $31,567,511   $114,436,278   $   $146,003,789 
Exchange Traded Fund   1,591,736            1,591,736 
Right   4,638            4,638 
Warrant   12,412            12,412 
Collateral for Securities Loaned   12,434,046            12,434,046 
Total Investments  $45,610,343   $114,436,278   $   $160,046,621 

 

Dynamic Macro

 

Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $9,513,631   $   $   $9,513,631 
U.S. Government & Agencies       9,086,431        9,086,431 
Short-Term Investments   2,151,307            2,151,307 
Collateral for Securities Loaned   7,371,086            7,371,086 
Total Assets  $19,036,024   $9,086,431   $   $28,122,455 
Assets-Derivatives                    
Futures   68,987            68,987 
Purchased Future Options   1,336,493            1,336,493 
Total Asset Derivatives  $1,405,480   $   $   $1,405,480 
Liability-Derivatives                    
Futures  $136,367           $136,367 
Written Future Options   20,100            20,100 
Total Liability Derivatives  $156,467   $   $   $156,467 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Funds (Continued)
January 31, 2021

 

Long/Short Credit

 

Assets  Level 1   Level 2   Level 3   Total 
Term Loans *  $   $2,773,377   $   $2,773,377 
Corporate Bonds *       60,168,352        60,168,352 
Common Stock *   2,113,217    2,060,000    21,700    4,194,917 
U.S. Government & Agencies       75,455,525        75,455,525 
Short-Term Investment   11,656,519            11,656,519 
Collateral for Securities Loaned   36,486,735            36,486,735 
Total Assets  $50,256,471   $140,457,254   $21,700   $190,735,425 
Assets - Derivatives                    
Futures Contracts  $601,615   $   $   $601,615 
Swap Contracts       105,528        105,528 
Total Asset Derivatives  $601,615   $105,528   $   $707,143 
Liabilities - Derivatives                    
Futures Contracts  $973   $   $   $973 
Swap Contracts       673,070        673,070 
Total Liability Derivatives  $973   $673,070   $   $674,043 

 

Monthly Distribution

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stock *  $126,043,013   $452,965   $   $126,495,978 
Closed End Funds       2,791,901        2,791,901 
Exchange Traded Funds   7,023,103            7,023,103 
Rights       44,458        44,458 
Warrants       34,323        34,323 
Purchased Call Options   396,451            396,451 
Purchased Put Options   582,820            582,820 
Short-Term Investments   49,790,284            49,790,284 
Collateral for Securities Loaned   881,286            881,286 
Total Investments  $184,716,957   $3,323,647   $   $188,040,604 
Asset - Derivatives                    
Swap Contracts  $   $133,846   $   $133,846 
Total Asset - Derivatives  $   $133,846   $   $133,846 
Liability - Derivatives                    
Written Call Options  $536,518   $   $   $536,518 
Written Put Options   194,514            194,514 
Swap Contracts       101,530        101,530 
Total Derivatives  $731,032   $101,530   $   $832,562 
Liabilities                    
Securities Sold Short  $86,702,066   $   $   $86,702,066 
Total Investments  $86,702,066   $   $   $86,702,066 

 

Real Estate Stock

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stock  $40,497,107   $   $   $40,497,107 
REITs *   42,927,370            42,927,370 
Collateral for Securities Loaned   19,341,600            19,341,600 
Total Investments  $102,766,077   $   $   $102,766,077 

 

*See each Fund’s Schedule of Investments for industry classification.

 

The following is a reconciliation for the Dunham Long/Short Credit Fund for which Level 3 inputs were used in determining value:

 

   Common Stock 
Beginning Balance October 31, 2020  $21,700 
Total Realized Gain/Loss    
Change in Unrealized Appreciation/(Depreciation)    
Conversion    
Net Purchases    
Net Sales    
Net Transfers in/(out) of Level 3    
Ending Balance January 31, 2021  $21,700 

 

Quantitative disclosures of unobservable inputs and assumptions used by Dunham Long/Short Credit Fund are below:

 

Investments in Securities:      
Common Stock      
NII Holdings, Inc.  $21,700  Independent Valuation Discount for lack of marketability.
Total Fair Value Securities  $21,700   

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Funds (Continued)
January 31, 2021

 

Aggregate Unrealized Appreciation and Depreciation (Tax Basis) – The identified cost of investments in securities owned by each Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation, excluding futures, at January 31, 2021, were as follows:

 

       Gross   Gross   Net Unrealized 
   Tax   Unrealized   Unrealized   Appreciation/ 
   Cost   Appreciation   Depreciation   (Depreciation) 
Corporate/Government Bond  $98,684,744   $2,614,653   $(543,131)  $2,071,522 
Floating Rate Bond   186,162,846    2,072,015    (3,408,013)   (1,335,998)
High-Yield Bond   107,023,105    5,313,376    (1,702,804)   3,610,572 
International Opportunity Bond   60,077,005    3,679,519    (1,133,787)   2,545,732 
Large Cap Value   92,651,102    28,578,036    (1,808,984)   26,769,052 
Small Cap Value   58,581,956    12,731,131    (1,386,694)   11,344,437 
Focused Large Cap Growth   90,748,494    95,325,595    (1,074,272)   94,251,323 
Small Cap Growth   47,856,761    25,666,290    (2,202,892)   23,463,398 
Emerging Markets Stock   82,902,510    35,343,246    (3,255,054)   32,088,192 
International Stock   129,872,387    33,375,609    (3,201,375)   30,174,234 
Dynamic Macro   27,443,455    2,568,222    (640,209)   1,928,013 
Long/Short Credit   188,372,197    3,119,392    (756,164)   2,363,228 
Monthly Distribution   111,319,535    7,650,879    (18,362,908)   (10,712,029)
Real Estate Stock   86,527,756    17,887,941    (1,649,620)   16,238,321 

 

Foreign Currency Translations – The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency, and income receipts and expense payments, are translated into U.S. dollars using the prevailing exchange rate at the London market close. Purchases and sales of securities are translated into U.S. dollars at the contractual currency rates established at the approximate time of the trade.

 

Forward Currency Contracts – As foreign securities are purchased, a Fund generally enters into forward currency exchange contracts in order to hedge against foreign currency exchange rate risks. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. A Fund may also enter into forward currency contracts as an investment strategy consistent with that Fund’s investment objective.

 

Options – Monthly Distribution and Dynamic Macro are subject to stock market risk in the normal course of pursuing their investment objectives and may purchase or sell options to help hedge against this risk.

 

A Fund may write call options only if it (i) owns an offsetting position in the underlying security or (ii) has an absolute or immediate right to acquire that security without additional cash consideration or exchange of other securities held in its portfolio. When a Fund writes an option, there is no taxable event and an amount equal to the premium received is recorded by the Fund as an asset and an equivalent liability. The liability is thereafter valued to reflect the current value of the option. If the option is not exercised and expires, or if the Fund effects a closing purchase transaction, the Fund realizes a gain (or loss in the case of a closing purchase transaction where the cost to close the transaction exceeds the original premium received), and the liability related to the option is extinguished. Any such gain or loss generally is a short-term capital gain or loss for federal income tax purposes. If a call option that a Fund has written on any equity security is exercised, the Fund realizes a capital gain or loss (long-term or short-term, depending on the holding period of the underlying security) from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. If a put option that the Fund has written on an equity security is exercised, the amount of the premium originally received reduces the cost of the security that the Fund purchases upon exercise of the option. When a Fund writes a put option, the Fund must deposit cash or liquid securities into a segregated account equal to the put option’s exercise value (number of shares times strike price).

 

A Fund may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in the Fund’s portfolio. If such a decline occurs, the put options will permit the Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by the Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to the Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to the Fund, the benefits realized by the Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities.

 

Futures Contracts – Dynamic Macro, International Opportunity Bond and Long/Short Credit are subject to interest rate risk and forward currency exchange rate risk in the normal course of pursuing its investment objective. International Opportunity Bond may purchase or sell futures contracts to gain exposure to, or hedge against, changes in the value of equities and interest rates. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Fund’s agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. The Fund segregates cash having a value at least equal to the amount of the current obligation under any open futures contract. With futures, there is minimal counterparty credit risk since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

 

Short Sales – A “short sale” is a transaction in which the Fund sells a security it does not own but has borrowed in anticipation that the market price of that security will decline. The Fund is obligated to replace the security borrowed by purchasing it on the open market at a later date. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will incur a loss. Conversely, if the price declines, the Fund will realize a gain.

 

 

SCHEDULE OF INVESTMENTS (Unaudited)
Dunham Funds (Continued)
January 31, 2021

 

Swap Agreements – Each of the Funds may enter into interest rate, index, total return, and currency exchange rate swap agreements in attempts to obtain a particular desired return at a lower cost to the Fund than if the Fund has invested directly in an instrument that yielded that desired return. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than one year. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount,” i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index. The “notional amount” of the swap agreement is only a fictive basis on which to calculate the obligations the parties to a swap agreement have agreed to exchange. A Fund’s obligations (or rights) under a swap agreement will generally be equal only to the amount to be paid or received under the agreement based on the relative values of the positions held by each party to the agreement (the “net amount”). A Fund’s obligations under a swap agreement will be accrued daily (offset against any amounts owing to the Fund) and any accrued but unpaid net amounts owed to a swap counterparty will be covered by the maintenance of a segregated account consisting of cash, U.S. government securities, or other liquid securities, to avoid leveraging of the Fund’s portfolio. A Fund will not enter into a swap agreement with any single party if the net amount owed or to be received under existing contracts with that party would exceed 5% of the Fund’s assets.

 

The following is a summary of the unrealized gain/(loss) of the derivative instruments utilized by the Funds as of January 31, 2021 categorized by risk exposure:

 

Fund  Derivative  Risk type  Unrealized
International Opportunity Bond  Futures  Interest Rate  (40,544)
   Forward Currency Contracts  Currency  (9,749)
   Swap  Interest Rate  48,521
Dynamic Macro  Purchased Option  Equity  (222)
   Purchased Option  Interest Rate  (41,828)
   Futures  Equity  (41,465)
   Futures  Interest Rate  (25,915)
   Written Options  Equity  (2,782)
Long/Short Credit  Futures  Interest Rate  600,642
   Swap  Equity  4,575
   Swap  Interest Rate  (471,164)
Monthly Distribution  Purchased Option  Equity  70,488
   Written Options  Equity  (37,435)
   Swaps  Equity  32,316

 

The notional value of the derivative instruments outstanding as of January 31, 2021 as disclosed in the Schedule of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above serve as indicators of the volume of derivative activity.

 

Securities Lending - The Funds have entered into a Securities Lending Agreement (“Agreement”) with the Bank. Each participating fund can lend their securities to brokers, dealers and other financial institutions approved by the Board to earn additional income. Loans are collateralized at a value at least equal to 105% of the then current Market Value of any loaned security that are foreign, or 102% of the then current market value of any other loaned security. All interest and dividend payments received on securities which are held as collateral, provided that there is no material default, will be paid to the respective Fund. A portion of the income generated by the investment in the collateral, net of any rebates paid by the Bank to the borrowers is remitted to the Bank as lending agent and the remainder is paid to the Fund(s).

 

Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its securities and possible loss of income or value if the Borrower fails to return them. Should the borrower of the securities fail financially, each Fund has the right to repurchase the securities using the collateral in the open market.