Schedule of Portfolio Investments | Limited Duration Fund |
May 31, 2021 (Unaudited) |
Shares
or Principal Amount |
Security Description | Value | |
|||||
Asset Backed Securities (24.5%) | ||||||||
$ | 2,434,071 | AccessLex Institute, Series 2007-A, Class A3, 0.45% (US0003M + 30 bps), 5/25/36, Callable 5/25/23 @ 100* | $ | 2,400,914 | ||||
897,358 | Asset Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE1, Class A4, 0.71% (US0001M + 30 bps), 1/25/36, Callable 6/25/21 @ 100* | 894,881 | ||||||
922,497 | Bayview Financial Mortgage Pass-Through Trust, Series 2005-C, Class M3, 1.09% (US0001M + 65 bps), 6/28/44, Callable 6/28/21 @ 100* | 924,414 | ||||||
302,309 | Cazenovia Creek Funding II LLC, Series 2018-1A, Class A, 3.56%, 7/15/30(a) | 303,748 | ||||||
1,048,169 | CDC Mortgage Capital Trust, Series 2002-HE1, Class A, 0.71% (US0001M + 62 bps), 1/25/33, Callable 6/25/21 @ 100* | 1,041,836 | ||||||
1,250,449 | CIT Mortgage Loan Trust, Series 2007-1, Class 1A, 1.44% (US0001M + 135 bps), 10/25/37, Callable 9/25/24 @ 100*(b) | 1,256,555 | ||||||
245 | Citigroup Mortgage Loan Trust, Inc., Series 2005- WF1, Class A5, 5.01%, 11/25/34, Callable 6/25/21 @ 100*(c) | 246 | ||||||
228 | Countrywide Asset-Backed Certificates, Series 2002-S1, Class A5, 6.46%, 5/25/32, Callable 6/25/21 @ 100*(c)(d) | 227 | ||||||
1,338,370 | Countrywide Asset-Backed Certificates, Series 2005-12, Class M2, 0.83% (US0001M + 49 bps), 2/25/36, Callable 6/25/21 @ 100* | 1,336,862 | ||||||
966 | Countrywide Home Equity Loan Trust, Series 2004-C, Class C, 0.32% (US0001M + 22 bps), 1/15/34, Callable 6/15/21 @ 100* | 962 | ||||||
1,019,745 | DB Master Finance LLC, Series 2017-1A, Class A2I, 3.63%, 11/20/47, Callable 11/20/21 @ 100*(b) | 1,034,837 | ||||||
1,368,313 | Driven Brands Funding LLC, Series 2019-2A, Class A2, 3.98%, 10/20/49, Callable 10/20/24 @ 100*(b) | 1,452,546 | ||||||
457,984 | Fremont Home Loan Trust, Series 2004-3, Class 10A1, 1.98% (US0001M + 188 bps), 11/25/34, Callable 6/25/21 @ 100* | 409,653 | ||||||
1,911,041 | Goodgreen 2020-1 Trust, Series 2021-1A, Class A, 2.63%, 4/15/55, Callable 10/15/32 @ 100*(b) | 1,971,855 | ||||||
557,350 | Home Equity Asset Trust, Series 2005-7, Class M1, 0.77% (US0001M + 45 bps), 1/25/36, Callable 6/25/21 @ 100* | 556,868 | ||||||
1,798,068 | Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-C, Class 2A3, 0.95% (US0001M + 86 bps), 3/25/35, Callable 6/25/21 @ 100* | 1,795,778 | ||||||
83 | IMC Home Equity Loan Trust, Series 1998-1, Class A6, 7.02%, 6/20/29(c)(d) | 84 | ||||||
242,503 | New Century Home Equity Loan Trust, Series 2005-A, Class A4W, 4.70%, 8/25/35, Callable 9/25/21 @ 100*(c)(d) | 244,637 | ||||||
1,734,291 | NovaStar Mortgage Funding Trust, Series 2003-2, Class M2, 2.87% (US0001M + 278 bps), 9/25/33, Callable 6/25/21 @ 100* | 1,775,551 | ||||||
114,649 | Residential Asset Mortgage Products, Inc., Series 2002-RS2, Class AI5, 6.03%, 3/25/32, Callable 6/25/21 @ 100* | 118,439 |
Shares
or Principal Amount |
Security Description | Value | ||||||
Asset Backed Securities, continued | ||||||||
$ | 3,272 | Saxon Asset Securities Trust, Series 2003-3, Class AF6, 4.48%, 12/25/33, Callable 6/25/21 @ 100*(c)(d) | $ | 3,329 | ||||
74,247 | Soundview Home Equity Loan Trust, Series 2005-B, Class M2, 6.23%, 5/25/35, Callable 6/25/21 @ 100*(c)(d) | 72,651 | ||||||
1,261,002 | Structured Asset Investment Loan Trust, Series 2003-BC2, Class A1, 0.79% (US0001M + 68 bps), 4/25/33, Callable 6/25/21 @ 100* | 1,257,858 | ||||||
408,684 | Structured Asset Securities Corp Mortgage Pass-Through Certificates, Series 2004-6XS, Class A5A, 6.03%, 3/25/34, Callable 6/25/21 @ 100*(c)(d) | 413,251 | ||||||
826,717 | Sun Trust Student Loan Trust, Series 2006-1A, Class B, 0.45% (US0003M + 27 bps), 10/28/37, Callable 4/28/26 @ 100*(a) | 759,541 | ||||||
655,000 | ZAXBY'S Funding LLC, Series 2021-1A, Class A2, 3.24%, 7/30/51, Callable 7/30/25 @ 100*(b) | 655,000 | ||||||
Total Asset Backed Securities (Cost $20,646,760) | 20,682,523 | |||||||
Mortgage Backed Securities† (41.9%) | ||||||||
Alt-A - Adjustable Rate Mortgage Backed Securities (1.0%) | ||||||||
94,787 | Bear Stearns Alternative Trust, Series 2006-1, Class 21A2, 2.96%, 2/25/36, Callable 6/25/21 @ 100*(c) | 79,813 | ||||||
10,036 | Bear Stearns Alternative Trust, Series 2005-5, Class 26A1, 3.91%, 7/25/35, Callable 6/25/21 @ 100*(c) | 8,131 | ||||||
14,556 | Countrywide Alternative Loan Trust, Series 2005-24, Class 1A1, 1.44% (12MTA + 131 bps), 7/20/35, Callable 6/19/21 @ 100* | 12,643 | ||||||
1,314 | Deutsche Mortgage Securities, Inc., Series 2006-ABR, Class A1B1, 0.19% (US0001M + 10 bps), 10/25/36, Callable 6/25/21 @ 100* | 1,022 | ||||||
4,280 | Deutsche Mortgage Securities, Inc., Series 2003-4XS, Class A6A, 5.32% (US0003M + 119 bps), 10/25/33, Callable 6/25/21 @ 100*(d) | 4,293 | ||||||
4,468 | Deutsche Mortgage Securities, Inc., Series 2006-AB4, Class A1A, 6.00%, 10/25/36, Callable 6/25/21 @ 100*(c) | 4,408 | ||||||
4,921 | First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1, 2.33%, 9/25/34, Callable 6/25/21 @ 100*(c) | 4,887 | ||||||
20,749 | Master Adjustable Rate Mortgage Trust, Series 2004-13, Class 2A1, 2.70%, 4/21/34, Callable 6/21/21 @ 100*(c) | 20,797 | ||||||
592,136 | Nomura Asset Acceptance Corp., Series 2005-AR4, Class 3A1, 3.13%, 8/25/35, Callable 6/25/21 @ 100*(c) | 626,189 | ||||||
32,444 | Residential Accredit Loans, Inc., Series 2004-QA4, Class NB21, 3.22%, 9/25/34, Callable 6/25/21 @ 100*(c) | 33,499 | ||||||
17,987 | Residential Accredit Loans, Inc., Series 2006-QA1, Class A21, 4.30%, 1/25/36, Callable 6/25/21 @ 100*(c) | 16,343 | ||||||
812,025 | ||||||||
Alt-A - Fixed Rate Mortgage Backed Securities (0.8%) | ||||||||
14,624 | Chaseflex Trust, Series 2005-1, Class 2A4, 5.50%, 2/25/35, Callable 6/25/21 @ 100* | 12,813 |
See notes to the schedule of portfolio investments.
- 1 -
Schedule of Portfolio Investments | Limited Duration Fund |
May 31, 2021 (Unaudited) | Continued |
Shares
or Principal Amount |
Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Alt-A - Fixed Rate Mortgage Backed Securities, continued: | ||||||||
$ | 19,414 | Citigroup Mortgage Alternative Loan Trust, Series 2006-A3, Class 1A5, 6.00%, 7/25/36, Callable 6/25/21 @ 100* | $ | 19,320 | ||||
376 | Countrywide Alternative Loan Trust, Series 2004-12CB, Class 1A1, 5.00%, 7/25/19, Callable 6/25/21 @ 100* | 377 | ||||||
13,719 | Countrywide Alternative Loan Trust, Series 2005-J13, Class 2A3, 5.50%, 11/25/35, Callable 6/25/21 @ 100* | 12,132 | ||||||
18,558 | Countrywide Alternative Loan Trust, Series 2006-2CB, Class A3, 5.50%, 3/25/36, Callable 6/25/21 @ 100* | 11,872 | ||||||
19,182 | Countrywide Alternative Loan Trust, Series 2006-31CB, Class A16, 6.00%, 11/25/36, Callable 10/25/21 @ 100 | 15,337 | ||||||
18,686 | Countrywide Alternative Loan Trust, Series 2006-43CB, Class 1A4, 6.00%, 2/25/37, Callable 7/25/21 @ 100* | 14,445 | ||||||
134,226 | Countrywide Alternative Loan Trust, Series 2006-J8, Class A2, 6.00%, 2/25/37, Callable 2/25/23 @ 100* | 86,372 | ||||||
66,440 | Countrywide Alternative Loan Trust, Series 2004-J8, Class 2A1, 7.00%, 8/25/34, Callable 6/25/21 @ 100* | 64,252 | ||||||
42,693 | First Horizon Alternative Mortgage Securities, Series 2006-FA3, Class A6, 6.00%, 7/25/36, Callable 6/25/21 @ 100* | 29,026 | ||||||
138 | Master Alternative Loans Trust, Series 2004-3, Class 1A1, 5.00%, 3/25/19, Callable 6/25/21 @ 100* | 145 | ||||||
736 | Master Alternative Loans Trust, Series 2005-1, Class 5A1, 5.50%, 1/25/20, Callable 7/25/25 @ 100* | 713 | ||||||
3,757 | Master Alternative Loans Trust, Series 2004-3, Class 3A1, 6.00%, 4/25/34, Callable 6/25/21 @ 100* | 3,805 | ||||||
300,805 | Master Alternative Loans Trust, Series 2004-3, Class 5A1, 6.50%, 3/25/34, Callable 6/25/21 @ 100* | 304,219 | ||||||
21,565 | Master Alternative Loans Trust, Series 2004-1, Class 3A1, 7.00%, 1/25/34, Callable 6/25/21 @ 100* | 23,237 | ||||||
3,303 | Master Alternative Loans Trust, Series 2004-3, Class 8A1, 7.00%, 4/25/34, Callable 6/25/21 @ 100* | 3,370 | ||||||
1,522 | Residential Accredit Loans, Inc., Series 2003- QS14, Class A1, 5.00%, 7/25/18, Callable 6/25/21 @ 100* | 1,370 | ||||||
101 | Residential Accredit Loans, Inc., Series 2004-QS13, Class CB, 5.00%, 9/25/19, Callable 6/25/21 @ 100* | 102 | ||||||
5,582 | Residential Accredit Loans, Inc., Series 2004-QS6, Class A1, 5.00%, 5/25/19, Callable 6/25/21 @ 100* | 5,256 | ||||||
28,807 | Residential Accredit Loans, Inc., Series 2006-QS6, Class 1A2, 6.00%, 6/25/36, Callable 6/25/21 @ 100* | 27,617 | ||||||
42,743 | Residential Asset Securitization Trust, Series 2006-A9CB, Class A5, 6.00%, 9/25/36, Callable 10/25/22 @ 100* | 22,211 |
Shares
or Principal Amount |
Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Alt-A - Fixed Rate Mortgage Backed Securities, continued: | ||||||||
$ | 28,550 | Residential Asset Securitization Trust, Series 2007-A5, Class 2A3, 6.00%, 5/25/37, Callable 9/25/21 @ 100* | $ | 23,524 | ||||
12,950 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-1, Class 2A3, 5.50%, 2/25/35, Callable 6/25/21 @ 100* | 12,559 | ||||||
694,074 | ||||||||
Prime Adjustable Rate Mortgage Backed Securities (4.4%) | ||||||||
7,802 | Adjustable Rate Mortgage Trust, Series 2004-4, Class 1A1, 2.38%, 3/25/35, Callable 6/25/21 @ 100*(c) | 7,820 | ||||||
3,184 | Adjustable Rate Mortgage Trust, Series 2005-1, Class 2A22, 2.80%, 5/25/35(c) | 3,214 | ||||||
336,618 | American Home Mortgage Investment Trust, Series 2006-2, Class 3A2, 6.70%, 6/25/36, Callable 6/25/21 @ 100*(c)(d) | 88,157 | ||||||
582,894 | Banc of America Funding Trust, Series 2015-R4, Class 8A1, 0.28% (US0001M + 17 bps), 1/27/35, Callable 11/25/60 @ 100*(b) | 581,929 | ||||||
4,394 | Bank of America Mortgage Securities, Series 2004-E, Class 1A1, 2.43%, 6/25/34, Callable 6/25/21 @ 100*(c) | 4,436 | ||||||
6,234 | Bank of America Mortgage Securities, Series 2003-H, Class 2A3, 2.78%, 9/25/33, Callable 6/25/21 @ 100*(c) | 6,255 | ||||||
8,255 | Bank of America Mortgage Securities, Series 2006-A, Class 2A1, 2.79%, 2/25/36, Callable 6/25/21 @ 100*(c) | 8,191 | ||||||
4,113 | Bank of America Mortgage Securities, Series 2006-B, Class 2A1, 3.15%, 11/20/46, Callable 6/20/21 @ 100*(c) | 3,947 | ||||||
5,325 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-9, Class A1, 2.41% (H15T1Y + 230 bps), 10/25/35, Callable 6/25/21 @ 100* | 5,427 | ||||||
5,339 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-6, Class 1A1, 2.60%, 9/25/34, Callable 6/25/21 @ 100*(c) | 5,150 | ||||||
4,368 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 15A1, 2.64%, 1/25/35, Callable 6/25/21 @ 100*(c) | 4,295 | ||||||
14,644 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4, Class 1A1, 3.05%, 10/25/36, Callable 6/25/21 @ 100*(c) | 14,384 | ||||||
13,509 | Bear Stearns Mortgage Securities, Inc., Series 1997-6, Class 1A, 6.30%, 3/25/31, Callable 6/25/21 @ 100*(c) | 13,515 | ||||||
12,313 | Chase Mortgage Finance Corp., Series 2007-A2, Class 10A1, 3.34%, 7/25/37, Callable 6/25/21 @ 100*(c) | 11,489 | ||||||
7,933 | Citigroup Mortgage Loan Trust, Inc., Series 2005- 3, Class 2A2A, 3.06%, 8/25/35(c) | 8,221 | ||||||
57,029 | Coast Savings & Loan Association, Series 1992- 1, Class A, 2.57%, 7/25/22, Callable 6/25/21 @ 100*(c) | 57,369 | ||||||
3,445 | Countrywide Home Loans, Series 2003-60, Class 2A1, 2.24%, 2/25/34, Callable 6/25/21 @ 100*(c) | 3,323 | ||||||
9,017 | Countrywide Home Loans, Series 2003-58, Class 2A2, 2.83%, 2/19/34, Callable 6/19/21 @ 100*(c) | 9,317 |
See notes to the schedule of portfolio investments.
- 2 -
Schedule of Portfolio Investments | Limited Duration Fund |
May 31, 2021 (Unaudited) | Continued |
Shares
or Principal Amount |
Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Prime Adjustable Rate Mortgage Backed Securities, continued: | ||||||||
$ | 5,814 | Countrywide Home Loans, Series 2004-12, Class 10A1, 3.04%, 8/25/34, Callable 6/25/21 @ 100*(c) | $ | 5,700 | ||||
256 | Countrywide Home Loans, Series 2003-42, Class 1A1, 3.99%, 9/25/33, Callable 6/25/21 @ 100*(c) | 260 | ||||||
31,501 | Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR28, Class CB3, 2.58%, 11/25/32, Callable 6/25/21 @ 100*(c) | 16,526 | ||||||
27,499 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR7, Class 2A1, 3.04%, 11/25/34, Callable 6/25/21 @ 100*(c) | 29,313 | ||||||
8,244 | First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 2A1, 2.94%, 10/25/35, Callable 6/25/21 @ 100*(c) | 8,295 | ||||||
43,593 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR6, Class 3A1, 3.00%, 11/19/35, Callable 6/19/21 @ 100*(c) | 43,223 | ||||||
11,389 | GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1, 2.82%, 11/25/35, Callable 6/25/21 @ 100*(c) | 11,492 | ||||||
28,284 | GSR Mortgage Loan Trust, Series 2005-AR2, Class 1A2, 3.03%, 4/25/35, Callable 6/25/21 @ 100*(c) | 28,459 | ||||||
7,438 | Harborview Mortgage Loan Trust, Series 2005-14, Class 3A1A, 2.66%, 12/19/35, Callable 6/19/21 @ 100*(c) | 7,201 | ||||||
67,874 | Harborview Mortgage Loan Trust, Series 2004-10, Class 3A1B, 3.03%, 1/19/35, Callable 6/19/21 @ 100*(c) | 72,592 | ||||||
12,569 | Indymac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, 2.85%, 8/25/34, Callable 6/25/21 @ 100*(c) | 12,510 | ||||||
25,188 | Indymac Index Mortgage Loan Trust, Series 2004-AR4, Class 3A, 3.03%, 8/25/34, Callable 6/25/21 @ 100*(c) | 25,602 | ||||||
24,955 | Indymac Index Mortgage Loan Trust, Series 2006-AR13, Class A1, 3.08%, 7/25/36, Callable 10/25/21 @ 100*(c) | 20,896 | ||||||
37,428 | Indymac Index Mortgage Loan Trust, Series 2006-AR19, Class 1A2, 3.19%, 8/25/36, Callable 6/25/21 @ 100*(c) | 28,351 | ||||||
669 | JPMorgan Mortgage Trust, Series 2005-A4, Class 3A1, 2.74%, 7/25/35, Callable 6/25/21 @ 100*(c) | 669 | ||||||
1,979 | JPMorgan Mortgage Trust, Series 2006-A5, Class 3A4, 2.92%, 8/25/36, Callable 6/25/21 @ 100*(c) | 1,787 | ||||||
796,909 | LSTAR Securities Investment, Ltd., Series 2021-1, Class A, 1.91% (US0001M + 180 bps), 2/1/26, Callable 2/1/23 @ 100*(b) | 796,736 | ||||||
600,000 | Mello Warehouse Securitization Trust, Series 2021-2, Class C, 1.19% (US0001M + 110 bps), 4/25/55, Callable 4/25/24 @ 100*(b) | 600,867 | ||||||
1,000,000 | Mello Warehouse Securitization Trust, Series 2020-2, Class E, 2.34% (US0001M + 225 bps), 11/25/53, Callable 12/25/23 @ 100*(b) | 1,002,482 | ||||||
9,486 | Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A2, 2.12%, 12/25/34, Callable 6/25/21 @ 100*(c) | 9,703 |
Shares or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Prime Adjustable Rate Mortgage Backed Securities, continued: | ||||||||
$ | 918 | Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A2, 2.31%, 2/25/34, Callable 11/25/21 @ 100*(c) | $ | 943 | ||||
9,015 | Merrill Lynch Mortgage Investors Trust, Series 2004-A2, Class 1A, 2.93%, 7/25/34, Callable 2/25/26 @ 100*(c) | 9,219 | ||||||
7,960 | Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 3A, 2.75%, 8/25/34, Callable 3/25/30 @ 100*(c) | 8,226 | ||||||
12,284 | Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 2A2, 2.96%, 8/25/34, Callable 10/25/24 @ 100*(c) | 12,631 | ||||||
2,846 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 3A1, 2.45%, 2/25/34, Callable 6/25/21 @ 100*(c) | 2,818 | ||||||
23,489 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18, Class 1A2, 2.71%, 12/25/34, Callable 6/25/21 @ 100*(c) | 23,028 | ||||||
7,959 | Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 1A1, 2.60%, 12/27/35, Callable 6/25/21 @ 100*(c) | 8,287 | ||||||
13,448 | Structured Asset Securities Corp., Series 2003-24A, Class 1A3, 2.34%, 7/25/33, Callable 6/25/21 @ 100*(c) | 13,933 | ||||||
6,252 | Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR10, Class A1B, 0.93% (US0001M + 42 bps), 7/25/44, Callable 6/25/21 @ 100* | 6,337 | ||||||
4,350 | Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR3, Class A2, 2.60%, 6/25/34, Callable 6/25/21 @ 100*(c) | 4,470 | ||||||
53,129 | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR14, Class 1A1, 2.62%, 11/25/36, Callable 6/25/21 @ 100*(c) | 52,799 | ||||||
8,945 | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR10, Class 1A2, 3.02%, 9/25/36, Callable 6/25/21 @ 100*(c) | 8,831 | ||||||
1,500 | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR8, Class 1A1, 3.08%, 8/25/46, Callable 6/25/21 @ 100*(c) | 1,491 | ||||||
3,712,116 | ||||||||
Prime Fixed Mortgage Backed Securities (15.8%) | ||||||||
2,155,843 | Angel Oak Mortgage Trust, Series 2019-6, Class A1, 2.62%, 11/25/59, Callable 12/25/21 @ 100*(b)(c) | 2,172,518 | ||||||
2,470,460 | Brean Asset Backed Securities Trust, Series RM1, Class A, 1.40%, 10/25/63, Callable 9/25/27 @ 100*(b)(c) | 2,365,407 | ||||||
362,307 | Citigroup Mortgage Loan Trust, Inc., Series 2014-C, Class A, 3.25%, 2/25/54, Callable 11/25/34 @ 100*(b)(c) | 363,275 | ||||||
15,859 | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class WA2, 6.50%, 6/25/31, Callable 6/25/21 @ 100* | 16,278 | ||||||
84,472 | Citigroup Mortgage Loan Trust, Inc., Series 2004-NCM2, Class 1CB2, 6.75%, 8/25/34, Callable 6/25/21 @ 100* | 89,938 | ||||||
15,357 | Citigroup Mortgage Loan Trust, Inc., Series 2004-NCM2, Class 2CB3, 8.00%, 8/25/34, Callable 6/25/21 @ 100* | 15,906 |
See notes to the schedule of portfolio investments.
- 3 -
Schedule of Portfolio Investments | Limited Duration Fund |
May 31, 2021 (Unaudited) | Continued |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Prime Fixed Mortgage Backed Securities, continued: | ||||||||
$ | 3,619 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-7, Class 5A1, 5.00%, 10/25/19, Callable 6/25/21 @ 100* | $ | 3,603 | ||||
78,573 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-23, Class 1A11, 6.00%, 10/25/33 | 81,505 | ||||||
25,191 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1, 6.50%, 4/25/33, Callable 6/25/21 @ 100* | 26,179 | ||||||
20,175 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-1, Class 1A1, 7.00%, 2/25/33, Callable 6/25/21 @ 100* | 20,778 | ||||||
43,538 | Credit Suisse First Boston Mortgage Securities Corp., Series 2002-10, Class 2B1, 7.50%, 5/25/32, Callable 6/25/21 @ 100* | 18,846 | ||||||
225,995 | Credit Suisse First Boston Mortgage Securities Corp., Series 2002-34, Class 1A1, 7.50%, 12/25/32, Callable 6/25/21 @ 100* | 237,211 | ||||||
16,096 | Galton Funding Mortgage Trust, Series 2018-1, Class A43, 3.50%, 11/25/57, Callable 11/25/22 @ 100*(b)(c) | 16,153 | ||||||
25,707 | GSR Mortgage Loan Trust, Series 2003-3F, Class 2A1, 4.50%, 4/25/33, Callable 6/25/21 @ 100* | 25,591 | ||||||
21,954 | GSR Mortgage Loan Trust, Series 2005-8F, Class 3A4, 6.00%, 11/25/35, Callable 9/25/23 @ 100* | 13,268 | ||||||
1,270,830 | JPMorgan Mortgage Trust, Series 2020-4, Class A3A, 2.50%, 11/25/50, Callable 3/25/23 @ 100*(b)(c) | 1,290,055 | ||||||
789,962 | JPMorgan Mortgage Trust, Series 2017-2, Class A4, 3.00%, 5/25/47, Callable 10/25/22 @ 100*(b)(c) | 803,796 | ||||||
11,339 | Lehman Mortgage Trust, Series 2005-3, Class 1A3, 5.50%, 1/25/36, Callable 6/25/21 @ 100* | 8,578 | ||||||
520,447 | MFRA Trust, Series 2017-RPL1, Class A1, 2.59%, 2/25/57, Callable 11/25/27 @ 100*(b)(c) | 525,676 | ||||||
1,550,000 | NewRez Warehouse Securitization Trust, Series 2021-1, Class D, 1.49% (US0001M + 140 bps), 5/25/55, Callable 5/25/24 @ 100*(b) | 1,552,758 | ||||||
7,360 | Residential Funding Mortgage Securities I, Series 2005-S7, Class A1, 5.50%, 11/25/35, Callable 6/25/21 @ 100* | 7,055 | ||||||
13,659 | Residential Funding Mortgage Securities I, Series 2003-S9, Class A1, 6.50%, 3/25/32, Callable 6/25/21 @ 100* | 14,169 | ||||||
26,063 | Sequoia Mortgage Trust, Series 2018-CH1, Class A10, 4.00%, 2/25/48, Callable 9/25/22 @ 100*(b)(c) | 26,073 | ||||||
19,128 | Sequoia Mortgage Trust, Series 2018-CH2, Class A12, 4.00%, 6/25/48, Callable 11/25/22 @ 100*(b)(c) | 19,127 | ||||||
1,749,487 | Starwood Mortgage Residential Trust, Series 2018-IMC2, Class A1, 4.12%, 10/25/48, Callable 12/25/21 @ 100*(b)(c) | 1,776,496 | ||||||
77,808 | Structured Asset Mortgage Investments, Inc., Series 1999-2, Class 3A, 6.75%, 5/25/29, Callable 6/25/21 @ 100* | 80,825 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Prime Fixed Mortgage Backed Securities, continued: | ||||||||
$ | 1,728,459 | Verus Securitization Trust, Series 2020-1, Class A1, 2.42%, 1/25/60, Callable 9/25/22 @ 100*(b)(c) | $ | 1,753,906 | ||||
13,324,970 | ||||||||
Subprime Mortgage Backed Securities (2.6%) | ||||||||
171,342 | Towd Point Mortgage Trust, Series 2016-1, Class A1B, 2.75%, 2/25/55, Callable 2/25/23 @ 100*(b)(c) | 171,780 | ||||||
458,795 | Towd Point Mortgage Trust, Series 2017-1, Class A1, 2.75%, 10/25/56, Callable 7/25/26 @ 100*(b)(c) | 465,694 | ||||||
883,049 | Towd Point Mortgage Trust, Series 2017-2, Class A1, 2.75%, 4/25/57, Callable 12/25/23 @ 100*(b)(c) | 895,894 | ||||||
685,708 | Towd Point Mortgage Trust, Series 2017-6, Class A1, 2.75%, 10/25/57, Callable 7/25/24 @ 100*(b)(c) | 705,164 | ||||||
2,238,532 | ||||||||
U.S. Government Agency Mortgage Backed Securities (17.3%) | ||||||||
264,935 | Fannie Mae, Series 2013-68, Class 10A1, 1.00%, 3/25/42 | 262,239 | ||||||
15,599 | Fannie Mae, 1.70% (US0012M + 132 bps), 1/1/35, Pool #805386 | 16,144 | ||||||
119,166 | Fannie Mae, Series 2012-31, Class PA, 2.00%, 4/25/41 | 121,656 | ||||||
248,370 | Fannie Mae, Series 2012-51, Class EB, 2.00%, 1/25/40 | 251,571 | ||||||
223,191 | Fannie Mae, Series 2012-96, Class PD, 2.00%, 7/25/41 | 226,457 | ||||||
224,460 | Fannie Mae, Series 2013-18, Class 10A1, 2.00%, 12/25/42 | 230,644 | ||||||
1,778 | Fannie Mae, 2.07% (H15T1Y + 187 bps), 12/1/22, Pool #303247 | 1,783 | ||||||
139,363 | Fannie Mae, Series 2013-73, Class 10A1, 2.25%, 6/25/42 | 144,046 | ||||||
156,539 | Fannie Mae, Series 2013-74, Class 10A1, 2.25%, 6/25/42(c) | 162,057 | ||||||
1,702 | Fannie Mae, 2.39% (H15T1Y + 216 bps), 6/1/32, Pool #725286 | 1,705 | ||||||
26,866 | Fannie Mae, 2.67% (H15T1Y + 229 bps), 2/1/30, Pool #556998 | 26,801 | ||||||
97,710 | Fannie Mae, Series 2011-118, Class 10A1, 3.00%,11/25/41 | 104,711 | ||||||
291,232 | Fannie Mae, Series 2014-1, Class AB, 3.00%, 6/25/43 | 304,936 | ||||||
1,005,713 | Fannie Mae, Series 2018-83, Class LC, 3.00%, 11/25/48 | 1,049,396 | ||||||
757,568 | Fannie Mae, Series 2003-W14, Class 2A, 3.88%, 1/25/43, Callable 6/25/21 @ 100*(c) | 793,674 | ||||||
1,854,122 | Fannie Mae, Series 2003-W12, Class 3A, 3.94%, 3/25/43, Callable 6/25/21 @ 100*(c) | 1,991,313 | ||||||
556,422 | Fannie Mae, Series 2003-W16, Class AF5, 4.40%, 11/25/33, Callable 6/25/21 @ 100*(c)(d) | 619,460 | ||||||
7,313 | Fannie Mae, Series 2001-W4, Class AF6, 5.11%, 1/25/32, Callable 6/25/21 @ 100*(c)(d) | 7,849 | ||||||
2,552,308 | Fannie Mae, Series 2004-W3, Class A7, 5.50%, 5/25/34, Callable 6/25/21 @ 100* | 2,893,742 | ||||||
243 | Fannie Mae, Series 1992-129, Class L, 6.00%, 7/25/22 | 246 |
See notes to the schedule of portfolio investments.
- 4 -
Schedule of Portfolio Investments | Limited Duration Fund |
May 31, 2021 (Unaudited) | Continued |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
U.S. Government Agency Mortgage Backed Securities, continued: | ||||||||
$ | 8,251 | Fannie Mae, Series 2001-W2, Class AF6, 6.09%, 10/25/31, Callable 6/25/21 @ 100*(c)(d) | $ | 8,823 | ||||
8,350 | Fannie Mae, Series 2001-W1, Class AF6, 6.40%, 7/25/31, Callable 6/25/21 @ 100*(c)(d) | 10,344 | ||||||
1 | Fannie Mae, Series 1991-108, Class J, 7.00%, 9/25/21 | 1 | ||||||
84 | Fannie Mae, Series 1992-195, Class C, 7.50%, 10/25/22 | 86 | ||||||
1,000 | Fannie Mae, Series 1996-42, Class LL, 7.50%, 9/25/26 | 1,090 | ||||||
782,524 | Fannie Mae Grantor Trust, Series 2003-T4, Class 2A5, 4.66%, 9/26/33, Callable 6/26/21 @ 100*(c)(d) | 869,913 | ||||||
81,359 | Freddie Mac, Series 4146, Class 10A1, 1.50%, 10/15/42 | 83,088 | ||||||
692,560 | Freddie Mac, Series 4220, Class KC, 1.50%, 5/15/32 | 709,525 | ||||||
3,523 | Freddie Mac, 1.77% (US0006M + 154 bps), 4/1/36, Pool #1N0148 | 3,661 | ||||||
222,030 | Freddie Mac, Series 4039, Class ME, 2.00%, 12/15/40(c) | 224,740 | ||||||
158,626 | Freddie Mac, Series 3982, Class MD, 2.00%, 5/15/39 | 162,827 | ||||||
211,692 | Freddie Mac, Series 4019, Class GB, 2.00%, 12/15/41 | 218,964 | ||||||
187,449 | Freddie Mac, Series 4030, Class DA, 2.00%, 2/15/41 | 190,628 | ||||||
560,722 | Freddie Mac, Series 4272, Class YG, 2.00%, 11/15/26 | 572,045 | ||||||
185,897 | Freddie Mac, Series 4408, Class GA, 2.00%, 9/15/41 | 191,058 | ||||||
25,355 | Freddie Mac, Series 3890, Class BA, 2.50%, 11/15/40 | 25,725 | ||||||
243,446 | Freddie Mac, Series 3913, Class PC, 2.50%, 3/15/41 | 249,816 | ||||||
322,891 | Freddie Mac, Series 4312, Class 10A1, 2.50%, 12/15/41 | 333,551 | ||||||
8,781 | Freddie Mac, Series 4017, Class MA, 3.00%, 3/15/41 | 8,819 | ||||||
536,365 | Freddie Mac, Series 4374, Class GA, 3.00%, 9/15/36 | 571,742 | ||||||
377,415 | Freddie Mac, Series T-67, Class 1A1C, 3.16%, 3/25/36, Callable 6/25/21 @ 100*(c) | 406,072 | ||||||
7,645 | Freddie Mac, 4.00%, 9/1/33, Pool #N31025 | 8,190 | ||||||
1,659 | Freddie Mac, Series 3688, Class HQ, 6.00%, 11/15/21 | 1,669 | ||||||
328 | Freddie Mac, Series 1474, Class E, 7.00%, 2/15/23, Callable 7/15/21 @ 100* | 341 | ||||||
325 | Freddie Mac, Series 1310, Class J, 8.00%, 6/15/22, Callable 7/15/21 @ 100* | 334 | ||||||
261 | Freddie Mac, Series 1312, Class I, 8.00%, 7/15/22, Callable 7/15/21 @ 100* | 269 | ||||||
786 | Government National Mortgage Assoc., 2.00% (H15T1Y + 150 bps), 1/20/23, Pool #8123 | 794 | ||||||
1,785 | Government National Mortgage Assoc., 2.00% (H15T1Y + 150 bps), 1/20/25, Pool #8580 | 1,829 | ||||||
968 | Government National Mortgage Assoc., 2.00% (H15T1Y + 150 bps), 3/20/26, Pool #8832 | 980 | ||||||
1,383 | Government National Mortgage Assoc., 2.00% (H15T1Y + 150 bps), 3/20/29, Pool #80263 | 1,405 | ||||||
344,080 | Government National Mortgage Assoc., Series 2013-69, 2.00%, 9/20/42 | 357,090 | ||||||
1,810 | Government National Mortgage Assoc., 2.13% (H15T1Y + 150 bps), 12/20/27, Pool #80141 | 1,881 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
U.S. Government Agency Mortgage Backed Securities, continued: | ||||||||
$ | 4,700 | Government National Mortgage Assoc., 2.13% (H15T1Y + 150 bps), 11/20/29, Pool #876947 | $ | 4,746 | ||||
223 | Government National Mortgage Assoc., 2.50% (H15T1Y + 150 bps), 12/20/21, Pool #8889 | 223 | ||||||
2,881 | Government National Mortgage Assoc., 2.50% (H15T1Y + 150 bps), 1/20/25, Pool #8585 | 2,961 | ||||||
9,195 | Government National Mortgage Assoc., 2.87% (H15T1Y + 150 bps), 5/20/34, Pool #80916 | 9,469 | ||||||
84 | Government National Mortgage Assoc., 6.50%, 12/15/25, Pool #414856 | 94 | ||||||
52 | Government National Mortgage Assoc., 7.00%, 4/20/24, Pool #1655 | 54 | ||||||
27 | Government National Mortgage Assoc., 7.00%, 11/20/26, Pool #2320 | 27 | ||||||
30,491 | Government National Mortgage Assoc., Series 2013-176, Class BE, 7.16%, 3/16/46, Callable 6/16/21 @ 100*(c) | 46,060 | ||||||
177 | Government National Mortgage Assoc., 7.50%, 3/15/24, Pool #376439 | 180 | ||||||
14,491,544 | ||||||||
Total Mortgage Backed Securities (Cost $34,967,016) | 35,273,261 | |||||||
Corporate Bonds (15.7%) | ||||||||
Aerospace & Defense (1.3%) | ||||||||
920,000 | Boeing Co. (The), 7.95%, 8/15/24 | 1,116,634 | ||||||
Banks (4.9%) | ||||||||
1,450,000 | Bank of America Corp., 3.55% (US0003M + 78 bps), 3/5/24, Callable 3/5/23 @ 100* | 1,529,493 | ||||||
1,500,000 | Mizuho Financial Group, Inc., 2.95%, 2/28/22 | 1,531,156 | ||||||
1,000,000 | Mizuho Financial Group, Inc., 3.55%, 3/5/23 | 1,056,589 | ||||||
Capital Markets (0.0%^) | 4,117,238 | |||||||
2,000,000 | Lehman Brothers Holdings, Inc., 6.00%, 7/19/12, MTN (e) | 14,000 | ||||||
Oil, Gas & Consumable Fuels (6.6%) | ||||||||
2,515,000 | HollyFrontier Corp., 2.63%, 10/1/23 | 2,599,813 | ||||||
900,000 | ONEOK, Inc., 2.20%, 9/15/25, Callable 8/15/25 @ 100* | 925,371 | ||||||
1,915,000 | ONEOK, Inc., 2.75%, 9/1/24, Callable 8/1/24 @ 100* | 2,021,854 | ||||||
5,547,038 | ||||||||
Tobacco (2.9%) | ||||||||
2,150,000 | Altria Group, Inc., 4.40%, 2/14/26, Callable 12/14/25 @ 100* | 2,436,808 | ||||||
Total Corporate Bonds (Cost $13,734,123) | 13,231,718 | |||||||
Taxable Municipal Bonds (1.3%) | ||||||||
Georgia (1.3%) | ||||||||
1,000,000 | State of Georgia, Build America Bonds, GO, Series H,4.50%,11/1/25 | 1,098,559 | ||||||
Total Taxable Municipal Bonds (Cost $1,054,675) | 1,098,559 | |||||||
U.S. Government Agency Securities (3.6%) | ||||||||
Federal Farm Credit Banks | ||||||||
1,000,000 | 1.23%, 9/10/29, Callable 9/10/21 @ 100* | 966,950 | ||||||
Federal Home Loan Banks | ||||||||
1,250,000 | 0.75%, 4/30/27, Callable 7/30/21 @ 100*(c) | 1,250,069 | ||||||
850,500 | 1.11%, 5/28/26, Callable 6/28/21 @ 100* | 850,520 | ||||||
2,100,589 | ||||||||
Total U.S. Government Agency Securities (Cost $3,100,500) | 3,067,539 |
See notes to the schedule of portfolio investments.
- 5 -
Schedule of Portfolio Investments | Limited Duration Fund |
May 31, 2021 (Unaudited) | Concluded |
Shares
or Principal Amount | Security Description | Value | ||||||
U.S. Treasury Obligations (9.8%) | ||||||||
U.S. Treasury Notes | ||||||||
$ | 4,169,000 | 0.50%,2/28/26 | $ | 4,121,122 | ||||
4,000,000 | 1.50%,10/31/24 | 4,147,187 | ||||||
Total U.S. Treasury Obligations (Cost $8,070,367) | 8,268,309 | |||||||
Investment in Affiliates (3.8%) | ||||||||
3,204,243 | Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.01%(f) | 3,204,243 | ||||||
Total Investment in Affiliates (Cost $3,204,243) | 3,204,243 | |||||||
Total Investments (Cost $84,777,684) - 100.6% | 84,826,152 | |||||||
Liabilities in excess of other assets — (0.6)% | (542,572) | |||||||
Net Assets - 100.0% | $ | 84,283,580 |
(a) | Represents a restricted security, purchased under Rule 144A, Section 4(2), which is exempt from registration under the Securities Act of 1933, as amended. The security has been deemed illiquid according to the policies and procedures adopted by the Board of Trustees. At May 31, 2021, illiquid securities were 1.3% of the Fund's net assets. |
(b) | Represents a restricted security, purchased under Rule 144A, Section 4(2), which is exempt from registration under the Securities Act of 1933, as amended. The security has been deemed liquid according to the policies and procedures adopted by the Board of Trustees. |
(c) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at May 31, 2021. |
(d) | Step Bond: Coupon rate is set for an initial period and then increased to a higher coupon rate at a specified date. The rate shown is the rate in effect at May 31, 2021. |
(e) | Issuer has defaulted on the payment of interest. |
(f) | Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at May 31, 2021. |
* | Represents next call date. Additional subsequent call dates and amounts may apply to this security. |
^ | Represents less than 0.05%. |
† | Mortgage backed securities are classified based on the characteristics of their underlying collateral, the fixed vs. variable nature of the obligations, and the credit standing of the mortgagors. The fixed or variable rate nature of securities interest payments to which the fund is entitled may not coincide with the payment nature of the collateral underlying the securities. |
12MTA | 12 Month Treasury Average |
GO | General Obligation |
H15T1Y | 1 Year Treasury Constant Maturity Rate |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
US0001M | 1 Month US Dollar LIBOR |
US0003M | 3 Month US Dollar LIBOR |
US0006M | 6 Month US Dollar LIBOR |
US0012M | 12 Month US Dollar LIBOR |
See notes to the schedule of portfolio investments.
- 6 -
Schedule of Portfolio Investments | Moderate Duration Fund |
May 31, 2021 (Unaudited) |
Shares or Principal Amount | Security Description | Value | ||||||
Asset Backed Securities (11.9%) | ||||||||
$ | 378,755 | AmeriCredit Automobile Receivables Trust, Series 2016-4, Class D, 2.74%, 12/8/22, Callable 7/8/21 @ 100* | $ | 379,005 | ||||
275,999 | Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class A, 3.50%, 1/28/55, Callable 7/28/21 @ 100*(a)(b) | 283,289 | ||||||
378,908 | CLI Funding VI LLC, Series 2020-3A, Class A, 2.07%, 10/18/45, Callable 11/18/22 @ 100*(b) | 383,514 | ||||||
314,438 | DB Master Finance LLC, Series 2017-1A, Class A2I, 3.63%, 11/20/47, Callable 11/20/21 @ 100*(b) | 319,091 | ||||||
275,000 | Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.66%, 4/25/51, Callable 10/25/25 @ 100*(b) | 279,410 | ||||||
289,156 | Longtrain Leasing III LLC, Series 2015-1A, Class A2, 4.06%, 1/15/45, Callable 1/15/25 @ 100*(b) | 294,036 | ||||||
175,000 | Sabey Data Center Issuer LLC, Series 2020-1, Class A2, 3.81%, 3/20/45, Callable 11/20/23 @ 100*(b) | 186,554 | ||||||
263,233 | Textainer Marine Containers VII, Ltd., Series 2A, Class A, 2.23%, 4/20/46, Callable 4/20/23 @ 100*(b) | 266,519 | ||||||
300,000 | Vantage Data Centers LLC, Series 2020-1A, Class A2, 1.65%, 9/15/45, Callable 9/15/23 @ 100*(b) | 300,317 | ||||||
290,650 | VR Funding LLC, Series 2020-1A, Class A, 2.79%, 11/15/50, Callable 11/15/23 @ 100*(b) | 286,213 | ||||||
155,000 | Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.10%, 5/15/46, Callable 5/15/29 @ 100*(b) | 154,992 | ||||||
Total Asset Backed Securities (Cost $3,113,543) | 3,132,940 | |||||||
Mortgage Backed Securities† (22.2%) | ||||||||
Alt-A - Adjustable Rate Mortgage Backed Securities (0.5%) | ||||||||
131,618 | Bear Stearns Alternative-A Trust, Series 2005-7, Class 11A1, 0.65% (US0001M + 54 bps), 8/25/35, Callable 6/25/21 @ 100* | 132,701 | ||||||
Alt-A - Fixed Rate Mortgage Backed Securities (2.0%) | ||||||||
54,162 | Chaseflex Trust, Series 2005-2, Class 1A1, 6.00%, 6/25/35, Callable 6/25/21 @ 100* | 48,021 | ||||||
3,403 | Countrywide Alternative Loan Trust, Series 2005-3CB, Class 1A4, 5.25%, 3/25/35, Callable 6/25/21 @ 100* | 3,355 | ||||||
10,378 | Countrywide Alternative Loan Trust, Series 2004-5CB, Class 1A1, 6.00%, 5/25/34, Callable 6/25/21 @ 100* | 10,697 | ||||||
70,645 | Countrywide Alternative Loan Trust, Series 2006-J8, Class A2, 6.00%, 2/25/37, Callable 2/25/23 @ 100* | 45,459 | ||||||
52,137 | Deutsche Alternative-A Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A3, 4.97%, 6/25/36, Callable 6/25/21 @ 100*(a) | 51,837 | ||||||
9,817 | Master Alternative Loans Trust, Series 2004-1, Class 4A1, 5.50%, 2/25/34, Callable 6/25/21 @ 100* | 10,137 | ||||||
3,768 | Master Alternative Loans Trust, Series 2004-13, Class 12A1, 5.50%, 12/25/19, Callable 6/25/21 @ 100* | 3,485 |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Alt-A - Fixed Rate Mortgage Backed Securities, continued: | ||||||||
$ | 12,029 | Master Alternative Loans Trust, Series 2004-4, Class 1A1, 5.50%, 5/25/34, Callable 6/25/21 @ 100* | $ | 12,387 | ||||
154 | Master Alternative Loans Trust, Series 2005-1, Class 5A1, 5.50%, 1/25/20, Callable 7/25/25 @ 100* | 150 | ||||||
31,175 | Master Alternative Loans Trust, Series 2004-6, Class 10A1, 6.00%, 7/25/34, Callable 6/25/21 @ 100* | 32,497 | ||||||
19,629 | Master Alternative Loans Trust, Series 2004-6, Class 7A1, 6.00%, 7/25/34, Callable 6/25/21 @ 100* | 20,453 | ||||||
7,408 | Master Alternative Loans Trust, Series 2003-7, Class 6A1, 6.50%, 12/25/33, Callable 6/25/21 @ 100* | 7,790 | ||||||
14,843 | Master Alternative Loans Trust, Series 2004-4, Class 8A1, 6.50%, 5/25/34, Callable 6/25/21 @ 100* | 15,432 | ||||||
27,357 | Master Alternative Loans Trust, Series 2004-6, Class 6A1, 6.50%, 7/25/34, Callable 6/25/21 @ 100* | 28,890 | ||||||
4,911 | Nomura Asset Acceptance Corp., Series 2005-AP1, Class 2A5, 5.36%, 2/25/35, Callable 6/25/21 @ 100*(a)(c) | 5,027 | ||||||
25,731 | Nomura Asset Acceptance Corp., Series 2005-AP2, Class A5, 5.48%, 5/25/35, Callable 6/25/21 @ 100*(a)(c) | 17,110 | ||||||
1,147 | Nomura Asset Acceptance Corp., Series 2005-WF1, Class 2A5, 5.66%, 3/25/35, Callable 6/25/21 @ 100*(a)(c) | 1,166 | ||||||
86,480 | Nomura Asset Acceptance Corp., Series 2006-AF1, Class 1A2, 6.16%, 5/25/36, Callable 6/25/21 @ 100*(a) | 27,527 | ||||||
38,489 | Ocwen Residential MBS Corp., Series 1998-R1, Class B1, 3.43%, 10/25/40, Callable 6/25/21 @ 100*(a)(b) | 29,697 | ||||||
2 | Residential Accredit Loans, Inc., Series 2003-QS18, Class A1, 5.00%, 9/25/18, Callable 6/25/21 @ 100* | 2 | ||||||
2,805 | Residential Accredit Loans, Inc., Series 2006-QS18, Class 3A3, 5.75%, 12/25/21, Callable 6/25/21 @ 100* | 2,714 | ||||||
10,119 | Residential Accredit Loans, Inc., Series 2006-QS5, Class A9, 6.00%, 5/25/36, Callable 6/25/21 @ 100* | 9,667 | ||||||
26,013 | Residential Accredit Loans, Inc., Series 2006-QS12, Class 1A2, 6.50%, 9/25/36, Callable 6/25/21 @ 100* | 17,736 | ||||||
39,442 | Residential Asset Securitization Trust, Series 2005-A14, Class A5, 5.50%, 12/25/35, Callable 11/25/21 @ 100* | 28,240 | ||||||
43,302 | Residential Asset Securitization Trust, Series 2006-A8, Class 1A1, 6.00%, 8/25/36, Callable 11/25/26 @ 100* | 35,165 | ||||||
44,713 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-6, Class 1CB, 6.50%, 8/25/35, Callable 6/25/21 @ 100* | 44,577 | ||||||
509,218 |
See notes to the schedule of portfolio investments.
- 7 -
Schedule of Portfolio Investments | Moderate Duration Fund |
May 31, 2021 (Unaudited) | Continued |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Prime Adjustable Rate Mortgage Backed Securities (3.5%) | ||||||||
$ | 6,462 | Bank of America Funding Corp., Series 2004-B, Class 5A1, 2.90%, 11/20/34, Callable 6/20/21 @ 100*(a) | $ | 6,489 | ||||
1,912 | Bear Stearns Mortgage Trust, Series 2003-7, Class 4A, 2.72%, 10/25/33, Callable 6/25/21 @ 100*(a) | 2,053 | ||||||
4,607 | Bear Stearns Mortgage Trust, Series 2004-9, Class 12A3, 2.85%, 11/25/34, Callable 6/25/21 @ 100*(a) | 4,915 | ||||||
10,900 | Countrywide Home Loans, Series 2004-2, Class 2A1, 2.65%, 2/25/34, Callable 6/25/21 @ 100*(a) | 10,394 | ||||||
3,230 | Countrywide Home Loans, Series 2004-12, Class 10A1, 3.04%, 8/25/34, Callable 6/25/21 @ 100*(a) | 3,166 | ||||||
10,535 | HomeBanc Mortgage Trust, Series 2006-1, Class 1A1, 1.87%, 4/25/37, Callable 6/25/21 @ 100*(a) | 9,475 | ||||||
23,438 | JPMorgan Mortgage Trust, Series 2005-A1, Class 3A4, 2.70%, 2/25/35, Callable 6/25/21 @ 100*(a) | 23,198 | ||||||
3,862 | JPMorgan Mortgage Trust, Series 2006-A2, Class 2A1, 2.80% (US0003M + 101 bps), 4/25/36, Callable 7/25/21 @ 100* | 3,808 | ||||||
18,364 | JPMorgan Mortgage Trust, Series 2006-A6, Class 1A4L, 3.33%, 10/25/36, Callable 6/25/21 @ 100*(a) | 16,054 | ||||||
197,485 | JPMorgan Mortgage Trust, Series 2005-A6, Class 3A3, 3.39%, 9/25/35, Callable 6/25/21 @ 100*(a) | 201,042 | ||||||
281,352 | LSTAR Securities Investment, Ltd., Series 2019-4, Class A1, 2.61% (US0001M + 150 bps), 5/1/24(b) | 279,896 | ||||||
100,000 | Mello Warehouse Securitization Trust, Series 2020-2, Class C, 1.39% (US0001M + 130 bps), 11/25/53, Callable 12/25/23 @ 100*(b). | 100,251 | ||||||
260,221 | WinWater Mortgage Loan Trust, Series 2014-1, Class A1, 3.85%, 6/20/44, Callable 1/20/22 @ 100*(a)(b) | 263,431 | ||||||
924,172 | ||||||||
Prime Fixed Mortgage Backed Securities (5.8%) | ||||||||
3,833 | American Home Mortgage Investment Trust, Series 2005-2, Class 5A1, 5.56%, 9/25/35, Callable 6/25/21 @ 100*(a)(c) | 3,722 | ||||||
257,574 | Angel Oak Mortgage Trust, Series 2019-5, Class A1, 2.59%, 10/25/49, Callable 10/25/21 @ 100*(a)(b) | 258,900 | ||||||
13,909 | Chase Mortgage Finance Corp., Series 2007-S2, Class 2A1, 5.50%, 3/25/37, Callable 6/25/21 @ 100* | 9,137 | ||||||
7,445 | Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 3A1, 6.50%, 4/25/35 | 7,851 | ||||||
8,018 | Citigroup Mortgage Loan Trust, Inc., Series 2004-NCM1, Class 1A3, 6.75%, 7/25/34, Callable 6/25/21 @ 100* | 8,409 | ||||||
3,469 | Countrywide Alternative Loan Trust, Series 2003-J3, Class 2A1, 6.25%, 12/25/33, Callable 6/25/21 @ 100* | 3,527 | ||||||
1,851 | Countrywide Home Loans, Series 2004-J6, Class 1A2, 5.25%, 8/25/24, Callable 6/25/21 @ 100* | 1,857 |
Shares
or Principal Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Prime Fixed Mortgage Backed Securities, continued: | ||||||||
$ | 7,503 | Countrywide Home Loans, Series 2005-29, Class A1, 5.75%, 12/25/35, Callable 6/25/21 @ 100* | $ | 5,476 | ||||
4,023 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-1, Class 4A1, 5.00%, 12/31/99, Callable 6/25/21 @ 100* | 4,104 | ||||||
17,322 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-27, Class 8A1, 6.00%, 11/25/33, Callable 6/25/21 @ 100* | 18,020 | ||||||
6,603 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1, 6.50%, 4/25/33, Callable 6/25/21 @ 100* | 6,862 | ||||||
38,225 | Flagstar Mortgage Trust, Series 2019-2, Class A3, 3.50%, 12/25/49, Callable 9/25/23 @ 100*(a)(b) | 38,351 | ||||||
50,274 | Galton Funding Mortgage Trust, Series 2017-1, Class A21, 3.50%, 7/25/56, Callable 9/25/28 @ 100*(a)(b) | 50,991 | ||||||
255,724 | GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ3, Class A14, 3.00%, 10/25/50, Callable 10/25/24 @ 100*(a)(b) | 261,718 | ||||||
162,256 | GSR Mortgage Loan Trust, Series 2004-13F, Class 2A1, 4.25%, 11/25/34, Callable 6/25/21 @ 100* | 163,881 | ||||||
108 | GSR Mortgage Loan Trust, Series 2004-10F, Class 2A4, 5.00%, 8/25/19, Callable 6/25/21 @ 100* | 108 | ||||||
827 | GSR Mortgage Loan Trust, Series 2003-2F, Class 3A1, 6.00%, 3/25/32, Callable 6/25/21 @ 100* | 870 | ||||||
19,738 | Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 3A, 6.00%, 4/25/34, Callable 2/25/24 @ 100* | 21,009 | ||||||
407,214 | New Residential Mortgage Loan Trust, Series 2019-NQM3, Class A1, 2.80%, 7/25/49, Callable 6/25/21 @ 100*(a)(b) | 409,633 | ||||||
1,607 | Prime Mortgage Trust, Series 2004-CL1, Class 1A1, 6.00%, 2/25/34, Callable 6/25/21 @ 100* | 1,631 | ||||||
36,032 | Residential Asset Mortgage Products, Inc., Series 2005-SL2, Class A3, 7.00%, 2/25/32, Callable 7/25/31 @ 100* | 33,841 | ||||||
144,896 | Sequoia Mortgage Trust, Series 2013-1, Class 2A1, 1.86%, 2/25/43, Callable 6/25/21 @ 100*(a)(b) | 145,281 | ||||||
64,606 | Sequoia Mortgage Trust, Series 2017-2, Class A4, 3.50%, 2/25/47, Callable 3/25/23 @ 100*(a)(b) | 64,743 | ||||||
9,654 | Structured Asset Mortgage Investments, Inc., Series 1999-2, Class 3A, 6.75%, 5/25/29, Callable 6/25/21 @ 100* | 10,029 | ||||||
88 | Structured Asset Securities Corp., Series 1997-2, Class 2A4, 7.25%, 3/28/30, Callable 6/28/21 @ 100* | 91 | ||||||
942 | Washington Mutual Mortgage Pass-Through Certificates, Series 2003-S11, Class 1A, 5.00%, 11/25/33, Callable 6/25/21 @ 100* | 974 | ||||||
589 | Washington Mutual Mortgage Pass-Through Certificates, Series 2004-RA1, Class 2A, 7.00%, 3/25/34, Callable 5/25/28 @ 100* | 628 | ||||||
1,531,644 |
See notes to the schedule of portfolio investments.
- 8 -
Schedule of Portfolio Investments | Moderate Duration Fund |
May 31, 2021 (Unaudited) | Continued |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Subprime Mortgage Backed Securities (0.9%) | ||||||||
$ | 70,381 | Towd Point Mortgage Trust, Series 2018-1, Class A1, 3.00%, 1/25/58, Callable 7/25/25 @ 100*(a)(b) | $ | 72,839 | ||||
157,724 | Towd Point Mortgage Trust, Series 2018-2, Class A1, 3.25%, 3/25/58, Callable 11/25/25 @ 100*(a)(b) | 164,020 | ||||||
236,859 | ||||||||
U.S. Government Agency Mortgage Backed Securities (9.5%) | ||||||||
33,117 | Fannie Mae, Series 2013-68, Class 10A1, 1.00%, 3/25/42 | 32,780 | ||||||
58 | Fannie Mae, Series 1992-45, Class F, 1.30% (T7Y), 4/25/22 | 58 | ||||||
180,886 | Fannie Mae, Series 2012-30, Class BA, 2.00%, 6/25/41 | 186,900 | ||||||
104,779 | Fannie Mae, Series 2012-8, Class KA, 2.00%, 6/25/41 | 107,334 | ||||||
37,410 | Fannie Mae, Series 2013-18, Class 10A1, 2.00%, 12/25/42 | 38,441 | ||||||
1,534 | Fannie Mae, 2.20% (US0012M + 162 bps), 9/1/33, Pool #739372 | 1,547 | ||||||
1,863 | Fannie Mae, 2.23% (US0012M + 186 bps), 1/1/37, Pool #906675 | 1,866 | ||||||
62,616 | Fannie Mae, Series 2013-74, Class 10A1, 2.25%, 6/25/42(a) | 64,823 | ||||||
90,208 | Fannie Mae, Series 2010-100, Class LA, 2.50%, 7/25/40 | 94,145 | ||||||
96,814 | Fannie Mae, Series 2014-61, Class P, 2.50%, 7/25/44 | 101,418 | ||||||
103,643 | Fannie Mae, Series 2015-12, Class PC, 2.50%, 7/25/44 | 105,922 | ||||||
194,131 | Fannie Mae, Series 2017-M5, Class A1, 2.74%, 4/25/29 | 207,714 | ||||||
90,382 | Fannie Mae, Series 2011-118, Class 10A1, 3.00%,11/25/41 | 96,858 | ||||||
168,431 | Fannie Mae, Series 2015-59, Class LM, 3.00%, 7/25/45 | 178,491 | ||||||
226,637 | Fannie Mae, Series 2018-M12, Class A1, 3.55%, 2/25/30 | 253,771 | ||||||
115 | Fannie Mae, 6.00%, 4/1/35, Pool #735503 | 133 | ||||||
769 | Fannie Mae, Series 2001-55, Class PC, 6.50%, 10/25/31 | 898 | ||||||
10,413 | Fannie Mae, Series 2003-W2, Class 1A2, 7.00%, 7/25/42, Callable 6/25/21 @ 100* | 12,532 | ||||||
402 | Fannie Mae, Series 2002-T1, Class A3, 7.50%, 11/25/31, Callable 6/25/21 @ 100* | 470 | ||||||
196 | Fannie Mae, Series 1992-31, Class M, 7.75%, 3/25/22 | 200 | ||||||
8 | Fannie Mae, Series G-32, Class L, 8.00%, 10/25/21 | 9 | ||||||
1 | Fannie Mae, Series G-32, Class N, 8.10%, 10/25/21 | 1 | ||||||
15 | Freddie Mac, Series 1222, Class P, 1.20% (T10Y - 40 bps), 3/15/22, Callable 7/15/21 @ 100* | 14 | ||||||
20,340 | Freddie Mac, Series 4146, Class 10A1, 1.50%, 10/15/42 | 20,772 | ||||||
96,918 | Freddie Mac, Series 4220, Class KC, 1.50%, 5/15/32 | 99,292 | ||||||
28,629 | Freddie Mac, Series 3936, Class LA, 2.00%, 6/15/40 | 28,849 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
U.S. Government Agency Mortgage Backed Securities, continued: | ||||||||
$ | 93,474 | Freddie Mac, Series 4076, Class QC, 2.00%, 11/15/41 | $ | 95,549 | ||||
103,181 | Freddie Mac, Series 4408, Class GA, 2.00%, 9/15/41 | 106,046 | ||||||
70,593 | Freddie Mac, Series 4461, Class EA, 2.00%, 7/15/37 | 72,492 | ||||||
239,611 | Freddie Mac, Series 3908, Class B, 2.50%, 6/15/39 | 252,159 | ||||||
58,658 | Freddie Mac, Series 4312, Class 10A1, 2.50%, 12/15/41 | 60,595 | ||||||
81,894 | Freddie Mac, Series 4316, Class JY, 3.00%, 1/15/44 | 87,236 | ||||||
37,949 | Freddie Mac, Series 4332, Class NH, 3.00%, 9/15/43 | 38,815 | ||||||
10,630 | Freddie Mac, 5.37% (H15T1Y + 228 bps), 8/1/34, Pool #755230 | 10,747 | ||||||
62 | Freddie Mac, Series 1136, Class H, 6.00%, 9/15/21, Callable 7/15/21 @ 100* | 63 | ||||||
469 | Freddie Mac, Series 1379, Class H, 7.00%, 10/15/22, Callable 7/15/21 @ 100* | 483 | ||||||
689 | Freddie Mac, Series 1714, Class K, 7.00%, 4/15/24, Callable 7/15/21 @ 100* | 735 | ||||||
978 | Freddie Mac, Series 1904, Class D, 7.50%, 10/15/26, Callable 7/15/21 @ 100* | 1,097 | ||||||
10 | Freddie Mac, Series 1119, Class H, 7.75%, 8/15/21, Callable 7/15/21 @ 100* | 10 | ||||||
407 | Freddie Mac, Series 1281, Class I, 8.00%, 5/15/22, Callable 7/15/21 @ 100* | 415 | ||||||
769 | Freddie Mac, Series 1310, Class J, 8.00%, 6/15/22, Callable 7/15/21 @ 100* | 790 | ||||||
3,065 | Government National Mortgage Assoc., Series 2013-104, Class DC, 2.00%, 4/20/40 | 3,087 | ||||||
73,732 | Government National Mortgage Assoc., Series 2013-69, 2.00%, 9/20/42 | 76,519 | ||||||
14,703 | Government National Mortgage Assoc., Series 2010-69, Class MC, 2.50%, 4/20/40 | 14,800 | ||||||
8,775 | Government National Mortgage Assoc., Series 2010-98, Class CH, 3.00%, 10/20/39 | 8,846 | ||||||
25,511 | Government National Mortgage Assoc., Series 2010-98, Class MG, 3.00%, 8/20/39 | 26,077 | ||||||
4,476 | Government National Mortgage Assoc., 7.00%, 3/15/26, Pool #419128 | 4,495 | ||||||
55 | Government National Mortgage Assoc., 7.00%, 3/20/27, Pool #2394 | 61 | ||||||
501 | Government National Mortgage Assoc., 8.00%, 5/15/23, Pool #343406 | 503 | ||||||
281 | Government National Mortgage Assoc., 8.00%, 10/20/24, Pool #1884 | 298 | ||||||
38 | Government National Mortgage Assoc., 8.00%, 2/20/26, Pool #2171 | 42 | ||||||
15 | Government National Mortgage Assoc., 8.00%, 3/20/26, Pool #2187 | 15 | ||||||
1,065 | Government National Mortgage Assoc., 8.00%, 4/20/26, Pool #2205 | 1,150 | ||||||
3,146 | Government National Mortgage Assoc., 8.00%, 5/20/26, Pool #2219 | 3,440 | ||||||
| 2,501,803 | |||||||
Total Mortgage Backed Securities (Cost $5,778,895) | 5,836,397 |
See notes to the schedule of portfolio investments.
- 9 -
Schedule of Portfolio Investments | Moderate Duration Fund |
May 31, 2021 (Unaudited) | Continued |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Corporate Bonds (27.9%) | ||||||||
Aerospace & Defense (1.8%) | ||||||||
$ | 450,000 | Boeing Co. (The), 3.25%, 2/1/28, Callable 12/1/27 @ 100* | $ | 473,835 | ||||
Airlines (1.0%) | ||||||||
247,429 | United Airlines Pass Through Trust, Series 2020-1, Class A, 5.88%, 4/15/29 | 273,489 | ||||||
Banks (3.2%) | ||||||||
510,000 | Bank of America Corp., 3.55% (US0003M + 78 bps), 3/5/24, Callable 3/5/23 @ 100 * | 537,960 | ||||||
290,000 | Wells Fargo & Co., 3.00%, 10/23/26 | 314,471 | ||||||
852,431 | ||||||||
Beverages (1.0%) | ||||||||
240,000 | PepsiCo, Inc., 2.75%, 3/19/30, Callable 12/19/29 @ 100* | 255,994 | ||||||
Capital Markets (1.2%) | ||||||||
290,000 | Goldman Sachs Group, Inc., 3.50%, 11/16/26, Callable 11/16/25 @ 100 * | 316,962 | ||||||
Diversified Financial Services (1.2%) | ||||||||
300,000 | National Rural Utilities Cooperative Finance Corp., 3.25%, 11/1/25, Callable 8/1/25 @ 100 * | 326,226 | ||||||
Electric Utilities (1.1%) | ||||||||
275,000 | Entergy Mississippi LLC, 3.25%, 12/1/27, Callable 9/1/27 @ 100 * | 300,246 | ||||||
Entertainment (2.1%) | ||||||||
215,000 | The Walt Disney Co., 2.00%, 9/1/29, Callable 6/1/29 @ 100* | 214,109 | ||||||
300,000 | Walt Disney Co. (The), 3.35%, 3/24/25 | 327,238 | ||||||
541,347 | ||||||||
Equity Real Estate Investment Trusts (0.5%) | ||||||||
136,851 | JBG/Rockville NCI Campus LLC, Series 2010-A, 3.90%, 7/15/23 (b) | 139,666 | ||||||
Food Products (1.2%) | ||||||||
300,000 | Mars, Inc., 3.20%, 4/1/30, Callable 1/1/30 @ 100 *(b) | 325,351 | ||||||
Health Care Providers & Services (2.5%) | ||||||||
225,000 | Ascension Health, Series B, 2.53%, 11/15/29, Callable 8/15/29 @ 100 * | 233,407 | ||||||
370,000 | Sutter Health, 3.70%, 8/15/28, Callable 5/15/28 @ 100* | 409,005 | ||||||
642,412 | ||||||||
Hotels, Restaurants & Leisure (1.8%) | ||||||||
425,000 | Hyatt Hotels Corp., 4.38%, 9/15/28, Callable 6/15/28 @ 100* | 463,784 | ||||||
Household Durables (1.7%) | ||||||||
400,000 | Harman International Industries, Inc., 4.15%, 5/15/25, Callable 2/15/25 @ 100 * | 440,784 | ||||||
Insurance (1.2%) | ||||||||
300,000 | Jackson National Life Global Funding, 2.65%, 6/21/24 (b) | 316,073 | ||||||
Internet & Direct Marketing Retail (1.4%) | ||||||||
335,000 | Expedia Group, Inc., 3.80%, 2/15/28, Callable 11/15/27 @ 100* | 361,138 | ||||||
Oil, Gas & Consumable Fuels (1.5%) | ||||||||
380,000 | HollyFrontier Corp., 2.63%, 10/1/23 | 392,815 | ||||||
Semiconductors & Semiconductor Equipment (2.0%) | ||||||||
460,000 | Broadcom, Inc., 4.75%, 4/15/29, Callable 1/15/29 @ 100* | 526,489 | ||||||
Technology Hardware, Storage & Peripherals (1.5%) | ||||||||
350,000 | Apple, Inc., 3.20%, 5/11/27, Callable 2/11/27 @ 100* | 386,700 | ||||||
Total Corporate Bonds (Cost $7,176,163) | 7,335,742 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Taxable Municipal Bonds (18.1%) | ||||||||
Alabama (1.2%) | ||||||||
$ | 300,000 | The Water Works Board City of Birmingham Revenue, 2.60%, 1/1/27 | $ | 322,743 | ||||
California (2.4%) | ||||||||
600,000 | Riverside Unified School District, GO, 2.27%, 2/1/25 | 635,276 | ||||||
Colorado (1.1%) | ||||||||
150,000 | Colorado Housing and Finance Authority Revenue, Series I-1, Class I, 0.86%, 11/1/23, GNMA: GOV. NATL MTGE ASSOCIATION | 150,950 | ||||||
150,000 | Colorado Housing and Finance Authority Revenue, Series I-1, Class I, 1.11%, 5/1/25, GNMA: GOV. NATL MTGE ASSOCIATION | 150,666 | ||||||
301,616 | ||||||||
Michigan (1.1%) | ||||||||
300,000 | River Rouge School District, GO, 1.89%, 5/1/30, Insured by: Q-SBLF | 294,738 | ||||||
New York (2.4%) | ||||||||
300,000 | New York City Housing Development Corp. Revenue, Series L, 2.84%, 11/1/28, Continuously Callable @ 100 | 315,345 | ||||||
300,000 | New York City Transitional Finance Authority Revenue, 2.63%, 11/1/29 | 318,285 | ||||||
633,630 | ||||||||
Rhode Island (1.6%) | ||||||||
400,000 | Rhode Island Convention Center Authority Revenue, 3.15%, 5/15/25 | 412,142 | ||||||
Texas (3.1%) | ||||||||
500,000 | Austin Community College District Revenue, 0.93%, 2/1/25 | 498,875 | ||||||
300,000 | Midland County Fresh Water Supply District No. 1 Revenue, 2.37%, 9/15/26 | 310,570 | ||||||
809,445 | ||||||||
Utah (1.1%) | ||||||||
300,000 | Utah Transit Authority Revenue, 2.04%, 12/15/31, Continuously Callable @ 100 | 299,741 | ||||||
Virginia (1.1%) | ||||||||
275,000 | Virginia Housing Development Authority Revenue, Series F, 1.65%, 7/1/26, HUD: US DEPT OF HSG AND URBAN DEV | 279,589 | ||||||
Washington (1.2%) | ||||||||
300,000 | Pierce County School District No 10 Tacoma, GO, 0.53%, 12/1/23, SCH BD GTY | 302,002 | ||||||
Wisconsin (1.8%) | ||||||||
465,000 | Public Financial Authority Wisconsin Revenue, 4.45%, 10/1/25, Insured by: AGC | 482,951 | ||||||
Total Taxable Municipal Bonds (Cost $4,662,970) | 4,773,873 | |||||||
U.S. Government Agency Securities (2.1%) | ||||||||
Federal Home Loan Banks | ||||||||
275,000 | 0.65%, 4/28/26, Callable 7/28/21 @ 100 *(a) | 275,098 | ||||||
285,000 | 1.30%, 3/17/27, Callable 6/17/21 @ 100* | 284,306 | ||||||
Total U.S. Government Agency Securities (Cost $560,000) | 559,404 | |||||||
U.S. Treasury Obligations (13.2%) | ||||||||
U.S. Treasury Notes | ||||||||
1,943,000 | 2.00%, 4/30/24 | 2,039,239 | ||||||
1,332,000 | 2.25%, 2/15/27 | 1,426,229 | ||||||
Total U.S. Treasury Obligations (Cost $3,455,057) | 3,465,468 |
See notes to the schedule of portfolio investments.
- 10 -
Schedule of Portfolio Investments | Moderate Duration Fund |
May 31, 2021 (Unaudited) | Concluded |
Shares
or Principal Amount | Security Description | Value | ||||||
Investment in Affiliates (4.3%) | ||||||||
1,118,444 | Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.1%(d) | $ | 1,118,444 | |||||
Total Investment in Affiliates (Cost $1,118,444) | 1,118,444 | |||||||
Total Investments (Cost $25,865,072) - 99.7% | 26,222,268 | |||||||
Other assets in excess of liabilities — 0.3% | 88,477 | |||||||
Net Assets - 100.0% | $ | 26,310,745 |
(a) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at May 31, 2021. |
(b) | Represents a restricted security, purchased under Rule 144A, Section 4(2), which is exempt from registration under the Securities Act of 1933, as amended. The security has been deemed liquid according to the policies and procedures adopted by the Board of Trustees. |
(c) | Step Bond: Coupon rate is set for an initial period and then increased to a higher coupon rate at a specified date. The rate shown is the rate in effect at May 31, 2021. |
(d) | Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at May 31, 2021. |
* | Represents next call date. Additional subsequent call dates and amounts may apply to this security. |
† | Mortgage backed securities are classified based on the characteristics of their underlying collateral, the fixed vs. variable nature of the obligations, and the credit standing of the mortgagors. The fixed or variable rate nature of securities interest payments to which the fund is entitled may not coincide with the payment nature of the collateral underlying the securities. |
AGC | Assured Guaranty Corporation |
GNMA | Government National Mortgage Association |
GO | General Obligation |
H15T1Y | 1 Year Treasury Constant Maturity Rate |
LIBOR | London Interbank Offered Rate |
Q-SBLF | Qualified School Bond Loan Fund |
SCH BD GTY | School Board Guaranty |
T10Y | 10 Year Treasury Constant Maturity Rate |
T7Y | 7 Year Treasury Constant Maturity Rate |
US0001M | 1 Month US Dollar LIBOR |
US0003M | 3 Month US Dollar LIBOR |
US0012M | 12 Month US Dollar LIBOR |
See notes to the schedule of portfolio investments.
- 11 -
Schedule of Portfolio Investments | Bond Fund |
May 31, 2021 (Unaudited) |
Shares
or Principal Amount |
Security Description | Value | ||||||
Asset Backed Securities (8.9%) | ||||||||
$ | 679,809 | Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class A, 3.50%, 1/28/55, Callable 7/28/21 @ 100*(a)(b) | $ | 697,766 | ||||
20,931 | Bear Stearns Asset Backed Securities, Inc., Series 2003-AC7, Class A1, 5.50%, 1/25/34, Callable 6/25/21 @ 100*(a)(c) | 21,230 | ||||||
634,280 | BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class B, 3.78%, 9/26/33, Callable 4/25/26 @ 100*(b) | 661,781 | ||||||
967,500 | DB Master Finance LLC, Series 2017-1A, Class A2I, 3.63%, 11/20/47, Callable 11/20/21 @ 100*(b) | 981,819 | ||||||
838,062 | Longtrain Leasing III LLC, Series 2015-1A, Class A2, 4.06%, 1/15/45, Callable 1/15/25 @ 100*(b) | 852,207 | ||||||
31 | RAAC, Series 2004-SP1, Class AI4, 5.29%, 8/25/27, Callable 6/25/21 @ 100*(a) | 31 | ||||||
415,000 | Sabey Data Center Issuer LLC, Series 2020-1, Class A2, 3.81%, 3/20/45, Callable 11/20/23 @ 100*(b) | 442,399 | ||||||
928,625 | Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.54%, 2/25/44, Callable 2/25/23 @ 100*(b) | 986,781 | ||||||
31,706 | Structured Asset Securities Corp., Series 2003-AL2, Class A, 3.36%, 1/25/31, Callable 6/25/21 @ 100*(b) | 31,640 | ||||||
937,542 | Textainer Marine Containers VIII, Ltd., Series 2AA, Class A, 2.10%, 9/20/45, Callable 9/20/22 @ 100*(b) | 949,676 | ||||||
1,022,875 | TIF Funding II LLC, Series 2021-1A, Class A, 1.65%, 2/20/46, Callable 2/20/23 @ 100*(b) | 1,005,290 | ||||||
985,833 | Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.86%, 3/20/46, Callable 4/20/23 @ 100*(b) | 977,628 | ||||||
500,000 | TRP-TRIP Rail Master Funding LLC, Series 2021-2, Class A, 2.15%, 6/19/51, Callable 6/17/22 @ 100*(b) | 500,575 | ||||||
280,200 | UBS Commercial Mortgage Trust, Series 2018-C10, Class A1, 3.18%, 5/15/51, Callable 3/15/23 @ 100* | 286,576 | ||||||
600,000 | Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.10%, 5/15/46, Callable 5/15/29 @ 100* | 599,969 | ||||||
530,000 | ZAXBY'S Funding LLC, Series 2021-1A, Class A2, 3.24%, 7/30/51, Callable 7/30/25 @ 100*(b) | 530,000 | ||||||
Total Asset Backed Securities (Cost $9,447,283) | 9,525,368 |
Mortgage Backed Securities† (17.1%) | ||||||||
Alt-A - Adjustable Rate Mortgage Backed Securities (0.5%) | ||||||||
424,611 | Bear Stearns Alternative-A Trust, Series 2005-7, Class 11A1, 0.65% (US0001M + 54 bps), 8/25/35, Callable 6/25/21 @ 100 | 428,107 | ||||||
62,949 | Bear Stearns Alternative-A Trust, Series 2006-6, Class 32A1, 3.07%, 11/25/36, Callable 5/25/22 @ 100*(a) | 42,093 | ||||||
7,164 | JPMorgan Alternative Loan Trust, Series 2006-S4, Class A6, 5.71%, 12/25/36, Callable 6/25/21 @ 100*(a)(c) | 7,264 | ||||||
477,464 |
Shares
or Principal Amount |
Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Alt-A - Fixed Rate Mortgage Backed Securities (0.7%) | ||||||||
$ | 11,380 | Bank of America Alternative Loan Trust, Series 2006-4, Class CB1, 6.50%, 5/25/46, Callable 6/25/21 @ 100* | $ | 11,367 | ||||
32,497 | Chaseflex Trust, Series 2005-2, Class 1A1, 6.00%, 6/25/35, Callable 6/25/21 @ 100* | 28,813 | ||||||
22,511 | Chaseflex Trust, Series 2007-1, Class 1A3, 6.50%, 2/25/37, Callable 6/25/21 @ 100* | 12,016 | ||||||
53,951 | Countrywide Alternative Loan Trust, Series 2005- 46CB, Class A3, 5.50%, 10/25/35, Callable 6/25/21 @ 100* | 49,862 | ||||||
7,165 | Countrywide Alternative Loan Trust, Series 2006-8T1, Class 2A3, 5.50%, 4/25/36, Callable 6/25/21 @ 100* | 6,827 | ||||||
8,062 | Countrywide Alternative Loan Trust, Series 2004-22CB, Class 1A1, 6.00%, 10/25/34, Callable 6/25/21 @ 100* | 8,314 | ||||||
25,324 | Countrywide Alternative Loan Trust, Series 2006-8T1, Class 1A4, 6.00%, 4/25/36, Callable 6/25/21 @ 100* | 17,636 | ||||||
165,817 | Countrywide Alternative Loan Trust, Series 2007-9T1, Class 1A7, 6.00%, 5/25/37, Callable 6/25/21 @ 100* | 109,597 | ||||||
185,807 | Countrywide Alternative Loan Trust, Series 2006-36T2, Class 2A4, 6.25%, 12/25/36, Callable 10/25/27 @ 100* | 118,479 | ||||||
3,376 | Master Alternative Loans Trust, Series 2003-8, Class 3A1, 5.50%, 12/25/33, Callable 6/25/21 @ 100* | 3,402 | ||||||
2,608 | Master Alternative Loans Trust, Series 2004-13, Class 8A1, 5.50%, 1/25/25, Callable 6/25/21 @ 100* | 2,414 | ||||||
18,430 | Master Alternative Loans Trust, Series 2005-3, Class 1A1, 5.50%, 4/25/35, Callable 8/25/22 @ 100* | 18,660 | ||||||
45,000 | Master Alternative Loans Trust, Series 2004-3, Class 3A1, 6.00%, 4/25/34, Callable 6/25/21 @ 100* | 45,583 | ||||||
38,969 | Master Alternative Loans Trust, Series 2004-6, Class 10A1, 6.00%, 7/25/34, Callable 6/25/21 @ 100* | 40,621 | ||||||
19,629 | Master Alternative Loans Trust, Series 2004-6, Class 7A1, 6.00%, 7/25/34, Callable 6/25/21 @ 100* | 20,453 | ||||||
17,492 | Master Alternative Loans Trust, Series 2005-3, Class 7A1, 6.00%, 4/25/35, Callable 12/25/21 @ 100* | 17,260 | ||||||
2,018 | Master Alternative Loans Trust, Series 2003-7, Class 5A1, 6.25%, 11/25/33, Callable 6/25/21 @ 100* | 2,092 | ||||||
9,364 | Master Alternative Loans Trust, Series 2004-3, Class 2A1, 6.25%, 4/25/34, Callable 6/25/21 @ 100* | 9,498 | ||||||
14,456 | Residential Accredit Loans, Inc., Series 2006-QS5, Class A9, 6.00%, 5/25/36, Callable 6/25/21 @ 100* | 13,810 | ||||||
191,552 | Residential Asset Securitization Trust, Series 2005-A9, Class A3, 5.50%, 7/25/35, Callable 6/25/21 @ 100* | 154,256 |
See notes to the schedule of portfolio investments.
- 12 -
Schedule of Portfolio Investments | Bond Fund |
May 31, 2021 (Unaudited) | Continued |
Shares
or Principal Amount |
Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Alt-A - Fixed Rate Mortgage Backed Securities, continued: | ||||||||
$ | 117,584 | Residential Asset Securitization Trust, Series 2006-A2, Class A3, 6.00%, 5/25/36, Callable 3/25/22 @ 100* | $ | 70,130 | ||||
Prime Adjustable Rate Mortgage Backed Securities (2.3%) | 761,090 | |||||||
4,653 | JPMorgan Mortgage Trust, Series 2006-A4, Class 3A1, 2.97%, 6/25/36, Callable 6/25/21 @ 100*(a) | 3,896 | ||||||
140,524 | JPMorgan Mortgage Trust, Series 2005-A6, Class 2A4, 3.01%, 8/25/35, Callable 6/25/21 @ 100*(a) | 142,278 | ||||||
1,339,770 | LSTAR Securities Investment, Ltd., Series 2019-4, Class A1, 2.61% (US0001M + 150 bps), 5/1/24(b) | 1,332,839 | ||||||
500,000 | Mello Warehouse Securitization Trust, Series 2021-1, Class A, 0.81% (US0001M + 70 bps), 2/25/55, Callable 2/25/24 @ 100*(b) | 500,596 | ||||||
150,000 | Mello Warehouse Securitization Trust, Series 2021-1, Class 21-C, 1.21% (US0001M + 110 bps), 2/25/55, Callable 2/25/24 @ 100*(b) | 150,411 | ||||||
270,000 | Mello Warehouse Securitization Trust, Series 2020-2, Class C, 1.39% (US0001M + 130 bps), 11/25/53, Callable 12/25/23 @ 100*(b) | 270,676 | ||||||
15,360 | MLCC Mortgage Investors, Inc., Series 2004-HB1, Class A3, 1.94%, 4/25/29, Callable 6/25/21 @ 100*(a) | 15,050 | ||||||
4,363 | Structured Adjustable Rate Mortgage Loan Trust, Series 2006-5, Class 4A1, 2.75%, 6/25/36, Callable 6/25/21 @ 100*(a) | 3,437 | ||||||
Prime Fixed Mortgage Backed Securities (3.4%) | 2,419,183 | |||||||
2,882 | Chase Mortgage Finance Corp., Series 2002-S4, Class A23, 6.25%, 3/25/32, Callable 6/25/21 @ 100* | 2,347 | ||||||
130,175 | Chaseflex Trust, Series 2006-2, Class A5, 4.51%, 9/25/36, Callable 8/25/22 @ 100*(a) | 131,168 | ||||||
20,247 | Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 3A1, 6.50%, 4/25/35 | 21,352 | ||||||
2,000 | Countrywide Home Loans, Series 2004-8, Class 1A3, 5.50%, 7/25/34, Callable 6/25/21 @ 100* | 2,009 | ||||||
34,352 | Countrywide Home Loans, Series 2005-J1, Class 1A8, 5.50%, 2/25/35, Callable 6/25/21 @ 100* | 34,815 | ||||||
4,377 | Countrywide Home Loans, Series 2004-18, Class A1, 6.00%, 10/25/34, Callable 6/25/21 @ 100* | 4,517 | ||||||
4,752 | Countrywide Home Loans, Series 2004-21, Class A10, 6.00%, 11/25/34, Callable 6/25/21 @ 100* | 4,950 | ||||||
77,059 | Countrywide Home Loans, Series 2007-J3, Class A10, 6.00%, 7/25/37, Callable 6/25/21 @ 100 | 50,347 | ||||||
95,576 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-9, Class 3A1, 6.00%, 10/25/35, Callable 6/25/21 @ 100* | 43,142 | ||||||
11 | Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 1A1, 4.50%, 10/25/21, Callable 6/25/21 @ 100* | 11 | ||||||
113 | First Nationwide Trust, Series 2001-3, Class 1A1, 6.75%, 8/21/31 | 118 |
Shares
or Principal Amount |
Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Prime Fixed Mortgage Backed Securities, continued: | ||||||||
$ | 127,418 | Flagstar Mortgage Trust, Series 2019-2, Class A3, 3.50%, 12/25/49, Callable 9/25/23 @ 100*(a)(b) | $ | 127,836 | ||||
1,677 | GMAC Mortgage Corp. Loan Trust, Series 2003- GH2, Class A4, 5.50%, 10/25/33, Callable 6/25/21 @ 100*(a)(c) | 1,721 | ||||||
17,983 | JPMorgan Mortgage Trust, Series 2006-A2, Class 3A2, 2.72%, 4/25/36, Callable 7/25/21 @ 100*(a) | 16,565 | ||||||
22,328 | JPMorgan Mortgage Trust, Series 2004-S2, Class 4A5, 6.00%, 11/25/34, Callable 6/25/21 @ 100* | 22,316 | ||||||
1,000,000 | Mello Mortgage Capital Acceptance Trust, Series 2021-MTG2, Class A10, 2.50%, 6/1/51(a)(b) | 1,023,594 | ||||||
24,762 | Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 3A, 6.00%, 4/25/34, Callable 2/25/24 @ 100* | 26,357 | ||||||
650,633 | New Residential Mortgage Loan Trust, Series 2019-NQM3, Class A1, 2.80%, 7/25/49, Callable 6/25/21 @ 100*(a)(b) | 654,497 | ||||||
4,294 | Nomura Asset Acceptance Corp., Series 2003-A1, Class A2, 6.00%, 5/25/33, Callable 6/25/21 @ 100* | 4,333 | ||||||
115,251 | RAAC, Series 2004-SP2, Class A22, 6.00%, 1/25/32, Callable 6/25/21 @ 100* | 115,632 | ||||||
331,191 | Sequoia Mortgage Trust, Series 2013-1, Class 2A1, 1.86%, 2/25/43, Callable 6/25/21 @ 100*(a)(b) | 332,071 | ||||||
36,782 | TBW Mortgage Backed Pass-Through Certificates, Series 2006-2, Class 7A1, 7.00%, 7/25/36, Callable 6/25/21 @ 100* | 7,585 | ||||||
207,005 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-3, Class 1CB5, 5.50%, 5/25/35, Callable 6/25/21 @ 100* | 206,127 | ||||||
5,566 | Washington Mutual Mortgage Pass-Through Certificates, Series 2004-CB1, Class 4A, 6.00%, 6/25/34, Callable 6/25/21 @ 100* | 5,851 | ||||||
52,943 | Washington Mutual Mortgage Pass-Through Certificates, Series 2004-RA1, Class 2A, 7.00%, 3/25/34, Callable 5/25/28 @ 100* | 56,358 | ||||||
223,681 | Wells Fargo Mortgage Backed Securities Trust, Series 2019-4, Class A3, 3.43%, 9/25/49, Callable 12/25/22 @ 100*(a)(b) | 224,122 | ||||||
224,668 | Wells Fargo Mortgage Backed Securities Trust, Series 2019-3, Class A1, 3.50%, 7/25/49, Callable 7/25/22 @ 100*(a)(b) | 228,492 | ||||||
213,600 | WinWater Mortgage Loan Trust, Series 2015-1, Class A1, 3.50%, 1/20/45, Callable 9/20/21 @ 100*(a)(b) | 217,038 | ||||||
3,565,271 | ||||||||
Subprime Mortgage Backed Securities (1.0%) | ||||||||
418,282 | Towd Point Mortgage Trust, Series 2017-6, Class A1, 2.75%, 10/25/57, Callable 7/25/24 @ 100*(a)(b) | 430,150 | ||||||
187,682 | Towd Point Mortgage Trust, Series 2018-1, Class A1, 3.00%, 1/25/58, Callable 7/25/25 @ 100*(a)(b) | 194,236 | ||||||
446,886 | Towd Point Mortgage Trust, Series 2018-2, Class A1, 3.25%, 3/25/58, Callable 11/25/25 @ 100*(a)(b) | 464,724 | ||||||
1,089,110 |
See notes to the schedule of portfolio investments.
- 13 -
Schedule of Portfolio Investments | Bond Fund |
May 31, 2021 (Unaudited) | Continued |
Shares
or Principal Amount |
Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
U.S. Government Agency Mortgage Backed Securities (9.2%) | ||||||||
$ | 150,222 | Fannie Mae, Series 2010-102, Class PE, 2.00%, 9/25/40 | $ 154,771 | |||||
271,711 | Fannie Mae, Series 2012-111, Class EC, 2.00%, 12/25/41 | 279,826 | ||||||
427,616 | Fannie Mae, Series 2012-30, Class BA, 2.00%, 6/25/41 | 441,831 | ||||||
414,486 | Fannie Mae, Series 2012-83, Class AH, 2.00%, 11/25/41 | 425,474 | ||||||
202,014 | Fannie Mae, Series 2013-18, Class 10A1, 2.00%, 12/25/42 | 207,579 | ||||||
177,980 | Fannie Mae, Series 2013-23, Class AB, 2.00%, 2/25/43 | 184,544 | ||||||
662,242 | Fannie Mae, Series 2020-54, Class TA, 2.00%, 5/25/43 | 681,055 | ||||||
238,110 | Fannie Mae, Series 2012-30, Class CB, 2.25%, 10/25/41 | 246,634 | ||||||
78,270 | Fannie Mae, Series 2013-74, Class 10A1, 2.25%, 6/25/42(a) | 81,029 | ||||||
10,375 | Fannie Mae, 2.43% (H15T1Y + 231 bps), 12/1/27, Pool #422279 | 10,448 | ||||||
230,106 | Fannie Mae, Series 2, Class JD, 2.50%, 2/25/50 | 235,863 | ||||||
150,742 | Fannie Mae, Series 2010-100, Class LA, 2.50%, 7/25/40 | 157,321 | ||||||
227,596 | Fannie Mae, Series 2012-111, Class QC, 2.50%, 5/25/42 | 237,409 | ||||||
72,610 | Fannie Mae, Series 2014-61, Class P, 2.50%, 7/25/44 | 76,063 | ||||||
717,592 | Fannie Mae, Series 2017-M5, Class A1, 2.74%, 4/25/29 | 767,801 | ||||||
97,710 | Fannie Mae, Series 2011-118, Class 10A1, 3.00%,11/25/41 | 104,711 | ||||||
376,522 | Fannie Mae, Series 2014-33, Class PE, 3.00%, 4/25/43 | 394,308 | ||||||
85,409 | Fannie Mae, Series 2014-72, Class KA, 3.00%, 10/25/44 | 90,227 | ||||||
338,041 | Fannie Mae, Series 2015-59, Class LM, 3.00%, 7/25/45 | 358,230 | ||||||
770,567 | Fannie Mae, Series 2018-M12, Class A1, 3.55%, 2/25/30 | 862,820 | ||||||
915,912 | Fannie Mae, Series 2018-M13, Class A1, 3.70%, 3/25/30(a) | 1,039,425 | ||||||
25,069 | Fannie Mae, Series 2012-16, Class K, 4.00%, 10/25/41 | 26,858 | ||||||
14,210 | Fannie Mae, Series 2002-W11, Class AF5, 4.98%, 11/25/32, Callable 6/25/21 @ 100*(a)(c) | 15,241 | ||||||
242 | Fannie Mae, 5.00%, 8/1/33, Pool #730856 | 276 | ||||||
126 | Fannie Mae, 5.00%, 7/1/35, Pool #832198 | 145 | ||||||
188 | Fannie Mae, 5.50%, 2/1/33, Pool #683351 | 217 | ||||||
108 | Fannie Mae, 5.50%, 9/1/34, Pool #725773 | 126 | ||||||
1,524 | Fannie Mae, Series 1998-36, Class ZB, 6.00%, 7/18/28 | 1,704 | ||||||
2,036 | Fannie Mae, Series 1993-82, Class H, 7.00%, 5/25/23 | 2,125 | ||||||
574 | Fannie Mae, Series 1991-171, Class J, 8.00%, 12/25/21 | 581 | ||||||
28,322 | Fannie Mae Whole Loan, Series 2003-W6, Class 6A, 3.36%, 8/25/42, Callable 6/25/21 @ 100*(a) | 29,556 |
Shares
or Principal Amount |
Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
U.S. Government Agency Mortgage Backed Securities, continued: | ||||||||
$ | 44,748 | Freddie Mac, Series 4146, Class 10A1, 1.50%, 10/15/42 | $ | 45,699 | ||||
57,257 | Freddie Mac, Series 3936, Class LA, 2.00%, 6/15/40 | 57,698 | ||||||
40,915 | Freddie Mac, Series 3997, Class AE, 2.00%, 4/15/40 | 41,203 | ||||||
127,015 | Freddie Mac, Series 4019, Class GB, 2.00%, 12/15/41 | 131,379 | ||||||
117,655 | Freddie Mac, Series 4461, Class EA, 2.00%, 7/15/37 | 120,821 | ||||||
3,044 | Freddie Mac, 2.25% (H15T1Y + 213 bps), 4/1/24, Pool #409624 | 3,053 | ||||||
364,925 | Freddie Mac, Series 3913, Class PC, 2.50%, 3/15/41 | 374,474 | ||||||
112,075 | Freddie Mac, Series 4009, Class PK, 2.50%, 6/15/41, Callable 10/15/31 @ 100* | 116,379 | ||||||
250,240 | Freddie Mac, Series 4312, Class 10A1, 2.50%, 12/15/41 | 258,502 | ||||||
122,841 | Freddie Mac, Series 4316, Class JY, 3.00%, 1/15/44 | 130,854 | ||||||
206,188 | Freddie Mac, Series 4348, Class A, 3.00%, 6/15/39 | 218,826 | ||||||
140,909 | Freddie Mac, Series 3721, Class PE, 3.50%, 9/15/40 | 151,955 | ||||||
52,562 | Freddie Mac, Series 3780, Class MK, 3.50%, 10/15/40 | 56,595 | ||||||
681 | Freddie Mac, Series 2610, Class VB, 5.50%, 7/15/24 | 722 | ||||||
205 | Freddie Mac, 6.00%, 7/1/35, Pool #A36085 | 231 | ||||||
1,325 | Freddie Mac, Series 2148, Class ZA, 6.00%, 4/15/29 | 1,496 | ||||||
782 | Freddie Mac, 6.50%, 2/1/36, Pool #G08113 | 926 | ||||||
9,491 | Freddie Mac, Series 2036, Class PD, 6.50%, 3/15/28 | 10,722 | ||||||
473 | Freddie Mac, Series 2278, Class H, 6.50%, 1/15/31 | 518 | ||||||
430 | Freddie Mac, Series 1281, Class I, 8.00%, 5/15/22, Callable 7/15/21 @ 100* | 438 | ||||||
159,752 | Government National Mortgage Assoc., Series 2013-69, 2.00%, 9/20/42 | 165,792 | ||||||
338,911 | Government National Mortgage Assoc., Series 2009-94, Class KB, 3.00%, 9/16/39 | 358,095 | ||||||
133,562 | Government National Mortgage Assoc., Series 2011-46, Class GJ, 3.25%, 1/16/41(a) | 143,717 | ||||||
247,112 | Government National Mortgage Assoc., Series 2019-85, Class MP, 3.50%, 6/20/49 | 257,060 | ||||||
21,393 | Government National Mortgage Assoc., Series 2009-93, Class HG, 4.00%, 9/16/39 | 22,816 | ||||||
1,206 | Government National Mortgage Assoc., 7.00%, 9/15/23, Pool #347688 | 1,222 | ||||||
7,548 | Government National Mortgage Assoc., 7.00%, 7/15/29, Pool #490215 | 8,420 | ||||||
2,548 | Government National Mortgage Assoc., 7.50%, 11/15/23, Pool #354701 | 2,683 | ||||||
9,796,494 | ||||||||
Total Mortgage Backed Securities (Cost $17,668,542) | 18,108,612 | |||||||
Corporate Bonds (32.0%) | ||||||||
Aerospace & Defense (1.4%) | ||||||||
1,450,000 | Boeing Co. (The), 3.25%, 2/1/28, Callable 12/1/27 @ 100* | 1,526,801 |
See notes to the schedule of portfolio investments.
- 14 -
Schedule of Portfolio Investments | Bond Fund |
May 31, 2021 (Unaudited) | Continued |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Corporate Bonds, continued | ||||||||
Airlines (1.0%) | ||||||||
$ | 995,426 | United Airlines Pass Through Trust, Series 2020-1, Class A, 5.88%, 4/15/29 | $ | 1,100,269 | ||||
Banks (4.3%) | ||||||||
1,940,000 | Bank of America Corp., 3.55% (US0003M + 78 bps), 3/5/24, Callable 3/5/23 @ 100 * | 2,046,356 | ||||||
1,100,000 | JPMorgan Chase & Co., 2.52% (SOFR + 204 bps), 4/22/31, Callable 4/22/30 @ 100 * | 1,116,376 | ||||||
1,300,000 | Wells Fargo & Co., 3.00%, 10/23/26 | 1,409,700 | ||||||
4,572,432 | ||||||||
Beverages (0.8%) | ||||||||
800,000 | PepsiCo, Inc., 2.75%, 3/19/30, Callable 12/19/29 @100* | 853,313 | ||||||
Capital Markets (2.3%) | ||||||||
1,300,000 | Goldman Sachs Group, Inc., 3.50%, 11/16/26, Callable 11/16/25 @ 100 * | 1,420,863 | ||||||
1,000,000 | LSEGA Financing PLC, 1.38%, 4/6/26, Callable 3/6/26 @ 100 *(b) | 1,004,796 | ||||||
2,425,659 | ||||||||
Diversified Financial Services (0.8%) | ||||||||
850,000 | Korea Development Bank, 2.75%, 3/19/23 | 885,334 | ||||||
Diversified Telecommunication Services (1.4%) | ||||||||
1,520,000 | AT&T, Inc., 3.50%, 9/15/53, Callable 3/15/53 @ 100 *(b) | 1,445,783 | ||||||
Electric Utilities (1.0%) | ||||||||
1,000,000 | Entergy Mississippi LLC, 3.25%, 12/1/27, Callable 9/1/27 @ 100 * | 1,091,804 | ||||||
Entertainment (0.7%) | ||||||||
715,000 | The Walt Disney Co., 2.00%, 9/1/29, Callable 6/1/29 @ 100* | 712,038 | ||||||
Equity Real Estate Investment Trusts (0.2%) | ||||||||
205,277 | JBG/Rockville NCI Campus LLC, Series 2010-A, 3.90%, 7/15/23 (b) | 209,500 | ||||||
Food Products (2.3%) | ||||||||
1,059,000 | Conagra Brands, Inc., 4.60%, 11/1/25, Callable 9/1/25 @ 100* | 1,212,027 | ||||||
320,000 | Mars, Inc., 0.88%, 7/16/26, Callable 6/16/26 @ 100 *(b) | 313,779 | ||||||
825,000 | Mars, Inc., 3.20%, 4/1/30, Callable 1/1/30 @ 100 *(b) | 894,716 | ||||||
2,420,522 | ||||||||
Health Care Providers & Services (3.4%) | ||||||||
700,000 | Ascension Health, Series B, 2.53%, 11/15/29, Callable 8/15/29 @ 100 * | 726,153 | ||||||
795,000 | Montefiore Medical Center, 2.15%, 10/20/26, Callable 4/20/26 @ 100 * | 831,703 | ||||||
1,050,000 | Partners Healthcare Syst, Inc., Series 2020, 3.19%, 7/1/49, Callable 1/1/49 @ 100 * | 1,079,167 | ||||||
890,000 | Sutter Health, 3.70%, 8/15/28, Callable 5/15/28 @100* | 983,823 | ||||||
3,620,846 | ||||||||
Hotels, Restaurants & Leisure (2.9%) | ||||||||
1,500,000 | Hyatt Hotels Corp., 4.38%, 9/15/28, Callable 6/15/28 @ 100* | 1,636,885 | ||||||
345,000 | Royal Caribbean Cruises, 5.25%, 11/15/22 | 356,319 | ||||||
1,000,000 | Starbucks Corp., 3.75%, 12/1/47, Callable 6/1/47 @ 100* | 1,053,660 | ||||||
3,046,864 | ||||||||
Household Durables (0.7%) | ||||||||
620,000 | Harman International Industries, Inc., 4.15%, 5/15/25, Callable 2/15/25 @ 100 * | 683,215 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Corporate Bonds, continued | ||||||||
Insurance (1.1%) | ||||||||
$ | 1,100,000 | Jackson National Life Global Funding, 2.65%, 6/21/24 (b) | $ | 1,158,934 | ||||
Internet & Direct Marketing Retail (1.0%) | ||||||||
1,000,000 | Expedia Group, Inc., 3.80%, 2/15/28, Callable 11/15/27 @ 100* | 1,078,023 | ||||||
IT Services (1.0%) | ||||||||
1,000,000 | International Business Machines Corp., 3.50%, 5/15/29 | 1,103,763 | ||||||
Oil, Gas & Consumable Fuels (1.9%) | ||||||||
1,000,000 | HollyFrontier Corp., 2.63%, 10/1/23 | 1,033,723 | ||||||
900,000 | Marathon Oil Corp., 4.40%, 7/15/27, Callable 4/15/27 @ 100* | 1,012,224 | ||||||
2,045,947 | ||||||||
Semiconductors & Semiconductor Equipment (1.7%) | ||||||||
1,245,000 | Broadcom, Inc., 4.75%, 4/15/29, Callable 1/15/29 @ 100* | 1,424,954 | ||||||
325,000 | Intel Corp., 3.25%, 11/15/49, Callable 5/15/49 @ 100* | 330,135 | ||||||
1,755,089 | ||||||||
Specialty Retail (1.1%) | ||||||||
1,000,000 | Lowe's Cos., Inc., 4.50%, 4/15/30, Callable 1/15/30 @ 100* | 1,169,076 | ||||||
Technology Hardware, Storage & Peripherals (1.0%) | ||||||||
1,000,000 | Apple, Inc., 3.20%, 5/11/27, Callable 2/11/27 @ 100* | 1,104,857 | ||||||
Total Corporate Bonds (Cost $32,944,712) | 34,010,069 | |||||||
Taxable Municipal Bonds (18.9%) | ||||||||
Georgia (1.7%) | ||||||||
1,665,000 | State of Georgia, Build America Bonds, GO, Series H,4.50%,11/1/25 | 1,829,101 | ||||||
Kentucky (0.7%) | ||||||||
750,000 | Lexington-Fayette Urban County Airport Board Corp. Revenue, 2.84%, 7/1/31 | 762,387 | ||||||
Massachusetts (1.2%) | ||||||||
1,150,000 | Massachusetts State College Building Authority Revenue, Series C, 2.44%, 5/1/28, ST APPROP | 1,217,291 | ||||||
Michigan (1.4%) | ||||||||
500,000 | Michigan State Housing Development Authority Revenue, Series B, 2.72%, 10/1/35, Continuously Callable @ 100 | 497,089 | ||||||
1,000,000 | Michigan State Housing Development Authority Revenue, Series B, 3.49%, 12/1/40, Continuously Callable @ 100 | 1,031,460 | ||||||
1,528,549 | ||||||||
New York (1.3%) | ||||||||
1,260,000 | New York City Transitional Finance Authority Revenue, Series F-3, 3.21%, 5/1/29, Continuously Callable @ 100 | 1,360,273 | ||||||
Oklahoma (2.6%) | ||||||||
500,000 | Grand River Dam Authority Revenue, Series B, 4.55%, 6/1/39, Continuously Callable @ 100 | 541,453 | ||||||
450,000 | The University of Oklahoma Revenue, Series C, 2.45%, 7/1/32, Continuously Callable @ 100 | 452,446 | ||||||
1,650,000 | University of Oklahoma Health Sciences Center General Revenue, Series A, 3.87%, 7/1/32, Continuously Callable @ 100 | 1,793,966 | ||||||
2,787,865 |
See notes to the schedule of portfolio investments.
- 15 -
Schedule of Portfolio Investments | Bond Fund |
May 31, 2021 (Unaudited) | Concluded |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Taxable Municipal Bonds, continued | ||||||||
Oregon (1.9%) | ||||||||
$ | 1,000,000 | State of Oregon, GO, Series O, 1.60%, 8/1/31, Continuously Callable @ 100 | $ | 979,497 | ||||
1,000,000 | State of Oregon, GO, Series O, 1.70%, 8/1/32, Continuously Callable @ 100 | 978,029 | ||||||
1,957,526 | ||||||||
Pennsylvania (1.2%) | ||||||||
1,110,000 | City of Bethlehem Lehigh and Northampton Countries, GO, Series C, 5.15%, 11/1/34, Pre-refunded 11/1/24 @ 100, AGM | 1,284,475 | ||||||
Texas (4.8%) | ||||||||
1,000,000 | Arlington Independent School District, GO, 5.00%, 2/15/26, PSF-GTD | 1,193,665 | ||||||
1,000,000 | Arlington Independent School District, GO, 5.00%, 2/15/27, PSF-GTD | 1,217,236 | ||||||
675,000 | Country of Galveston Texas, Build America Bonds, GO, 5.91%, 2/1/29 | 800,779 | ||||||
785,000 | Texas Transportation Commission State Highway Fund Revenue, 5.18%, 4/1/30 | 967,291 | ||||||
1,000,000 | Texas Transportation Commission, GO, 1.78%, 10/1/32 | 969,342 | ||||||
5,148,313 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Taxable Municipal Bonds, continued | ||||||||
Washington (2.1%) | ||||||||
$ | 1,200,000 | County of King WA Sewer Revenue, Series B, 1.86%, 1/1/33, Continuously Callable @ 100 | $ | 1,185,506 | ||||
1,070,000 | Pierce County School District No 10 Tacoma, GO, 1.90%, 12/1/33, SCH BD GTY | 1,058,044 | ||||||
Total Taxable Municipal Bonds (Cost $19,713,994) | 2,243,550 | |||||||
20,119,330 | ||||||||
U.S. Government Agency Securities (2.8%) | ||||||||
Federal Home Loan Banks | ||||||||
1,000,000 | 0.65%, 4/28/26, Callable 7/28/21 @ 100*(a) | 1,000,357 | ||||||
1,000,000 | 1.00%, 4/26/29, Callable 7/26/21 @ 100*(a) | 1,000,019 | ||||||
1,000,000 | 1.30%, 3/17/27, Callable 6/17/21 @ 100* | 997,566 | ||||||
Total U.S. Government Agency Securities (Cost $3,000,000) | 2,997,942 | |||||||
U.S. Treasury Obligations (16.0%) | ||||||||
U.S. Treasury Notes | ||||||||
3,255,000 | 1.13%, 2/15/31 | 3,119,205 | ||||||
4,557,000 | 1.38%, 10/15/22 | 4,635,679 | ||||||
4,547,000 | 2.00%, 4/30/24 | 4,772,219 | ||||||
4,233,000 | 2.25%, 2/15/27 | 4,532,452 | ||||||
Total U.S. Treasury Obligations (Cost $16,836,758) | 17,059,555 | |||||||
Investment in Affiliates (4.9%) | ||||||||
5,260,458 | Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.01%(d) | 5,260,458 | ||||||
Total Investment in Affiliates (Cost $5,260,458) | 5,260,458 | |||||||
Total Investments (Cost $104,871,747) - 100.6% | 107,081,334 | |||||||
Liabilities in excess of other assets — (0.6)% | (655,442 | ) | ||||||
Net Assets - 100.0% | $ | 106,425,892 |
(a) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at May 31, 2021. | |
(b) | Represents a restricted security, purchased under Rule 144A, Section 4(2), which is exempt from registration under the Securities Act of 1933, as amended. The security has been deemed liquid according to the policies and procedures adopted by the Board of Trustees. | |
(c) | Step Bond: Coupon rate is set for an initial period and then increased to a higher coupon rate at a specified date. The rate shown is the rate in effect at May 31, 2021. | |
(d) | Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at May 31, 2021. | |
* | Represents next call date. Additional subsequent call dates and amounts may apply to this security. | |
† | Mortgage backed securities are classified based on the characteristics of their underlying collateral, the fixed vs. variable nature of the obligations, and the credit standing of the mortgagors. The fixed or variable rate nature of securities interest payments to which the fund is entitled may not coincide with the payment nature of the collateral underlying the securities. |
AGM | Assured Guaranty Municipal Corporation |
GO | General Obligation |
H15T1Y | 1 Year Treasury Constant Maturity Rate |
LIBOR | London Interbank Offered Rate |
PSF-GTD | Public School Fund Guaranteed |
SCH BD GTY | School Board Guaranty |
SOFR | Secured Overnight Financing Rate |
US0001M | 1 Month US Dollar LIBOR |
US0003M | 3 Month US Dollar LIBOR |
See notes to the schedule of portfolio investments.
- 16 -
Schedule of Portfolio Investments | Strategic Enhanced Yield Fund |
May 31, 2021 (Unaudited) |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Asset Backed Securities (19.9%) | ||||||||
$ | 375,000 | AB Issuer LLC, Series 2021-1, Class A2, 3.73%, 7/30/51, Callable 1/30/26 @ 100*(a) | $ | 377,121 | ||||
151,548 | ABFC Trust, Series 2005-AQ1, Class A6, 4.59%, 1/25/35, Callable 6/25/21 @ 100*(b)(c) | 157,135 | ||||||
286,261 | ABFC Trust, Series 2005-HE2, Class M3, 0.89% (US0001M + 78 bps), 6/25/35, Callable 6/25/21@100* | 287,297 | ||||||
600,000 | Amur Equipment Finance Receivables LLC, Series 2021-1A, Class E, 4.13%, 3/20/28, Callable 2/20/25 @ 100*(d) | 599,459 | ||||||
570,813 | Asset Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1, 1.01% (US0001M + 90 bps), 8/25/34, Callable 6/25/21 @ 100* | 558,769 | ||||||
338,753 | Bayview Commercial Asset Trust, Series 2004-3, Class A1, 0.46% (US0001M + 56 bps), 1/25/35, Callable 6/25/21 @ 100*(a) | 335,598 | ||||||
19,868 | Bayview Financial Mortgage Pass Trust, Series 2005-D, Class AF4, 5.50%, 12/28/35, Callable 6/28/21 @ 100*(b) | 19,822 | ||||||
31,034 | Bayview Opportunity Master Fund Trust, Series 2017-RT1, Class A1, 3.00%, 3/28/57, Callable 4/28/22 @ 100*(a)(b) | 31,534 | ||||||
148,483 | Bear Stearns Structured Products Trust, Series 2007-EMX1, Class A2, 1.39% (US0001M + 130 bps), 3/25/37, Callable 10/25/22 @ 100*(a) | 148,301 | ||||||
23,428 | Centex Home Equity Loan Trust, Series 2002-A, Class AF6, 5.54%, 1/25/32, Callable 6/25/21 @ 100* | 24,184 | ||||||
14,216 | Centex Home Equity Loan Trust, Series 2005-A, Class AF5, 5.78%, 1/25/35, Callable 6/25/21 @ 100*(b)(c) | 14,192 | ||||||
52 | Countrywide Asset-Backed Certificates Trust, Series 2004-13, Class AF5B, 4.66%, 5/25/35, Callable 6/25/21 @ 100*(b)(c) | 52 | ||||||
163,238 | Credit-Based Asset Servicing And Securitization LLC, Series 2005-RP2, Class M2, 1.69% (US0001M + 160 bps), 9/25/35, Callable 3/25/22 @ 100*(a) | 165,178 | ||||||
200,183 | Credit-Based Asset Servicing And Securitization LLC, Series 2007-SP1, Class A4, 4.89%, 12/25/37, Callable 6/25/21 @ 100*(a)(b)(c) | 203,236 | ||||||
33,116 | GSAA Home Equity Trust, Series 2005-1, Class M1, 5.80%, 11/25/34, Callable 6/25/21 @ 100*(b)(c) | 33,603 | ||||||
244,831 | GSAMP Trust, Series 2006-HE1, Class M1, 0.68% (US0001M + 39 bps), 1/25/36, Callable 6/25/21 @ 100* | 244,732 | ||||||
182,490 | MASTR Asset Backed Securities Trust, Series 2004-FRE1, Class M6, 2.19% (US0001M + 210 bps), 7/25/34, Callable 6/25/21 @ 100* | 182,935 | ||||||
504,350 | Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC3, Class M1, 1.44% (US0001M + 135 bps), 3/25/33, Callable 6/25/21 @ 100* | 507,215 | ||||||
290,000 | Neighborly Issuer LLC, Series 2021-1A, Class A2, 3.58%, 4/30/51, Callable 10/30/26 @ 100*(a) | 296,858 | ||||||
464,250 | NovaStar Mortgage Funding Trust, Series 2003-4, Class A1, 0.83% (US0001M + 74 bps), 2/25/34, Callable 6/25/21 @ 100* | 457,154 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Asset Backed Securities, continued | ||||||||
$ | 62,084 | Quest Trust, Series 2005-X1, Class M2, 1.29% (US0001M + 120 bps), 3/25/35, Callable 6/25/21 @ 100*(a) | $ | 62,130 | ||||
27,413 | Residential Asset Mortgage, Series 2004-RS12, Class MI1, 5.62%, 12/25/34, Callable 6/25/21 @ 100*(b)(c) | 28,374 | ||||||
49,423 | Residential Asset Securities Corp., Series 2004-KS8, Class MI1, 5.34%, 9/25/34, Callable 6/25/21 @ 100*(b) | 50,880 | ||||||
78,264 | Saxon Asset Securities Trust, Series 2007-1, Class A2C, 0.24% (US0001M + 15 bps), 1/25/47, Callable 7/25/23 @ 100* | 77,626 | ||||||
149,272 | Specialty Underwriting & Residential Finance, Series 2003-BC4, Class A3B, 4.79%, 11/25/34, Callable 6/25/21 @ 100*(b) | 153,599 | ||||||
Total Asset Backed Securities (Cost $4,956,989) | 5,016,984 | |||||||
Mortgage Backed Securities† (30.0%) | ||||||||
Alt-A - Fixed Rate Mortgage Backed Securities (3.7%) | ||||||||
22,030 | Bear Stearns Asset-Backed Securities Trust, Series 2004-AC3, Class A1, 5.25%, 6/25/34, Callable 6/25/21 @ 100*(b)(c) | 22,742 | ||||||
15,974 | Countrywide Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.50%, 7/25/34, Callable 6/25/21 @ 100* | 16,401 | ||||||
17,720 | Countrywide Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.50%, 8/25/34, Callable 6/25/21 @ 100* | 18,202 | ||||||
99,860 | Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.75%, 12/25/33, Callable 6/25/21 @1 00* | 103,159 | ||||||
36,574 | Countrywide Alternative Loan Trust, Series 2004-16CB, Class 4A3, 6.00%, 8/25/34, Callable 6/25/21 @ 100* | 37,063 | ||||||
34,154 | Countrywide Alternative Loan Trust, Series 2004-J2, Class 2A1, 6.50%, 3/25/34, Callable 6/25/21 @ 100* | 34,910 | ||||||
12,130 | MASTR Alternative Loans Trust, Series 2004-11, Class 6A1, 5.50%, 10/25/34, Callable 6/25/21 @ 100* | 12,631 | ||||||
103,890 | MASTR Alternative Loans Trust, Series 2004-7, Class 1A1, 5.50%, 7/25/34, Callable 6/25/21 @ 100* | 107,839 | ||||||
137,667 | MASTR Alternative Loans Trust, Series 2003-3, Class 2A5, 6.00%, 5/25/33, Callable 6/25/21 @ 100* | 142,880 | ||||||
37,388 | MASTR Alternative Loans Trust, Series 2004-5, Class 2A1, 6.00%, 6/25/34, Callable 6/25/21 @ 100* | 38,573 | ||||||
294,000 | Residential Asset Securitization Trust, Series 2003-A7, Class A8, 5.00%, 7/25/33, Callable 6/25/21 @ 100* | 307,391 | ||||||
67,000 | Residential Asset Securitization Trust, Series 2003-A10, Class A2, 5.20%, 9/25/33, Callable 6/25/21 @ 100* | 67,623 | ||||||
21,291 | Structured Asset Securities Corp., Series 2004-4XS, Class A3A, 5.15%, 2/25/34, Callable 6/25/21 @ 100*(b)(c) | 21,470 | ||||||
930,884 |
See notes to the schedule of portfolio investments.
- 17 -
Schedule of Portfolio Investments | Strategic Enhanced Yield Fund | |
May 31, 2021 (Unaudited) | Continued |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Prime Adjustable Rate Mortgage Backed Securities (13.0%) | ||||||||
$ | 57,758 | Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A5, 2.13%, 8/25/34, Callable 6/25/21 @ 100*(b) | $ | 59,045 | ||||
100,860 | Impac Secured Assets CMN Owner Trust, Series 2003-3, Class A1, 5.10%, 8/25/33, Callable 6/25/21 @ 100*(b) | 104,661 | ||||||
422,028 | LSTAR Securities Investment, Ltd., Series 2019-4, Class A1, 2.61% (US0001M + 150 bps), 5/1/24(a) | 419,844 | ||||||
702,249 | LSTAR Securities Investment, Ltd., Series 2019-3, Class A2, 3.61% (US0001M + 250 bps), 4/1/24, Callable 5/1/23 @ 100*(a) | 704,859 | ||||||
530,000 | LSTAR Securities Investment, Ltd., Series 2019-4, Class A2, 3.61% (US0001M + 250 bps), 5/1/24(a) | 543,712 | ||||||
500,000 | Mello Warehouse Securitization Trust, Series 2020-2, Class E, 2.34% (US0001M + 225 bps), 11/25/53, Callable 12/25/23 @ 100*(a) | 501,241 | ||||||
500,000 | Mello Warehouse Securitization Trust, Series 2021-1, Class G, 4.48% (US0001M + 438 bps), 2/25/55, Callable 2/25/24 @ 100*(a) | 502,484 | ||||||
136,713 | RBSSP Resecuritization Trust, Series 2011-3, Class 2A1, 0.36% (US0001M + 25 bps), 2/26/37(a) | 137,147 | ||||||
38,079 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 3A2, 2.48%, 9/25/34, Callable 6/25/21 @ 100*(b) | 38,947 | ||||||
36,046 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Class 3A, 2.65%, 7/25/34, Callable 6/25/21 @ 100*(b) | 38,626 | ||||||
153,094 | Terwin Mortgage Trust, Series 2006-9HGA, Class A2, 0.51% (US0001M + 20 bps), 10/25/37, Callable 6/25/21 @ 100*(a) | 152,004 | ||||||
83,404 | WinWater Mortgage Loan Trust, Series 2014-1, Class A1, 3.85%, 6/20/44, Callable 1/20/22 @ 100*(a)(b) | 84,433 | ||||||
3,287,003 | ||||||||
Prime Fixed Mortgage Backed Securities (8.1%) | ||||||||
134,861 | Alternative Loan Trust, Series 2004-18CB, Class 4A1, 5.50%, 9/25/34, Callable 6/25/21 @ 100* | 138,916 | ||||||
18,725 | Banc of America Funding Trust, Series 2004-3, Class 1A9, 5.50%, 10/25/34, Callable 6/25/21 @ 100* | 19,061 | ||||||
345,000 | Brean Asset Backed Securities Trust, Series 2021-RM1, Class M1, 1.60%, 10/25/63, Callable 9/25/27 @ 100*(d) | 315,486 | ||||||
8,991 | Citicorp Mortgage Securities Trust, Series 2006-3, Class 1A19, 5.75%, 6/25/36, Callable 6/25/21 @ 100* | 9,009 | ||||||
10,625 | Citicorp Mortgage Securities Trust, Series 2006-3, Class 1A3, 6.25%, 6/25/36, Callable 6/25/21 @ 100* | 10,847 | ||||||
117,498 | Countrywide Home Loans, Series 2005-6, Class 1A3, 5.15%, 4/25/35, Callable 6/25/21 @ 100* | 122,819 | ||||||
27,000 | Countrywide Home Loans, Series 2004-10, Class A4, 5.25%, 7/25/34, Callable 6/25/21 @ 100* | 28,147 | ||||||
86,000 | Countrywide Home Loans, Series 2004-4, Class A4, 5.25%, 5/25/34, Callable 6/25/21 @ 100* | 89,767 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Prime Fixed Mortgage Backed Securities, continued: | ||||||||
$ | 43,000 | Countrywide Home Loans, Series 2004-9, Class A5, 5.25%, 6/25/34, Callable 6/25/21 @ 100* | $ | 43,860 | ||||
225,000 | Countrywide Home Loans, Series 2005-5, Class A4, 5.40%, 3/25/35, Callable 6/25/21 @ 100* | 228,094 | ||||||
107,655 | Countrywide Home Loans, Series 2004-4, Class A9, 5.50%, 5/25/34, Callable 6/25/21 @ 100* | 108,220 | ||||||
51,000 | Countrywide Home Loans, Series 2004-8, Class 1A3, 5.50%, 7/25/34, Callable 6/25/21 @ 100* | 51,218 | ||||||
51,000 | Countrywide Home Loans, Series 2004-8, Class 1A7, 5.75%, 7/25/34, Callable 6/25/21 @ 100* | 51,789 | ||||||
10,924 | Credit Suisse Mortgage Trust, Series 2013-IVR2, Class AD, 1.55%, 4/25/43, Callable 10/25/22 @ 100*(a)(b) | 10,926 | ||||||
61,990 | GMAC Mortgage Loan Trust, Series 2004-J2, Class A8, 5.75%, 6/25/34, Callable 6/25/21 @ 100* | 62,969 | ||||||
102,687 | GSR Mortgage Loan Trust, Series 2004-10F, Class 6A1, 5.00%, 9/25/34, Callable 6/25/21 @ 100* | 103,763 | ||||||
255,000 | Mello Warehouse Securitization Trust, Series 2021-2, Class F, 4.84% (US0001M + 475 bps), 4/25/55, Callable 4/25/24 @ 100*(a) | 255,359 | ||||||
315,000 | NewRez Warehouse Securitization Trust, Series 2021-1, Class F, 5.34% (US0001M + 525 bps), 5/25/55, Callable 5/25/24 @ 100*(a) | 316,234 | ||||||
2,702 | Sequoia Mortgage Trust, Series 2013-4, Class A3, 1.55%, 4/25/43, Callable 6/25/22 @ 100*(b) | 2,701 | ||||||
59,000 | WaMu Mortgage Pass-Through Certificate, Series 2004-RS1, Class A3, 5.50%, 11/25/33, Callable 6/25/21 @ 100* | 60,362 | ||||||
2,029,547 | ||||||||
U.S. Government Agency Mortgage Backed Securities (5.2%) | ||||||||
73,659 | Fannie Mae, Series 2013-56, Class GM, 2.00%, 8/25/41 | 76,227 | ||||||
90,317 | Fannie Mae, Series 2003-W14, Class 2A, 3.88%, 1/25/43, Callable 6/25/21 @ 100*(b) | 94,621 | ||||||
191,980 | Fannie Mae, Series 2003-W13, Class AF5, 4.78%, 10/25/33, Callable 6/25/21 @ 100*(b)(c) | 216,717 | ||||||
129,037 | Fannie Mae, Series 2002-W11, Class AF5, 4.98%, 11/25/32, Callable 6/25/21 @ 100*(b)(c) | 138,398 | ||||||
143,651 | Fannie Mae, Series 2004-W3, Class A8, 5.50%, 5/25/34, Callable 6/25/21 @ 100* | 158,604 | ||||||
173,408 | Fannie Mae, Series 240, Class 11, 9.00%, 9/25/23 | 187,512 | ||||||
194,644 | Fannie Mae, Series 250, Class 11, 9.00%, 10/25/23 | 211,204 | ||||||
178,000 | Freddie Mac, 1.50%, 1/27/33, Callable 7/27/21 @ 100* | 170,404 | ||||||
57,895 | Freddie Mac, Series 2017-SC01, Class 2A, 3.50%, 12/25/46, Callable 5/25/25 @ 100* | 58,301 | ||||||
3,044 | Government National Mortgage Assoc., Series 2013-176, Class BE, 7.16%, 3/16/46, Callable 6/16/21 @ 100*(b) | 4,599 | ||||||
1,316,587 | ||||||||
Total Mortgage Backed Securities (Cost $7,467,639) | 7,564,021 |
See notes to the schedule of portfolio investments.
- 18 -
Schedule of Portfolio Investments | Strategic Enhanced Yield Fund |
May 31, 2021 (Unaudited) | Concluded |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Corporate Bonds (26.6%) | ||||||||
Aerospace & Defense (2.3%) | ||||||||
$ | 389,000 | Boeing Co. (The), 8.75%, 9/15/31 | $ | 572,891 | ||||
Airlines (3.0%) | ||||||||
416,780 | Alaska Airlines Pass Through Trust, Class B, 8.00%, 2/15/27 (a) | 467,898 | ||||||
284,164 | American Airlines Pass-Through Trust, Class A, 4.95%,7/15/24 | 287,009 | ||||||
754,907 | ||||||||
Banks (3.3%) | ||||||||
543,000 | Citigroup, Inc., 4.00% (H15T5Y + 360 bps), 12/31/99, Callable 12/10/25 @ 100* | 553,860 | ||||||
273,000 | Wells Fargo & Co., 3.90% (H15T5Y + 345 bps), 12/31/99, Callable 3/15/26 @ 100* | 279,839 | ||||||
833,699 | ||||||||
Capital Markets (4.4%) | ||||||||
500,000 | Goldman Sachs Group, Inc. (The), 3.80% (H15T5Y + 297 bps), 12/31/99, Callable 5/10/26 @ 100* | 500,750 | ||||||
605,000 | Goldman Sachs Group, Inc. (The), 5.00% (US0003M + 287 bps), 12/31/99, Callable 11/10/22 @ 100* | 608,128 | ||||||
1,108,878 | ||||||||
Chemicals (1.8%) | ||||||||
400,000 | Monsanto Co., 5.50%, 7/30/35 | 457,608 | ||||||
Oil, Gas & Consumable Fuels (3.4%) | ||||||||
287,000 | HollyFrontier Corp., 4.50%, 10/1/30, Callable 7/1/30 @ 100* | 300,858 | ||||||
26,000 | ONEOK, Inc., 5.85%, 1/15/26, Callable 12/15/25 @ 100* | 30,836 | ||||||
425,000 | ONEOK, Inc., 6.35%, 1/15/31, Callable 10/15/30 @ 100* | 538,911 | ||||||
870,605 | ||||||||
Sovereign Bond (1.8%) | ||||||||
450,000 | International Bank for Reconstruction & Development, 2.70%, 12/28/37, Callable 12/28/22 @ 100* | 447,137 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Corporate Bonds, continued | ||||||||
Technology Hardware, Storage & Peripherals (1.1%) | ||||||||
$ | 209,000 | Hewlett Packard Enterprise Co., 6.35%, 10/15/45, Callable 4/15/45 @ 100* | $ | 276,196 | ||||
Tobacco (5.5%) | ||||||||
180,000 | Altria Group, Inc., 5.95%, 2/14/49, Callable 8/14/48 @ 100* | 221,366 | ||||||
546,000 | BAT Capital Corp., 4.91%, 4/2/30, Callable 1/2/30 @ 100* | 618,642 | ||||||
156,000 | Philip Morris International, Inc., 6.38%, 5/16/38 | 217,404 | ||||||
227,000 | Reynolds American, Inc., 8.13%, 5/1/40 | 323,527 | ||||||
Total Corporate Bonds (Cost $6,689,458) | 1,380,939 | |||||||
6,702,860 | ||||||||
U.S. Government Agency Securities (8.0%) | ||||||||
Federal Farm Credit Banks | ||||||||
1,000,000 | 1.99%, 9/24/40, Callable 9/24/21 @ 100* | 936,263 | ||||||
150,000 | 2.00%, 5/14/40, Callable 5/14/25 @ 100* | 141,401 | ||||||
230,000 | 2.13%, 5/21/40, Callable 6/17/21 @ 100* | 221,207 | ||||||
1,298,871 | ||||||||
Federal Home Loan Banks | ||||||||
220,000 | 1.92%, 6/4/37, Callable 6/17/21 @ 100* | 211,081 | ||||||
220,000 | 1.95%, 6/3/36, Callable 6/17/21 @ 100* | 214,197 | ||||||
285,000 | 2.00%, 5/4/35, Callable 6/17/21 @ 100* | 281,892 | ||||||
Total U.S. Government Agency Securities (Cost $2,104,514) | 707,170 | |||||||
2,006,041 | ||||||||
Investment Companies (4.3%) | ||||||||
12,511 | iShares IBoxx High Yield Corporate Bond ETF, 4.65% | 1,090,709 | ||||||
Total Investment Companies (Cost $1,086,674) | 1,090,709 | |||||||
Investment in Affiliates (10.9%) | ||||||||
2,747,312 | Cavanal Hill Government Securities Money Market | |||||||
Fund, Select Shares, 0.01%(e) | 2,747,312 | |||||||
Total Investment in Affiliates (Cost $2,747,312) | 2,747,312 | |||||||
Total Investments (Cost $25,052,586) - 99.7% | 25,127,927 | |||||||
Other assets in excess of liabilities — 0.3% | 66,165 | |||||||
Net Assets - 100.0% | $ | 25,194,092 |
(a) | Represents a restricted security, purchased under Rule 144A, Section 4(2), which is exempt from registration under the Securities Act of 1933, as amended. The security has been deemed liquid according to the policies and procedures adopted by the Board of Trustees. | |
(b) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at May 31, 2021. | |
(c) | Step Bond: Coupon rate is set for an initial period and then increased to a higher coupon rate at a specified date. The rate shown is the rate in effect at May 31, 2021. | |
(d) | Represents a restricted security, purchased under Rule 144A, Section 4(2), which is exempt from registration under the Securities Act of 1933, as amended. The security has been deemed illiquid according to the policies and procedures adopted by the Board of Trustees. At May 31, 2021, illiquid securities were 3.6% of the Fund's net assets. | |
(e) | Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at May 31, 2021. | |
* | Represents next call date. Additional subsequent call dates and amounts may apply to this security. | |
† | Mortgage backed securities are classified based on the characteristics of their underlying collateral, the fixed vs. variable nature of the obligations, and the credit standing of the mortgagors. The fixed or variable rate nature of securities interest payments to which the fund is entitled may not coincide with the payment nature of the collateral underlying the securities. |
ETF | Exchange Traded Fund |
H15T5Y | 5 Year Treasury Constant Maturity Rate |
LIBOR | London Interbank Offered Rate |
US0001M | 1 Month US Dollar LIBOR |
US0003M | 3 Month US Dollar LIBOR |
See notes to the schedule of portfolio investments.
- 19 -
Schedule of Portfolio Investments | Ultra Short Tax-Free Income Fund |
May 31, 2021 (Unaudited) |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Municipal Bonds (104.4%) | ||||||||
Alaska (0.3%) | ||||||||
$ | 100,000 | City of Valdez Alaska Revenue, Series C, 0.02%, 12/1/29, Continuously Callable @ 100, GTY(a) | $ | 100,000 | ||||
Colorado (4.3%) | ||||||||
1,505,000 | City of Colorado Springs, Colorado Variable Rate Demand Utilities System Improvement Revenue, Series C, 0.04%, 11/1/40, Continuously Callable @ 100, Barclays Bank(a) | 1,505,000 | ||||||
Connecticut (2.2%) | ||||||||
750,000 | Town of Griswold CT, GO, 1.25%, 7/19/21 | 750,837 | ||||||
District of Columbia (3.8%) | ||||||||
1,325,000 | Metropolitan Washington Airports Authority Revenue, Series D-1, 0.05%, 10/1/39, Continuously Callable @ 100, LOC(a) | 1,325,000 | ||||||
Florida (4.0%) | ||||||||
1,400,000 | Palm Beach County Revenue, 0.05%, 7/1/32, Callable 7/1/21 @ 100, Northern Trust Co.*(a) | 1,400,000 | ||||||
Illinois (16.7%) | ||||||||
1,400,000 | Channahon Illinois, Morris Hospital Revenue, 0.04%, 12/1/34, Continuously Callable @ 100, U.S. Bank NA(a) | 1,400,000 | ||||||
130,000 | City of Monmouth IL, GO, 4.00%, 12/1/21, BAM | 132,137 | ||||||
165,000 | City of Waukegan IL Water & Sewer System Revenue, 4.00%, 12/30/21, AGM | 168,528 | ||||||
525,000 | Cook County Community Unit School District No 401 Elmwood Park, GO, 3.00%, 12/1/21 | 532,214 | ||||||
340,000 | Cook County School District No 162 Matteson, GO, Series B, 3.00%, 12/1/21, BAM | 344,501 | ||||||
405,000 | Cook County School District No 88 Bellwood, GO, 4.00%,12/1/22 | 426,903 | ||||||
145,000 | County of Du Page IL, GO, 4.00%, 7/1/21 | 145,450 | ||||||
200,000 | Kankakee & Will Counties Community Unit School District No 5, GO, 5.00%, 12/1/21, BAM | 204,735 | ||||||
100,000 | Sangamon Logan & Menard Counties Community Unit School Dist No 15 Williamsville, GO, 5.00%,12/1/22, BAM | 106,402 | ||||||
1,300,000 | Village of Brookfield IL Revenue, 0.07%, 6/1/38, Continuously Callable @100, Northern Trust Co.(a) | 1,300,000 | ||||||
345,000 | Village of Franklin Park IL, GO, 3.00%, 7/1/23, AGC: ASSURED GUARANTY CORP | 363,535 | ||||||
170,000 | West Chicago Park District, GO, Series B, 3.00%, 12/1/22, BAM | 177,075 | ||||||
500,000 | Williamson & Johnson Counties Community Unit School District No 2 Marion, GO, 2.00%, 12/1/21, BAM | 503,762 | ||||||
5,805,242 | ||||||||
Indiana (13.5%) | ||||||||
1,400,000 | Beech Grove Central School Building Corp. Revenue, 2.00%, 7/15/21, Continuously Callable @ 100 | 1,400,680 | ||||||
500,000 | Brownsburg 1999 School Building Corp. Revenue, 1.50%, 5/13/22, Continuously Callable @ 100 | 502,141 | ||||||
750,000 | Hamilton Southeastern Consolidated School Building Corp. Revenue, 2.00%, 7/15/21 | 750,866 | ||||||
750,000 | Hamilton Southeastern Schools, GO, Series B, 3.00%, 12/31/21, ST INTERCEPT | 761,237 | ||||||
400,000 | Lafayette School Corp., GO, 4.00%, 7/15/21, ST INTERCEPT | 401,678 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Municipal Bonds, continued | ||||||||
Indiana, continued: | ||||||||
$ | 850,000 | Lafayette School Corp., GO, 4.00%, 1/15/22, ST INTERCEPT | $ | 868,838 | ||||
4,685,440 | ||||||||
Kentucky (4.7%) | ||||||||
380,000 | Bowling Green Independent School District Finance Corp. Revenue, 4.00%, 11/1/22, ST INTERCEPT | 399,872 | ||||||
200,000 | Kentucky Association of Counties Finance Corp. Revenue, 2.00%, 2/1/23 | 204,893 | ||||||
1,000,000 | Kentucky Interlocal School Transportation Association, 1.25%, 3/1/23, STATE INTERCEPT PROG FOR HIGHER ED | 1,014,528 | ||||||
1,619,293 | ||||||||
Lousiana (1.0%) | ||||||||
325,000 | Lafourche Parish School Board, GO, 5.00%, 3/1/22 | 336,308 | ||||||
Minnesota (4.0%) | ||||||||
1,400,000 | City of Minneapolis MN Revenue, Series B, 0.06%, 12/1/27, Callable 7/1/21 @ 100, WELLS FARGO*(a) | 1,400,000 | ||||||
Mississippi (4.0%) | ||||||||
400,000 | County of Jackson MS Revenue, 0.01%, 6/1/23, Callable 7/1/21 @ 100*(a) | 400,000 | ||||||
1,000,000 | Mississippi Business Finance Corp. Revenue, Series G, 0.01%, 11/1/35, Callable 7/1/21 @ 100*(a) | 1,000,000 | ||||||
1,400,000 | ||||||||
Missouri (1.2%) | ||||||||
200,000 | Nixa Public Schools, 4.00%, 4/1/22 | 206,056 | ||||||
185,000 | Nixa Public Schools, 4.00%, 4/1/23 | 197,123 | ||||||
403,179 | ||||||||
Nevada (3.9%) | ||||||||
1,350,000 | County of Clark Nevada Industrial Development Revenue, Series A, 0.08%, 12/1/39, Continuously Callable @ 100, Bank of America(a) | 1,350,000 | ||||||
Oregon (3.5%) | ||||||||
1,200,000 | State of Oregon, GO, 0.05%, 12/1/36, Continuously Callable @ 100, Unicredit SpA(a) | 1,200,000 | ||||||
Pennsylvania (4.1%) | ||||||||
125,000 | City of Allentown PA, GO, 4.00%, 10/1/21, BAM | 126,491 | ||||||
1,300,000 | Philadelphia Pennsylvania, GO, Series B, 0.04%, 8/1/31, Continuously Callable @ 100, Barclays Bank(a) | 1,300,000 | ||||||
1,426,491 | ||||||||
Rhode Island (4.0%) | ||||||||
1,400,000 | Rhode Island Health and Educational Building Corp. Revenue, 0.04%, 9/1/43, Callable 7/1/21 @ 100, Northern Trust Co.*(a) | 1,400,000 | ||||||
Tennessee (10.8%) | ||||||||
400,000 | Clarksville Public Building Authority Revenue, 0.04%, 1/1/33, Callable 7/1/21 @ 100, BAM*(a) | 400,000 | ||||||
255,000 | County of Fayette TN, GO, 2.00%, 3/1/23 | 262,573 | ||||||
500,000 | County of Hawkins TN, GO, 3.00%, 3/1/22 | 510,168 | ||||||
1,200,000 | Loudon Industrial Development Board Revenue, 0.05%, 6/1/23, Continuously Callable @ 100, CITI: CITIGROUP(a) | 1,200,000 |
See notes to the schedule of portfolio investments.
- 20 -
Schedule of Portfolio Investments | Ultra Short Tax-Free Income Fund |
May 31, 2021 (Unaudited) | Concluded |
Shares
or Principal Amount | Security Description | Value | ||||||
Municipal Bonds, continued | ||||||||
Tennessee, continued: | ||||||||
$ | 1,400,000 | Montgomery County Public Building Authority Revenue, 0.11%, 11/1/27, Callable 7/1/21 @ 100, Bank of America*(a) | $ | 1,400,000 | ||||
3,772,741 | ||||||||
Texas (16.0%) | ||||||||
1,020,000 | Austin Texas Hotel Occupancy Tax Revenue, 0.08%, 11/15/29, Continuously Callable @100, JPM(a) | 1,020,000 | ||||||
215,000 | City of Austin TX Revenue, 5.00%, 11/15/22, Continuously Callable @100, AGC: ASSURED GUARANTY CORP. | 219,755 | ||||||
100,000 | City of Elgin TX, GO, 4.00%, 7/15/22, AGC: ASSURED GUARANTY CORP. | 104,085 | ||||||
100,000 | City of Elgin TX, GO, 4.00%, 7/15/22, AGC: ASSURED GUARANTY CORP. | 104,085 | ||||||
100,000 | City of Elgin TX, GO, 4.00%, 7/15/23, AGC: ASSURED GUARANTY CORP. | 107,580 | ||||||
100,000 | City of Elgin TX, GO, 4.00%, 7/15/23, AGC: ASSURED GUARANTY CORP. | 107,580 | ||||||
200,000 | Fort Bend County Municipal Utility District No.130,GO,2.00%,9/1/21,AGM | 200,554 | ||||||
265,000 | Fort Bend County Municipal Utility District No 130, GO, 2.00%, 9/1/22, AGM | 268,526 | ||||||
165,000 | Fort Bend County Municipal Utility District No 139, GO, 4.00%, 3/1/22, AGC: ASSURED GUARANTY CORP. | 169,548 | ||||||
180,000 | Fort Bend County Municipal Utility District No 139, GO, 4.00%, 3/1/23, AGC: ASSURED GUARANTY CORP. | 191,060 |
Shares
or Principal Amount | Security Description | Value | ||||||
Municipal Bonds, continued | ||||||||
Texas, continued: | ||||||||
$ | 380,000 | Fort Bend County Municipal Utility District No 169, GO, 3.00%, 12/1/21, AGM | $ | 384,744 | ||||
675,000 | Galveston County Municipal Utility District No 56, GO, 4.50%, 12/1/22, AGM | 717,064 | ||||||
170,000 | Grand Mission Municipal Utility District No 1, GO, 3.00%,9/1/22,AGM | 175,722 | ||||||
375,000 | Harris County Municipal Utility District NO 278, GO,4.00%,9/1/23 | 404,626 | ||||||
365,000 | Harris County Municipal Utility District No 287, GO, 2.00%, 9/1/21, AGM | 366,529 | ||||||
570,000 | Harris County Municipal Utility District No 287, GO, 2.00%, 9/1/22, AGM | 581,952 | ||||||
125,000 | Remington Municipal Utility District No 1, GO, 4.00%,9/1/21,AGM | 126,147 | ||||||
165,000 | Sienna Plantation Municipal Utility District No 12, GO, 3.00%, 9/1/22, AGC: ASSURED GUARANTY CORP. | 170,680 | ||||||
150,000 | Spring West Municipal Utility District, GO, 3.00%, 9/1/21,AGM | 151,036 | ||||||
5,571,273 | ||||||||
Wisconsin (2.4%) | ||||||||
830,000 | City of Park Falls WI Water & Sewer System Revenue, 3.00%, 3/1/22 | 845,132 | ||||||
Total Municipal Bonds (Cost $36,277,503) | 36,295,936 | |||||||
Investment in Affiliates (0.2%) | ||||||||
57,064 | Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.01%(b) | 57,064 | ||||||
Total Investment in Affiliates (Cost $57,064) | 57,064 | |||||||
Total Investments (Cost $36,334,567) - 104.6% | 36,353,000 | |||||||
Liabilities in excess of other assets — (4.6)% | (1,587,029 | ) | ||||||
Net Assets - 100.0% | $ | 34,765,971 |
(a) | Interest rate is determined by the Remarketing Agent. The rate presented is the rate in effect at May 31, 2021. |
(b) | Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at May 31, 2021. |
* | Represents next call date. Additional subsequent call dates and amounts may apply to this security. |
AGC | Assured Guaranty Corporation |
AGM | Assured Guaranty Municipal Corporation |
BAM | Build America Mutual Assurance Company |
GO | General Obligation |
GTY | Guarantor Agreement |
JPM | J.P. Morgan Chase Bank |
LOC | Letter of Credit |
See notes to the schedule of portfolio investments.
- 21 -
Schedule of Portfolio Investments | Active Core Fund |
May 31, 2021 (Unaudited) |
Shares
or Principal Amount | Security Description | Value | ||||||
Common Stocks (54.6%) | ||||||||
Aerospace & Defense (0.7%) | ||||||||
317 | General Dynamics Corp. | $ | 60,201 | |||||
41 | HEICO Corp. | 5,759 | ||||||
38 | HEICO Corp., Class A | 5,034 | ||||||
150 | L3Harris Technologies, Inc. | 32,709 | ||||||
257 | Lockheed Martin Corp. | 98,225 | ||||||
75 | Northrop Grumman Corp. | 27,440 | ||||||
62 | Raytheon Technologies Corp. | 5,500 | ||||||
32 | Teledyne Technologies, Inc.(a) | 13,423 | ||||||
245 | The Boeing Co.(a) | 60,520 | ||||||
40 | TransDigm Group, Inc.(a) | 25,954 | ||||||
334,765 | ||||||||
Air Freight & Logistics (0.1%) | ||||||||
140 | United Parcel Service, Inc., Class B | 30,044 | ||||||
Airlines (1.0%) | ||||||||
20,000 | American Airlines Group, Inc.(a) | 484,800 | ||||||
694 | Delta Air Lines, Inc.(a) | 33,090 | ||||||
118 | Southwest Airlines Co.(a) | 7,252 | ||||||
525,142 | ||||||||
Auto Components (0.2%) | ||||||||
1,563 | BorgWarner, Inc. | 80,166 | ||||||
869 | Gentex Corp. | 30,850 | ||||||
59 | Lear Corp. | 11,408 | ||||||
122,424 | ||||||||
Automobiles (0.2%) | ||||||||
167 | Tesla, Inc.(a) | 104,412 | ||||||
Banks (1.8%) | ||||||||
1,872 | Bank of America Corp. | 79,354 | ||||||
728 | Citigroup, Inc. | 57,301 | ||||||
311 | East West Bancorp, Inc. | 23,256 | ||||||
2,388 | JPMorgan Chase & Co. | 392,205 | ||||||
735 | People's United Financial, Inc. | 13,899 | ||||||
69 | SVB Financial Group(a) | 40,219 | ||||||
170 | The PNC Financial Services Group, Inc. | 33,096 | ||||||
1,779 | Truist Financial Corp. | 109,907 | ||||||
2,199 | U.S. Bancorp | 133,655 | ||||||
283 | Western Alliance Bancorp | 28,303 | ||||||
911,195 | ||||||||
Beverages (0.7%) | ||||||||
63 | Coca-Cola Consolidated, Inc. | 25,510 | ||||||
567 | Monster Beverage Corp.(a) | 53,451 | ||||||
1,300 | PepsiCo, Inc. | 192,322 | ||||||
1,864 | The Coca-Cola Co. | 103,061 | ||||||
374,344 | ||||||||
Biotechnology (1.0%) | ||||||||
1,515 | AbbVie, Inc. | 171,498 | ||||||
252 | Amgen, Inc. | 59,961 | ||||||
225 | Biogen, Inc.(a) | 60,183 | ||||||
450 | Eagle Pharmaceuticals,Inc.(a) | 17,829 | ||||||
589 | Exact Sciences Corp.(a) | 65,102 | ||||||
308 | Exelixis, Inc.(a) | 6,945 | ||||||
439 | Gilead Sciences, Inc. | 29,022 | ||||||
50 | Moderna, Inc.(a) | 9,251 | ||||||
121 | Neurocrine Biosciences, Inc.(a) | 11,643 | ||||||
31 | Regeneron Pharmaceuticals, Inc.(a) | 15,575 | ||||||
347 | Sage Therapeutics, Inc.(a) | 24,151 | ||||||
37 | Sarepta Therapeutics, Inc.(a) | 2,799 | ||||||
125 | Vertex Pharmaceuticals, Inc.(a) | 26,079 | ||||||
500,038 | ||||||||
Building Products (0.3%) | ||||||||
266 | Allegion PLC | 37,368 | ||||||
171 | Carrier Global Corp. | 7,854 |
Shares
or Principal Amount | Security Description | Value | ||||||
Common Stocks, continued | ||||||||
Building Products, continued: | ||||||||
184 | CSW Industrials, Inc. | $ | 22,415 | |||||
146 | Lennox International, Inc. | 51,090 | ||||||
366 | Patrick Industries, Inc. | 31,366 | ||||||
245 | Simpson Manufacturing Co, Inc. | 27,518 | ||||||
177,611 | ||||||||
Capital Markets (2.4%) | ||||||||
260 | Ameriprise Financial, Inc. | 67,558 | ||||||
83 | BlackRock, Inc. | 72,794 | ||||||
492 | CME Group, Inc. | 107,630 | ||||||
307 | Cohen & Steers, Inc. | 22,451 | ||||||
658 | Evercore, Inc. | 95,976 | ||||||
1,057 | GAMCO Investors, Inc., Class A | 27,070 | ||||||
221 | Hamilton Lane, Inc., Class A | 19,972 | ||||||
313 | Houlihan Lokey, Inc. | 23,441 | ||||||
526 | Intercontinental Exchange, Inc. | 59,375 | ||||||
395 | LPL Financial Holdings, Inc. | 58,413 | ||||||
10 | MarketAxess Holdings, Inc. | 4,665 | ||||||
73 | Moody's Corp. | 24,481 | ||||||
195 | MSCI, Inc.,Class A | 91,285 | ||||||
414 | Nasdaq, Inc. | 69,328 | ||||||
290 | PJT Partners, Inc., Class A | 21,118 | ||||||
187 | S&P Global, Inc. | 70,961 | ||||||
315 | Stifel Financial Corp. | 21,823 | ||||||
332 | StoneX Group, Inc.(a) | 22,476 | ||||||
329 | T. Rowe Price Group, Inc. | 62,954 | ||||||
147 | The Bank of New York Mellon Corp. | 7,656 | ||||||
213 | The Charles Schwab Corp. | 15,730 | ||||||
637 | The Goldman Sachs Group, Inc. | 236,977 | ||||||
1,204,134 | ||||||||
Chemicals (0.9%) | ||||||||
578 | AdvanSix, Inc.(a) | 18,299 | ||||||
156 | Air Products & Chemicals, Inc. | 46,747 | ||||||
158 | Axalta Coating Systems, Ltd.(a) | 5,126 | ||||||
1,556 | CF Industries Holdings, Inc. | 82,733 | ||||||
146 | Chase Corp. | 15,476 | ||||||
1 | Corteva, Inc. | 45 | ||||||
1,431 | Dow, Inc. | 97,909 | ||||||
226 | Ecolab, Inc. | 48,608 | ||||||
512 | Hawkins, Inc. | 17,418 | ||||||
159 | Innospec, Inc. | 16,076 | ||||||
465 | Koppers Holdings, Inc.(a) | 16,122 | ||||||
41 | Linde PLC | 12,325 | ||||||
928 | Olin Corp. | 45,370 | ||||||
46 | PPG Industries, Inc. | 8,267 | ||||||
5 | The Scotts Miracle-Gro Co. | 1,087 | ||||||
185 | Westlake Chemical Corp. | 18,661 | ||||||
450,269 | ||||||||
Commercial Services & Supplies (0.3%) | ||||||||
279 | Cintas Corp. | 98,638 | ||||||
417 | Waste Management, Inc. | 58,663 | ||||||
157,301 | ||||||||
Communications Equipment (0.6%) | ||||||||
144 | Arista Networks, Inc.(a) | 48,870 | ||||||
2,592 | Cisco Systems, Inc. | 137,117 | ||||||
356 | Palo Alto Networks, Inc.(a) | 129,317 | ||||||
315,304 | ||||||||
Construction & Engineering (0.4%) | ||||||||
616 | Jacobs Engineering Group, Inc. | 87,521 | ||||||
681 | Primoris Services Corp. | 21,649 | ||||||
867 | Quanta Services, Inc. | 82,668 |
See notes to the schedule of portfolio investments.
- 22 -
Schedule of Portfolio Investments | Active Core Fund |
May 31, 2021 (Unaudited) | Continued |
Shares
or Principal Amount | Security Description | Value | ||||||
Common Stocks, continued | ||||||||
Construction & Engineering, continued: | ||||||||
1,013 | Sterling Construction Co, Inc.(a) | $ | 22,793 | |||||
214,631 | ||||||||
Construction Materials (0.1%) | ||||||||
177 | Vulcan Materials Co. | 32,448 | ||||||
Consumer Finance (0.3%) | ||||||||
382 | Capital One Financial Corp. | 61,418 | ||||||
663 | Enova International, Inc.(a) | 25,108 | ||||||
587 | Onemain Holdings, Inc. | 33,952 | ||||||
615 | Synchrony Financial | 29,157 | ||||||
157 | World Acceptance Corp.(a) | 25,216 | ||||||
174,851 | ||||||||
Containers & Packaging (0.5%) | ||||||||
317 | Amcor PLC | 3,741 | ||||||
263 | AptarGroup, Inc. | 38,742 | ||||||
688 | Ball Corp. | 56,526 | ||||||
1,346 | Berry Global Group, Inc.(a) | 91,811 | ||||||
222 | Packaging Corp. of America | 33,000 | ||||||
669 | Silgan Holdings, Inc. | 28,185 | ||||||
327 | UFP Technologies, Inc.(a) | 17,802 | ||||||
269,807 | ||||||||
Distributors (0.1%) | ||||||||
192 | Genuine Parts Co. | 25,175 | ||||||
65 | Pool Corp. | 28,376 | ||||||
53,551 | ||||||||
Diversified Consumer Services (0.3%) | ||||||||
113 | Bright Horizons Family Solutions, Inc.(a) | 15,620 | ||||||
476 | Chegg, Inc.(a) | 36,609 | ||||||
152 | H&R Block, Inc. | 3,773 | ||||||
1,758 | Perdoceo Education Corp.(a) | 21,430 | ||||||
1,209 | Stride, Inc.(a) | 32,498 | ||||||
465 | Terminix Global Holdings, Inc.(a) | 22,943 | ||||||
132,873 | ||||||||
Diversified Financial Services (0.5%) | ||||||||
499 | Berkshire Hathaway, Inc., Class B(a) | 144,430 | ||||||
2,259 | Jefferies Financial Group, Inc. | 72,582 | ||||||
357 | Voya Financial, Inc. | 23,391 | ||||||
240,403 | ||||||||
Diversified Telecommunication Services (0.5%) | ||||||||
3,223 | AT&T, Inc. | 94,853 | ||||||
2,800 | Verizon Communications, Inc. | 158,172 | ||||||
253,025 | ||||||||
Electric Utilities (0.7%) | ||||||||
95 | American Electric Power Co., Inc. | 8,170 | ||||||
75 | Duke Energy Corp. | 7,516 | ||||||
249 | Exelon Corp. | 11,235 | ||||||
1,498 | NextEra Energy, Inc. | 109,683 | ||||||
500 | OGE Energy Corp. | 17,250 | ||||||
397 | Otter Tail Corp. | 19,044 | ||||||
686 | Pinnacle West Capital Corp. | 58,022 | ||||||
2,373 | PPL Corp. | 69,078 | ||||||
3,000 | Spark Energy, Inc., Class A | 31,170 | ||||||
87 | Xcel Energy, Inc. | 6,167 | ||||||
337,335 | ||||||||
Electrical Equipment (0.6%) | ||||||||
162 | Acuity Brands, Inc. | 30,091 | ||||||
519 | Emerson Electric Co. | 49,663 | ||||||
225 | Generac Holdings,Inc.(a) | 73,962 | ||||||
580 | Regal-Beloit Corp. | 82,493 | ||||||
66 | Rockwell Automation, Inc. | 17,406 | ||||||
1,107 | Vertiv Holdings Co. | 27,476 | ||||||
281,091 |
Shares
or Principal Amount | Security Description | Value | ||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components (0.9%) | ||||||||
1,254 | Amphenol Corp., Class A | $ | 84,344 | |||||
608 | CDW Corp. | 100,576 | ||||||
2,932 | Corning, Inc. | 127,923 | ||||||
485 | Keysight Technologies, Inc.(a) | 69,054 | ||||||
1,157 | Kimball Electronics, Inc.(a) | 25,894 | ||||||
245 | National Instruments Corp. | 9,996 | ||||||
803 | Sanmina Corp.(a) | 33,814 | ||||||
451,601 | ||||||||
Energy Equipment & Services (0.2%) | ||||||||
572 | Cactus, Inc., Class A | 20,043 | ||||||
1,506 | National Energy Services Reunited Corp.(a) | 19,322 | ||||||
2,166 | Schlumberger NV | 67,861 | ||||||
107,226 | ||||||||
Entertainment (0.7%) | ||||||||
365 | Activision Blizzard, Inc. | 35,496 | ||||||
1,122 | Lions Gate Entertainment Corp., Class A(a) | 21,857 | ||||||
165 | Netflix, Inc.(a) | 82,964 | ||||||
55 | Spotify Technology SA(a) | 13,286 | ||||||
248 | Take-Two Interactive Software, Inc.(a) | 46,019 | ||||||
666 | The Walt Disney Co.(a) | 118,981 | ||||||
2,797 | Zynga,Inc.,Class A(a) | 30,319 | ||||||
348,922 | ||||||||
Equity Real Estate Investment Trusts (2.1%) | ||||||||
1,058 | American Homes 4 Rent, Class A | 40,278 | ||||||
165 | American Tower Corp. | 42,151 | ||||||
869 | Care Trust REIT, Inc. | 20,230 | ||||||
489 | Corporate Office Properties Trust | 13,496 | ||||||
889 | Crown Castle International Corp. | 168,466 | ||||||
1,127 | CubeSmart | 49,351 | ||||||
828 | Digital Reality Trust, Inc. | 125,492 | ||||||
965 | Duke Realty Corp. | 44,834 | ||||||
18 | Equinix, Inc. | 13,261 | ||||||
411 | Equity LifeStyle Properties, Inc. | 29,123 | ||||||
310 | Equity Residential | 24,009 | ||||||
331 | Extra Space Storage, Inc. | 49,587 | ||||||
1,473 | Getty Realty Corp. | 45,854 | ||||||
686 | Host Hotels & Resorts, Inc.(a) | 11,779 | ||||||
91 | Innovative Industrial Properties,Inc. | 16,401 | ||||||
1,358 | Lamar Advertising Co. | 142,346 | ||||||
374 | PotlatchDeltic Corp. | 22,515 | ||||||
390 | Prologis, Inc. | 45,958 | ||||||
135 | PS Business Parks, Inc. | 20,920 | ||||||
167 | Public Storage | 47,174 | ||||||
50 | SBA Communications Corp. | 14,906 | ||||||
46 | Simon Property Group, Inc. | 5,911 | ||||||
252 | SL Green Realty Corp. | 19,963 | ||||||
333 | Welltower, Inc. | 24,898 | ||||||
1,038,903 | ||||||||
Food & Staples Retailing (0.8%) | ||||||||
390 | BJ's Wholesale Club Holdings, Inc.(a) | 17,468 | ||||||
280 | Costco Wholesale Corp. | 105,915 | ||||||
320 | Ingles Markets, Inc., Class A | 19,821 | ||||||
1,224 | Sysco Corp. | 99,144 | ||||||
152 | The Kroger Co. | 5,621 | ||||||
145 | Walgreens Boots Alliance, Inc. | 7,636 | ||||||
1,089 | Wal-Mart Stores, Inc. | 154,671 | ||||||
410,276 | ||||||||
Food Products (0.5%) | ||||||||
121 | General Mills, Inc. | 7,606 | ||||||
456 | Ingredion, Inc. | 43,288 | ||||||
350 | Kellogg Co. | 22,922 |
See notes to the schedule of portfolio investments.
- 23 -
Schedule of Portfolio Investments | Active Core Fund | |
May 31, 2021 (Unaudited) | Continued |
Shares or Principal Amount | Security Description | Value | ||||||
Common Stocks, continued | ||||||||
Food Products, continued: | ||||||||
165 | Lamb Weston Holdings, Inc. | $ | 13,611 | |||||
93 | Lancaster Colony Corp. | 17,360 | ||||||
1,577 | Mondelez International, Inc., Class A | 100,187 | ||||||
180 | The Hershey Co. | 31,149 | ||||||
236,123 | ||||||||
Gas Utilities (0.1%) | ||||||||
666 | UGI Corp. | 30,669 | ||||||
Health Care Equipment & Supplies (1.9%) | ||||||||
1,081 | Abbott Laboratories | 126,099 | ||||||
15 | ABIOMED, Inc.(a) | 4,269 | ||||||
69 | Align Technology, Inc.(a) | 40,720 | ||||||
674 | Baxter International, Inc. | 55,349 | ||||||
246 | Becton Dickinson & Co. | 59,505 | ||||||
683 | Danaher Corp. | 174,944 | ||||||
32 | DexCom, Inc.(a) | 11,820 | ||||||
427 | Edwards Lifesciences Corp.(a) | 40,949 | ||||||
607 | Hill-Rom Holdings, Inc. | 67,547 | ||||||
904 | Hologic, Inc.(a) | 57,006 | ||||||
131 | IDEXX Laboratories, Inc.(a) | 73,112 | ||||||
477 | Medtronic PLC | 60,383 | ||||||
997 | Quidel Corp.(a) | 117,756 | ||||||
15 | ResMed, Inc. | 3,088 | ||||||
54 | STERIS PLC | 10,306 | ||||||
33 | Teleflex, Inc. | 13,272 | ||||||
39 | The Cooper Cos, Inc. | 15,345 | ||||||
1,116 | Zynex, Inc.(a) | 16,986 | ||||||
948,456 | ||||||||
Health Care Providers & Services (1.4%) | ||||||||
744 | Adapthealth Corp.(a) | 19,485 | ||||||
315 | AMN Healthcare Services, Inc.(a) | 27,940 | ||||||
450 | Anthem, Inc. | 179,199 | ||||||
96 | Chemed Corp. | 47,169 | ||||||
388 | CVS Health Corp. | 33,539 | ||||||
9 | Guardant Health, Inc.(a) | 1,117 | ||||||
32 | HCA Healthcare, Inc. | 6,873 | ||||||
528 | Joint Corp. (The)(a) | 37,530 | ||||||
180 | Molina Healthcare, Inc.(a) | 45,245 | ||||||
385 | National Research Corp. | 18,415 | ||||||
307 | Quest Diagnostics,Inc. | 40,423 | ||||||
838 | Select Medical Holdings Corp. | 33,579 | ||||||
281 | The Ensign Group, Inc. | 23,379 | ||||||
411 | UnitedHealth Group, Inc. | 169,299 | ||||||
683,192 | ||||||||
Health Care Technology (0.3%) | ||||||||
779 | Computer Programs & System, Inc. | 25,216 | ||||||
202 | Teladoc Health, Inc.(a) | 30,417 | ||||||
292 | Veeva Systems, Inc.(a) | 85,072 | ||||||
140,705 | ||||||||
Hotels, Restaurants & Leisure (2.2%) | ||||||||
551 | Darden Restaurants, Inc. | 78,920 | ||||||
803 | DraftKings, Inc., Class A(a) | 40,110 | ||||||
114 | Hilton Worldwide Holdings, Inc.(a) | 14,281 | ||||||
170 | McDonald's Corp. | 39,761 | ||||||
22,000 | Norwegian Cruise Line Holdings, Ltd.(a) | 701,800 | ||||||
370 | Six Flags Entertainment Corp.(a) | 16,809 | ||||||
1,635 | Starbucks Corp. | 186,194 | ||||||
72 | Yum China Holdings, Inc. | 4,870 | ||||||
119 | Yum! Brands, Inc. | 14,276 | ||||||
1,097,021 | ||||||||
Household Durables (0.1%) | ||||||||
525 | Garmin, Ltd. | 74,676 |
Shares or Principal Amount | Security Description | Value | ||||||
Common Stocks, continued | ||||||||
Household Products (0.4%) | ||||||||
356 | Central Garden & Pet Co.(a) | $ | 19,555 | |||||
320 | Church & Dwight Co, Inc. | 27,434 | ||||||
493 | Colgate-Palmolive Co. | 41,303 | ||||||
67 | Kimberly-Clark Corp. | 8,752 | ||||||
163 | The Clorox Co. | 28,807 | ||||||
647 | The Procter & Gamble Co. | 87,248 | ||||||
213,099 | ||||||||
Independent Power and Renewable Electricity Producers (0.0%^) | ||||||||
909 | AES Corp. | 23,097 | ||||||
12 | NRG Energy, Inc. | 386 | ||||||
23,483 | ||||||||
Industrial Conglomerates (0.6%) | ||||||||
1,111 | 3M Co. | 225,577 | ||||||
93 | Carlisle Cos, Inc. | 17,886 | ||||||
257 | Honeywell International, Inc. | 59,344 | ||||||
54 | Roper Technologies, Inc. | 24,301 | ||||||
327,108 | ||||||||
Insurance (1.3%) | ||||||||
96 | AON PLC, Class A. | 24,324 | ||||||
213 | Athene Holdings, Ltd. Class A(a) | 13,340 | ||||||
874 | Brighthouse Financial, Inc.(a) | 42,529 | ||||||
27 | Chubb, Ltd. | 4,590 | ||||||
132 | Cincinnati Financial Corp. | 16,066 | ||||||
1,106 | FNF Group | 51,971 | ||||||
1,956 | Heritage Insurance Holdings | 16,293 | ||||||
80 | Marsh & McLennan Cos., Inc. | 11,068 | ||||||
1,931 | Prudential Financial, Inc. | 206,559 | ||||||
395 | The Allstate Corp. | 53,961 | ||||||
165 | The Hanover Insurance Group, Inc. | 23,016 | ||||||
1,087 | The Hartford Financial Services Group, Inc. | 71,035 | ||||||
203 | The Progressive Corp. | 20,113 | ||||||
46 | Travelers Companies, Inc. | 7,346 | ||||||
3,033 | Unum Group | 93,932 | ||||||
656,143 | ||||||||
Interactive Media & Services (2.1%) | ||||||||
110 | Alphabet, Inc., Class A(a) | 259,253 | ||||||
139 | Alphabet, Inc., Class C(a) | 335,207 | ||||||
710 | Cargurus, Inc.(a) | 20,036 | ||||||
1,062 | Facebook, Inc., Class A(a) | 349,111 | ||||||
475 | Snap, Inc, Class A(a) | 29,507 | ||||||
497 | Yelp, Inc.(a) | 19,935 | ||||||
735 | ZoomInfo Technologies, Inc., Class A(a) | 32,215 | ||||||
1,045,264 | ||||||||
Internet & Direct Marketing Retail (3.1%) | ||||||||
189 | Amazoncom, Inc.(a) | 609,160 | ||||||
307 | Booking Holdings, Inc.(a) | 724,996 | ||||||
405 | eBay, Inc. | 24,656 | ||||||
328 | Etsy, Inc.(a) | 54,031 | ||||||
847 | Expedia Group, Inc.(a) | 149,877 | ||||||
1,562,720 | ||||||||
IT Services (2.1%) | ||||||||
272 | Accenture PLC, Class A | 76,748 | ||||||
30 | Akamai Technologies, Inc.(a) | 3,426 | ||||||
819 | Alliance Data Systems Corp. | 99,140 | ||||||
119 | Automatic Data Processing, Inc. | 23,327 | ||||||
82 | Booz Allen Hamilton Holding Corp. | 6,964 | ||||||
96 | CACI International, Inc., Class A(a) | 24,476 | ||||||
612 | CSG Systems International, Inc. | 26,953 | ||||||
774 | DXC Technology Co.(a) | 29,350 | ||||||
192 | Fidelity National Information Services, Inc. | 28,604 | ||||||
94 | Fiserv, Inc.(a) | 10,829 |
See notes to the schedule of portfolio investments.
- 24 -
Schedule of Portfolio Investments | Active Core Fund |
May 31, 2021 (Unaudited) | Continued |
Shares or Principal Amount | Security Description | Value | ||||||
Common Stocks, continued | ||||||||
IT Services, continued: | ||||||||
1,751 | Hackett Group, Inc. (The) | $ | 31,185 | |||||
381 | International Business Machines Corp. | 54,765 | ||||||
21 | Jack Henry & Associates, Inc. | 3,237 | ||||||
188 | Leidos Holdings, Inc. | 19,317 | ||||||
516 | MasterCard, Inc., Class A. | 186,059 | ||||||
96 | Okta,Inc.(a) | 21,354 | ||||||
191 | Paychex, Inc. | 19,318 | ||||||
263 | Paypal Holdings, Inc.(a) | 68,385 | ||||||
434 | The Western Union Co. | 10,620 | ||||||
352 | TTEC Holdings, Inc. | 38,160 | ||||||
56 | Twilio, Inc., Class A(a) | 18,816 | ||||||
643 | VeriSign, Inc.(a) | 141,409 | ||||||
589 | Visa, Inc., Class A | 133,880 | ||||||
1,076,322 | ||||||||
Leisure Products (0.3%) | ||||||||
191 | Hasbro, Inc. | 18,330 | ||||||
1,040 | Peloton Interactive, Inc., Class A(a) | 114,723 | ||||||
345 | YETI Holdings, Inc.(a) | 30,222 | ||||||
163,275 | ||||||||
Life Sciences Tools & Services (1.1%) | ||||||||
845 | Agilent Technologies, Inc. | 116,720 | ||||||
15 | Bio-Techne Corp. | 6,207 | ||||||
74 | Charles River Laboratories International, Inc.(a) | 25,011 | ||||||
81 | Illumina, Inc.(a) | 32,857 | ||||||
495 | Iqvia Holdings, Inc.(a) | 118,879 | ||||||
149 | Medpace Holdings, Inc.(a) | 24,892 | ||||||
32 | Mettler-Toledo International, Inc.(a) | 41,630 | ||||||
292 | Thermo Fisher Scientific, Inc. | 137,094 | ||||||
130 | Waters Corp.(a) | 41,893 | ||||||
545,183 | ||||||||
Machinery (1.3%) | ||||||||
1,571 | Allison Transmission Holdings, Inc. | 66,469 | ||||||
108 | Caterpillar, Inc. | 26,037 | ||||||
56 | Deere & Co. | 20,221 | ||||||
296 | DMC Global, Inc.(a) | 15,679 | ||||||
148 | Dover Corp. | 22,274 | ||||||
1,755 | Fortive Corp. | 127,273 | ||||||
345 | Graco, Inc. | 26,123 | ||||||
1,749 | Hillenbrand, Inc. | 79,754 | ||||||
306 | IDEX Corp. | 68,134 | ||||||
189 | Illinois Tool Works, Inc. | 43,803 | ||||||
142 | ITT, Inc. | 13,334 | ||||||
762 | Meritor,Inc. (a) | 19,812 | ||||||
153 | Omega Flex, Inc. | 22,499 | ||||||
81 | Otis Worldwide Corp. | 6,345 | ||||||
68 | PACCAR, Inc. | 6,226 | ||||||
501 | The Timken Co. | 44,313 | ||||||
281 | The Toro Co. | 31,216 | ||||||
639,512 | ||||||||
Media (0.8%) | ||||||||
104 | Altice USA, Inc., Class A(a) | 3,750 | ||||||
6 | Cable One, Inc. | 10,893 | ||||||
3,654 | Comcast Corp., Class A | 209,521 | ||||||
635 | Discovery, Inc., Class C(a) | 19,082 | ||||||
1,241 | DISH Network Corp., Class A(a) | 54,008 | ||||||
1,949 | Gray Television, Inc. | 45,334 | ||||||
1,131 | MSG Networks, Inc., Class A(a) | 17,440 | ||||||
231 | TechTarget, Inc.(a) | 16,242 | ||||||
2,039 | TEGNA, Inc. | 39,536 | ||||||
415,806 |
Shares
or | Security Description | Value | ||||||
Common Stocks, continued | ||||||||
Metals & Mining (0.3%) | ||||||||
619 | Commercial Metals Co. | $ 19,480 | ||||||
407 | Newmont Mining Corp. | 29,907 | ||||||
171 | Reliance Steel & Aluminum Co. | 28,740 | ||||||
945 | Rio Tinto PLC ADR | 82,621 | ||||||
160,748 | ||||||||
Mortgage Real Estate Investment Trusts (0.2%) | ||||||||
5,392 | AGNC Investment Corp. | 99,968 | ||||||
1,542 | New Residential Investment Corp. | 16,314 | ||||||
116,282 | ||||||||
Multiline Retail (0.2%) | ||||||||
218 | Dollar General Corp. | 44,245 | ||||||
293 | Target Corp. | 66,488 | ||||||
110,733 | ||||||||
Multi-Utilities (0.3%) | ||||||||
274 | Black Hills Corp. | 18,026 | ||||||
429 | CenterPoint Energy, Inc. | 10,854 | ||||||
55 | CMS Energy Corp. | 3,451 | ||||||
345 | MDU Resources Group, Inc. | 11,613 | ||||||
275 | NorthWestern Corp. | 17,421 | ||||||
546 | Public Service Enterprise Group, Inc. | 33,917 | ||||||
383 | WEC Energy Group, Inc. | 35,968 | ||||||
131,250 | ||||||||
Oil, Gas & Consumable Fuels (1.3%) | ||||||||
1,983 | Antero Midstream Corp. | 19,037 | ||||||
737 | Chevron Corp. | 76,493 | ||||||
722 | Cimarex Energy Co. | 48,916 | ||||||
256 | ConocoPhillips | 14,269 | ||||||
261 | Diamondback Energy, Inc. | 20,898 | ||||||
1,468 | Dorian LPG, Ltd.(a) | 20,860 | ||||||
593 | EQT Corp.(a) | 12,382 | ||||||
1,208 | Equitrans Midstream Corp. | 9,954 | ||||||
1,366 | Exxon Mobil Corp. | 79,733 | ||||||
2,090 | ONEOK, Inc. | 110,227 | ||||||
1,314 | Phillips 66 | 110,665 | ||||||
329 | Pioneer Natural Resources Co. | 50,071 | ||||||
412 | Renewable Energy Group, Inc.(a) | 25,161 | ||||||
1,078 | World Fuel Services Corp. | 33,127 | ||||||
631,793 | ||||||||
Paper & Forest Products (0.1%) | ||||||||
475 | Boise Cascade Co. | 31,345 | ||||||
386 | Clearwater Paper Corp.(a) | 11,013 | ||||||
42,358 | ||||||||
Personal Products (0.1%) | ||||||||
63 | Medifast, Inc. | 20,932 | ||||||
962 | Nature's Sunshine Products, Inc. | 19,711 | ||||||
44 | The Estee Lauder Cos., Inc., Class A | 13,487 | ||||||
177 | USANA Health Sciences, Inc.(a) | 18,716 | ||||||
72,846 | ||||||||
Pharmaceuticals (1.4%) | ||||||||
1,013 | Bristol-Myers Squibb Co. | 66,575 | ||||||
773 | Corcept Therapeutics, Inc.(a) | 16,697 | ||||||
429 | Eli Lilly & Co. | 85,689 | ||||||
1,743 | Innoviva, Inc.(a) | 23,443 | ||||||
1,586 | Johnson & Johnson | 268,431 | ||||||
980 | Merck & Co., Inc. | 74,372 | ||||||
2,347 | Pfizer, Inc. | 90,899 | ||||||
665 | Supernus Pharmaceuticals, Inc.(a) | 19,850 | ||||||
327 | Zoetis, Inc. | 57,774 | ||||||
703,730 | ||||||||
Professional Services (0.3%) | ||||||||
6 | CoStar Group, Inc.(a) | 5,124 |
See notes to the schedule of portfolio investments.
- 25 -
Schedule of Portfolio Investments | Active Core Fund |
May 31, 2021 (Unaudited) | Continued |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Common Stocks, continued | ||||||||
Professional Services, continued: | ||||||||
164 | FTI Consulting, Inc.(a) | $ | 22,558 | |||||
472 | Kforce, Inc. | 29,599 | ||||||
252 | ManpowerGroup, Inc. | 30,489 | ||||||
1,434 | Mastech Digital, Inc.(a) | 22,600 | ||||||
230 | Robert Half International, Inc. | 20,422 | ||||||
25 | Verisk Analytics, Inc., Class A | 4,321 | ||||||
135,113 | ||||||||
Real Estate Management & Development (0.2%) | ||||||||
605 | Exp World Holdings, Inc.(a) | 19,517 | ||||||
969 | Re/MAX Holdings, Inc. | 33,925 | ||||||
966 | The RMR Group, Inc., Class A | 37,790 | ||||||
91,232 | ||||||||
Road & Rail (0.7%) | ||||||||
414 | ArcBest Corp. | 32,226 | ||||||
333 | JB Hunt Transport Services, Inc. | 57,123 | ||||||
601 | Lyft, Inc., Class A(a) | 34,311 | ||||||
280 | Old Dominion Freight Line, Inc. | 74,326 | ||||||
1,262 | Uber Technologies, Inc.(a) | 64,147 | ||||||
398 | Union Pacific Corp. | 89,443 | ||||||
351,576 | ||||||||
Semiconductors & Semiconductor Equipment (2.5%) | ||||||||
339 | Advanced Micro Devices, Inc.(a) | 27,147 | ||||||
1,199 | Amkor Technology, Inc. | 25,299 | ||||||
509 | Broadcom, Inc. | 240,416 | ||||||
30 | Entegris, Inc. | 3,433 | ||||||
1,279 | Infineon Technologies AG ADR | 51,787 | ||||||
1,449 | Intel Corp. | 82,767 | ||||||
134 | KLA-Tencor Corp. | 42,463 | ||||||
203 | Lam Research Corp. | 131,919 | ||||||
311 | Microchip Technology, Inc. | 48,811 | ||||||
677 | Micron Technology, Inc.(a) | 56,963 | ||||||
141 | NVIDIA Corp. | 91,619 | ||||||
249 | NXP Semiconductors NV | 52,644 | ||||||
1,241 | ON Semiconductor Corp.(a) | 49,690 | ||||||
310 | Power Integrations, Inc. | 25,479 | ||||||
507 | Qorvo, Inc.(a) | 92,639 | ||||||
108 | QUALCOMM, Inc. | 14,530 | ||||||
216 | Skyworks Solutions, Inc. | 36,720 | ||||||
751 | Texas Instruments, Inc. | 142,555 | ||||||
383 | Xilinx, Inc. | 48,641 | ||||||
1,265,522 | ||||||||
Software (3.6%) | ||||||||
207 | Adobe, Inc.(a) | 104,448 | ||||||
310 | Alarm.com Holdings, Inc.(a) | 25,383 | ||||||
691 | Anaplan, Inc.(a) | 35,593 | ||||||
169 | Appfolio, Inc., Class A(a) | 22,796 | ||||||
198 | Aspen Technology, Inc.(a) | 27,021 | ||||||
1,047 | Cadence Design Systems, Inc.(a) | 132,959 | ||||||
379 | Citrix Systems, Inc. | 43,570 | ||||||
19 | Crowdstrike Holdings, Inc., Class A(a) | 4,221 | ||||||
237 | DocuSign, Inc.(a) | 47,784 | ||||||
291 | Everbridge, Inc.(a) | 34,192 | ||||||
17 | Fair Isaac Corp.(a) | 8,603 | ||||||
210 | Fortinet, Inc.(a) | 45,893 | ||||||
374 | Intuit, Inc. | 164,220 | ||||||
362 | Manhattan Associates, Inc.(a) | 49,225 | ||||||
3,143 | Microsoft Corp. | 784,744 | ||||||
951 | Oracle Corp. | 74,882 | ||||||
284 | Qualys, Inc.(a) | 27,457 | ||||||
108 | RingCentral, Inc., Class A(a) | 28,347 | ||||||
61 | salesforce.com, Inc.(a) | 14,524 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Common Stocks, continued | ||||||||
Software, continued: | ||||||||
13 | ServiceNow, Inc.(a) | $ | 6,160 | |||||
233 | Zendesk, Inc.(a) | 31,842 | ||||||
183 | Zoom Video Communications, Inc., Class A(a) | 60,670 | ||||||
168 | Zscaler, Inc.(a) | 32,626 | ||||||
1,807,160 | ||||||||
Specialty Retail (1.6%) | ||||||||
178 | Asbury Automotive Group, Inc.(a) | 35,296 | ||||||
740 | AutoNation, Inc.(a) | 75,576 | ||||||
49 | AutoZone, Inc.(a) | 68,923 | ||||||
704 | Best Buy Co., Inc. | 81,833 | ||||||
819 | Foot Locker, Inc. | 51,835 | ||||||
205 | Lowe's Cos., Inc. | 39,940 | ||||||
164 | O'Reilly Automotive, Inc.(a) | 87,760 | ||||||
225 | Penske Automotive Group, Inc. | 19,258 | ||||||
141 | Ross Stores, Inc. | 17,821 | ||||||
577 | Shoe Carnival, Inc. | 38,953 | ||||||
183 | Sleep Number Corp.(a) | 20,403 | ||||||
539 | The Home Depot, Inc. | 171,892 | ||||||
240 | The TJX Cos., Inc. | 16,210 | ||||||
319 | Williams-Sonoma, Inc. | 54,083 | ||||||
138 | Winmark Corp. | 27,023 | ||||||
806,806 | ||||||||
Technology Hardware, Storage & Peripherals (1.6%) | ||||||||
6,031 | Apple, Inc. | 751,523 | ||||||
649 | HP, Inc. | 18,970 | ||||||
136 | NetApp, Inc. | 10,523 | ||||||
1,843 | Pure Storage, Inc.(a) | 35,109 | ||||||
816,125 | ||||||||
Textiles, Apparel & Luxury Goods (0.6%) | ||||||||
74 | Deckers Outdoor Corp.(a) | 24,822 | ||||||
2,161 | Hanesbrands, Inc. | 42,226 | ||||||
143 | Lululemon Athletica, Inc.(a) | 46,208 | ||||||
385 | NIKE, Inc., Class B | 52,537 | ||||||
1,605 | VF Corp. | 127,951 | ||||||
293,744 | ||||||||
Thrifts & Mortgage Finance (0.1%) | ||||||||
427 | Axos Financial, Inc.(a) | 20,244 | ||||||
648 | Mr Cooper Group, Inc.(a) | 22,414 | ||||||
42,658 | ||||||||
Tobacco (0.1%) | ||||||||
745 | Altria Group, Inc. | 36,669 | ||||||
322 | Philip Morris International, Inc. | 31,050 | ||||||
67,719 | ||||||||
Trading Companies & Distributors (0.6%) | ||||||||
1,041 | Air Lease Corp. | 48,989 | ||||||
112 | Fastenal Co. | 5,941 | ||||||
3,142 | H&E Equipment Services, Inc. | 117,511 | ||||||
1,171 | MSC Industrial Direct Co., Inc. | 110,542 | ||||||
65 | Watsco, Inc. | 18,941 | ||||||
301,924 | ||||||||
Water Utilities (0.1%) | ||||||||
218 | American States Water Co. | 17,303 | ||||||
144 | American Water Works Co., Inc. | 22,323 | ||||||
1,255 | Consolidated Water Co., Ltd. | 15,449 | ||||||
1,388 | Pure Cycle Corp.(a) | 19,626 | ||||||
74,701 | ||||||||
Wireless Telecommunication Services (0.2%) | ||||||||
592 | T-Mobile US, Inc.(a) | 83,738 | ||||||
Total Common Stocks (Cost $16,191,330) | 27,540,441 |
See notes to the schedule of portfolio investments.
- 26 -
Schedule of Portfolio Investments | Active Core Fund |
May 31, 2021 (Unaudited) | Continued |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Asset Backed Securities (4.2%) | ||||||||
$ | 200,000 | Amur Equipment Finance Receivables IX LLC, Series 1A, Class C, 1.75%, 6/21/27, Callable 2/20/25 @ 100*(b) | $ | 200,858 | ||||
147,867 | CLI Funding VI LLC, Series 2020-3A, Class A, 2.07%, 10/18/45, Callable 11/18/22 @ 100*(b) | 149,664 | ||||||
100,000 | DataBank Issuer, Series 2021-1A, Class A2, 2.06%, 2/27/51, Callable 8/25/24 @ 100*(b) | 101,067 | ||||||
193,500 | DB Master Finance LLC, Series 2017-1A, Class A2I, 3.63%, 11/20/47, Callable 11/20/21 @ 100*(b) | 196,364 | ||||||
200,000 | Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.66%, 4/25/51, Callable 10/25/25 @ 100*(b) | 203,208 | ||||||
70,000 | Sabey Data Center Issuer LLC, Series 2020-1, Class A2, 3.81%, 3/20/45, Callable 11/20/23 @ 100*(b) | 74,622 | ||||||
116,005 | Saxon Asset Securities Trust, Series 2003-3, Class A5, 4.48%, 12/25/33, Callable 6/25/21 @ 100*(c)(d) | 116,583 | ||||||
195,500 | Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.54%, 2/25/44, Callable 2/25/23 @ 100*(b) | 207,743 | ||||||
187,508 | Textainer Marine Containers VIII, Ltd., Series 2A- A, Class A, 2.10%, 9/20/45, Callable 9/20/22 @ 100*(b) | 189,935 | ||||||
197,167 | Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.86%, 3/20/46, Callable 4/20/23 @ 100*(b) | 195,526 | ||||||
200,000 | TRP-TRIP Rail Master Funding LLC, Series 2021-2, Class A, 2.15%, 6/19/51, Callable 6/17/22 @ 100*(b) | 200,230 | ||||||
55,082 | UBS Commercial Mortgage Trust, Series 2018-C10, Class A1, 3.18%, 5/15/51, Callable 3/15/23 @ 100* | 56,335 | ||||||
120,000 | Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.10%, 5/15/46, Callable 5/15/29 @ 100*(b) | 119,994 | ||||||
95,000 | ZAXBY'S Funding LLC, Series 2021-1A, Class A2, 3.24%, 7/30/51, Callable 7/30/25 @ 100*(b) | 95,000 | ||||||
Total Asset Backed Securities (Cost $2,082,207) | 2,107,129 | |||||||
Mortgage Backed Securities† (7.2%) | ||||||||
Alt-A - Adjustable Rate Mortgage Backed Securities (0.3%) | ||||||||
152,347 | Bear Stearns Alternative-A Trust, Series 2007-2, Class 2A1, 2.93%, 4/25/37, Callable 11/25/22 @ 100*(c) | 129,665 | ||||||
869 | Deutsche Mortgage Securities, Inc., Series 2003-4XS, Class A6A, 5.32% (US0003M + 119 bps), 10/25/33, Callable 6/25/21 @ 100*(d) | 872 | ||||||
130,537 | ||||||||
Alt-A - Fixed Rate Mortgage Backed Securities (0.9%) | ||||||||
34,478 | Bank of America Alternative Loan Trust, Series 2005-10, Class 1CB4, 5.50%, 11/25/35, Callable 6/25/21 @ 100* | 34,233 | ||||||
49,110 | Citi Mortgage Alternative Loan Trust, Series 2007-A2, Class 1A5, 6.00%, 2/25/37, Callable 4/25/22 @ 100* | 49,831 | ||||||
21,093 | Countrywide Alternative Loan Trust, Series 2005-53T2, Class 2A4, 5.50%, 11/25/35, Callable 2/25/22 @ 100* | 15,197 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Alt-A - Fixed Rate Mortgage Backed Securities, continued: | ||||||||
$ | 3,583 | Countrywide Alternative Loan Trust, Series 2006-8T1, Class 2A3, 5.50%, 4/25/36, Callable 6/25/21 @ 100* | $ | 3,414 | ||||
8,994 | Countrywide Alternative Loan Trust, Series 2006-41CB, Class 2A4, 6.00%, 1/25/37, Callable 10/25/21 @ 100* | 7,053 | ||||||
12,861 | Countrywide Alternative Loan Trust, Series 2004-J2, Class 2A1, 6.50%, 3/25/34, Callable 6/25/21 @ 100* | 13,146 | ||||||
60,625 | Deutsche Alternative-A Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A3, 4.97%, 6/25/36, Callable 6/25/21 @ 100*(c). | 60,276 | ||||||
3,899 | Master Alternative Loans Trust, Series 2004-6, Class 10A1, 6.00%, 7/25/34, Callable 6/25/21 @ 100* | 4,064 | ||||||
18,081 | Master Alternative Loans Trust, Series 2004-8, Class 5A1, 6.00%, 9/25/34, Callable 6/25/21 @ 100* | 18,717 | ||||||
59,898 | Master Alternative Loans Trust, Series 2004-3, Class 5A1, 6.50%, 3/25/34, Callable 6/25/21 @ 100* | 60,577 | ||||||
17,849 | Nomura Asset Acceptance Corp., Series 2005-AP1, Class 2A5, 5.36%, 2/25/35, Callable 6/25/21 @ 100*(c)(d) | 18,267 | ||||||
14,869 | Nomura Asset Acceptance Corp., Series 2005-AP2, Class A5, 5.48%, 5/25/35, Callable 6/25/21 @ 100*(c)(d) | 9,888 | ||||||
140,158 | Nomura Asset Acceptance Corp., Series 2006-AF1, Class 1A2, 6.16%, 5/25/36, Callable 6/25/21 @ 100*(c) | 44,612 | ||||||
7,228 | Residential Accredit Loans, Inc., Series 2006-QS5, Class A9, 6.00%, 5/25/36, Callable 6/25/21@100* | 6,905 | ||||||
51,081 | Residential Asset Securitization Trust, Series 2005-A9, Class A3, 5.50%, 7/25/35, Callable 6/25/21 @ 100* | 41,135 | ||||||
33,596 | Residential Asset Securitization Trust, Series 2006-A2, Class A3, 6.00%, 5/25/36, Callable 3/25/22 @ 100* | 20,037 | ||||||
28,156 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-5, Class CB14, 5.50%, 7/25/35, Callable 6/25/21 @ 100* | 28,012 | ||||||
435,364 | ||||||||
Prime Adjustable Rate Mortgage Backed Securities (0.7%) | ||||||||
6,774 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-6, Class 2A2, 3.44%, 9/25/34, Callable 6/25/21 @ 100*(c) | 6,593 | ||||||
6,282 | Chase Mortgage Finance Corp., Series 2007-A2, Class 10A1, 3.34%, 7/25/37, Callable 6/25/21 @ 100*(c) | 5,862 | ||||||
257,906 | LSTAR Securities Investment, Ltd., Series 2019-4, Class A1, 2.61% (US0001M + 150 bps), 5/1/24(b) | 256,571 | ||||||
50,000 | Mello Warehouse Securitization Trust, Series 2021-1, Class A, 0.81% (US0001M + 70 bps), 2/25/55, Callable 2/25/24 @ 100*(b) | 50,060 | ||||||
50,000 | Mello Warehouse Securitization Trust, Series 2020-2, Class C, 1.39% (US0001M + 130 bps), 11/25/53, Callable 12/25/23 @ 100*(b). | 50,125 | ||||||
369,211 |
See notes to the schedule of portfolio investments.
- 27 -
Schedule of Portfolio Investments | Active Core Fund |
May 31, 2021 (Unaudited) | Continued |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
Prime Fixed Mortgage Backed Securities (0.9%) | ||||||||
$ | 159,195 | American Home Mortgage Investment Trust, Series 2005-2, Class 5A4C, 5.91%, 9/25/35, Callable 6/25/21 @ 100*(c)(d) | $ | 114,476 | ||||
16,254 | Banc of America Funding Trust, Series 2006-4, Class A14, 6.00%, 7/25/36, Callable 3/25/36 @ 100* | 15,464 | ||||||
23,800 | CHL Mortgage Pass-Through Trust, Series 2005- 22, Class 2A1, 2.61%, 11/25/35, Callable 6/25/21 @ 100*(c) | 22,678 | ||||||
7,824 | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.58%, 5/25/35, Callable 6/25/21 @ 100*(c) | 8,078 | ||||||
66,255 | Citigroup Mortgage Loan Trust, Inc., Series 2004- NCM1, Class 1A2, 6.50%, 7/25/34, Callable 6/25/21 @ 100* | 69,410 | ||||||
20,611 | Countrywide Home Loans, Series 2005-J1, Class 1A8, 5.50%, 2/25/35, Callable 6/25/21 @ 100* | 20,889 | ||||||
27,521 | Countrywide Home Loans, Series 2007-J3, Class A10, 6.00%, 7/25/37, Callable 6/25/21 @ 100* | 17,981 | ||||||
42,000 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 2A1, 5.50%, 2/25/35, Callable 6/25/21 @ 100* | 40,678 | ||||||
21,683 | Credit Suisse Mortgage Capital Certificates, Series 2006-2, Class 3A1, 6.50%, 3/25/36, Callable 6/25/21 @ 100* | 7,957 | ||||||
27,395 | Flagstar Mortgage Trust, Series 2019-2, Class A3, 3.50%, 12/25/49, Callable 9/25/23 @ 100*(b)(c) | 27,485 | ||||||
33,232 | Galton Funding Mortgage Trust, Series 2017-1, Class A21, 3.50%, 7/25/56, Callable 9/25/28 @ 100*(b)(c) | 33,706 | ||||||
10,698 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 1/25/36, Callable 6/25/21 @ 100* | 11,425 | ||||||
9,948 | Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A7, 7.00%, 11/25/31, Callable 8/25/21 @ 100* | 10,143 | ||||||
31,268 | Shellpoint Co.-Originator Trust, Series 2017-1, Class A4, 3.50%, 4/25/47, Callable 11/25/22 @ 100*(b)(c) | 31,295 | ||||||
36,913 | Wells Fargo Mortgage Backed Securities Trust, Series 2019-4, Class A3, 3.43%, 9/25/49, Callable 12/25/22 @ 100*(c) | 36,986 | ||||||
468,651 | ||||||||
Subprime Mortgage Backed Securities (0.4%) | ||||||||
75,428 | Towd Point Mortgage Trust, Series 2017-6, Class A1, 2.75%, 10/25/57, Callable 7/25/24 @ 100*(b)(c) | 77,568 | ||||||
46,921 | Towd Point Mortgage Trust, Series 2018-1, Class A1, 3.00%, 1/25/58, Callable 7/25/25 @ 100*(b)(c) | 48,559 | ||||||
92,006 | Towd Point Mortgage Trust, Series 2018-2, Class A1, 3.25%, 3/25/58, Callable 11/25/25 @ 100*(b)(c) | 95,678 | ||||||
221,805 | ||||||||
U.S. Government Agency Mortgage Backed Securities (4.0%) | ||||||||
44,156 | Fannie Mae, Series 2013-68, Class 10A1, 1.00%, 3/25/42 | 43,706 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
U.S. Government Agency Mortgage Backed Securities, continued: | ||||||||
$ | 41,151 | Fannie Mae, Series 2013-18, Class 10A1, 2.00%, 12/25/42 | $ | 42,285 | ||||
90,229 | Fannie Mae, Series 2013-23, Class AB, 2.00%, 2/25/43 | 93,556 | ||||||
78,270 | Fannie Mae, Series 2013-74, Class 10A1, 2.25%, 6/25/42(c) | 81,029 | ||||||
64,535 | Fannie Mae, Series 2011-146, Class HE, 2.50%, 10/25/41 | 66,969 | ||||||
60,521 | Fannie Mae, Series 2017-43, Class PA, 2.50%, 6/25/47 | 63,613 | ||||||
142,132 | Fannie Mae, Series 2017-M5, Class A1, 2.74%, 4/25/29 | 152,077 | ||||||
39,677 | Fannie Mae, Series 2010-99, Class JU, 3.00%, 8/25/40 | 41,488 | ||||||
24,916 | Fannie Mae, Series 2011-118, Class 10A1, 3.00%, 11/25/41 | 26,701 | ||||||
28,564 | Fannie Mae, Series 2015-46, Class MD, 3.00%, 5/25/43 | 28,927 | ||||||
65,959 | Fannie Mae, Series 2015-59, Class LM, 3.00%, 7/25/45 | 69,899 | ||||||
199,441 | Fannie Mae, Series 2018-M12, Class A1, 3.55%, 2/25/30 | 223,318 | ||||||
185,131 | Fannie Mae, Series 2018-M13, Class A1, 3.70%, 3/25/30(c) | 210,097 | ||||||
12,535 | Fannie Mae, Series 2012-16, Class K, 4.00%, 10/25/41 | 13,429 | ||||||
10,832 | Fannie Mae, 4.50%, 4/1/35, Pool #814522 | 11,952 | ||||||
12,402 | Fannie Mae, 5.50%, 10/1/35, Pool #838584 | 13,814 | ||||||
808 | Fannie Mae, 6.00%, 5/1/35, Pool #357778 | 918 | ||||||
3,000 | Fannie Mae, Series 1999-18, Class LL, 6.50%, 4/18/29 | 3,362 | ||||||
22,374 | Freddie Mac, Series 4146, Class 10A1, 1.50%, 10/15/42 | 22,849 | ||||||
8,021 | Freddie Mac, 1.89% (H15T1Y + 172 bps), 6/1/28, Pool #605508 | 8,067 | ||||||
34,110 | Freddie Mac, Series 4408, Class GA, 2.00%, 9/15/41 | 35,056 | ||||||
51,663 | Freddie Mac, Series 4312, Class 10A1, 2.50%, 12/15/41 | 53,368 | ||||||
64,867 | Freddie Mac, Series 4395, Class PA, 2.50%, 4/15/37 | 67,718 | ||||||
58,861 | Freddie Mac, Series 4316, Class JY, 3.00%, 1/15/44 | 62,701 | ||||||
61,856 | Freddie Mac, Series 4348, Class A, 3.00%, 6/15/39 | 65,648 | ||||||
76,874 | Freddie Mac, Series 4486, Class PA, 3.00%, 3/15/44 | 79,577 | ||||||
121,575 | Freddie Mac, Series 4668, Class KA, 3.00%, 1/15/55 | 129,142 | ||||||
40,094 | Freddie Mac, Series 4683, Class PD, 3.00%, 4/15/46 | 40,940 | ||||||
905 | Freddie Mac, 5.50%, 1/1/35, Pool #A30935 | 1,048 | ||||||
2,810 | Freddie Mac, Series 2302, Class J, 6.50%, 4/15/31 | 3,197 | ||||||
4,423 | Freddie Mac, Series 1443, Class I, 7.50%, 12/15/22, Callable 7/15/21 @ 100* | 4,591 | ||||||
1,236 | Government National Mortgage Assoc., Series 2013-104, Class DC, 2.00%, 4/20/40 | 1,245 |
See notes to the schedule of portfolio investments.
- 28 -
Schedule of Portfolio Investments | Active Core Fund |
May 31, 2021 (Unaudited) | Continued |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Mortgage Backed Securities†, continued | ||||||||
U.S. Government Agency Mortgage Backed Securities, continued: | ||||||||
$ | 67,587 | Government National Mortgage Assoc., Series 2013-69, 2.00%, 9/20/42 | $ | 70,143 | ||||
97,513 | Government National Mortgage Assoc., Series 2020-5, Class PE, 3.00%, 9/20/49 | 100,189 | ||||||
47,710 | Government National Mortgage Assoc., Series 2019-85, Class MP, 3.50%, 6/20/49 | 49,631 | ||||||
526 | Government National Mortgage Assoc., 6.00%, 2/20/26, Pool #2166 | 582 | ||||||
35,081 | Government National Mortgage Assoc., 6.31%, 3/20/33, Pool #612258 | 38,669 | ||||||
3,877 | Government National Mortgage Assoc., 7.00%, 7/15/29, Pool #492747 | 4,255 | ||||||
2,025,756 | ||||||||
Total Mortgage Backed Securities (Cost $3,583,420) | 3,651,324 | |||||||
Corporate Bonds (12.2%) | ||||||||
Aerospace & Defense (0.6%) | ||||||||
275,000 | Boeing Co. (The), 3.25%, 2/1/28, Callable 12/1/27 @ 100* | 289,566 | ||||||
Airlines (0.4%) | ||||||||
171,297 | United Airlines Pass Through Trust, Series 2020-1, Class A, 5.88%, 4/15/29 | 189,339 | ||||||
Banks (2.0%) | ||||||||
440,000 | Bank of America Corp., 3.55% (US0003M + 78 bps), 3/5/24, Callable 3/5/23 @ 100* | 464,122 | ||||||
255,000 | JPMorgan Chase & Co., 2.52% (SOFR + 204 bps), 4/22/31, Callable 4/22/30 @ 100* | 258,796 | ||||||
250,000 | Wells Fargo & Co., 3.00%, 10/23/26 | 271,096 | ||||||
994,014 | ||||||||
Capital Markets (0.9%) | ||||||||
250,000 | Goldman Sachs Group, Inc., 3.50%, 11/16/26, Callable 11/16/25 @ 100* | 273,243 | ||||||
200,000 | LSEGA Financing PLC, 1.38%, 4/6/26, Callable 3/6/26 @ 100*(b) | 200,959 | ||||||
474,202 | ||||||||
Consumer Finance (0.4%) | ||||||||
200,000 | Toyota Motor Credit Corp., 1.35%, 8/25/23 | 204,314 | ||||||
Diversified Financial Services (0.3%) | ||||||||
160,000 | National Rural Utilities Cooperative Finance Corp., 3.25%, 11/1/25, Callable 8/1/25 @ 100* | 173,987 | ||||||
Diversified Telecommunication Services (0.6%) | ||||||||
328,000 | AT&T, Inc., 3.50%, 9/15/53, Callable 3/15/53 @ 100*(b) | 311,985 | ||||||
Electric Utilities (0.9%) | ||||||||
210,000 | Entergy Mississippi LLC, 3.25%, 12/1/27, Callable 9/1/27 @ 100* | 229,279 | ||||||
200,000 | Southern California Edison Co., 3.50%, 10/1/23, Callable 7/1/23 @ 100* | 211,936 | ||||||
441,215 | ||||||||
Entertainment (0.3%) | ||||||||
155,000 | The Walt Disney Co., 2.00%, 9/1/29, Callable 6/1/29 @ 100* | 154,358 | ||||||
Health Care Providers & Services (1.6%) | ||||||||
225,000 | Advocate Health & Hospitals Corp., 2.21%, 6/15/30, Callable 3/15/30 @ 100* | 224,696 | ||||||
130,000 | Ascension Health, Series B, 2.53%, 11/15/29, Callable 8/15/29 @ 100* | 134,857 | ||||||
215,000 | Partners Healthcare Syst, Inc., Series 2020, 3.19%, 7/1/49, Callable 1/1/49 @ 100* | 220,972 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Corporate Bonds, continued | ||||||||
Health Care Providers & Services, continued: | ||||||||
$ | 180,000 | Sutter Health, 3.70%, 8/15/28, Callable 5/15/28 @ 100* | $ | 198,976 | ||||
779,501 | ||||||||
Hotels, Restaurants & Leisure (1.2%) | ||||||||
290,000 | Hyatt Hotels Corp., 4.38%, 9/15/28, Callable 6/15/28 @ 100* | 316,465 | ||||||
85,000 | Royal Caribbean Cruises, 5.25%, 11/15/22 | 87,789 | ||||||
190,000 | Starbucks Corp., 3.75%, 12/1/47, Callable 6/1/47 @ 100* | 200,195 | ||||||
604,449 | ||||||||
Insurance (0.4%) | ||||||||
200,000 | Jackson National Life Global Funding, 2.65%, 6/21/24 (b) | 210,715 | ||||||
Internet & Direct Marketing Retail (0.4%) | ||||||||
200,000 | Expedia Group, Inc., 3.80%, 2/15/28, Callable 11/15/27 @ 100* | 215,604 | ||||||
Oil, Gas & Consumable Fuels (0.4%) | ||||||||
180,000 | Marathon Oil Corp., 4.40%, 7/15/27, Callable 4/15/27 @ 100* | 202,445 | ||||||
Semiconductors & Semiconductor Equipment (0.9%) | ||||||||
325,000 | Broadcom, Inc., 4.75%, 4/15/29, Callable 1/15/29 @ 100* | 371,976 | ||||||
70,000 | Intel Corp., 3.25%, 11/15/49, Callable 5/15/49 @ 100* | 71,106 | ||||||
443,082 | ||||||||
Specialty Retail (0.5%) | ||||||||
220,000 | Lowe's Cos., Inc., 4.50%, 4/15/30, Callable 1/15/30 @ 100* | 257,197 | ||||||
Technology Hardware, Storage & Peripherals (0.4%) | ||||||||
200,000 | Apple, Inc., 3.20%, 5/11/27, Callable 2/11/27 @ 100* | 220,971 | ||||||
Total Corporate Bonds (Cost $5,980,688) | 6,166,944 | |||||||
Taxable Municipal Bonds (6.8%) | ||||||||
Massachusetts (0.5%) | ||||||||
250,000 | Massachusetts State College Building Authority Revenue, Series C, 2.44%, 5/1/28, ST APPROP | 264,628 | ||||||
Michigan (1.4%) | ||||||||
240,000 | County of Jackson Michigan, GO, 3.73%, 12/1/30, Continuously Callable @ 100 | 261,426 | ||||||
210,000 | Houghton-Portage Township School District, GO, Series B, 2.70%, 5/1/25, Insured by: Q-SBLF | 224,203 | ||||||
200,000 | Michigan State Housing Development Authority Revenue, Series B, 2.96%, 12/1/35, Continuously Callable @ 100 | 202,463 | ||||||
688,092 | ||||||||
New York (0.5%) | ||||||||
225,000 | New York City Housing Development Corp. Revenue, Class L, 2.79%, 5/1/28, Continuously Callable @ 100 | 236,988 | ||||||
Ohio (0.7%) | ||||||||
330,000 | County of Cuyahoga Ohio Revenue, 3.48%, 7/1/32, Continuously Callable @ 100 | 352,113 | ||||||
Oklahoma (0.8%) | ||||||||
200,000 | The University of Oklahoma Revenue, 1.88%, 7/1/28 | 201,406 | ||||||
200,000 | The University of Oklahoma Revenue, Series C, 2.45%, 7/1/32, Continuously Callable @ 100 | 201,087 | ||||||
402,493 |
See notes to the schedule of portfolio investments.
- 29 -
Schedule of Portfolio Investments | Active Core Fund |
May 31, 2021 (Unaudited) | Concluded |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Taxable Municipal Bonds, continued | ||||||||
Rhode Island (0.4%) | ||||||||
$ | 225,000 | Rhode Island Convention Center Authority Revenue, 3.15%, 5/15/25 | $ | 231,830 | ||||
Texas (1.5%) | ||||||||
360,000 | County of Burnet Texas, GO, 4.20%, 3/1/34, Pre-refunded 3/1/24 @ 100 | 396,563 | ||||||
350,000 | Schertz-Cibolo-Universal City Independent School District, GO, 0.93%, 2/1/26, PSF-GTD. | 346,671 | ||||||
743,234 | ||||||||
Utah (0.5%) | ||||||||
250,000 | Utah Transit Authority Revenue, 2.04%, 12/15/31, Continuously Callable @ 100 | 249,784 | ||||||
Washington (0.5%) | ||||||||
250,000 | Pierce County School District No 10 Tacoma, GO, 1.73%, 12/1/31, SCH BD GTY | 248,549 | ||||||
Total Taxable Municipal Bonds (Cost $3,309,733) | 3,417,711 | |||||||
U.S. Government Agency Securities (1.1%) | ||||||||
Federal Home Loan Banks | ||||||||
195,000 | 0.65%, 4/28/26, Callable 7/28/21 @ 100*(c) | 195,070 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
U.S. Government Agency Securities, continued | ||||||||
Federal Home Loan Banks, continued: | ||||||||
$ | 150,000 | 1.00%, 4/28/31, Callable 7/28/21 @ 100*(c) | $ | 150,004 | ||||
200,000 | 1.30%, 3/17/27, Callable 6/17/21 @ 100* | 199,513 | ||||||
Total U.S. Government Agency Securities (Cost $545,000) | 544,587 | |||||||
U.S. Treasury Obligations (6.4%) | ||||||||
U.S. Treasury Notes | ||||||||
667,000 | 1.13%, 2/15/31 | 639,174 | ||||||
1,189,000 | 1.38%, 10/15/22 | 1,209,529 | ||||||
597,000 | 2.00%, 4/30/24 | 626,570 | ||||||
704,000 | 2.25%, 2/15/27 | 753,802 | ||||||
Total U.S. Treasury Obligations (Cost $3,188,145) | 3,229,075 | |||||||
Investment Companies (4.1%) | ||||||||
19,002 | iShares MSCI EAFE Index Fund ETF, 1.92% | 1,535,932 | ||||||
8,000 | iShares MSCI Japan ETF, 1.02% | 548,640 | ||||||
Total Investment Companies (Cost $1,369,306) | 2,084,572 | |||||||
Investment in Affiliates (3.7%) | ||||||||
1,382,978 | Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.01%(e) | 1,382,978 | ||||||
52,409 | Cavanal Hill World Energy Fund, Institutional Shares | 495,653 | ||||||
Total Investment in Affiliates (Cost $1,872,514) | 1,878,631 | |||||||
Total Investments (Cost $38,122,343) - 100.3% | 50,620,414 | |||||||
Liabilities in excess of other assets — (0.3)% | (169,205 | ) | ||||||
Net Assets - 100.0% | $ | 50,451,209 |
(a) | Non-income producing security. |
(b) | Represents a restricted security, purchased under Rule 144A, Section 4(2), which is exempt from registration under the Securities Act of 1933, as amended. The security has been deemed liquid according to the policies and procedures adopted by the Board of Trustees. |
(c) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at May 31, 2021. |
(d) | Step Bond: Coupon rate is set for an initial period and then increased to a higher coupon rate at a specified date. The rate shown is the rate in effect at May 31, 2021. |
(e) | Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at May 31, 2021. |
* | Represents next call date. Additional subsequent call dates and amounts may apply to this security. |
^ | Represents less than 0.05%. |
† | Mortgage backed securities are classified based on the characteristics of their underlying collateral, the fixed vs. variable nature of the obligations, and the credit standing of the mortgagors. The fixed or variable rate nature of securities interest payments to which the fund is entitled may not coincide with the payment nature of the collateral underlying the securities. |
ADR | American Depositary Receipt |
ETF | Exchange Traded Fund |
GO | General Obligation |
H15T1Y | 1 Year Treasury Constant Maturity Rate |
LIBOR | London Interbank Offered Rate |
PSF-GTD | Public School Fund Guaranteed |
Q-SBLF | Qualified School Bond Loan Fund |
REIT | Real Estate Investment Trust |
SCH BD GTY | School Board Guaranty |
SOFR | Secured Overnight Financing Rate |
US0001M | 1 Month US Dollar LIBOR |
US0003M | 3 Month US Dollar LIBOR |
See notes to the schedule of portfolio investments.
- 30 -
Schedule of Portfolio Investments | Mid Cap Diverse Leadership Fund |
May 31, 2021 (Unaudited) |
Shares | Security Description | Value | ||||||
Common Stocks (91.6%) | ||||||||
Airlines (0.5%) | ||||||||
307 | JetBlue Airways Corp.(a) | $ | 6,171 | |||||
Auto Components (2.1%) | ||||||||
190 | BorgWarner, Inc. | 9,745 | ||||||
240 | Gentex Corp. | 8,520 | ||||||
42 | Lear Corp. | 8,121 | ||||||
26,386 | ||||||||
Banks (2.0%) | ||||||||
83 | East West Bancorp, Inc. | 6,206 | ||||||
19 | SVB Financial Group(a) | 11,075 | ||||||
77 | Western Alliance Bancorp | 7,701 | ||||||
24,982 | ||||||||
Biotechnology (0.7%) | ||||||||
53 | Exact Sciences Corp.(a) | 5,858 | ||||||
28 | Neurocrine Biosciences, Inc.(a) | 2,694 | ||||||
10 | Sarepta Therapeutics, Inc.(a) | 757 | ||||||
9,309 | ||||||||
Building Products (0.7%) | ||||||||
24 | Lennox International, Inc. | 8,398 | ||||||
Capital Markets (2.9%) | ||||||||
80 | LPL Financial Holdings, Inc. | 11,830 | ||||||
35 | MSCI, Inc., Class A | 16,385 | ||||||
47 | Nasdaq, Inc. | 7,871 | ||||||
36,086 | ||||||||
Chemicals (1.1%) | ||||||||
214 | Axalta Coating Systems, Ltd.(a) | 6,942 | ||||||
38 | Celanese Corp., Class A | 6,287 | ||||||
13,229 | ||||||||
Commercial Services & Supplies (1.6%) | ||||||||
57 | Cintas Corp. | 20,152 | ||||||
Communications Equipment (1.1%) | ||||||||
39 | Arista Networks, Inc.(a) | 13,236 | ||||||
Construction & Engineering (1.2%) | ||||||||
150 | Quanta Services, Inc. | 14,302 | ||||||
Construction Materials (0.7%) | ||||||||
48 | Vulcan Materials Co. | 8,799 | ||||||
Consumer Finance (0.6%) | ||||||||
166 | Synchrony Financial | 7,870 | ||||||
Containers & Packaging (1.5%) | ||||||||
39 | Aptar Group, Inc. | 5,745 | ||||||
187 | Berry Global Group, Inc.(a) | 12,755 | ||||||
18,500 | ||||||||
Diversified Consumer Services (0.5%) | ||||||||
131 | Terminix Global Holdings, Inc.(a) | 6,464 | ||||||
Diversified Financial Services (0.5%) | ||||||||
98 | Voya Financial, Inc. | 6,421 | ||||||
Diversified Telecommunication Services (0.1%) | ||||||||
124 | Lumen Technologies, Inc. | 1,716 | ||||||
Electric Utilities (1.1%) | ||||||||
41 | Alliant Energy Corp. | 2,343 | ||||||
282 | PPL Corp. | 8,209 | ||||||
46 | Xcel Energy, Inc. | 3,261 | ||||||
13,813 | ||||||||
Electrical Equipment (3.1%) | ||||||||
44 | Acuity Brands, Inc. | 8,173 | ||||||
30 | Generac Holdings,Inc.(a) | 9,861 | ||||||
142 | Regal-Beloit Corp. | 20,197 | ||||||
38,231 | ||||||||
Electronic Equipment, Instruments & Components (1.6%) | ||||||||
122 | CDW Corp. | 20,181 | ||||||
Energy Equipment & Services (2.0%) | ||||||||
1,018 | Baker Hughes Co. | 24,839 | ||||||
Entertainment (2.8%) | ||||||||
313 | Lions Gate Entertainment Corp.,Class A(a) | 6,097 |
Shares | Security Description | Value | ||||||
Common Stocks, continued | ||||||||
Entertainment, continued: | ||||||||
15 | Spotify Technology SA(a) | $ | 3,624 | |||||
37 | Take-TwoInteractive Software, Inc.(a) | 6,866 | ||||||
1,697 | Zynga, Inc., Class A(a) | 18,395 | ||||||
34,982 | ||||||||
Equity Real Estate Investment Trusts (6.1%) | ||||||||
175 | American Homes 4 Rent, Class A | 6,662 | ||||||
342 | CubeSmart | 14,976 | ||||||
268 | Duke Realty Corp. | 12,451 | ||||||
115 | Equity LifeStyle Properties, Inc. | 8,149 | ||||||
78 | Extra Space Storage, Inc. | 11,685 | ||||||
90 | Lamar Advertising Co. | 9,434 | ||||||
73 | SL Green Realty Corp. | 5,783 | ||||||
89 | Welltower, Inc. | 6,655 | ||||||
75,795 | ||||||||
Food Products (1.2%) | ||||||||
93 | Ingredion, Inc. | 8,828 | ||||||
35 | Kellogg Co. | 2,292 | ||||||
46 | Lamb Weston Holdings, Inc. | 3,795 | ||||||
14,915 | ||||||||
Gas Utilities (0.7%) | ||||||||
190 | UGI Corp. | 8,749 | ||||||
Health Care Equipment & Supplies (5.6%) | ||||||||
20 | Align Technology, Inc.(a) | 11,803 | ||||||
78 | Hill-Rom Holdings, Inc. | 8,680 | ||||||
166 | Hologic, Inc.(a) | 10,468 | ||||||
26 | IDEXX Laboratories, Inc.(a) | 14,511 | ||||||
25 | Teleflex, Inc. | 10,055 | ||||||
42 | West Pharmaceutical Services, Inc. | 14,595 | ||||||
70,112 | ||||||||
Health Care Providers & Services (1.1%) | ||||||||
9 | Chemed Corp. | 4,422 | ||||||
37 | Molina Healthcare,Inc.(a) | 9,300 | ||||||
13,722 | ||||||||
Health Care Technology (1.5%) | ||||||||
62 | Veeva Systems, Inc.(a) | 18,063 | ||||||
Hotels, Restaurants & Leisure (2.8%) | ||||||||
81 | Darden Restaurants, Inc. | 11,602 | ||||||
185 | Hilton World wide Holdings, Inc.(a) | 23,175 | ||||||
34,777 | ||||||||
Household Products (1.1%) | ||||||||
78 | Church & Dwight Co., Inc. | 6,687 | ||||||
37 | The Clorox Co. | 6,539 | ||||||
13,226 | ||||||||
Independent Power and Renewable Electricity Producers (0.5%) | ||||||||
249 | AES Corp. | 6,327 | ||||||
Insurance (3.8%) | ||||||||
174 | Brighthouse Financial, Inc.(a) | 8,467 | ||||||
173 | FNF Group | 8,129 | ||||||
28 | The Hanover Insurance Group, Inc. | 3,906 | ||||||
105 | The Hartford Financial Services Group, Inc. | 6,862 | ||||||
656 | Unum Group | 20,316 | ||||||
47,680 | ||||||||
Internet & Direct Marketing Retail (1.7%) | ||||||||
131 | Etsy, Inc.(a) | 21,580 | ||||||
IT Services (7.0%) | ||||||||
236 | Alliance Data Systems Corp. | 28,568 | ||||||
215 | DXC Technology Co.(a) | 8,153 | ||||||
83 | Leidos Holdings, Inc. | 8,528 | ||||||
43 | MongoDB, Inc.(a) | 12,553 | ||||||
20 | Okta,Inc.(a) | 4,449 | ||||||
15 | Twilio, Inc., Class A(a) | 5,040 | ||||||
88 | VeriSign,Inc.(a) | 19,353 | ||||||
86,644 |
See notes to the schedule of portfolio investments.
- 31 -
Schedule of Portfolio Investments | Mid Cap Diverse Leadership Fund | |
May 31, 2021 (Unaudited) | Concluded |
Shares | Security Description | Value | ||||||
Common Stocks, continued | ||||||||
Leisure Products (0.4%) | ||||||||
56 | Hasbro, Inc. | $ | 5,374 | |||||
Life Sciences Tools & Services (2.5%) | ||||||||
21 | Agilent Technologies, Inc. | 2,901 | ||||||
21 | Charles River Laboratories International, Inc.(a) | 7,098 | ||||||
7 | Mettler-Toledo International, Inc.(a) | 9,106 | ||||||
36 | Waters Corp.(a) | 11,601 | ||||||
30,706 | ||||||||
Machinery (3.5%) | ||||||||
242 | Allison Transmission Holdings, Inc. | 10,239 | ||||||
95 | Graco, Inc. | 7,194 | ||||||
23 | IDEX Corp. | 5,121 | ||||||
138 | The Timken Co. | 12,206 | ||||||
78 | The Toro Co. | 8,665 | ||||||
43,425 | ||||||||
Media (0.1%) | ||||||||
1 | Cable One, Inc. | 1,816 | ||||||
Mortgage Real Estate Investment Trusts (2.1%) | ||||||||
1,430 | AGNC Investment Corp. | 26,512 | ||||||
Multiline Retail (0.1%) | ||||||||
42 | Nordstrom, Inc.(a) | 1,409 | ||||||
Multi-Utilities (1.4%) | ||||||||
97 | MDU Resources Group, Inc. | 3,265 | ||||||
108 | Public Service Enterprise Group, Inc. | 6,709 | ||||||
74 | WEC Energy Group, Inc. | 6,949 | ||||||
16,923 | ||||||||
Oil, Gas & Consumable Fuels (1.0%) | ||||||||
555 | EQT Corp.(a) | 11,588 | ||||||
27 | ONEOK, Inc. | 1,424 | ||||||
13,012 | ||||||||
Personal Products (0.1%) | ||||||||
124 | Coty, Inc.(a) | 1,105 | ||||||
Professional Services (0.7%) | ||||||||
24 | Manpower Group, Inc. | 2,904 | ||||||
64 | Robert Half International, Inc. | 5,682 | ||||||
Road & Rail (1.7%) | 8,586 | |||||||
79 | Old Dominion Freight Line, Inc. | 20,971 | ||||||
Semiconductors & Semiconductor Equipment (4.1%) | ||||||||
37 | KLA-Tencor Corp. | 11,725 | ||||||
317 | ON Semiconductor Corp.(a) | 12,692 |
Shares | Security Description | Value | ||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued: | ||||||||
40 | Qorvo, Inc.(a) | $ | 7,309 | |||||
59 | Skyworks Solutions, Inc. | 10,030 | ||||||
74 | Xilinx, Inc. | 9,398 | ||||||
51,154 | ||||||||
Software (5.2%) | ||||||||
53 | Aspen Technology, Inc.(a) | 7,233 | ||||||
4 | Cadence Design Systems, Inc.(a) | 508 | ||||||
70 | Citrix Systems, Inc. | 8,047 | ||||||
21 | DocuSign, Inc.(a) | 4,234 | ||||||
57 | Fortinet, Inc.(a) | 12,457 | ||||||
58 | Manhattan Associates, Inc.(a) | 7,887 | ||||||
247 | New Relic, Inc.(a) | 15,482 | ||||||
45 | Zscaler, Inc.(a) | 8,739 | ||||||
64,587 | ||||||||
Specialty Retail (3.8%) | ||||||||
118 | AutoNation, Inc.(a) | 12,051 | ||||||
7 | AutoZone, Inc.(a) | 9,846 | ||||||
222 | Foot Locker, Inc. | 14,051 | ||||||
22 | O'Reilly Automotive, Inc.(a) | 11,773 | ||||||
47,721 | ||||||||
Technology Hardware, Storage & Peripherals (0.7%) | ||||||||
151 | HP, Inc. | 4,414 | ||||||
63 | Western Digital Corp.(a) | 4,739 | ||||||
9,153 | ||||||||
Textiles, Apparel & Luxury Goods (1.3%) | ||||||||
597 | Hanesbrands, Inc. | 11,665 | ||||||
13 | Lululemon Athletica, Inc.(a) | 4,201 | ||||||
15,866 | ||||||||
Trading Companies & Distributors (1.0%) | ||||||||
162 | Air Lease Corp. | 7,624 | ||||||
55 | MSC Industrial Direct Co., Inc. | 5,192 | ||||||
12,816 | ||||||||
Water Utilities (0.4%) | ||||||||
30 | American Water Works Co., Inc. | 4,651 | ||||||
Total Common Stocks (Cost $815,283) | 1,141,444 | |||||||
Investment in Affiliates (6.2%) | ||||||||
77,264 | Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.01%(b) | 77,264 | ||||||
Total Investment in Affiliates (Cost $77,264) | 77,264 | |||||||
Total Investments (Cost $892,547) - 97.8% | 1,218,708 | |||||||
Other assets in excess of liabilities — 2.2% | 27,389 | |||||||
Net Assets - 100.0% | $ | 1,246,097 |
(a) | Non-income producing security. |
(b) | Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at May 31, 2021. |
See notes to the schedule of portfolio investments.
- 32 -
Schedule of Portfolio Investments | Opportunistic Fund |
May 31, 2021 (Unaudited) |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Common Stocks (77.9%) | ||||||||
Aerospace & Defense (3.9%) | ||||||||
23,273 | Parsons Corp.(a) | $ | 921,843 | |||||
8,882 | The Boeing Co.(a) | 2,194,032 | ||||||
3,115,875 | ||||||||
Airlines (1.5%) | ||||||||
20,485 | United Airlines Holdings, Inc.(a) | 1,195,300 | ||||||
Automobiles (1.7%) | ||||||||
93,818 | Ford Motor Co.(a) | 1,363,176 | ||||||
Banks (4.9%) | ||||||||
88,765 | Barclays PLC ADR | 939,134 | ||||||
10,243 | JPMorgan Chase & Co. | 1,682,310 | ||||||
20,490 | Truist Financial Corp. | 1,265,872 | ||||||
3,887,316 | ||||||||
Beverages (2.0%) | ||||||||
27,981 | The Coca-Cola Co. | 1,547,069 | ||||||
Biotechnology (3.9%) | ||||||||
13,267 | AbbVie, Inc. | 1,501,825 | ||||||
14,629 | Exact Sciences Corp.(a) | 1,616,943 | ||||||
3,118,768 | ||||||||
Capital Markets (1.2%) | ||||||||
61,450 | Deutsche Bank AG(a) | 927,280 | ||||||
Commercial Services & Supplies (1.6%) | ||||||||
15,725 | Stericycle, Inc.(a) | 1,235,356 | ||||||
Communications Equipment (1.6%) | ||||||||
6,155 | Motorola Solutions, Inc. | 1,263,683 | ||||||
Construction & Engineering (1.5%) | ||||||||
8,533 | Jacobs Engineering Group, Inc. | 1,212,369 | ||||||
Diversified Telecommunication Services (1.3%) | ||||||||
34,145 | AT&T, Inc. | 1,004,887 | ||||||
Electronic Equipment, Instruments & Components (2.1%) | ||||||||
38,640 | Corning, Inc. | 1,685,863 | ||||||
Energy Equipment & Services (1.1%) | ||||||||
28,685 | Schlumberger NV | 898,701 | ||||||
Food & Staples Retailing (1.7%) | ||||||||
3,497 | Costco Wholesale Corp. | 1,322,810 | ||||||
Health Care Equipment & Supplies (1.5%) | ||||||||
30,091 | Cutera, Inc.(a) | 1,154,893 | ||||||
Health Care Providers & Services (1.5%) | ||||||||
8,880 | Quest Diagnostics, Inc. | 1,169,230 | ||||||
Hotels, Restaurants & Leisure (5.4%) | ||||||||
10,857 | Airbnb, Inc., Class A(a) | 1,524,323 | ||||||
51,152 | Norwegian Cruise Line Holdings, Ltd.(a) | 1,631,749 | ||||||
24,037 | Six Flags Entertainment Corp.(a) | 1,092,001 | ||||||
4,248,073 | ||||||||
Industrial Conglomerates (1.6%) | ||||||||
6,150 | 3M Co | 1,248,696 | ||||||
Interactive Media & Services (1.6%) | ||||||||
3,929 | Facebook, Inc., Class A(a) | 1,291,580 | ||||||
Internet & Direct Marketing Retail (4.7%) | ||||||||
1,152 | Amazon.com, Inc.(a) | 3,712,977 | ||||||
IT Services (2.9%) | ||||||||
3,999 | Accenture PLC, Class A. | 1,128,358 | ||||||
8,195 | International Business Machines Corp. | 1,177,949 | ||||||
2,306,307 | ||||||||
Metals & Mining (2.2%) | ||||||||
19,807 | Rio Tinto PLC ADR | 1,731,726 | ||||||
Oil, Gas & Consumable Fuels (3.9%) | ||||||||
49,299 | BP PL CADR | 1,293,113 | ||||||
27,310 | HollyFrontier Corp. | 886,755 | ||||||
14,345 | Marathon Petroleum Corp.. | 886,521 | ||||||
3,066,389 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Common Stocks, continued | ||||||||
Pharmaceuticals (1.1%) | ||||||||
252,773 | MediWound, Ltd.(a) | $ | 859,428 | |||||
Road & Rail (3.5%) | ||||||||
29,604 | Uber Technologies, Inc.(a) | 1,504,771 | ||||||
5,663 | Union Pacific Corp | 1,272,646 | ||||||
2,777,417 | ||||||||
Semiconductors & Semiconductor Equipment (4.1%) | ||||||||
30,725 | Infineon Technologies AG ADR | 1,244,055 | ||||||
9,549 | NXP Semiconductors NV | 2,018,850 | ||||||
3,262,905 | ||||||||
Software (4.5%) | ||||||||
19,120 | Anaplan, Inc.(a) | 984,871 | ||||||
50,327 | Dropbox, Inc., Class A(a) | 1,376,443 | ||||||
4,435 | RingCentral, Inc., Class A(a) | 1,164,055 | ||||||
3,525,369 | ||||||||
Technology Hardware, Storage & Peripherals (6.5%) | ||||||||
21,854 | Apple, Inc. | 2,723,227 | ||||||
15,725 | NetApp, Inc. | 1,216,643 | ||||||
61,475 | Pure Storage, Inc.(a) | 1,171,099 | ||||||
5,110,969 | ||||||||
Textiles, Apparel & Luxury Goods (1.4%) | ||||||||
13,937 | VF Corp. | 1,111,058 | ||||||
Trading Companies & Distributors (1.5%) | ||||||||
12,295 | MSC Industrial Direct Co., Inc. | 1,160,648 | ||||||
Total Common Stocks (Cost $56,825,043) | 61,516,118 | |||||||
Corporate Bonds (17.1%) | ||||||||
Airlines (2.8%) | ||||||||
$ | 1,851,000 | Delta Air Lines, Inc., 7.38%, 1/15/26, Callable 12/15/25 @ 100* | 2,180,161 | |||||
Hotels, Restaurants & Leisure (4.6%) | ||||||||
1,161,000 | Marriott International, Inc., 3.13%, 6/15/26, Callable 3/15/26 @ 100 | 1,233,867 | ||||||
2,079,000 | Royal Caribbean Cruises, Ltd., 7.50%, 10/15/27 . | 2,442,825 | ||||||
3,676,692 | ||||||||
Machinery (2.3%) | ||||||||
1,554,000 | Wabtec Corp., 4.95%, 9/15/28, Callable 6/15/28 @ 100* | 1,791,468 | ||||||
Oil, Gas & Consumable Fuels (7.4%) | ||||||||
1,280,000 | Hess Corp., 4.30%, 4/1/27, Callable 1/1/27 @ 100* | 1,425,415 | ||||||
2,041,000 | HollyFrontier Corp., 5.88%, 4/1/26, Callable 1/1/26 @ 100* | 2,356,572 | ||||||
2,057,000 | Matador Resources Co., 5.88%, 9/15/26, Callable 9/15/21 @ 104* | 2,064,714 | ||||||
5,846,701 | ||||||||
Total Corporate Bonds (Cost $12,793,330) | 13,495,022 | |||||||
Investment Companies (2.3%) | ||||||||
34,811 | iShares MSCI Eurozone ETF, 1.86% | 1,765,614 | ||||||
Total Investment Companies (Cost $1,702,093) | 1,765,614 | |||||||
Investment in Affiliates (2.5%) | ||||||||
1,996,859 | Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.01%(b) | 1,996,859 | ||||||
Total Investment in Affiliates (Cost $1,996,859) | 1,996,859 | |||||||
Total Investments (Cost $73,317,325) - 99.8% | 78,773,613 | |||||||
Other assets in excess of liabilities — 0.2% | 191,296 | |||||||
Net Assets - 100.0% | $ | 78,964,909 |
See notes to the schedule of portfolio investments.
- 33 -
Schedule of Portfolio Investments | Opportunistic Fund |
May 31, 2021 (Unaudited) | Concluded |
(a) | Non-income producing security. |
(b) | Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at May 31, 2021. |
* | Represents next call date. Additional subsequent call dates and amounts may apply to this security. |
ADR | American Depositary Receipt |
ETF | Exchange Traded Fund |
See notes to the schedule of portfolio investments.
- 34 -
Schedule of Portfolio Investments | World Energy Fund |
May 31, 2021 (Unaudited) |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Common Stocks (93.0%) | ||||||||
Auto Components (1.7%) | ||||||||
3,300 | Aptiv PLC(a) | $ | 496,386 | |||||
Chemicals (3.5%) | ||||||||
2,000 | Albemarle Corp. | 334,160 | ||||||
45,000 | Umicore SA ADR | 675,450 | ||||||
1,009,610 | ||||||||
Electric Utilities (0.4%) | ||||||||
42 | ALLETE, Inc. | 2,893 | ||||||
22 | American Electric Power Co., Inc. | 1,892 | ||||||
284 | Duke Energy Corp. | 28,463 | ||||||
31 | Evergy, Inc. | 1,922 | ||||||
62 | Fortis, Inc. | 2,830 | ||||||
792 | NextEra Energy, Inc. | 57,990 | ||||||
30 | Otter Tail Corp. | 1,439 | ||||||
25 | Pinnacle West Capital Corp. | 2,115 | ||||||
399 | The Southern Co. | 25,504 | ||||||
125,048 | ||||||||
Electrical Equipment (6.6%) | ||||||||
25,000 | Bloom Energy Corp., Class A(a) | 604,250 | ||||||
12,000 | Sunrun, Inc.(a) | 536,640 | ||||||
10,000 | TPI Composites, Inc.(a) | 483,000 | ||||||
23,000 | Vestas Wind Systems A/S ADR | 299,690 | ||||||
1,923,580 | ||||||||
Energy Equipment & Services (11.8%) | ||||||||
44,012 | Baker Hughes Co. | 1,073,893 | ||||||
38,948 | Halliburton Co. | 874,382 | ||||||
343 | Helmerich & Payne, Inc. | 9,690 | ||||||
41,209 | Schlumberger NV | 1,291,078 | ||||||
9,485 | Tenaris SA ADR | 217,301 | ||||||
3,466,344 | ||||||||
Gas Utilities (0.0%^) | ||||||||
45 | Atmos Energy Corp. | 4,463 | ||||||
20 | Chesapeake Utilities Corp. | 2,291 | ||||||
49 | National Fuel & Gas Co. | 2,543 | ||||||
30 | Northwest Natural Holding Co. | 1,586 | ||||||
27 | Southwest Gas Holdings, Inc. | 1,782 | ||||||
12,665 | ||||||||
Independent Power and Renewable Electricity Producers (0.1%) | ||||||||
169 | AES Corp. | 4,295 | ||||||
152 | Atlantica Yield PLC | 5,525 | ||||||
107 | NRG Energy, Inc. | 3,440 | ||||||
63 | Ormat Technologies, Inc. | 4,350 | ||||||
70 | Sunnova Energy International, Inc.(a) | 2,044 | ||||||
124 | Vistra Corp. | 2,005 | ||||||
21,659 | ||||||||
Metals & Mining (2.7%) | ||||||||
8,500 | Freeport-McMoRan, Inc. | 363,120 | ||||||
5,000 | Rio Tinto PLC ADR | 437,150 | ||||||
800,270 | ||||||||
Multi-Utilities (0.6%) | ||||||||
19 | Consolidated Edison, Inc. | 1,467 | ||||||
729 | Dominion Resources, Inc. | 55,506 | ||||||
32 | DTE Energy Co. | 4,416 | ||||||
259 | MDU Resources Group, Inc. | 8,718 | ||||||
869 | National Grid PLC ADR | 58,110 | ||||||
275 | Sempra Energy | 37,260 | ||||||
27 | WEC Energy Group, Inc. | 2,536 | ||||||
168,013 | ||||||||
Oil, Gas & Consumable Fuels (59.6%) | ||||||||
50,000 | APA Corp. | 1,040,000 | ||||||
49,270 | BP PLC ADR | 1,292,352 | ||||||
3,354 | Chevron Corp. | 348,112 |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued: | ||||||||
12,500 | Cimarex Energy Co. | $ | 846,875 | |||||
16,161 | Conoco Phillips | 900,814 | ||||||
37,000 | Continental Resources, Inc. | 1,205,090 | ||||||
42,500 | Devon Energy Corp. | 1,128,800 | ||||||
11,000 | Diamondback Energy, Inc. | 880,770 | ||||||
15,446 | Enbridge, Inc. | 594,362 | ||||||
3,084 | EOG Resources, Inc. | 247,769 | ||||||
5,012 | Exxon Mobil Corp. | 292,550 | ||||||
60,000 | Galp Energia SGPS SA ADR | 376,800 | ||||||
7,800 | Hess Corp. | 653,796 | ||||||
15,000 | HollyFrontier Corp. | 487,050 | ||||||
1,636 | Kinder Morgan, Inc. | 30,004 | ||||||
90,000 | Marathon Oil Corp. | 1,089,900 | ||||||
22,680 | Marathon Petroleum Corp. | 1,401,624 | ||||||
14,049 | ONEOK, Inc. | 740,944 | ||||||
9,317 | Pembina Pipeline Corp. | 301,125 | ||||||
9,042 | Phillips 66 | 761,517 | ||||||
3,500 | Pioneer Natural Resources Co. | 532,665 | ||||||
1,191 | Royal Dutch Shell PLC ADR, Class A | 45,985 | ||||||
10,375 | TC Energy Corp. | 529,748 | ||||||
14,937 | TOTAL SE ADR | 697,409 | ||||||
12,493 | Valero Energy Corp. | 1,004,437 | ||||||
17,430,498 | ||||||||
Semiconductors & Semiconductor Equipment (4.9%) | ||||||||
6,000 | First Solar, Inc.(a) | 456,660 | ||||||
13,000 | Infineon Technologies AG ADR | 526,370 | ||||||
2,200 | NXP Semiconductors NV | 465,124 | ||||||
1,448,154 | ||||||||
Water Utilities (1.1%) | ||||||||
237 | American States Water Co. | 18,811 | ||||||
1,142 | American Water Works Co., Inc. | 177,033 | ||||||
2,597 | Essential Utilities, Inc. | 124,136 | ||||||
24 | Middlesex Water Co. | 2,063 | ||||||
35 | SJW Group | 2,256 | ||||||
324,299 | ||||||||
Total Common Stocks (Cost $20,755,080) | 27,226,526 | |||||||
Corporate Bonds (5.3%) | ||||||||
Diversified Financial Services (0.9%) | ||||||||
$ | 250,000 | Total Capital International SA, 2.75%, 6/19/21 | 250,321 | |||||
Oil, Gas & Consumable Fuels (4.4%) | ||||||||
250,000 | Callon Petroleum Co., 6.13%, 10/1/24, Callable 7/12/21 @ 103 * | 230,100 | ||||||
300,000 | HollyFrontier Corp., 5.88%, 4/1/26, Callable 1/1/26 @ 100* | 346,385 | ||||||
200,000 | Matador Resources Co., 5.88%, 9/15/26, Callable 9/15/21 @ 104 * | 200,750 | ||||||
200,000 | Suncor Energy, Inc., 3.60%, 12/1/24, Callable 9/1/24 @ 100* | 217,454 | ||||||
300,000 | Valero Energy Corp., 2.15%, 9/15/27, Callable 7/15/27 @ 100* | 301,679 | ||||||
1,296,368 | ||||||||
Total Corporate Bonds (Cost $1,538,398) | 1,546,689 | |||||||
Investment in Affiliates (1.3%) | ||||||||
376,253 | Cavanal Hill Government Securities Money Market Fund,Select Shares,0.01%(b) | 376,253 | ||||||
Total Investment in Affiliates (Cost $376,253) | 376,253 |
See notes to the schedule of portfolio investments.
- 35 -
Schedule of Portfolio Investments | World Energy Fund |
May 31, 2021 (Unaudited) | Concluded |
Shares or | ||||||||
Principal | ||||||||
Amount | Security Description | Value | ||||||
Investment in Affiliates, continued | ||||||||
Total Investments (Cost $22,669,731) - 99.6% | $ | 29,149,468 | ||||||
Other assets in excess of liabilities — 0.4% | 111,809 | |||||||
Net Assets - 100.0% | $ | 29,261,277 | ||||||
The Advisor has determined that 48.1% of the Fund’s net assets comprise securities of issuers which are either foreign domiciled or derive more than 50% of its assets, revenue or income outside of the United States.
(a) | Non-income producing security. |
(b) | Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at May 31, 2021. |
* | Represents next call date. Additional subsequent call dates and amounts may apply to this security. |
^ | Represents less than 0.05%. |
ADR | American Depositary Receipt |
See notes to the schedule of portfolio investments.
- 36 -
Schedule of Portfolio Investments | Hedged Income Fund | |
May 31, 2021 (Unaudited) |
Shares | Security Description | Value | ||||||
Common Stocks (96.5%) | ||||||||
Beverages (6.5%) | ||||||||
3,400 | PepsiCo, Inc. | $ | 502,996 | |||||
10,800 | The Coca-Cola Co. | 597,132 | ||||||
1,100,128 | ||||||||
Biotechnology (3.2%) | ||||||||
4,800 | AbbVie, Inc. | 543,360 | ||||||
Capital Markets (4.1%) | ||||||||
800 | BlackRock, Inc. | 701,632 | ||||||
Chemicals (4.3%) | ||||||||
10,600 | Dow, Inc. | 725,252 | ||||||
Communications Equipment (3.2%) | ||||||||
10,400 | Cisco Systems, Inc. | 550,160 | ||||||
Containers & Packaging (3.7%) | ||||||||
4,300 | Packaging Corp. of America | 639,195 | ||||||
Diversified Telecommunication Services (8.0%) | ||||||||
24,300 | AT&T, Inc. | 715,149 | ||||||
11,600 | Verizon Communications, Inc. | 655,284 | ||||||
1,370,433 | ||||||||
Electric Utilities (10.1%) | ||||||||
5,500 | American Electric Power Co., Inc. | 473,000 | ||||||
7,900 | Duke Energy Corp. | 791,738 | ||||||
5,400 | Pinnacle West Capital Corp. | 456,732 | ||||||
1,721,470 | ||||||||
Electrical Equipment (2.6%) | ||||||||
4,600 | Emerson Electric Co. | 440,174 | ||||||
Electronic Equipment, Instruments & Components (2.7%) | ||||||||
10,400 | Corning, Inc. | 453,752 | ||||||
Equity Real Estate Investment Trusts (7.1%) | ||||||||
3,300 | Crown Castle International Corp. | 625,350 | ||||||
16,500 | STAG Industrial, Inc. | 589,215 | ||||||
1,214,565 | ||||||||
Household Durables (3.1%) | ||||||||
3,700 | Garmin, Ltd. | 526,288 |
Shares | Security Description | Value | ||||||
Common Stocks, continued | ||||||||
Industrial Conglomerates (4.3%) | ||||||||
3,600 | 3M Co. | $ | 730,944 | |||||
Multiline Retail (3.7%) | ||||||||
2,800 | Target Corp. | 635,376 | ||||||
Oil, Gas & Consumable Fuels (9.0%) | ||||||||
6,600 | ONEOK, Inc. | 348,084 | ||||||
8,200 | Phillips 66 | 690,604 | ||||||
10,700 | TOTAL SE ADR | 499,583 | ||||||
1,538,271 | ||||||||
Pharmaceuticals (4.3%) | ||||||||
8,000 | AstraZeneca PLC ADR | 454,160 | ||||||
3,600 | Merck & Co., Inc. | 273,204 | ||||||
727,364 | ||||||||
Semiconductors & Semiconductor Equipment (8.0%) | ||||||||
1,900 | Broadcom, Inc. | 897,427 | ||||||
2,500 | Texas Instruments, Inc. | 474,550 | ||||||
1,371,977 | ||||||||
Specialty Retail (2.8%) | ||||||||
1,500 | The Home Depot, Inc. | 478,365 | ||||||
Textiles, Apparel & Luxury Goods (2.0%) | ||||||||
4,200 | VF Corp. | 334,824 | ||||||
Trading Companies & Distributors (3.8%) | ||||||||
6,900 | MSC Industrial Direct Co., Inc. | 651,360 | ||||||
Total Common Stocks (Cost $15,234,472) | 16,454,890 | |||||||
Purchased Option (1.0%)^ | ||||||||
380 | SPDR S&P 500 ETF Trust, 0.00% | 170,240 | ||||||
Total Purchased Option (Cost $238,173) | 170,240 | |||||||
Investment in Affiliates (2.3%) | ||||||||
400,289 | Cavanal Hill Government Securities Money Market Fund, Select Shares, 0.01%(a) | 400,289 | ||||||
Total Investment in Affiliates (Cost $400,289) | 400,289 | |||||||
Total Investments (Cost $15,872,934) - 99.8% | 17,025,419 | |||||||
Other assets in excess of liabilities — 0.2% | 41,380 | |||||||
Net Assets - 100.0% | $ | 17,066,799 |
(a) | Money market investment. The rate presented on the Schedule of Portfolio Investments is the rate in effect at May 31, 2021. |
ADR | American Depositary Receipt |
ETF | Exchange Traded Fund |
^ | See Options table below for more details. |
At May 31, 2021, the Fund's exchange traded options purchased were as follows:
Put/ | Expiration | Notional | ||||||||||||||||
Description | Call | Strike Price | Date | Contracts | Amount(a) | Fair Value | ||||||||||||
SPDR S&P 500 ETF Trust | Put | 365.00 USD | 9/17/21 | 380 | $ | 138,700 | $ | 170,240 | ||||||||||
Total (Cost $238,173) | $ | 170,240 |
At May 31, 2021, the Fund's exchange traded options written were as follows:
Put/ | Expiration | Notional | ||||||||||||||||
Description | Call | Strike Price | Date | Contracts | Amount(a) | Fair Value | ||||||||||||
3M Co. | Call | 210.00 USD | 6/18/21 | 34 | $ | 7,140 | $ | (2,414 | ) | |||||||||
Abbvie, Inc. | Call | 120.00 USD | 6/25/21 | 48 | 5,760 | (2,400 | ) | |||||||||||
American Electric Power Co., Inc. | Call | 90.00 USD | 6/18/21 | 55 | 4,950 | (825 | ) |
See notes to the schedule of portfolio investments.
- 37 -
Schedule of Portfolio Investments | Hedged Income Fund |
May 31, 2021 (Unaudited) | Concluded |
AstraZeneca PLC-SPONS ADR | Call | 57.50 | USD | 6/18/21 | 80 | $ | 4,600 | $ | (5,680 | ) | ||||||||||||
AT&T, Inc. | Call | 32.00 | USD | 6/18/21 | 225 | 7,200 | (900 | ) | ||||||||||||||
BlackRock, Inc. | Call | 870.00 | USD | 6/18/21 | 1 | 870 | (1,800 | ) | ||||||||||||||
BlackRock, Inc. | Call | 890.00 | USD | 6/18/21 | 6 | 5,340 | (5,280 | ) | ||||||||||||||
Broadcom, Inc. | Call | 490.00 | USD | 6/18/21 | 18 | 8,820 | (11,142 | ) | ||||||||||||||
Cisco Systems, Inc. | Call | 54.00 | USD | 6/25/21 | 104 | 5,616 | (6,240 | ) | ||||||||||||||
Coca-Cola Co. (The) | Call | 57.50 | USD | 6/18/21 | 102 | 5,865 | (918 | ) | ||||||||||||||
Corning, Inc. | Call | 48.00 | USD | 6/18/21 | 104 | 4,992 | (832 | ) | ||||||||||||||
Crown Castle International Corp. | Call | 190.00 | USD | 6/18/21 | 31 | 5,890 | (8,680 | ) | ||||||||||||||
Dow, Inc. | Call | 70.00 | USD | 6/18/21 | 100 | 7,000 | (9,200 | ) | ||||||||||||||
Duke Energy Corp. | Call | 100.00 | USD | 6/18/21 | 77 | 7,700 | (12,705 | ) | ||||||||||||||
Emerson Electric Co. | Call | 100.00 | USD | 6/18/21 | 46 | 4,600 | (1,380 | ) | ||||||||||||||
Garmin, Ltd. | Call | 150.00 | USD | 6/18/21 | 37 | 5,550 | (925 | ) | ||||||||||||||
Home Depot, Inc. (The) | Call | 340.00 | USD | 6/18/21 | 11 | 3,740 | (495 | ) | ||||||||||||||
Home Depot, Inc. (The) | Call | 355.00 | USD | 6/18/21 | 4 | 1,420 | (52 | ) | ||||||||||||||
Merck & Co., Inc. | Call | 82.50 | USD | 6/18/21 | 35 | 2,888 | (175 | ) | ||||||||||||||
MSC Industrial Direct Co. | Call | 100.00 | USD | 6/18/21 | 65 | 6,500 | (1,463 | ) | ||||||||||||||
ONEOK, Inc. | Call | 58.00 | USD | 6/18/21 | 66 | 3,828 | (990 | ) | ||||||||||||||
Packaging Corp. of America | Call | 155.00 | USD | 6/18/21 | 43 | 6,665 | (3,010 | ) | ||||||||||||||
PepsiCo, Inc. | Call | 150.00 | USD | 6/18/21 | 6 | 900 | (474 | ) | ||||||||||||||
PepsiCo, Inc. | Call | 147.00 | USD | 6/25/21 | 28 | 4,116 | (6,664 | ) | ||||||||||||||
Phillips 66 | Call | 92.50 | USD | 6/18/21 | 82 | 7,585 | (1,845 | ) | ||||||||||||||
Pinnacle West Capital | Call | 90.00 | USD | 6/18/21 | 54 | 4,860 | (810 | ) | ||||||||||||||
Target Corp. | Call | 230.00 | USD | 6/18/21 | 5 | 1,150 | (1,335 | ) | ||||||||||||||
Target Corp. | Call | 215.00 | USD | 6/25/21 | 23 | 4,945 | (31,050 | ) | ||||||||||||||
Texas Instruments, Inc. | Call | 195.00 | USD | 6/18/21 | 24 | 4,680 | (4,584 | ) | ||||||||||||||
Total SE-SPON ADR | Call | 50.00 | USD | 6/18/21 | 105 | 5,250 | (1,260 | ) | ||||||||||||||
Verizon Communications, Inc. | Call | 58.00 | USD | 6/25/21 | 97 | 5,626 | (3,492 | ) | ||||||||||||||
Verizon Communications, Inc. | Call | 59.00 | USD | 6/25/21 | 19 | 1,121 | (380 | ) | ||||||||||||||
VF Corp. | Call | 90.00 | USD | 6/18/21 | 28 | 2,520 | (560 | ) | ||||||||||||||
VF Corp. | Call | 92.50 | USD | 6/18/21 | 14 | 1,295 | (350 | ) | ||||||||||||||
Total (Premiums $(229,425)) | $ | (130,310 | ) |
(a) | Notional amount is expressed as the number of contracts multiplied by the strike price of the underlying asset. |
See notes to the schedule of portfolio investments.
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Notes to Schedules of Portfolio Investments
May 31, 2021 (Unaudited)
1. | Restricted Securities: |
A restricted security is a security that has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144 under the 1933 Act or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Board. Not all restricted securities are considered illiquid. The illiquid, restricted securities held as of May 31, 2021 are identified below:
Acquisition | Principal | Fair | ||||||||||||
Security | Acquisition Date | Cost | Amount | Value | ||||||||||
Limited Duration Fund: | ||||||||||||||
Cazenovia Creek Funding II LLC, Series 2018-1A, A, 3.56%, 7/15/30 | 8/22/18 | $ | 302,279 | $ | 302,309 | $ | 303,748 | |||||||
Sun Trust Student Loan Trust, Series 2006-1A, B, 0.45%, 10/28/37 | 5/26/17 and 4/11/18 | 758,706 | 826,717 | 759,541 |
Acquisition | Principal | Fair | ||||||||||||
Security | Acquisition Date | Cost | Amount | Value | ||||||||||
Strategic Enhanced Yield Fund: | ||||||||||||||
Amur Equipment Finance Receivables LLC, Series 2021-1A, E, 4.13%, 3/20/28 | 4/14/21 | $ | 599,953 | $ | 600,000 | $ | 599,459 | |||||||
Brean Asset Backed Securities Trust, Series 2021-RM1, M1, 1.60%, 10/25/63 | 3/25/21 | 315,486 | 345,000 | 315,486 |
2. | Affiliated Transactions: |
A summary of each Fund’s investment in an affiliated money market fund (Government Securities Money Market Fund, Select Shares) for the period ending May 31, 2021 is noted below:
Net | Net Change | |||||||||||||||||||||||||||||||
Realized | in Unrealized | |||||||||||||||||||||||||||||||
Fair Value | Gains/ | Appreciation/ | Fair Value | Shares as of | Dividend | |||||||||||||||||||||||||||
Fund | 8/31/20 | Purchases | Sales | (Losses) | Depreciation | 5/31/21 | 5/31/21 | Income | ||||||||||||||||||||||||
Limited Duration Fund | $ | 6,439,763 | $ | 61,367,670 | $ | (64,603,190 | ) | $ | — | $ | — | $ | 3,204,243 | 3,204,243 | $ | 242 | ||||||||||||||||
Moderate Duration Fund | 3,443,883 | 14,111,353 | (16,436,792 | ) | — | — | 1,118,444 | 1,118,444 | 69 | |||||||||||||||||||||||
Bond Fund | 2,590,008 | 36,761,514 | (34,091,064 | ) | — | — | 5,260,458 | 5,260,458 | 231 | |||||||||||||||||||||||
Strategic Enhanced Yield Fund | 2,048,668 | 22,661,615 | (21,962,971 | ) | — | — | 2,747,312 | 2,747,312 | 112 | |||||||||||||||||||||||
Ultra Short Tax-Free Income Fund | 1,847,685 | 14,648,589 | (16,439,210 | ) | — | — | 57,064 | 57,064 | 32 | |||||||||||||||||||||||
Active Core Fund | 1,213,800 | 12,015,181 | (11,846,003 | ) | — | — | 1,382,978 | 1,382,978 | 92 | |||||||||||||||||||||||
Mid Cap Diverse Leadership Fund | 37,581 | 436,035 | (396,352 | ) | — | — | 77,264 | 77,264 | 2 | |||||||||||||||||||||||
Opportunistic Fund | 2,970,000 | 67,852,588 | (68,825,729 | ) | — | — | 1,996,859 | 1,996,859 | 192 | |||||||||||||||||||||||
World Energy Fund | 330,331 | 13,021,844 | (12,975,922 | ) | — | — | 376,253 | 376,253 | 37 | |||||||||||||||||||||||
Hedged Income Fund | — | 13,634,199 | (13,233,910 | ) | — | — | 400,289 | 400,289 | 20 | |||||||||||||||||||||||
$ | 20,921,719 | $ | 256,510,588 | $ | (260,811,143 | ) | $ | — | $ | — | $ | 16,621,164 | 16,621,164 | $ | 1,029 |
A summary of the Opportunistic Fund’s investment in an affiliated money market fund for the period ending May 31, 2021 is noted below:
Net | Net Change | |||||||||||||||||||||||||||||||
Realized | in Unrealized | |||||||||||||||||||||||||||||||
Fair Value | Gains/ | Appreciation/ | Fair Value | Shares as of | Dividend | |||||||||||||||||||||||||||
Fund | 8/31/20 | Purchases | Sales | (Losses) | Depreciation | 5/31/21 | 5/31/21 | Income | ||||||||||||||||||||||||
U.S. Treasury Fund, Select Shares | $ | 47,026 | $ | 7,503,648 | $ | (7,550,674 | ) | — | $ | — | $ | — | — | $ | — | |||||||||||||||||
$ | 47,026 | $ | 7,503,648 | $ | (7,550,674 | ) | $ | — | $ | — | $ | — | — | $ | — |
A summary of the Active Core Fund’s investment in an affiliated fund for the period ending May 31, 2021 is noted below:
Net | Net Change | |||||||||||||||||||||||||||||||
Realized | in Unrealized | |||||||||||||||||||||||||||||||
Fair Value | Gains/ | Appreciation/ | Fair Value | Shares as of | Dividend | |||||||||||||||||||||||||||
Fund | 8/31/20 | Purchases | Sales | (Losses) | Depreciation | 5/31/21 | 5/31/21 | Income | ||||||||||||||||||||||||
World Energy Fund, Institutional Shares | $ | 322,919 | $ | — | $ | — | $ | — | $ | 172,734 | $ | 495,653 | $ | 52,409 | $ | 5,327 | ||||||||||||||||
$ | 322,919 | $ | — | $ | — | $ | — | $ | 172,734 | $ | 495,653 | $ | 52,409 | $ | 5,327 |
- 39 -