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 Mikes 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 Trusts 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 Landrys 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 | ||||||||||
Shearers 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. Georges 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 Trusts 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% | ||||||||||||||
Brinks Company (The) - 144A | 281,000 | 5.500 | 7/15/2025 | 299,089 | ||||||||||
Brinks 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 | ||||||||||
Sothebys - 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 | ||||||||||
Pilgrims 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 & Busters, 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 | ||||||||||||
Conns, 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 Trusts 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 Trusts 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 Funds 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 | Lowes 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 Trusts 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 | Pilgrims 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 | Dicks 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 Trusts 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 Trusts 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 Johns 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% | ||||||||
Ollies 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 Trusts 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 $4,875,103 at January 31, 2021. |
(c) | Percentage rounds to less than 0.1%. |
(d) | Rate disclosed is the seven day effective yield as of January 31, 2021. |
(e) | The Trusts securities lending policies and procedures require that the borrower: deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%. |
DUNHAM INTERNATIONAL STOCK FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
January 31, 2021 |
Shares | Value ($) | |||||||
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 Trusts 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 & Poors 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 Trusts 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 Trusts 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 | ||||||
Queens 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 Johns 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 | ||||||
Lowes 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 Trusts 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 | ||||||
McDonalds 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 Trusts 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 Funds 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 Funds 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 Funds 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 Funds NAV. However, Funds may determine that such developments are so significant that they will materially affect the value of the Funds 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 Trusts Portfolio Securities Valuation Procedures (the Procedures). The Procedures consider, among others, the following factors to determine a securitys 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 Funds 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 Funds 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 Funds 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 Funds 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 options 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 Funds 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 Funds 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 days 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 Funds 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 exchanges 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 Funds 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 Funds 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 Funds 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 Funds 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.