NPORT-EX 2 fp0077688_nportex.htm GUGGENHEIM FUNDS TRUST NQ

Alpha Opportunity Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

 

   Shares   Value 
COMMON STOCKS - 85.7%
Consumer, Non-cyclical - 24.2%
Conagra Brands, Inc.   9,942   $340,425 
Kimberly-Clark Corp.   2,453    331,523 
Bristol-Myers Squibb Co.1   4,231    325,787 
Procter & Gamble Co.1   2,205    317,057 
Vertex Pharmaceuticals, Inc.*   1,112    313,350 
John B Sanfilippo & Son, Inc.   4,097    296,991 
Constellation Brands, Inc. — Class A   1,238    288,528 
Baxter International, Inc.1   4,465    286,787 
Abbott Laboratories1   2,573    279,556 
Perdoceo Education Corp.*   23,014    271,105 
Kellogg Co.   3,757    268,024 
AbbVie, Inc.1   1,738    266,192 
Prestige Consumer Healthcare, Inc.*,1   4,470    262,836 
Tyson Foods, Inc. — Class A   2,933    252,414 
Merck & Company, Inc.1   2,652    241,783 
Regeneron Pharmaceuticals, Inc.*,1   404    238,817 
Hologic, Inc.*,1   3,432    237,838 
Church & Dwight Company, Inc.1   2,415    223,774 
AmerisourceBergen Corp. — Class A   1,402    198,355 
Eagle Pharmaceuticals, Inc.*,1   4,280    190,161 
Gilead Sciences, Inc.   2,736    169,112 
USANA Health Sciences, Inc.*,1   2,292    165,849 
Danaher Corp.   645    163,520 
Supernus Pharmaceuticals, Inc.*   5,473    158,279 
Innoviva, Inc.*,1   9,985    147,379 
Keurig Dr Pepper, Inc.   4,005    141,737 
Royalty Pharma plc — Class A   3,223    135,495 
Vanda Pharmaceuticals, Inc.*   11,442    124,718 
Waters Corp.*   363    120,146 
Ingredion, Inc.1   1,361    119,986 
Centene Corp.*   1,392    117,777 
Molson Coors Beverage Co. — Class B1   1,976    107,712 
Jazz Pharmaceuticals plc*   613    95,634 
Amphastar Pharmaceuticals, Inc.*   2,723    94,733 
Halozyme Therapeutics, Inc.*,1   2,146    94,424 
TreeHouse Foods, Inc.*   2,052    85,815 
Pfizer, Inc.   1,602    83,993 
FleetCor Technologies, Inc.*   398    83,624 
EVERTEC, Inc.   2,063    76,083 
SpartanNash Co.   2,399    72,378 
Laboratory Corporation of America Holdings   264    61,871 
Horizon Therapeutics plc*   748    59,660 
Total Consumer, Non-cyclical        7,911,228 
Financial - 17.2%          
Global Net Lease, Inc. REIT   22,335    316,264 
Northwest Bancshares, Inc.   24,699    316,147 
Banner Corp.1   5,516    310,054 
S&T Bancorp, Inc.1   11,187    306,859 
National Bank Holdings Corp. — Class A   7,878    301,491 
Eagle Bancorp, Inc.   6,034    286,072 
Enstar Group Ltd.*   1,199   256,562 
Essent Group Ltd.1   6,418    249,660 
Preferred Bank/Los Angeles CA   3,577    243,308 
Weyerhaeuser Co. REIT   7,187    238,033 
Office Properties Income Trust REIT   9,815    195,809 
MGIC Investment Corp.   15,104    190,310 
Meta Financial Group, Inc.   4,673    180,705 
Fidelity National Financial, Inc.   4,777    176,558 
PotlatchDeltic Corp. REIT1   3,623    160,100 
BankUnited, Inc.   4,300    152,951 
Stewart Information Services Corp.   3,053    151,887 
Encore Capital Group, Inc.*   2,490    143,847 
AMERISAFE, Inc.1   2,563    133,302 
Getty Realty Corp. REIT   4,769    126,379 
Central Pacific Financial Corp.   5,886    126,255 
Radian Group, Inc.1   6,332    124,424 
SL Green Realty Corp. REIT   2,676    123,497 
Interactive Brokers Group, Inc. — Class A   2,229    122,617 
Highwoods Properties, Inc. REIT1   3,552    121,443 
PennyMac Financial Services, Inc.   2,588    113,122 
Piper Sandler Cos.   944    107,012 
Bread Financial Holdings, Inc.   2,519    93,354 
NMI Holdings, Inc. — Class A*   5,489    91,392 
HomeStreet, Inc.1   2,580    89,449 
OneMain Holdings, Inc.1   2,017    75,395 
Total Financial        5,624,258 
Industrial - 10.7%          
OSI Systems, Inc.*   3,736    319,204 
Vishay Intertechnology, Inc.1   15,541    276,940 
Packaging Corporation of America   1,996    274,450 
Vontier Corp.   11,931    274,294 
Sturm Ruger & Company, Inc.   4,237    269,685 
Knowles Corp.*   15,487    268,390 
Standex International Corp.   2,948    249,931 
Eagle Materials, Inc.1   1,855    203,939 
Garmin Ltd.   1,627    159,853 
Sealed Air Corp.   2,106    121,559 
Snap-on, Inc.   615    121,174 
Amcor plc   9,075    112,802 
Atlas Air Worldwide Holdings, Inc.*,1   1,588    97,995 
Energizer Holdings, Inc.   3,136    88,906 
Sanmina Corp.*   2,170    88,384 
Louisiana-Pacific Corp.1   1,677    87,891 
Dorian LPG Ltd.   5,518    83,874 
Mueller Industries, Inc.1   1,396    74,393 
Fortune Brands Home & Security, Inc.   1,242    74,371 
Encore Wire Corp.   685    71,185 
Insteel Industries, Inc.1   2,071    69,731 
Keysight Technologies, Inc.*   436    60,102 
Oshkosh Corp.   666    54,705 
Total Industrial        3,503,758 
Utilities - 9.1%          
IDACORP, Inc.1   2,870    303,990 

   

 

Alpha Opportunity Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

   Shares   Value 
COMMON STOCKS - 85.7% (continued)
Utilities - 9.1% (continued)
OGE Energy Corp.   7,856   $302,927 
MGE Energy, Inc.1   3,685    286,804 
National Fuel Gas Co.   4,296    283,751 
Southern Co.   3,939    280,890 
PPL Corp.   9,570    259,634 
NorthWestern Corp.   4,037    237,901 
Chesapeake Utilities Corp.1   1,822    236,040 
Otter Tail Corp.1   2,754    184,876 
Portland General Electric Co.   3,076    148,663 
Xcel Energy, Inc.   2,024    143,218 
Hawaiian Electric Industries, Inc.1   3,225    131,903 
UGI Corp.   2,610    100,772 
California Water Service Group1   1,622    90,102 
Total Utilities        2,991,471 
Basic Materials - 6.2%          
Minerals Technologies, Inc.   4,694    287,930 
International Paper Co.   6,761    282,812 
LyondellBasell Industries N.V. — Class A   2,885    252,322 
Dow, Inc.1   4,810    248,244 
HB Fuller Co.   3,419    205,858 
Westlake Corp.   1,445    141,639 
Southern Copper Corp.   2,457    122,383 
Huntsman Corp.1   3,822    108,354 
American Vanguard Corp.   3,668    81,980 
NewMarket Corp.   270    81,259 
Ingevity Corp.*,1   1,260    79,556 
AdvanSix, Inc.   2,366    79,119 
Olin Corp.   1,459    67,523 
Total Basic Materials        2,038,979 
Technology - 6.1%          
CSG Systems International, Inc.1   5,318    317,378 
Genpact Ltd.   7,144    302,620 
NetApp, Inc.1   4,535    295,863 
Cirrus Logic, Inc.*   3,916    284,066 
Micron Technology, Inc.   3,093    170,981 
Semtech Corp.*   2,468    135,666 
Qorvo, Inc.*,1   1,243    117,240 
Xperi Holding Corp.   8,095    116,811 
Oracle Corp.   1,433    100,124 
Rambus, Inc.*,1   4,121    88,560 
Lumentum Holdings, Inc.*   897    71,240 
Total Technology        2,000,549 
Energy - 4.9%          
Exxon Mobil Corp.   3,135    268,481 
Williams Companies, Inc.   8,569    267,438 
Chevron Corp.   1,060   153,467 
Kinder Morgan, Inc.1   8,581    143,818 
Antero Midstream Corp.   14,538    131,569 
Equitrans Midstream Corp.   18,671    118,748 
DT Midstream, Inc.   2,415    118,383 
Targa Resources Corp.   1,861    111,046 
Valero Energy Corp.   856    90,976 
SunCoke Energy, Inc.   12,567    85,581 
Occidental Petroleum Corp.   1,263    74,365 
Phillips 66   589    48,292 
Total Energy        1,612,164 
Communications - 4.2%          
Verizon Communications, Inc.   6,275    318,456 
InterDigital, Inc.   4,848    294,758 
T-Mobile US, Inc.*   1,559    209,748 
Meta Platforms, Inc. — Class A*   910    146,737 
Gogo, Inc.*   6,635    107,421 
Alphabet, Inc. — Class C*   46    100,623 
Juniper Networks, Inc.   3,054    87,039 
NETGEAR, Inc.*,1   3,280    60,746 
Viavi Solutions, Inc.*   4,301    56,902 
Total Communications        1,382,430 
Consumer, Cyclical - 3.1%          
Whirlpool Corp.   1,497    231,840 
Allison Transmission Holdings, Inc.   4,666    179,408 
Methode Electronics, Inc.   3,499    129,603 
Walgreens Boots Alliance, Inc.   2,849    107,977 
Alaska Air Group, Inc.*,1   2,206    88,350 
Tri Pointe Homes, Inc.*   4,625    78,024 
Thor Industries, Inc.   1,022    76,374 
Winnebago Industries, Inc.   1,405    68,227 
Columbia Sportswear Co.   858    61,416 
Total Consumer, Cyclical        1,021,219 
Total Common Stocks          
(Cost $30,617,027)        28,086,056 
           
MONEY MARKET FUND - 4.7%          
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 1.05%2   1,523,699    1,523,699 
Total Money Market Fund          
(Cost $1,523,699)        1,523,699 
Total Investments - 90.4%          
(Cost $32,140,726)       $29,609,755 
Other Assets & Liabilities, net - 9.6%        3,152,940 
Total Net Assets - 100.0%       $32,762,695 

   

 

Alpha Opportunity Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

Custom Basket Swap Agreements

 

 

Counterparty  Reference Obligation  Type   Financing Rate  Payment Frequency  Maturity Date  Notional Amount   Value and Unrealized Appreciation (Depreciation) 
OTC Custom Basket Swap Agreements††                
Morgan Stanley Capital Services LLC  MS Equity Custom Basket   Pay   1.98% (Federal Funds Rate + 0.40%)  At Maturity  02/01/24  $7,723,343   $(581,662)
Goldman Sachs International  GS Equity Custom Basket   Pay   2.03% (Federal Funds Rate + 0.45%)  At Maturity  05/06/24   7,723,344    (588,029)
                    $15,446,687   $(1,169,691)
OTC Custom Basket Swap Agreements Sold Short††                
Goldman Sachs International  GS Equity Custom Basket   Receive   1.38% (Federal Funds Rate - 0.20%)  At Maturity  05/06/24  $13,500,343   $1,940,572 
Morgan Stanley Capital Services LLC  MS Equity Custom Basket   Receive   1.28% (Federal Funds Rate - 0.30%)  At Maturity  02/01/24   13,479,714    1,924,162 
                    $26,980,057   $3,864,734 

 

 

 

Alpha Opportunity Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

MS EQUITY LONG CUSTOM BASKET    
   Shares   Percentage
Notional
Amount
   Value and Unrealized
Appreciation (Depreciation)
 
Consumer, Non-cyclical               
Bristol-Myers Squibb Co.   1,164    1.19%  $16,464 
AbbVie, Inc.   478    0.95%   14,497 
Amphastar Pharmaceuticals, Inc.   749    0.34%   11,600 
Vertex Pharmaceuticals, Inc.   306    1.12%   9,605 
Molson Coors Beverage Co. — Class B   544    0.38%   7,904 
Merck & Company, Inc.   729    0.86%   7,804 
Prestige Consumer Healthcare, Inc.   1,230    0.94%   7,443 
TreeHouse Foods, Inc.   564    0.31%   6,496 
Perdoceo Education Corp.   6,333    0.97%   5,511 
Innoviva, Inc.   2,747    0.52%   4,688 
Halozyme Therapeutics, Inc.   590    0.34%   3,419 
Church & Dwight Company, Inc.   664    0.80%   3,162 
Royalty Pharma plc — Class A   887    0.48%   2,828 
Kellogg Co.   1,033    0.95%   2,282 
Regeneron Pharmaceuticals, Inc.   111    0.85%   2,208 
Waters Corp.   99    0.42%   1,224 
Supernus Pharmaceuticals, Inc.   1,506    0.56%   930 
Centene Corp.   383    0.42%   753 
Danaher Corp.   177    0.58%   746 
Jazz Pharmaceuticals plc   168    0.34%   679 
Eagle Pharmaceuticals, Inc.   1,178    0.68%   189 
Pfizer, Inc.   440    0.30%   (569)
Conagra Brands, Inc.   2,735    1.21%   (639)
Kimberly-Clark Corp.   675    1.18%   (668)
Keurig Dr Pepper, Inc.   1,102    0.50%   (709)
Hologic, Inc.   944    0.85%   (1,036)
Ingredion, Inc.   374    0.43%   (1,901)
AmerisourceBergen Corp. — Class A   386    0.71%   (2,005)
Gilead Sciences, Inc.   753    0.60%   (2,578)
SpartanNash Co.   660    0.26%   (2,632)
Tyson Foods, Inc. — Class A   807    0.90%   (3,106)
Laboratory Corporation of America Holdings   72    0.22%   (3,165)
FleetCor Technologies, Inc.   109    0.30%   (4,091)
EVERTEC, Inc.   567    0.27%   (4,657)
Constellation Brands, Inc. — Class A   340    1.03%   (5,502)
Horizon Therapeutics plc   205    0.21%   (5,865)
Procter & Gamble Co.   606    1.13%   (6,582)
Abbott Laboratories   708    1.00%   (9,143)
John B Sanfilippo & Son, Inc.   1,127    1.06%   (13,130)
USANA Health Sciences, Inc.   630    0.59%   (13,988)
Vanda Pharmaceuticals, Inc.   3,148    0.44%   (14,227)
Baxter International, Inc.   1,228    1.02%   (18,712)
Total Consumer, Non-cyclical            (4,473)
Basic Materials               
American Vanguard Corp.   1,009    0.29%   1,428 
Ingevity Corp.   346    0.28%   39 
NewMarket Corp.   74    0.29%   (985)
Westlake Corp.   397    0.50%   (4,375)
Minerals Technologies, Inc.   1,291    1.03%   (6,885)
AdvanSix, Inc.   651    0.28%   (6,887)
Olin Corp.   401    0.24%   (7,602)
Huntsman Corp.   1,051    0.39%   (7,950)
Dow, Inc.   1,323    0.88%   (8,142)
HB Fuller Co.   940    0.73%   (8,993)
LyondellBasell Industries N.V. — Class A   794    0.90%   (9,709)
International Paper Co.   1,860    1.01%   (11,373)
Southern Copper Corp.   676    0.44%   (16,026)
Total Basic Materials             (87,460)
Consumer, Cyclical               
Allison Transmission Holdings, Inc.   1,284    0.64%   2,766 
Winnebago Industries, Inc.   386    0.24%   (320)
Thor Industries, Inc.   281    0.27%   (634)
Tri Pointe Homes, Inc.   1,272    0.28%   (3,003)
Columbia Sportswear Co.   236    0.22%   (3,745)
Walgreens Boots Alliance, Inc.   784    0.38%   (5,457)
Methode Electronics, Inc.   963    0.46%   (5,656)
Alaska Air Group, Inc.   607    0.31%   (6,204)
Whirlpool Corp.   412    0.83%   (14,901)
Total Consumer, Cyclical             (37,154)
Financial               
Northwest Bancshares, Inc.   6,797    1.13%   3,664 
Banner Corp.   1,518    1.10%   1,861 
Preferred Bank/Los Angeles CA   984    0.87%   593 
Getty Realty Corp.   1,312    0.45%   182 
Global Net Lease, Inc.   6,146    1.13%   (1,169)
AMERISAFE, Inc.   705    0.47%   (1,924)
S&T Bancorp, Inc.   3,078    1.09%   (2,489)
Encore Capital Group, Inc.   685    0.51%   (2,652)
Office Properties Income Trust   2,701    0.70%   (2,785)
PennyMac Financial Services, Inc.   712    0.40%   (2,788)
NMI Holdings, Inc. — Class A   1,510    0.33%   (3,174)
Radian Group, Inc.   1,742    0.44%   (3,890)
Highwoods Properties, Inc.   977    0.43%   (3,925)
Piper Sandler Cos.   259    0.38%   (4,533)
OneMain Holdings, Inc.   555    0.27%   (4,983)
MGIC Investment Corp.   4,156    0.68%   (5,304)
Enstar Group Ltd.   330    0.91%   (5,818)
Fidelity National Financial, Inc.   1,314    0.63%   (6,566)
BankUnited, Inc.   1,183    0.54%   (6,933)
Interactive Brokers Group, Inc. — Class A   613    0.44%   (7,030)
SL Green Realty Corp.   736    0.44%   (8,226)

   

 

 

Alpha Opportunity Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

   Shares   Percentage
Notional
Amount
   Value and Unrealized
Appreciation (Depreciation)
 
Stewart Information Services Corp.   840    0.54%  $(8,507)
Essent Group Ltd.   1,766    0.89%   (8,785)
National Bank Holdings Corp. — Class A   2,168    1.07%   (8,800)
Central Pacific Financial Corp.   1,619    0.45%   (8,913)
HomeStreet, Inc.   710    0.32%   (10,225)
Weyerhaeuser Co.   1,977    0.85%   (10,378)
Eagle Bancorp, Inc.   1,660    1.02%   (10,461)
PotlatchDeltic Corp.   997    0.57%   (10,922)
Bread Financial Holdings, Inc.   693    0.33%   (11,922)
Meta Financial Group, Inc.   1,286    0.64%   (21,232)
Total Financial             (178,034)
Communications               
T-Mobile US, Inc.   429    0.75%   619 
Viavi Solutions, Inc.   1,183    0.20%   542 
Juniper Networks, Inc.   840    0.31%   (1,617)
Gogo, Inc.   1,826    0.38%   (3,450)
Verizon Communications, Inc.   1,726    1.13%   (3,824)
Alphabet, Inc. — Class C   12    0.34%   (4,245)
Meta Platforms, Inc. — Class A   250    0.52%   (4,886)
NETGEAR, Inc.   902    0.22%   (6,697)
InterDigital, Inc.   1,334    1.05%   (7,192)
Total Communications             (30,750)
Energy               
Occidental Petroleum Corp.   347    0.26%   (1,718)
Kinder Morgan, Inc.   2,361    0.51%   (4,263)
Phillips 66   162    0.17%   (4,688)
DT Midstream, Inc.   664    0.42%   (5,725)
SunCoke Energy, Inc.   3,458    0.30%   (6,847)
Antero Midstream Corp.   4,000    0.47%   (7,170)
Targa Resources Corp.   512    0.40%   (8,455)
Valero Energy Corp.   235    0.32%   (9,382)
Equitrans Midstream Corp.   5,138    0.42%   (10,036)
Chevron Corp.   291    0.55%   (10,814)
Williams Companies, Inc.   2,358    0.95%   (12,509)
Exxon Mobil Corp.   862    0.96%   (16,790)
Total Energy             (98,397)
Industrial               
OSI Systems, Inc.   1,028    1.14%   5,920 
Dorian LPG Ltd.   1,518    0.30%   3,874 
Mueller Industries, Inc.   384    0.26%   3,764 
Sanmina Corp.   597    0.31%   1,277 
Amcor plc   2,497    0.40%   (1,028)
Energizer Holdings, Inc.   863    0.32%   (1,243)
Keysight Technologies, Inc.   120    0.21%   (1,337)
Garmin Ltd.   447    0.57%   (2,531)
Oshkosh Corp.   183    0.19%   (2,580)
Insteel Industries, Inc.   569    0.25%   (2,717)
Fortune Brands Home & Security, Inc.   341    0.26%   (3,145)
Snap-on, Inc.   169    0.43%   (4,233)
Louisiana-Pacific Corp.   461    0.31%   (4,263)
Atlas Air Worldwide Holdings, Inc.   437    0.35%   (4,351)
Sealed Air Corp.   579    0.43%   (4,589)
Knowles Corp.   4,261    0.96%   (6,847)
Sturm Ruger & Company, Inc.   1,166    0.96%  (7,181)
Encore Wire Corp.   188    0.25%   (7,586)
Eagle Materials, Inc.   510    0.73%   (7,644)
Standex International Corp.   811    0.89%   (8,135)
Packaging Corporation of America   549    0.98%   (8,424)
Vishay Intertechnology, Inc.   4,276    0.99%   (10,153)
Vontier Corp.   3,283    0.98%   (16,884)
Total Industrial             (90,036)
Technology               
CSG Systems International, Inc.   1,463    1.13%   19,066 
Genpact Ltd.   1,966    1.08%   798 
Rambus, Inc.   1,134    0.32%   134 
Lumentum Holdings, Inc.   246    0.25%   (2,109)
Oracle Corp.   394    0.36%   (3,061)
NetApp, Inc.   1,248    1.05%   (3,717)
Semtech Corp.   679    0.48%   (4,036)
Qorvo, Inc.   342    0.42%   (6,674)
Cirrus Logic, Inc.   1,077    1.01%   (10,005)
Xperi Holding Corp.   2,227    0.42%   (10,429)
Micron Technology, Inc.   851    0.61%   (13,438)
Total Technology             (33,471)
Utilities               
IDACORP, Inc.   789    1.08%   5,050 
Chesapeake Utilities Corp.   501    0.84%   4,616 
Otter Tail Corp.   758    0.66%   3,256 
MGE Energy, Inc.   1,014    1.02%   1,659 
California Water Service Group   446    0.32%   (1,027)
Xcel Energy, Inc.   557    0.51%   (1,242)
Portland General Electric Co.   846    0.53%   (1,363)
NorthWestern Corp.   1,111    0.85%   (2,134)
Hawaiian Electric Industries, Inc.   887    0.47%   (2,380)
Southern Co.   1,083    1.00%   (3,157)
UGI Corp.   718    0.36%   (3,737)
OGE Energy Corp.   2,162    1.08%   (4,616)
PPL Corp.   2,633    0.92%   (6,047)
National Fuel Gas Co.   1,182    1.01%   (10,765)
Total Utilities             (21,887)
Total MS Equity Long Custom Basket            $(581,662)

 

MS EQUITY SHORT CUSTOM BASKET               
    Shares    Percentage
Notional
Amount
    Value and Unrealized
Appreciation (Depreciation)
 
Consumer, Non-cyclical               
Equifax, Inc.   995    (1.35)%   57,905 
Viad Corp.   3,358    (0.69)%   54,715 
ASGN, Inc.   1,707    (1.14)%   51,524 
CoStar Group, Inc.   4,055    (1.82)%   49,537 
TransUnion   1,132    (0.67)%   36,383 
Verisk Analytics, Inc. — Class A   762    (0.98)%   33,757 
Cintas Corp.   623    (1.73)%   31,067 
Cal-Maine Foods, Inc.   2,575    (0.94)%   15,967 
Clarivate plc   3,799    (0.39)%   9,352 

   

 

Alpha Opportunity Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

 

    Shares    Percentage
Notional
Amount
    Value and Unrealized
Appreciation (Depreciation)
 
Driven Brands Holdings, Inc.   5,802    (1.19)%  $7,505 
Quanta Services, Inc.   971    (0.90)%   5,493 
Mister Car Wash, Inc.   2,033    (0.16)%   2,913 
Inspire Medical Systems, Inc.   373    (0.51)%   2,702 
Patterson Companies, Inc.   3,547    (0.80)%   1,370 
Lamb Weston Holdings, Inc.   1,034    (0.55)%   (3,226)
Total Consumer, Non-cyclical             356,964 
Financial               
State Street Corp.   3,442    (1.57)%   69,054 
Park Hotels & Resorts, Inc.   11,643    (1.17)%   67,756 
Outfront Media, Inc.   7,896    (0.99)%   59,516 
Western Alliance Bancorporation   2,050    (1.07)%   56,668 
Signature Bank   620    (0.82)%   53,180 
Kite Realty Group Trust   11,160    (1.43)%   48,439 
Howard Hughes Corp.   2,385    (1.20)%   47,156 
RLJ Lodging Trust   13,461    (1.10)%   46,338 
Ares Management Corp. — Class A   1,993    (0.84)%   42,024 
Equitable Holdings, Inc.   7,056    (1.36)%   40,733 
Kennedy-Wilson Holdings, Inc.   10,684    (1.50)%   39,339 
Equinix, Inc.   299    (1.46)%   36,665 
Safehold, Inc.   2,564    (0.67)%   35,348 
Sun Communities, Inc.   1,320    (1.56)%   34,224 
Invitation Homes, Inc.   5,700    (1.50)%   34,206 
KKR & Company, Inc. — Class A   3,047    (1.05)%   31,536 
Northern Trust Corp.   1,265    (0.91)%   28,022 
Goldman Sachs Group, Inc.   961    (2.12)%   26,842 
Regions Financial Corp.   7,857    (1.09)%   26,688 
Ryman Hospitality Properties, Inc.   1,966    (1.11)%   25,647 
Bank of America Corp.   2,279    (0.53)%   21,314 
Americold Realty Trust, Inc.   4,998    (1.11)%   21,108 
Alexandria Real Estate Equities, Inc.   402    (0.43)%   20,959 
Wells Fargo & Co.   3,658    (1.06)%   18,824 
Welltower, Inc.   2,764    (1.69)%   18,158 
Host Hotels & Resorts, Inc.   10,940    (1.27)%   15,911 
Xenia Hotels & Resorts, Inc.   5,262    (0.57)%   15,677 
SLM Corp.   4,156    (0.49)%   15,532 
Crown Castle International Corp.   1,080    (1.35)%   14,703 
Raymond James Financial, Inc.   1,905    (1.26)%   13,740 
Sunstone Hotel Investors, Inc.   7,073    (0.52)%   13,265 
Assured Guaranty Ltd.   2,334    (0.97)%   9,008 
JPMorgan Chase & Co.   570    (0.48)%   8,894 
Popular, Inc.   1,253    (0.72)%   6,806 
EastGroup Properties, Inc.   688    (0.79)%   6,515 
Equity LifeStyle Properties, Inc.   2,598    (1.36)%   6,267 
UMB Financial Corp.   1,202    (0.77)%   5,850 
SBA Communications Corp.   423    (1.00)%  5,325 
Iron Mountain, Inc.   4,036    (1.46)%   3,434 
Camden Property Trust   468    (0.47)%   2,491 
Extra Space Storage, Inc.   587    (0.74)%   2,442 
Arthur J Gallagher & Co.   638    (0.77)%   (970)
American Tower Corp. — Class A   873    (1.66)%   (7,142)
Total Financial             1,087,492 
Consumer, Cyclical               
MillerKnoll, Inc.   6,747    (1.33)%   71,860 
Caesars Entertainment, Inc.   1,603    (0.46)%   49,058 
American Airlines Group, Inc.   6,856    (0.64)%   34,445 
Copart, Inc.   1,452    (1.17)%   26,843 
Hilton Worldwide Holdings, Inc.   714    (0.59)%   24,567 
Floor & Decor Holdings, Inc. — Class A   973    (0.45)%   11,624 
WESCO International, Inc.   734    (0.58)%   10,821 
CarMax, Inc.   666    (0.45)%   7,688 
Las Vegas Sands Corp.   3,003    (0.75)%   6,787 
Lululemon Athletica, Inc.   165    (0.33)%   4,859 
IAA, Inc.   2,065    (0.50)%   3,859 
Healthcare Services Group, Inc.   7,078    (0.91)%   (3,092)
Total Consumer, Cyclical             249,319 
Utilities               
Edison International   3,578    (1.68)%   21,665 
Public Service Enterprise Group, Inc.   3,644    (1.71)%   14,966 
Entergy Corp.   2,072    (1.73)%   11,991 
New Jersey Resources Corp.   3,313    (1.09)%   6,798 
ONE Gas, Inc.   1,720    (1.04)%   (6,304)
Atmos Energy Corp.   2,140    (1.78)%   (21,470)
Total Utilities             27,646 
Energy               
Hess Corp.   757    (0.59)%   18,602 
Helmerich & Payne, Inc.   2,647    (0.85)%   11,684 
Patterson-UTI Energy, Inc.   9,491    (1.11)%   9,750 
Baker Hughes Co.   2,569    (0.55)%   7,736 
NOV, Inc.   5,961    (0.75)%   (8,505)
Halliburton Co.   5,908    (1.37)%   (47,000)
Total Energy             (7,733)
Technology               
ZoomInfo Technologies, Inc. — Class A   1,909    (0.47)%   39,227 
Wolfspeed, Inc.   1,103    (0.52)%   13,692 
Broadridge Financial Solutions, Inc.   1,701    (1.80)%   5,287 
Duolingo, Inc.   258    (0.17)%   3,402 
Veeva Systems, Inc. — Class A   643    (0.94)%   (13,476)
Total Technology             48,132 
Industrial               
Stericycle, Inc.   4,405    (1.43)%   102,857 
Stanley Black & Decker, Inc.   1,414    (1.10)%   39,323 
Jacobs Engineering Group, Inc.   1,825    (1.72)%   23,275 

   

 

  

Alpha Opportunity Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

    Shares    Percentage
Notional
Amount
    Value and Unrealized
Appreciation (Depreciation)
 
Deere & Co.   179    (0.40)%  $10,586 
Waste Management, Inc.   1,573    (1.79)%   7,775 
Howmet Aerospace, Inc.   4,936    (1.15)%   6,679 
General Electric Co.   1    0 .00%   19 
TransDigm Group, Inc.   183    (0.73)%   (1,978)
Exponent, Inc.   1,349    (0.92)%   (2,215)
Republic Services, Inc. — Class A   997    (0.97)%   (9,284)
Tetra Tech, Inc.   1,372    (1.39)%   (22,123)
Casella Waste Systems, Inc. — Class A   2,064    (1.11)%   (24,450)
Total Industrial             130,464 
Communications               
Walt Disney Co.   1,093    (0.77)%   17,999 
Uber Technologies, Inc.   2,655    (0.40)%   13,879 
Total Communications             31,878 
Total MS Equity Short Custom Basket            $1,924,162 

   

 

 

  

Alpha Opportunity Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

GS EQUITY LONG CUSTOM BASKET 
   Shares   Percentage
Notional
Amount
   Value and Unrealized
Appreciation (Depreciation)
 
Consumer, Non-cyclical               
Bristol-Myers Squibb Co.   1,164    1.16%  $16,514 
AbbVie, Inc.   478    0.95%   14,505 
Amphastar Pharmaceuticals, Inc.   749    0.34%   11,593 
Vertex Pharmaceuticals, Inc.   306    1.12%   9,451 
Molson Coors Beverage Co. — Class B   544    0.38%   7,861 
Merck & Company, Inc.   729    0.86%   7,782 
Prestige Consumer Healthcare, Inc.   1,230    0.94%   7,412 
TreeHouse Foods, Inc.   564    0.31%   6,440 
Perdoceo Education Corp.   6,333    0.97%   5,405 
Innoviva, Inc.   2,747    0.52%   4,700 
Halozyme Therapeutics, Inc.   590    0.34%   3,441 
Church & Dwight Company, Inc.   664    0.80%   3,098 
Royalty Pharma plc — Class A   887    0.48%   2,846 
Regeneron Pharmaceuticals, Inc.   111    0.85%   2,237 
Kellogg Co.   1,033    0.95%   2,177 
Waters Corp.   99    0.42%   1,233 
Supernus Pharmaceuticals, Inc.   1,506    0.56%   953 
Danaher Corp.   177    0.58%   820 
Jazz Pharmaceuticals plc   168    0.34%   625 
Centene Corp.   383    0.42%   623 
Eagle Pharmaceuticals, Inc.   1,178    0.68%   (21)
Conagra Brands, Inc.   2,735    1.21%   (591)
Kimberly-Clark Corp.   675    1.18%   (626)
Pfizer, Inc.   440    0.30%   (671)
Keurig Dr Pepper, Inc.   1,102    0.50%   (797)
Hologic, Inc.   944    0.85%   (987)
Ingredion, Inc.   374    0.43%   (1,878)
AmerisourceBergen Corp. — Class A   386    0.71%   (2,221)
Gilead Sciences, Inc.   753    0.60%   (2,537)
SpartanNash Co.   660    0.26%   (2,557)
Tyson Foods, Inc. — Class A   807    0.90%   (3,024)
Laboratory Corporation of America Holdings   72    0.22%   (3,142)
FleetCor Technologies, Inc.   109    0.30%   (4,104)
EVERTEC, Inc.   567    0.27%   (4,708)
Constellation Brands, Inc. — Class A   340    1.03%   (5,489)
Horizon Therapeutics plc   205    0.21%   (5,868)
Procter & Gamble Co.   606    1.13%   (6,534)
Abbott Laboratories   708    1.00%   (9,217)
John B Sanfilippo & Son, Inc.   1,127    1.06%   (12,917)
USANA Health Sciences, Inc.   630    0.59%   (14,049)
Vanda Pharmaceuticals, Inc.   3,148    0.44%   (14,316)
Baxter International, Inc.   1,228    1.02%   (18,726)
Total Consumer, Non-cyclical            (5,264)
Basic Materials               
American Vanguard Corp.   1,009    0.32%   1,369 
Ingevity Corp.   346    0.28%   (26)
NewMarket Corp.   74    0.29%   (946)
Westlake Corp.   397    0.50%   (4,516)
Minerals Technologies, Inc.   1,291    1.03%   (6,818)
AdvanSix, Inc.   651    0.28%   (6,905)
Olin Corp.   401    0.24%   (7,634)
Dow, Inc.   1,323    0.88%   (8,114)
Huntsman Corp.   1,051    0.39%   (8,146)
HB Fuller Co.   940    0.73%   (9,043)
LyondellBasell Industries N.V. — Class A   794    0.90%   (9,794)
International Paper Co.   1,860    1.01%   (11,445)
Southern Copper Corp.   676    0.44%   (16,112)
Total Basic Materials             (88,130)
Consumer, Cyclical               
Allison Transmission Holdings, Inc.   1,284    0.64%   2,664 
Winnebago Industries, Inc.   386    0.24%   (360)
Thor Industries, Inc.   281    0.27%   (617)
Tri Pointe Homes, Inc.   1,272    0.28%   (3,066)
Columbia Sportswear Co.   236    0.22%   (3,783)
Walgreens Boots Alliance, Inc.   784    0.38%   (5,536)
Methode Electronics, Inc.   963    0.46%   (5,698)
Alaska Air Group, Inc.   607    0.31%   (6,241)
Whirlpool Corp.   412    0.83%   (14,772)
Total Consumer, Cyclical             (37,409)
Financial               
Northwest Bancshares, Inc.   6,797    1.13%   3,650 
Banner Corp.   1,518    1.10%   1,817 
Preferred Bank/Los Angeles CA   984    0.87%   607 
Getty Realty Corp.   1,312    0.45%   177 
Global Net Lease, Inc.   6,146    1.13%   (1,080)
AMERISAFE, Inc.   705    0.47%   (1,876)
S&T Bancorp, Inc.   3,078    1.09%   (2,554)
Office Properties Income Trust   2,701    0.70%   (2,706)
PennyMac Financial Services, Inc.   712    0.40%   (2,711)
Encore Capital Group, Inc.   685    0.51%   (2,780)
NMI Holdings, Inc. — Class A   1,510    0.33%   (3,096)
Radian Group, Inc.   1,742    0.44%   (3,949)
Highwoods Properties, Inc.   977    0.43%   (4,023)
Piper Sandler Cos.   259    0.38%   (4,540)
Enstar Group Ltd.   330    0.91%   (4,589)
OneMain Holdings, Inc.   555    0.27%   (4,983)
MGIC Investment Corp.   4,156    0.68%   (5,469)
Fidelity National Financial, Inc.   1,314    0.63%   (6,692)
Interactive Brokers Group, Inc. — Class A   613    0.44%   (7,074)
BankUnited, Inc.   1,183    0.54%   (7,234)
SL Green Realty Corp.   736    0.44%   (8,286)

   

 

 

Alpha Opportunity Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

    Shares    Percentage
Notional
Amount
    Value and Unrealized
Appreciation (Depreciation)
 
Stewart Information Services Corp.   840    0.54%  $(8,511)
National Bank Holdings Corp. — Class A   2,168    1.07%   (8,590)
Essent Group Ltd.   1,766    0.89%   (8,791)
Central Pacific Financial Corp.   1,619    0.45%   (8,951)
HomeStreet, Inc.   710    0.32%   (10,207)
Eagle Bancorp, Inc.   1,660    1.02%   (10,488)
Weyerhaeuser Co.   1,977    0.85%   (10,516)
PotlatchDeltic Corp.   997    0.57%   (11,341)
Bread Financial Holdings, Inc.   693    0.33%   (12,248)
Meta Financial Group, Inc.   1,286    0.64%   (21,391)
Total Financial             (178,425)
Communications               
T-Mobile US, Inc.   429    0.75%   558 
Viavi Solutions, Inc.   1,183    0.20%   439 
Juniper Networks, Inc.   840    0.31%   (1,730)
Gogo, Inc.   1,826    0.38%   (3,694)
Verizon Communications, Inc.   1,726    1.13%   (3,796)
Alphabet, Inc. — Class C   12    0.34%   (4,291)
Meta Platforms, Inc. — Class A   250    0.52%   (4,816)
NETGEAR, Inc.   902    0.22%   (6,803)
InterDigital, Inc.   1,334    1.05%   (7,353)
Total Communications             (31,486)
Energy               
Occidental Petroleum Corp.   347    0.26%   (1,738)
Kinder Morgan, Inc.   2,361    0.51%   (4,265)
Phillips 66   162    0.17%   (4,697)
DT Midstream, Inc.   664    0.42%   (5,900)
SunCoke Energy, Inc.   3,458    0.30%   (6,841)
Antero Midstream Corp.   4,000    0.47%   (7,157)
Targa Resources Corp.   512    0.40%   (8,470)
Valero Energy Corp.   235    0.32%   (9,378)
Equitrans Midstream Corp.   5,138    0.42%   (10,489)
Chevron Corp.   291    0.55%   (10,852)
Williams Companies, Inc.   2,358    0.95%   (12,508)
Exxon Mobil Corp.   862    0.96%   (16,816)
Total Energy             (99,111)
Industrial               
OSI Systems, Inc.   1,028    1.14%   5,818 
Dorian LPG Ltd.   1,518    0.30%   3,848 
Mueller Industries, Inc.   384    0.26%   3,772 
Sanmina Corp.   597    0.31%   1,307 
Amcor plc   2,497    0.40%   (949)
Keysight Technologies, Inc.   120    0.21%   (1,340)
Energizer Holdings, Inc.   863    0.32%   (1,350)
Insteel Industries, Inc.   569    0.25%   (2,343)
Garmin Ltd.   447    0.57%   (2,460)
Oshkosh Corp.   183    0.19%   (2,576)
Fortune Brands Home & Security, Inc.   341    0.26%   (3,182)
Snap-on, Inc.   169    0.43%   (4,289)
Louisiana-Pacific Corp.   461    0.31%   (4,302)
Atlas Air Worldwide Holdings, Inc.   437    0.35%   (4,412)
Sealed Air Corp.   579    0.43%   (4,646)
Knowles Corp.   4,261    0.96%   (6,726)
Encore Wire Corp.   188    0.25%  (7,602)
Eagle Materials, Inc.   510    0.73%   (7,663)
Sturm Ruger & Company, Inc.   1,166    0.96%   (7,674)
Standex International Corp.   811    0.89%   (8,339)
Packaging Corporation of America   549    0.98%   (8,580)
Vishay Intertechnology, Inc.   4,276    0.99%   (10,255)
Vontier Corp.   3,283    0.98%   (16,728)
Total Industrial             (90,671)
Technology               
CSG Systems International, Inc.   1,463    1.13%   18,902 
Genpact Ltd.   1,966    1.08%   771 
Rambus, Inc.   1,134    0.32%   138 
Lumentum Holdings, Inc.   246    0.25%   (2,060)
Oracle Corp.   394    0.36%   (3,074)
NetApp, Inc.   1,248    1.05%   (3,758)
Semtech Corp.   679    0.48%   (4,230)
Qorvo, Inc.   342    0.42%   (6,699)
Cirrus Logic, Inc.   1,077    1.01%   (10,278)
Xperi Holding Corp.   2,227    0.42%   (10,540)
Micron Technology, Inc.   851    0.61%   (13,525)
Total Technology             (34,353)
Utilities               
IDACORP, Inc.   789    1.08%   5,062 
Chesapeake Utilities Corp.   501    0.84%   4,534 
Otter Tail Corp.   758    0.66%   3,215 
MGE Energy, Inc.   1,014    1.02%   1,617 
California Water Service Group   446    0.32%   (967)
Portland General Electric Co.   846    0.53%   (1,335)
Xcel Energy, Inc.   557    0.51%   (1,590)
NorthWestern Corp.   1,111    0.85%   (2,166)
Hawaiian Electric Industries, Inc.   887    0.47%   (2,318)
Southern Co.   1,083    1.00%   (3,158)
UGI Corp.   718    0.36%   (3,847)
OGE Energy Corp.   2,162    1.08%   (5,193)
PPL Corp.   2,633    0.92%   (5,974)
National Fuel Gas Co.   1,182    1.01%   (11,060)
Total Utilities             (23,180)
Total GS Equity Long Custom Basket            $(588,029)

  

GS EQUITY SHORT CUSTOM BASKET
   Shares   Percentage
Notional
Amount
   Value and Unrealized
Appreciation
 
Consumer, Non-cyclical               
Equifax, Inc.   995    (1.35)%   57,822 
Viad Corp.   3,358    (0.69)%   54,235 
ASGN, Inc.   1,707    (1.14)%   51,762 
CoStar Group, Inc.   4,055    (1.81)%   50,593 
TransUnion   1,132    (0.67)%   36,301 
Verisk Analytics, Inc. — Class A   762    (0.98)%   33,795 
Cintas Corp.   623    (1.72)%   30,938 
Cal-Maine Foods, Inc.   2,575    (0.94)%   15,885 
Clarivate plc   3,799    (0.39)%   9,508 

   

 

 

Alpha Opportunity Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

 

   Shares   Percentage
Notional
Amount
   Value and Unrealized
Appreciation (Depreciation)
 
Driven Brands Holdings, Inc.   5,802    (1.18)%  $7,709 
Quanta Services, Inc.   971    (0.90)%   5,626 
Mister Car Wash, Inc.   2,033    (0.16)%   2,908 
Inspire Medical Systems, Inc.   373    (0.50)%   2,635 
Patterson Companies, Inc.   3,547    (0.80)%   1,055 
Lamb Weston Holdings, Inc.   1,034    (0.55)%   (3,189)
Total Consumer, Non-cyclical             357,583 
Financial               
State Street Corp.   3,442    (1.57)%   69,106 
Park Hotels & Resorts, Inc.   11,643    (1.17)%   67,960 
Outfront Media, Inc.   7,896    (0.99)%   59,550 
Western Alliance Bancorporation   2,050    (1.07)%   56,815 
Signature Bank   620    (0.82)%   53,108 
Kite Realty Group Trust   11,160    (1.43)%   48,586 
Howard Hughes Corp.   2,385    (1.20)%   47,284 
RLJ Lodging Trust   13,461    (1.10)%   45,722 
Ares Management Corp. — Class A   1,993    (0.84)%   42,001 
Equitable Holdings, Inc.   7,056    (1.36)%   40,398 
Kennedy-Wilson Holdings, Inc.   10,684    (1.50)%   39,205 
Equinix, Inc.   299    (1.46)%   36,417 
Safehold, Inc.   2,564    (0.67)%   35,927 
Invitation Homes, Inc.   5,700    (1.50)%   34,226 
Sun Communities, Inc.   1,320    (1.56)%   34,160 
KKR & Company, Inc. — Class A   3,047    (1.04)%   31,878 
Morgan Stanley   4,024    (2.27)%   30,653 
Northern Trust Corp.   1,265    (0.90)%   27,162 
Regions Financial Corp.   7,857    (1.09)%   26,778 
Ryman Hospitality Properties, Inc.   1,966    (1.11)%   25,626 
Bank of America Corp.   2,279    (0.53)%   21,385 
Alexandria Real Estate Equities, Inc.   402    (0.43)%   20,986 
Americold Realty Trust, Inc.   4,998    (1.11)%   20,926 
Wells Fargo & Co.   3,658    (1.06)%   18,776 
Welltower, Inc.   2,764    (1.69)%   18,224 
Xenia Hotels & Resorts, Inc.   5,262    (0.57)%   17,040 
Host Hotels & Resorts, Inc.   10,940    (1.27)%   15,835 
SLM Corp.   4,156    (0.49)%   15,689 
Crown Castle International Corp.   1,080    (1.35)%   14,671 
Raymond James Financial, Inc.   1,905    (1.26)%   14,070 
Sunstone Hotel Investors, Inc.   7,073    (0.52)%   13,028 
JPMorgan Chase & Co.   570    (0.48)%   9,028 
Assured Guaranty Ltd.   2,334    (0.96)%   8,980 
Equity LifeStyle Properties, Inc.   2,598    (1.36)%   8,020 
EastGroup Properties, Inc.   688    (0.79)%   6,908 
Popular, Inc.   1,253    (0.71)%   6,743 
UMB Financial Corp.   1,202    (0.77)%   5,772 
SBA Communications Corp.   423    (1.00)%   5,257 
Iron Mountain, Inc.   4,036    (1.46)%  3,244 
Extra Space Storage, Inc.   587    (0.74)%   3,168 
Camden Property Trust   468    (0.47)%   2,760 
Arthur J Gallagher & Co.   638    (0.77)%   (707)
American Tower Corp. — Class A   873    (1.65)%   (7,235)
Total Financial             1,095,130 
Consumer, Cyclical               
MillerKnoll, Inc.   6,747    (1.31)%   71,909 
Caesars Entertainment, Inc.   1,603    (0.45)%   49,213 
American Airlines Group, Inc.   6,856    (0.64)%   34,616 
Copart, Inc.   1,452    (1.17)%   26,707 
Hilton Worldwide Holdings, Inc.   714    (0.59)%   24,569 
Floor & Decor Holdings, Inc. — Class A   973    (0.45)%   11,691 
WESCO International, Inc.   734    (0.58)%   11,123 
CarMax, Inc.   666    (0.45)%   7,852 
Las Vegas Sands Corp.   3,003    (0.75)%   6,774 
Lululemon Athletica, Inc.   165    (0.33)%   4,880 
IAA, Inc.   2,065    (0.50)%   4,068 
Healthcare Services Group, Inc.   7,078    (0.91)%   (2,688)
Total Consumer, Cyclical             250,714 
Utilities               
Edison International   3,578    (1.68)%   23,122 
Public Service Enterprise Group, Inc.   3,644    (1.71)%   16,077 
Entergy Corp.   2,072    (1.73)%   12,280 
New Jersey Resources Corp.   3,313    (1.09)%   6,883 
ONE Gas, Inc.   1,720    (1.03)%   (6,337)
Atmos Energy Corp.   2,140    (1.78)%   (21,601)
Total Utilities             30,424 
Energy               
Hess Corp.   757    (0.61)%   18,807 
Helmerich & Payne, Inc.   2,647    (0.84)%   11,611 
Patterson-UTI Energy, Inc.   9,491    (1.11)%   10,364 
Baker Hughes Co.   2,569    (0.55)%   7,772 
NOV, Inc.   5,961    (0.75)%   (8,719)
Halliburton Co.   5,908    (1.37)%   (46,713)
Total Energy             (6,878)
Technology               
ZoomInfo Technologies, Inc. — Class A   1,909    (0.47)%   39,512 
Wolfspeed, Inc.   1,103    (0.52)%   13,898 
Broadridge Financial Solutions, Inc.   1,701    (1.80)%   5,389 
Duolingo, Inc.   258    (0.17)%   3,480 
Veeva Systems, Inc. — Class A   643    (0.94)%   (13,657)
Total Technology             48,622 
Industrial               
Stericycle, Inc.   4,405    (1.43)%   103,520 
Stanley Black & Decker, Inc.   1,414    (1.10)%   39,384 
Jacobs Engineering Group, Inc.   1,825    (1.72)%   23,323 
Deere & Co.   179    (0.40)%   10,638 
Waste Management, Inc.   1,573    (1.78)%   9,498 

 

   

 

 

Alpha Opportunity Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

   Shares   Percentage
Notional
Amount
   Value and Unrealized
Appreciation (Depreciation)
 
Howmet Aerospace, Inc.   4,936    (1.15)%  $6,380 
General Electric Co.   1    0.00%   19 
TransDigm Group, Inc.   183    (0.73)%   (1,342)
Exponent, Inc.   1,349    (0.91)%   (2,287)
Republic Services, Inc. — Class A   997    (0.97)%   (9,333)
Tetra Tech, Inc.   1,372    (1.39)%   (22,289)
Casella Waste Systems, Inc. — Class A   2,064    (1.11)%   (24,495)
Total Industrial             133,016 
Communications               
Walt Disney Co.   1,093    (0.76)%   17,981 
Uber Technologies, Inc.   2,655    (0.40)%   13,980 
Total Communications             31,961 
Total GS Equity Short Custom Basket            $1,940,572 

   

 

 

 

Alpha Opportunity Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

* Non-income producing security.
Value determined based on Level 1 inputs — See Note 3.
†† Value determined based on Level 2 inputs — See Note 3.
1 All or a portion of this security is pledged as custom basket swap collateral at June 30, 2022.
2 Rate indicated is the 7-day yield as of June 30, 2022.

  

 

GS — Goldman Sachs International
MS — Morgan Stanley Capital Services LLC
plc — Public Limited Company
REIT — Real Estate Investment Trust

 

See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Common Stocks  $28,086,056   $   $   $28,086,056 
Money Market Fund   1,523,699            1,523,699 
Equity Custom Basket Swap Agreements**       3,864,734        3,864,734 
Total Assets  $29,609,755   $3,864,734   $   $33,474,489 
                     
Investments in Securities (Liabilities)   Level 1 Quoted Prices     Level 2
Significant
Observable
Inputs
    Level 3
Significant
Unobservable
Inputs
    Total  
Equity Custom Basket Swap Agreements**  $   $1,169,691   $   $1,169,691 

 

**This derivative is reported as unrealized appreciation/depreciation at period end.

 

 

Capital Stewardship Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

 

   Shares   Value 
COMMON STOCKS - 99.1%        
Consumer, Non-cyclical - 26.8%        
Bristol-Myers Squibb Co.   58,711   $4,520,747 
Procter & Gamble Co.   23,898    3,436,293 
Gilead Sciences, Inc.   54,353    3,359,559 
Johnson & Johnson   17,892    3,176,009 
Kellogg Co.   42,020    2,997,707 
CVS Health Corp.   25,052    2,321,318 
Becton Dickinson and Co.   8,504    2,096,491 
Amgen, Inc.   8,094    1,969,270 
Cigna Corp.   7,102    1,871,519 
AbbVie, Inc.   12,177    1,865,029 
Kimberly-Clark Corp.   12,564    1,698,025 
Merck & Company, Inc.   17,714    1,614,986 
Colgate-Palmolive Co.   18,592    1,489,963 
Quest Diagnostics, Inc.   10,800    1,436,184 
Pfizer, Inc.   26,871    1,408,847 
Regeneron Pharmaceuticals, Inc.*   2,163    1,278,614 
Vertex Pharmaceuticals, Inc.*   4,319    1,217,051 
H&R Block, Inc.   34,413    1,215,467 
Avery Dennison Corp.   7,196    1,164,816 
J M Smucker Co.   8,341    1,067,732 
PepsiCo, Inc.   5,668    944,629 
Campbell Soup Co.   19,627    943,077 
General Mills, Inc.   12,252    924,413 
Hershey Co.   3,799    817,393 
United Rentals, Inc.*   2,983    724,601 
Kroger Co.   13,818    654,006 
Church & Dwight Company, Inc.   6,349    588,298 
DaVita, Inc.*   5,586    446,656 
S&P Global, Inc.   1,032    347,846 
Laboratory Corporation of America Holdings   1,180    276,545 
UnitedHealth Group, Inc.   484    248,597 
Total Consumer, Non-cyclical        48,121,688 
Technology - 25.1%          
Apple, Inc.   74,220    10,147,359 
Microsoft Corp.   38,233    9,819,382 
International Business Machines Corp.   24,599    3,473,133 
Intel Corp.   92,115    3,446,022 
Texas Instruments, Inc.   18,842    2,895,073 
HP, Inc.   64,759    2,122,800 
NetApp, Inc.   30,170    1,968,291 
Dell Technologies, Inc. — Class C   34,282    1,584,171 
SS&C Technologies Holdings, Inc.   22,514    1,307,388 
Oracle Corp.   17,468    1,220,489 
Dropbox, Inc. — Class A*   53,393    1,120,719 
Jack Henry & Associates, Inc.   4,602    828,452 
Skyworks Solutions, Inc.   8,319    770,672 
Seagate Technology Holdings plc   9,128    652,104 
Cognizant Technology Solutions Corp. — Class A   9,572    646,014 
NVIDIA Corp.   3,950    598,780 
KLA Corp.   1,859    593,170 
Applied Materials, Inc.   5,621    511,399 
Lam Research Corp.   1,178    502,005 
Akamai Technologies, Inc.*   3,628    331,345 
ON Semiconductor Corp.*   6,029    303,319 
Advanced Micro Devices, Inc.*   3,597   275,063 
Total Technology        45,117,150 
Financial - 15.0%          
Prudential Financial, Inc.   33,667    3,221,259 
Travelers Companies, Inc.   17,854    3,019,647 
MetLife, Inc.   37,885    2,378,799 
Allstate Corp.   16,492    2,090,031 
JPMorgan Chase & Co.   14,564    1,640,052 
U.S. Bancorp   31,862    1,466,289 
Bank of Montreal   13,086    1,258,481 
American Tower Corp. — Class A REIT   4,492    1,148,110 
Canadian Imperial Bank of Commerce   22,183    1,076,763 
Royal Bank of Canada   10,970    1,062,115 
Charles Schwab Corp.   16,295    1,029,518 
Citigroup, Inc.   22,345    1,027,646 
Visa, Inc. — Class A   4,800    945,072 
CBRE Group, Inc. — Class A*   12,368    910,409 
Equinix, Inc. REIT   1,235    811,420 
Toronto-Dominion Bank   11,564    758,367 
First American Financial Corp.   12,987    687,272 
Voya Financial, Inc.   11,136    662,926 
Jones Lang LaSalle, Inc.*   2,692    470,723 
Mastercard, Inc. — Class A   1,352    426,529 
PNC Financial Services Group, Inc.   2,232    352,143 
Prologis, Inc. REIT   1,873    220,359 
Hartford Financial Services Group, Inc.   2,966    194,065 
Total Financial        26,857,995 
Communications - 8.5%          
Alphabet, Inc. — Class A*   2,167    4,722,456 
Amazon.com, Inc.*   27,160    2,884,664 
Verizon Communications, Inc.   49,912    2,533,034 
Motorola Solutions, Inc.   10,870    2,278,352 
Cisco Systems, Inc.   30,746    1,311,010 
Meta Platforms, Inc. — Class A*   3,845    620,006 
AT&T, Inc.   20,000    419,200 
Netflix, Inc.*   1,504    263,005 
CDW Corp.   1,588    250,205 
Total Communications        15,281,932 
Energy - 7.5%          
Chevron Corp.   29,848    4,321,394 
Kinder Morgan, Inc.   199,706    3,347,073 
Valero Energy Corp.   17,828    1,894,760 
ONEOK, Inc.   33,879    1,880,284 
Phillips 66   19,474    1,596,673 
ConocoPhillips   4,240    380,794 
Total Energy        13,420,978 
Consumer, Cyclical - 6.7%          
Home Depot, Inc.   8,040    2,205,131 
Choice Hotels International, Inc.   11,408    1,273,475 
Walgreens Boots Alliance, Inc.   32,790    1,242,741 
Cummins, Inc.   6,311    1,221,368 
Whirlpool Corp.   7,130    1,104,223 
NVR, Inc.*   240    960,994 
Tesla, Inc.*   1,340    902,383 
Lowe's Companies, Inc.   3,584    626,017 
AutoNation, Inc.*   5,066    566,176 

   

 

Capital Stewardship Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

  

   Shares   Value 
COMMON STOCKS - 99.1% (continued)
Consumer, Cyclical - 6.7% (continued)
General Motors Co.*   16,910   $537,061 
Costco Wholesale Corp.   812    389,175 
Dollar General Corp.   1,347    330,608 
Yum! Brands, Inc.   2,223    252,333 
Dick's Sporting Goods, Inc.   2,969    223,774 
Bath & Body Works, Inc.   8,033    216,248 
Total Consumer, Cyclical        12,051,707 
Industrial - 5.3%          
3M Co.   25,372    3,283,391 
General Dynamics Corp.   10,146    2,244,802 
Keysight Technologies, Inc.*   10,623    1,464,381 
Caterpillar, Inc.   4,796    857,333 
Owens Corning   10,585    786,571 
Dover Corp.   5,079    616,184 
Waste Management, Inc.   1,547    236,660 
Total Industrial        9,489,322 
Utilities - 3.6%          
Duke Energy Corp.   19,719    2,114,074 
Exelon Corp.   45,540    2,063,873 
WEC Energy Group, Inc.   19,387    1,951,107 
NextEra Energy, Inc.   3,752   290,630 
Total Utilities        6,419,684 
Basic Materials - 0.6%          
Celanese Corp. — Class A   9,038    1,062,959 
Total Common Stocks          
(Cost $186,135,910)        177,823,415 
           
EXCHANGE-TRADED FUNDS - 1.0%          
SPDR S&P 500 ETF Trust   4,500    1,697,625 
Total Exchange-Traded Funds          
(Cost $1,971,711)        1,697,625 
           
MONEY MARKET FUND - 0.6%          
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.97%1   1,162,257    1,162,257 
Total Money Market Fund          
(Cost $1,162,257)        1,162,257 
Total Investments - 100.7%          
(Cost $189,269,878)       $180,683,297 
Other Assets & Liabilities, net - (0.7)%        (1,242,859)
Total Net Assets - 100.0%       $179,440,438 

  

 

* Non-income producing security.
Value determined based on Level 1 inputs — See Note 3.
1 Rate indicated is the 7-day yield as of June 30, 2022.

 

 plc — Public Limited Company

 REIT — Real Estate Investment Trust

 

 See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Common Stocks  $177,823,415   $   $   $177,823,415 
Exchange-Traded Funds   1,697,625            1,697,625 
Money Market Fund   1,162,257            1,162,257 
Total Assets  $180,683,297   $   $   $180,683,297 

 

 

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

 

   Shares   Value 
COMMON STOCKS - 1.4%
Financial - 1.4%
Pershing Square Tontine Holdings Ltd. — Class A*,1   622,890   $12,439,113 
KKR Acquisition Holdings I Corp. — Class A*,1   299,316    2,930,304 
RXR Acquisition Corp. — Class A*,1   72,327    708,081 
TPG Pace Beneficial II Corp.*,1   64,278    625,425 
MSD Acquisition Corp. — Class A*,1   46,697    457,630 
AfterNext HealthTech Acquisition Corp. — Class A*,1   38,300    371,893 
Conyers Park III Acquisition Corp. — Class A*,1   35,600    343,540 
Waverley Capital Acquisition Corp. 1 — Class A*,1   28,200    272,694 
Colicity, Inc. — Class A*,1   25,295    248,144 
Acropolis Infrastructure Acquisition Corp. — Class A*,1   24,900    240,783 
Blue Whale Acquisition Corp. I — Class A*,1   20,700    200,169 
Total Financial        18,837,776 
Communications - 0.0%          
Figs, Inc. — Class A*   12,590    114,695 
Vacasa, Inc. — Class A*   31,926    91,947 
Total Communications        206,642 
Industrial - 0.0%          
Constar International Holdings LLC*,†††   68     
Total Common Stocks          
(Cost $19,061,064)        19,044,418 
           
PREFERRED STOCKS†† - 4.9%          
Financial - 4.9%          
Wells Fargo & Co.          
4.38%   210,000    3,782,100 
4.70%   148,000    2,860,840 
3.90%   3,250,000    2,799,063 
First Republic Bank          
4.25%   372,000    6,606,720 
4.13%   53,200    931,000 
Charles Schwab Corp.          
4.00%   8,500,000    6,542,875 
Markel Corp.          
6.00%   5,210,000    5,138,362 
W R Berkley Corp.          
4.13% due 03/30/61   282,142    4,850,021 
4.25% due 09/30/60   11,828    208,055 
Bank of America Corp.          
4.13%   148,000    2,751,320 
4.38%   106,000    2,023,540 
Bank of New York Mellon Corp.          
3.75%   3,900,000    3,183,684 
4.70%   1,060,000    1,035,620 
JPMorgan Chase & Co.          
3.65%2   2,350,000    1,924,650 
4.63%   76,000    1,509,360 
MetLife, Inc.          
3.85%   3,520,000   3,134,397 
Globe Life, Inc.          
4.25% due 06/15/61   160,000    3,062,400 
Public Storage          
4.63%   104,783    2,304,178 
4.13%   22,087    429,813 
Arch Capital Group Ltd.          
4.55%   102,000    1,963,500 
PartnerRe Ltd.          
4.88%   78,457    1,624,350 
American Financial Group, Inc.          
4.50% due 09/15/60   77,955    1,506,091 
RenaissanceRe Holdings Ltd.          
4.20%   82,000    1,459,600 
Kuvare US Holdings, Inc.          
7.00% due 02/17/513   1,000,000    1,002,500 
CNO Financial Group, Inc.          
5.13% due 11/25/60   48,000    918,240 
Assurant, Inc.          
5.25% due 01/15/61   38,000    845,500 
Depository Trust & Clearing Corp.          
3.38%2,3,5   1,000,000    788,468 
Total Financial        65,186,247 
Industrial - 0.0%          
Constar International Holdings LLC *,†††   7     
Total Preferred Stocks          
(Cost $82,765,122)        65,186,247 
           
WARRANTS - 0.0%          
Pershing Square Tontine Holdings Ltd.          
Expiring 07/24/25*,1   69,210    29,767 
KKR Acquisition Holdings I Corp.          
Expiring 12/31/27*,1   74,828    26,938 
Ginkgo Bioworks Holdings, Inc.          
Expiring 08/01/26*   6,510    3,450 
Conyers Park III Acquisition Corp.          
Expiring 08/12/28*   11,866    2,848 
MSD Acquisition Corp.          
Expiring 05/13/23*,1   9,339    2,810 
AfterNext HealthTech Acquisition Corp.          
Expiring 07/09/23*,1   12,766    2,426 
Waverley Capital Acquisition Corp.          
Expiring 04/30/27*,1   9,400    1,985 
Acropolis Infrastructure Acquisition Corp.          
Expiring 03/31/26*,1   8,300    1,660 
RXR Acquisition Corp.          
Expiring 03/08/26*,1   14,463    1,634 
Colicity, Inc.          
Expiring 12/31/27*,1   5,057    1,097 
Blue Whale Acquisition Corp.          
Expiring 07/09/23*,1   5,174    1,087 
Total Warrants          
(Cost $554,301)        75,702 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Shares   Value 
CLOSED-END FUNDS - 0.2%
BlackRock MuniHoldings California Quality Fund, Inc.   222,200   $2,659,734 
Total Closed-End Funds          
(Cost $3,273,254)        2,659,734 
MONEY MARKET FUNDS - 0.9%          
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 1.32%4   6,389,360    6,389,360 
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.97%4   5,384,465    5,384,465 
Total Money Market Funds          
(Cost $11,773,825)        11,773,825 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 38.0%
Financial -  17.1%        
Pershing Square Holdings Ltd.        
3.25% due 10/01/31  6,200,000   4,890,312 
3.25% due 11/15/303   4,500,000    3,669,570 
JPMorgan Chase & Co.          
3.11% due 04/22/412   3,530,000    2,736,445 
2.52% due 04/22/312   2,210,000    1,882,298 
2.96% due 05/13/312   1,870,000    1,614,527 
4.49% due 03/24/312   1,600,000    1,562,581 
Nippon Life Insurance Co.          
2.75% due 01/21/512,3   8,150,000    6,591,313 
Macquarie Bank Ltd.          
3.62% due 06/03/303   7,470,000    6,514,470 
BPCE S.A.          
2.28% due 01/20/322,3   8,200,000    6,486,979 
Bank of America Corp.          
2.59% due 04/29/312   5,400,000    4,579,972 
6.13% *,2,5   1,650,000    1,591,219 
Liberty Mutual Group, Inc.          
4.13% due 12/15/512,3   5,800,000    4,624,487 
3.95% due 05/15/603   2,150,000    1,545,341 
Nationwide Mutual Insurance Co.          
4.35% due 04/30/503   7,410,000    6,160,504 
Reliance Standard Life Global Funding II          
2.75% due 05/07/253   6,170,000    5,902,909 
GLP Capital Limited Partnership / GLP Financing II, Inc.          
4.00% due 01/15/31   4,650,000    4,010,293 
5.30% due 01/15/29   1,900,000    1,814,711 
Wilton RE Ltd.          
6.00%†††,2,3,5   6,350,000    5,471,224 
American Equity Investment Life Holding Co.          
5.00% due 06/15/27   5,036,000    4,971,560 
GA Global Funding Trust          
1.63% due 01/15/263   5,450,000    4,936,896 
Reinsurance Group of America, Inc.          
3.15% due 06/15/30   4,750,000    4,196,237 
Fidelity National Financial, Inc.          
3.40% due 06/15/30   3,630,000   3,175,978 
2.45% due 03/15/31   1,210,000    962,976 
Teachers Insurance & Annuity Association of America          
3.30% due 05/15/503   5,150,000    3,928,584 
Maple Grove Funding Trust I          
4.16% due 08/15/513   4,750,000    3,695,357 
Allianz SE          
3.20%2,3,5   5,000,000    3,650,000 
Iron Mountain, Inc.          
5.25% due 07/15/303   1,595,000    1,386,685 
4.50% due 02/15/313   1,605,000    1,311,518 
5.63% due 07/15/323   1,000,000    845,576 
Safehold Operating Partnership, LP          
2.85% due 01/15/32   2,428,000    1,948,970 
2.80% due 06/15/31   1,931,000    1,570,464 
Fairfax Financial Holdings Ltd.          
3.38% due 03/03/31   4,000,000    3,457,432 
Macquarie Group Ltd.          
2.87% due 01/14/332,3   2,150,000    1,753,794 
2.69% due 06/23/322,3   2,000,000    1,608,827 
PartnerRe Finance B LLC          
4.50% due 10/01/502   4,040,000    3,361,527 
FS KKR Capital Corp.          
2.63% due 01/15/27   2,150,000    1,808,022 
3.25% due 07/15/27   1,800,000    1,531,640 
Ares Finance Company II LLC          
3.25% due 06/15/303   3,660,000    3,241,955 
Old Republic International Corp.          
3.85% due 06/11/51   4,020,000    3,034,164 
Massachusetts Mutual Life Insurance Co.          
3.38% due 04/15/503   2,450,000    1,894,530 
3.20% due 12/01/613   1,650,000    1,127,797 
KKR Group Finance Company VI LLC          
3.75% due 07/01/293   3,230,000    3,019,400 
OneAmerica Financial Partners, Inc.          
4.25% due 10/15/503   3,620,000    2,932,531 
Assurant, Inc.          
2.65% due 01/15/32   2,300,000    1,797,776 
4.90% due 03/27/28   1,100,000    1,097,534 
Host Hotels & Resorts, LP          
3.50% due 09/15/30   3,385,000    2,891,608 
First American Financial Corp.          
4.00% due 05/15/30   3,180,000    2,856,115 
American International Group, Inc.          
4.38% due 06/30/50   3,110,000    2,757,773 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 38.0% (continued)
Financial -  17.1% (continued)        
Crown Castle International Corp.        
2.90% due 04/01/41   2,200,000   $1,585,664 
3.30% due 07/01/30   1,149,000    1,013,321 
Intercontinental Exchange, Inc.          
3.00% due 06/15/50   2,430,000    1,774,493 
2.65% due 09/15/40   1,100,000    806,697 
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.          
3.88% due 03/01/313   3,150,000    2,360,264 
UBS Group AG          
2.10% due 02/11/322,3   2,950,000    2,342,245 
Equitable Holdings, Inc.          
7.00% due 04/01/28   2,050,000    2,278,723 
Belrose Funding Trust          
2.33% due 08/15/303   2,780,000    2,228,047 
National Australia Bank Ltd.          
2.33% due 08/21/303   1,500,000    1,205,776 
2.99% due 05/21/313   1,150,000    960,964 
Standard Chartered plc          
4.64% due 04/01/312,3   2,250,000    2,144,375 
Sumitomo Life Insurance Co.          
3.38% due 04/15/812,3   2,500,000    2,141,992 
Corebridge Financial, Inc.          
3.90% due 04/05/323   1,600,000    1,435,393 
4.35% due 04/05/423   750,000    639,586 
Jefferies Group LLC          
2.75% due 10/15/32   2,720,000    2,065,250 
Jefferies Finance LLC / JFIN Company-Issuer Corp.          
5.00% due 08/15/283   2,450,000    2,015,125 
Arch Capital Group Ltd.          
3.64% due 06/30/50   2,500,000    1,943,747 
Everest Reinsurance Holdings, Inc.          
3.50% due 10/15/50   2,560,000    1,941,369 
Stewart Information Services Corp.          
3.60% due 11/15/31   2,250,000    1,866,285 
Assured Guaranty US Holdings, Inc.          
3.15% due 06/15/31   1,450,000    1,258,139 
3.60% due 09/15/51   800,000    600,917 
KKR Group Finance Company VIII LLC          
3.50% due 08/25/503   2,360,000    1,768,819 
Westpac Banking Corp.          
3.02% due 11/18/362   1,200,000    965,799 
2.96% due 11/16/40   1,100,000    795,814 
QBE Insurance Group Ltd.          
5.88% 2,3,5   1,750,000    1,701,875 
Americo Life, Inc.          
3.45% due 04/15/313   2,060,000    1,673,880 
Manulife Financial Corp.          
2.48% due 05/19/27   1,800,000    1,642,924 
HS Wildcat LLC          
3.83% due 12/31/50†††   2,000,000    1,610,682 
Fifth Third Bancorp          
2.55% due 05/05/27   1,750,000   1,603,767 
Trustage Financial Group, Inc.          
4.63% due 04/15/323   1,750,000    1,603,331 
Dyal Capital Partners III          
4.40% due 06/15/40†††   1,750,000    1,521,672 
AmFam Holdings, Inc.          
2.81% due 03/11/313   1,750,000    1,472,169 
Brookfield Finance, Inc.          
3.50% due 03/30/51   1,250,000    899,217 
4.70% due 09/20/47   650,000    569,358 
Primerica, Inc.          
2.80% due 11/19/31   1,750,000    1,464,390 
Global Atlantic Finance Co.          
3.13% due 06/15/313   1,800,000    1,431,879 
Australia & New Zealand Banking Group Ltd.          
2.57% due 11/25/352,3   1,800,000    1,427,504 
Lincoln National Corp.          
4.38% due 06/15/50   1,580,000    1,354,342 
Kemper Corp.          
2.40% due 09/30/30   1,510,000    1,221,242 
ABN AMRO Bank N.V.          
2.47% due 12/13/292,3   1,400,000    1,193,242 
Jefferies Group LLC / Jefferies Group Capital Finance, Inc.          
2.63% due 10/15/31   1,400,000    1,080,467 
Raymond James Financial, Inc.          
3.75% due 04/01/51   1,300,000    1,057,041 
Societe Generale S.A.          
2.89% due 06/09/322,3   1,300,000    1,038,059 
Prudential Financial, Inc.          
3.70% due 10/01/502   1,160,000    970,978 
Sumitomo Mitsui Financial Group, Inc.          
2.22% due 09/17/31   1,050,000    848,788 
Central Storage Safety Project Trust          
4.82% due 02/01/386   926,400    830,855 
Apollo Management Holdings, LP          
2.65% due 06/05/303   930,000    781,814 
W R Berkley Corp.          
4.00% due 05/12/50   850,000    709,278 
Penn Mutual Life Insurance Co.          
3.80% due 04/29/613   950,000    684,236 
Weyerhaeuser Co.          
4.00% due 04/15/30   722,000    679,606 
CNO Financial Group, Inc.          
5.25% due 05/30/29   700,000    678,696 
Protective Life Corp.          
3.40% due 01/15/303   740,000    677,072 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 38.0% (continued)
Financial -  17.1% (continued)        
Western & Southern Life Insurance Co.        
3.75% due 04/28/613   850,000   $646,988 
Brown & Brown, Inc.          
2.38% due 03/15/31   800,000    633,289 
Nasdaq, Inc.          
3.25% due 04/28/50   850,000    618,358 
New York Life Insurance Co.          
3.75% due 05/15/503   600,000    490,062 
Fidelity & Guaranty Life Holdings, Inc.          
5.50% due 05/01/253   400,000    407,020 
Hanover Insurance Group, Inc.          
2.50% due 09/01/30   480,000    400,581 
Brookfield Finance LLC          
3.45% due 04/15/50   470,000    336,206 
Cushman & Wakefield US Borrower LLC          
6.75% due 05/15/283   296,000    274,910 
KKR Group Finance Company III LLC          
5.13% due 06/01/443   100,000    95,435 
Total Financial        222,872,397 
Industrial -  4.4%          
Boeing Co.          
5.81% due 05/01/50   7,340,000    6,741,582 
5.71% due 05/01/40   4,380,000    4,085,517 
5.04% due 05/01/27   2,150,000    2,123,702 
3.63% due 02/01/31   1,450,000    1,251,582 
2.20% due 02/04/26   1,000,000    901,366 
National Basketball Association          
2.51% due 12/16/24†††   4,000,000    3,858,026 
Textron, Inc.          
2.45% due 03/15/31   3,200,000    2,628,911 
3.00% due 06/01/30   1,355,000    1,178,617 
FLNG Liquefaction 3 LLC          
3.08% due 06/30/39†††   4,407,585    3,762,733 
TD SYNNEX Corp.          
2.65% due 08/09/313   2,550,000    2,057,038 
2.38% due 08/09/283   1,600,000    1,348,919 
Howmet Aerospace, Inc.          
3.00% due 01/15/29   3,800,000    3,147,312 
Cellnex Finance Company S.A.          
3.88% due 07/07/413   4,150,000    2,841,961 
Vontier Corp.          
2.95% due 04/01/31   3,450,000    2,704,317 
Flowserve Corp.          
3.50% due 10/01/30   1,810,000    1,554,474 
2.80% due 01/15/32   1,150,000    905,762 
Acuity Brands Lighting, Inc.          
2.15% due 12/15/30   3,000,000    2,372,042 
IP Lending II Ltd.          
3.65% due 07/15/25†††,3   2,450,000    2,349,440 
Owens Corning          
3.88% due 06/01/30   2,380,000    2,173,126 
GATX Corp.          
4.00% due 06/30/30   2,110,000   1,946,085 
CNH Industrial Capital LLC          
1.88% due 01/15/26   1,880,000    1,704,001 
Stadco LA, LLC          
3.75% due 05/15/56†††   2,000,000    1,570,815 
Ryder System, Inc.          
3.35% due 09/01/25   1,470,000    1,425,033 
IP Lending V Ltd.          
5.13% due 04/02/26†††,3   1,050,000    1,044,036 
Amcor Flexibles North America, Inc.          
2.63% due 06/19/30   1,230,000    1,008,548 
Norfolk Southern Corp.          
4.10% due 05/15/21   600,000    451,193 
Sonoco Products Co.          
5.75% due 11/01/40   150,000    152,670 
Total Industrial        57,288,808 
Consumer, Cyclical -  4.2%          
Marriott International, Inc.          
4.63% due 06/15/30   2,830,000    2,713,077 
3.50% due 10/15/32   3,000,000    2,587,723 
2.85% due 04/15/31   2,020,000    1,675,147 
2.75% due 10/15/33   1,000,000    786,378 
Hyatt Hotels Corp.          
5.63% due 04/23/25   3,950,000    4,000,846 
5.75% due 04/23/30   3,010,000    3,030,672 
Choice Hotels International, Inc.          
3.70% due 01/15/31   7,340,000    6,505,464 
Whirlpool Corp.          
4.60% due 05/15/50   6,145,000    5,271,304 
Alt-2 Structured Trust          
2.95% due 05/14/31†††   3,739,066    3,419,736 
Smithsonian Institution          
2.70% due 09/01/44   4,000,000    3,080,402 
Delta Air Lines Inc. / SkyMiles IP Ltd.          
4.50% due 10/20/253   3,150,000    3,060,738 
Delta Air Lines, Inc.          
7.00% due 05/01/253   3,014,000    3,050,736 
British Airways Class A Pass Through Trust          
4.25% due 11/15/323   2,159,987    2,076,313 
2.90% due 03/15/353   847,627    746,384 
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.          
6.50% due 06/20/273   2,550,000    2,506,140 
BorgWarner, Inc.          
2.65% due 07/01/27   2,310,000    2,098,382 
Steelcase, Inc.          
5.13% due 01/18/29   2,224,000    2,069,788 
Ferguson Finance plc          
3.25% due 06/02/303   1,204,000    1,041,987 
4.65% due 04/20/323   600,000    565,737 
Magallanes, Inc.          
5.14% due 03/15/523   1,650,000    1,384,928 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 38.0% (continued)
Consumer, Cyclical -  4.2% (continued)        
Northern Group Housing LLC        
6.80% due 08/15/53†††,3   1,100,000   $1,332,160 
Walgreens Boots Alliance, Inc.          
4.10% due 04/15/50   1,541,000    1,215,496 
American Airlines Class AA Pass Through Trust          
3.20% due 06/15/28   742,000    678,206 
Lowe's Companies, Inc.          
1.70% due 09/15/28   450,000    383,112 
JB Poindexter & Company, Inc.          
7.13% due 04/15/263   200,000    192,000 
Total Consumer, Cyclical        55,472,856 
Consumer, Non-cyclical -  4.0%          
Altria Group, Inc.          
3.70% due 02/04/51   4,650,000    2,972,052 
3.40% due 05/06/30   2,510,000    2,129,141 
4.45% due 05/06/50   390,000    280,820 
CoStar Group, Inc.          
2.80% due 07/15/303   5,810,000    4,837,363 
Quanta Services, Inc.          
2.90% due 10/01/30   4,175,000    3,439,589 
BAT Capital Corp.          
3.98% due 09/25/50   2,800,000    1,929,064 
4.70% due 04/02/27   1,410,000    1,377,303 
Royalty Pharma plc          
3.55% due 09/02/50   2,690,000    1,878,247 
2.20% due 09/02/30   1,410,000    1,137,438 
Global Payments, Inc.          
2.90% due 05/15/30   1,620,000    1,366,932 
2.90% due 11/15/31   1,650,000    1,351,251 
Smithfield Foods, Inc.          
2.63% due 09/13/313   2,400,000    1,895,105 
3.00% due 10/15/303   970,000    804,127 
Becle, SAB de CV          
2.50% due 10/14/313   2,700,000    2,157,700 
Kraft Heinz Foods Co.          
5.50% due 06/01/50   1,250,000    1,199,893 
7.13% due 08/01/393   650,000    728,139 
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.          
3.00% due 05/15/323   1,750,000    1,343,931 
4.38% due 02/02/523   600,000    424,332 
Triton Container International Ltd.          
3.15% due 06/15/313   2,100,000    1,697,359 
Emory University          
2.97% due 09/01/50   2,000,000    1,588,068 
Yale-New Haven Health Services Corp.          
2.50% due 07/01/50   2,250,000    1,549,991 
California Institute of Technology          
3.65% due 09/01/19   2,000,000    1,510,233 
Kimberly-Clark de Mexico SAB de CV          
2.43% due 07/01/313   1,500,000   1,246,200 
Anheuser-Busch InBev Worldwide, Inc.          
6.63% due 08/15/33   1,100,000    1,243,754 
Health Care Service Corporation A Mutual Legal Reserve Co.          
3.20% due 06/01/503   1,480,000    1,112,993 
Transurban Finance Company Pty Ltd.          
2.45% due 03/16/313   1,300,000    1,065,975 
Universal Health Services, Inc.          
2.65% due 10/15/303   1,320,000    1,055,663 
Johnson & Johnson          
2.45% due 09/01/60   1,500,000    1,016,923 
Cheplapharm Arzneimittel GmbH          
4.38% due 01/15/28  EUR  1,000,000    890,349 
Wisconsin Alumni Research Foundation          
3.56% due 10/01/49   1,000,000    881,332 
OhioHealth Corp.          
3.04% due 11/15/50   1,000,000    774,013 
Memorial Sloan-Kettering Cancer Center          
2.96% due 01/01/50   1,000,000    763,314 
Prime Security Services Borrower LLC / Prime Finance, Inc.          
3.38% due 08/31/273   925,000    761,969 
Johns Hopkins University          
2.81% due 01/01/60   1,000,000    729,468 
Children's Hospital Corp.          
2.59% due 02/01/50   1,000,000    691,743 
Children's Health System of Texas          
2.51% due 08/15/50   1,000,000    676,837 
GXO Logistics, Inc.          
2.65% due 07/15/31   850,000    670,576 
Bimbo Bakeries USA, Inc.          
4.00% due 05/17/513   800,000    648,064 
Moody's Corp.          
3.25% due 05/20/50   700,000    519,585 
Duke University          
2.83% due 10/01/55   506,000    385,876 
Triton Container International Limited / TAL International Container Corp.          
3.25% due 03/15/32   200,000    162,807 
Total Consumer, Non-cyclical        52,895,519 
Energy -  2.4%          
Galaxy Pipeline Assets Bidco Ltd.          
3.25% due 09/30/403   6,250,000    4,932,985 
2.94% due 09/30/403   3,930,440    3,205,979 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 38.0% (continued)
Energy -  2.4% (continued)        
BP Capital Markets plc        
4.88% 2,5   7,530,000   $6,555,963 
Sabine Pass Liquefaction LLC          
4.50% due 05/15/30   4,190,000    4,015,351 
Qatar Energy          
3.13% due 07/12/413   2,375,000    1,860,812 
3.30% due 07/12/513   2,350,000    1,813,580 
Magellan Midstream Partners, LP          
3.95% due 03/01/50   2,000,000    1,577,438 
3.25% due 06/01/30   1,500,000    1,333,488 
Targa Resources Partners Limited Partnership / Targa Resources Partners Finance Corp.          
6.88% due 01/15/29   2,158,000    2,202,239 
Valero Energy Corp.          
2.15% due 09/15/27   950,000    845,557 
4.00% due 04/01/29   500,000    472,996 
2.85% due 04/15/25   184,000    177,820 
Midwest Connector Capital Company LLC          
4.63% due 04/01/293   1,050,000    990,235 
NuStar Logistics, LP          
6.38% due 10/01/30   700,000    608,178 
6.00% due 06/01/26   200,000    187,000 
Cheniere Corpus Christi Holdings LLC          
2.74% due 12/31/39   450,000    355,127 
Phillips 66          
3.70% due 04/06/23   250,000    249,981 
Total Energy        31,384,729 
Communications -  2.2%          
Charter Communications Operating LLC / Charter Communications Operating Capital          
2.80% due 04/01/31   3,325,000    2,662,852 
3.90% due 06/01/52   3,350,000    2,325,618 
2.25% due 01/15/29   2,400,000    1,972,002 
Paramount Global          
4.95% due 01/15/31   3,078,000    2,930,286 
4.95% due 05/19/50   2,490,000    2,087,026 
2.90% due 01/15/27   450,000    414,328 
British Telecommunications plc          
4.88% due 11/23/812,6   2,900,000    2,465,000 
4.25% due 11/23/812,3   500,000    435,217 
9.63% due 12/15/30   150,000    186,663 
Level 3 Financing, Inc.          
4.25% due 07/01/283   2,175,000    1,742,719 
3.88% due 11/15/293   1,150,000    949,782 
Virgin Media Secured Finance plc          
4.50% due 08/15/303   2,350,000    1,931,018 
Vodafone Group plc          
4.13% due 06/04/812   2,550,000    1,907,098 
Walt Disney Co.          
3.80% due 05/13/60   2,000,000    1,671,942 
AT&T, Inc.          
2.75% due 06/01/31   1,500,000   1,295,262 
Amazon.com, Inc.          
2.70% due 06/03/60   1,610,000    1,090,500 
VeriSign, Inc.          
2.70% due 06/15/31   1,200,000    965,691 
CSC Holdings LLC          
4.13% due 12/01/303   600,000    468,000 
Fox Corp.          
3.05% due 04/07/25   450,000    435,719 
Altice France S.A.          
5.13% due 01/15/293   250,000    189,403 
Telenet Finance Luxembourg Notes SARL          
5.50% due 03/01/28   200,000    176,480 
Total Communications        28,302,606 
Technology -  1.7%          
Broadcom, Inc.          
4.93% due 05/15/373   2,306,000    2,067,428 
4.15% due 11/15/30   1,702,000    1,559,395 
3.19% due 11/15/363   217,000    164,958 
Entegris Escrow Corp.          
4.75% due 04/15/293   3,700,000    3,445,544 
Workday, Inc.          
3.80% due 04/01/32   3,650,000    3,334,915 
NetApp, Inc.          
2.70% due 06/22/30   2,807,000    2,365,376 
Citrix Systems, Inc.          
1.25% due 03/01/26   2,300,000    2,225,164 
CDW LLC / CDW Finance Corp.          
3.57% due 12/01/31   2,600,000    2,148,029 
Oracle Corp.          
3.95% due 03/25/51   2,450,000    1,799,517 
Leidos, Inc.          
2.30% due 02/15/31   1,750,000    1,394,141 
4.38% due 05/15/30   200,000    184,994 
Apple, Inc.          
2.55% due 08/20/60   1,550,000    1,061,476 
CGI, Inc.          
2.30% due 09/14/31   1,300,000    1,043,022 
Total Technology        22,793,959 
Utilities -  1.1%          
Cheniere Corpus Christi Holdings LLC          
3.52% due 12/31/39†††   6,700,000    5,702,926 
Jersey Central Power & Light Co.          
2.75% due 03/01/323   3,220,000    2,738,782 
AES Corp.          
3.95% due 07/15/303   1,760,000    1,586,992 
NRG Energy, Inc.          
2.45% due 12/02/273   1,750,000    1,502,609 
Arizona Public Service Co.          
3.35% due 05/15/50   1,300,000    954,310 
Alexander Funding Trust          
1.84% due 11/15/233   950,000    909,533 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 38.0% (continued)
Utilities -  1.1% (continued)        
Enel Finance International N.V.        
2.88% due 07/12/413   1,250,000   $841,670 
Xcel Energy, Inc.          
2.35% due 11/15/31   690,000    569,486 
Total Utilities        14,806,308 
Basic Materials -  0.9%          
Newcrest Finance Pty Ltd.          
3.25% due 05/13/303   3,600,000    3,180,492 
4.20% due 05/13/503   3,235,000    2,647,435 
Anglo American Capital plc          
5.63% due 04/01/303   1,800,000    1,812,587 
3.95% due 09/10/503   970,000    743,395 
2.63% due 09/10/303   250,000    205,732 
WR Grace Holdings LLC          
4.88% due 06/15/273   1,241,000    1,079,968 
Yamana Gold, Inc.          
2.63% due 08/15/31   1,200,000    962,593 
Reliance Steel & Aluminum Co.          
2.15% due 08/15/30   810,000    656,282 
Corporation Nacional del Cobre de Chile          
3.75% due 01/15/313   680,000    609,050 
Total Basic Materials        11,897,534 
Total Corporate Bonds          
(Cost $597,089,736)        497,714,716 
           
ASSET-BACKED SECURITIES†† - 26.1%          
Collateralized Loan Obligations -  16.9%          
LoanCore Issuer Ltd.          
2021-CRE5 C, 3.67% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 07/15/36◊,3   7,500,000    6,968,199 
2021-CRE4 D, 3.39% (30 Day Average SOFR + 2.61%, Rate Floor: 2.50%) due 07/15/35   4,426,000    4,108,560 
2021-CRE6 C, 3.62% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 11/15/38◊,3   4,000,000    3,716,758 
2021-CRE4 C, 2.59% (30 Day Average SOFR + 1.81%, Rate Floor: 1.70%) due 07/15/35◊,3   1,000,000    938,867 
2018-CRE1 A, 2.45% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/28◊,3   84,224    84,119 
Woodmont Trust          
2020-7A A1A, 2.94% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,3   12,000,000    11,912,238 
2020-7A B, 3.64% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/32◊,3   3,750,000   3,652,177 
Cerberus Loan Funding XXX, LP          
2020-3A A, 2.89% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,3   13,500,000    13,354,728 
2020-3A B, 3.54% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/15/33◊,3   2,000,000    1,947,662 
Octagon Investment Partners 49 Ltd.          
2021-5A B, 2.59% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/33◊,3   8,500,000    8,002,164 
2021-5A C, 3.09% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 01/15/33◊,3   7,450,000    7,073,100 
LCCM Trust          
2021-FL3 A, 2.77% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,3   6,000,000    5,824,880 
2021-FL3 AS, 3.12% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/15/38◊,3   3,950,000    3,763,549 
2021-FL2 C, 3.47% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 12/13/38◊,3   3,100,000    2,884,041 
AMMC CLO XIV Ltd.          
2021-14A A2R2, 2.58% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/29◊,3   8,000,000    7,716,106 
Dryden 36 Senior Loan Fund          
2020-36A CR3, 3.09% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/15/29◊,3   8,000,000    7,715,726 
Madison Park Funding XLVIII Ltd.          
2021-48A C, 3.04% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/19/33◊,3   4,000,000    3,799,436 
2021-48A B, 2.49% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/33◊,3   4,000,000    3,785,469 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 26.1% (continued)
Collateralized Loan Obligations -  16.9% (continued)        
MF1 Multifamily Housing Mortgage Loan Trust        
2021-FL6 D, 4.07% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 07/16/36   4,000,000   $3,810,031 
2021-FL6 C, 3.37% (1 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/16/36◊,3   3,400,000    3,151,732 
Palmer Square Loan Funding Ltd.          
2021-1A A2, 2.31% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/29◊,3   2,000,000    1,939,779 
2021-1A B, 2.86% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/29◊,3   2,000,000    1,920,651 
2021-3A C, 3.56% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 07/20/29◊,3   2,000,000    1,859,496 
2021-2A C, 3.88% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 05/20/29◊,3   1,000,000    928,688 
Golub Capital Partners CLO 33M Ltd.          
2021-33A AR2, 3.38% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,3   6,500,000    6,307,436 
Golub Capital Partners CLO 16 Ltd.          
2021-16A A1R2, 2.79% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,3   4,000,000    3,826,952 
2021-16A A2R2, 2.98% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/25/33◊,3   2,000,000    1,955,276 
ABPCI Direct Lending Fund CLO II LLC          
2021-1A A1R, 2.66% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,3   5,500,000    5,420,747 
Cerberus Loan Funding XXXII, LP          
2021-2A A, 2.66% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,3   4,250,000    4,115,797 
2021-2A C, 3.89% (3 Month USD LIBOR + 2.85%, Rate Floor: 2.85%) due 04/22/33◊,3   1,250,000   1,184,896 
KREF Funding V LLC          
 1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26◊,†††   5,141,223    5,119,915 
 0.15% due 06/25/26†††,7   21,818,182    5,236 
Cerberus Loan Funding XXXI, LP          
2021-1A A, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,3   4,500,000    4,452,328 
THL Credit Lake Shore MM CLO I Ltd.          
2021-1A A1R, 2.74% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,3   4,250,000    4,217,864 
BXMT Ltd.          
2020-FL2 A, 2.49% (1 Month Term SOFR + 1.01%, Rate Floor: 0.90%) due 02/15/38◊,3   4,250,000    4,168,946 
Golub Capital Partners CLO 36M Ltd.          
2018-36A A, 2.66% (3 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/05/31◊,3   4,100,000    4,059,207 
ABPCI Direct Lending Fund CLO I LLC          
2021-1A A1A2, 2.76% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,3   3,750,000    3,690,263 
BSPDF Issuer Ltd.          
2021-FL1 C, 3.57% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/15/36   4,000,000    3,683,153 
Cerberus Loan Funding XXVI, LP          
2021-1A AR, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,3   3,500,000    3,450,240 
PFP Ltd.          
2021-7 D, 3.91% (1 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/14/38◊,3   3,749,813    3,438,425 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 26.1% (continued)
Collateralized Loan Obligations -  16.9% (continued)        
ABPCI Direct Lending Fund CLO IV LLC        
 3.23% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/06/29◊,†††   3,300,000   $3,303,144 
ABPCI Direct Lending Fund CLO V Ltd.          
2021-5A A1R, 2.56% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,3   3,250,000    3,200,471 
Fortress Credit Opportunities IX CLO Ltd.          
2021-9A A2TR, 2.84% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/33◊,3   3,250,000    3,187,288 
Owl Rock CLO IV Ltd.          
2021-4A A1R, 3.08% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,3   3,250,000    3,104,057 
GoldenTree Loan Management US CLO 1 Ltd.          
2021-9A C, 2.86% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/33◊,3   3,000,000    2,790,496 
Fortress Credit Opportunities XI CLO Ltd.          
2018-11A A1T, 2.34% (3 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 04/15/31◊,3   2,000,000    1,973,424 
Apres Static CLO Ltd.          
2020-1A A2R, 2.74% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 10/15/28◊,3   2,000,000    1,952,719 
MidOcean Credit CLO VII          
2020-7A BR, 2.64% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 07/15/29◊,3   2,000,000    1,914,000 
ABPCI Direct Lending Fund IX LLC          
2021-9A A2R, 3.03% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/18/31◊,3   2,000,000    1,891,332 
ACRES Commercial Realty Ltd.          
2021-FL2 AS, 3.27% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 01/15/37   2,000,000    1,891,298 
BRSP Ltd.          
2021-FL1 C, 3.76% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 08/19/38◊,3   2,000,000   1,890,175 
Neuberger Berman Loan Advisers CLO 40 Ltd.          
2021-40A C, 2.79% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/16/33◊,3   2,000,000    1,869,915 
Magnetite XXIX Ltd.          
2021-29A C, 2.69% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 01/15/34◊,3   2,000,000    1,869,106 
Cerberus Loan Funding XXXIII, LP          
2021-3A B, 2.89% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/33◊,3   2,000,000    1,857,885 
FS Rialto          
2021-FL3 C, 3.56% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 11/16/36◊,3   2,000,000    1,857,393 
Canyon Capital CLO Ltd.          
2018-1A A2R, 2.79% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/30/31◊,3   1,900,000    1,791,153 
OCP CLO Ltd.          
2020-4A A2RR, 2.63% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/24/29◊,3   1,500,000    1,465,410 
Golub Capital Partners CLO 54M L.P          
2021-54A B, 3.21% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 08/05/33◊,3   1,500,000    1,388,920 
STWD Ltd.          
2019-FL1 D, 3.80% (1 Month Term SOFR + 2.46%, Rate Floor: 2.35%) due 07/15/38◊,3   1,459,000    1,366,026 
Marathon CLO V Ltd.          
2017-5A A2R, 2.96% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/21/27◊,3   1,000,000    988,197 
2017-5A A1R, 2.38% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.87%) due 11/21/27◊,3   139,291    138,772 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 26.1% (continued)
Collateralized Loan Obligations -  16.9% (continued)        
Owl Rock CLO I Ltd.        
2019-1A A, 3.28% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 05/20/31◊,3   1,000,000   $994,255 
Owl Rock CLO II Ltd.          
2021-2A ALR, 2.61% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/33◊,3   1,000,000    979,065 
NewStar Fairfield Fund CLO Ltd.          
2018-2A A1N, 2.33% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/30◊,3   989,329    977,118 
Northwoods Capital XII-B Ltd.          
2018-12BA B, 3.68% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 06/15/31◊,3   1,000,000    963,903 
KREF          
2021-FL2 C, 3.52% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/39◊,3   1,000,000    942,020 
BSPRT Issuer Ltd.          
2021-FL7 C, 3.62% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 12/15/38   1,000,000    931,252 
Cerberus Loan Funding XXXVI, LP          
2021-6A A, 2.44% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,3   840,988    836,908 
Dryden 37 Senior Loan Fund          
2015-37A Q,  due 01/15/313,8   1,000,000    776,264 
Golub Capital Partners CLO 17 Ltd.          
2017-17A A1R, 2.83% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.64%) due 10/25/30◊,3   750,000    742,826 
ACRE Commercial Mortgage Ltd.          
2021-FL4 D, 4.21% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 12/18/37◊,3   773,000    734,750 
Newfleet CLO Ltd.          
2018-1A A1R, 2.01% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.95%) due 04/20/28◊,3   452,728    449,776 
Diamond CLO Ltd.          
2021-1A A2R, 2.63% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/25/29◊,3   442,053   441,886 
GPMT Ltd.          
2019-FL2 A, 2.93% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/36   176,898    176,463 
KVK CLO Ltd.          
2017-1A AR, 1.94% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 01/14/28◊,3   68,590    68,561 
Babson CLO Ltd.          
2014-IA SUB,  due 07/20/253,8   650,000    44,460 
Halcyon Loan Advisors Funding Ltd.          
2017-3A A1R, 1.94% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 10/18/27◊,3   27,558    27,541 
Treman Park CLO Ltd.          
2015-1A COM,  due 10/20/283,8   162,950    25,355 
Copper River CLO Ltd.          
2007-1A INC,  due 01/20/216,8   700,000    148 
Total Collateralized Loan Obligations        221,758,569 
Whole Business -  2.4%          
Domino's Pizza Master Issuer LLC          
2017-1A, 4.12% due 07/25/473   6,702,500    6,404,473 
2021-1A, 3.15% due 04/25/513   990,000    845,810 
Arbys Funding LLC          
2020-1A, 3.24% due 07/30/503   6,631,875    5,958,335 
DB Master Finance LLC          
2019-1A, 4.35% due 05/20/493   3,646,875    3,399,814 
2021-1A, 2.79% due 11/20/513   1,990,000    1,639,487 
Taco Bell Funding LLC          
2016-1A, 4.97% due 05/25/463   3,562,500    3,539,419 
2021-1A, 2.29% due 08/25/513   1,422,850    1,193,108 
ServiceMaster Funding LLC          
2020-1, 2.84% due 01/30/513   3,950,000    3,399,461 
SERVPRO Master Issuer LLC          
2021-1A, 2.39% due 04/25/513   3,465,000    2,966,865 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 26.1% (continued)
Whole Business -  2.4% (continued)        
Wendy's Funding LLC        
2019-1A, 3.78% due 06/15/493   1,339,560   $1,286,787 
Wingstop Funding LLC          
2022-1A, 3.73% due 03/05/523   1,000,000    890,777 
Total Whole Business        31,524,336 
Transport-Aircraft -  2.1%          
AASET Trust          
2021-1A, 2.95% due 11/16/413   4,319,350    3,613,621 
2020-1A, 3.35% due 01/16/403   1,085,057    910,125 
2017-1A, 3.97% due 05/16/423   325,665    270,263 
Castlelake Aircraft Structured Trust          
2021-1A, 3.47% due 01/15/463   3,991,616    3,552,316 
Navigator Aircraft ABS Ltd.          
2021-1, 2.77% due 11/15/463   2,883,929    2,567,402 
AASET US Ltd.          
2018-2A, 4.45% due 11/18/383   2,928,638    2,487,572 
Lunar Structured Aircraft Portfolio Notes          
2021-1, 2.64% due 10/15/463   2,263,910    2,060,552 
Sprite Ltd.          
2021-1, 3.75% due 11/15/463   2,130,683    1,927,197 
MACH 1 Cayman Ltd.          
2019-1, 3.47% due 10/15/393   2,121,023    1,922,041 
Sapphire Aviation Finance II Ltd.          
2020-1A, 3.23% due 03/15/403   1,838,963    1,608,061 
Falcon Aerospace Ltd.          
2019-1, 3.60% due 09/15/393   1,498,517    1,265,424 
2017-1, 4.58% due 02/15/423   319,904    296,817 
MAPS Ltd.          
2018-1A, 4.21% due 05/15/433   1,578,925    1,462,786 
Sapphire Aviation Finance I Ltd.          
2018-1A, 4.25% due 03/15/403   1,460,110    1,217,903 
Raspro Trust          
2005-1A, 1.99% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,†††,3   984,943    937,990 
WAVE LLC          
2019-1, 3.60% due 09/15/443   843,915    687,396 
Castlelake Aircraft Securitization Trust          
2018-1, 4.13% due 06/15/433   725,329   651,889 
Total Transport-Aircraft        27,439,355 
Financial -  1.6%          
Strategic Partners Fund VIII LP          
4.20% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,†††   4,800,000    4,777,551 
Madison Avenue Secured Funding Trust Series          
2021-1, 2.47% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,3   4,250,000    4,250,000 
HarbourVest Structured Solutions IV Holdings, LP          
2.58% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††   1,831,749    1,832,003 
2.58% (3 Month EURIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††  EUR  1,000,000    1,045,770 
Station Place Securitization Trust          
2021-SP1, 3.38% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22◊,†††,3   2,000,000    2,000,000 
KKR Core Holding Company LLC          
4.00% due 08/12/31†††   2,022,366    1,786,271 
Aesf Vi Verdi, LP          
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,†††  EUR  1,027,157    1,071,866 
Thunderbird A          
5.50% due 03/01/37†††   986,000    986,000 
Lightning A          
5.50% due 03/01/37†††   986,000    986,000 
Bib Merchant Voucher Receivables Ltd.          
4.18% due 04/07/28†††   932,304    908,178 
Nassau LLC          
2019-1, 3.98% due 08/15/343   885,933    859,385 
Total Financial        20,503,024 
Net Lease -  1.2%          
CARS-DB4, LP          
2020-1A, 3.81% due 02/15/503   2,238,281    2,040,539 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 26.1% (continued)
Net Lease -  1.2% (continued)        
2020-1A, 4.95% due 02/15/503   1,500,000   $1,290,711 
CMFT Net Lease Master Issuer LLC          
2021-1, 3.44% due 07/20/513   3,570,000    3,032,668 
STORE Master Funding I-VII          
2016-1A, 3.96% due 10/20/463   2,581,684    2,445,439 
Oak Street Investment Grade Net Lease Fund Series          
2020-1A, 2.26% due 11/20/503   2,500,000    2,294,737 
CF Hippolyta LLC          
2020-1, 2.60% due 07/15/603   2,537,828    2,157,048 
Capital Automotive REIT          
2020-1A, 3.48% due 02/15/503   1,243,490    1,160,306 
2021-1A, 2.76% due 08/15/513   999,792    809,469 
CF Hippolyta Issuer LLC          
2020-1, 2.28% due 07/15/603   690,378    619,286 
Total Net Lease        15,850,203 
Collateralized Debt Obligations -  1.1%          
Anchorage Credit Funding 4 Ltd.          
2021-4A AR, 2.72% due 04/27/393   7,250,000    6,338,251 
2021-4A BR, 3.12% due 04/27/39   1,500,000    1,272,522 
Anchorage Credit Funding Ltd.          
2021-13A A1, 2.88% due 07/27/393   2,500,000    2,188,980 
2021-13A B2, 3.15% due 07/27/393   2,000,000    1,685,789 
Anchorage Credit Funding 3 Ltd.          
2021-3A A1R, 2.87% due 01/28/393   3,750,000    3,324,738 
Total Collateralized Debt Obligations        14,810,280 
Transport-Container -  0.5%          
Textainer Marine Containers VII Ltd.          
2020-1A, 2.73% due 08/21/453   3,774,262    3,537,403 
MC Ltd.          
2021-1, 2.63% due 11/05/353   3,800,548   3,373,403 
Total Transport-Container        6,910,806 
Infrastructure -  0.2%          
VB-S1 Issuer LLC - VBTEL          
2022-1A, 4.29% due 02/15/523   2,500,000    2,266,347 
Single Family Residence -  0.1%          
Home Partners of America Trust          
2021-3, 2.80% due 01/17/413   959,806    859,182 
Total Asset-Backed Securities          
(Cost $363,726,650)        341,922,102 
           
U.S. GOVERNMENT SECURITIES†† - 12.8%          
U.S. Treasury Notes          
2.88% due 05/15/32   84,750,000    83,796,562 
2.63% due 05/31/27   15,580,000    15,285,441 
U.S. Treasury Bonds          
1.88% due 11/15/51   20,000,000    15,006,250 
 due 02/15/529,10   29,980,000    12,021,192 
2.00% due 08/15/51   15,000,000    11,592,773 
 due 02/15/469,10   22,605,000    9,974,056 
2.88% due 05/15/52   10,000,000    9,443,750 
 due 05/15/449,10   19,265,000    8,939,981 
 due 11/15/449,10   4,520,000    2,057,201 
Total U.S. Government Securities          
(Cost $177,387,642)        168,117,206 
           
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 10.7%          
Government Agency -  4.2%          
Fannie Mae          
2.81% due 05/01/51   8,250,000    6,700,038 
2.17% due 03/01/51   8,347,000    6,242,771 
2.24% due 01/01/51   5,825,789    4,522,656 
2.00% due 09/01/50   4,982,356    3,742,616 
2.36% due 08/01/50   4,500,000    3,443,354 
2.78% due 05/01/51   2,706,425    2,245,157 
2.59% due 06/01/51   2,456,577    1,988,157 
2.32% due 02/01/51   2,053,961    1,596,970 
2.40% due 03/01/40   2,000,000    1,540,778 
2.11% due 10/01/50   1,841,601    1,403,774 
2.27% due 02/01/51   1,711,063    1,321,713 
2.39% due 02/01/51   1,424,582    1,120,162 
4.24% due 08/01/48   1,000,000    1,022,964 
2.58% due 10/01/51   1,187,907    955,007 
3.83% due 05/01/49   1,000,000    952,102 
2.99% due 01/01/40   1,000,000    878,537 
3.46% due 08/01/49   954,308    874,921 
2.68% due 04/01/50   958,573    797,356 
2.27% due 10/01/41   1,000,000    765,853 
4.07% due 05/01/49   765,627    748,660 
2.10% due 07/01/50   963,610    737,364 
1.76% due 08/01/40   1,000,000    734,144 
4.37% due 10/01/48   714,015    715,544 
 due 12/25/4310   868,982    698,314 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 10.7% (continued)
Government Agency -  4.2% (continued)        
4.25% due 05/01/48   629,870   $619,941 
Freddie Mac Seasoned Credit Risk Transfer Trust          
2.00% due 05/25/60   3,583,712    3,213,221 
2.00% due 11/25/59   1,372,227    1,230,316 
Fannie Mae-Aces          
1.56% (WAC) due 03/25/35◊,7   20,412,481    2,398,564 
Freddie Mac          
1.98% due 05/01/50   1,366,148    1,008,180 
4.00% due 01/15/46   247,414    246,123 
FARM Mortgage Trust          
2.18% (WAC) due 01/25/51◊,3   913,239    809,417 
Total Government Agency        55,274,674 
Commercial Mortgage-Backed Securities -  3.5%          
GS Mortgage Securities Trust          
2020-GSA2, 2.34% due 12/12/53   8,000,000    6,458,954 
2020-GC45, 0.79% (WAC) due 02/13/53◊,7   18,925,361    689,477 
2019-GC42, 0.93% (WAC) due 09/01/52◊,7   14,894,918    639,506 
JP Morgan Chase Commercial Mortgage Securities Trust          
2021-NYAH, 3.16% (1 Month USD LIBOR + 1.84%, Rate Floor: 1.84%) due 06/15/38◊,3   4,000,000    3,662,093 
2016-JP3, 3.57% (WAC) due 08/15/49   4,000,000    3,572,708 
DBGS Mortgage Trust          
2018-C1, 4.78% (WAC) due 10/15/51   7,000,001    6,789,011 
CD Mortgage Trust          
2017-CD4, 3.95% (WAC) due 05/10/50   4,750,000    4,450,631 
2016-CD1, 1.50% (WAC) due 08/10/49◊,7   2,138,934    89,630 
KKR Industrial Portfolio Trust          
2021-KDIP, 2.57% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 12/15/37◊,3   3,450,000    3,268,015 
BX Commercial Mortgage Trust          
2021-VOLT, 3.32% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/36◊,3   3,450,000    3,213,825 
GS Mortgage Securities Corporation Trust          
2020-DUNE, 2.67% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 12/15/36◊,3   1,000,000    979,006 
2020-UPTN, 3.35% (WAC) due 02/10/37◊,3   1,000,000   909,013 
SMRT          
2022-MINI, 3.23% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 01/15/39◊,3   2,000,000    1,869,901 
Life Mortgage Trust          
2021-BMR, 2.72% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 03/15/38◊,3   1,965,940    1,867,191 
BENCHMARK Mortgage Trust          
2019-B14, 0.91% (WAC) due 12/15/62◊,7   19,794,960    713,588 
2018-B6, 0.57% (WAC) due 10/10/51◊,7   29,408,723    489,782 
Citigroup Commercial Mortgage Trust          
2019-GC43, 0.75% (WAC) due 11/10/52◊,7   19,905,145    704,672 
2016-GC37, 1.84% (WAC) due 04/10/49◊,7   3,087,933    151,022 
2016-C2, 1.88% (WAC) due 08/10/49◊,7   2,371,668    127,693 
2016-P5, 1.53% (WAC) due 10/10/49◊,7   1,596,589    73,153 
Extended Stay America Trust          
2021-ESH, 3.58% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/15/38◊,3   1,093,271    1,054,837 
COMM Mortgage Trust          
2015-CR24, 0.89% (WAC) due 08/10/48◊,7   42,362,074    802,588 
2015-CR26, 1.06% (WAC) due 10/10/48◊,7   8,598,284    199,116 
CSAIL Commercial Mortgage Trust          
2019-C15, 1.20% (WAC) due 03/15/52◊,7   12,153,614    590,086 
SG Commercial Mortgage Securities Trust          
2016-C5, 2.06% (WAC) due 10/10/48◊,7   8,794,953    433,832 
UBS Commercial Mortgage Trust          
2017-C2, 1.15% (WAC) due 08/15/50◊,7   9,635,036    378,054 
Morgan Stanley Capital I Trust          
2016-UB11, 1.63% (WAC) due 08/15/49◊,7   6,609,208    286,528 
JPMDB Commercial Mortgage Securities Trust          
2016-C2, 1.70% (WAC) due 06/15/49◊,7   7,047,448    282,446 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 10.7% (continued)
Commercial Mortgage-Backed Securities -  3.5% (continued)        
Wells Fargo Commercial Mortgage Trust        
2016-NXS5, 1.59% (WAC) due 01/15/59◊,7   3,715,904   $143,540 
2016-C37, 0.96% (WAC) due 12/15/49◊,7   2,738,408    72,787 
CFCRE Commercial Mortgage Trust          
2016-C3, 1.15% (WAC) due 01/10/48◊,7   5,480,071    158,260 
Total Commercial Mortgage-Backed Securities        45,120,945 
Residential Mortgage-Backed Securities -  1.9%          
Mill City Mortgage Loan Trust          
2021-NMR1, 2.50% (WAC) due 11/25/60◊,3   4,800,000    4,106,435 
GCAT 2022-NQM3 Trust          
2022-NQM3, 4.35% (WAC) due 04/25/67◊,3   3,445,506    3,282,859 
COLT Mortgage Loan Trust          
2021-2, 2.38% (WAC) due 08/25/66◊,3   4,000,000    3,112,190 
PRPM LLC          
2021-RPL2, 2.93% (WAC) due 10/25/51◊,3   2,472,000    2,205,843 
Imperial Fund Mortgage Trust          
2022-NQM2, 4.02% (WAC) due 03/25/67◊,3   968,313    921,341 
2022-NQM2, 4.20% (WAC) due 03/25/67◊,3   968,313    916,033 
Starwood Mortgage Residential Trust          
2020-1, 2.41% (WAC) due 02/25/50◊,3   924,890    895,893 
2020-1, 2.56% (WAC) due 02/25/50◊,3   924,890    891,377 
CSMC Trust          
2018-RPL9, 3.85% (WAC) due 09/25/57◊,3   1,008,170    992,284 
2020-NQM1, 1.72% due 05/25/653,11   288,810    269,924 
SPS Servicer Advance Receivables Trust          
2020-T2, 1.83% due 11/15/553   1,250,000    1,140,034 
BRAVO Residential Funding Trust          
2021-HE1, 2.43% (30 Day Average SOFR + 1.50%, Rate Floor: 2.43%) due 01/25/70◊,3   1,000,000    984,421 
American Home Mortgage Investment Trust          
2007-1, 2.08% due 05/25/477   6,478,736    971,484 
Verus Securitization Trust          
2019-4, 2.85% due 11/25/593,11   773,248   768,670 
Securitized Asset-Backed Receivables LLC Trust          
2006-HE2, 1.92% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/36   1,469,073    694,370 
MFRA Trust          
2021-INV1, 2.29% (WAC) due 01/25/56◊,3   700,000    636,738 
New Residential Mortgage Loan Trust          
2019-6A, 3.50% (WAC) due 09/25/59◊,3   549,857    530,699 
Angel Oak Mortgage Trust          
2020-1, 2.77% (WAC) due 12/25/59◊,3   482,101    462,206 
RALI Series Trust          
2006-QO2, 2.06% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/46   1,491,810    340,043 
GS Mortgage-Backed Securities Trust          
2020-NQM1, 1.79% (WAC) due 09/27/60◊,3   275,806    263,110 
Residential Mortgage Loan Trust          
2020-1, 2.68% (WAC) due 01/26/60◊,3   266,412    256,705 
MASTR Adjustable Rate Mortgages Trust          
2003-5, 1.46% (WAC) due 11/25/33   247,033    221,749 
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust          
2006-AR9, 1.32% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46   257,504    213,046 
UCFC Manufactured Housing Contract          
1997-2, 7.38% due 10/15/28   47,492    46,048 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 10.7% (continued)
Residential Mortgage-Backed Securities -  1.9% (continued)        
GreenPoint Mortgage Funding Trust        
2007-AR1, 1.70% (1 Month USD LIBOR + 0.08%, Rate Floor: 0.08%) due 02/25/47   10   $10 
Total Residential Mortgage-Backed Securities        25,123,512 
Military Housing -  1.1%          
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates          
2015-R1, 4.49% (WAC) due 11/25/55◊,3   6,971,242    6,841,879 
2015-R1, 4.44% (WAC) due 11/25/52◊,3   2,853,855    2,803,782 
2015-R1, 0.70% (WAC) due 11/25/55◊,3,7   10,202,943    736,783 
Capmark Military Housing Trust          
2006-RILY, 6.15% due 07/10/51†††,3   2,280,442    2,274,059 
2007-ROBS, 6.06% due 10/10/52†††,3   457,828    455,425 
2007-AETC, 5.75% due 02/10/52†††,3   269,811    267,930 
GMAC Commercial Mortgage Asset Corp.          
2007-HCKM, 6.11% due 08/10/52†††,3   1,439,705    1,474,169 
Total Military Housing        14,854,027 
Total Collateralized Mortgage Obligations          
(Cost $165,997,589)        140,373,158 
           
SENIOR FLOATING RATE INTERESTS††,◊ - 2.9%          
Industrial -  1.2%          
Mileage Plus Holdings LLC          
7.31% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27   8,450,000    8,331,700 
Standard Industries, Inc.          
3.79% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 09/22/28   2,541,000    2,450,261 
SkyMiles IP Ltd.          
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27   1,700,000    1,687,777 
Berry Global, Inc.          
3.00% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26   1,429,766    1,378,338 
Air Canada          
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28   854,587   786,220 
Service Logic Acquisition, Inc.          
5.24% ((1 Month USD LIBOR + 4.00%) and (3 Month USD LIBOR + 4.00%), Rate Floor: 4.75%) due 10/29/27   799,472    758,499 
Total Industrial        15,392,795 
Consumer, Cyclical -  0.4%          
Amaya Holdings BV          
2.50% (3 Month EURIBOR + 2.50%, Rate Floor: 2.50%) due 07/21/26  EUR  4,000,000    3,863,229 
Stars Group (Amaya)          
4.50% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26   992,500    941,992 
Hilton Worldwide Finance LLC          
3.37% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/22/26   383,663    368,059 
Total Consumer, Cyclical        5,173,280 
Consumer, Non-cyclical -  0.4%          
Packaging Coordinators Midco, Inc.          
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/30/27   2,221,875    2,095,050 
Southern Veterinary Partners LLC          
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27   1,482,152    1,405,570 
HAH Group Holding Co. LLC          
7.21% (3 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 10/29/27   1,135,950    1,081,992 
Total Consumer, Non-cyclical        4,582,612 
Basic Materials -  0.3%          
Univar Netherlands Holding BV          
3.42% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/03/28   4,182,750    4,098,426 

 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 2.9% (continued)
Technology -  0.3%        
Datix Bidco Ltd.        
6.19% (6 Month GBP LIBOR + 4.50%, Rate Floor: 5.19%) due 04/28/25†††   2,900,000   $3,515,965 
Utilities -  0.1%          
Hamilton Projects Acquiror LLC          
6.75% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27   2,043,410    1,954,010 
Financial -  0.1%          
Cross Financial Corp.          
4.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27   790,020    749,200 
Nexus Buyer LLC          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26   755,203    710,646 
Alliant Holdings Intermediate LLC          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25   489,796    460,060 
Total Financial        1,919,906 
Energy -  0.1%          
Venture Global Calcasieu Pass LLC          
4.00% (1 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26†††   841,798    837,589 
DT Midstream, Inc.          
3.69% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 06/26/28   199,664    198,915 
Total Energy        1,036,504 
Communications -  0.0%          
Radiate Holdco LLC          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26   163,561    151,703 
Total Senior Floating Rate Interests          
(Cost $40,317,801)        37,825,201 
           
FEDERAL AGENCY BONDS†† - 1.8%          
Tennessee Valley Authority Principal Strips          
 due 06/15/389,10   9,400,000    4,823,413 
 due 01/15/489,10   9,700,000    3,219,226 
 due 01/15/389   4,000,000    2,094,960 
 due 06/15/359,10   1,583,000    967,428 
 due 12/15/429,10   1,600,000    669,363 
Federal Farm Credit Bank          
3.51% due 06/11/40   3,300,000   3,043,366 
2.70% due 01/30/45   1,053,000    821,961 
United States International Development Finance Corp.          
1.63% due 11/20/37   3,978,252    3,350,959 
Tennessee Valley Authority          
4.25% due 09/15/65   2,450,000    2,461,588 
5.38% due 04/01/56   600,000    725,817 
U.S. International Development Finance Corp.          
 due 01/17/269   800,000    813,931 
Total Federal Agency Bonds          
(Cost $29,338,051)        22,992,012 
           
MUNICIPAL BONDS†† - 1.0%          
Texas -  0.3%          
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds          
3.29% due 09/01/40   2,100,000    1,640,731 
2.78% due 09/01/34   700,000    568,736 
2.69% due 09/01/33   500,000    409,214 
2.57% due 09/01/32   475,000    390,843 
2.41% due 09/01/31   450,000    371,802 
Grand Parkway Transportation Corp. Revenue Bonds          
3.31% due 10/01/49   1,500,000    1,156,715 
Dallas/Fort Worth International Airport Revenue Bonds          
2.92% due 11/01/50   1,000,000    786,017 
Total Texas        5,324,058 
New York -  0.3%          
Westchester County Local Development Corp. Revenue Bonds          
3.85% due 11/01/50   2,700,000    2,191,549 
Port Authority of New York & New Jersey Revenue Bonds          
3.14% due 02/15/51   1,370,000    1,083,389 
Total New York        3,274,938 
Idaho -  0.1%          
Boise State University Revenue Bonds          
3.06% due 04/01/40   1,150,000    972,436 
California -  0.1%          
California Statewide Communities Development Authority Revenue Bonds          
2.68% due 02/01/39   1,200,000    897,303 
Mississippi -  0.1%          
Medical Center Educational Building Corp. Revenue Bonds          
2.92% due 06/01/41   1,000,000    777,032 
Ohio -  0.1%          
County of Franklin Ohio Revenue Bonds          
2.88% due 11/01/50   1,000,000    728,555 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
MUNICIPAL BONDS†† - 1.0% (continued)
Alabama -  0.0%        
Auburn University Revenue Bonds        
2.68% due 06/01/50   1,000,000   $691,240 
Illinois -  0.0%          
State of Illinois General Obligation Unlimited          
5.65% due 12/01/38   472,222    485,984 
Cook County School District No. 155 Calumet City General Obligation Unlimited          
5.30% due 12/01/22   5,000    5,009 
Total Illinois        490,993 
Total Municipal Bonds          
(Cost $16,733,503)        13,156,555 
           
FOREIGN GOVERNMENT DEBT†† - 0.3%          
Panama Government International Bond          
4.50% due 01/19/63   2,600,000    1,997,549 
4.50% due 04/16/50   1,450,000    1,179,924 
Bermuda Government International Bond          
3.38% due 08/20/503   500,000    362,209 
Total Foreign Government Debt          
(Cost $4,708,477)        3,539,682 
           
SENIOR FIXED RATE INTERESTS†† - 0.2%          
Industrial -  0.2%          
CTL Logistics          
2.65% due 10/10/42†††   3,642,781    3,048,340 
Total Senior Fixed Rate Interests          
(Cost $3,642,781)        3,048,340 

 

   Contracts/
Notional Value
    
LISTED OPTIONS PURCHASED - 0.2%
Put Options on:        
Equity Options        
 S&P 500 Index Expiring April 2023 with strike price of $4,000.00 (Notional Value $22,333,742)   59    2,403,955 
Total Listed Options Purchased          
(Cost $1,404,364)        2,403,955 
           
OTC OPTIONS PURCHASED†† - 0.0%          

Call Options on:

Interest Rate Options

          
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40   455,200,000   9,104 
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40   55,700,000    1,114 
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61   120,600,000    151 
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61   47,400,000    59 
Total OTC Options Purchased          
(Cost $1,600,463)        10,428 
Total Investments - 101.4%          
(Cost $1,519,374,623)       1,329,843,282 
           
LISTED OPTIONS WRITTEN - 0.0%          
Call Options on:          
Equity Options          
 Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $8,199)   9     
 Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $8,199)   9     
Total Listed Options Written          
(Premiums received $18,995)         
           
OTC INTEREST RATE SWAPTIONS WRITTEN††,12 - 0.0%          
Put Swaptions on:          
Interest Rate Swaptions          
BNP Paribas 5-Year Interest Rate Swap Expiring July 2022 with exercise rate of 2.80%   14,900,000    (50,441)
UBS AG 5-Year Interest Rate Swap Expiring September 2022 with exercise rate of 3.30%   13,100,000    (67,858)
Total OTC Interest Rate Swaptions Written          
(Premiums received $(223,658))        (118,299)
Other Assets & Liabilities, net - (1.4)%        (18,812,175)
Total Net Assets - 100.0%       $1,310,912,808 

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

 

Forward Foreign Currency Exchange Contracts††       
Counterparty  Currency   Type   Quantity   Contract
Amount
  Settlement
Date
  Unrealized Appreciation (Depreciation) 
UBS AG   EUR    Sell    1,029,000   1,090,656 USD  09/30/22  $5,430 
Barclays Bank plc   GBP    Sell    2,910,000   3,543,025 USD  07/15/22   34 
UBS AG   EUR    Buy    154,000   162,223 USD  07/15/22   (737)
Barclays Bank plc   EUR    Sell    5,788,000   6,063,197 USD  07/15/22   (6,128)
                        $(1,401)

 

 

OTC Interest Rate Swaptions Written    
Counterparty/Description  Floating Rate Type  Floating Rate Index  Payment Frequency  Fixed Rate   Expiration Date  Exercise Rate   Swaption Notional Amount   Swaption Value 
Put                            
BNP Paribas
5-Year Interest Rate Swap
  Pay  SOFR  Annual   2.80%  07/06/22   2.80%  $14,900,000   $(50,441)
UBS AG
5-Year Interest Rate Swap
  Pay  SOFR  Annual   3.30%  09/27/22   3.30%   13,100,000    (67,858)
                              $(118,299)

 

 

~ The face amount is denominated in U.S. dollars unless otherwise indicated.
* Non-income producing security.
Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
†† Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
††† Value determined based on Level 3 inputs — See Note 3.
Variable rate security. Rate indicated is the rate effective at June 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1 Special Purpose Acquisition Company (SPAC).
2 Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
3 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $565,264,196 (cost $633,010,143), or 43.1% of total net assets.
4 Rate indicated is the 7-day yield as of June 30, 2022.
5 Perpetual maturity.
6 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $3,296,003 (cost $3,847,577), or 0.3% of total net assets — See Note 6.
7 Security is an interest-only strip.
8 Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
9 Zero coupon rate security.
10 Security is a principal-only strip.
11 Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at June 30, 2022. See table below for additional step information for each security.
12Swaptions - See additional disclosure in the swaptions table above for more information on swaptions.

 

 

CMS — Constant Maturity Swap
CMT — Constant Maturity Treasury
EUR — Euro
EURIBOR — European Interbank Offered Rate
GBP — British Pound
LIBOR — London Interbank Offered Rate
plc — Public Limited Company
REIT — Real Estate Investment Trust
SARL —  Société à Responsabilité Limitée
SOFR — Secured Overnight Financing Rate
WAC — Weighted Average Coupon

 

See Sector Classification in Other Information section.

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Common Stocks  $19,044,418   $   $  — *  $19,044,418 
Preferred Stocks       65,186,247    *   65,186,247 
Warrants   75,702            75,702 
Closed-End Funds   2,659,734            2,659,734 
Money Market Funds   11,773,825            11,773,825 
Corporate Bonds       466,071,266    31,643,450    497,714,716 
Asset-Backed Securities       312,912,178    29,009,924    341,922,102 
U.S. Government Securities       168,117,206        168,117,206 
Collateralized Mortgage Obligations       135,901,575    4,471,583    140,373,158 
Senior Floating Rate Interests       33,471,647    4,353,554    37,825,201 
Federal Agency Bonds       22,992,012        22,992,012 
Municipal Bonds       13,156,555        13,156,555 
Foreign Government Debt       3,539,682        3,539,682 
Senior Fixed Rate Interests           3,048,340    3,048,340 
Options Purchased   2,403,955    10,428        2,414,383 
Options Written   *            
Forward Foreign Currency Exchange Contracts**       5,464        5,464 
Total Assets  $35,957,634   $1,221,364,261   $72,526,851   $1,329,848,746 

 

Investments in Securities (Liabilities)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Interest Rate Swaptions Written  $   $118,299   $   $118,299 
Forward Foreign Currency Exchange Contracts**       6,865        6,865 
Unfunded Loan Commitments (Note 5)           65,543    65,543 
Total Liabilities  $   $125,164   $65,543   $190,707 

 

*Security has a market value of $0.
**This derivative is reported as unrealized appreciation/depreciation at period end.

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $29,551,248 are categorized as Level 2 within the disclosure hierarchy — See Note 2.

 

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

 

Category  Ending Balance at June 30, 2022   Valuation Technique  Unobservable Inputs  Input Range   Weighted Average* 
Assets:                  
Asset-Backed Securities  $17,150,249   Option adjusted spread off prior month end broker quote  Broker Quote        
Asset-Backed Securities   6,255,236   Third Party Pricing  Broker Quote        
Asset-Backed Securities   2,909,990   Option adjusted spread off third party pricing  Trade Price        
Asset-Backed Securities   2,694,449   Yield Analysis  Yield   5.7%-6.1%    6.0%
Collateralized Mortgage Obligations   4,471,583   Option adjusted spread off prior month end broker quote  Broker Quote        
Corporate Bonds   22,752,490   Option adjusted spread off prior month end broker quote  Broker Quote        
Corporate Bonds   5,471,224   Third Party Pricing  Vendor Price        
Corporate Bonds   3,419,736   Yield Analysis  Yield   5.2%    
Senior Fixed Rate Interests   3,048,340   Yield Analysis  Yield   4.6%    
Senior Floating Rate Interests   3,515,965   Yield Analysis  Yield   7.4%    
Senior Floating Rate Interests   837,589   Third Party Pricing  Vendor Price        
Total Assets   72,526,851                 
Liabilities:                     
Unfunded Loan Commitments  $65,543   Model Price  Purchase Price        

 

*Inputs are weighted by the fair value of the instruments.

 

Significant changes in a quote, yield, market comparable yields, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

 

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

 

Transfer between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended June 30, 2022, the Fund had securities with a total value of $12,197,481 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $301,079 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

 

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended June 30, 2022:

 

   Assets        Liabilities
   Asset-Backed Securities   Collateralized Mortgage Obligations   Corporate Bonds   Senior Floating Rate Interests   Senior Fixed Rate Interests   Total Assets    Unfunded Loan Commitments
Beginning Balance  $43,311,905   $-   $34,387,505   $1,062,752   $3,543,333   $82,305,495    $ (33,278)
Purchases/(Receipts)   11,507,695    -    1,050,002    392,450    -    12,950,147      (25,050)
(Sales, maturities and paydowns)/Fundings   (28,236,592)   -    (270,600)   (382,787)   -    (28,889,979)     36,316
Amortization of premiums/discounts   44,329    -    2,579    9,010    -    55,918      -
Total realized gains (losses) included in earnings   61,573    -    -    26,909    -    88,482      -
Total change in unrealized appreciation (depreciation) included in earnings   (556,759)   -    (4,858,196)   30,334    (494,993)   (5,879,614)     (43,531)
Transfers into Level 3   2,877,773    4,471,583    1,332,160    3,515,965    -    12,197,481      -
Transfers out of Level 3   -    -    -    (301,079)   -    (301,079)     -
 Ending Balance  $29,009,924   $4,471,583   $31,643,450   $4,353,554   $3,048,340   $72,526,851     $ (65,543)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at June 30, 2021  $(556,759)  $-   $(4,858,196)  $38,876   $(494,993)  $(5,871,072)    $ (31,768)

 

Step Coupon Bonds

 

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

   

 

Core Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

 

Name  Coupon Rate at Next Reset Date   Next Rate Reset Date  Future Reset Rate   Future Reset Date 
CSMC Trust 2020-NQM1, 1.72% due 05/25/65   2.72%  09/26/24        
Verus Securitization Trust 2019-4, 2.85% due 11/25/59   3.85%  10/26/23        

   

 

Diversified Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited)   June 30, 2022

 

   Shares   Value 
MUTUAL FUNDS - 95.7%
Guggenheim High Yield Fund — R6-Class1   210,502   $1,957,669 
Guggenheim RBP Large-Cap Market Fund — Institutional Class*,1   153,335    1,550,217 
Guggenheim Core Bond Fund — Institutional Class1   48,334    811,047 
Guggenheim Floating Rate Strategies Fund — R6-Class1   33,743    788,906 
Guggenheim RBP Dividend Fund — Institutional Class1   69,850    777,436 
Guggenheim Ultra Short Duration Fund — Institutional Class1   42,691    411,973 
Guggenheim World Equity Income Fund — Institutional Class1   29,680    399,487 
Guggenheim Risk Managed Real Estate Fund — Institutional Class1   11,702    384,763 
Total Mutual Funds          
(Cost $7,938,264)        7,081,498 
           
CLOSED-END FUNDS - 9.3%          
First Trust Energy Income and Growth Fund   1,500    23,880 
ClearBridge MLP & Midstream Total Return Fund, Inc.   800    20,488 
Neuberger Berman High Yield Strategies Fund, Inc.   2,317    19,416 
Eaton Vance Tax-Advantaged Dividend Income Fund   797    19,024 
John Hancock Premium Dividend Fund   1,350    18,927 
Eaton Vance Tax-Managed Buy-Write Income Fund   1,250    18,787 
Western Asset High Income Fund II, Inc.   3,798    18,724 
Voya Global Equity Dividend and Premium Opportunity Fund   3,400    18,700 
BlackRock Enhanced Equity Dividend Trust   2,100    18,543 
Eaton Vance Tax-Managed Buy-Write Opportunities Fund   1,370    18,509 
John Hancock Preferred Income Fund   1,050    18,385 
PIMCO High Income Fund   3,500    18,095 
Voya Infrastructure Industrials and Materials Fund   1,850    18,075 
BlackRock Limited Duration Income Trust   1,400    17,710 
PIMCO Dynamic Income Fund   845    17,635 
BlackRock Floating Rate Income Trust   1,600    17,632 
Cohen & Steers REIT and Preferred and Income Fund, Inc.   815   17,392 
Blackstone Strategic Credit Fund   1,550    17,313 
Calamos Convertible Opportunities and Income Fund   1,594    17,088 
Reaves Utility Income Fund   550    17,050 
Eaton Vance Limited Duration Income Fund   1,650    17,045 
DoubleLine Income Solutions Fund   1,400    16,982 
Pioneer High Income Fund, Inc.   2,350    16,591 
John Hancock Income Securities Trust   1,450    16,501 
Western Asset Premier Bond Fund   1,550    16,399 
Delaware Ivy High Income Opportunities Fund   1,600    16,384 
BlackRock Credit Allocation Income Trust   1,500    16,335 
Western Asset Global Corporate Defined Opportunity Fund, Inc.   1,200    16,284 
Royce Value Trust, Inc.   1,150    16,066 
PGIM High Yield Bond Fund, Inc.   1,300    16,003 
Invesco High Income Trust II   1,525    15,936 
PIMCO Dynamic Income Opportunities Fund   1,150    15,927 
KKR Income Opportunities Fund   1,350    15,714 
John Hancock Investors Trust   1,178    15,526 
Virtus Diversified Income & Co.   779    15,206 
Eaton Vance Enhanced Equity Income Fund II   908    14,701 
Western Asset Mortgage Opportunity Fund, Inc.   1,250    14,600 
Western Asset Emerging Markets Debt Fund, Inc.   1,650    14,570 
Apollo Senior Floating Rate Fund, Inc.   1,100    14,113 
PIMCO Corporate & Income Strategy Fund   1,000    12,650 
Total Closed-End Funds          
(Cost $749,282)        684,906 
           
MONEY MARKET FUND - 0.6%          
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 1.05%2   46,859    46,859 
Total Money Market Fund          
(Cost $46,859)        46,859 
Total Investments - 105.6%          
(Cost $8,734,405)       $7,813,263 
Other Assets & Liabilities, net - (5.6)%        (416,675)
Total Net Assets - 100.0%       $7,396,588 

   

 

Diversified Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited)   June 30, 2022

 

*Non-income producing security.
Value determined based on Level 1 inputs — See Note 3.
1Affiliated issuer.
2Rate indicated is the 7-day yield as of June 30, 2022.

 

REIT — Real Estate Investment Trust

 

See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Mutual Funds  $7,081,498   $   $   $7,081,498 
Closed-End Funds   684,906            684,906 
Money Market Fund   46,859            46,859 
Total Assets  $7,813,263   $   $   $7,813,263 

 

Affiliated Transactions

 

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.

 

Transactions during the period ended June 30, 2022, in which the company is an affiliated issuer, were as follows:

 

Security Name  Value 09/30/21   Additions   Reductions   Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value 06/30/22   Shares 06/30/22   Investment Income   Capital Gain Distributions 
Mutual Funds                                    
  Guggenheim Core Bond Fund — Institutional Class  $766,128   $197,162   $   $   $(152,243)  $811,047    48,334   $17,050   $11,172 
  Guggenheim Floating Rate Strategies Fund — R6-Class   766,388    166,258    (82,929)   (3,328)   (57,483)   788,906    33,743    20,839     
  Guggenheim High Yield Fund — R6-Class   1,918,674    476,766    (88,896)   (7,196)   (341,679)   1,957,669    210,502    90,692     
  Guggenheim RBP Dividend Fund — Institutional Class   700,580    306,857    (30,417)   1,715    (201,299)   777,436    69,850    8,067    125,470 
  Guggenheim RBP Large-Cap Market Fund — Institutional Class   *   1,348,962    860,827    (104,148)   7,712    (563,136)   1,550,217    153,335        317,345 
  Guggenheim Risk Managed Real Estate Fund — Institutional Class   360,541    100,107    (21,783)   1,466    (55,568)   384,763    11,702    4,736    18,256 
  Guggenheim Ultra Short Duration Fund — Institutional Class   382,840    82,256    (38,640)   (1,239)   (13,244)   411,973    42,691    3,591     
  Guggenheim World Equity Income Fund — Institutional Class   378,399    151,470            (130,382)   399,487    29,680    7,576    93,852 
   $6,622,512   $2,341,703   $(366,813)  $(870)  $(1,515,034)  $7,081,498        $152,551   $566,095 

 

*Non-income producing security.

 

 

Floating Rate Strategies Fund

SCHEDULE OF INVESTMENTS (Unaudited) June 30 , 2022

 

   Shares   Value 
COMMON STOCKS††† - 0.0%
Energy - 0.0%
Permian Production Partners LLC   401,481   $329,215 
Industrial - 0.0%          
BP Holdco LLC*,1   244,278    172,216 
Vector Phoenix Holdings, LP*   244,278    67,177 
API Heat Transfer Parent LLC*   4,994,727    499 
Total Industrial        239,892 
Consumer, Non-cyclical - 0.0%          
Targus Group International Equity, Inc.*,1   12,773    32,138 
Total Common Stocks          
(Cost $1,536,338)        601,245 

 

PREFERRED STOCKS††† - 0.0%          
Industrial - 0.0%          
API Heat Transfer Intermediate*   618     
Total Preferred Stocks          
(Cost $493,920)         
           
EXCHANGE-TRADED FUNDS - 3.8%          
SPDR Blackstone Senior Loan ETF   1,177,440    49,028,602 
Total Exchange-Traded Funds          
(Cost $53,352,836)        49,028,602 
           
MONEY MARKET FUND - 2.6%          
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.97%2   34,024,035    34,024,035 
Total Money Market Fund          
(Cost $34,024,035)        34,024,035 

 

   Face
Amount~
    
SENIOR FLOATING RATE INTERESTS††,◊ - 90.3%        
Industrial -  21.5%        
Hunter Douglas, Inc.        
4.84% (3 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 02/26/29   11,800,000    10,125,934 
STS Operating, Inc. (SunSource)          
5.92% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24   10,110,815    9,592,635 
American Bath Group LLC          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27   10,932,859    9,570,843 
APi Group DE, Inc.          
4.42% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/03/29   9,370,223    8,981,359 
Arcline FM Holdings LLC          
7.63% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28†††   9,542,888    8,946,457 
Mirion Technologies, Inc.        
5.63% (3 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 10/20/28   9,428,750   8,898,383 
TransDigm, Inc.          
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25   4,936,192    4,670,180 
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25   4,350,311    4,124,835 
Pelican Products, Inc.          
6.50% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/29/28   9,222,214    8,576,659 
Brown Group Holding LLC          
4.17% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 06/07/28   8,766,591    8,300,910 
Park River Holdings, Inc.          
4.22% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27   9,885,844    8,044,606 
Beacon Roofing Supply, Inc.          
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/19/28   7,920,000    7,542,137 
Quikrete Holdings, Inc.          
4.67% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/12/28   8,000,000    7,530,000 
Core & Main, LP          
4.19% ((1 Month USD LIBOR + 2.50%) and (3 Month USD LIBOR + 2.50%), Rate Floor: 2.50%) due 07/27/28   7,642,250    7,263,347 
BWAY Holding Co.          
4.31% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24   7,654,281    7,183,849 
PECF USS Intermediate Holding III Corp.          
5.92% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28   7,906,016    7,115,414 
Atlantic Aviation          
4.42% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 09/22/28   7,431,375    7,000,950 
Alliance Laundry Systems LLC          
4.52% ((1 Month USD LIBOR + 3.50%) and (3 Month USD LIBOR + 3.50%), Rate Floor: 4.25%) due 10/08/27   7,161,000    6,789,559 

   

 

Floating Rate Strategies Fund

SCHEDULE OF INVESTMENTS (Unaudited) June 30 , 2022

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 90.3% (continued)
Industrial -  21.5% (continued)        
Charter Next Generation, Inc.        
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27   7,201,002   $6,762,965 
Berry Global, Inc.          
3.00% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26   6,911,938    6,663,315 
Engineered Machinery Holdings, Inc.          
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 05/19/28   6,965,000    6,525,369 
Genesee & Wyoming, Inc.          
4.25% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 12/30/26   6,762,261    6,480,815 
CPG International LLC          
4.09% (6 Month Term SOFR + 2.50%, Rate Floor: 3.00%) due 04/28/29†††   7,000,000    6,475,000 
LTI Holdings, Inc.          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/08/25   6,938,050    6,435,042 
Aegion Corp.          
6.27% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 05/17/28†††   6,982,409    6,371,448 
Titan Acquisition Ltd. (Husky)          
5.88% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25   6,816,943    6,236,071 
Cushman & Wakefield US Borrower LLC          
4.42% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 08/21/25   6,198,104    5,821,570 
TricorBraun Holdings, Inc.          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28   6,252,681    5,800,487 
Icebox Holdco III, Inc.          
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/28   5,992,125    5,617,617 
Ring Container Technologies Group LLC          
4.27% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 08/14/28   5,242,453    4,967,224 
USIC Holding, Inc.          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 05/12/28   5,317,337    4,934,489 
Standard Industries, Inc.          
3.79% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 09/22/28   5,082,000    4,900,522 
Gardner Denver, Inc.        
3.38% (1 Month Term SOFR + 1.75%, Rate Floor: 2.75%) due 03/01/27   4,924,433   4,702,834 
Duran Group Holding GMBH          
3.75% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/29/24†††   EUR  3,791,039    3,803,751 
4.04% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 12/20/24†††   EUR     736,721    739,192 
Reynolds Group Holdings, Inc.          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/05/26   4,880,675    4,542,102 
Filtration Group Corp.          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 10/23/28   2,878,250    2,683,968 
4.67% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25   1,342,705    1,269,098 
Pro Mach Group, Inc.          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28   4,170,290    3,925,286 
DG Investment Intermediate Holdings 2, Inc.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/31/28   3,861,128    3,599,305 
Hillman Group, Inc.          
4.39% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/14/28   3,672,424    3,429,126 
Berlin Packaging LLC          
4.89% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.25%) due 03/13/28   3,424,125    3,178,718 
Savage Enterprises LLC          
4.90% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 09/15/28   2,920,500    2,776,315 
Mileage Plus Holdings LLC          
7.31% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27   2,800,000    2,760,800 
Ravago Holdings America, Inc.          
4.76% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/06/28   2,814,375    2,687,728 
United Airlines, Inc.          
5.39% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28   2,338,064    2,167,105 

   

 

Floating Rate Strategies Fund

SCHEDULE OF INVESTMENTS (Unaudited) June 30 , 2022

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 90.3% (continued)        
Industrial -  21.5% (continued)        
Osmose Utility Services, Inc.        
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 06/23/28   2,294,945   $2,038,209 
Air Canada          
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28   2,200,000    2,024,000 
Protective Industrial Products, Inc.          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/29/27   1,841,539    1,758,670 
TK Elevator Midco GmbH          
4.02% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27   1,871,678    1,748,858 
API Heat Transfer          
12.00% (3 Month USD LIBOR + 11.00%, Rate Floor: 12.00%) due 01/01/24†††   3,538,863    1,061,659 
12.00% (3 Month USD LIBOR, Rate Floor: 0.00%) (in-kind rate was 12.00%) due 10/02/23†††,3   631,371    473,528 
Sundyne (Star US Bidco)          
5.92% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/17/27   1,480,302    1,409,987 
US Farathane LLC          
6.50% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/23/24†††   1,578,947    1,357,895 
YAK MAT (YAK ACCESS LLC)          
12.18% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26   2,550,000    1,349,919 
TAMKO Building Products, Inc.          
4.57% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/29/26   1,181,772    1,103,480 
Griffon Corporation          
4.36% (1 Month Term SOFR + 2.75%, Rate Floor: 3.25%) due 01/24/29   404,625    385,575 
Total Industrial        281,227,099 
Consumer, Non-cyclical -  17.2%          
Osmosis Holdings Australia II Pty Ltd.          
4.84% (1 Month Term SOFR + 3.75%, Rate Floor: 4.75%) due 07/30/28   6,000,000    5,452,500 
4.50% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 07/31/28   5,092,593    4,617,301 
Del Monte Foods, Inc.        
5.68% (1 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 05/16/29   10,000,000   9,400,000 
Bombardier Recreational Products, Inc.          
3.67% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27   9,978,775    9,188,756 
Elanco Animal Health, Inc.          
2.81% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27   9,730,270    9,170,779 
Electron BidCo, Inc.          
4.67% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.76%) due 11/01/28   9,476,250    8,853,566 
VC GB Holdings I Corp.          
6.38% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/21/28   9,900,250    8,619,455 
Grifols Worldwide Operations USA, Inc.          
3.67% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 11/15/27   8,730,304    8,231,629 
National Mentor Holdings, Inc.          
5.75% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28   8,844,090    7,631,211 
6.01% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28   276,228    238,346 
Hayward Industries, Inc.          
4.17% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 05/30/28   7,722,000    7,333,506 
Medical Solutions Parent Holdings, Inc.          
6.38% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/01/28   7,792,470    7,291,804 
Triton Water Holdings, Inc.          
5.75% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 03/31/28   7,920,006    6,983,782 
Medline Borrower LP          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 10/23/28   7,182,000    6,648,952 
Kronos Acquisition Holdings, Inc.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26   7,338,250    6,644,785 

   

 

Floating Rate Strategies Fund

SCHEDULE OF INVESTMENTS (Unaudited) June 30 , 2022

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 90.3% (continued)        
Consumer, Non-cyclical -  17.2% (continued)        
Aramark Services, Inc.        
3.42% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/11/25   6,900,000   $6,608,475 
Quirch Foods Holdings LLC          
6.82% (3 Month Term SOFR + 4.50%, Rate Floor: 5.50%) due 10/27/27†††   6,702,987    6,334,323 
Perrigo Investments LLC          
3.65% (1 Month Term SOFR + 2.50%, Rate Floor: 3.00%) due 04/20/29   6,500,000    6,240,000 
Froneri US, Inc.          
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27   6,762,000    6,206,975 
Mission Veterinary Partners          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28   6,458,731    6,103,501 
HAH Group Holding Co. LLC          
7.21% (3 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 10/29/27   6,284,250    5,970,038 
Recess Holdings, Inc.          
4.80% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24   5,521,178    5,272,725 
US Foods, Inc.          
3.57% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/14/26   4,974,425    4,679,093 
Phoenix Newco, Inc.          
4.31% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 11/15/28   4,987,500    4,673,288 
DaVita, Inc.          
3.42% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/12/26   4,911,839    4,539,521 
Southern Veterinary Partners LLC          
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27   4,759,458    4,513,537 
IQVIA Holdings, Inc.          
4.00% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/11/25   4,521,422    4,382,027 
Weber-Stephen Products LLC          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 10/29/27   4,832,735    4,373,625 
Dermatology Intermediate Holdings III, Inc.        
5.33% (1 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 04/02/29†††   4,414,803   4,105,767 
5.34% (1 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 04/02/29†††   130,381    121,254 
KDC US Holdings, Inc.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 12/22/25   4,498,322    4,194,685 
Cidron New Bidco Ltd.          
3.00% (1 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 04/16/25   EUR  4,125,000    3,955,124 
Resonetics LLC          
5.24% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/28/28   3,600,000    3,406,500 
Avantor Funding, Inc.          
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 11/08/27   3,496,021    3,353,454 
Catalent Pharma Solutions, Inc.          
3.63% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 02/22/28   3,068,922    3,018,285 
CHG PPC Parent LLC          
4.69% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 12/08/28†††   3,042,375    2,867,438 
Icon Luxembourg SARL          
4.56% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 07/03/28   2,961,796    2,857,304 
Aveanna Healthcare LLC          
5.35% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/17/28   3,140,420    2,751,793 
Energizer Holdings, Inc.          
3.88% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27   2,814,375    2,664,875 
Agiliti          
3.81% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/04/26†††   2,679,231    2,565,364 
Blue Ribbon LLC          
7.06% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28   2,764,103    2,515,333 
Sigma Holding BV (Flora Food)          
3.50% ((1 Month EURIBOR + 3.50%) and (6 Month EURIBOR + 3.50%), Rate Floor: 3.50%) due 07/02/25   EUR  3,000,000    2,390,758 

   

 

Floating Rate Strategies Fund

SCHEDULE OF INVESTMENTS (Unaudited) June 30 , 2022

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 90.3% (continued)        
Consumer, Non-cyclical -  17.2% (continued)        
Pearl Intermediate Parent LLC        
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25   2,530,485   $2,380,756 
Arctic Glacier Group Holdings, Inc.          
5.75% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/20/24   2,272,564    1,975,518 
Cambrex Corp.          
5.25% (1 Month Term SOFR + 3.50%, Rate Floor: 5.25%) due 12/04/26   1,831,729    1,733,841 
Endo Luxembourg Finance Company I SARL          
6.69% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 03/27/28   1,896,000    1,445,510 
Upstream Newco, Inc.          
5.89% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 11/20/26   742,500    676,143 
Total Consumer, Non-cyclical        225,183,202 
Consumer, Cyclical -  15.0%          
Thevelia US LLC          
due 02/09/29   11,800,000    10,944,500 
First Brands Group LLC          
6.29% (3 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 03/30/27   10,010,427    9,469,864 
Fertitta Entertainment LLC          
5.53% (1 Month SOFR + 4.00%, Rate Floor: 4.00%) due 01/27/29   9,500,000    8,736,485 
AlixPartners, LLP          
4.42% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 02/04/28   8,862,688    8,407,058 
Packers Holdings LLC          
4.44% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28   9,014,428    8,231,344 
Truck Hero, Inc.          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 01/31/28   8,958,267    7,990,774 
Stars Group (Amaya)          
4.50% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26   7,592,625    7,206,236 
WIRB - Copernicus Group, Inc.          
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 01/08/27   7,388,859    6,982,472 
Go Daddy Operating Company LLC          
3.42% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 02/15/24   7,041,795    6,794,065 
Congruex Group LLC        
7.01% (3 Month Term SOFR + 5.75%, Rate Floor: 6.50%) due 05/03/29   7,000,000   6,702,500 
American Tire Distributors, Inc.          
7.00% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.00%) due 10/20/28   6,982,500    6,581,006 
Power Solutions (Panther)          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26   6,867,314    6,395,186 
IBC Capital Ltd.          
5.78% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23   7,090,317    6,375,401 
Mavis Tire Express Services TopCo Corp.          
5.75% (1 Month Term SOFR + 4.00%, Rate Floor: 5.75%) due 05/04/28   6,862,639    6,330,785 
Alterra Mountain Co.          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/17/28   6,640,436    6,300,114 
Eagle Parent Corp.          
6.30% (3 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 04/02/29   6,359,063    6,083,524 
PetSmart LLC          
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28   6,302,375    5,914,779 
Galaxy US Opco, Inc.          
6.28% (1 Month Term SOFR + 4.75%, Rate Floor: 5.25%) due 04/30/29   6,000,000    5,617,500 
Zephyr Bidco Ltd.          
5.97% (1 Month GBP SONIA + 4.75%, Rate Floor: 5.44%) due 07/23/25  GBP5,265,000    5,578,212 
Scientific Games Holdings, LP          
4.18% (3 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 04/04/29   5,950,000    5,496,312 
1011778 BC Unlimited Liability Co.          
3.42% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/19/26   5,762,814    5,490,521 
Entain Holdings (Gibraltar) Ltd.          
3.74% (6 Month USD LIBOR + 2.25%, Rate Floor: 3.74%) due 03/29/27   5,214,166    4,980,832 
Penn National Gaming, Inc.          
4.38% (1 Month Term SOFR + 2.75%, Rate Floor: 3.25%) due 05/03/29   4,800,000    4,593,024 

   

 

Floating Rate Strategies Fund

SCHEDULE OF INVESTMENTS (Unaudited) June 30 , 2022

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 90.3% (continued)        
Consumer, Cyclical -  15.0% (continued)        
Burlington Stores, Inc.        
3.67% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/26/28   4,702,500   $4,443,862 
PCI Gaming Authority, Inc.          
4.17% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/29/26   4,257,140    4,066,164 
EG Finco Ltd.          
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25  EUR 3,307,048    3,119,361 
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25   767,597    719,623 
CNT Holdings I Corp.          
4.69% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 11/08/27   3,752,500    3,554,706 
Rent-A-Center, Inc.          
4.94% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28   3,259,976    2,923,807 
CHG Healthcare Services, Inc.          
4.75% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 09/29/28   3,027,125    2,856,092 
Michaels Stores, Inc.          
6.50% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 04/14/28   3,197,100    2,625,171 
TTF Holdings Intermediate LLC          
5.94% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/31/28†††   2,661,120    2,548,023 
Peloton Interactive, Inc.          
8.35% (6 Month Term SOFR + 6.50%, Rate Floor: 7.00%) due 05/25/27   2,500,000    2,376,575 
Seren BidCo AB          
5.10% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/16/28   2,189,000    2,064,949 
BCPE Empire Holdings, Inc.          
6.25% (1 Month Term SOFR + 4.63%, Rate Floor: 5.13%) due 06/11/26   2,050,000    1,918,452 
Alexander Mann          
6.31% (1 Month GBP SONIA + 5.00%, Rate Floor: 5.00%) due 06/16/25  GBP  1,540,000    1,796,151 
American Trailer World Corp.          
5.50% (1 Month Term SOFR + 3.75%, Rate Floor: 5.50%) due 03/03/28   1,584,000    1,353,005 
WW International, Inc.          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 04/13/28   1,653,750    1,281,656 
Sweetwater Sound        
5.94% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 08/07/28   1,233,977   1,058,135 
SHO Holding I Corp.          
6.49% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 04/26/24   560,142    500,392 
6.47% (3 Month USD LIBOR + 5.23%, Rate Floor: 6.23%) due 04/29/24   9,357    8,359 
New Trojan Parent, Inc.          
4.75% ((1 Month USD LIBOR + 3.25%) and (3 Month USD LIBOR + 3.25%), Rate Floor: 3.75%) due 01/06/28   208,756    185,620 
Total Consumer, Cyclical        196,602,597 
Technology -  11.3%          
Conair Holdings LLC          
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28   12,037,908    10,031,550 
Wrench Group LLC          
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/30/26   10,481,205    9,930,942 
Polaris Newco LLC          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28   10,314,870    9,504,431 
Informatica LLC          
4.44% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/27/28   9,476,250    8,972,872 
Ascend Learning LLC          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 12/11/28   9,054,500    8,341,458 
Misys Ltd.          
4.74% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24   9,270,202    8,334,468 
Emerald TopCo, Inc. (Press Ganey)          
4.74% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26   8,528,771    7,965,872 
Athenahealth Group, Inc.          
5.01% (1 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 02/15/29   8,354,058    7,670,111 
WEX, Inc.          
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 03/31/28   7,702,500    7,389,624 

   

 

Floating Rate Strategies Fund

SCHEDULE OF INVESTMENTS (Unaudited) June 30 , 2022

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 90.3% (continued)        
Technology -  11.3% (continued)        
CoreLogic, Inc.        
5.19% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 06/02/28   8,652,909   $7,173,261 
Peraton Corp.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28   7,513,889    7,040,213 
RealPage, Inc.          
4.67% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 04/24/28   7,064,500    6,514,034 
Entegris, Inc.          
3.00% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 03/02/29   6,500,000    6,272,500 
CCC Intelligent Solutions, Inc.          
4.50% (3 Month USD LIBOR + 2.25%, Rate Floor: 3.26%) due 09/21/28   5,970,000    5,650,605 
Boxer Parent Company, Inc.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25   6,065,800    5,636,159 
Atlas CC Acquisition Corp.          
5.82% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28   5,606,932    5,168,919 
Verscend Holding Corp.          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/27/25   4,345,728    4,150,170 
Epicor Software          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 07/30/27   3,712,217    3,495,794 
Project Ruby Ultimate Parent Corp.          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28   3,456,250    3,232,665 
Sabre GLBL, Inc.          
3.67% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24   2,032,712    1,922,194 
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 12/17/27   1,386,000    1,293,318 
Taxware Holdings (Sovos Compliance LLC)          
6.17% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28   3,224,209    3,028,757 
CDK Global, Inc.          
due 06/09/29   3,000,000    2,827,890 
EXC Holdings III Corp.          
5.75% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 12/02/24   1,933,875    1,846,851 
TIBCO Software, Inc.        
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26   1,768,421   1,729,746 
Ep Purchaser LLC          
5.75% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/06/28   1,396,500    1,325,516 
Imprivata, Inc.          
5.78% (1 Month SOFR + 4.25%, Rate Floor: 4.25%) due 12/01/27   650,000    629,960 
Total Technology        147,079,880 
Financial -  9.6%          
Teneo Holdings LLC          
6.85% (1 Month Term SOFR + 5.25%, Rate Floor: 6.25%) due 07/11/25   9,819,166    9,115,426 
AqGen Island Holdings, Inc.          
5.81% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/02/28†††   9,209,793    8,565,107 
FleetCor Technologies Operating Company LLC          
3.42% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/28/28   8,535,402    8,195,779 
USI, Inc.          
5.25% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24   7,926,241    7,584,461 
Aretec Group, Inc.          
5.92% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25   7,575,250    7,172,853 
NFP Corp.          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27   7,707,078    7,105,926 
Jane Street Group LLC          
4.42% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28   7,289,000    6,991,973 
Alliant Holdings Intermediate LLC          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25   7,206,966    6,769,432 
AmWINS Group, Inc.          
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28   6,924,993    6,529,714 
Focus Financial Partners LLC          
3.67% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24   6,689,089    6,410,154 

   

 

Floating Rate Strategies Fund

SCHEDULE OF INVESTMENTS (Unaudited) June 30 , 2022

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 90.3% (continued)        
Financial -  9.6% (continued)        
HarbourVest Partners, LP        
3.29% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 03/03/25   6,170,805   $5,912,433 
Duff & Phelps          
5.28% (1 Month SOFR + 3.75%, Rate Floor: 3.75%) due 04/09/27   4,960,902    4,632,242 
Nexus Buyer LLC          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26   4,648,834    4,374,553 
Citadel Securities, LP          
4.14% (1 Month Term SOFR + 2.50%, Rate Floor: 3.50%) due 02/02/28   4,455,000    4,275,419 
Franchise Group, Inc.          
6.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26   4,036,453    3,669,822 
Trans Union LLC          
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/01/28   3,723,661    3,542,915 
Virtu Financial          
4.43% (1 Month Term SOFR + 3.00%, Rate Floor: 3.50%) due 01/13/29   3,600,000    3,403,512 
Ryan Specialty Group LLC          
4.63% (1 Month Term SOFR + 3.00%, Rate Floor: 3.75%) due 09/01/27†††   3,537,000    3,395,520 
Apex Group Treasury LLC          
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/27/28   3,473,750    3,282,694 
AmeriLife Holdings LLC          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 03/18/27   3,282,740    3,133,999 
Cobham Ultra SeniorCo SARL          
due 11/15/28   3,300,000    3,132,261 
HighTower Holding LLC          
5.10% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28   2,686,500    2,489,499 
HUB International Ltd.          
4.35% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 04/25/25   2,133,753    2,019,555 
Blackstone Mortgage Trust, Inc.          
5.03% (1 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 05/09/29   1,850,000    1,780,625 
Zodiac Pool Solutions LLC        
3.63% (1 Month Term SOFR + 2.00%, Rate Floor: 2.50%) due 01/29/29   1,691,500   1,637,237 
Total Financial        125,123,111 
Communications -  8.7%          
Xplornet Communications, Inc.          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28   10,859,791    9,890,120 
Zayo Group Holdings, Inc.          
4.67% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27   6,648,468    6,110,673 
5.78% (1 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 03/09/27   3,990,000    3,714,012 
SBA Senior Finance II LLC          
3.42% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/11/25   9,401,036    9,042,011 
Titan AcquisitionCo New Zealand Ltd. (Trade Me)          
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/18/28   9,476,250    8,923,500 
UPC Broadband Holding BV          
4.32% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/31/29   9,300,000    8,819,469 
McGraw Hill LLC          
5.55% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28   8,638,730    7,803,624 
Virgin Media Bristol LLC          
3.82% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/31/28   7,916,233    7,397,245 
WMG Acquisition Corp.          
3.79% (1 Month USD LIBOR + 2.13%, Rate Floor: 2.13%) due 01/20/28   7,000,000    6,704,670 
CSC Holdings LLC          
3.57% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/17/25   6,797,853    6,308,408 
Ziggo Financing Partnership          
3.82% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28   6,685,000    6,219,122 
Playtika Holding Corp.          
4.42% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28   6,499,298    6,113,434 
Authentic Brands          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24   5,353,601    5,122,057 

   

 

Floating Rate Strategies Fund

SCHEDULE OF INVESTMENTS (Unaudited) June 30 , 2022

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 90.3% (continued)        
Communications -  8.7% (continued)        
SFR Group S.A.        
4.73% (3 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 02/02/26   3,344,859   $3,035,459 
3.99% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/31/25   1,636,671    1,483,233 
Radiate Holdco LLC          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26   4,663,068    4,324,995 
Telenet Financing USD LLC          
3.32% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/28/28   4,000,000    3,693,320 
Level 3 Financing, Inc.          
3.42% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/01/27   3,339,546    3,086,308 
Cengage Learning Acquisitions, Inc.          
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26   3,324,875    2,990,825 
Recorded Books, Inc.          
6.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/29/25   2,200,000    2,081,750 
Cincinnati Bell, Inc.          
4.88% (1 Month Term SOFR + 3.25%, Rate Floor: 3.75%) due 11/22/28   995,000    943,758 
Total Communications        113,807,993 
Basic Materials -  5.3%          
Asplundh Tree Expert LLC          
3.42% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 09/07/27   9,650,886    9,296,988 
Messer Industries USA, Inc.          
4.76% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/02/26   9,640,070    9,182,167 
Element Solutions, Inc.          
3.67% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 01/30/26   7,938,931    7,821,832 
CTEC III GmbH          
3.75% (2 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/16/29  EUR  7,500,000    7,134,628 
Illuminate Buyer LLC          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27   7,661,316    7,062,124 
Alpha 3 BV (Atotech)          
4.17% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 03/20/28   6,732,000    6,417,818 
Diamond BC BV        
3.99% (3 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 09/29/28   5,273,500   4,858,212 
NIC Acquisition Corp.          
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27   4,008,307    3,490,554 
Ascend Performance Materials Operations LLC          
7.00% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 08/27/26   3,385,851    3,292,740 
INEOS Ltd.          
4.42% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 01/29/26   2,574,000    2,423,575 
GrafTech Finance, Inc.          
4.67% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25   1,921,721    1,858,074 
W.R. Grace Holdings LLC          
6.06% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 09/22/28   1,741,250    1,648,093 
Univar Netherlands Holding BV          
3.42% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/03/28   1,663,694    1,630,154 
DCG Acquisition Corp.          
6.17% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26†††   1,700,070    1,589,566 
Trinseo Materials Operating S.C.A.          
4.17% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28   1,584,000    1,491,732 
Total Basic Materials        69,198,257 
Energy -  0.9%          
TransMontaigne Operating Company LP          
4.55% ((1 Month USD LIBOR + 3.50%) and (6 Month USD LIBOR + 3.50%), Rate Floor: 4.00%) due 11/17/28   3,890,250    3,675,469 
AL GCX Holdings LLC          
4.80% (1 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 05/17/29   3,700,000    3,595,179 
DT Midstream, Inc.          
3.69% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 06/26/28   3,034,893    3,023,512 

   

 

Floating Rate Strategies Fund

SCHEDULE OF INVESTMENTS (Unaudited) June 30 , 2022

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 90.3% (continued)        
Energy -  0.9% (continued)        
Permian Production Partners LLC        
9.67% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.67%) (in-kind rate was 2.00%) due 11/24/25†††,3   799,918   $797,918 
Total Energy        11,092,078 
Utilities -  0.8%          
TerraForm Power Operating LLC          
4.16% (3 Month Term SOFR + 2.75%, Rate Floor: 3.25%) due 05/21/29   7,850,000    7,643,937 
Granite Generation LLC          
5.51% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.75%) due 11/09/26   3,486,157    3,194,192 
Total Utilities        10,838,129 
Total Senior Floating Rate Interests          
(Cost $1,266,110,088)        1,180,152,346 
           
CORPORATE BONDS†† - 3.7%          
Consumer, Non-cyclical -  1.6%          
Nathan's Famous, Inc.          
6.63% due 11/01/254   3,135,000    3,017,437 
Sotheby's          
7.38% due 10/15/274   2,875,000    2,664,473 
CPI CG, Inc.          
8.63% due 03/15/264   2,689,000    2,541,105 
Cheplapharm Arzneimittel GmbH          
5.50% due 01/15/284   2,975,000    2,485,592 
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.          
5.00% due 02/01/264   2,875,000    2,409,250 
Tenet Healthcare Corp.          
4.38% due 01/15/304   2,800,000    2,368,884 
ADT Security Corp.          
4.13% due 08/01/294   2,875,000    2,333,250 
WW International, Inc.          
4.50% due 04/15/294   2,875,000    1,914,606 
HCA, Inc.          
4.50% due 02/15/27   1,500,000    1,442,104 
Total Consumer, Non-cyclical        21,176,701 
Communications -  0.7%          
VZ Secured Financing BV          
5.00% due 01/15/324   3,500,000    2,905,000 
LCPR Senior Secured Financing DAC          
6.75% due 10/15/274   2,875,000    2,681,886 
Altice France S.A.          
5.50% due 10/15/294   2,850,000    2,177,143 
McGraw-Hill Education, Inc.        
5.75% due 08/01/284   1,575,000   1,348,641 
Total Communications        9,112,670 
Industrial -  0.5%          
Cleaver-Brooks, Inc.          
7.88% due 03/01/234   2,875,000    2,673,750 
New Enterprise Stone & Lime Company, Inc.          
5.25% due 07/15/284   2,875,000    2,363,350 
Brundage-Bone Concrete Pumping Holdings, Inc.          
6.00% due 02/01/264   1,412,000    1,195,715 
Total Industrial        6,232,815 
Consumer, Cyclical -  0.3%          
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc.          
4.63% due 01/15/294   5,000,000    4,262,500 
Energy -  0.3%          
Sabine Pass Liquefaction LLC          
5.63% due 04/15/23   4,200,000    4,239,830 
Financial -  0.2%          
Hunt Companies, Inc.          
5.25% due 04/15/294   1,850,000    1,572,500 
Lincoln Financing SARL          
3.88% (3 Month EURIBOR + 3.88%, Rate Floor: 3.88%) due 04/01/24◊,4   EUR  350,000    356,690 
Total Financial        1,929,190 
Basic Materials -  0.1%          
WR Grace Holdings LLC          
4.88% due 06/15/274   1,975,000    1,718,724 
Mirabela Nickel Ltd.          
 due 06/24/195,6   1,279,819    63,991 
Total Basic Materials        1,782,715 
Total Corporate Bonds          
(Cost $56,477,906)        48,736,421 
           
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 0.8%          
Residential Mortgage-Backed Securities -  0.8%          
RALI Series Trust          
2006-QO6, 1.98% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/46   10,516,252    2,610,811 
2006-QO2, 2.06% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/46   418,038    95,288 
Washington Mutual Mortgage Pass-Through Certificates Trust          
2007-OA6, 1.29% (1 Year CMT Rate + 0.81%, Rate Floor: 0.81%) due 07/25/47   2,445,999    2,050,220 

   

 

Floating Rate Strategies Fund

SCHEDULE OF INVESTMENTS (Unaudited) June 30 , 2022

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 0.8% (continued)        
Residential Mortgage-Backed Securities -  0.8% (continued)        
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust        
2006-AR9, 1.32% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46   1,660,903   $1,374,148 
American Home Mortgage Assets Trust          
2006-4, 1.83% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 10/25/46   2,362,984    1,352,657 
Lehman XS Trust Series          
2006-16N, 2.00% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 11/25/46   1,366,685    1,213,569 
Nomura Resecuritization Trust          
2015-4R, 2.37% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/36◊,4   813,150    739,082 
Alliance Bancorp Trust          
2007-OA1, 2.10% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 07/25/37   383,640    331,099 
Morgan Stanley Re-REMIC Trust          
2010-R5, 2.55% due 06/26/364   310,082    280,343 
New Century Home Equity Loan Trust        
2004-4, 2.42% (1 Month USD LIBOR + 0.80%, Rate Cap/Floor: 12.50%/0.80%) due 02/25/35   162,396   156,705 
GSAA Home Equity Trust          
2007-7, 2.16% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/37   136,087    132,598 
Total Residential Mortgage-Backed Securities        10,336,520 
Total Collateralized Mortgage Obligations          
(Cost $12,953,158)        10,336,520 
           
ASSET-BACKED SECURITIES†† - 0.1%          
Collateralized Loan Obligations -  0.1%          
Octagon Loan Funding Ltd.          
2014-1A SUB,  due 11/18/314,7   2,071,948    634,223 
Treman Park CLO Ltd.          
2015-1A COM,  due 10/20/284,7   977,702    152,131 
Avery Point II CLO Ltd.          
2013-3X COM ,  due 01/18/257   1,361,673    9,940 
OHA Credit Partners IX Ltd.          
2013-9A ACOM,  due 10/20/254,7   1,808,219    1,989 
Total Collateralized Loan Obligations        798,283 
Total Asset-Backed Securities          
(Cost $925,779)        798,283 
Total Investments - 101.3%          
(Cost $1,425,874,060)       $1,323,677,452 
Other Assets & Liabilities, net - (1.3)%        (16,564,433)
Total Net Assets - 100.0%       $1,307,113,019 

 

Forward Foreign Currency Exchange Contracts††

 

Counterparty  Currency  Type  Quantity   Contract Amount  Settlement Date  Unrealized Appreciation (Depreciation) 
Barclays Bank plc  GBP  Sell   6,425,000   7,822,659 USD  07/15/22  $76 
JPMorgan Chase Bank, N.A.  GBP  Buy   75,000   92,021 USD  07/15/22   (706)
Citibank, N.A.  GBP  Buy   73,000   89,655 USD  07/15/22   (776)
Goldman Sachs International  GBP  Buy   114,000   139,867 USD  07/15/22   (1,070)
Goldman Sachs International  EUR  Buy   412,000   435,321 USD  07/15/22   (3,296)
Barclays Bank plc  EUR  Buy   485,000   513,036 USD  07/15/22   (4,463)
Barclays Bank plc  EUR  Sell   22,190,000   23,245,048 USD  07/15/22   (23,493)
                    $(33,728)

   

 

Floating Rate Strategies Fund

SCHEDULE OF INVESTMENTS (Unaudited) June 30 , 2022

 

~The face amount is denominated in U.S. dollars unless otherwise indicated.
*Non-income producing security.
Value determined based on Level 1 inputs — See Note 3.
††Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
†††Value determined based on Level 3 inputs — See Note 3.
Variable rate security. Rate indicated is the rate effective at June 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1Affiliated issuer.
2Rate indicated is the 7-day yield as of June 30, 2022.
3Payment-in-kind security.
4Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $44,798,264 (cost $51,547,038), or 3.4% of total net assets.
5Security is in default of interest and/or principal obligations.
6Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $63,991 (cost $1,160,811), or less than 0.1% of total net assets — See Note 6.
7Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.

 

CMT — Constant Maturity Treasury

EUR — Euro

EURIBOR — European Interbank Offered Rate

GBP — British Pound

LIBOR — London Interbank Offered Rate

plc — Public Limited Company

REMIC — Real Estate Mortgage Investment Conduit

SARL —  Société à Responsabilité Limitée

SOFR — Secured Overnight Financing Rate

SONIA — Sterling Overnight Index Average

 

See Sector Classification in Other Information section.

 

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Common Stocks  $   $   $601,245   $601,245 
Preferred Stocks          *    
Exchange-Traded Funds   49,028,602            49,028,602 
Money Market Fund   34,024,035            34,024,035 
Senior Floating Rate Interests       1,118,033,136    62,119,210    1,180,152,346 
Corporate Bonds       48,736,421        48,736,421 
Collateralized Mortgage Obligations       10,336,520        10,336,520 
Asset-Backed Securities       798,283        798,283 
Forward Foreign Currency Exchange Contracts**       76        76 
Total Assets  $83,052,637   $1,177,904,436   $62,720,455   $1,323,677,528 

 

Investments in Securities (Liabilities)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Forward Foreign Currency Exchange Contracts**  $   $33,804   $   $33,804 
Unfunded Loan Commitments (Note 5)           636,122    636,122 
Total Liabilities  $   $33,804   $636,122   $669,926 

 

*Security has a market value of $0.
**This derivative is reported as unrealized appreciation/depreciation at period end.

 

The following is a summary of significant unobservable inputs used in the fair valuation of assets categorized within Level 3 of the fair value hierarchy:

   

 

Floating Rate Strategies Fund

SCHEDULE OF INVESTMENTS (Unaudited) June 30 , 2022

 

Category      Valuation Technique  Unobservable Inputs  Input Range  Weighted Average*
Assets:                
Common Stocks  $600,746   Enterprise Value  Valuation Multiple  2.6x-8.6x  3.9x
Common Stocks   499   Model Price  Liquidation Value   
Senior Floating Rate Interests   57,576,267   Third Party Pricing  Broker Quote   
Senior Floating Rate Interests   4,542,943   Third Party Pricing  Vendor Price   
Total Assets  $62,720,455             
Liabilities:                 
Unfunded Loan Commitments  $636,122   Model Price  Purchase price   

 

*Inputs are weighted by the fair value of the instruments.

 

Significant changes in a quote, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

 

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

 

Transfer between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended June 30, 2022, the Fund had securities with a total value of $16,503,570 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $7,147,512 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

 

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended June 30, 2022: 

 

   Assets             Liabilities 
    Asset-Backed Securities    Senior Floating Rate Interests    Common Stocks    Total Assets    Unfunded Loan Commitments 
Beginning Balance  $90   $14,390,405   $785,225   $15,175,720   $(7,155)
Purchases/(Receipts)   -    46,651,559    -    46,651,559    (42,467)
(Sales, maturities and paydowns)/Fundings   -    (5,158,731)   (1,317)   (5,160,048)   22,201 
Amortization of premiums/discounts   -    431,618    -    431,618    17,281 
Total realized gains (losses) included in earnings   (723,185)   59    (10,513)   (733,639)   (9,243)
Total change in unrealized appreciation (depreciation) included in earnings   723,095    (3,551,758)   (172,150)   (3,000,813)   (616,739)
Transfers into Level 3   -    16,503,570    -    16,503,570    - 
Transfers out of Level 3   -    (7,147,512)   -    (7,147,512)   - 
 Ending Balance  $-   $62,119,210   $601,245   $62,720,455   $(636,122)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at June 30, 2022   $  -     $  (3,229,806 )   $  (179,141 )   $  (3,408,947 )   $  (611,815 )

 

Affiliated Transactions

 

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.

 

Transactions during the period ended June 30, 2022, in which the company is an affiliated issuer, were as follows:

 

Security Name  Value 09/30/21   Additions   Reductions   Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value 06/30/22   Shares 06/30/22 
Common Stocks                            
  BP Holdco LLC*  $172,216   $   $   $   $   $172,216    244,278 
  Targus Group International Equity, Inc.*   31,108                1,030    32,138    12,773 
   $203,324   $   $   $   $1,030   $204,354      

 

*Non-income producing security.

 

 

 

High Yield Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022 

 

 

 

   Shares   Value 
COMMON STOCKS - 1.8%
Financial - 1.2%
KKR Acquisition Holdings I Corp. — Class A*,1   142,310   $1,393,215 
TPG Pace Beneficial II Corp.*,1   46,138    448,923 
Acropolis Infrastructure Acquisition Corp. — Class A*,1   38,845    375,631 
RXR Acquisition Corp. — Class A*,1   1,874    18,346 
Colicity, Inc. — Class A*,1   1,419    13,920 
MSD Acquisition Corp. — Class A*,1   721    7,066 
Jefferies Financial Group, Inc.   81    2,237 
Total Financial        2,259,338 
Utilities - 0.3%          
TexGen Power LLC*,††   26,665    639,960 
Communications - 0.2%          
Vacasa, Inc. — Class A*   117,451    338,259 
Energy - 0.1%          
Permian Production Partners LLC†††   57,028    46,763 
Legacy Reserves, Inc.*,†††   3,452    34,520 
Bruin E&P Partnership Units†††   44,023    2,289 
Total Energy        83,572 
Consumer, Non-cyclical - 0.0%          
Targus Group International Equity, Inc.*,†††,2   12,825    32,269 
Cengage Learning Holdings II, Inc.*,††   2,107    30,552 
Save-A-Lot*,††   17,185    7,166 
Spectrum Brands Holdings, Inc.   2    164 
Crimson Wine Group Ltd.*   8    57 
Total Consumer, Non-cyclical        70,208 
Consumer, Cyclical - 0.0%          
Metro-Goldwyn-Mayer, Inc.††   7,040    30,272 
Industrial - 0.0%          
BP Holdco LLC*,†††,2   23,711    16,716 
Vector Phoenix Holdings, LP*,†††   23,711    6,521 
Total Industrial        23,237 
Total Common Stocks          
(Cost $4,021,354)        3,444,846 

 

PREFERRED STOCKS†† - 2.8%          
Financial - 2.8%          
Wells Fargo & Co.          
4.38%   74,000    1,332,741 
American Equity Investment Life Holding Co.          
5.95%3   54,000    1,230,660 
Arch Capital Group Ltd.          
4.55%   55,000    1,058,750 
Charles Schwab Corp.          
4.00%3   1,325,000    1,019,919 
Assurant, Inc.          
5.25% due 01/15/61   30,000    667,500 
Total Financial        5,309,570 
Industrial - 0.0%          
U.S. Shipping Corp.*,†††   14,718    
Total Preferred Stocks          
(Cost $7,025,000)        5,309,570 

 

WARRANTS - 0.0%
KKR Acquisition Holdings I Corp.        
Expiring 12/31/27*,1   35,577   12,808 
Acropolis Infrastructure Acquisition Corp.          
Expiring 03/31/26*,1   12,947    2,589 
Colicity, Inc.          
Expiring 12/31/27*,1   281    61 
MSD Acquisition Corp.          
Expiring 05/13/23*,1   143    43 
RXR Acquisition Corp.          
Expiring 03/08/26*,1   372    42 
SandRidge Energy, Inc.          
Expiring 10/04/22*,††   505    15 
Expiring 10/04/22*   212    11 
Ginkgo Bioworks Holdings, Inc.          
Expiring 08/01/26*   4    2 
Total Warrants          
(Cost $92,427)        15,571 
           
MONEY MARKET FUND - 2.2%          
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.97%4   4,215,740    4,215,740 
Total Money Market Fund          
(Cost $4,215,740)        4,215,740 

 

   Face
Amount~
     
CORPORATE BONDS†† - 74.0%
Communications -  14.7%        
McGraw-Hill Education, Inc.        
5.75% due 08/01/285   3,175,000    2,718,688 
8.00% due 08/01/295   1,525,000    1,235,250 
Altice France S.A.          
5.13% due 07/15/295   1,450,000    1,094,750 
5.50% due 10/15/295   1,250,000    954,887 
8.13% due 02/01/275   900,000    828,351 
CSC Holdings LLC          
4.13% due 12/01/305   1,150,000    897,000 
6.50% due 02/01/295   725,000    654,769 
4.63% due 12/01/305   950,000    635,303 
3.38% due 02/15/315   850,000    628,414 
CCO Holdings LLC / CCO Holdings Capital Corp.          
4.50% due 05/01/32   1,950,000    1,578,915 
4.25% due 01/15/345   975,000    753,188 
Level 3 Financing, Inc.          
3.63% due 01/15/295   1,825,000    1,407,170 
4.25% due 07/01/285   1,150,000    921,437 
VZ Secured Financing BV          
5.00% due 01/15/325   2,175,000    1,805,250 
Cengage Learning, Inc.          
9.50% due 06/15/245   1,739,000    1,608,575 
Vmed O2 UK Financing I plc          
4.25% due 01/31/315   1,125,000    904,219 
4.75% due 07/15/315   850,000    686,673 
Virgin Media Secured Finance plc          
4.50% due 08/15/305   1,875,000    1,540,706 
LCPR Senior Secured Financing DAC          
6.75% due 10/15/275   1,417,000    1,321,820 

   

 

High Yield Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022 

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 74.0% (continued)
Communications -  14.7% (continued)        
AMC Networks, Inc.        
4.25% due 02/15/29   1,550,000   $1,255,794 
Telenet Finance Luxembourg Notes SARL          
5.50% due 03/01/28   1,400,000    1,235,360 
UPC Broadband Finco BV          
4.88% due 07/15/315   1,200,000    978,000 
Sirius XM Radio, Inc.          
4.13% due 07/01/305   800,000    668,152 
Match Group Holdings II LLC          
4.63% due 06/01/285   600,000    543,960 
Cogent Communications Group, Inc.          
7.00% due 06/15/275   525,000    502,950 
Zayo Group Holdings, Inc.          
4.00% due 03/01/275   300,000    248,877 
Total Communications        27,608,458 
Consumer, Non-cyclical -  14.1%          
Rent-A-Center, Inc.          
6.38% due 02/15/295,6   3,331,000    2,598,180 
CPI CG, Inc.          
8.63% due 03/15/265   2,572,000    2,430,540 
Nielsen Finance LLC / Nielsen Finance Co.          
4.75% due 07/15/315   1,650,000    1,484,302 
5.88% due 10/01/305   1,000,000    918,160 
FAGE International S.A. / FAGE USA Dairy Industry, Inc.          
5.63% due 08/15/265   2,200,000    1,875,668 
Sabre GLBL, Inc.          
7.38% due 09/01/255   1,550,000    1,437,625 
9.25% due 04/15/255   250,000    240,888 
Bausch Health Companies, Inc.          
4.88% due 06/01/285   1,750,000    1,369,445 
Sotheby's/Bidfair Holdings, Inc.          
5.88% due 06/01/295   1,550,000    1,330,394 
BCP V Modular Services Finance II plc          
4.75% due 10/30/285   EUR  1,486,000    1,235,608 
Prime Security Services Borrower LLC / Prime Finance, Inc.          
3.38% due 08/31/275   1,325,000    1,091,469 
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.          
7.00% due 12/31/275   961,000    720,750 
5.00% due 12/31/265   350,000    299,254 
KeHE Distributors LLC / KeHE Finance Corp.          
8.63% due 10/15/265   956,000    955,401 
Par Pharmaceutical, Inc.          
7.50% due 04/01/275   1,210,000    919,600 
DaVita, Inc.          
3.75% due 02/15/315   1,225,000    878,313 
ADT Security Corp.          
4.13% due 08/01/295   1,050,000    852,143 
Darling Ingredients, Inc.          
6.00% due 06/15/305   825,000    822,236 
Post Holdings, Inc.          
4.50% due 09/15/315   975,000   797,404 
Endo Luxembourg Finance Company I SARL / Endo US, Inc.          
6.13% due 04/01/295   950,000    718,029 
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.          
5.00% due 02/01/265   850,000    712,300 
Medline Borrower, LP          
5.25% due 10/01/295   850,000    698,105 
Sotheby's          
7.38% due 10/15/275   700,000    648,741 
WW International, Inc.          
4.50% due 04/15/295   825,000    549,409 
Lamb Weston Holdings, Inc.          
4.13% due 01/31/305   425,000    367,863 
Tenet Healthcare Corp.          
6.13% due 06/15/305   275,000    253,709 
Nathan's Famous, Inc.          
6.63% due 11/01/255   259,000    249,288 
Endo Dac / Endo Finance LLC / Endo Finco, Inc.          
9.50% due 07/31/275,6   171,000    34,630 
Total Consumer, Non-cyclical        26,489,454 
Financial -  11.7%          
Iron Mountain, Inc.          
5.63% due 07/15/325   1,275,000    1,078,110 
4.88% due 09/15/275   950,000    858,372 
4.88% due 09/15/295   530,000    450,463 
5.25% due 07/15/305   475,000    412,963 
Hunt Companies, Inc.          
5.25% due 04/15/295   3,150,000    2,677,500 
NFP Corp.          
6.88% due 08/15/285   2,875,000    2,371,990 
United Wholesale Mortgage LLC          
5.50% due 04/15/295   1,475,000    1,129,334 
5.75% due 06/15/275   1,300,000    1,042,288 
Jefferies Finance LLC / JFIN Company-Issuer Corp.          
5.00% due 08/15/285   2,500,000    2,056,250 
OneMain Finance Corp.          
3.88% due 09/15/28   1,225,000    937,125 
4.00% due 09/15/30   750,000    555,938 
HUB International Ltd.          
5.63% due 12/01/295   1,000,000    826,053 
7.00% due 05/01/265   575,000    540,730 
Home Point Capital, Inc.          
5.00% due 02/01/265   1,325,000    914,250 
Iron Mountain Information Management Services, Inc.          
5.00% due 07/15/325   1,000,000    807,113 
Starwood Property Trust, Inc.          
3.75% due 12/31/245   425,000    386,750 
4.38% due 01/15/275   425,000    368,925 
USI, Inc.          
6.88% due 05/01/255   775,000    747,875 
SLM Corp.          
3.13% due 11/02/26   900,000    726,714 

   

 

High Yield Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022 

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 74.0% (continued)
Financial -  11.7% (continued)        
Wilton Re Finance LLC        
5.88% due 03/30/333,5   650,000   $638,070 
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.          
3.88% due 03/01/315   725,000    543,235 
Liberty Mutual Group, Inc.          
4.30% due 02/01/617   750,000    507,199 
Greystar Real Estate Partners LLC          
5.75% due 12/01/255   500,000    473,275 
Kennedy-Wilson, Inc.          
4.75% due 03/01/29   575,000    465,750 
Cushman & Wakefield US Borrower LLC          
6.75% due 05/15/285   450,000    417,937 
Total Financial        21,934,209 
Industrial -  9.6%          
New Enterprise Stone & Lime Company, Inc.          
9.75% due 07/15/285   1,725,000    1,474,875 
5.25% due 07/15/285   675,000    554,873 
GrafTech Finance, Inc.          
4.63% due 12/15/285   2,500,000    2,023,729 
Artera Services LLC          
9.03% due 12/04/255   2,350,000    1,893,630 
Cleaver-Brooks, Inc.          
7.88% due 03/01/235,6   2,000,000    1,860,000 
Brundage-Bone Concrete Pumping Holdings, Inc.          
6.00% due 02/01/265   2,076,000    1,758,007 
TransDigm, Inc.          
8.00% due 12/15/255   950,000    960,678 
6.25% due 03/15/265   500,000    481,875 
Mauser Packaging Solutions Holding Co.          
5.50% due 04/15/245   1,050,000    1,002,750 
Standard Industries, Inc.          
5.00% due 02/15/275   900,000    803,301 
Masonite International Corp.          
5.38% due 02/01/285   850,000    769,250 
Amsted Industries, Inc.          
4.63% due 05/15/305   900,000    767,250 
Ball Corp.          
3.13% due 09/15/31   850,000    685,644 
Builders FirstSource, Inc.          
6.38% due 06/15/325   700,000    624,750 
Arcosa, Inc.          
4.38% due 04/15/295   700,000    593,988 
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc          
6.00% due 06/15/275   500,000    494,865 
Howmet Aerospace, Inc.          
5.95% due 02/01/37   475,000    447,925 
Summit Materials LLC / Summit Materials Finance Corp.          
6.50% due 03/15/275   425,000    409,879 
Harsco Corp.          
5.75% due 07/31/275   500,000   400,100 
Total Industrial        18,007,369 
Energy -  8.6%          
NuStar Logistics, LP          
5.63% due 04/28/27   1,585,000    1,418,591 
6.38% due 10/01/30   850,000    738,502 
6.00% due 06/01/26   525,000    490,875 
Exterran Energy Solutions Limited Partnership / EES Finance Corp.          
8.13% due 05/01/25   2,037,000    1,930,058 
Parkland Corp.          
4.50% due 10/01/295   1,275,000    1,033,568 
4.63% due 05/01/305   1,100,000    892,356 
Global Partners Limited Partnership / GLP Finance Corp.          
7.00% due 08/01/27   1,200,000    1,080,000 
6.88% due 01/15/29   900,000    761,606 
CVR Energy, Inc.          
5.75% due 02/15/285   1,725,000    1,538,185 
5.25% due 02/15/255   250,000    229,853 
ITT Holdings LLC          
6.50% due 08/01/295   1,875,000    1,500,000 
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.          
5.63% due 05/01/275   1,250,000    1,112,500 
TransMontaigne Partners Limited Partnership / TLP Finance Corp.          
6.13% due 02/15/26   1,000,000    883,750 
PDC Energy, Inc.          
6.13% due 09/15/24   776,000    770,719 
Rattler Midstream, LP          
5.63% due 07/15/255   550,000    549,763 
Southwestern Energy Co.          
5.38% due 02/01/29   425,000    394,230 
Kinetik Holdings, LP          
5.88% due 06/15/305   350,000    333,415 
Holly Energy Partners Limited Partnership / Holly Energy Finance Corp.          
6.38% due 04/15/275   250,000    235,315 
Basic Energy Services, Inc.          
 due 10/15/237,8   1,225,000    162,312 
Total Energy        16,055,598 
Basic Materials -  6.4%          
Carpenter Technology Corp.          
6.38% due 07/15/28   2,475,000    2,209,208 
7.63% due 03/15/30   650,000    596,892 
Minerals Technologies, Inc.          
5.00% due 07/01/285   1,547,000    1,346,354 
SCIL IV LLC / SCIL USA Holdings LLC          
5.38% due 11/01/265   1,650,000    1,320,000 
Kaiser Aluminum Corp.          
4.63% due 03/01/285   790,000    657,691 
4.50% due 06/01/315   725,000    548,738 

   

 

High Yield Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022 

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 74.0% (continued)
Basic Materials -  6.4% (continued)        
Clearwater Paper Corp.        
4.75% due 08/15/285   1,375,000   $1,185,709 
EverArc Escrow SARL          
5.00% due 10/30/295   1,350,000    1,136,315 
Diamond BC BV          
4.63% due 10/01/295   1,050,000    839,685 
Illuminate Buyer LLC / Illuminate Holdings IV, Inc.          
9.00% due 07/01/285   900,000    711,000 
Valvoline, Inc.          
3.63% due 06/15/315   600,000    480,000 
4.25% due 02/15/305   250,000    208,750 
Ingevity Corp.          
3.88% due 11/01/285   675,000    565,313 
Yamana Gold, Inc.          
4.63% due 12/15/27   256,000    246,010 
Mirabela Nickel Ltd.          
 due 06/24/197,8   278,115    13,906 
Total Basic Materials        12,065,571 
Consumer, Cyclical -  5.7%          
Crocs, Inc.          
4.25% due 03/15/295   1,644,000    1,216,033 
JB Poindexter & Company, Inc.          
7.13% due 04/15/265   1,225,000    1,176,000 
Clarios Global, LP          
6.75% due 05/15/255   1,027,000    1,017,192 
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.          
5.75% due 01/20/265   950,000    851,390 
CD&R Smokey Buyer, Inc.          
6.75% due 07/15/255   925,000    817,775 
Wolverine World Wide, Inc.          
4.00% due 08/15/295   1,000,000    802,340 
Scotts Miracle-Gro Co.          
4.38% due 02/01/32   1,050,000    798,241 
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc.          
6.63% due 03/01/305   875,000    743,750 
Tempur Sealy International, Inc.          
3.88% due 10/15/315   850,000    637,500 
Wabash National Corp.          
4.50% due 10/15/285   675,000    516,375 
Michaels Companies, Inc.          
5.25% due 05/01/285   600,000    471,582 
Asbury Automotive Group, Inc.          
5.00% due 02/15/325   550,000    449,625 
Six Flags Theme Parks, Inc.          
7.00% due 07/01/255   425,000    430,240 
Superior Plus, LP          
4.25% due 05/18/285  CAD  550,000    376,638 
Rite Aid Corp.          
7.50% due 07/01/255   325,000    263,250 
Allison Transmission, Inc.          
4.75% due 10/01/275   200,000   182,936 
Total Consumer, Cyclical        10,750,867 
Technology -  1.8%          
Boxer Parent Company, Inc.          
7.13% due 10/02/255   1,025,000    981,499 
Minerva Merger Sub, Inc.          
6.50% due 02/15/305   1,075,000    893,959 
Entegris Escrow Corp.          
4.75% due 04/15/295   550,000    512,176 
Open Text Holdings, Inc.          
4.13% due 12/01/315   400,000    331,186 
CDK Global, Inc.          
5.25% due 05/15/295   325,000    318,430 
Central Parent Incorporated / Central Merger Sub Inc          
7.25% due 06/15/295   325,000    312,813 
Total Technology        3,350,063 
Utilities -  1.4%          
Terraform Global Operating LLC          
6.13% due 03/01/265   2,630,000    2,499,625 
Total Corporate Bonds          
(Cost $165,305,987)        138,761,214 
           
SENIOR FLOATING RATE INTERESTS††,◊ - 18.4%          
Consumer, Cyclical -  5.2%          
PetSmart LLC          
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28   1,339,875    1,257,473 
First Brands Group LLC          
6.29% (3 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 03/30/27   1,034,774    978,896 
Alexander Mann          
6.31% (1 Month GBP SONIA + 5.00%, Rate Floor: 5.00%) due 06/16/25  GBP  749,100    873,699 
American Tire Distributors, Inc.          
7.00% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.00%) due 10/20/28   872,813    822,626 
NES Global Talent          
6.74% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 05/11/23   864,094    818,012 
Congruex Group LLC          
7.01% (3 Month Term SOFR + 5.75%, Rate Floor: 6.50%) due 05/03/29   725,000    694,188 
ScribeAmerica Intermediate Holdco LLC (Healthchannels)          
5.56% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25   752,995    637,538 

   

 

High Yield Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022 

 

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 18.4% (continued)
Consumer, Cyclical -  5.2% (continued)        
FR Refuel LLC        
6.44% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 11/08/28   527,350   $508,893 
6.00% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 11/08/28   70,000    67,550 
Holding SOCOTEC          
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 06/30/28†††   603,900    555,588 
Galaxy US Opco, Inc.          
6.28% (1 Month Term SOFR + 4.75%, Rate Floor: 5.25%) due 04/30/29   550,000    514,938 
Accuride Corp.          
7.50% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23   582,583    508,740 
Blue Nile, Inc.          
8.46% (3 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 02/17/23   404,286    386,093 
WW International, Inc.          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 04/13/28   401,625    311,259 
Sweetwater Sound          
5.94% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 08/07/28   325,000    278,687 
BCPE Empire Holdings, Inc.          
6.25% (1 Month Term SOFR + 4.63%, Rate Floor: 5.13%) due 06/11/26   275,000    257,353 
Pacific Bells, LLC          
6.79% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28   249,380    230,053 
Seren BidCo AB          
5.60% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 11/16/28   1,188    1,125 
Total Consumer, Cyclical        9,702,711 
Industrial -  4.1%          
Arcline FM Holdings LLC          
7.63% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28†††   1,513,563    1,418,965 
Dispatch Terra Acquisition LLC          
6.50% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28†††   1,188,620    1,075,701 
Pelican Products, Inc.          
6.50% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/29/28   897,744    834,902 
LTI Holdings, Inc.          
6.42% (3 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 07/24/26   749,063   702,247 
Pro Mach Group, Inc.          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28   710,845    669,083 
Aegion Corp.          
6.27% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 05/17/28†††   694,750    633,959 
Michael Baker International LLC          
6.67% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 12/01/28†††   597,000    576,105 
YAK MAT (YAK ACCESS LLC)          
12.18% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26   1,025,000    542,614 
PECF USS Intermediate Holding III Corp.          
5.92% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28   447,750    402,975 
ASP Dream Acquisiton Co. LLC          
5.43% (3 Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 12/15/28   400,000    370,000 
STS Operating, Inc. (SunSource)          
5.92% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24   297,208    281,976 
Sundyne (Star US Bidco)          
5.92% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/17/27   199,490    190,014 
Total Industrial        7,698,541 
Consumer, Non-cyclical -  3.8%          
HAH Group Holding Co. LLC          
7.21% (3 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 10/29/27   1,308,800    1,246,632 
SCP Eye Care Services LLC          
6.00% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28   1,075,781    1,024,682 
Blue Ribbon LLC          
7.06% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28   1,111,748    1,011,691 
Quirch Foods Holdings LLC          
6.82% (3 Month Term SOFR + 4.50%, Rate Floor: 5.50%) due 10/27/27†††   960,375    907,554 
Gibson Brands, Inc.          
6.41% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 08/11/28   865,650    727,146 

   

 

High Yield Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022 

 

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 18.4% (continued)
Consumer, Non-cyclical -  3.8% (continued)        
Women's Care Holdings, Inc.        
5.74% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28   668,250   $622,809 
Confluent Health LLC          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 11/30/28   425,077    393,906 
Moran Foods LLC          
13.00% (3 Month USD LIBOR + 10.75%, Rate Floor: 2.25%) due 10/01/24†††   407,847    330,356 
Moran Foods LLC          
9.25% (3 Month USD LIBOR + 7.00%, Rate Floor: 2.25%)  due 04/01/24   313,532    282,179 
8.00% (2 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 04/01/24   40,816    36,734 
Kronos Acquisition Holdings, Inc.          
7.65% (1 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 12/22/26   298,500    292,157 
Florida Food Products LLC          
6.67% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 10/18/28†††   224,438    209,849 
Total Consumer, Non-cyclical        7,085,695 
Technology -  2.4%          
Datix Bidco Ltd.          
6.19% (6 Month GBP LIBOR + 4.50%, Rate Floor: 5.19%) due 04/28/25†††  GBP  1,300,000    1,576,122 
8.44% (6 Month GBP SONIA + 7.75%, Rate Floor: 7.75%) due 04/27/26†††  GBP  650,000    787,255 
Taxware Holdings (Sovos Compliance LLC)          
6.17% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28   636,357    597,781 
Apttus Corp.          
5.62% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28   620,313    579,992 
Atlas CC Acquisition Corp.          
5.82% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28   569,250    524,780 
24-7 Intouch, Inc.          
6.42% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 08/25/25†††   269,301    254,489 

   

 

High Yield Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022 

 

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 18.4% (continued)
Technology -  2.4% (continued)        
Park Place Technologies, LLC        
6.63% (1 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 11/10/27   169,396   $162,337 
Total Technology        4,482,756 
Financial -  1.7%          
Franchise Group, Inc.          
6.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26   958,148    871,119 
Claros Mortgage Trust, Inc.          
5.73% (1 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 08/09/26   912,415    869,075 
Avison Young (Canada), Inc.          
7.44% ((1 Month USD LIBOR + 5.75%) and (3 Month USD LIBOR + 5.75%), Rate Floor: 5.75%) due 01/30/26   530,750    521,796 
Eisner Advisory Group          
6.39% (1 Month Term SOFR + 4.86%, Rate Floor: 4.86%) due 07/28/28†††   447,750    416,408 
Teneo Holdings LLC          
6.85% (1 Month Term SOFR + 5.25%, Rate Floor: 6.25%) due 07/11/25   323,729    300,528 
AmeriLife Holdings LLC          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 03/18/27   149,619    142,840 
Total Financial        3,121,766 
Basic Materials -  0.8%          
NIC Acquisition Corp.          
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27   742,610    646,687 
Ascend Performance Materials Operations LLC          
7.00% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 08/27/26   643,398    625,705 
DCG Acquisition Corp.          
6.17% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26†††   250,000    233,750 
Total Basic Materials        1,506,142 
Communications -  0.3%          
Cengage Learning Acquisitions, Inc.          
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26   620,313    557,990 
Utilities -  0.1%          
TerraForm Power Operating LLC          
4.16% (3 Month Term SOFR + 2.75%, Rate Floor: 3.25%) due 05/21/29   250,000   243,437 
Energy -  0.0%          
Permian Production Partners LLC          
9.67% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.67%) (in-kind rate was 2.00%) due 11/24/25†††,9   113,625    113,341 
Total Senior Floating Rate Interests          
(Cost $37,137,208)        34,512,379 
           
ASSET-BACKED SECURITIES†† - 0.6%          
Collateralized Loan Obligations -  0.4%          
WhiteHorse X Ltd.          
2015-10A E, 6.34% (3 Month USD LIBOR + 5.30%, Rate Floor: 5.30%) due 04/17/27◊,5   750,000    687,713 
Infrastructure -  0.2%          
Hotwire Funding LLC          
2021-1, 4.46% due 11/20/515   400,000   347,498 
Total Asset-Backed Securities          
(Cost $1,061,762)        1,035,211 

 

U.S. TREASURY BILLS†† - 0.3%          
U.S. Treasury Bills          
0.89% due 08/02/2210   500,000    499,490 
Total U.S. Treasury Bills          
(Cost $499,603)        499,490 
Total Investments - 100.1%          
(Cost $219,359,081)       $187,794,021 
Other Assets & Liabilities, net - (0.1)%        (135,707)
Total Net Assets - 100.0%       $187,658,314 

   

 

High Yield Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022 

 

 

 

Centrally Cleared Credit Default Swap Agreements Protection Purchased††        
Counterparty  Exchange   Index   Protection Premium Rate   Payment Frequency  Maturity Date  Notional Amount   Value  

Upfront Premiums

(Received)

   Unrealized Appreciation** 
BofA Securities, Inc.   ICE    CDX.NA.HY.38.V2    5.00%  Quarterly  06/20/27  $8,514,000   $246,378   $(181,641)  $428,019 

 

 

Forward Foreign Currency Exchange Contracts††       
Counterparty   Currency    Type    Quantity  

Contract

Amount

 

Settlement

Date

   Unrealized Appreciation (Depreciation) 
Goldman Sachs International   CAD    Sell    491,000   381,943 USD  07/15/22  $405 
JPMorgan Chase Bank, N.A.   EUR    Buy    44,000   45,843 USD  07/15/22   295 
Barclays Bank plc   GBP    Sell    2,689,000   3,273,950 USD  07/15/22   32 
Barclays Bank plc   EUR    Sell    1,276,000   1,336,669 USD  07/15/22   (1,351)
                        $(619)

 

 

~ The face amount is denominated in U.S. dollars unless otherwise indicated.
* Non-income producing security.
** Includes cumulative appreciation (depreciation).
Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
†† Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
††† Value determined based on Level 3 inputs — See Note 3.
Variable rate security. Rate indicated is the rate effective at June 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1 Special Purpose Acquisition Company (SPAC).
2 Affiliated issuer.
3 Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
4 Rate indicated is the 7-day yield as of June 30, 2022.
5 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $118,905,161 (cost $140,638,361), or 63.4% of total net assets.
6 All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At June 30, 2022, the total market value of segregated or earmarked securities was $4,492,810 — See Note 2.
7 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $683,417 (cost $2,221,729), or 0.4% of total net assets — See Note 6.
8 Security is in default of interest and/or principal obligations.
9 Payment-in-kind security.
10 Rate indicated is the effective yield at the time of purchase.

 

 

BofA — Bank of America
CAD — Canadian Dollar
CDX.NA.HY.38.V2 — Credit Default Swap North American High Yield Series 38  Index Version 2
EUR — Euro
GBP — British Pound
ICE — Intercontinental Exchange
LIBOR — London Interbank Offered Rate
plc — Public Limited Company
SARL —  Société à Responsabilité Limitée
SOFR — Secured Overnight Financing Rate
SONIA — Sterling Overnight Index Average

 

See Sector Classification in Other Information section.

 

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

   

 

High Yield Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022 

 

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Common Stocks  $2,597,818   $707,950   $139,078   $3,444,846 
Preferred Stocks       5,309,570    *   5,309,570 
Warrants   15,556    15        15,571 
Money Market Fund   4,215,740            4,215,740 
Corporate Bonds       138,761,214        138,761,214 
Senior Floating Rate Interests       25,422,937    9,089,442    34,512,379 
Asset-Backed Securities       1,035,211        1,035,211 
U.S. Treasury Bills       499,490        499,490 
Credit Default Swap Agreements**       428,019        428,019 
Forward Foreign Currency Exchange Contracts**       732        732 
Total Assets  $6,829,114   $172,165,138   $9,228,520   $188,222,772 

 

Investments in Securities (Liabilities)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Forward Foreign Currency Exchange Contracts**  $   $1,351   $   $1,351 
Unfunded Loan Commitments (Note 5)           23,153    23,153 
Total Liabilities  $   $1,351   $23,153   $24,504 

 

*Security has a market value of $0.
**This derivative is reported as unrealized appreciation/depreciation at period end.

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $3,101,843 are categorized as Level 2 within the disclosure hierarchy — See Note 2.

 

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

 

Category     Ending Balance at
June 30, 2022
  Valuation Technique   Unobservable Inputs   Input Range   Weighted Average*
Assets:                      
Common Stocks   $ 136,789   Enterprise Value   Valuation Multiple   1.6x-8.6x   3.6x
Common Stocks      2,289   Model Price   Liquidation Value    
Senior Floating Rate Interests      6,726,065   Third Party Pricing   Broker Quote    
Senior Floating Rate Interests      2,363,377   Yield Analysis   Yield   7.4%-10.7%   8.5%
Total Assets   $ 9,228,520                
Liabilities:                      
Unfunded Loan Commitments   $ 23,153   Model Price   Purchase price    

 

*Inputs are weighted by the fair value of the instruments.

 

Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

 

Significant changes in a quote, yield, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

 

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

 

Transfer between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended June 30, 2022, the Fund had securities with a total value of $6,318,945 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $1,993,000 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

 

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended

June 30, 2022:

 

   Assets       Liabilities 
   Corporate Bonds   Senior Floating Rate Interests   Common Stocks   Total Assets   Unfunded Loan Commitments 
Beginning Balance  $539,206   $8,849,956   $237,484   $9,626,646   $(622)
Purchases/(Receipts)   -    1,927,391    -   $1,927,391    (442)
(Sales, maturities and paydowns)/Fundings   -    (6,371,884)   (686)  $(6,372,570)   828 
Amortization of premiums/discounts   -    102,423    -   $102,423    - 
Total realized gains (losses) included in earnings   -    (4,150)   (5,480)  $(9,630)   416 
Total change in unrealized appreciation (depreciation) included in earnings   (256)   (286,355)   (85,074)  $(371,685)   (23,333)
Transfers into Level 3   -    6,318,945    -   $6,318,945    - 
Transfers out of Level 3   (538,950)   (1,446,884)   (7,166)  $(1,993,000)   - 
 Ending Balance  $-   $9,089,442   $139,078   $9,228,520   $(23,153)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at June 30, 2022  $-   $(164,430)  $(9,957)  $(174,387)  $(22,894)

 

Affiliated Transactions

 

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.

 

Transactions during the period ended June 30, 2022, in which the company is an affiliated issuer, were as follows:

 

 

Security Name  Value 09/30/21   Additions   Reductions   Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value 06/30/22   Shares 06/30/22 
Common Stocks                            
  BP Holdco LLC   *  $16,716   $   $   $   $   $16,716    23,711 
  Targus Group International Equity, Inc.   *   31,234                1,035    32,269    12,825 
   $47,950   $   $   $   $1,035   $48,985      

 

 

* Non-income producing security.

 

 

 

Large Cap Value Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

 

   Shares   Value 
COMMON STOCKS - 91.0%
Consumer, Non-cyclical - 20.6%
Johnson & Johnson   5,594   $992,991 
Tyson Foods, Inc. — Class A   10,678    918,949 
Humana, Inc.   1,723    806,485 
Quest Diagnostics, Inc.   4,300    571,814 
Medtronic plc   6,084    546,039 
Ingredion, Inc.   5,561    490,258 
Merck & Company, Inc.   5,365    489,127 
J M Smucker Co.   3,422    438,050 
Henry Schein, Inc.*   5,653    433,811 
McKesson Corp.   1,287    419,832 
Bunge Ltd.   4,271    387,337 
Archer-Daniels-Midland Co.   4,742    367,979 
Amgen, Inc.   1,160    282,228 
Encompass Health Corp.   4,969    278,512 
Pfizer, Inc.   4,927    258,323 
Bristol-Myers Squibb Co.   2,895    222,915 
HCA Healthcare, Inc.   1,180    198,311 
Total Consumer, Non-cyclical        8,102,961 
Financial - 13.8%          
Berkshire Hathaway, Inc. — Class B*   3,429    936,185 
JPMorgan Chase & Co.   7,045    793,337 
Bank of America Corp.   19,566    609,090 
Wells Fargo & Co.   11,540    452,022 
Charles Schwab Corp.   4,939    312,046 
Voya Financial, Inc.   4,754    283,006 
Mastercard, Inc. — Class A   887    279,831 
Medical Properties Trust, Inc. REIT   15,422    235,494 
American Tower Corp. — Class A REIT   809    206,772 
Gaming and Leisure Properties, Inc. REIT   4,284    196,464 
KeyCorp   11,239    193,648 
Goldman Sachs Group, Inc.   639    189,796 
STAG Industrial, Inc. REIT   6,068    187,380 
Zions Bancorp North America   3,490    177,641 
BOK Financial Corp.   2,309    174,514 
Park Hotels & Resorts, Inc. REIT   10,682    144,955 
T. Rowe Price Group, Inc.   789    89,638 
Total Financial        5,461,819 
Technology - 10.0%          
Micron Technology, Inc.   9,620    531,794 
Activision Blizzard, Inc.   6,233    485,301 
Leidos Holdings, Inc.   4,043    407,170 
Microsoft Corp.   1,519    390,125 
DXC Technology Co.*   12,680    384,331 
Teradyne, Inc.   4,240    379,692 
KLA Corp.   1,187    378,748 
Fiserv, Inc.*   3,085    274,473 
Amdocs Ltd.   2,777    231,352 
Qorvo, Inc.*   2,163    204,014 
Intel Corp.   3,738    139,838 
Skyworks Solutions, Inc.   1,419    131,456 
Total Technology        3,938,294 
Utilities - 9.8%          
Exelon Corp.   14,302    648,167 
Edison International   9,722    614,819 
Duke Energy Corp.   4,939    529,510 
OGE Energy Corp.   13,487   520,059 
Pinnacle West Capital Corp.   5,913    432,358 
Black Hills Corp.   5,047    367,270 
NiSource, Inc.   11,350    334,712 
Constellation Energy Corp.   4,453    254,979 
PPL Corp.   5,782    156,866 
Total Utilities        3,858,740 
Energy - 8.6%          
Chevron Corp.   5,855    847,687 
ConocoPhillips   6,401    574,874 
Coterra Energy, Inc. — Class A   17,152    442,350 
Pioneer Natural Resources Co.   1,695    378,121 
Equities Corp.   8,928    307,123 
Kinder Morgan, Inc.   16,562    277,579 
Marathon Oil Corp.   12,079    271,536 
Diamondback Energy, Inc.   1,738    210,559 
Patterson-UTI Energy, Inc.   6,056    95,442 
Total Energy        3,405,271 
Communications - 8.1%          
Verizon Communications, Inc.   17,449    885,537 
Alphabet, Inc. — Class A*   387    843,374 
T-Mobile US, Inc.*   2,887    388,417 
Cisco Systems, Inc.   8,837    376,809 
Comcast Corp. — Class A   8,934    350,570 
Juniper Networks, Inc.   7,162    204,117 
Walt Disney Co.*   1,396    131,783 
Total Communications        3,180,607 
Consumer, Cyclical - 8.0%          
Walmart, Inc.   4,354    529,359 
DR Horton, Inc.   6,046    400,185 
LKQ Corp.   7,073    347,214 
Whirlpool Corp.   2,065    319,806 
Southwest Airlines Co.*   8,084    291,994 
PACCAR, Inc.   3,462    285,061 
Delta Air Lines, Inc.*   9,803    283,993 
Lear Corp.   2,052    258,326 
Ralph Lauren Corp. — Class A   1,925    172,576 
Home Depot, Inc.   509    139,604 
PVH Corp.   2,358    134,170 
Total Consumer, Cyclical        3,162,288 
Industrial - 7.0%          
L3Harris Technologies, Inc.   2,015    487,026 
Curtiss-Wright Corp.   3,624    478,585 
FedEx Corp.   2,006    454,780 
Johnson Controls International plc   8,932    427,664 
Knight-Swift Transportation Holdings, Inc.   8,688    402,168 
Valmont Industries, Inc.   1,520    341,437 
Advanced Energy Industries, Inc.   2,211    161,359 
Total Industrial        2,753,019 
Basic Materials - 5.1%          
Westlake Corp.   5,648    553,617 
Huntsman Corp.   19,225    545,029 
Reliance Steel & Aluminum Co.   1,872    317,978 
Freeport-McMoRan, Inc.   4,775    139,716 
International Flavors & Fragrances, Inc.   1,105    131,628 
Nucor Corp.   1,193    124,561 

   

 

Large Cap Value Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

  

   Shares   Value 
COMMON STOCKS - 91.0% (continued)
Basic Materials - 5.1% (continued)
Dow, Inc.   2,118   $109,310 
DuPont de Nemours, Inc.   1,392    77,367 
Total Basic Materials        1,999,206 
Total Common Stocks          
(Cost $30,318,098)        35,862,205 
EXCHANGE-TRADED FUNDS - 3.9%          
iShares Russell 1000 Value ETF   10,524    1,525,665 
Total Exchange-Traded Funds          
(Cost $1,527,011)        1,525,665 
           
MONEY MARKET FUND - 3.8%          
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.97%1   1,494,148   1,494,148 
Total Money Market Fund          
(Cost $1,494,148)        1,494,148 
Total Investments - 98.7%          
(Cost $33,339,257)       $38,882,018 
Other Assets & Liabilities, net - 1.3%        519,245 
Total Net Assets - 100.0%       $39,401,263 

  

 

* Non-income producing security.
Value determined based on Level 1 inputs — See Note 3.
1 Rate indicated is the 7-day yield as of June 30, 2022.

  

 

plc — Public Limited Company
REIT — Real Estate Investment Trust

 

See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Common Stocks  $35,862,205   $   $   $35,862,205 
Exchange-Traded Funds   1,525,665            1,525,665 
Money Market Fund   1,494,148            1,494,148 
Total Assets  $38,882,018   $   $   $38,882,018 

 

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

 

   Shares   Value 
COMMON STOCKS - 0.3%
Financial - 0.3%
KKR Acquisition Holdings I Corp. — Class A*,1   820,948   $8,037,081 
RXR Acquisition Corp. — Class A*,1   182,429    1,785,980 
TPG Pace Beneficial II Corp.*,1   148,829    1,448,106 
MSD Acquisition Corp. — Class A*,1   136,871    1,341,336 
AfterNext HealthTech Acquisition Corp. — Class A*,1   135,000    1,310,850 
Conyers Park III Acquisition Corp. — Class A*,1   125,300    1,209,145 
Waverley Capital Acquisition Corp. 1 — Class A*,1   99,000    957,330 
Acropolis Infrastructure Acquisition Corp. — Class A*,1   86,600    837,422 
Blue Whale Acquisition Corp. I — Class A*,1   72,300    699,141 
Colicity, Inc. — Class A*,1   46,809    459,196 
Total Financial        18,085,587 
Communications - 0.0%          
Figs, Inc. — Class A*   43,750    398,563 
Vacasa, Inc. — Class A*   81,407    234,452 
Total Communications        633,015 
Total Common Stocks          
(Cost $19,829,328)        18,718,602 
           
PREFERRED STOCKS†† - 0.5%          
Financial - 0.5%          
Wells Fargo & Co.          
3.90%   12,100,000    10,421,125 
Markel Corp.          
6.00%   7,210,000    7,110,862 
MetLife, Inc.          
3.85%   4,620,000    4,113,897 
Bank of New York Mellon Corp.          
4.70%   3,010,000    2,940,770 
American Financial Group, Inc.          
4.50% due 09/15/60   102,052    1,971,645 
First Republic Bank          
4.13%   69,600    1,218,000 
American Equity Investment Life Holding Co.          
5.95%   8,000    182,320 
Total Financial        27,958,619 
Total Preferred Stocks          
(Cost $31,414,569)        27,958,619 
           
WARRANTS - 0.0%          
KKR Acquisition Holdings I Corp.          
Expiring 12/31/27*,1   205,236    73,885 
Ginkgo Bioworks Holdings, Inc.          
Expiring 08/01/26*   19,663    10,421 
Conyers Park III Acquisition Corp.          
Expiring 08/12/28*   41,766    10,024 
AfterNext HealthTech Acquisition Corp.          
Expiring 07/09/23*,1   45,000   8,550 
MSD Acquisition Corp.          
Expiring 05/13/23*,1   27,374    8,237 
Waverley Capital Acquisition Corp.          
Expiring 04/30/27*,1   33,000    6,970 
Acropolis Infrastructure Acquisition Corp.          
Expiring 03/31/26*,1   28,866    5,773 
RXR Acquisition Corp.          
Expiring 03/08/26*,1   36,482    4,122 
Blue Whale Acquisition Corp.          
Expiring 07/09/23*,1   18,074    3,796 
Colicity, Inc.          
Expiring 12/31/27*,1   9,360    2,031 
Total Warrants          
(Cost $521,210)        133,809 
           
MUTUAL FUNDS - 1.7%          
Guggenheim Strategy Fund III2   1,211,602    29,332,873 
Guggenheim Strategy Fund II2   1,210,488    29,221,170 
Guggenheim Ultra Short Duration Fund — Institutional Class2   2,956,585    28,531,040 
Total Mutual Funds          
(Cost $88,612,346)        87,085,083 
           
MONEY MARKET FUNDS - 2.5%          
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.97%3   90,934,482    90,934,482 
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 1.32%3   37,264,601    37,264,601 
Total Money Market Funds          
(Cost $128,199,083)        128,199,083 

 

    Face
Amount~
    Value 
CORPORATE BONDS†† - 34.0%          
Financial -  14.2%          
Athene Global Funding          
1.32% (SOFR Compounded Index + 0.72%) due 01/07/25◊,4   30,000,000    29,062,349 
1.99% due 08/19/284   15,850,000    13,159,422 
1.73% due 10/02/264   14,700,000    12,757,275 
F&G Global Funding          
0.90% due 09/20/244   42,100,000    39,038,813 
1.75% due 06/30/264   14,250,000    12,619,734 
GA Global Funding Trust          
1.95% due 09/15/284   16,600,000    14,034,766 
2.25% due 01/06/274   15,000,000    13,416,639 
1.63% due 01/15/264   7,300,000    6,612,723 
Societe Generale S.A.          
1.79% due 06/09/274,5   28,000,000    24,423,009 
1.49% due 12/14/264,5   10,500,000    9,261,289 
3.88% due 03/28/244   350,000    346,464 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 34.0% (continued)
Financial -  14.2% (continued)        
Goldman Sachs Group, Inc.        
3.00% due 03/15/24   20,950,000   $20,670,156 
3.50% due 04/01/25   6,900,000    6,763,754 
Macquarie Group Ltd.          
1.63% due 09/23/274,5   16,750,000    14,552,611 
1.20% due 10/14/254,5   13,550,000    12,563,094 
American International Group, Inc.          
2.50% due 06/30/25   26,630,000    25,379,656 
Equitable Financial Life Global Funding          
1.40% due 07/07/254   15,000,000    13,785,395 
1.80% due 03/08/284   12,000,000    10,401,722 
Cooperatieve Rabobank UA          
1.34% due 06/24/264,5   15,000,000    13,681,950 
1.98% due 12/15/274,5   10,000,000    8,891,619 
Pershing Square Holdings Ltd.          
3.25% due 10/01/31   25,600,000    20,192,256 
Reliance Standard Life Global Funding II          
2.75% due 05/07/254   20,850,000    19,947,433 
BNP Paribas S.A.          
1.32% due 01/13/274,5   21,350,000    18,861,734 
2.22% due 06/09/264,5   400,000    369,269 
Citizens Bank North America/Providence RI          
2.25% due 04/28/25   20,000,000    19,049,426 
Credit Agricole S.A.          
1.25% due 01/26/274,5   17,950,000    15,801,470 
1.91% due 06/16/264,5   400,000    367,856 
First-Citizens Bank & Trust Co.          
3.93% due 06/19/245   15,200,000    15,102,389 
Ares Finance Company LLC          
4.00% due 10/08/244   14,617,000    14,305,133 
Bank of Nova Scotia          
1.23% (SOFR Compounded Index + 0.96%) due 03/11/24   14,250,000    14,186,934 
Jackson National Life Global Funding          
1.75% due 01/12/254   15,000,000    14,145,957 
FS KKR Capital Corp.          
4.25% due 02/14/254   7,600,000    7,164,991 
2.63% due 01/15/27   7,400,000    6,222,959 
Regions Financial Corp.          
2.25% due 05/18/25   14,000,000    13,356,184 
JPMorgan Chase & Co.          
1.47% due 09/22/275   15,000,000    13,155,914 
American Equity Investment Life Holding Co.          
5.00% due 06/15/27   13,075,000    12,907,695 
CNO Global Funding          
1.75% due 10/07/264   14,400,000    12,729,077 
ABN AMRO Bank N.V.          
1.54% due 06/16/274,5   14,000,000    12,261,876 
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.          
2.88% due 10/15/264   10,800,000   8,925,228 
3.88% due 03/01/314   4,100,000    3,072,089 
Fidelity & Guaranty Life Holdings, Inc.          
5.50% due 05/01/254   11,450,000    11,650,950 
Deloitte LLP          
4.35% due 11/17/23†††   7,300,000    7,270,889 
3.46% due 05/07/27†††   4,500,000    4,209,857 
American Tower Corp.          
1.60% due 04/15/26   12,500,000    11,171,562 
CBS Studio Center          
3.78% (30 Day Average SOFR + 3.00%, Rate Floor: 3.00%) due 01/09/24◊,†††   10,000,000    10,100,000 
Standard Chartered plc          
1.32% due 10/14/234,5   10,150,000    10,076,643 
Iron Mountain, Inc.          
4.88% due 09/15/274   7,360,000    6,650,128 
5.00% due 07/15/284   3,085,000    2,732,344 
Essex Portfolio, LP          
1.70% due 03/01/28   10,450,000    8,978,805 
Apollo Management Holdings, LP          
4.40% due 05/27/264   7,115,000    7,062,470 
4.00% due 05/30/244   1,846,000    1,821,708 
ING Groep N.V.          
1.73% due 04/01/275   9,800,000    8,749,759 
BPCE S.A.          
1.65% due 10/06/264,5   9,500,000    8,503,526 
OneMain Finance Corp.          
3.50% due 01/15/27   7,050,000    5,640,000 
6.13% due 03/15/24   1,500,000    1,432,500 
7.13% due 03/15/26   50,000    46,211 
First American Financial Corp.          
4.00% due 05/15/30   7,860,000    7,059,454 
Morgan Stanley          
2.19% due 04/28/265   7,000,000    6,553,070 
3.77% due 01/24/295   361,000    342,533 
KKR Group Finance Company VI LLC          
3.75% due 07/01/294   7,040,000    6,580,983 
SLM Corp.          
3.13% due 11/02/26   7,500,000    6,055,950 
SBA Communications Corp.          
3.13% due 02/01/29   6,500,000    5,320,250 
3.88% due 02/15/27   700,000    638,953 
Belrose Funding Trust          
2.33% due 08/15/304   7,100,000    5,690,337 
LPL Holdings, Inc.          
4.00% due 03/15/294   4,450,000    3,807,239 
4.63% due 11/15/274   2,000,000    1,867,807 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 34.0% (continued)
Financial -  14.2% (continued)        
Brighthouse Financial Global Funding        
1.38% (SOFR + 0.76%) due 04/12/24◊,4   5,050,000   $5,015,985 
Starwood Property Trust, Inc.          
3.75% due 12/31/244   5,275,000    4,800,250 
Horace Mann Educators Corp.          
4.50% due 12/01/25   4,420,000    4,338,410 
Jefferies Finance LLC / JFIN Company-Issuer Corp.          
5.00% due 08/15/284   4,300,000    3,536,750 
United Wholesale Mortgage LLC          
5.50% due 11/15/254   3,880,000    3,323,569 
5.50% due 04/15/294   275,000    210,554 
Peachtree Corners Funding Trust          
3.98% due 02/15/254   3,450,000    3,412,925 
Fairfax Financial Holdings Ltd.          
4.85% due 04/17/28   3,100,000    3,080,444 
Hunt Companies, Inc.          
5.25% due 04/15/294   3,250,000    2,762,500 
CNA Financial Corp.          
4.50% due 03/01/26   2,298,000    2,300,094 
Equitable Holdings, Inc.          
4.35% due 04/20/28   1,700,000    1,639,912 
Brookfield Finance, Inc.          
3.90% due 01/25/28   1,400,000    1,337,702 
CNO Financial Group, Inc.          
5.25% due 05/30/25   1,000,000    1,015,425 
Trinity Acquisition plc          
4.40% due 03/15/26   881,000    872,860 
Newmark Group, Inc.          
6.13% due 11/15/23   775,000    772,150 
Old Republic International Corp.          
3.88% due 08/26/26   700,000    680,292 
Equinix, Inc.          
1.55% due 03/15/28   700,000    588,782 
RenaissanceRe Finance, Inc.          
3.70% due 04/01/25   400,000    395,931 
Assurant, Inc.          
4.90% due 03/27/28   350,000    349,215 
Greystar Real Estate Partners LLC          
5.75% due 12/01/254   350,000    331,292 
PNC Bank North America          
3.88% due 04/10/25   150,000    148,731 
HUB International Ltd.          
7.00% due 05/01/264   150,000    141,060 
Total Financial        734,617,071 
Industrial -  4.4%          
Boeing Co.          
4.88% due 05/01/25   50,500,000    50,313,585 
2.20% due 02/04/26   10,450,000    9,419,271 
CNH Industrial Capital LLC          
1.45% due 07/15/26   12,500,000   11,039,367 
1.95% due 07/02/23   9,600,000    9,382,373 
1.88% due 01/15/26   4,960,000    4,495,663 
Berry Global, Inc.          
1.57% due 01/15/26   11,750,000    10,477,705 
4.88% due 07/15/264   5,165,000    4,929,269 
Sealed Air Corp.          
1.57% due 10/15/264   16,450,000    14,312,433 
TD SYNNEX Corp.          
1.25% due 08/09/244   14,400,000    13,439,536 
Graphic Packaging International LLC          
0.82% due 04/15/244   6,250,000    5,879,591 
1.51% due 04/15/264   6,500,000    5,866,445 
Silgan Holdings, Inc.          
1.40% due 04/01/264   12,600,000    11,255,696 
Teledyne Technologies, Inc.          
2.25% due 04/01/28   12,000,000    10,410,512 
Ryder System, Inc.          
3.35% due 09/01/25   10,600,000    10,275,747 
Vontier Corp.          
1.80% due 04/01/26   7,050,000    6,150,914 
2.40% due 04/01/28   3,900,000    3,268,976 
Standard Industries, Inc.          
5.00% due 02/15/274   6,000,000    5,355,340 
4.75% due 01/15/284   2,671,000    2,283,705 
Penske Truck Leasing Company LP / PTL Finance Corp.          
4.45% due 01/29/264   5,475,000    5,395,909 
4.20% due 04/01/274   500,000    487,643 
Owens Corning          
3.88% due 06/01/30   5,910,000    5,396,291 
IP Lending V Ltd.          
5.13% due 04/02/26†††,4   3,900,000    3,877,846 
Jabil, Inc.          
1.70% due 04/15/26   3,800,000    3,402,499 
GATX Corp.          
3.85% due 03/30/27   2,900,000    2,816,349 
3.50% due 03/15/28   200,000    186,998 
Hardwood Funding LLC          
2.37% due 06/07/28†††   3,000,000    2,711,758 
Weir Group plc          
2.20% due 05/13/264   2,610,000    2,294,651 
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc          
4.00% due 09/01/294   2,500,000    2,006,250 
Huntington Ingalls Industries, Inc.          
2.04% due 08/16/28   2,250,000    1,919,033 
National Basketball Association          
2.51% due 12/16/24†††   1,900,000    1,832,562 
Xylem, Inc.          
1.95% due 01/30/28   2,050,000    1,810,554 
Mueller Water Products, Inc.          
4.00% due 06/15/294   1,300,000    1,134,042 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 34.0% (continued)
Industrial -  4.4% (continued)        
Brundage-Bone Concrete Pumping Holdings, Inc.        
6.00% due 02/01/264   800,000   $677,459 
JELD-WEN, Inc.          
6.25% due 05/15/254   535,000    513,600 
Amsted Industries, Inc.          
4.63% due 05/15/304   350,000    298,375 
5.63% due 07/01/274   100,000    94,000 
Summit Materials LLC / Summit Materials Finance Corp.          
5.25% due 01/15/294   275,000    239,937 
6.50% due 03/15/274   75,000    72,332 
EnerSys          
5.00% due 04/30/234   175,000    173,397 
Harsco Corp.          
5.75% due 07/31/274   125,000    100,025 
Howmet Aerospace, Inc.          
6.88% due 05/01/25   35,000    35,955 
Total Industrial        226,033,593 
Consumer, Non-cyclical -  4.3%          
Triton Container International Ltd.          
1.15% due 06/07/244   26,000,000    24,340,793 
0.80% due 08/01/234   14,550,000    13,787,289 
2.05% due 04/15/264   1,800,000    1,591,610 
Global Payments, Inc.          
2.15% due 01/15/27   31,000,000    27,514,433 
Baxter International, Inc.          
1.92% due 02/01/27   15,500,000    13,880,661 
GXO Logistics, Inc.          
1.65% due 07/15/26   15,000,000    13,088,564 
CoStar Group, Inc.          
2.80% due 07/15/304   15,280,000    12,722,015 
Laboratory Corporation of America Holdings          
1.55% due 06/01/26   13,700,000    12,290,997 
BAT International Finance plc          
1.67% due 03/25/26   13,000,000    11,503,470 
Element Fleet Management Corp.          
1.60% due 04/06/244   10,250,000    9,760,909 
Prime Security Services Borrower LLC / Prime Finance, Inc.          
3.38% due 08/31/274   11,200,000    9,226,000 
PRA Health Sciences, Inc.          
2.88% due 07/15/264   10,280,000    9,149,200 
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.          
5.13% due 02/01/284   8,000,000    7,812,160 
Altria Group, Inc.          
2.35% due 05/06/25   8,000,000    7,553,611 
Block, Inc.          
2.75% due 06/01/264   7,600,000    6,742,948 
Spectrum Brands, Inc.          
5.75% due 07/15/25   6,780,000    6,694,590 
BAT Capital Corp.          
4.70% due 04/02/27   4,220,000   4,122,142 
3.56% due 08/15/27   2,000,000    1,829,677 
US Foods, Inc.          
6.25% due 04/15/254   3,750,000    3,740,625 
4.75% due 02/15/294   1,011,000    883,806 
Royalty Pharma plc          
1.75% due 09/02/27   5,150,000    4,390,085 
Olympus Corp.          
2.14% due 12/08/264   4,350,000    3,968,239 
DaVita, Inc.          
4.63% due 06/01/304   3,086,000    2,406,654 
3.75% due 02/15/314   800,000    573,592 
FAGE International S.A. / FAGE USA Dairy Industry, Inc.          
5.63% due 08/15/264   2,828,000    2,411,086 
Bunge Limited Finance Corp.          
1.63% due 08/17/25   1,900,000    1,750,300 
Hologic, Inc.          
3.25% due 02/15/294   1,550,000    1,324,785 
Molina Healthcare, Inc.          
4.38% due 06/15/284   1,115,000    995,997 
Avantor Funding, Inc.          
4.63% due 07/15/284   1,050,000    962,535 
IQVIA, Inc.          
5.00% due 05/15/274   850,000    804,185 
Service Corporation International          
3.38% due 08/15/30   750,000    614,063 
Sabre GLBL, Inc.          
7.38% due 09/01/254   343,000    318,132 
9.25% due 04/15/254   132,000    127,189 
Edwards Lifesciences Corp.          
4.30% due 06/15/28   420,000    409,287 
Zimmer Biomet Holdings, Inc.          
3.05% due 01/15/26   400,000    384,029 
Smithfield Foods, Inc.          
4.25% due 02/01/274   350,000    336,903 
Performance Food Group, Inc.          
5.50% due 10/15/274   100,000    92,574 
Total Consumer, Non-cyclical        220,105,135 
Communications -  2.9%          
Level 3 Financing, Inc.          
5.38% due 05/01/25   11,055,000    10,707,541 
3.63% due 01/15/294   5,070,000    3,909,234 
5.25% due 03/15/26   3,991,000    3,761,517 
4.25% due 07/01/284   2,277,000    1,824,446 
3.75% due 07/15/294   2,150,000    1,662,391 
FactSet Research Systems, Inc.          
2.90% due 03/01/27   22,750,000    21,271,248 
Verizon Communications, Inc.          
2.10% due 03/22/28   22,600,000    20,073,808 
Paramount Global          
4.95% due 01/15/31   13,560,000    12,909,253 
4.75% due 05/15/25   3,590,000    3,623,306 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 34.0% (continued)
Communications -  2.9% (continued)        
T-Mobile USA, Inc.        
2.25% due 02/15/264   8,150,000   $7,334,130 
3.50% due 04/15/25   5,000,000    4,890,200 
2.63% due 04/15/26   3,200,000    2,904,000 
Rogers Communications, Inc.          
2.95% due 03/15/254   14,400,000    13,910,753 
Charter Communications Operating LLC / Charter Communications Operating Capital          
2.25% due 01/15/29   11,700,000    9,613,509 
2.80% due 04/01/31   3,250,000    2,602,788 
Cogent Communications Group, Inc.          
3.50% due 05/01/264   12,350,000    11,362,000 
Ziggo BV          
4.88% due 01/15/304   10,800,000    9,157,773 
Virgin Media Vendor Financing Notes IV DAC          
5.00% due 07/15/284   1,850,000    1,530,817 
Thomson Reuters Corp.          
3.35% due 05/15/26   1,550,000    1,503,648 
Fox Corp.          
3.05% due 04/07/25   1,360,000    1,316,840 
AMC Networks, Inc.          
4.75% due 08/01/25   500,000    465,770 
4.25% due 02/15/29   225,000    182,293 
TripAdvisor, Inc.          
7.00% due 07/15/254   400,000    387,208 
CSC Holdings LLC          
4.13% due 12/01/304   250,000    195,000 
3.38% due 02/15/314   225,000    166,345 
Sirius XM Radio, Inc.          
5.50% due 07/01/294   75,000    68,344 
Match Group Holdings II LLC          
4.63% due 06/01/284   75,000    67,995 
Total Communications        147,402,157 
Technology -  2.8%          
HCL America, Inc.          
1.38% due 03/10/264   38,700,000    34,822,937 
CDW LLC / CDW Finance Corp.          
2.67% due 12/01/26   22,350,000    19,912,380 
3.25% due 02/15/29   810,000    682,967 
NetApp, Inc.          
2.38% due 06/22/27   17,800,000    16,179,950 
Infor, Inc.          
1.75% due 07/15/254   13,800,000    12,764,159 
1.45% due 07/15/234   1,100,000    1,070,159 
Qorvo, Inc.          
1.75% due 12/15/244   10,600,000    9,901,672 
4.38% due 10/15/29   1,380,000    1,213,600 
3.38% due 04/01/314   1,200,000    943,608 
Oracle Corp.          
2.30% due 03/25/28   12,400,000    10,668,840 
Fidelity National Information Services, Inc.          
1.65% due 03/01/28   11,000,000    9,383,455 
Microchip Technology, Inc.          
0.98% due 09/01/24   8,750,000   8,159,754 
Citrix Systems, Inc.          
1.25% due 03/01/26   7,250,000    7,014,105 
Broadcom, Inc.          
4.93% due 05/15/374   3,157,000    2,830,385 
4.15% due 11/15/30   2,329,000    2,133,861 
NCR Corp.          
5.13% due 04/15/294   2,850,000    2,410,359 
Leidos, Inc.          
3.63% due 05/15/25   1,950,000    1,908,797 
Twilio, Inc.          
3.63% due 03/15/29   994,000    835,656 
MSCI, Inc.          
3.88% due 02/15/314   379,000    324,045 
Boxer Parent Company, Inc.          
7.13% due 10/02/254   150,000    143,634 
Total Technology        143,304,323 
Consumer, Cyclical -  2.3%          
Magallanes, Inc.          
3.64% due 03/15/254   33,600,000    32,541,919 
Hyatt Hotels Corp.          
1.80% due 10/01/24   12,300,000    11,626,089 
5.63% due 04/23/25   7,220,000    7,312,939 
5.75% due 04/23/30   4,320,000    4,349,669 
Marriott International, Inc.          
4.63% due 06/15/30   7,320,000    7,017,569 
5.75% due 05/01/25   6,610,000    6,857,305 
2.13% due 10/03/22   2,345,000    2,338,457 
Alt-2 Structured Trust          
2.95% due 05/14/31◊,†††   11,684,580    10,686,673 
Delta Air Lines Inc. / SkyMiles IP Ltd.          
4.50% due 10/20/254   10,000,000    9,716,628 
Choice Hotels International, Inc.          
3.70% due 01/15/31   7,350,000    6,514,328 
Hilton Domestic Operating Company, Inc.          
3.63% due 02/15/324   5,400,000    4,289,625 
4.00% due 05/01/314   300,000    249,300 
Delta Air Lines, Inc.          
7.00% due 05/01/254   4,300,000    4,352,411 
American Airlines Class AA Pass Through Trust          
3.35% due 10/15/29   2,742,289    2,518,843 
3.00% due 10/15/28   1,680,272    1,522,835 
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.          
6.50% due 06/20/274   3,350,000    3,292,380 
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.          
5.88% due 03/01/27   2,300,000    2,169,383 
Air Canada          
3.88% due 08/15/264   2,350,000    1,987,842 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 34.0% (continued)
Consumer, Cyclical -  2.3% (continued)        
1011778 BC ULC / New Red Finance, Inc.        
5.75% due 04/15/254   700,000   $704,077 
Tempur Sealy International, Inc.          
4.00% due 04/15/294   375,000    302,078 
Aramark Services, Inc.          
5.00% due 02/01/284   275,000    249,208 
Powdr Corp.          
6.00% due 08/01/254   222,000    220,335 
Total Consumer, Cyclical        120,819,893 
Utilities -  1.2%          
Alexander Funding Trust          
1.84% due 11/15/234   19,050,000    18,238,529 
CenterPoint Energy, Inc.          
1.40% (SOFR Compounded Index + 0.65%) due 05/13/24   10,400,000    10,143,627 
OGE Energy Corp.          
0.70% due 05/26/23   10,200,000    9,939,448 
Entergy Corp.          
1.90% due 06/15/28   9,100,000    7,806,990 
Terraform Global Operating LLC          
6.13% due 03/01/264   6,170,000    5,864,139 
Southern Co.          
1.75% due 03/15/28   5,000,000    4,275,148 
AES Corp.          
3.30% due 07/15/254   4,250,000    3,986,415 
Puget Energy, Inc.          
2.38% due 06/15/28   3,600,000    3,147,261 
Total Utilities        63,401,557 
Basic Materials -  1.1%          
Anglo American Capital plc          
2.25% due 03/17/284   14,000,000    12,064,718 
2.63% due 09/10/304   9,370,000    7,710,828 
4.00% due 09/11/274   750,000    713,012 
5.38% due 04/01/254   600,000    615,095 
Valvoline, Inc.          
3.63% due 06/15/314   11,161,000    8,928,800 
4.25% due 02/15/304   125,000    104,375 
Kaiser Aluminum Corp.          
4.63% due 03/01/284   9,643,000    8,027,994 
Arconic Corp.          
6.00% due 05/15/254   7,811,000    7,618,099 
Nucor Corp.          
2.00% due 06/01/25   5,000,000    4,705,186 
Alcoa Nederland Holding BV          
5.50% due 12/15/274   3,675,000    3,482,063 
Carpenter Technology Corp.          
6.38% due 07/15/28   1,145,000    1,022,038 
Steel Dynamics, Inc.          
2.40% due 06/15/25   1,050,000    993,224 
ArcelorMittal S.A.          
4.55% due 03/11/26   400,000    394,207 
Minerals Technologies, Inc.          
5.00% due 07/01/284   140,000   121,842 
Total Basic Materials        56,501,481 
Energy -  0.8%          
Galaxy Pipeline Assets Bidco Ltd.          
2.16% due 03/31/344   19,217,200    16,327,478 
Rattler Midstream, LP          
5.63% due 07/15/254   7,250,000    7,246,882 
BP Capital Markets plc          
4.88% 5,6   7,500,000    6,529,844 
Occidental Petroleum Corp.          
5.50% due 12/01/25   5,000,000    4,925,000 
Valero Energy Corp.          
2.15% due 09/15/27   3,100,000    2,759,186 
2.85% due 04/15/25   429,000    414,590 
Sabine Pass Liquefaction LLC          
5.63% due 03/01/25   500,000    509,952 
5.00% due 03/15/27   300,000    300,726 
Cheniere Corpus Christi Holdings LLC          
7.00% due 06/30/24   550,000    569,911 
Gulfstream Natural Gas System LLC          
4.60% due 09/15/254   400,000    399,926 
Parkland Corp.          
5.88% due 07/15/274   80,000    72,600 
Total Energy        40,056,095 
Total Corporate Bonds          
(Cost $1,931,287,312)        1,752,241,305 
           
ASSET-BACKED SECURITIES†† - 31.1%          
Collateralized Loan Obligations -  20.0%          
THL Credit Lake Shore MM CLO I Ltd.          
2021-1A A1R, 2.74% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,4   48,500,000    48,133,267 
2021-1A A2R, 2.89% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 04/15/33◊,4   6,250,000    6,165,858 
BXMT Ltd.          
2020-FL2 A, 2.49% (1 Month Term SOFR + 1.01%, Rate Floor: 0.90%) due 02/15/38◊,4   25,122,000    24,642,883 
2020-FL2 AS, 2.74% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38   14,310,000    13,838,105 
2020-FL3 AS, 2.64% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 11/15/37◊,4   4,500,000    4,350,632 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 31.1% (continued)
Collateralized Loan Obligations -  20.0% (continued)        
2020-FL3 B, 3.04% (30 Day Average SOFR + 2.26%, Rate Floor: 2.15%) due 11/15/37   2,000,000   $1,943,040 
2020-FL2 B, 2.99% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 02/15/38   2,000,000    1,925,785 
Shackleton CLO Ltd.          
2017-8A A1R, 1.98% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/27◊,4   36,883,913    36,509,663 
Golub Capital Partners CLO 49M Ltd.          
2021-49A AR, 2.59% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/26/33◊,4   36,500,000    35,497,816 
CHCP Ltd.          
2021-FL1 A, 2.50% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,4   34,750,000    34,058,677 
LCM XXIV Ltd.          
2021-24A AR, 2.04% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.98%) due 03/20/30◊,4   31,250,000    30,655,281 
ABPCI Direct Lending Fund IX LLC          
2021-9A A1R, 2.63% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/18/31◊,4   30,750,000    30,116,464 
Golub Capital Partners CLO 54M, LP          
2021-54A A, 2.89% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/33◊,4   29,000,000    28,201,372 
LCCM Trust          
2021-FL3 A, 2.77% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,4   22,250,000    21,600,596 
2021-FL2 B, 3.22% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/13/38◊,4   6,000,000    5,733,880 
Parliament CLO II Ltd.          
2021-2A B, 2.18% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 08/20/32◊,4   22,250,000    21,564,633 
2021-2A A, 1.83% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/20/32◊,4   5,250,000   5,219,640 
2021-2A C, 3.03% (3 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 08/20/32◊,4   500,000    475,947 
Golub Capital Partners CLO 36M Ltd.          
2018-36A A, 2.66% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,4   27,500,000    27,226,389 
LoanCore Issuer Ltd.          
2019-CRE2 AS, 2.82% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,4   8,550,000    8,394,017 
2021-CRE5 B, 3.32% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/15/36◊,4   7,900,000    7,417,276 
2021-CRE4 B, 2.14% (30 Day Average SOFR + 1.36%, Rate Floor: 1.25%) due 07/15/35◊,4   7,500,000    7,135,565 
2018-CRE1 AS, 2.82% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/28◊,4   3,500,000    3,458,409 
2018-CRE1 A, 2.45% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/28◊,4   775,152    774,183 
Palmer Square Loan Funding Ltd.          
2021-1A A1, 1.96% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 04/20/29◊,4   13,639,042    13,473,348 
2022-1A A2, 1.74% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,4   5,000,000    4,783,163 
2021-3A B, 2.81% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/20/29◊,4   5,000,000    4,736,247 
2021-2A B, 2.88% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/29◊,4   4,000,000    3,792,632 
Owl Rock CLO IV Ltd.          
2021-4A A1R, 3.08% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,4   24,250,000    23,161,042 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 31.1% (continued)
Collateralized Loan Obligations -  20.0% (continued)        
2021-4A A2R, 3.38% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/20/33◊,4   3,650,000   $3,389,233 
Golub Capital Partners CLO 16 Ltd.          
2021-16A A1R2, 2.79% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,4   27,650,000    26,453,806 
ABPCI Direct Lending Fund CLO V Ltd.          
2021-5A A2R, 2.96% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/31◊,4   15,500,000    14,771,863 
2021-5A A1R, 2.56% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,4   11,500,000    11,324,745 
Cerberus Loan Funding XXVI, LP          
2021-1A AR, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,4   23,000,000    22,673,002 
2021-1A BR, 2.94% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/31◊,4   3,250,000    3,161,816 
HERA Commercial Mortgage Ltd.          
2021-FL1 A, 2.66% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/38   22,750,000    21,956,944 
2021-FL1 B, 3.21% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/38◊,4   3,750,000    3,535,165 
Cerberus Loan Funding XXXIV, LP          
2021-4A A, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 08/13/33◊,4   25,225,641    25,185,893 
Cerberus Loan Funding XXXI, LP          
2021-1A A, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,4   13,500,000    13,356,985 
2021-1A B, 2.94% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/32◊,4   9,600,000    9,371,449 
Golub Capital Partners CLO 33M Ltd.          
2021-33A AR2, 3.38% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,4   23,000,000   22,318,620 
Madison Park Funding XLVIII Ltd.          
2021-48A B, 2.49% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/33◊,4   22,000,000    20,820,081 
Cerberus Loan Funding XXX, LP          
2020-3A A, 2.89% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,4   18,000,000    17,806,304 
Cerberus Loan Funding XXXII, LP          
2021-2A A, 2.66% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,4   14,250,000    13,800,025 
2021-2A B, 2.94% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/22/33◊,4   4,000,000    3,743,664 
ABPCI Direct Lending Fund CLO II LLC          
2021-1A A1R, 2.66% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,4   15,250,000    15,030,254 
2021-1A BR, 3.21% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 04/20/32◊,4   2,250,000    2,140,860 
2021-1A A2R, 2.96% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/32◊,4   300,000    296,315 
Woodmont Trust          
2020-7A A1A, 2.94% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,4   16,250,000    16,131,156 
BRSP Ltd.          
2021-FL1 C, 3.76% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 08/19/38◊,4   10,000,000    9,450,876 
2021-FL1 B, 3.51% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/19/38◊,4   6,400,000    6,071,786 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 31.1% (continued)
Collateralized Loan Obligations -  20.0% (continued)        
ACRES Commercial Realty Ltd.        
2021-FL1 B, 3.32% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 06/15/36◊,4   11,200,000   $10,659,897 
2021-FL1 C, 3.52% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/15/36   4,800,000    4,485,146 
AMMC CLO XI Ltd.          
2020-11A A2R3, 1.83% due 04/30/314   14,300,000    13,478,721 
Cerberus Loan Funding XXXIII, LP          
2021-3A A, 2.60% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/33◊,4   11,500,000    11,196,608 
2021-3A B, 2.89% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/33◊,4   2,250,000    2,090,120 
Fortress Credit Opportunities XI CLO Ltd.          
2018-11A A1T, 2.34% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,4   13,450,000    13,271,276 
BDS Ltd.          
2021-FL8 D, 3.51% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/18/36◊,4   7,000,000    6,259,171 
2021-FL9 C, 3.51% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 11/16/38◊,4   5,000,000    4,752,861 
2020-FL5 B, 3.42% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 02/16/37   1,400,000    1,333,476 
ABPCI Direct Lending Fund CLO I LLC          
2021-1A A1A2, 2.76% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,4   12,250,000    12,054,860 
Fortress Credit Opportunities IX CLO Ltd.          
2021-9A A2TR, 2.84% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/33◊,4   11,500,000    11,278,095 
Lake Shore MM CLO III LLC        
2021-2A A1R, 2.52% (3 Month USD LIBOR + 1.48%, Rate Floor: 1.48%) due 10/17/31◊,4   11,250,000   11,137,156 
Madison Park Funding LIII Ltd.          
2022-53A B, 1.94% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,4   10,750,000    10,119,617 
Cerberus Loan Funding XXXVI, LP          
2021-6A A, 2.44% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,4   10,091,855    10,042,891 
FS Rialto          
2021-FL3 B, 3.31% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/36   7,500,000    6,999,103 
2021-FL2 C, 3.56% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 05/16/38   3,250,000    3,024,944 
KREF          
2021-FL2 B, 3.17% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 02/15/39◊,4   10,000,000    9,477,950 
Neuberger Berman CLO XVI-S Ltd.          
2021-16SA BR, 2.44% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/34◊,4   10,200,000    9,467,455 
Recette CLO Ltd.          
2021-1A BRR, 2.46% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 04/20/34◊,4   10,000,000    9,255,313 
ABPCI Direct Lending Fund CLO VII, LP          
2021-7A A1R, 2.66% (3 Month USD LIBOR + 1.43%, Rate Floor: 1.43%) due 10/20/31◊,4   9,250,000    9,079,537 
PFP Ltd.          
2021-7 B, 2.91% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/14/38◊,4   4,599,770    4,302,692 
2021-7 D, 3.91% (1 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/14/38◊,4   4,104,795    3,763,929 

 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 31.1% (continued)
Collateralized Loan Obligations -  20.0% (continued)        
Cerberus Loan Funding XXXV, LP        
2021-5A A, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/33◊,4   8,000,000   $7,725,948 
GoldenTree Loan Management US CLO 1 Ltd.          
2021-9A B, 2.56% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/20/33◊,4   7,000,000    6,685,818 
2021-9A C, 2.86% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/33◊,4   1,000,000    930,165 
BCC Middle Market CLO LLC          
2021-1A A1R, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,4   6,750,000    6,547,300 
NewStar Fairfield Fund CLO Ltd.          
2018-2A A1N, 2.33% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/30◊,4   6,529,571    6,448,977 
KREF Funding V LLC          
  1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26◊,†††   6,426,529    6,399,894 
    0.15% due 06/25/26†††,7   27,272,727    6,545 
Cerberus 2112 Levered LLC          
   3.20% (3 Month Term SOFR + 2.35%, Rate Floor: 2.35%) due 02/15/29◊,†††   5,750,000    5,751,658 
Neuberger Berman Loan Advisers CLO 40 Ltd.          
2021-40A B, 2.44% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/16/33◊,4   6,000,000    5,632,545 
MF1 Multifamily Housing Mortgage Loan Trust          
2021-FL6 B, 3.17% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/16/36◊,4   6,000,000    5,610,308 
STWD Ltd.          
2019-FL1 C, 3.40% (1 Month Term SOFR + 2.06%, Rate Floor: 1.95%) due 07/15/38   3,200,000    3,013,492 
2021-FL2 B, 3.32% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/18/38◊,4   2,187,000   2,063,621 
Owl Rock CLO II Ltd.          
2021-2A ALR, 2.61% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/33◊,4   5,000,000    4,895,324 
CIFC Funding Ltd.          
2021-4A A1B2, 2.31% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/34◊,4   5,000,000    4,806,691 
BSPRT Issuer Ltd.          
2021-FL6 C, 3.37% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/36   5,000,000    4,635,780 
Carlyle Global Market Strategies CLO Ltd.          
2018-4A A1RR, 2.04% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 01/15/31◊,4   4,681,009    4,569,264 
ACRE Commercial Mortgage Ltd.          
2021-FL4 AS, 2.71% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/37◊,4   4,500,000    4,331,978 
VOYA CLO          
2021-2A BR, 3.19% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 06/07/30◊,4   4,500,000    4,316,203 
Neuberger Berman Loan Advisers CLO 32 Ltd.          
2021-32A BR, 2.44% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/20/32◊,4   4,000,000    3,787,046 
Magnetite XXIX Ltd.          
2021-29A B, 2.44% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/15/34◊,4   4,000,000    3,779,800 
Owl Rock CLO VI Ltd.          
2021-6A B1, 3.85% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/21/32◊,4   3,500,000    3,279,115 
AMMC CLO XIV Ltd.          
2021-14A A2R2, 2.58% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/29◊,4   3,250,000    3,134,668 

 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 31.1% (continued)
Collateralized Loan Obligations -  20.0% (continued)        
Boyce Park CLO Ltd.        
2022-1A B1, 2.37% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,4   3,000,000   $2,797,829 
Marathon CLO V Ltd.          
2017-5A A1R, 2.38% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,4   2,569,724    2,560,142 
Golub Capital Partners CLO 17 Ltd.          
2017-17A A1R, 2.83% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,4   2,500,000    2,476,087 
Greystone Commercial Real Estate Notes          
2021-FL3 B, 2.97% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/15/39◊,4   2,200,000    2,055,608 
Neuberger Berman Loan Advisers CLO 47 Ltd.          
2022-47A B, 2.05% (3 Month Term SOFR + 1.80%, Rate Floor: 1.80%) due 04/14/35◊,4   2,000,000    1,919,405 
HGI CRE CLO Ltd.          
2021-FL2 B, 3.01% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/17/36   2,000,000    1,918,816 
GPMT Ltd.          
2019-FL2 A, 2.93% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/36   1,424,029    1,420,526 
Dryden 37 Senior Loan Fund          
2015-37A Q,  due 01/15/314,8   1,500,000    1,164,396 
TRTX Issuer Ltd.          
2019-FL3 A, 2.74% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 10/15/34   1,043,589    1,039,100 
Newfleet CLO Ltd.          
2018-1A A1R, 2.01% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,4   679,092    674,663 
Northwoods Capital XII-B Ltd.          
2018-12BA X, 2.58% (3 Month USD LIBOR + 0.75%, Rate Floor: 0.75%) due 06/15/31◊,4   437,500    437,131 
Halcyon Loan Advisors Funding Ltd.          
2017-3A A1R, 1.94% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/27◊,4   301,066   300,885 
Carlyle GMS Finance MM CLO LLC          
2018-1A A12R, 2.82% (3 Month USD LIBOR + 1.78%, Rate Floor: 0.00%) due 10/15/31◊,4   250,000    247,257 
KVK CLO Ltd.          
2017-1A AR, 1.94% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/28◊,4   142,668    142,606 
Treman Park CLO Ltd.          
2015-1A COM,  due 10/20/284,8   325,901    50,710 
OHA Credit Partners IX Ltd.          
2013-9A ACOM,  due 10/20/254,8   301,370    332 
Copper River CLO Ltd.          
2007-1A INC,  due 01/20/218,9   500,000    106 
Total Collateralized Loan Obligations        1,032,865,209 
Financial -  3.6%          
Station Place Securitization Trust          
2021-15, 2.23% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 09/26/22◊,†††,4   61,500,000    61,500,000 
2021-SP1, 3.38% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22◊,†††,4   3,000,000    3,000,000 
Station Place Securitization Trust Series          
2021-14, 2.33% (1 Month USD LIBOR + 0.70%, Rate Floor: 0.70%) due 12/08/22◊,†††,4   35,000,000    35,000,000 
Strategic Partners Fund VIII LP          
   4.20% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,†††   27,500,000    27,469,904 
HV Eight LLC          
   2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25◊,†††  EUR  21,000,000    21,948,987 

 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 31.1% (continued)
Financial -  3.6% (continued)        
Madison Avenue Secured Funding Trust Series        
2021-1, 2.47% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,4   15,900,000   $15,900,000 
Project Onyx          
   2.50% (90 Day Average SOFR + 2.30%, Rate Floor: 2.30%) due 01/26/27◊,†††   7,000,000    7,001,445 
KKR Core Holding Company LLC          
 4.00% due 08/12/31†††   7,030,129    6,209,418 
Ceamer Finance LLC          
 3.69% due 03/22/31†††   4,459,767    4,130,260 
Thunderbird A          
 5.50% due 03/01/37†††   1,856,000    1,856,000 
Lightning A          
 5.50% due 03/01/37†††   1,856,000    1,856,000 
Aesf Vi Verdi, LP          
 2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,†††  EUR  1,027,157    1,071,866 
Total Financial        186,943,880 
Transport-Container -  1.8%          
Triton Container Finance VIII LLC          
2021-1A, 1.86% due 03/20/464   36,196,875    31,592,871 
Textainer Marine Containers VII Ltd.          
2021-1A, 1.68% due 02/20/464   10,094,667    8,803,922 
2020-1A, 2.73% due 08/21/454   4,707,681    4,412,245 
2020-2A, 2.10% due 09/20/454   4,169,890    3,773,720 
CLI Funding VI LLC          
2020-3A, 2.07% due 10/18/454   15,247,500    13,749,180 
2020-1A, 2.08% due 09/18/454   1,631,500    1,457,187 
CLI Funding VIII LLC          
2021-1A, 1.64% due 02/18/464   16,243,304    14,325,285 
TIF Funding II LLC          
2021-1A, 1.65% due 02/20/464   16,290,812    14,011,197 
CAL Funding IV Ltd.          
2020-1A, 2.22% due 09/25/454   3,192,188   2,877,720 
Total Transport-Container        95,003,327 
Whole Business -  1.7%          
Applebee's Funding LLC / IHOP Funding LLC          
2019-1A, 4.19% due 06/05/494   31,042,440    30,114,644 
Taco Bell Funding LLC          
2021-1A, 1.95% due 08/25/514   18,656,250    16,253,623 
SERVPRO Master Issuer LLC          
2021-1A, 2.39% due 04/25/514   11,979,000    10,256,875 
2019-1A, 3.88% due 10/25/494   6,093,750    5,673,757 
ServiceMaster Funding LLC          
2020-1, 2.84% due 01/30/514   9,134,375    7,861,253 
Wingstop Funding LLC          
2020-1A, 2.84% due 12/05/504   7,820,700    6,947,988 
Arbys Funding LLC          
2020-1A, 3.24% due 07/30/504   7,123,125    6,399,693 
Domino's Pizza Master Issuer LLC          
2019-1A, 3.67% due 10/25/494   1,710,625    1,548,299 
Total Whole Business        85,056,132 
Net Lease -  1.4%          
Oak Street Investment Grade Net Lease Fund Series          
2020-1A, 1.85% due 11/20/504   39,624,820    36,257,887 
STORE Master Funding I LLC          
2015-1A, 4.17% due 04/20/454   10,316,583    10,009,442 
STORE Master Funding LLC          
2021-1A, 2.86% due 06/20/514   6,915,250    6,059,282 
CF Hippolyta Issuer LLC          
2021-1A, 1.98% due 03/15/614   5,883,483    5,078,282 
CMFT Net Lease Master Issuer LLC          
2021-1, 2.91% due 07/20/514   3,000,000    2,612,295 
2021-1, 2.51% due 07/20/514   2,500,000    2,160,319 
CARS-DB4, LP          
2020-1A, 3.19% due 02/15/504   3,979,167    3,800,013 
2020-1A, 3.25% due 02/15/504   895,518    797,760 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 31.1% (continued)
Net Lease -  1.4% (continued)        
New Economy Assets Phase 1 Sponsor LLC        
2021-1, 1.91% due 10/20/614   2,500,000   $2,180,282 
Capital Automotive REIT          
2020-1A, 3.48% due 02/15/504   1,989,583    1,856,489 
Total Net Lease        70,812,051 
Transport-Aircraft -  1.3%          
AASET Trust          
2021-1A, 2.95% due 11/16/414   16,140,728    13,503,530 
2017-1A, 3.97% due 05/16/424   3,184,285    2,642,571 
AASET US Ltd.          
2018-2A, 4.45% due 11/18/384   13,587,517    11,541,179 
Sapphire Aviation Finance I Ltd.          
2018-1A, 4.25% due 03/15/404   8,919,944    7,440,282 
KDAC Aviation Finance Ltd.          
2017-1A, 4.21% due 12/15/424   8,371,407    6,655,269 
MAPS Ltd.          
2018-1A, 4.21% due 05/15/434   6,631,486    6,143,700 
Sapphire Aviation Finance II Ltd.          
2020-1A, 3.23% due 03/15/404   6,455,934    5,645,322 
Castlelake Aircraft Structured Trust          
2021-1A, 3.47% due 01/15/464   5,322,154    4,736,421 
Castlelake Aircraft Securitization Trust          
2018-1, 4.13% due 06/15/434   4,775,081    4,291,602 
Falcon Aerospace Ltd.          
2019-1, 3.60% due 09/15/394   2,497,528    2,109,040 
2017-1, 4.58% due 02/15/424   1,090,580    1,011,874 
Raspro Trust          
2005-1A, 1.99% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,†††,4   1,969,886    1,875,980 
Total Transport-Aircraft        67,596,770 
Collateralized Debt Obligations -  0.9%          
Anchorage Credit Funding 4 Ltd.          
2021-4A AR, 2.72% due 04/27/394   24,650,000    21,550,053 
Anchorage Credit Funding Ltd.          
2021-13A A1, 2.88% due 07/27/394   8,500,000   7,442,533 
2021-13A B2, 3.15% due 07/27/394   8,050,000    6,785,299 
Anchorage Credit Funding 3 Ltd.          
2021-3A A1R, 2.87% due 01/28/394   9,750,000    8,644,319 
Total Collateralized Debt Obligations        44,422,204 
Infrastructure -  0.3%          
VB-S1 Issuer LLC - VBTEL          
2022-1A, 4.29% due 02/15/524   9,250,000    8,385,486 
Secured Tenant Site Contract Revenue Notes Series          
2018-1A, 3.97% due 06/15/484   6,938,810    6,856,823 
Total Infrastructure        15,242,309 
Single Family Residence -  0.1%          
FirstKey Homes Trust          
2021-SFR1, 2.19% due 08/17/384   4,000,000    3,525,925 
Total Asset-Backed Securities          
(Cost $1,684,614,450)        1,601,467,807 
           
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 15.5%          
Residential Mortgage-Backed Securities -  13.4%          
CSMC Trust          
2021-RPL1, 1.67% (WAC) due 09/27/60◊,4   32,616,672    30,868,572 
2021-RPL7, 1.93% (WAC) due 07/27/61◊,4   14,830,977    13,782,771 
2020-RPL5, 3.02% (WAC) due 08/25/60◊,4   14,001,572    13,505,363 
2021-RPL4, 1.80% (WAC) due 12/27/60◊,4   8,865,567    8,337,134 
2018-RPL9, 3.85% (WAC) due 09/25/57◊,4   6,049,022    5,953,705 
2020-NQM1, 1.41% due 05/25/654,10   2,761,940    2,613,137 
PRPM LLC          
2021-5, 1.79% due 06/25/264,10   24,434,783    22,866,639 
2022-1, 3.72% due 02/25/274,10   22,462,715    21,580,595 
2021-8, 1.74% (WAC) due 09/25/26◊,4   11,715,769    10,898,243 
2021-RPL2, 2.49% (WAC) due 10/25/51◊,4   2,500,000    2,226,488 
Legacy Mortgage Asset Trust          
2021-GS3, 1.75% due 07/25/614,10   24,078,628    22,146,961 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 15.5% (continued)
Residential Mortgage-Backed Securities -  13.4% (continued)        
2021-GS4, 1.65% due 11/25/604,10   20,458,535   $18,964,248 
2021-GS2, 1.75% due 04/25/614,10   8,959,822    8,399,431 
2021-GS5, 2.25% due 07/25/674,10   5,765,519    5,371,732 
BRAVO Residential Funding Trust          
2021-C, 1.62% due 03/01/614,10   24,232,258    22,443,990 
2022-R1, 3.13% due 01/29/704,10   18,209,194    16,461,424 
2021-HE2, 1.78% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 11/25/69◊,4   3,517,805    3,478,594 
2021-HE2, 1.98% (30 Day Average SOFR + 1.05%, Rate Floor: 0.00%) due 11/25/69◊,4   3,230,308    3,194,160 
2021-HE1, 1.88% (30 Day Average SOFR + 0.95%, Rate Floor: 0.00%) due 01/25/70◊,4   2,826,386    2,794,306 
2021-HE1, 1.78% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 01/25/70◊,4   2,122,188    2,099,058 
2019-NQM2, 2.75% (WAC) due 11/25/59◊,4   611,895    592,208 
OSAT Trust          
2021-RPL1, 2.12% due 05/25/654,10   47,162,704    44,307,734 
NRZ Advance Receivables Trust          
2020-T2, 1.48% due 09/15/534   28,950,000    27,651,486 
2020-T3, 1.32% due 10/15/524   8,300,000    8,219,389 
NYMT Loan Trust          
2021-SP1, 1.67% due 08/25/614,10   37,856,207    34,583,894 
Ocwen Master Advance Receivables Trust          
2020-T1, 1.28% due 08/15/524   30,009,474    29,935,227 
Verus Securitization Trust          
2021-4, 1.35% (WAC) due 07/25/66◊,4   7,286,217    6,322,465 
2020-5, 1.58% due 05/25/654,10   6,612,399    6,242,640 
2021-5, 1.37% (WAC) due 09/25/66◊,4   7,194,000    6,081,895 
2021-3, 1.44% (WAC) due 06/25/66◊,4   4,420,177    3,804,029 
2021-6, 1.89% (WAC) due 10/25/66◊,4   3,417,826    3,006,707 
2019-4, 2.64% due 11/25/594,10   2,039,841   2,028,592 
2020-1, 2.42% due 01/25/604,10   1,039,911    1,020,408 
New Residential Advance Receivables Trust Advance Receivables Backed Notes          
2020-T1, 1.43% due 08/15/534   15,750,000    15,040,031 
2020-APT1, 1.04% due 12/16/524   10,900,000    10,695,011 
FKRT          
2.21% due 11/30/58†††,9   25,700,000    24,613,222 
Towd Point Mortgage Trust          
2017-6, 2.75% (WAC) due 10/25/57◊,4   9,595,033    9,375,343 
2018-2, 3.25% (WAC) due 03/25/58◊,4   5,208,498    5,100,034 
2017-5, 2.22% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/57◊,4   3,582,363    3,545,556 
2018-1, 3.00% (WAC) due 01/25/58◊,4   685,073    668,381 
Towd Point Revolving Trust          
   4.83% due 09/25/649   18,500,000    17,906,433 
LSTAR Securities Investment Ltd.          
2021-1, 2.86% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,9   7,547,611    7,357,510 
2021-2, 2.76% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,9   5,672,360    5,567,734 
Soundview Home Loan Trust          
2006-OPT5, 1.76% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/36   10,628,888    10,121,131 
2005-OPT3, 2.33% (1 Month USD LIBOR + 0.71%, Rate Floor: 0.71%) due 11/25/35   2,148,995    2,120,531 
2006-1, 2.22% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 02/25/36   379,440    378,780 
Imperial Fund Mortgage Trust          
2022-NQM2, 4.02% (WAC) due 03/25/67◊,4   13,072,227    12,438,104 
Home Equity Loan Trust          
2007-FRE1, 1.81% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37   12,255,842    11,474,589 

 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 15.5% (continued)
Residential Mortgage-Backed Securities -  13.4% (continued)        
New Residential Mortgage Loan Trust        
2018-2A, 3.50% (WAC) due 02/25/58◊,4   6,886,667   $6,677,435 
2018-1A, 4.00% (WAC) due 12/25/57◊,4   2,160,434    2,100,971 
2019-6A, 3.50% (WAC) due 09/25/59◊,4   1,649,570    1,592,096 
2017-5A, 3.12% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 06/25/57◊,4   668,469    666,440 
Cascade Funding Mortgage Trust          
2018-RM2, 4.00% (WAC) due 10/25/68◊,9   6,712,910    6,585,774 
2019-RM3, 2.80% (WAC) due 06/25/69◊,9   1,648,212    1,601,652 
CSMC          
2021-NQM8, 2.41% (WAC) due 10/25/66◊,4   8,930,353    7,910,478 
Structured Asset Securities Corporation Mortgage Loan Trust          
2008-BC4, 2.25% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/37   7,264,371    7,088,422 
2006-BC4, 1.96% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 12/25/36   708,648    689,130 
2007-BC1, 1.75% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 02/25/37   53,106    52,541 
NovaStar Mortgage Funding Trust Series          
2007-2, 1.82% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37   7,576,974    7,297,849 
CFMT LLC          
2021-HB5, 1.37% (WAC) due 02/25/31◊,4   6,950,000    6,649,321 
Alternative Loan Trust          
2007-OA7, 1.90% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 05/25/47   5,109,226    4,411,374 
2007-OH3, 2.20% (1 Month USD LIBOR + 0.58%, Rate Cap/Floor: 10.00%/0.58%) due 09/25/47   2,294,267    2,039,400 
Morgan Stanley ABS Capital I Incorporated Trust          
2007-HE3, 1.87% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 12/25/36   4,888,026   2,665,226 
2007-HE3, 1.77% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/36   3,501,782    1,904,662 
2007-HE5, 1.80% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 03/25/37   1,665,791    782,610 
2006-NC1, 2.19% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/35   597,649    592,249 
Banc of America Funding Trust          
2015-R2, 1.88% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/29/37◊,4   5,348,415    5,189,109 
American Home Mortgage Investment Trust          
2006-3, 1.98% (1 Month USD LIBOR + 0.36%, Rate Cap/Floor: 10.50%/0.36%) due 12/25/46   5,946,902    5,151,830 
Credit Suisse Mortgage Capital Certificates          
2021-RPL9, 2.44% (WAC) due 02/25/61◊,4   4,664,697    4,342,217 
Bear Stearns Asset-Backed Securities I Trust          
2006-HE9, 1.76% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.28%) due 11/25/36   3,972,250    3,841,142 
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series          
2005-W2, 2.36% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/35   3,823,576    3,754,046 
Securitized Asset-Backed Receivables LLC Trust          
2007-HE1, 1.84% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 12/25/36   13,328,869    3,701,869 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 15.5% (continued)
Residential Mortgage-Backed Securities -  13.4% (continued)        
HarborView Mortgage Loan Trust        
2006-14, 1.91% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 01/25/47   2,135,673   $1,888,204 
2006-12, 1.79% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/19/38   1,803,961    1,628,526 
Ellington Financial Mortgage Trust          
2021-2, 1.67% (WAC) due 06/25/66◊,4   2,361,270    2,122,845 
2020-2, 1.64% (WAC) due 10/25/65◊,4   1,360,047    1,307,289 
SPS Servicer Advance Receivables Trust          
2020-T2, 1.83% due 11/15/554   3,750,000    3,420,102 
CIT Mortgage Loan Trust          
2007-1, 2.97% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/37◊,4   3,288,959    3,272,084 
Asset-Backed Securities Corporation Home Equity Loan Trust Series AEG          
2006-HE1, 2.22% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 01/25/36   3,277,008    3,187,744 
GS Mortgage-Backed Securities Trust          
2020-NQM1, 1.38% (WAC) due 09/27/60◊,4   3,028,452    2,915,453 
First NLC Trust          
2005-4, 2.40% (1 Month USD LIBOR + 0.78%, Rate Cap/Floor: 14.00%/0.78%) due 02/25/36   2,979,663    2,907,771 
IXIS Real Estate Capital Trust          
2006-HE1, 2.22% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/36   5,092,592    2,794,229 
Angel Oak Mortgage Trust          
2021-6, 1.71% (WAC) due 09/25/66◊,4   2,987,266    2,468,384 
Morgan Stanley Home Equity Loan Trust          
2006-2, 2.18% (1 Month USD LIBOR + 0.56%, Rate Floor: 0.56%) due 02/25/36   2,326,805    2,302,878 
Structured Asset Investment Loan Trust          
2006-3, 1.77% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 06/25/36   2,099,066   2,037,769 
2005-2, 2.36% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 03/25/35   118,475    117,350 
Park Place Securities Incorporated Asset-Backed Pass-Through Certificates Series          
2005-WHQ3, 2.57% (1 Month USD LIBOR + 0.95%, Rate Floor: 0.95%) due 06/25/35   1,899,219    1,895,765 
SG Residential Mortgage Trust          
2022-1, 3.68% (WAC) due 03/27/62◊,4   1,989,592    1,841,460 
Credit-Based Asset Servicing and Securitization LLC          
2006-CB2, 2.00% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 12/25/36   1,904,885    1,794,441 
Nationstar Home Equity Loan Trust          
2007-B, 1.84% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 04/25/37   1,692,741    1,675,577 
Residential Mortgage Loan Trust          
2020-1, 2.38% (WAC) due 01/26/60◊,4   1,598,469    1,542,853 
GSAA Home Equity Trust          
2006-3, 2.22% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/36   2,459,304    1,453,297 
Morgan Stanley IXIS Real Estate Capital Trust          
2006-2, 1.77% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/36   3,912,865    1,437,593 
ACE Securities Corporation Home Equity Loan Trust Series          
2005-HE2, 2.64% (1 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 04/25/35   1,347,874    1,309,149 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 15.5% (continued)
Residential Mortgage-Backed Securities -  13.4% (continued)        
MFRA Trust        
2021-INV1, 1.26% (WAC) due 01/25/56◊,4   1,320,481   $1,236,657 
Countrywide Asset-Backed Certificates          
2006-6, 1.96% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 09/25/36   990,623    988,965 
2006-5, 2.20% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 08/25/36   239,018    237,490 
Lehman XS Trust Series          
2006-16N, 2.00% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 11/25/46   1,376,011    1,221,851 
COLT Mortgage Loan Trust          
2021-2, 2.38% (WAC) due 08/25/66◊,4   1,500,000    1,167,071 
FBR Securitization Trust          
2005-2, 2.37% (1 Month USD LIBOR + 0.75%, Rate Cap/Floor: 14.00%/0.75%) due 09/25/35   1,008,838    1,005,097 
Morgan Stanley Capital I Incorporated Trust          
2006-HE1, 2.20% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 01/25/36   818,300    791,531 
Long Beach Mortgage Loan Trust          
2006-8, 1.94% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/36   2,413,837    770,194 
Starwood Mortgage Residential Trust          
2020-1, 2.28% (WAC) due 02/25/50◊,4   578,211    570,820 
First Franklin Mortgage Loan Trust          
2004-FF10, 2.90% (1 Month USD LIBOR + 1.28%, Rate Floor: 1.28%) due 07/25/34   555,904    541,806 
CSMC Series          
2015-12R, 1.51% (WAC) due 11/30/37◊,4   432,579    430,822 
2014-2R, 1.21% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/46◊,4   67,074    66,097 
Nomura Resecuritization Trust          
2015-4R, 2.37% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/36◊,4   542,100   492,721 
Ameriquest Mortgage Securities Incorporated Asset-Backed Pass-Through Certificates Series          
2005-R10, 2.27% (1 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 01/25/36   317,058    316,621 
JP Morgan Mortgage Acquisition Trust          
2006-HE2, 1.90% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 07/25/36   191,592    191,259 
Citigroup Mortgage Loan Trust          
2007-WFH2, 2.22% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/37   118,312    118,167 
UCFC Manufactured Housing Contract          
1997-2, 7.38% due 10/15/28   121,580    117,882 
Morgan Stanley Re-REMIC Trust          
2010-R5, 2.55% due 06/26/364   55,126    49,839 
GreenPoint Mortgage Funding Trust          
2007-AR1, 1.70% (1 Month USD LIBOR + 0.08%, Rate Floor: 0.08%) due 02/25/47   14    14 
Total Residential Mortgage-Backed Securities        691,109,125 
Commercial Mortgage-Backed Securities -  2.0%          
BX Commercial Mortgage Trust          
2021-VOLT, 2.97% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/36◊,4   25,000,000    23,374,510 
2022-LP2, 2.90% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39◊,4   15,221,348    14,309,131 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 15.5% (continued)
Commercial Mortgage-Backed Securities -  2.0% (continued)        
JP Morgan Chase Commercial Mortgage Securities Trust        
2021-NYAH, 2.86% (1 Month USD LIBOR + 1.54%, Rate Floor: 1.54%) due 06/15/38◊,4   10,200,000   $9,452,687 
2016-JP2, 1.92% (WAC) due 08/15/49◊,7   33,933,822    1,902,958 
BXHPP Trust          
2021-FILM, 2.42% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 08/15/36◊,4   8,250,000    7,669,122 
MHP          
2022-MHIL, 2.54% (1 Month Term SOFR + 1.26%, Rate Floor: 1.26%) due 01/15/27◊,4   8,000,000    7,579,678 
Life Mortgage Trust          
2021-BMR, 2.72% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 03/15/38◊,4   6,880,791    6,535,167 
Extended Stay America Trust          
2021-ESH, 3.03% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/15/38◊,4   3,975,533    3,845,746 
Wells Fargo Commercial Mortgage Trust          
2017-C38, 1.14% (WAC) due 07/15/50◊,7   22,965,678    879,836 
2016-C37, 0.96% (WAC) due 12/15/49◊,7   27,278,761    725,067 
2017-C42, 1.02% (WAC) due 12/15/50◊,7   14,644,386    561,852 
2015-LC22, 0.92% (WAC) due 09/15/58◊,7   19,690,402    393,316 
2017-RB1, 1.34% (WAC) due 03/15/50◊,7   8,525,987    371,150 
2016-NXS5, 1.59% (WAC) due 01/15/59◊,7   5,202,266    200,956 
KKR Industrial Portfolio Trust          
2021-KDIP, 2.32% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/37◊,4   2,662,500    2,542,113 
JPMDB Commercial Mortgage Securities Trust          
2016-C4, 0.88% (WAC) due 12/15/49◊,7   37,398,067    1,011,678 
2018-C8, 0.75% (WAC) due 06/15/51◊,7   39,773,472    846,853 
2016-C2, 1.70% (WAC) due 06/15/49◊,7   7,047,448    282,446 
2017-C5, 1.04% (WAC) due 03/15/50◊,7   3,136,127   98,125 
COMM Mortgage Trust          
2015-CR24, 0.89% (WAC) due 08/10/48◊,7   59,004,318    1,117,890 
2018-COR3, 0.58% (WAC) due 05/10/51◊,7   35,284,466    772,818 
BENCHMARK Mortgage Trust          
2018-B2, 0.54% (WAC) due 02/15/51◊,7   112,377,469    1,813,042 
DBJPM Mortgage Trust          
2017-C6, 1.10% (WAC) due 06/10/50◊,7   51,968,439    1,787,974 
Bank of America Merrill Lynch Commercial Mortgage Trust          
2017-BNK3, 1.16% (WAC) due 02/15/50◊,7   29,496,589    1,123,245 
2016-UB10, 1.92% (WAC) due 07/15/49◊,7   10,798,876    555,143 
UBS Commercial Mortgage Trust          
2017-C2, 1.15% (WAC) due 08/15/50◊,7   26,656,932    1,045,949 
2017-C5, 1.12% (WAC) due 11/15/50◊,7   12,099,596    450,188 
Morgan Stanley Bank of America Merrill Lynch Trust          
2017-C34, 0.91% (WAC) due 11/15/52◊,7   23,650,018    725,043 
2015-C27, 1.02% (WAC) due 12/15/47◊,7   29,994,220    639,669 
BAMLL Commercial Mortgage Securities Trust          
2012-PARK, 2.96% due 12/10/304   1,300,000    1,298,561 
CSAIL Commercial Mortgage Trust          
2019-C15, 1.20% (WAC) due 03/15/52◊,7   19,445,782    944,137 
2016-C6, 2.03% (WAC) due 01/15/49◊,7   6,230,086    344,643 
BBCMS Mortgage Trust          
2018-C2, 0.93% (WAC) due 12/15/51◊,7   29,573,159    1,133,548 
CD Mortgage Trust          
2017-CD6, 1.06% (WAC) due 11/13/50◊,7   13,872,539    411,734 
2016-CD1, 1.50% (WAC) due 08/10/49◊,7   5,840,936    244,759 
CD Commercial Mortgage Trust          
2017-CD4, 1.39% (WAC) due 05/10/50◊,7   16,119,492    634,787 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 15.5% (continued)
Commercial Mortgage-Backed Securities -  2.0% (continued)        
CGMS Commercial Mortgage Trust        
2017-B1, 0.89% (WAC) due 08/15/50◊,7   20,093,516   $633,530 
Citigroup Commercial Mortgage Trust          
2016-C2, 1.88% (WAC) due 08/10/49◊,7   6,450,937    347,326 
2016-GC37, 1.84% (WAC) due 04/10/49◊,7   3,087,933    151,022 
GS Mortgage Securities Trust          
2017-GS6, 1.16% (WAC) due 05/10/50◊,7   11,265,634    462,306 
BANK          
2017-BNK6, 0.92% (WAC) due 07/15/60◊,7   13,963,349    421,079 
JPMBB Commercial Mortgage Securities Trust          
2013-C17, 0.88% (WAC) due 01/15/47◊,7   21,124,530    172,471 
Total Commercial Mortgage-Backed Securities        99,813,255 
Government Agency -  0.1%          
Freddie Mac Seasoned Credit Risk Transfer Trust          
2.00% due 05/25/60   3,583,712    3,213,221 
2.00% due 11/25/59   2,058,340    1,845,473 
Fannie Mae-Aces          
1.56% (WAC) due 03/25/35◊,7   7,011,921    823,934 
Freddie Mac Multifamily Structured Pass-Through Certificates          
0.45% (WAC) due 08/25/23◊,7   97,830,620    334,620 
Total Government Agency        6,217,248 
Total Collateralized Mortgage Obligations          
(Cost $845,746,190)        797,139,628 
           
SENIOR FLOATING RATE INTERESTS††,◊ - 7.3%          
Industrial -  1.5%          
Berry Global, Inc.          
3.00% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26   22,295,417    21,493,451 
SkyMiles IP Ltd.          
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27   16,867,590    16,746,312 
Mileage Plus Holdings LLC          
7.31% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27   9,455,500    9,323,123 
TransDigm, Inc.          
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/22/24   3,992,356   3,842,243 
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25   1,821,040    1,722,905 
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25   930,734    882,494 
Filtration Group Corp.          
4.67% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25   5,312,360    5,021,136 
Harsco Corporation          
3.94% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 03/10/28   3,960,000    3,661,337 
Charter Next Generation, Inc.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27   3,423,995    3,215,713 
Filtration Group Corp.          
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25†††  EUR  2,357,167    2,247,744 
Ravago Holdings America, Inc.          
4.76% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/06/28   1,975,000    1,886,125 
TAMKO Building Products, Inc.          
4.57% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/29/26   1,772,658    1,655,220 
Standard Industries, Inc.          
3.79% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 09/22/28   1,619,888    1,562,041 
CPM Holdings, Inc.          
4.56% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 11/17/25   1,506,213    1,432,032 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 7.3% (continued)
Industrial -  1.5% (continued)        
Cushman & Wakefield US Borrower LLC        
4.42% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 08/21/25   1,374,880   $1,291,356 
NA Rail Hold Co. LLC          
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.25%) due 10/19/26   1,081,681    1,030,983 
Park River Holdings, Inc.          
4.22% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27   989,995    805,609 
BWAY Holding Co.          
4.31% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24   781,490    733,460 
Total Industrial        78,553,284 
Consumer, Cyclical -  1.4%          
Stars Group (Amaya)          
4.50% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26   11,509,891    10,924,152 
BGIS (BIFM CA Buyer, Inc.)          
5.07% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26†††   11,782,438    10,810,386 
AlixPartners, LLP          
4.42% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 02/04/28   9,875,000    9,367,326 
Verisure Holding AB          
3.25% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28  EUR  7,970,000    7,512,328 
3.25% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26  EUR  1,030,000    975,192 
Go Daddy Operating Company LLC          
3.42% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 02/15/24   5,952,964    5,743,539 
Truck Hero, Inc.          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 01/31/28   4,937,500    4,404,250 
Amaya Holdings BV          
2.50% (3 Month EURIBOR + 2.50%, Rate Floor: 2.50%) due 07/21/26  EUR 4,500,000   4,346,133 
Packers Holdings LLC          
4.44% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28   4,197,175    3,832,567 
Fertitta Entertainment LLC          
5.53% (1 Month SOFR + 4.00%, Rate Floor: 4.00%) due 01/27/29   3,950,000    3,632,539 
New Trojan Parent, Inc.          
4.75% ((1 Month USD LIBOR + 3.25%) and (3 Month USD LIBOR + 3.25%), Rate Floor: 3.75%) due 01/06/28   2,722,500    2,420,765 
Pacific Bells, LLC          
6.79% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28   2,587,134    2,386,631 
Rent-A-Center, Inc.          
4.94% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28   2,246,563    2,014,897 
Entain Holdings (Gibraltar) Ltd.          
3.74% (6 Month USD LIBOR + 2.25%, Rate Floor: 3.74%) due 03/29/27   1,485,000    1,418,546 
Power Solutions (Panther)          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26   1,394,593    1,298,715 
PAI Holdco, Inc.          
4.99% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/28/27   1,086,250    1,022,433 
Samsonite IP Holdings SARL          
3.42% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/25/25   294,541    280,993 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 7.3% (continued)
Consumer, Cyclical -  1.4% (continued)        
Cast & Crew Payroll LLC        
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/09/26   33,198   $31,428 
Total Consumer, Cyclical        72,422,820 
Technology -  1.2%          
Project Boost Purchaser LLC          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26   13,117,500    12,158,348 
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26   2,470,342    2,291,242 
Dun & Bradstreet          
4.75% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 01/18/29   8,578,500    7,988,728 
4.87% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26   722,943    680,694 
Conair Holdings LLC          
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28   9,925,000    8,270,800 
Boxer Parent Company, Inc.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25   7,209,266    6,698,634 
Peraton Corp.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28   6,641,845    6,223,143 
Wrench Group LLC          
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/30/26   6,121,121    5,799,762 
Sabre GLBL, Inc.          
3.67% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24   2,697,799    2,551,120 
Polaris Newco LLC          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28   2,727,428    2,513,134 
TIBCO Software, Inc.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26   2,060,592   2,015,527 
MACOM Technology Solutions Holdings, Inc.          
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24   1,549,149    1,511,071 
EXC Holdings III Corp.          
5.75% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 12/02/24   890,674    850,593 
Upland Software, Inc.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26   543,428    514,219 
Emerald TopCo, Inc. (Press Ganey)          
4.74% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26   503,118    469,912 
Total Technology        60,536,927 
Communications -  1.1%          
Internet Brands, Inc.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24   14,031,281    13,180,705 
Playtika Holding Corp.          
4.42% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28   10,467,500    9,846,044 
WMG Acquisition Corp.          
3.79% (1 Month USD LIBOR + 2.13%, Rate Floor: 2.13%) due 01/20/28   10,000,000    9,578,100 
Recorded Books, Inc.          
6.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/29/25   9,005,342    8,521,305 
McGraw Hill LLC          
5.55% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28   6,947,500    6,275,885 
UPC Broadband Holding BV          
4.32% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/31/29   5,850,000    5,547,730 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 7.3% (continued)
Communications -  1.1% (continued)        
Zayo Group Holdings, Inc.        
4.67% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27   1,500,000   $1,378,665 
Authentic Brands          
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24   1,432,369    1,370,419 
Altice US Finance I Corp.          
3.57% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/26   459,563    426,534 
Ziggo Financing Partnership          
3.82% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28   400,000    372,124 
Virgin Media Bristol LLC          
3.82% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/31/28   200,000    186,888 
Total Communications        56,684,399 
Financial -  0.9%          
Citadel Securities, LP          
4.14% (1 Month Term SOFR + 2.50%, Rate Floor: 3.50%) due 02/02/28   14,147,649    13,577,357 
Trans Union LLC          
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/01/28   6,624,653    6,303,092 
Delos Finance SARL (International Lease Finance)          
4.00% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/06/23   6,076,000    5,992,455 
USI, Inc.          
5.25% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24   5,927,031    5,671,458 
HUB International Ltd.          
4.21% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.15%) due 04/25/25   4,956,588    4,683,480 
4.35% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 04/25/25   975,150    922,960 
Jane Street Group LLC        
4.42% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28   4,580,250   4,393,605 
Nexus Buyer LLC          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26   4,554,156    4,285,461 
Focus Financial Partners LLC          
3.67% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24   1,181,538    1,132,268 
Total Financial        46,962,136 
Consumer, Non-cyclical -  0.7%          
Medline Borrower LP          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 10/23/28   10,024,875    9,280,829 
Spectrum Brands, Inc.          
3.67% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 03/03/28   4,937,500    4,746,172 
Icon Luxembourg SARL          
4.56% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 07/03/28   4,838,990    4,668,271 
Women's Care Holdings, Inc.          
5.74% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28   4,682,700    4,364,276 
Bombardier Recreational Products, Inc.          
3.67% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27   4,146,472    3,818,196 
Sigma Holding BV (Flora Food)          
3.50% ((1 Month EURIBOR + 3.50%) and (6 Month EURIBOR + 3.50%), Rate Floor: 3.50%) due 07/02/25  EUR  3,700,000    2,948,601 
Hearthside Group Holdings LLC          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25   2,067,857    1,868,826 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 7.3% (continued)
Consumer, Non-cyclical -  0.7% (continued)        
Catalent Pharma Solutions, Inc.        
3.63% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 02/22/28   790,495   $777,452 
Agiliti          
3.81% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/04/26†††   744,231    712,601 
Aramark Services, Inc.          
3.42% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/11/25   700,000    670,425 
EyeCare Partners LLC          
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27   492,500    454,331 
Kronos Acquisition Holdings, Inc.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26   492,500    445,959 
Froneri US, Inc.          
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27   441,000    404,802 
Pearl Intermediate Parent LLC          
4.42% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 02/14/25   393,831    366,019 
Outcomes Group Holdings, Inc.          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/24/25   385,717    358,717 
Utz Quality Foods LLC          
4.67% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/20/28   295,501   281,095 
Total Consumer, Non-cyclical        36,166,572 
Basic Materials -  0.4%          
Trinseo Materials Operating S.C.A.          
4.17% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28   10,989,000    10,348,891 
3.67% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/06/24   1,816,830    1,716,904 
INEOS Ltd.          
2.75% (1 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 01/29/26  EUR  8,100,000    7,791,210 
GrafTech Finance, Inc.          
4.67% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25   745,576    720,882 
Total Basic Materials        20,577,887 
Energy -  0.1%          
ITT Holdings LLC          
4.42% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28   2,927,875    2,796,120 
Venture Global Calcasieu Pass LLC          
4.00% (1 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26†††   841,798    837,589 
DT Midstream, Inc.          
3.69% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 06/26/28   798,656    795,661 
Total Energy        4,429,370 
Total Senior Floating Rate Interests          
(Cost $404,847,537)        376,333,395 
           
FOREIGN GOVERNMENT DEBT†† - 2.7%          
State of Israel          
0.75% due 07/31/22  ILS  239,770,000    68,714,548 
1.25% due 11/30/22  ILS  233,849,000    67,065,246 
Alberta T-Bill          
1.25% due 07/05/2211  CAD  4,330,000    3,364,088 
Total Foreign Government Debt          
(Cost $151,149,050)        139,143,882 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
U.S. GOVERNMENT SECURITIES†† - 1.2%
U.S. Treasury Notes
2.88% due 05/15/32   61,440,000   $60,748,800 
Total U.S. Government Securities          
(Cost $61,213,459)        60,748,800 
MUNICIPAL BONDS†† - 0.0%          
California -  0.0%          
California Public Finance Authority Revenue Bonds          
1.55% due 10/15/26   3,145,000    2,773,679 
Total Municipal Bonds          
(Cost $3,145,000)        2,773,679 
           
COMMERCIAL PAPER††,11 - 2.4%          
McCormick & Co., Inc.          
1.53% due 07/06/224   50,000,000    49,987,847 
Cintas Corporation No. 2          
1.80% due 07/01/224   37,000,000    37,000,000 
Fidelity National Information Services, Inc.          
1.71% due 07/05/224   20,000,000    19,995,667 
Amcor Flexibles North America, Inc.          
1.89% due 07/15/224   14,950,000    14,938,372 
Consolidated Edison Company of New York, Inc.          
1.95% due 07/28/224   975,000    973,538 
Total Commercial Paper          
(Cost $122,895,424)        122,895,424 

 

   Contracts/
Notional Value
    
LISTED OPTIONS PURCHASED - 0.2%
Put Options on:        
Equity Options        
 S&P 500 Index
Expiring April 2023 with strike price of $4,000.00 (Notional Value $83,656,898)
   221    9,004,645 
Total Listed Options Purchased          
(Cost $5,260,414)        9,004,645 

 

OTC OPTIONS PURCHASED†† - 0.0%
Call Options on:        
Interest Rate Options        
Goldman Sachs International 2Y-10 CMS CAP
Expiring July 2022 with strike price of $0.40
  USD 509,700,000    10,194 
Bank of America, N.A. 2Y-10 CMS CAP
Expiring July 2022 with strike price of $0.40
  USD 30,000,000    600 
Goldman Sachs International 2Y-10 CMS CAP
Expiring July 2022 with strike price of $0.61
  USD 177,800,000    222 
           
Total OTC Options Purchased          
(Cost $1,483,829)       11,016 
Total Investments - 99.4%          
(Cost $5,480,219,201)       5,123,854,777 

 

LISTED OPTIONS WRITTEN - 0.0%
Call Options on:        
Equity Options        
 Figs, Inc.
Expiring December 2022 with strike price of $50.00 (Notional Value $30,063)
   33     
 Figs, Inc.
Expiring December 2022 with strike price of $55.00 (Notional Value $29,152)
   32     
Total Listed Options Written          
(Premiums received $68,628)         

 

OTC INTEREST RATE SWAPTIONS WRITTEN††,12 - 0.0%
Put Swaptions on:        
Interest Rate Swaptions        
BNP Paribas 5-Year Interest Rate Swap
Expiring July 2022 with exercise rate of 2.80%
  USD 54,800,000    (185,514)
UBS AG 5-Year Interest Rate Swap
Expiring September 2022 with exercise rate of 3.30%
  USD 52,600,000    (272,470)
Total OTC Interest Rate Swaptions Written          
(Premiums received    $863,355)        (457,984)
Other Assets & Liabilities, net - 0.6%        29,472,230 
Total Net Assets - 100.0%       $5,152,869,023 

 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

Centrally Cleared Credit Default Swap Agreements Protection Sold††

 

 

Counterparty  Exchange   Index   Protection Premium Rate   Payment Frequency  Maturity Date  Notional Amount   Value  

Upfront Premiums

Paid

(Received)

   Unrealized Depreciation** 
BofA Securities, Inc.   ICE    CDX.NA.IG.33.V1    1.00%  Quarterly  12/20/24  $30,000,000   $73,571   $525,406   $(451,835)

 

Centrally Cleared Interest Rate Swap Agreements††

 

 

Counterparty  Exchange   Floating Rate Type  Floating Rate Index  Fixed Rate   Payment Frequency  Maturity Date  Notional Amount   Value  

Upfront Premiums

Paid

(Received)

   Unrealized Appreciation** 
BofA Securities, Inc.   CME   Receive  3-Month USD LIBOR   1.65%  Quarterly  03/17/31  $140,000,000   $14,943,180   $1,237   $14,941,943 
BofA Securities, Inc.   CME   Receive  U.S. Secured Overnight Financing Rate   1.22%  Annually  01/25/25   175,000,000    7,170,711    631    7,170,080 
BofA Securities, Inc.   CME   Receive  U.S. Secured Overnight Financing Rate   2.68%  Annually  04/22/37   3,157,000    51,491    327    51,164 
                              $22,165,382   $2,195   $22,163,187 

 

Forward Foreign Currency Exchange Contracts††

 

 

Counterparty  Currency   Type   Quantity  

Contract

Amount

 

Settlement

Date

  Unrealized Appreciation (Depreciation) 
Barclays Bank plc   ILS    Sell    153,948,600   48,811,136 USD  11/30/22  $4,075,357 
Goldman Sachs International   ILS    Sell    147,370,024   45,686,215 USD  08/01/22   3,348,202 
UBS AG   ILS    Sell    82,823,513   26,227,630 USD  11/30/22   2,160,023 
UBS AG   ILS    Sell    94,203,167   29,213,998 USD  08/01/22   2,150,320 
UBS AG   EUR    Sell    1,029,000   1,090,656 USD  09/30/22   5,430 
Morgan Stanley Capital Services LLC   CZK    Sell    164,100   6,878 USD  07/28/22   (55)
JPMorgan Chase Bank, N.A.   CAD    Sell    4,330,000   3,361,052 USD  07/05/22   (3,675)
Barclays Bank plc   EUR    Buy    1,139,000   1,205,841 USD  07/15/22   (11,480)
Barclays Bank plc   EUR    Sell    47,242,000   49,488,173 USD  07/15/22   (50,016)
                        $11,674,106 

 

OTC Interest Rate Swaptions Written††

 

 

Counterparty/Description  Floating Rate Type  Floating Rate Index  Payment Frequency  Fixed Rate   Expiration Date  Exercise Rate   Swaption Notional Amount   Swaption Value 
Put                            
BNP Paribas
5-Year Interest Rate Swap
  Pay  SOFR  Annual   2.80%  07/06/22   2.80%  $54,800,000   $(185,514)
UBS AG
5-Year Interest Rate Swap
  Pay  SOFR  Annual   3.30%  09/27/22   3.30%   52,600,000    (272,470)
                              $(457,984)

 

 

~ The face amount is denominated in U.S. dollars unless otherwise indicated.
* Non-income producing security.
** Includes cumulative appreciation (depreciation).
Value determined based on Level 1 inputs — See Note 3.
†† Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
††† Value determined based on Level 3 inputs — See Note 3.
Variable rate security. Rate indicated is the rate effective at June 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1 Special Purpose Acquisition Company (SPAC).
2 Affiliated issuer.
3 Rate indicated is the 7-day yield as of June 30, 2022.
4 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $3,111,099,897 (cost $3,328,466,978), or 60.4% of total net assets.
5 Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
6 Perpetual maturity.
7 Security is an interest-only strip.
8 Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.

 

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

9 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $63,632,431 (cost $65,771,568), or 1.2% of total net assets — See Note 6.
10 Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at June 30, 2022. See table below for additional step information for each security.

11

12

Rate indicated is the effective yield at the time of purchase.

Swaptions — See additional disclosure in the swaptions table above for more information on swaptions.

 

 

BofA — Bank of America
CAD — Canadian Dollar
CDX.NA.IG.33.V1 — Credit Default Swap North American Investment Grade Series 33 Index Version 1
CME — Chicago Mercantile Exchange
CMS — Constant Maturity Swap
CZK — Czech Koruna
EUR — Euro
EURIBOR — European Interbank Offered Rate
ICE — Intercontinental Exchange
ILS — Israeli New Shekel
LIBOR — London Interbank Offered Rate
plc — Public Limited Company
REMIC — Real Estate Mortgage Investment Conduit
REIT — Real Estate Investment Trust
SARL —  Société à Responsabilité Limitée
SOFR — Secured Overnight Financing Rate
WAC — Weighted Average Coupon

 

See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Common Stocks  $18,718,602   $   $   $18,718,602 
Preferred Stocks       27,958,619        27,958,619 
Warrants   133,809            133,809 
Mutual Funds   87,085,083            87,085,083 
Money Market Funds   128,199,083            128,199,083 
Corporate Bonds       1,711,551,720    40,689,585    1,752,241,305 
Asset-Backed Securities       1,400,489,850    200,977,957    1,601,467,807 
Collateralized Mortgage Obligations       772,526,406    24,613,222    797,139,628 
Senior Floating Rate Interests       361,725,075    14,608,320    376,333,395 
Foreign Government Debt       139,143,882        139,143,882 
U.S. Government Securities       60,748,800        60,748,800 
Municipal Bonds       2,773,679        2,773,679 
Commercial Paper       122,895,424        122,895,424 
Options Purchased   9,004,645    11,016        9,015,661 
Options Written   *            
Interest Rate Swap Agreements**       22,163,187        22,163,187 
Forward Foreign Currency Exchange Contracts**       11,739,332        11,739,332 
Total Assets  $243,141,222   $4,633,726,990   $280,889,084   $5,157,757,296 

 

Investments in Securities (Liabilities)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Interest Rate Swaptions Written  $   $457,984   $   $457,984 
Credit Default Swap Agreements**       451,835        451,835 
Forward Foreign Currency Exchange Contracts**       65,226        65,226 
Unfunded Loan Commitments (Note 5)           55,528    55,528 
Total Liabilities  $   $975,045   $55,528   $1,030,573 

 

*Security has a market value of $0.
**This derivative is reported as unrealized appreciation/depreciation at period end.

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

 

Category     Ending Balance at
June 30, 2022
  Valuation Technique   Unobservable Inputs   Input Range   Weighted Average*
Assets:                      
Asset-Backed Securities   $ 115,406,545   Third Party Pricing   Broker Quote    
Asset-Backed Securities      73,774,014   Option adjusted spread off prior month end broker quote   Broker Quote    
Asset-Backed Securities      6,209,418   Yield Analysis   Yield   6.1%  
Asset-Backed Securities      3,731,980   Option adjusted spread off third party pricing   Trade Price    
Asset-Backed Securities      1,856,000   Model Price   Purchase Price    
Collateralized Mortgage Obligations      24,613,222   Model Price   Market Comparable Yields   5.8%  
Corporate Bonds      20,786,673   Yield Analysis   Yield   4.9%-5.2%   5.1%
Corporate Bonds      19,902,912   Option adjusted spread off prior month end broker quote   Broker Quote    
Senior Floating Rate Interests      13,770,731   Third Party Pricing   Broker Quote    
Senior Floating Rate Interests      837,589   Third Party Pricing   Vendor Price    
Total Assets   $ 280,889,084                
Liabilities:                      
Unfunded Loan Commitments   $ 55,528   Model Price   Purchase Price    

 

*Inputs are weighted by the fair value of the instruments.

 

Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

 

Significant changes in a quote, yield or market comparable yields would generally result in significant changes in the fair value of the security.

 

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

 

Transfer between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended June 30, 2022, the Fund had securities with a total value of $99,883,953 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $850,593 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

 

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended

June 30, 2022:

 

   Assets       Liabilities 
   Asset-Backed Securities   Collateralized
Mortgage
Obligations
   Corporate
Bonds
   Senior Floating Rate Interests   Total Assets   Unfunded Loan Commitments 
Beginning Balance  $154,979,007   $15,055,608   $29,476,831   $11,578,109   $211,089,555   $(28,373)
Purchases/(Receipts)   72,883,392    -    13,860,000    392,449    87,135,841    (275,976)
(Sales, maturities and paydowns)/Fundings   (84,875,684)   (15,055,608)   (545,607)   (10,364,727)   (110,841,626)   44,691 
Amortization of premiums/discounts   66,219    (34)   (114,582)   100,687    52,290    - 
Total realized gains (losses) included in earnings   61,573    (7,042)   -    26,909    81,440    - 
Total change in unrealized appreciation (depreciation) included in earnings   (3,636,550)   7,076    (1,987,057)   (45,245)   (5,661,776)   204,130 
Transfers into Level 3   61,500,000    24,613,222    -    13,770,731    99,883,953    - 
Transfers out of Level 3  $-   $-   $-   $(850,593)   (850,593)  $- 
Ending Balance  $200,977,957   $24,613,222   $40,689,585   $14,608,320   $280,889,084   $(55,528)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at June 30, 2022  $(3,636,550)  $-   $(1,987,057)  $38,876   $(5,584,731)  $220,448 

 

Step Coupon Bonds

 

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

 

 

Name  Coupon Rate at Next Reset Date   Next Rate Reset Date  Future Reset Rate   Future Reset Date 
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70   6.13%  01/29/25        
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61   4.62%  09/26/24   5.62%   09/26/25 
CSMC Trust 2020-NQM1, 1.41% due 05/25/65   2.41%  09/26/24        
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61   4.75%  05/26/24   5.75%   05/26/25 
Legacy Mortgage Asset Trust 2021-GS4, 1.65% due 11/25/60   4.65%  08/26/24   5.65%   08/26/25 
Legacy Mortgage Asset Trust 2021-GS5, 2.25% due 07/25/67   5.25%  11/26/24   6.25%   11/26/25 
Legacy Mortgage Asset Trust 2021-GS2, 1.75% due 04/25/61   4.75%  04/26/24   5.75%   04/26/25 
NYMT Loan Trust 2021-SP1, 1.67% due 08/25/61   4.67%  08/26/24   5.67%   08/26/25 
OSAT Trust 2021-RPL1, 2.12% due 05/25/65   5.12%  06/26/24   6.12%   06/26/25 
PRPM LLC 2022-1, 3.72% due 02/25/27   6.72%  02/25/25   7.72%   2/25/26 
PRPM LLC 2021-5, 1.79% due 06/25/26   4.79%  06/26/24   5.79%   06/26/25 
Verus Securitization Trust 2020-1, 2.42% due 01/25/60   3.42%  01/26/24        
Verus Securitization Trust 2019-4, 2.64% due 11/25/59   3.64%  10/26/23        
Verus Securitization Trust 2020-5, 1.58% due 05/25/65   2.58%  10/26/24        

 

Affiliated Transactions

 

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

 

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles' annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

   

 

Limited Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

Transactions during the period ended June 30, 2022, in which the company is an affiliated issuer, were as follows:

 

 

Security Name  Value 09/30/21   Additions   Reductions   Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value 06/30/22   Shares 06/30/22   Investment Income 
Mutual Funds                                
  Guggenheim Strategy Fund II  $29,873,632   $370,552   $   $   $(1,023,014)  $29,221,170    1,210,488   $370,551 
  Guggenheim Strategy Fund III   30,067,520    385,617            (1,120,264)   29,332,873    1,211,602    385,615 
  Guggenheim Ultra Short Duration Fund — Institutional Class   29,235,779    237,523            (942,262)   28,531,040    2,956,585    237,526 
   $89,176,931   $993,692   $   $   $(3,085,540)  $87,085,083        $993,692 

 

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

    Shares     Value  
COMMON STOCKS - 4.1%
Financial - 3.9%
Pershing Square Tontine Holdings Ltd. — Class A*,1     6,864,930     $ 137,092,652  
KKR Acquisition Holdings I Corp. — Class A*,1     5,062,315       49,560,064  
RXR Acquisition Corp. — Class A*,1     1,087,275       10,644,422  
Aequi Acquisition Corp. — Class A*,1     999,157       9,871,671  
AfterNext HealthTech Acquisition Corp. — Class A*,1     895,600       8,696,276  
MSD Acquisition Corp. — Class A*,1     833,026       8,163,655  
Conyers Park III Acquisition Corp. — Class A*,1     832,100       8,029,765  
TPG Pace Beneficial II Corp.*,1     807,638       7,858,318  
Waverley Capital Acquisition Corp. 1 — Class A*,1     786,700       7,607,389  
Acropolis Infrastructure Acquisition Corp. — Class A*,1     578,278       5,591,948  
Blue Whale Acquisition Corp. I — Class A*,1     477,700       4,619,359  
Colicity, Inc. — Class A*,1     217,843       2,137,040  
TPG, Inc.     42,622       1,019,092  
Total Financial             260,891,651  
Utilities - 0.1%                
Texgen Power LLC*,††     180,169       4,324,056  
Consumer, Cyclical - 0.1%                
ATD New Holdings, Inc.*,††     42,478       2,973,460  
Communications - 0.0%                
Vacasa, Inc. — Class A*     503,817       1,450,993  
Figs, Inc. — Class A*,18     55,695       507,381  
Total Communications             1,958,374  
Energy - 0.0%                
Permian Production Partners LLC†††     573,522       470,288  
Consumer, Non-cyclical - 0.0%                
Cengage Learning Holdings II, Inc.*,††     21,660       314,070  
Targus Group International Equity, Inc.*,†††,2     12,773       32,138  
Save-A-Lot*,††     22,703       9,467  
Total Consumer, Non-cyclical             355,675  
Technology - 0.0%                
Qlik Technologies, Inc. - Class A*,†††     177       266,674  
Qlik Technologies, Inc. - Class B*,†††     43,738       5  
Total Technology             266,679  
Industrial - 0.0%                
BP Holdco LLC*,†††,2     37,539       26,465  
Vector Phoenix Holdings, LP*,†††     37,539       10,323  
API Heat Transfer Parent LLC*,†††     1,763,707     177  
Total Industrial             36,965  
Total Common Stocks                
(Cost $266,759,223)             271,277,148  

 

PREFERRED STOCKS†† - 6.3%                
Financial - 5.9%                
Bank of America Corp.                
4.13%     1,078,000       20,040,020  
4.38%     736,000       14,050,240  
4.38%     13,850,000       11,492,314  
Wells Fargo & Co.                
3.90%     25,750,000       22,177,188  
4.70%     982,000       18,982,060  
First Republic Bank                
4.25%     1,168,000       20,743,680  
4.50%     725,600       13,423,600  
4.13%     369,600       6,468,000  
Citigroup, Inc.                
3.88%     30,600,000       25,398,000  
4.00%     13,100,000       11,331,500  
Equitable Holdings, Inc.                
4.95%     24,550,000       23,069,979  
4.30%     616,000       11,032,560  
Markel Corp.                
6.00%     32,370,000       31,924,913  
Public Storage                
4.63%     855,064       18,802,857  
4.13%     265,621       5,168,985  
Bank of New York Mellon Corp.                
3.75%     20,550,000       16,775,567  
4.70%     4,500,000       4,396,500  
Kuvare US Holdings, Inc.                
7.00% due 02/17/513     19,150,000       19,197,875  
W R Berkley Corp.                
4.13% due 03/30/61     878,365       15,099,094  
4.25% due 09/30/60     115,042       2,023,589  
Goldman Sachs Group, Inc.                
4.13%     20,500,000       16,758,750  
Charles Schwab Corp.                
4.00%     18,700,000       14,394,325  
Prudential Financial, Inc.                
4.13% due 09/01/60     686,550       14,101,737  
MetLife, Inc.                
3.85%     12,200,000       10,863,536  
CNO Financial Group, Inc.                
5.13% due 11/25/60     324,000       6,198,120  
Assurant, Inc.                
5.25% due 01/15/61     258,000       5,740,500  
American Financial Group, Inc.                
4.50% due 09/15/60     270,159       5,219,472  
Selective Insurance Group, Inc.                
4.60%     246,000       4,570,680  
PartnerRe Ltd.                
4.88%     208,352       4,313,657  
Total Financial             393,759,298  
Government - 0.4%                
CoBank ACB                
4.25%     20,000,000       17,055,057  
   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Shares       Value  
PREFERRED STOCKS†† - 6.3% (continued)                
Government - 0.4% (continued)                
Farmer Mac                
5.75%     378,000     $ 9,502,920  
Total Government             26,557,977  
Industrial - 0.0%                
API Heat Transfer Intermediate*,†††     218        
Total Preferred Stocks                
(Cost $509,787,286)             420,317,275  

 

WARRANTS - 0.0%                
KKR Acquisition Holdings I Corp. — Class A                
Expiring 12/31/27*,1     1,265,578       455,608  
Pershing Square Tontine Holdings Ltd.  — Class A                
Expiring 07/24/25*,1     762,770       328,067  
Ginkgo Bioworks Holdings, Inc.                
Expiring 08/01/26*     128,004       67,842  
Conyers Park III Acquisition Corp. — Class A                
Expiring 08/12/28*     277,366       66,568  
AfterNext HealthTech Acquisition Corp. — Class A                
Expiring 07/09/23*,1     298,533       56,721  
Waverley Capital Acquisition Corp. 1 — Class A                
Expiring 04/30/27*,1     262,232       55,384  
MSD Acquisition Corp. — Class A                
Expiring 05/13/23*,1     166,604       50,131  
Acropolis Infrastructure Acquisition Corp. — Class A                
Expiring 03/31/26*,1     192,759       38,552  
Blue Whale Acquisition Corp. I — Class A                
Expiring 07/09/23*,1     119,424       25,079  
RXR Acquisition Corp. — Class A                
Expiring 03/08/26*,1     217,453       24,572  
Aequi Acquisition Corp. — Class A                
Expiring 11/30/27*,1     333,052       22,981  
Colicity, Inc. — Class A                
Expiring 12/31/27*,1     43,567       9,454  
Total Warrants                
(Cost $9,302,493)             1,200,959  
                 
EXCHANGE-TRADED FUNDS - 0.8%                
VanEck Gold Miners ETF     1,430,590       39,169,554  
iShares Preferred & Income Securities ETF     270,626       8,898,183  
iShares iBoxx High Yield Corporate Bond ETF     85,193       6,271,057  
Total Exchange-Traded Funds                
(Cost $70,585,805)             54,338,794  
                 
MUTUAL FUNDS - 2.8%                
Guggenheim Risk Managed Real Estate Fund — Institutional Class2     2,237,384       73,565,183  
Guggenheim Ultra Short Duration Fund — Institutional Class2     4,740,973       45,750,392  
Guggenheim Alpha Opportunity Fund — Institutional Class2     1,010,531       26,940,748  
Guggenheim Strategy Fund II2     745,539     17,997,308  
Guggenheim Strategy Fund III2     723,055       17,505,166  
Total Mutual Funds                
(Cost $183,158,349)             181,758,797  
                 
CLOSED-END FUNDS - 1.1%                
BlackRock Corporate High Yield Fund, Inc.     2,616,313       24,933,463  
Blackstone Strategic Credit Fund     1,225,934       13,693,683  
BlackRock Credit Allocation Income Trust     1,124,760       12,248,636  
Eaton Vance Limited Duration Income Fund     791,358       8,174,728  
Ares Dynamic Credit Allocation Fund, Inc.     479,990       5,855,878  
BlackRock Debt Strategies Fund, Inc.     488,322       4,463,263  
Western Asset High Income Opportunity Fund, Inc.     882,357       3,494,134  
Total Closed-End Funds                
(Cost $71,006,809)             72,863,785  
                 
MONEY MARKET FUNDS - 0.3%                
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 1.32%4     14,153,371       14,153,371  
Western Asset Institutional U.S. Treasury Reserves — Institutional Shares, 0.95%4     5,107,876       5,107,876  
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.97%4     1,028,308       1,028,308  
Total Money Market Funds                
(Cost $20,289,555)             20,289,555  

 

      Face
Amount~
         
CORPORATE BONDS†† - 33.9%                
Financial -  8.7%                
Pershing Square Holdings Ltd.                
3.25% due 10/01/31   33,500,000       26,423,460  
3.25% due 11/15/303     15,100,000       12,313,446  
NFP Corp.                
6.88% due 08/15/283     28,700,000       23,678,648  
4.88% due 08/15/283     3,950,000       3,383,056  
Wilton RE Ltd.                
6.00%†††,3,5,6     31,350,000       27,011,473  
GLP Capital Limited Partnership / GLP Financing II, Inc.                
4.00% due 01/15/317     22,640,000       19,525,384  
5.30% due 01/15/297     6,950,000       6,638,021  
LPL Holdings, Inc.                
4.00% due 03/15/293     24,100,000       20,618,977  
4.38% due 05/15/313     6,350,000       5,425,345  
Liberty Mutual Group, Inc.                
4.30% due 02/01/618     36,940,000       24,981,256  
   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
CORPORATE BONDS†† - 33.9% (continued)                
Financial -  8.7% (continued)                
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.                
3.88% due 03/01/313   21,650,000     $ 16,222,129  
2.88% due 10/15/263     8,750,000       7,231,088  
Home Point Capital, Inc.                
5.00% due 02/01/263     33,010,000       22,776,900  
CBS Studio Center                
3.78% (30 Day Average SOFR + 3.00%, Rate Floor: 3.00%) due 01/09/24◊,†††     22,000,000       22,220,000  
Iron Mountain, Inc.                
5.63% due 07/15/323     25,025,000       21,160,543  
4.50% due 02/15/313     925,000       755,859  
Host Hotels & Resorts, LP                
3.50% due 09/15/307     24,000,000       20,501,797  
United Wholesale Mortgage LLC                
5.50% due 11/15/253     12,600,000       10,793,034  
5.50% due 04/15/293     7,150,000       5,474,398  
5.75% due 06/15/273     4,550,000       3,648,008  
Jefferies Finance LLC / JFIN Company-Issuer Corp.                
5.00% due 08/15/283     23,000,000       18,917,500  
Starwood Property Trust, Inc.                
4.38% due 01/15/273     21,000,000       18,229,260  
Global Atlantic Finance Co.                
4.70% due 10/15/513,6     22,350,000       17,938,028  
FS KKR Capital Corp.                
3.25% due 07/15/277     21,000,000       17,869,138  
Nationwide Mutual Insurance Co.                
4.35% due 04/30/503,7     21,150,000       17,583,626  
Hampton Roads PPV LLC                
6.62% due 06/15/533     16,800,000       15,081,219  
Sherwood Financing plc                
4.50% due 11/15/263   EUR 15,600,000       13,674,316  
Kennedy-Wilson, Inc.                
5.00% due 03/01/31     16,825,000       13,039,375  
4.75% due 02/01/30     250,000       195,625  
4.75% due 03/01/29     25,000       20,250  
Hunt Companies, Inc.                
5.25% due 04/15/293     13,700,000       11,645,000  
Wilton Re Finance LLC                
5.88% due 03/30/333,6     11,815,000       11,598,145  
First American Financial Corp.                
4.00% due 05/15/30     11,760,000       10,562,236  
Atlas Mara Ltd.                
 due 12/31/21†††,9     14,400,000       10,296,000  
OneAmerica Financial Partners, Inc.                
4.25% due 10/15/503     11,550,000       9,356,555  
OneMain Finance Corp.                
4.00% due 09/15/30     11,750,000       8,709,687  
Alliant Holdings Intermediate LLC / Alliant Holdings Company-Issuer                
4.25% due 10/15/273     10,000,000     8,655,704  
Jane Street Group / JSG Finance, Inc.                
4.50% due 11/15/293     9,650,000       8,588,500  
SLM Corp.                
3.13% due 11/02/26     10,000,000       8,074,600  
HUB International Ltd.                
5.63% due 12/01/293     8,500,000       7,021,449  
7.00% due 05/01/263     750,000       705,300  
QBE Insurance Group Ltd.                
5.88%3,5,6     7,550,000       7,342,375  
Bank of America Corp.                
6.13%*,5,6     5,800,000       5,593,375  
PartnerRe Finance B LLC                
4.50% due 10/01/506,7     6,460,000       5,375,115  
Ryan Specialty Group LLC                
4.38% due 02/01/303     5,750,000       5,002,500  
AmWINS Group, Inc.                
4.88% due 06/30/293     6,025,000       4,934,010  
Cushman & Wakefield US Borrower LLC                
6.75% due 05/15/283     5,303,000       4,925,161  
American Equity Investment Life Holding Co.                
5.00% due 06/15/27     4,813,000       4,751,414  
JPMorgan Chase & Co.                
4.59% due 04/26/336,7     3,700,000       3,634,293  
Iron Mountain Information Management Services, Inc.                
5.00% due 07/15/323     3,350,000       2,703,827  
Prudential Financial, Inc.                
5.13% due 03/01/526     2,750,000       2,538,662  
SBA Communications Corp.                
3.13% due 02/01/29     3,100,000       2,537,350  
Platinum for Belize Blue Investment Company LLC                
1.60% due 10/20/40†††,3,10     1,900,000       1,705,911  
Total Financial             579,588,328  
Communications -  4.7%                
British Telecommunications plc                
4.88% due 11/23/816,8     28,200,000       23,970,000  
4.25% due 11/23/813,6     5,250,000       4,569,776  
Level 3 Financing, Inc.                
4.25% due 07/01/283     22,035,000       17,655,544  
3.75% due 07/15/293     7,600,000       5,876,358  
3.88% due 11/15/293     2,600,000       2,147,334  
McGraw-Hill Education, Inc.                
8.00% due 08/01/293     26,800,000       21,708,000  
5.75% due 08/01/283     4,550,000       3,896,072  
CSC Holdings LLC                
4.13% due 12/01/303     21,250,000       16,575,000  
3.38% due 02/15/313     2,975,000       2,199,447  
4.63% due 12/01/303     2,715,000       1,815,629  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
CORPORATE BONDS†† - 33.9% (continued)                
Communications -  4.7% (continued)                
Altice France S.A.                
5.13% due 07/15/293   13,250,000     $ 10,003,750  
5.50% due 10/15/293     11,760,000       8,983,582  
LCPR Senior Secured Financing DAC                
5.13% due 07/15/293     16,250,000       13,568,750  
6.75% due 10/15/273     5,400,000       5,037,282  
Virgin Media Finance plc                
5.00% due 07/15/303     21,400,000       16,959,500  
UPC Broadband Finco BV                
4.88% due 07/15/313     20,200,000       16,463,000  
VZ Secured Financing BV                
5.00% due 01/15/323     16,950,000       14,068,500  
CCO Holdings LLC / CCO Holdings Capital Corp.                
4.50% due 06/01/333     14,265,000       11,241,105  
4.25% due 02/01/313     3,310,000       2,697,650  
Switch Ltd.                
3.75% due 09/15/283     12,100,000       11,968,715  
Vodafone Group plc                
5.13% due 06/04/816     16,875,000       11,242,969  
Cable One, Inc.                
4.00% due 11/15/303     12,575,000       10,330,111  
Paramount Global                
4.95% due 05/19/507     10,340,000       8,666,605  
AMC Networks, Inc.                
4.25% due 02/15/29     10,200,000       8,263,938  
Radiate Holdco LLC / Radiate Finance, Inc.                
4.50% due 09/15/263     9,300,000       8,019,204  
Sirius XM Radio, Inc.                
4.13% due 07/01/303     8,900,000       7,433,191  
Match Group Holdings II LLC                
4.63% due 06/01/283     7,700,000       6,980,820  
Virgin Media Secured Finance plc                
4.50% due 08/15/303     7,950,000       6,532,595  
Telenet Finance Luxembourg Notes SARL                
5.50% due 03/01/28     7,000,000       6,176,800  
Cengage Learning, Inc.                
9.50% due 06/15/243     5,039,000       4,661,075  
Ziggo BV                
4.88% due 01/15/303     5,275,000       4,472,894  
Cogent Communications Group, Inc.                
7.00% due 06/15/273     3,650,000       3,496,700  
Virgin Media Vendor Financing Notes IV DAC                
5.00% due 07/15/283     3,650,000       3,020,261  
Charter Communications Operating LLC / Charter Communications Operating Capital                
3.90% due 06/01/52     3,500,000       2,429,750  
Lamar Media Corp.                
4.00% due 02/15/30     2,400,000       2,015,162  
TripAdvisor, Inc.                
7.00% due 07/15/253     1,800,000       1,742,435  
T-Mobile USA, Inc.                
2.88% due 02/15/31     1,750,000     1,452,902  
Zayo Group Holdings, Inc.                
4.00% due 03/01/273     700,000       580,713  
Total Communications             308,923,119  
Consumer, Non-cyclical -  4.4%                
Medline Borrower, LP                
3.88% due 04/01/293     38,500,000       32,790,835  
5.25% due 10/01/293     7,200,000       5,913,360  
US Foods, Inc.                
6.25% due 04/15/253     11,950,000       11,920,125  
4.75% due 02/15/293     6,550,000       5,725,945  
4.63% due 06/01/303     2,675,000       2,255,135  
Kraft Heinz Foods Co.                
5.20% due 07/15/45     5,725,000       5,298,049  
4.38% due 06/01/46     6,320,000       5,267,122  
5.50% due 06/01/50     2,800,000       2,687,759  
5.00% due 06/04/42     2,490,000       2,274,854  
4.88% due 10/01/49     2,025,000       1,788,583  
Bausch Health Companies, Inc.                
4.88% due 06/01/283     15,600,000       12,207,624  
DaVita, Inc.                
4.63% due 06/01/303     9,649,000       7,524,888  
3.75% due 02/15/313     6,050,000       4,337,789  
Block, Inc.                
2.75% due 06/01/263     11,031,000       9,787,034  
Sabre GLBL, Inc.                
7.38% due 09/01/253     8,222,000       7,625,905  
9.25% due 04/15/253     1,308,000       1,260,323  
Nielsen Finance LLC / Nielsen Finance Co.                
4.75% due 07/15/313     6,625,000       5,959,699  
4.50% due 07/15/293     2,550,000       2,303,632  
Sotheby's/Bidfair Holdings, Inc.                
5.88% due 06/01/293     9,400,000       8,068,198  
Prime Security Services Borrower LLC / Prime Finance, Inc.                
3.38% due 08/31/273     7,300,000       6,013,375  
5.25% due 04/15/243     1,900,000       1,857,250  
IQVIA, Inc.                
5.00% due 05/15/273     6,650,000       6,291,565  
5.00% due 10/15/263     1,350,000       1,285,645  
BCP V Modular Services Finance II plc                
4.75% due 10/30/283   EUR 9,000,000       7,483,496  
Option Care Health, Inc.                
4.38% due 10/31/293     8,725,000       7,481,688  
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.                
4.38% due 02/02/523     6,500,000       4,596,930  
3.75% due 12/01/313     3,400,000       2,789,319  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
CORPORATE BONDS†† - 33.9% (continued)                
Consumer, Non-cyclical -  4.4% (continued)                
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.                
5.00% due 12/31/263   5,500,000     $ 4,702,555  
7.00% due 12/31/273     2,991,000       2,243,250  
Cheplapharm Arzneimittel GmbH                
5.50% due 01/15/283     8,085,000       6,754,961  
CPI CG, Inc.                
8.63% due 03/15/263     7,077,000       6,687,765  
TreeHouse Foods, Inc.                
4.00% due 09/01/287     7,575,000       6,171,655  
HealthEquity, Inc.                
4.50% due 10/01/293     6,900,000       6,037,500  
Post Holdings, Inc.                
4.50% due 09/15/313     4,100,000       3,353,185  
4.63% due 04/15/303     1,725,000       1,455,503  
5.50% due 12/15/293     1,300,000       1,162,174  
Grifols Escrow Issuer S.A.                
4.75% due 10/15/283     6,750,000       5,854,140  
Smithfield Foods, Inc.                
3.00% due 10/15/303     7,000,000       5,802,979  
Service Corporation International                
3.38% due 08/15/30     5,275,000       4,318,906  
4.00% due 05/15/31     1,650,000       1,408,688  
Spectrum Brands, Inc.                
5.50% due 07/15/303     5,600,000       5,039,766  
HCA, Inc.                
3.50% due 07/15/51     6,950,000       4,746,406  
WW International, Inc.                
4.50% due 04/15/293     7,050,000       4,694,948  
FAGE International S.A. / FAGE USA Dairy Industry, Inc.                
5.63% due 08/15/263     5,232,000       4,460,679  
Central Garden & Pet Co.                
4.13% due 04/30/313     5,300,000       4,254,657  
Rent-A-Center, Inc.                
6.38% due 02/15/293,7     5,450,000       4,251,000  
Chrome Bidco                
3.50% due 05/31/283   EUR 4,800,000       4,115,988  
ADT Security Corp.                
4.88% due 07/15/323     5,150,000       4,099,503  
Carriage Services, Inc.                
4.25% due 05/15/293     4,575,000       3,720,639  
CAB SELAS                
3.38% due 02/01/283   EUR 4,100,000       3,441,474  
Endo Luxembourg Finance Company I SARL / Endo US, Inc.                
6.13% due 04/01/293     4,400,000       3,325,608  
APi Escrow Corp.                
4.75% due 10/15/293     3,800,000       3,068,500  
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.                
5.00% due 02/01/263     2,775,000       2,325,450  
Charles River Laboratories International, Inc.                
4.00% due 03/15/313     2,500,000     2,131,120  
Molina Healthcare, Inc.                
4.38% due 06/15/283     1,770,000       1,581,090  
Par Pharmaceutical, Inc.                
7.50% due 04/01/273     1,825,000       1,387,000  
Syneos Health, Inc.                
3.63% due 01/15/293     1,600,000       1,354,926  
Tenet Healthcare Corp.                
4.63% due 06/15/283     975,000       849,011  
5.13% due 11/01/273     550,000       495,000  
Altria Group, Inc.                
4.45% due 05/06/50     1,670,000       1,202,487  
Performance Food Group, Inc.                
6.88% due 05/01/253     304,000       302,497  
Total Consumer, Non-cyclical             289,597,137  
Consumer, Cyclical -  4.2%                
Marriott International, Inc.                
2.85% due 04/15/317     14,730,000       12,215,306  
4.63% due 06/15/30     10,900,000       10,449,659  
5.75% due 05/01/25     8,440,000       8,755,772  
3.50% due 10/15/327     8,150,000       7,029,982  
Delta Air Lines, Inc. / SkyMiles IP Ltd.                
4.75% due 10/20/283,7     24,150,000       22,811,561  
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.                
6.50% due 06/20/273,7     19,700,000       19,361,160  
1011778 BC ULC / New Red Finance, Inc.                
4.00% due 10/15/303     22,200,000       17,815,500  
Hilton Domestic Operating Company, Inc.                
4.00% due 05/01/313     15,900,000       13,212,900  
3.63% due 02/15/323     4,150,000       3,296,656  
5.75% due 05/01/283     525,000       499,186  
Delta Air Lines, Inc.                
7.00% due 05/01/253,7     14,155,000       14,327,529  
Hyatt Hotels Corp.                
5.63% due 04/23/25     7,350,000       7,444,612  
5.75% due 04/23/30     6,530,000       6,574,847  
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc.                
4.63% due 01/15/293     15,975,000       13,618,687  
JB Poindexter & Company, Inc.                
7.13% due 04/15/263     11,725,000       11,256,000  
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.                
5.00% due 06/01/313     11,350,000       9,651,756  
5.88% due 03/01/27     660,000       622,519  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
CORPORATE BONDS†† - 33.9% (continued)                
Consumer, Cyclical -  4.2% (continued)                
Boyne USA, Inc.                
4.75% due 05/15/293   11,310,000     $ 9,793,781  
British Airways Class A Pass Through Trust                
4.25% due 11/15/323     8,109,261       7,795,122  
Scotts Miracle-Gro Co.                
4.00% due 04/01/31     9,900,000       7,400,250  
Wabash National Corp.                
4.50% due 10/15/283     9,100,000       6,961,500  
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.                
5.75% due 01/20/263     6,495,000       5,820,819  
Papa John's International, Inc.                
3.88% due 09/15/293     7,025,000       5,794,923  
Six Flags Theme Parks, Inc.                
7.00% due 07/01/253     5,475,000       5,542,507  
American Airlines Class AA Pass Through Trust                
3.58% due 01/15/28     2,404,073       2,231,428  
3.35% due 10/15/29     1,253,618       1,151,471  
3.65% due 02/15/29     1,122,615       1,046,204  
3.15% due 02/15/32     1,069,887       945,700  
Penn National Gaming, Inc.                
4.13% due 07/01/293     6,975,000       5,292,630  
Aramark Services, Inc.                
6.38% due 05/01/253     5,100,000       4,989,585  
Superior Plus Limited Partnership / Superior General Partner, Inc.                
4.50% due 03/15/293     4,800,000       4,080,000  
Beacon Roofing Supply, Inc.                
4.13% due 05/15/293     4,589,000       3,731,864  
Asbury Automotive Group, Inc.                
4.63% due 11/15/293     4,472,000       3,694,990  
WMG Acquisition Corp.                
3.75% due 12/01/293     3,200,000       2,672,000  
3.00% due 02/15/313     1,275,000       988,967  
Air Canada Class A Pass Through Trust                
5.25% due 04/01/293     3,030,748       3,027,562  
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc.                
6.63% due 03/01/303     3,500,000       2,975,000  
Station Casinos LLC                
4.63% due 12/01/313     3,450,000       2,691,000  
PetSmart, Inc. / PetSmart Finance Corp.                
4.75% due 02/15/283     2,800,000       2,422,672  
Allison Transmission, Inc.                
3.75% due 01/30/313     2,925,000       2,344,212  
Air Canada                
4.63% due 08/15/293   CAD 3,550,000       2,340,515  
Vail Resorts, Inc.                
6.25% due 05/15/253     1,525,000       1,523,124  
United Airlines, Inc.                
4.63% due 04/15/293     1,700,000     1,442,059  
United Airlines Class AA Pass Through Trust                
4.15% due 08/25/31     1,035,232       972,343  
CD&R Smokey Buyer, Inc.                
6.75% due 07/15/253     950,000       839,877  
Wyndham Hotels & Resorts, Inc.                
4.38% due 08/15/283     700,000       612,262  
Tempur Sealy International, Inc.                
3.88% due 10/15/313     375,000       281,250  
Total Consumer, Cyclical             280,349,249  
Industrial -  4.0%                
Boeing Co.                
5.15% due 05/01/307     32,030,000       30,744,894  
5.71% due 05/01/407     16,010,000       14,933,592  
5.81% due 05/01/507     16,010,000       14,704,732  
New Enterprise Stone & Lime Company, Inc.                
5.25% due 07/15/283     11,300,000       9,288,993  
9.75% due 07/15/283     10,350,000       8,849,250  
Standard Industries, Inc.                
4.38% due 07/15/303     11,025,000       8,695,969  
3.38% due 01/15/313     6,552,000       4,832,874  
5.00% due 02/15/273     3,290,000       2,936,511  
IP Lending I LLC                
4.00% due 09/08/25†††,3     15,347,531       14,858,104  
Great Lakes Dredge & Dock Corp.                
5.25% due 06/01/293     15,785,000       13,656,760  
Artera Services LLC                
9.03% due 12/04/253     14,385,000       11,591,433  
TopBuild Corp.                
4.13% due 02/15/323     8,850,000       6,813,092  
3.63% due 03/15/293     5,550,000       4,369,301  
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.                
4.13% due 08/15/263     11,680,000       9,895,413  
Pactiv Evergreen Group Issuer Incorporated/Pactiv Evergreen Group Issuer LLC                
4.00% due 10/15/273     11,150,000       9,533,250  
Cleaver-Brooks, Inc.                
7.88% due 03/01/233,7     9,852,000       9,162,360  
Dyal Capital Partners IV                
3.65% due 02/22/41†††     10,950,000       8,925,763  
Flowserve Corp.                
3.50% due 10/01/30     10,270,000       8,820,138  
GrafTech Finance, Inc.                
4.63% due 12/15/283     10,000,000       8,094,918  
Arcosa, Inc.                
4.38% due 04/15/293     9,400,000       7,976,410  
   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
CORPORATE BONDS†† - 33.9% (continued)                
Industrial -  4.0% (continued)                
Mauser Packaging Solutions Holding Co.                
8.50% due 04/15/243   6,550,000     $ 6,455,287  
5.50% due 04/15/243     800,000       764,000  
IP Lending II Ltd.                
3.65% due 07/15/25†††,3     7,450,000       7,144,216  
Deuce FinCo plc                
5.50% due 06/15/27   GBP 7,350,000       7,089,369  
Atkore, Inc.                
4.25% due 06/01/313     7,625,000       6,328,750  
BWX Technologies, Inc.                
4.13% due 06/30/283     6,700,000       5,963,000  
PGT Innovations, Inc.                
4.38% due 10/01/293     6,100,000       4,809,606  
Harsco Corp.                
5.75% due 07/31/273     4,075,000       3,260,815  
Adevinta ASA                
3.00% due 11/15/27   EUR 3,433,000       3,003,830  
Howmet Aerospace, Inc.                
5.95% due 02/01/37     2,925,000       2,758,275  
6.88% due 05/01/25     53,000       54,447  
TK Elevator US Newco, Inc.                
5.25% due 07/15/273     3,000,000       2,674,695  
Hillenbrand, Inc.                
5.75% due 06/15/25     2,525,000       2,575,500  
EnerSys                
5.00% due 04/30/233     1,900,000       1,882,596  
Trinity Industries, Inc.                
4.55% due 10/01/24     1,260,000       1,220,940  
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc                
4.00% due 09/01/293     950,000       762,375  
Builders FirstSource, Inc.                
6.38% due 06/15/323     800,000       714,000  
EnPro Industries, Inc.                
5.75% due 10/15/26     701,000       676,465  
Waste Pro USA, Inc.                
5.50% due 02/15/263     600,000       532,980  
Brundage-Bone Concrete Pumping Holdings, Inc.                
6.00% due 02/01/263     525,000       444,583  
TransDigm, Inc.                
8.00% due 12/15/253     225,000       227,529  
JELD-WEN, Inc.                
6.25% due 05/15/253     100,000       96,000  
Total Industrial             268,123,015  
Energy -  2.9%                
BP Capital Markets plc                
4.88%5,6,7     39,360,000       34,268,620  
ITT Holdings LLC                
6.50% due 08/01/293     39,200,000       31,360,000  
Occidental Petroleum Corp.                
7.95% due 06/15/39     12,735,000       14,390,550  
6.63% due 09/01/30     3,600,000       3,708,000  
6.13% due 01/01/31     2,250,000       2,280,206  
4.50% due 07/15/44     2,850,000       2,258,625  
4.63% due 06/15/45     1,700,000       1,391,825  
4.40% due 04/15/46     900,000       727,189  
Midwest Connector Capital Company LLC                
4.63% due 04/01/293,7     18,763,000     17,695,029  
Targa Resources Partners Limited Partnership / Targa Resources Partners Finance Corp.                
6.88% due 01/15/29     12,632,000       12,890,956  
4.88% due 02/01/31     5,000,000       4,558,013  
NuStar Logistics, LP                
6.38% due 10/01/30     19,025,000       16,529,413  
5.63% due 04/28/27     450,000       402,754  
Parkland Corp.                
4.63% due 05/01/303     20,000,000       16,224,650  
Kinetik Holdings, LP                
5.88% due 06/15/303     6,100,000       5,810,951  
Rattler Midstream, LP                
5.63% due 07/15/253     5,550,000       5,547,614  
Global Partners Limited Partnership / GLP Finance Corp.                
6.88% due 01/15/29     3,950,000       3,342,602  
7.00% due 08/01/27     2,200,000       1,980,000  
DT Midstream, Inc.                
4.13% due 06/15/293     5,250,000       4,449,375  
Holly Energy Partners Limited Partnership / Holly Energy Finance Corp.                
6.38% due 04/15/273     4,050,000       3,812,103  
DCP Midstream Operating, LP                
3.25% due 02/15/32     4,750,000       3,725,805  
Atlantica Sustainable Infrastructure plc                
4.13% due 06/15/283     1,550,000       1,349,711  
Basic Energy Services, Inc.                
 due 10/15/238,9     1,500,000       198,750  
TransMontaigne Partners Limited Partnership / TLP Finance Corp.                
6.13% due 02/15/26     200,000       176,750  
Total Energy             189,079,491  
Technology -  2.0%                
Minerva Merger Sub, Inc.                
6.50% due 02/15/303     26,650,000       22,161,873  
Qorvo, Inc.                
4.38% due 10/15/29     11,220,000       9,867,092  
3.38% due 04/01/313     9,225,000       7,253,987  
NCR Corp.                
5.25% due 10/01/303     11,425,000       9,854,063  
5.13% due 04/15/293     6,350,000       5,370,449  
6.13% due 09/01/293     25,000       21,621  
Twilio, Inc.                
3.88% due 03/15/31     15,100,000       12,423,827  
Citrix Systems, Inc.                
1.25% due 03/01/267     12,100,000       11,706,300  
CDW LLC / CDW Finance Corp.                
3.57% due 12/01/31     14,000,000       11,566,310  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
CORPORATE BONDS†† - 33.9% (continued)                
Technology -  2.0% (continued)                
TeamSystem SpA                
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 02/15/28   EUR 11,750,000     $ 11,067,434  
Booz Allen Hamilton, Inc.                
3.88% due 09/01/283     11,800,000       10,443,000  
Boxer Parent Company, Inc.                
6.50% due 10/02/25   EUR 8,500,000       8,340,528  
7.13% due 10/02/253     375,000       359,085  
Playtika Holding Corp.                
4.25% due 03/15/293     8,750,000       7,218,750  
Broadcom, Inc.                
3.19% due 11/15/363     6,400,000       4,865,122  
MSCI, Inc.                
3.88% due 02/15/313     883,000       754,965  
ACI Worldwide, Inc.                
5.75% due 08/15/263     400,000       386,108  
Total Technology             133,660,514  
Basic Materials -  1.7%                
Alcoa Nederland Holding BV                
5.50% due 12/15/273     15,125,000       14,330,938  
6.13% due 05/15/283     7,450,000       7,245,125  
4.13% due 03/31/293     4,900,000       4,381,286  
Carpenter Technology Corp.                
6.38% due 07/15/28     8,315,000       7,422,046  
7.63% due 03/15/30     6,100,000       5,601,605  
WR Grace Holdings LLC                
4.88% due 06/15/273     13,750,000       11,965,800  
Kaiser Aluminum Corp.                
4.50% due 06/01/313     13,250,000       10,028,654  
4.63% due 03/01/283     650,000       541,138  
Minerals Technologies, Inc.                
5.00% due 07/01/283     11,230,000       9,773,469  
EverArc Escrow SARL                
5.00% due 10/30/293     11,525,000       9,700,765  
SCIL IV LLC / SCIL USA Holdings LLC                
5.38% due 11/01/263     10,675,000       8,540,000  
Clearwater Paper Corp.                
4.75% due 08/15/283     5,539,000       4,776,469  
HB Fuller Co.                
4.25% due 10/15/28     5,250,000       4,405,065  
Novelis Sheet Ingot GmbH                
3.38% due 04/15/29   EUR   4,500,000       3,707,796  
ArcelorMittal S.A.                
4.55% due 03/11/26     2,450,000       2,414,517  
Compass Minerals International, Inc.                
6.75% due 12/01/273     2,634,000       2,383,770  
Arconic Corp.                
6.00% due 05/15/253     2,275,000       2,218,816  
Ingevity Corp.                
3.88% due 11/01/283     1,000,000       837,500  
Mirabela Nickel Ltd.                
 due 06/24/198,9     1,885,418     94,271  
Total Basic Materials             110,369,030  
Utilities -  1.3%                
Midcap Funding XLVI Trust                
4.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 11/22/23◊,†††     43,400,000       43,387,830  
Cheniere Corpus Christi Holdings LLC                
3.52% due 12/31/39†††     21,800,000       18,555,789  
Clearway Energy Operating LLC                
3.75% due 02/15/313     13,450,000       10,843,659  
AES Corp.                
3.95% due 07/15/303     9,760,000       8,800,592  
Terraform Global Operating LLC                
6.13% due 03/01/263     8,285,000       7,874,293  
Total Utilities             89,462,163  
Total Corporate Bonds                
(Cost $2,649,086,112)             2,249,152,046  

 

SENIOR FLOATING RATE INTERESTS††,◊ - 26.9%                
Consumer, Cyclical -  6.5%                
MB2 Dental Solutions LLC                
7.24% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††     20,614,025       20,299,306  
7.43% ((3 Month USD LIBOR + 6.00%) and (Commercial Prime Lending Rate + 5.00%), Rate Floor: 7.00%) due 01/29/27†††     7,370,742       7,258,211  
7.49% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††     6,421,172       6,323,139  
Zephyr Bidco Ltd.                
5.97% (1 Month GBP SONIA + 4.75%, Rate Floor: 5.44%) due 07/23/25   GBP   20,850,000       22,090,355  
8.72% (1 Month GBP SONIA + 7.50%, Rate Floor: 8.19%) due 07/23/26   GBP   1,540,417       1,656,376  

 

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
SENIOR FLOATING RATE INTERESTS††,◊ - 26.9% (continued)                
Consumer, Cyclical -  6.5% (continued)                
FR Refuel LLC                
6.44% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 11/08/28   20,742,433     $ 20,016,448  
6.00% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 11/08/28     2,753,333       2,656,967  
Packers Holdings LLC                
4.44% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28     22,840,314       20,856,176  
Pacific Bells, LLC                
6.79% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28     19,901,031       18,358,701  
BGIS (BIFM CA Buyer, Inc.)                
5.07% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26†††     17,900,453       16,423,665  
Mavis Tire Express Services TopCo Corp.                
5.75% (1 Month Term SOFR + 4.00%, Rate Floor: 5.75%) due 05/04/28     17,232,184       15,896,690  
BCPE Empire Holdings, Inc.                
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/11/26†††     16,815,500       15,806,570  
Truck Hero, Inc.                
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 01/31/28     15,658,964       13,967,796  
BRE/Everbright M6 Borrower LLC                
6.67% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 09/09/26     14,324,772       13,877,123  
PAI Holdco, Inc.                
4.99% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/28/27     13,980,814       13,159,442  
SP PF Buyer LLC                
6.17% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25     15,308,039       12,935,293  
Breitling Financing SARL                
4.00% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 10/25/28   EUR 13,900,000     12,823,016  
CNT Holdings I Corp.                
4.69% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 11/08/27     11,798,759       11,176,847  
Loire Finco Luxembourg SARL                
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/27     10,665,673       10,007,921  
CD&R Firefly Bidco Ltd.                
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 06/23/25   EUR   6,000,000       5,779,881  
5.05% (1 Month GBP SONIA + 4.25%, Rate Floor: 4.25%) due 06/23/25   GBP   3,350,000       3,716,037  
Rent-A-Center, Inc.                
4.94% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28     10,274,702       9,215,175  
Flamingo                
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/24/28   EUR   10,000,000       9,206,853  
Verisure Holding AB                
3.25% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26   EUR   7,651,053       7,243,927  
3.47% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28   EUR   1,770,000       1,668,359  
CHG Healthcare Services, Inc.                
4.75% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 09/29/28     9,131,000       8,615,098  
NFM & J LLC                
7.42% (1 Month USD LIBOR + 5.75%, Rate Floor: 6.75%) due 11/30/27†††     8,384,162       8,301,431  
ImageFIRST Holdings LLC                
6.75% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 04/27/28     8,865,472       8,156,234  

 

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
SENIOR FLOATING RATE INTERESTS††,◊ - 26.9% (continued)                
Consumer, Cyclical -  6.5% (continued)                
BCP V Modular Services Holdings IV Ltd.                
4.50% (3 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 12/15/28   EUR 8,200,000     $ 7,652,904  
First Brands Group LLC                
6.29% (3 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 03/30/27     7,449,500       7,047,227  
PetSmart LLC                
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28     7,443,750       6,985,959  
United Petfood                
3.00% (6 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 04/24/28   EUR   7,000,000       6,656,712  
Camin Cargo Control, Inc.                
8.17% (1 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 06/04/26     6,597,102       6,531,131  
Holding SOCOTEC                
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 06/30/28†††     7,078,500       6,512,220  
Accuride Corp.                
7.50% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23     6,998,573       6,111,503  
Congruex Group LLC                
7.01% (3 Month Term SOFR + 5.75%, Rate Floor: 6.50%) due 05/03/29     6,150,000       5,888,625  
AlixPartners, LLP                
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 02/04/28   EUR   5,925,000       5,774,128  
Fertitta Entertainment LLC                
5.53% (1 Month SOFR + 4.00%, Rate Floor: 4.00%) due 01/27/29     5,550,000       5,103,947  
Scientific Games Holdings, LP                
4.18% (3 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 04/04/29     5,500,000       5,080,625  
The Facilities Group                
7.30% ((1 Month USD LIBOR + 5.75%) and (3 Month USD LIBOR + 5.75%), Rate Floor: 6.75%) due 11/30/27†††     4,826,369     4,778,745  
Galls LLC                
8.02% ((1 Month USD LIBOR + 6.25%) and (3 Month USD LIBOR + 6.25%), Rate Floor: 7.25%) due 01/31/25†††     3,470,729       3,349,253  
7.99% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.75%) due 01/31/25†††     467,308       450,952  
8.07% ((1 Month USD LIBOR + 6.75%) and (3 Month USD LIBOR + 6.75%), Rate Floor: 7.75%) due 01/31/24†††     318,540       307,563  
ScribeAmerica Intermediate Holdco LLC (Healthchannels)                
5.56% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25     4,728,976       4,003,882  
Sovos Brands Intermediate, Inc.                
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 06/08/28     3,998,759       3,766,351  
Alexander Mann                
6.31% (1 Month GBP SONIA + 5.00%, Rate Floor: 5.00%) due 06/16/25   GBP   3,000,000       3,498,996  
SHO Holding I Corp.                
6.49% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 04/26/24     3,614,015       3,228,508  
6.47% (3 Month USD LIBOR + 5.23%, Rate Floor: 6.23%) due 04/29/24     60,373       53,933  
Eagle Parent Corp.                
6.30% (3 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 04/02/29     3,192,000       3,053,691  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
SENIOR FLOATING RATE INTERESTS††,◊ - 26.9% (continued)                
Consumer, Cyclical -  6.5% (continued)                
Cast & Crew Payroll LLC                
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/09/26   3,221,615     $ 3,049,807  
Apro LLC                
5.38% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/16/26     3,267,000       3,046,477  
Checkers Drive-In Restaurants, Inc.                
5.83% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 04/25/24     3,278,929       2,877,260  
Blue Nile, Inc.                
8.46% (3 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 02/17/23     2,712,500       2,590,437  
Adevinta ASA                
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 06/26/28   EUR   2,600,000       2,539,679  
WESCO                
6.51% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/14/24†††     2,306,764       2,283,697  
CCRR Parent, Inc.                
6.01% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/06/28     1,876,250       1,775,402  
TTF Holdings Intermediate LLC                
5.94% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/31/28†††     1,565,285       1,498,760  
EG Finco Ltd.                
6.06% (1 Month GBP SONIA + 4.87%, Rate Floor: 4.87%) due 02/07/25   GBP   960,000       1,010,846  
BCPE Empire Holdings, Inc.                
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/11/26     221,584       208,843  
Total Consumer, Cyclical             434,211,100  
Industrial -  5.7%                
CapStone Acquisition Holdings, Inc.                
6.42% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/12/27†††     26,135,267       25,808,576  
United Airlines, Inc.                
5.39% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28     25,181,250     23,339,997  
Arcline FM Holdings LLC                
7.63% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28†††     21,041,000       19,725,937  
American Bath Group LLC                
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27     20,594,099       18,028,486  
Hunter Douglas, Inc.                
4.84% (3 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 02/26/29     21,000,000       18,020,730  
AI Convoy Luxembourg SARL                
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 01/18/27   EUR   8,324,708       7,981,880  
5.05% ((3 Month USD LIBOR + 3.50%) and (6 Month USD LIBOR + 3.50%), Rate Floor: 4.50%) due 01/18/27     8,169,469       7,789,589  
Mileage Plus Holdings LLC                
7.31% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27     15,250,000       15,036,500  
TransDigm, Inc.                
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25     14,079,147       13,349,424  
NA Rail Hold Co. LLC                
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.25%) due 10/19/26     13,740,032       13,096,037  
Minerva Bidco Ltd.                
5.19% (3 Month GBP SONIA + 4.50%, Rate Floor: 4.50%) due 07/30/25   GBP   11,000,000       12,787,739  
DXP Enterprises, Inc.                
6.42% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/23/27     12,937,153       12,446,576  

 

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
SENIOR FLOATING RATE INTERESTS††,◊ - 26.9% (continued)                
Industrial -  5.7% (continued)                
Charter Next Generation, Inc.                
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27     12,985,625     $ 12,195,709  
Fugue Finance BV                
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 08/30/24   EUR   12,545,690       12,086,615  
Merlin Buyer, Inc.                
5.53% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 12/14/28     11,970,000       11,266,762  
Service Logic Acquisition, Inc.                
5.24% ((1 Month USD LIBOR + 4.00%) and (3 Month USD LIBOR + 4.00%), Rate Floor: 4.75%) due 10/29/27     11,662,887       11,065,164  
TK Elevator Midco GmbH                
3.63% (1 Month EURIBOR + 3.63%, Rate Floor: 3.63%) due 07/30/27   EUR   7,000,000       6,578,812  
4.02% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27     4,172,780       3,898,962  
TricorBraun Holdings, Inc.                
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28     10,844,984       10,060,674  
Icebox Holdco III, Inc.                
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/28     10,703,175       10,034,227  
DG Investment Intermediate Holdings 2, Inc.                
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/31/28     10,444,847       9,736,582  
Dispatch Terra Acquisition LLC                
6.50% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28†††     10,293,207       9,315,352  
PECF USS Intermediate Holding III Corp.                
5.92% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28     7,960,000       7,164,000  
YAK MAT (YAK ACCESS LLC)                
12.18% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26     12,220,199     6,469,129  
Pelican Products, Inc.                
6.50% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/29/28     6,769,367       6,295,511  
Valcour Packaging LLC                
5.22% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 10/04/28†††     6,300,000       5,874,750  
LTI Holdings, Inc.                
6.42% (3 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 07/24/26     3,895,125       3,651,680  
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/08/25     2,341,418       2,171,666  
Air Canada                
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28     6,203,670       5,707,376  
Park River Holdings, Inc.                
4.22% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27     6,737,449       5,482,599  
BWAY Holding Co.                
4.31% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24     4,787,136       4,492,919  
TSG Solutions Holding                
4.25% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 03/30/29†††   EUR   4,400,000       4,334,067  
Patriot Container Corp. (Wastequip)                
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/20/25     4,680,579       4,044,301  
STS Operating, Inc. (SunSource)                
5.92% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24     4,106,262       3,895,816  

 

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
SENIOR FLOATING RATE INTERESTS††,◊ - 26.9% (continued)                
Industrial -  5.7% (continued)                
Saverglass                
4.25% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 02/19/29   EUR 3,700,000     $ 3,581,552  
ILPEA Parent, Inc.                
6.17% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 06/22/28†††     3,645,464       3,481,419  
Filtration Group Corp.                
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25†††   EUR   3,558,619       3,393,423  
Rinchem Company LLC                
6.65% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 03/02/29†††     3,550,000       3,314,813  
Protective Industrial Products, Inc.                
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/29/27     3,246,549       3,100,454  
Titan Acquisition Ltd. (Husky)                
5.88% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25     3,141,031       2,873,384  
Integrated Power Services Holdings, Inc.                
6.42% ((1 Month USD LIBOR + 4.75%) and (Commercial Prime Lending Rate + 3.75%), Rate Floor: 5.50%) due 11/22/28†††     2,893,054       2,835,193  
TK Elevator Midco GmbH                
3.00% (3 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 01/29/27†††   EUR   2,538,545       2,452,221  
Filtration Group Corp.                
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 10/23/28     2,481,250       2,313,766  
MI Windows And Doors LLC                
5.13% (1 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 12/18/27     2,459,640       2,301,805  
Waterlogic USA Holdings, Inc.                
6.42% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 08/17/28     1,985,000     1,921,321  
Pro Mach Group, Inc.                
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28     2,037,756       1,918,037  
API Heat Transfer                
12.00% (3 Month USD LIBOR + 11.00%, Rate Floor: 12.00%) due 01/01/24†††     1,249,620       374,886  
12.00% (3 Month USD LIBOR, Rate Floor: 0.00%) (in-kind rate was 12.00%) due 10/02/23†††,11     222,946       167,209  
Duran Group Holding GMBH                
3.75% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/29/24†††   EUR   416,090       417,485  
4.04% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 12/20/24†††   EUR   81,858       82,132  
Transcendia Holdings, Inc.                
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/30/24     562,006       486,838  
Total Industrial             378,250,082  
Consumer, Non-cyclical -  5.7%                
Women's Care Holdings, Inc.                
5.74% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28     31,581,000       29,433,492  
Mission Veterinary Partners                
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28     21,289,125       20,118,223  
HAH Group Holding Co. LLC                
7.21% (3 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 10/29/27     20,179,075       19,200,619  
Quirch Foods Holdings LLC                
6.82% (3 Month Term SOFR + 4.50%, Rate Floor: 5.50%) due 10/27/27†††     19,608,819       18,530,334  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
SENIOR FLOATING RATE INTERESTS††,◊ - 26.9% (continued)                
Consumer, Non-cyclical -  5.7% (continued)                
National Mentor Holdings, Inc.                
5.75% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28     20,982,906     $ 18,105,310  
6.01% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28     479,283       413,554  
Blue Ribbon LLC                
7.06% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28     17,137,436       15,595,067  
Southern Veterinary Partners LLC                
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27     15,776,572       14,961,396  
Dhanani Group, Inc.                
7.30% (1 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 04/30/27     14,700,000       14,553,000  
PetIQ LLC                
5.50% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 04/13/28†††     15,642,000       14,547,060  
LaserAway Intermediate Holdings II LLC                
6.79% (3 Month USD LIBOR + 5.75%, Rate Floor: 6.50%) due 10/14/27     13,333,000       13,083,006  
Florida Food Products LLC                
6.67% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 10/18/28†††     12,922,229       12,082,284  
Kronos Acquisition Holdings, Inc.                
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26     13,258,662       12,005,718  
SCP Eye Care Services LLC                
6.00% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28     12,430,679       11,840,222  
Del Monte Foods, Inc.                
5.68% (1 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 05/16/29     11,650,000       10,951,000  
Nidda Healthcare Holding GmbH                
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26   EUR 11,387,239     10,610,668  
Hearthside Group Holdings LLC                
5.35% (1 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 05/23/25     6,688,680       5,984,964  
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25     5,001,176       4,519,813  
Sigma Holding BV (Flora Food)                
3.50% ((1 Month EURIBOR + 3.50%) and (6 Month EURIBOR + 3.50%), Rate Floor: 3.50%) due 07/02/25   EUR   12,019,549       9,578,610  
Cambrex Corp.                
5.25% (1 Month Term SOFR + 3.50%, Rate Floor: 5.25%) due 12/04/26     10,102,766       9,562,875  
EyeCare Partners LLC                
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/15/28     8,104,688       7,449,586  
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27     2,156,010       1,988,919  
Sunshine Investments BV                
2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 03/28/25   EUR   8,400,000       8,681,232  
Resonetics LLC                
5.24% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/28/28     8,706,250       8,238,289  
Medical Solutions Parent Holdings, Inc.                
6.38% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/01/28     7,541,100       7,056,584  
Gibson Brands, Inc.                
6.41% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 08/11/28     8,258,500       6,937,140  

 

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
SENIOR FLOATING RATE INTERESTS††,◊ - 26.9% (continued)                
Consumer, Non-cyclical -  5.7% (continued)                
Pearl Intermediate Parent LLC                
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25     6,401,266     $ 6,022,503  
CAB (Biogroup)                
2.75% (6 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 02/09/28   EUR   6,500,000       5,992,219  
Osmosis Holdings Australia II Pty Ltd.                
4.84% (1 Month Term SOFR + 3.75%, Rate Floor: 4.75%) due 07/30/28     6,550,000       5,952,313  
Endo Luxembourg Finance Company I SARL                
6.69% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 03/27/28     7,653,125       5,834,743  
Dermatology Intermediate Holdings III, Inc.                
5.33% (1 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 04/02/29†††     5,644,882       5,249,740  
5.34% (1 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 04/02/29†††     166,709       155,039  
Confluent Medical Technologies, Inc.                
5.80% (3 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 02/16/29†††     5,286,750       4,890,244  
Mascot Bidco Oy                
4.25% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 03/30/26   EUR   5,075,000       4,639,985  
Confluent Health LLC                
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 11/30/28     4,718,360       4,372,362  
Fender Musical Instruments Corp.                
5.23% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 12/01/28     3,533,359       3,334,608  
IVC Acquisition Ltd.                
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 02/13/26   EUR   3,400,000       3,258,877  
Zep, Inc.                
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/12/24     3,672,376     3,194,967  
Sharp Midco LLC                
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 12/31/28†††     3,291,750       3,077,786  
Packaging Coordinators Midco, Inc.                
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/30/27     2,530,779       2,386,322  
Weber-Stephen Products LLC                
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 10/29/27     2,093,530       1,894,645  
Mamba Purchaser, Inc.                
5.35% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 10/16/28     1,995,000       1,888,607  
Care BidCo                
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 05/04/28†††   EUR   1,892,402       1,832,038  
Certara Holdco, Inc.                
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/17/26     1,604,080       1,559,967  
Recess Holdings, Inc.                
4.80% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24     1,054,619       1,007,161  
KDC US Holdings, Inc.                
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 12/22/25     820,758       765,357  
Triton Water Holdings, Inc.                
5.75% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 03/31/28     620,926       547,526  
Moran Foods LLC                
13.00% (3 Month USD LIBOR + 10.75%, Rate Floor: 13.00%) due 10/01/24†††     538,794       436,423  

 

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
SENIOR FLOATING RATE INTERESTS††,◊ - 26.9% (continued)                
Consumer, Non-cyclical -  5.7% (continued)                
Moran Foods LLC                
9.25% (3 Month USD LIBOR + 7.00%, Rate Floor: 9.25%) due 04/01/24     414,197     $ 372,778  
8.00% (2 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 04/01/24     53,921       48,529  
Weber-Stephen Products LLC                
5.88% (1 Month Term SOFR + 4.25%, Rate Floor: 5.00%) due 10/30/27†††     423,938       398,501  
TGP Holdings LLC                
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/29/28     205,341       173,205  
Total Consumer, Non-cyclical             375,315,410  
Technology -  3.5%                
Planview Parent, Inc.                
5.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27     23,206,250       21,813,875  
Peraton Corp.                
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28     17,600,896       16,491,336  
Project Ruby Ultimate Parent Corp.                
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28     17,380,000       16,255,688  
Apttus Corp.                
5.62% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28     17,170,250       16,054,184  
Datix Bidco Ltd.                
6.01% (6 Month Term SOFR + 4.50%, Rate Floor: 6.01%) due 04/28/25†††     9,112,505     9,075,835  
8.44% (6 Month GBP SONIA + 7.75%, Rate Floor: 7.75%) due 04/27/26†††   GBP   4,225,000       5,117,155  
6.19% (6 Month GBP LIBOR + 4.50%, Rate Floor: 5.19%) due 04/28/25†††   GBP   1,000,000       1,212,402  
9.26% (6 Month Term SOFR + 7.75%, Rate Floor: 9.26%) due 04/27/26†††     461,709       459,381  
Sitecore Holding III A/S                
7.00% (3 Month EURIBOR + 7.00%, Rate Floor: 7.00%) due 03/12/26†††   EUR   8,512,727       8,821,606  
8.74% (3 Month USD LIBOR + 7.00%, Rate Floor: 7.50%) due 03/12/26†††     6,902,619       6,826,181  
Aston FinCo SARL                
5.96% (1 Month GBP SONIA + 4.77%, Rate Floor: 4.77%) due 10/09/26   GBP   12,870,325       14,687,859  
Wrench Group LLC                
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/30/26     15,381,728       14,574,187  
Atlas CC Acquisition Corp.                
5.82% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28     15,791,992       14,558,322  
Team.Blue Finco SARL                
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/30/28   EUR   14,000,000       13,258,409  
Polaris Newco LLC                
4.99% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/04/26†††     13,414,013       12,096,303  
Sportradar Capital SARL                
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 11/22/27†††   EUR   10,600,000       10,163,471  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

  

      Face
Amount~
      Value  
SENIOR FLOATING RATE INTERESTS††,◊ - 26.9% (continued)                
Technology -  3.5% (continued)                
Project Boost Purchaser LLC                
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26     6,930,000     $ 6,423,278  
Imprivata, Inc.                
5.78% (1 Month SOFR + 4.25%, Rate Floor: 4.25%) due 12/01/27     4,850,000       4,700,474  
VT TopCo, Inc.                
5.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 08/01/25     4,178,521       4,021,827  
5.97% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 08/01/25     153,191       146,681  
Sitecore USA, Inc.                
8.74% (3 Month USD LIBOR + 7.00%, Rate Floor: 7.50%) due 03/12/26†††     3,912,991       3,869,660  
AVS Group GmbH                
3.75% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 09/10/26   EUR   3,750,000       3,559,533  
Polaris Newco LLC                
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28     3,813,340       3,513,725  
Concorde Lux                
4.00% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 03/01/28   EUR   3,300,000       3,233,260  
Greenway Health LLC                
5.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 5.25%) due 02/16/24     3,445,844       3,108,151  
Taxware Holdings (Sovos Compliance LLC)                
6.17% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28     3,224,209       3,028,757  
Ping Identity Corp.                
5.38% (1 Month SOFR + 3.75%, Rate Floor: 3.75%) due 11/22/28†††     2,743,125       2,653,973  
Verscend Holding Corp.                
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/27/25     2,375,796       2,268,886  
Misys Ltd.                
4.74% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24     2,378,758     2,138,647  
24-7 Intouch, Inc.                
6.42% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 08/25/25†††     2,227,050       2,104,563  
Boxer Parent Company, Inc.                
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25     1,566,545       1,455,586  
Ep Purchaser LLC                
5.75% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/06/28     1,496,250       1,420,196  
Brave Parent Holdings, Inc.                
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/18/25     1,205,302       1,154,077  
Kar Finland Bidco Oy                
4.50% (6 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 11/27/23†††   EUR   1,000,000       1,016,452  
Conair Holdings LLC                
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28     397,995       331,661  
Transact Holdings, Inc.                
6.42% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 04/30/26     145,578       138,917  
Total Technology             231,754,498  
Financial -  2.8%                
Jones Deslauriers Insurance Management, Inc.                
6.06% (3 Month Canada Banker Acceptance + 4.25%, Rate Floor: 5.00%) due 03/27/28   CAD   39,790,365       28,601,025  
9.31% (3 Month Canada Banker Acceptance + 7.50%, Rate Floor: 8.00%) due 03/26/29   CAD   11,674,000       8,413,865  
Orion Advisor Solutions, Inc.                
4.99% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/24/27     21,404,914       20,084,873  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
SENIOR FLOATING RATE INTERESTS††,◊ - 26.9% (continued)                
Financial -  2.8% (continued)                
HighTower Holding LLC                
5.10% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28     18,755,750     $ 17,380,391  
Camelia Bidco Banc Civica                
5.96% (3 Month GBP SONIA + 4.95%, Rate Floor: 4.95%) due 10/14/24   GBP   12,975,000       15,024,490  
Higginbotham Insurance Agency, Inc.                
7.17% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.25%) due 11/25/26†††     13,676,757       13,526,581  
Duff & Phelps                
5.28% (1 Month SOFR + 3.75%, Rate Floor: 3.75%) due 04/09/27     12,969,000       12,109,804  
Franchise Group, Inc.                
6.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26     12,884,031       11,713,774  
Teneo Holdings LLC                
6.85% (1 Month Term SOFR + 5.25%, Rate Floor: 6.25%) due 07/11/25     10,770,274       9,998,369  
Alter Domus                
5.20% (1 Month Term SOFR + 4.01%, Rate Floor: 4.01%) due 02/17/28     10,395,000       9,563,400  
USI, Inc.                
5.50% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26†††     9,454,845       8,722,094  
HUB International Ltd.                
4.21% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.15%) due 04/25/25     5,106,612       4,825,238  
4.35% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 04/25/25     2,604,600       2,465,202  
Aretec Group, Inc.                
5.92% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25     6,476,830       6,132,781  
Eisner Advisory Group                
6.39% (1 Month Term SOFR + 4.86%, Rate Floor: 4.86%) due 07/28/28†††     6,128,820       5,699,803  
Sandy Bidco BV                
due 06/12/28   EUR 4,700,000     4,515,260  
Cross Financial Corp.                
4.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27     4,700,025       4,457,175  
Nexus Buyer LLC                
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26     1,310,621       1,233,294  
Cobham Ultra SeniorCo SARL                
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/15/28     500,000       474,585  
Total Financial             184,942,004  
Communications -  1.4%                
Syndigo LLC                
5.82% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27†††     27,274,500       25,638,030  
Xplornet Communications, Inc.                
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28     25,238,051       22,984,545  
FirstDigital Communications LLC                
5.88% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 12/17/26†††     10,550,000       10,476,666  
Radiate Holdco LLC                
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26     7,684,474       7,127,350  
Titan AcquisitionCo New Zealand Ltd. (Trade Me)                
6.25% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/18/28     6,533,625       6,152,519  
Zayo Group Holdings, Inc.                
4.67% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27     6,146,447       5,649,261  
McGraw Hill LLC                
5.55% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28     4,342,811       3,922,991  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

  

      Face
Amount~
      Value  
SENIOR FLOATING RATE INTERESTS††,◊ - 26.9% (continued)                
Communications -  1.4% (continued)                
Recorded Books, Inc.                
6.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/29/25     4,143,341     $ 3,920,637  
Trader Interactive LLC                
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/28/28†††     2,192,683       2,094,012  
Cincinnati Bell, Inc.                
4.88% (1 Month Term SOFR + 3.25%, Rate Floor: 3.75%) due 11/22/28     995,000       943,757  
Flight Bidco, Inc.                
9.17% (1 Month USD LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26     1,000,000       892,500  
SFR Group S.A.                
5.41% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/14/26     434,250       395,845  
Total Communications             90,198,113  
Basic Materials -  0.9%                
Meridian Adhesives Group, Inc.                
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 07/24/28     13,651,400       12,883,509  
Illuminate Buyer LLC                
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27     11,959,154       11,023,828  
NIC Acquisition Corp.                
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27     10,913,860       9,504,117  
CTEC III GmbH                
3.75% (2 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/16/29   EUR   6,800,000       6,468,729  
Pregis TopCo LLC                
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 07/31/26     6,500,875       6,118,948  
GrafTech Finance, Inc.                
4.67% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25     4,653,028       4,498,920  
Barentz Midco BV                
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 11/30/27   EUR 2,400,000     2,331,543  
6.75% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 11/30/27     1,970,187       1,812,572  
American Rock Salt Company LLC                
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 06/09/28     2,725,492       2,452,943  
Vectra Co.                
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/10/25     2,483,175       1,713,391  
DCG Acquisition Corp.                
6.17% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26†††     1,726,660       1,614,427  
Ascend Performance Materials Operations LLC                
7.00% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 08/27/26     1,485,475       1,444,624  
Schur Flexibles GmbH                
4.25% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 09/29/28   EUR   3,150,000       1,262,575  
Total Basic Materials             63,130,126  
Utilities -  0.2%                
Hamilton Projects Acquiror LLC                
6.75% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27     16,241,784       15,531,206  
Granite Generation LLC                
5.51% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.75%) due 11/09/26     698,388       639,898  
Total Utilities             16,171,104  
Energy -  0.2%                
TransMontaigne Operating Company LP                
4.55% ((1 Month USD LIBOR + 3.50%) and (6 Month USD LIBOR + 3.50%), Rate Floor: 4.00%) due 11/17/28     6,573,500       6,210,577  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
SENIOR FLOATING RATE INTERESTS††,◊ - 26.9% (continued)                
Energy -  0.2% (continued)                
Venture Global Calcasieu Pass LLC                
4.00% (1 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26†††     5,471,685     $ 5,444,326  
Permian Production Partners LLC                
9.67% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.67%) (in-kind rate was 2.00%) due 11/24/25†††,11     1,122,612       1,119,806  
Buckeye Partners, LP                
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 11/02/26     586,568       559,808  
Total Energy             13,334,517  
Total Senior Floating Rate Interests                
(Cost $1,949,406,843)             1,787,306,954  

 

ASSET-BACKED SECURITIES†† - 19.1%                
Collateralized Loan Obligations -  11.2%                
LoanCore Issuer Ltd.                
2021-CRE4 D, 3.39% (30 Day Average SOFR + 2.61%, Rate Floor: 2.50%) due 07/15/35     20,500,000       19,029,709  
2019-CRE2 AS, 2.82% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,3     12,850,000       12,615,570  
2021-CRE6 D, 4.17% (1 Month USD LIBOR + 2.85%, Rate Floor: 2.85%) due 11/15/38◊,3     11,300,000       10,199,317  
2021-CRE5 D, 4.32% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/15/36◊,3     8,250,000       7,592,826  
2022-CRE7 D, 3.87% (30 Day Average SOFR + 3.10%, Rate Floor: 3.10%) due 01/17/37◊,3     6,400,000       6,040,716  
FS Rialto                
2021-FL3 D, 4.01% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 11/16/36◊,3     36,500,000       33,044,800  
2021-FL2 D, 4.31% (1 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 05/16/38◊,3     8,850,000     8,078,617  
Fortress Credit Opportunities IX CLO Ltd.                
2021-9A CR, 3.84% (3 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 10/15/33◊,3     35,000,000       32,838,519  
2021-9A DR, 4.99% (3 Month USD LIBOR + 3.95%, Rate Floor: 3.95%) due 10/15/33◊,3     7,750,000       7,044,963  
Palmer Square Loan Funding Ltd.                
2022-1A B, 2.48% (3 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 04/15/30◊,3     26,200,000       24,815,388  
2021-3A C, 3.56% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 07/20/29◊,3     8,300,000       7,716,910  
2022-1A C, 2.83% (3 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 04/15/30◊,3     3,400,000       3,067,267  
LCCM Trust                
2021-FL3 C, 3.92% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 11/15/38◊,3     28,865,000       27,115,847  
2021-FL2 D, 4.22% (1 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 12/13/38◊,3     5,750,000       5,272,740  
ABPCI Direct Lending Fund CLO IV LLC                
 3.23% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/06/29◊,†††     31,400,000       31,429,915  
BXMT Ltd.                
2020-FL2 C, 3.24% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/38     15,640,000       14,897,899  

 

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
ASSET-BACKED SECURITIES†† - 19.1% (continued)                
Collateralized Loan Obligations -  11.2% (continued)                
2020-FL2 D, 3.54% (1 Month Term SOFR + 2.06%, Rate Floor: 1.95%) due 02/15/38◊,3     8,000,000     $ 7,463,254  
2020-FL3 D, 3.69% (30 Day Average SOFR + 2.91%, Rate Floor: 2.80%) due 11/15/37◊,3     7,350,000       7,167,595  
Diamond CLO Ltd.                
2018-1A C, 3.74% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 07/22/30◊,3     13,500,000       13,438,992  
2021-1A DR, 4.58% (3 Month USD LIBOR + 3.40%, Rate Floor: 3.40%) due 04/25/29◊,3     5,500,000       5,304,369  
2018-1A D, 4.84% (3 Month USD LIBOR + 3.70%, Rate Floor: 3.70%) due 07/22/30◊,3     5,000,000       4,873,365  
2021-1A CR, 3.58% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/25/29◊,3     1,322,000       1,311,121  
2018-1A B, 2.94% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/22/30◊,3     134,391       134,374  
Voya CLO Ltd.                
2021-2A CR, 4.64% (3 Month USD LIBOR + 3.60%, Rate Floor: 3.60%) due 06/07/30◊,3     16,500,000       15,270,740  
2013-1A INC, due 10/15/303,12     28,970,307       6,387,953  
MidOcean Credit CLO VII                
2020-7A CR, 3.24% (3 Month USD LIBOR + 2.20%, Rate Floor: 0.00%) due 07/15/29◊,3     21,000,000       20,104,789  
ACRES Commercial Realty Ltd.                
2021-FL2 D, 4.62% (1 Month USD LIBOR + 3.10%, Rate Floor: 3.10%) due 01/15/37◊,3     8,350,000       7,733,519  
2021-FL1 D, 4.17% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 06/15/36     7,250,000     6,556,837  
2021-FL2 C, 4.17% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 01/15/37◊,3     5,250,000       4,893,203  
Golub Capital Partners CLO Ltd.                
2018-36A C, 3.46% (3 Month USD LIBOR + 2.10%, Rate Floor: 0.00%) due 02/05/31◊,3     20,000,000       18,634,540  
BSPRT Issuer Ltd.                
2021-FL6 D, 4.32% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/15/36◊,3     18,425,000       17,082,678  
2021-FL7 D, 4.07% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 12/15/38◊,3     1,600,000       1,457,204  
BSPDF Issuer Ltd.                
2021-FL1 D, 4.07% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/15/36     19,975,000       17,671,894  
Golub Capital Partners CLO 49M Ltd.                
2021-49A D, 4.91% (3 Month USD LIBOR + 3.85%, Rate Floor: 3.85%) due 08/26/33◊,3     18,100,000       16,592,189  
Anchorage Capital CLO 6 Ltd.                
2021-6A DRR, 4.49% (3 Month USD LIBOR + 3.45%, Rate Floor: 3.45%) due 07/15/30◊,3     17,350,000       16,418,470  
KREF Funding V LLC                
 1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26◊,†††     15,952,957       15,886,839  
 0.15% due 06/25/26†††,13     73,636,363       17,673  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
ASSET-BACKED SECURITIES†† - 19.1% (continued)                
Collateralized Loan Obligations -  11.2% (continued)                
STWD Ltd.                
2022-FL3 D, 3.53% (30 Day Average SOFR + 2.75%, Rate Floor: 2.75%) due 11/15/38◊,3     11,900,000     $ 11,130,085  
2021-FL2 D, 4.32% (1 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 04/18/38◊,3     3,750,000       3,395,958  
Cerberus Loan Funding XXX, LP                
2020-3A C, 4.69% (3 Month USD LIBOR + 3.65%, Rate Floor: 3.65%) due 01/15/33◊,3     14,500,000       14,390,292  
ABPCI Direct Lending Fund IX LLC                
2021-9A BR, 3.73% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 11/18/31◊,3     11,550,000       10,906,484  
Neuberger Berman Loan Advisers CLO 32 Ltd.                
2021-32A DR, 3.74% (3 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 01/20/32◊,3     11,500,000       10,674,121  
Atlas Senior Loan Fund IX Ltd.                
2018-9A C, 2.86% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/28◊,3     10,250,000       9,946,806  
2018-9A SUB, due 04/20/283,12     9,600,000       618,240  
THL Credit Lake Shore MM CLO I Ltd.                
2021-1A CR, 4.04% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/15/33◊,3     9,900,000       9,457,825  
GoldenTree Loan Management US CLO 1 Ltd.                
2021-9A D, 3.96% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 01/20/33◊,3     9,950,000       8,908,379  
ABPCI Direct Lending Fund CLO V Ltd.                
2021-5A BR, 3.96% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 04/20/31◊,3     9,200,000     8,869,096  
Cerberus Loan Funding XXXVI, LP                
2021-6A B, 2.79% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/22/33◊,3     9,000,000       8,858,709  
Golub Capital Partners CLO 16 Ltd.                
2021-16A CR2, 4.08% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 07/25/33◊,3     9,300,000       8,833,200  
BCC Middle Market CLO LLC                
2021-1A A1R, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,3     9,000,000       8,729,734  
Marathon CLO V Ltd.                
2017-5A A2R, 2.96% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/27◊,3     7,920,233       7,826,750  
2013-5A SUB, due 11/21/273,12     5,500,000       321,200  
Magnetite XXIX Ltd.                
2021-29A D, 3.64% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/34◊,3     8,800,000       8,113,795  
Venture XIV CLO Ltd.                
2020-14A CRR, 3.85% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/28/29◊,3     8,000,000       7,736,386  
CIFC Funding 2017-II Ltd.                
2021-2A DR, 4.16% (3 Month USD LIBOR + 3.10%, Rate Floor: 3.10%) due 04/20/30◊,3     8,100,000       7,561,497  

 

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
ASSET-BACKED SECURITIES†† - 19.1% (continued)                
Collateralized Loan Obligations -  11.2% (continued)                
ABPCI Direct Lending Fund CLO VII, LP                
2021-7A BR, 3.78% (3 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 10/20/31◊,3     7,950,000     $ 7,525,285  
Telos CLO Ltd.                
2017-6A CR, 3.64% (3 Month USD LIBOR + 2.60%, Rate Floor: 0.00%) due 01/17/27◊,3     7,500,000       7,477,475  
Dryden 37 Senior Loan Fund                
2015-37A Q, due 01/15/313,12     9,500,000       7,374,510  
TCP Waterman CLO Ltd.                
2016-1A A2, 4.83% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 12/15/28◊,3     7,267,061       7,281,472  
Madison Park Funding XLVIII Ltd.                
2021-48A D, 4.04% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/19/33◊,3     7,500,000       7,064,660  
ACRE Commercial Mortgage Ltd.                
2021-FL4 D, 4.21% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 12/18/37◊,3     7,350,000       6,986,307  
FS Rialto Issuer LLC                
2022-FL5 C, 4.82% (1 Month Term SOFR + 3.92%, Rate Floor: 3.92%) due 06/19/37◊,3     6,950,000       6,883,461  
Octagon Loan Funding Ltd.                
2014-1A SUB,  due 11/18/313,12     19,435,737       5,949,279  
Hull Street CLO Ltd.                
2014-1A D, 4.64% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/18/26◊,3     5,785,000       5,720,719  
Cerberus Loan Funding XXXIII, LP                
2021-3A C, 3.84% (3 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 07/23/33◊,3     5,900,000     5,567,918  
ABPCI Direct Lending Fund CLO I LLC                
2021-1A C2, 4.06% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/20/33◊,3     5,550,000       5,311,338  
CHCP Ltd.                
2021-FL1 D, 4.45% (1 Month Term SOFR + 3.11%, Rate Floor: 3.00%) due 02/15/38◊,3     5,500,000       5,241,507  
Silvermore CLO Ltd.                
2014-1A B, 4.41% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 05/15/26◊,3     5,104,461       5,097,283  
Cerberus Loan Funding XXXV, LP                
2021-5A C, 3.64% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 09/22/33◊,3     5,150,000       4,719,561  
WhiteHorse X Ltd.                
2015-10A E, 6.34% (3 Month USD LIBOR + 5.30%, Rate Floor: 5.30%) due 04/17/27◊,3     4,980,000       4,566,411  
BNPP IP CLO Ltd.                
2014-2A E, 6.54% (3 Month USD LIBOR + 5.25%, Rate Floor: 0.00%) due 10/30/25◊,3     5,852,468       4,046,982  
Cerberus Loan Funding XXVI, LP                
2021-1A CR, 3.94% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 04/15/31◊,3     4,000,000       3,885,754  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
ASSET-BACKED SECURITIES†† - 19.1% (continued)                
Collateralized Loan Obligations -  11.2% (continued)                
Neuberger Berman Loan Advisers CLO 40 Ltd.                
2021-40A D, 3.79% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/16/33◊,3     4,050,000     $ 3,748,757  
Dryden 41 Senior Loan Fund                
2015-41A SUB, due 04/15/313,12     11,700,000       3,377,790  
Dryden 50 Senior Loan Fund                
2017-50A SUB, due 07/15/303,12     7,895,000       3,344,322  
Treman Park CLO Ltd.                
2015-1A SUB, due 10/20/283,12     18,918,010       2,943,642  
Carlyle Global Market Strategies CLO Ltd.                
2012-3A SUB, due 01/14/323,12     6,400,000       1,983,360  
2013-3X SUB, due 10/15/3012     4,938,326       782,231  
Monroe Capital CLO Ltd.                
2017-1A DR, 4.74% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/22/26◊,3     2,688,897       2,656,926  
HGI CRE CLO Ltd.                
2021-FL2 D, 3.66% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 09/17/36◊,3     1,600,000       1,460,280  
2021-FL2 E, 3.96% (1 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/17/36◊,3     1,200,000       1,083,177  
Denali Capital CLO XI Ltd.                
2018-1A BRR, 3.21% (3 Month USD LIBOR + 2.15%, Rate Floor: 0.00%) due 10/20/28◊,3     2,500,000       2,449,767  
BDS Ltd.                
2021-FL9 E, 4.21% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 11/16/38◊,3     2,700,000       2,419,833  
AMMC CLO XI Ltd.                
2012-11A SUB, due 04/30/313,12     5,650,000       2,041,910  
KVK CLO Ltd.                
2013-1A SUB, due 01/14/283,12     11,900,000       2,029,069  
Venture XIII CLO Ltd.                
2013-13A SUB, due 09/10/293,12     13,790,000     1,933,358  
Goldentree Loan Management US CLO 4 Ltd.                
2021-4A DR, 4.33% (3 Month USD LIBOR + 3.15%, Rate Floor: 3.15%) due 04/24/31◊,3     2,000,000       1,855,404  
PFP Ltd.                
2021-7 E, 4.51% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/14/38◊,3     1,789,911       1,629,918  
Babson CLO Ltd.                
2014-IA SUB, due 07/20/253,12     11,900,000       813,960  
Great Lakes CLO Ltd.                
2014-1A SUB, due 10/15/293,12     1,500,000       599,296  
Dryden Senior Loan Fund                
due 01/15/3112     1,897,598       590,912  
First Eagle Clarendon Fund CLO LLC                
2015-1A D, 5.53% (3 Month USD LIBOR + 4.35%, Rate Floor: 0.00%) due 01/25/27◊,3     339,562       338,593  
Avery Point II CLO Ltd.                
2013-3X COM, due 01/18/2512     6,270,000       45,771  
West CLO Ltd.                
2013-1A SUB, due 11/07/253,12     5,300,000       6,943  
OHA Credit Partners IX Ltd.                
2013-9A ACOM, due 10/20/253,12     4,219,178       4,641  
Copper River CLO Ltd.                
2007-1A INC, due 01/20/218,12     8,150,000       1,728  
Total Collateralized Loan Obligations             740,322,668  
Transport-Aircraft -  3.5%                
AASET Trust                
2017-1A, 3.97% due 05/16/423     23,936,417       19,864,328  
2021-1A, 2.95% due 11/16/413     21,142,080       17,687,722  
2021-2A, 3.54% due 01/15/473     3,883,451       3,156,384  
2020-1A, 4.34% due 01/16/403     4,322,982       1,891,464  
KDAC Aviation Finance Ltd.                
2017-1A, 4.21% due 12/15/423     44,268,000       35,193,060  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
ASSET-BACKED SECURITIES†† - 19.1% (continued)                
Transport-Aircraft -  3.5% (continued)                
Falcon Aerospace Ltd.                
2017-1, 4.58% due 02/15/423     15,054,557     $ 13,968,089  
2019-1, 3.60% due 09/15/393     6,133,930       5,179,804  
2017-1, 6.30% due 02/15/423     3,838,675       3,414,289  
Castlelake Aircraft Securitization Trust                
2018-1, 4.13% due 06/15/433     12,532,070       11,263,192  
2019-1A, 3.97% due 04/15/393     5,858,902       5,168,483  
2016-1, 4.45% due 08/15/41     4,026,458       3,700,445  
Sprite Ltd.                
2021-1, 3.75% due 11/15/463     18,939,400       17,130,636  
Sapphire Aviation Finance I Ltd.                
2018-1A, 4.25% due 03/15/403     18,158,458       15,146,289  
Raspro Trust                
2005-1A, 1.99% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,†††,3     15,020,380       14,304,348  
AASET US Ltd.                
2018-2A, 4.45% due 11/18/383     15,324,268       13,016,367  
JOL Air Ltd.                
2019-1, 3.97% due 04/15/443     11,250,647       9,943,321  
GAIA Aviation Ltd.                
2019-1, 3.97% due 12/15/443,10     7,382,211       6,819,451  
Sapphire Aviation Finance II Ltd.                
2020-1A, 4.34% due 03/15/403     9,117,555       6,092,967  
2020-1A, 3.23% due 03/15/403     586,903       513,211  
WAVE LLC                
2019-1, 3.60% due 09/15/443     7,544,602       6,145,320  
Lunar Structured Aircraft Portfolio Notes                
2021-1, 3.43% due 10/15/463     5,541,609       4,910,048  
Navigator Aircraft ABS Ltd.                
2021-1, 3.57% due 11/15/463     6,137,389       4,814,400  
MAPS Ltd.                
2018-1A, 4.21% due 05/15/433     5,021,614       4,652,244  
Slam Ltd.                
2021-1A, 3.42% due 06/15/463     3,375,000       2,852,417  
Castlelake Aircraft Structured Trust                
2021-1A, 6.66% due 01/15/463     2,538,516     2,098,133  
Stripes Aircraft Ltd.                
2013-1 A1, 5.11% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/20/23◊,†††     1,158,578       1,136,384  
Total Transport-Aircraft             230,062,796  
Financial -  2.5%                
HarbourVest Structured Solutions IV Holdings, LP                
2.58% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††     23,234,292       23,237,512  
2.58% (3 Month EURIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††   EUR   12,900,000       13,490,430  
HV Eight LLC                
3.36% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25◊,†††   EUR   28,000,000       29,265,316  
Madison Avenue Secured Funding Trust Series                
2021-1, 2.47% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,3     20,750,000       20,750,000  
Nassau LLC                
2019-1, 3.98% due 08/15/343     14,706,483       14,265,789  
Bib Merchant Voucher Receivables Ltd.                
4.18% due 04/07/28†††     14,264,246       13,895,128  
Lam Trade Finance Group LLC                
2.50% due 09/29/22†††     12,000,000       11,986,935  
Thunderbird A                
5.50% due 03/01/37†††     10,092,000       10,092,000  
Lightning A                
5.50% due 03/01/37†††     10,092,000       10,092,000  
KKR Core Holding Company LLC                
4.00% due 08/12/31†††     9,399,187       8,301,907  
Ceamer Finance LLC                
3.69% due 03/22/31†††     5,946,357       5,507,014  
Aesf Vi Verdi, LP                
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,†††   EUR   4,314,059       4,501,837  
Thunderbird B                
7.50% due 03/01/37†††     2,030,000       2,030,000  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
ASSET-BACKED SECURITIES†† - 19.1% (continued)                
Financial -  2.5% (continued)                
Lightning B                
7.50% due 03/01/37†††     2,030,000     $ 2,030,000  
Total Financial             169,445,868  
Infrastructure -  0.8%                
VB-S1 Issuer LLC - VBTEL                
2022-1A, 5.27% due 02/15/523     39,650,000       36,014,111  
Hotwire Funding LLC                
2021-1, 4.46% due 11/20/513     11,750,000       10,207,754  
Secured Tenant Site Contract Revenue Notes Series                
2018-1A, 4.70% due 06/15/488     6,614,996       6,539,618  
Total Infrastructure             52,761,483  
Whole Business -  0.7%                
TSGE                
2017-1, 6.25% due 09/25/31†††     42,550,000       41,701,298  
Taco Bell Funding LLC                
2016-1A, 4.97% due 05/25/463     2,683,750       2,666,362  
Applebee's Funding LLC / IHOP Funding LLC                
2019-1A, 4.19% due 06/05/493     2,079,000       2,016,863  
Wendy's Funding LLC                
2018-1A, 3.88% due 03/15/483     382,000       359,813  
Total Whole Business             46,744,336  
Net Lease -  0.3%                
CARS-DB4, LP                
2020-1A, 4.95% due 02/15/503     21,105,000       18,160,306  
Collateralized Debt Obligations -  0.1%                
Anchorage Credit Funding 4 Ltd.                
2021-4A BR, 3.12% due 04/27/39     6,700,000       5,683,931  
2021-4A CR, 3.52% due 04/27/393     4,250,000       3,531,909  
Total Collateralized Debt Obligations             9,215,840  
Total Asset-Backed Securities                
(Cost $1,354,383,961)             1,266,713,297  
                 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 7.3%                
Residential Mortgage-Backed Securities -  5.9%                
FKRT                
2.21% due 11/30/58†††,8     33,850,000       32,418,582  
JP Morgan Mortgage Acquisition Trust                
2006-WMC4, 1.77% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/36     22,121,966     12,760,443  
2006-WMC3, 1.92% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/36     8,930,602       6,542,728  
2006-HE3, 1.94% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 11/25/36     5,559,694       4,703,713  
2006-WMC4, 1.74% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/36     7,614,575       4,377,705  
2006-WMC4, 1.70% (1 Month USD LIBOR + 0.08%, Rate Floor: 0.08%) due 12/25/36     3,219,709       1,842,711  
Ameriquest Mortgage Securities Trust                
2006-M3, 1.80% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 10/25/36     20,611,094       12,235,780  
2006-M3, 1.86% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 10/25/36     32,764,214       11,701,339  
2006-M3, 1.72% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/36     13,620,688       4,852,857  
Lehman XS Trust Series                
2006-16N, 2.04% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 11/25/46     14,220,416       13,641,442  
2006-18N, 1.98% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 12/25/36     9,048,769       8,955,050  
2006-10N, 2.04% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 07/25/46     2,673,216       2,622,157  
WaMu Asset-Backed Certificates WaMu Series                
2007-HE2, 1.98% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 04/25/37     24,620,338       10,303,284  

 

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 7.3% (continued)                
Residential Mortgage-Backed Securities -  5.9% (continued)                
2007-HE2, 1.81% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37     18,760,480     $ 7,777,009  
2007-HE4, 1.79% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/47     6,973,425       5,341,795  
2007-HE4, 1.87% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/47     2,120,890       1,395,172  
BRAVO Residential Funding Trust                
2022-R1, 3.13% due 01/29/703,10     25,837,369       23,357,426  
RALI Series Trust                
2006-QO6, 1.98% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/46     30,802,921       7,647,269  
2007-QO2, 1.77% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 02/25/47     13,283,368       5,492,751  
2006-QO8, 2.02% (1 Month USD LIBOR + 0.40%, Rate Floor: 0.40%) due 10/25/46     4,040,640       3,898,716  
2006-QO6, 2.08% (1 Month USD LIBOR + 0.46%, Rate Floor: 0.46%) due 06/25/46     8,014,500       2,045,522  
2006-QO2, 2.16% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 02/25/46     5,966,277       1,400,938  
2006-QO6, 2.14% (1 Month USD LIBOR + 0.52%, Rate Floor: 0.52%) due 06/25/46     5,056,467       1,311,460  
2006-QO2, 2.30% (1 Month USD LIBOR + 0.68%, Rate Floor: 0.68%) due 02/25/46     3,192,465       779,915  
2006-QO2, 2.06% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/46     213,992       48,777  
Long Beach Mortgage Loan Trust                
2006-6, 2.12% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 07/25/36     14,151,704       6,035,730  
2006-8, 1.94% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/36     16,896,861     5,391,357  
2006-4, 1.94% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 05/25/36     10,162,996       3,414,361  
2006-1, 2.00% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 02/25/36     3,847,153       3,245,903  
2006-6, 1.92% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/36     4,406,670       1,865,457  
2006-8, 1.80% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 09/25/36     4,578,732       1,453,992  
2006-6, 1.82% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 07/25/36     2,550,928       1,075,335  
Structured Asset Securities Corporation Mortgage Loan Trust                
2008-BC4, 2.25% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/37     19,535,000       19,061,845  
American Home Mortgage Assets Trust                
2006-6, 1.83% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 12/25/46     7,972,328       6,715,025  
2006-1, 1.81% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 05/25/46     6,984,238       6,202,434  
2006-3, 1.42% (1 Year CMT Rate + 0.94%, Rate Floor: 0.94%) due 10/25/46     5,330,881       3,945,966  
Morgan Stanley IXIS Real Estate Capital Trust                
2006-2, 1.84% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 11/25/36     22,240,955       8,190,483  
2006-2, 1.77% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/36     16,967,065       6,233,728  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 7.3% (continued)                
Residential Mortgage-Backed Securities -  5.9% (continued)                
Morgan Stanley ABS Capital I Incorporated Trust                
2006-HE8, 1.84% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 10/25/36     19,981,546     $ 10,038,405  
2006-HE6, 1.82% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 09/25/36     4,451,566       1,759,942  
2007-HE4, 1.85% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 02/25/37     3,900,044       1,326,390  
IXIS Real Estate Capital Trust                
2007-HE1, 1.78% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 05/25/37     24,552,768       6,546,092  
2007-HE1, 1.85% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 05/25/37     17,395,291       4,646,980  
GSAMP Trust                
2007-NC1, 1.75% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/46     19,137,101       10,993,409  
Master Asset-Backed Securities Trust                
2006-WMC3, 1.78% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/36     10,320,213       4,032,237  
2006-HE3, 1.82% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 08/25/36     9,665,982       3,146,791  
2006-HE3, 1.92% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/36     8,126,783       2,648,638  
GSAA Home Equity Trust                
2006-3, 2.22% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/36     10,983,300       6,490,452  
2006-9, 2.10% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 06/25/36     7,799,446       2,718,785  
2007-7, 2.16% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/37     513,729       500,556  
Citigroup Mortgage Loan Trust, Inc.                
2007-AMC3, 1.87% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 03/25/37     10,739,838     9,372,880  
Home Equity Loan Trust                
2007-FRE1, 1.81% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37     7,630,705       7,144,283  
Nationstar Home Equity Loan Trust                
2007-C, 1.80% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 06/25/37     7,031,997       6,837,273  
First NLC Trust                
2007-1, 1.90% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 08/25/37◊,3     6,819,936       3,828,576  
2007-1, 1.69% (1 Month USD LIBOR + 0.07%, Rate Floor: 0.07%) due 08/25/37◊,3     5,171,776       2,879,594  
Argent Securities Trust                
2006-W5, 1.92% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 06/25/36     9,532,340       6,574,049  
Alternative Loan Trust                
2007-OA7, 1.98% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 05/25/47     7,139,815       6,168,334  
WaMu Asset-Backed Certificates WaMu Series Trust                
2007-HE1, 1.85% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/37     7,678,785       3,963,488  
2007-HE4, 1.79% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/47     2,970,434       1,946,380  
ACE Securities Corporation Home Equity Loan Trust Series                
2007-ASP1, 2.38% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 03/25/37     10,931,004       5,448,128  

 

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 7.3% (continued)                
Residential Mortgage-Backed Securities -  5.9% (continued)                
HSI Asset Securitization Corporation Trust                
2007-HE1, 1.81% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/25/37     6,193,667     $ 4,597,154  
First Franklin Mortgage Loan Trust                
2006-FF16, 2.04% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 12/25/36     7,768,395       3,755,233  
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust                
2006-AR9, 1.32% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46     4,042,817       3,344,825  
Morgan Stanley Mortgage Loan Trust                
2006-9AR, 1.92% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/36     8,585,890       2,781,427  
Nomura Resecuritization Trust                
2015-4R, 2.37% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/36◊,3     2,093,493       1,902,800  
Alliance Bancorp Trust                
2007-OA1, 2.10% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 07/25/37     2,110,023       1,821,045  
Morgan Stanley Re-REMIC Trust                
2010-R5, 2.55% due 06/26/363     599,493       541,996  
Asset-Backed Securities Corporation Home Equity Loan Trust                
2006-HE5, 1.90% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/36     252,679       249,389  
GreenPoint Mortgage Funding Trust                
2007-AR1, 1.70% (1 Month USD LIBOR + 0.08%, Rate Floor: 0.08%) due 02/25/47     233     233  
Total Residential Mortgage-Backed Securities             388,291,921  
Commercial Mortgage-Backed Securities -  1.0%                
BX Commercial Mortgage Trust                
2021-VOLT, 3.32% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/36◊,3     19,750,000       18,397,986  
2019-XL, 3.62% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 10/15/36◊,3     1,989,000       1,884,606  
GS Mortgage Securities Corporation Trust                
2020-UPTN, 3.35% (WAC) due 02/10/37◊,3     8,256,000       7,326,286  
2020-DUNE, 3.82% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 12/15/36◊,3     7,340,000       6,952,852  
2020-DUNE, 3.22% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/15/36◊,3     2,750,000       2,651,468  
JP Morgan Chase Commercial Mortgage Securities Trust                
2021-NYAH, 3.96% (1 Month USD LIBOR + 2.64%, Rate Floor: 2.64%) due 06/15/38◊,3     15,000,000       13,630,527  
SMRT                
2022-MINI, 3.23% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 01/15/39◊,3     10,000,000       9,349,504  
Merit 2020                
2022-MHIL, 3.89% (1 Month Term SOFR + 2.61%, Rate Floor: 2.61%) due 01/15/27◊,3     9,000,000       8,482,114  

 

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Face
Amount~
      Value  
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 7.3% (continued)          
Commercial Mortgage-Backed Securities -  1.0% (continued)                
Wells Fargo Commercial Mortgage Trust                
2015-NXS1, 2.63% due 05/15/48     96,395     $ 96,310  
Total Commercial Mortgage-Backed Securities             68,771,653  
Military Housing -  0.4%                
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates                
2015-R1, 0.70% (WAC) due 11/25/52◊,3,13     223,016,845       14,147,023  
GMAC Commercial Mortgage Asset Corp.                
2004-POKA, 6.36% due 09/10/44†††,3     9,000,000       9,622,567  
Capmark Military Housing Trust                
2007-AET2, 6.06% due 10/10/52†††,3     5,552,505       5,659,427  
Total Military Housing             29,429,017  
Total Collateralized Mortgage Obligations                
(Cost $591,123,938)             486,492,591  
                 
U.S. GOVERNMENT SECURITIES†† - 2.1%                
U.S. Treasury Bonds                
 due 08/15/517,14,15     164,620,000       66,125,893  
 due 05/15/447,14,15     23,270,000       10,798,513  
 due 11/15/447,14,15     23,280,000       10,595,495  
 due 02/15/467,14,15     23,450,000       10,346,898  
U.S. Treasury Notes                
2.50% due 05/31/247     22,020,000       21,821,304  
1.75% due 03/15/257     22,052,000       21,318,943  
Total U.S. Government Securities                
(Cost $140,831,843)             141,007,046  
                 
FOREIGN GOVERNMENT DEBT†† - 0.7%                
Government of Japan                
(0.10)% due 07/04/2216   JPY   3,400,000,000       25,057,652  
State of Israel                
0.75% due 07/31/22   ILS   18,685,000       5,354,845  
1.25% due 11/30/22   ILS   8,305,000       2,381,780  
Alberta T-Bill                
1.27% due 07/05/2216   CAD   8,345,000       6,483,444  
Newfoundland T-Bill                
1.34% due 07/05/2216   CAD   4,500,000       3,496,235  
Quebec T-Bill                
1.30% due 07/08/2216   CAD   3,000,000       2,330,520  
Nova Scotia T-Bill                
1.40% due 07/05/2216   CAD   1,985,000       1,542,167  
Ontario T-Bill                
1.39% due 07/13/2216   CAD   410,000       318,425  
Total Foreign Government Debt                
(Cost $47,598,330)             46,965,068  
                 
U.S. TREASURY BILLS†† - 0.2%                
U.S. Treasury Bills                
2.15% due 12/08/2216,17     11,750,000     11,632,095  
0.60% due 07/05/2216     3,130,000       3,129,739  
Total U.S. Treasury Bills                
(Cost $14,767,409)             14,761,834  
                 
SENIOR FIXED RATE INTERESTS†† - 0.1%                
Consumer, Cyclical -  0.1%                
WESCO                
5.25% due 06/14/24†††   CAD   3,864,740       2,973,154  
Industrial -  0.0%                
Schur Flexibles GmbH                
15.00% due 11/01/22   EUR   171,804       179,356  
Total Senior Fixed Rate Interests                
(Cost $3,115,134)             3,152,510  

 

      Contracts/
Notional Value
         
LISTED OPTIONS PURCHASED - 0.2%                
Put Options on:                
Equity Options                
 S&P 500 Index Expiring April 2023 with strike price of $4,000.00 (Notional Value $122,646,312)     324       13,201,380  
Total Listed Options Purchased                
(Cost $7,712,100)             13,201,380  
                 
OTC OPTIONS PURCHASED†† - 0.0%                
Call Options on:                

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Contracts/
Notional Value
      Value  
OTC OPTIONS PURCHASED†† - 0.0% (continued)                
Foreign Exchange Options                
J.P. Morgan Securities plc Foreign Exchange USD/NOK Expiring July 2022 with strike price of $9.70   USD 10,000,000     $ 190,795  
Deutsche Bank AG Foreign Exchange USD/SEK Expiring July 2022 with strike price of $9.73   USD 3,600,000       182,142  
J.P. Morgan Securities plc Foreign Exchange USD/NOK Expiring July 2022 with strike price of $9.52   USD 3,600,000       130,594  
J.P. Morgan Securities plc Foreign Exchange USD/CAD Expiring July 2022 with strike price of $1.26   USD 3,650,000       86,160  
Citibank, N.A. Foreign Exchange EUR/NOK Expiring July 2022 with strike price of EUR 10.27 (Notional Value $10,193,137)   EUR 9,750,000       83,047  
UBS AG Foreign Exchange EUR/SEK Expiring July 2022 with strike price of EUR 10.66 (Notional Value $10,454,500)   EUR 10,000,000       74,592  
Citibank, N.A. Foreign Exchange USD/CAD Expiring July 2022 with strike price of $1.27   USD 5,150,000       68,516  
Bank of America, N.A. Foreign Exchange USD/CAD Expiring July 2022 with strike price of $1.27   USD 5,400,000       64,679  
Citibank, N.A. Foreign Exchange EUR/NOK Expiring July 2022 with strike price of EUR 10.20 (Notional Value $3,502,257)   EUR 3,350,000       47,484  
Citibank, N.A. Foreign Exchange AUD/NZD Expiring July 2022 with strike price of AUD 1.12 (Notional Value $10,589,810)   AUD 15,400,000       34,523  
Goldman Sachs International Foreign Exchange USD/NOK Expiring July 2022 with strike price of $10.02   USD 3,550,000       28,998  
Citibank, N.A. Foreign Exchange EUR/SEK Expiring July 2022 with strike price of EUR 10.72 (Notional Value $3,449,985)   EUR 3,300,000     23,284  
Citibank, N.A. Foreign Exchange USD/NOK Expiring July 2022 with strike price of $10.28   USD 10,650,000       21,587  
Citibank, N.A. Foreign Exchange EUR/NOK Expiring July 2022 with strike price of EUR 10.62 (Notional Value $10,454,500)   EUR 10,000,000       20,499  
Barclays Bank plc Foreign Exchange EUR/USD Expiring July 2022 with strike price of EUR 1.06 (Notional Value $3,659,075)   EUR 3,500,000       19,695  
Bank of America, N.A. Foreign Exchange NZD/USD Expiring July 2022 with strike price of NZD 0.63 (Notional Value $3,606,150)   NZD 5,800,000       15,435  
Citibank, N.A. Foreign Exchange EUR/USD Expiring July 2022 with strike price of EUR 1.08 (Notional Value $10,715,863)   EUR 10,250,000       9,959  
J.P. Morgan Chase Bank, N.A. Foreign Exchange EUR/CHF Expiring July 2022 with strike price of EUR 1.04 (Notional Value $10,193,138)   EUR 9,750,000       3,105  
J.P. Morgan Securities plc Foreign Exchange EUR/CHF Expiring July 2022 with strike price of EUR 1.04 (Notional Value $3,659,075)   EUR 3,500,000       189  
Total Foreign Exchange Options             1,105,283  
Interest Rate Options                
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40   USD 1,424,100,000       28,482  
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40   USD 709,900,000       14,198  
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40   USD 126,600,000       2,532  
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61   USD 661,700,000       827  
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61   USD 82,200,000       103  
Total Interest Rate Options             46,142  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

  

      Contracts/
Notional Value
      Value  
OTC OPTIONS PURCHASED†† - 0.0% (continued)                
Put Options on:                
Foreign Exchange Options                
J.P. Morgan Securities plc Foreign Exchange EUR/CHF Expiring July 2022 with strike price of EUR 1.04 (Notional Value $3,659,075)   EUR 3,500,000     $ 154,382  
Bank of America, N.A. Foreign Exchange NZD/USD Expiring July 2022 with strike price of NZD 0.63 (Notional Value $3,606,150)   NZD 5,800,000       92,070  
Goldman Sachs International Foreign Exchange USD/NOK Expiring July 2022 with strike price of $10.02   USD 3,550,000       78,679  
J.P. Morgan Chase Bank, N.A. Foreign Exchange EUR/CHF Expiring July 2022 with strike price of EUR 1.00 (Notional Value $10,193,138)   EUR 9,750,000       74,992  
Citibank, N.A. Foreign Exchange EUR/USD Expiring July 2022 with strike price of EUR 1.04 (Notional Value $10,715,863)   EUR 10,250,000       66,203  
Barclays Bank plc Foreign Exchange EUR/USD Expiring July 2022 with strike price of EUR 1.06 (Notional Value $3,659,075)   EUR 3,500,000       50,426  
Citibank, N.A. Foreign Exchange USD/NOK Expiring July 2022 with strike price of $9.68   USD 10,650,000       38,457  
Citibank, N.A. Foreign Exchange EUR/NOK Expiring July 2022 with strike price of EUR 10.17 (Notional Value $10,454,500)   EUR 10,000,000       27,033  
Citibank, N.A. Foreign Exchange EUR/SEK Expiring July 2022 with strike price of EUR 10.72 (Notional Value $3,449,985)   EUR 3,300,000       24,413  
Citibank, N.A. Foreign Exchange AUD/NZD Expiring July 2022 with strike price of AUD 1.09 (Notional Value $10,589,810)   AUD 15,400,000       14,389  
Citibank, N.A. Foreign Exchange EUR/NOK Expiring July 2022 with strike price of EUR 10.20 (Notional Value $3,502,257)   EUR 3,350,000       3,876  
J.P. Morgan Securities plc Foreign Exchange USD/NOK Expiring July 2022 with strike price of $9.52   USD 3,600,000     715  
UBS AG Foreign Exchange EUR/SEK Expiring July 2022 with strike price of EUR 10.37 (Notional Value $10,454,500)   EUR 10,000,000       170  
Deutsche Bank AG Foreign Exchange USD/SEK Expiring July 2022 with strike price of $9.73   USD 3,600,000       39  
Citibank, N.A. Foreign Exchange EUR/NOK Expiring July 2022 with strike price of EUR 9.88 (Notional Value $10,193,137)   EUR 9,750,000       26  
Citibank, N.A. Foreign Exchange USD/CAD Expiring July 2022 with strike price of $1.24   USD 5,150,000       26  
J.P. Morgan Securities plc Foreign Exchange USD/NOK Expiring July 2022 with strike price of $9.21   USD 10,000,000       6  
Bank of America, N.A. Foreign Exchange USD/CAD Expiring July 2022 with strike price of $1.24   USD 5,400,000        
J.P. Morgan Securities plc Foreign Exchange USD/CAD Expiring July 2022 with strike price of $1.26    USD 3,650,000        
Total Foreign Exchange Options             625,902  
Total OTC Options Purchased                
(Cost $8,056,673)             1,777,327  

 

OTC INTEREST RATE SWAPTIONS PURCHASED††,19 - 0.5%                
Call Swaptions on:                
Interest Rate Swaptions                
Deutsche Bank AG 5-Year Interest Rate Swap Expiring April 2027 with exercise rate of 2.69%   USD 92,814,000     3,494,157  
Deutsche Bank AG 5-Year Interest Rate Swap Expiring April 2032 with exercise rate of 2.39%   USD  72,235,000       2,206,193  
Citibank, N.A. 20-Year Interest Rate Swap Expiring April 2029 with exercise rate of 2.38%   USD  24,141,000       2,189,282  
Barclays Bank plc 20-Year Interest Rate Swap Expiring April 2027 with exercise rate of 1.58% (Notional Value $22,770,938)   GBP 18,750,000       1,850,471  
Citibank, N.A. 5-Year Interest Rate Swap Expiring April 2027 with exercise rate of 1.60% (Notional Value $80,128,515)   EUR 76,645,000       1,545,807  
Total Interest Rate Swaptions             11,285,910  
Put Swaptions on:                
Interest Rate Swaptions                
Citibank, N.A. 5-Year Interest Rate Swap Expiring April 2027 with exercise rate of 1.60% (Notional Value $80,128,515)   EUR 76,645,000       5,101,924  
Deutsche Bank AG 5-Year Interest Rate Swap Expiring April 2032 with exercise rate of 2.39%   USD 72,235,000       4,463,371  
Deutsche Bank AG 5-Year Interest Rate Swap Expiring April 2027 with exercise rate of 2.69%   USD  92,814,000       3,971,782  
Barclays Bank plc 20-Year Interest Rate Swap Expiring April 2027 with exercise rate of 1.58% (Notional Value $22,770,938)   GBP 18,750,000       3,808,017  
Citibank, N.A. 20-Year Interest Rate Swap Expiring April 2029 with exercise rate of 2.38%   USD 24,141,000       3,290,727  
Total Interest Rate Swaptions             20,635,821  
Total OTC Interest Rate Swaptions Purchased                
(Cost $33,025,782)             31,921,731  
Total Investments - 106.4%                
(Cost $7,929,997,645)           7,064,498,097  

 

LISTED OPTIONS WRITTEN - 0.0%                
Call Options on:                
Equity Options                
 Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $37,351)     41      
 Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $36,440)     40        
Total Equity Options              
Total Listed Options Written                
(Premiums received $85,529)              

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Contracts/
Notional Value
      Value  
OTC OPTIONS WRITTEN†† - (0.1)%                
Foreign Exchange Options                
Morgan Stanley Capital Services LLC Foreign Exchange AUD/CAD Expiring July 2022 with strike price of AUD 0.92 (Notional Value $2,647,452)   AUD 3,850,000     $  
J.P. Morgan Securities plc Foreign Exchange EUR/CHF Expiring July 2022 with strike price of EUR 1.03 (Notional Value $17,772,650)   EUR 17,000,000        
Bank of America, N.A. Foreign Exchange EUR/JPY Expiring July 2022 with strike price of EUR 147.35 (Notional Value $2,509,080)   EUR 2,400,000       (66 )
UBS AG Foreign Exchange USD/CHF Expiring July 2022 with strike price of $0.99   USD 2,550,000       (167 )
UBS AG Foreign Exchange AUD/CAD Expiring July 2022 with strike price of AUD 0.91 (Notional Value $8,389,330)   AUD 12,200,000       (788 )
Barclays Bank plc Foreign Exchange EUR/GBP Expiring July 2022 with strike price of EUR 0.87 (Notional Value $2,404,535)   EUR 2,300,000       (1,430 )
J.P. Morgan Securities plc Foreign Exchange AUD/JPY Expiring July 2022 with strike price of AUD 97.85 (Notional Value $1,719,125)   AUD 2,500,000       (2,828 )
Barclays Bank plc Foreign Exchange NZD/JPY Expiring July 2022 with strike price of NZD 87.31 (Notional Value $1,492,200)   NZD 2,400,000       (4,230 )
Deutsche Bank AG Foreign Exchange USD/JPY Expiring July 2022 with strike price of $138.50   USD 2,600,000       (6,329 )
J.P. Morgan Securities plc Foreign Exchange EUR/JPY Expiring July 2022 with strike price of EUR 145.25 (Notional Value $2,509,080)   EUR 2,400,000       (9,198 )
J.P. Morgan Securities plc Foreign Exchange USD/CHF Expiring July 2022 with strike price of $0.97   USD 18,200,000       (10,325 )
J.P. Morgan Securities plc Foreign Exchange CAD/JPY Expiring July 2022 with strike price of CAD 106.50 (Notional Value $2,558,239)   CAD 3,300,000       (17,481 )
Citibank, N.A. Foreign Exchange USD/JPY Expiring July 2022 with strike price of $135.85   USD 4,750,000       (54,677 )
J.P. Morgan Securities plc Foreign Exchange CAD/JPY Expiring July 2022 with strike price of CAD 105.40 (Notional Value $8,760,029)   CAD 11,300,000       (56,488 )
Goldman Sachs International Foreign Exchange USD/JPY Expiring July 2022 with strike price of $132.60   USD 2,600,000       (62,295 )
J.P. Morgan Chase Bank, N.A. Foreign Exchange AUD/JPY Expiring July 2022 with strike price of AUD 94.84 (Notional Value $18,429,020)   AUD 26,800,000       (136,500 )
Goldman Sachs International Foreign Exchange USD/JPY Expiring July 2022 with strike price of $134.25   USD 9,600,000       (149,890 )
Bank of America, N.A. Foreign Exchange EUR/GBP Expiring July 2022 with strike price of EUR 0.85 (Notional Value $17,772,650)   EUR 17,000,000       (152,292 )
Barclays Bank plc Foreign Exchange USD/JPY Expiring July 2022 with strike price of $131.60   USD 5,000,000       (165,968 )
Citibank, N.A. Foreign Exchange NZD/JPY Expiring July 2022 with strike price of NZD 83.48 (Notional Value $18,559,237)   NZD 29,850,000       (335,153 )
Citibank, N.A. Foreign Exchange CAD/JPY Expiring July 2022 with strike price of CAD 103.70 (Notional Value $18,954,223)   CAD 24,450,000       (369,270 )
Barclays Bank plc Foreign Exchange EUR/JPY Expiring July 2022 with strike price of EUR 138.80 (Notional Value $17,511,288)   EUR 16,750,000     (477,152 )
Bank of America, N.A. Foreign Exchange USD/JPY Expiring July 2022 with strike price of $129.68   USD 17,600,000       (798,396 )
Total Foreign Exchange Options             (2,810,923 )
Put Options on:                
Foreign Exchange Options                
Goldman Sachs International Foreign Exchange USD/JPY Expiring July 2022 with strike price of $127.30   USD 2,600,000        
Barclays Bank plc Foreign Exchange EUR/GBP Expiring July 2022 with strike price of EUR 0.85 (Notional Value $2,404,535)   EUR 2,300,000       (178 )
Bank of America, N.A. Foreign Exchange USD/JPY Expiring July 2022 with strike price of $129.68   USD 17,600,000       (347 )
Deutsche Bank AG Foreign Exchange USD/JPY Expiring July 2022 with strike price of $130.90   USD  2,600,000       (2,718 )
J.P. Morgan Securities plc Foreign Exchange CAD/JPY Expiring July 2022 with strike price of CAD 100.05 (Notional Value $2,558,239)   CAD 3,300,000       (4,546 )
Barclays Bank plc Foreign Exchange NZD/JPY Expiring July 2022 with strike price of NZD 81.16 (Notional Value $1,492,200)   NZD 2,400,000       (5,364 )
Bank of America, N.A. Foreign Exchange EUR/JPY Expiring July 2022 with strike price of EUR 140.90 (Notional Value $2,509,080)   EUR 2,400,000       (5,859 )
J.P. Morgan Securities plc Foreign Exchange EUR/JPY Expiring July 2022 with strike price of EUR 137.25 (Notional Value $2,509,080)   EUR 2,400,000       (7,430 )
UBS AG Foreign Exchange USD/CHF Expiring July 2022 with strike price of $0.95   USD 2,550,000       (9,986 )
Barclays Bank plc Foreign Exchange USD/JPY Expiring July 2022 with strike price of $131.60   USD  5,000,000       (13,680 )
J.P. Morgan Securities plc Foreign Exchange AUD/JPY Expiring July 2022 with strike price of AUD 91.65 (Notional Value $1,719,125)   AUD 2,500,000       (13,773 )
Morgan Stanley Capital Services LLC Foreign Exchange AUD/CAD Expiring July 2022 with strike price of AUD 0.89 (Notional Value $2,647,452)   AUD 3,850,000       (17,259 )
Bank of America, N.A. Foreign Exchange EUR/GBP Expiring July 2022 with strike price of EUR 0.85 (Notional Value $17,772,650)   EUR 17,000,000       (18,276 )
Goldman Sachs International Foreign Exchange USD/JPY Expiring July 2022 with strike price of $134.25   USD 9,600,000       (41,661 )
Citibank, N.A. Foreign Exchange USD/JPY Expiring July 2022 with strike price of $135.85   USD 4,750,000       (59,659 )
J.P. Morgan Securities plc Foreign Exchange CAD/JPY Expiring July 2022 with strike price of CAD 105.40 (Notional Value $8,760,029)   CAD 11,300,000       (65,807 )
Barclays Bank plc Foreign Exchange EUR/JPY Expiring July 2022 with strike price of EUR 138.80 (Notional Value $17,511,288)   EUR 16,750,000       (75,938 )
Citibank, N.A. Foreign Exchange CAD/JPY Expiring July 2022 with strike price of CAD 103.70 (Notional Value $18,954,223)   CAD 24,450,000       (90,882 )
Citibank, N.A. Foreign Exchange NZD/JPY Expiring July 2022 with strike price of NZD 83.48 (Notional Value $18,559,238)   NZD 29,850,000       (132,969 )
UBS AG Foreign Exchange AUD/CAD Expiring July 2022 with strike price of AUD 0.91 (Notional Value $8,389,330)   AUD 12,200,000       (206,573 )
J.P. Morgan Securities plc Foreign Exchange USD/CHF Expiring July 2022 with strike price of $0.97   USD 18,200,000       (333,003 )
J.P. Morgan Chase Bank, N.A. Foreign Exchange AUD/JPY Expiring July 2022 with strike price of AUD 94.84 (Notional Value $18,429,020)   AUD 26,800,000     (436,387 )
J.P. Morgan Securities plc Foreign Exchange EUR/CHF Expiring July 2022 with strike price of EUR 1.03 (Notional Value $17,772,650)   EUR 17,000,000       (491,930 )
Total Foreign Exchange Options             (2,034,225 )
Total OTC Options Written                
(Premiums received $5,440,966)             (4,845,148 )

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

      Contracts/
Notional Value
      Value  
OTC INTEREST RATE SWAPTIONS WRITTEN††,19 - 0.0%                
Call Swaptions on:                
Interest Rate Swaptions                
Deutsche Bank AG 5-Year Interest Rate Swap Expiring April 2024 with exercise rate of 1.60% (Notional Value $12,153,357)   EUR 11,625,000     $ (193,946 )
Goldman Sachs International 20-Year Interest Rate Swap Expiring April 2026 with exercise rate of 1.69% (Notional Value $2,561,275)   GBP 2,109,000       (206,896 )
Citibank, N.A. 20-Year Interest Rate Swap Expiring April 2026 with exercise rate of 2.56%   USD 3,000,000       (243,825 )
J.P. Morgan Securities plc 5-Year Interest Rate Swap Expiring April 2025 with exercise rate of 2.70%   USD 22,032,000       (755,811 )
Total Interest Rate Swaptions             (1,400,478 )
Put Swaptions on:                
Interest Rate Swaptions                
Citibank, N.A. 20-Year Interest Rate Swap Expiring April 2026 with exercise rate of 2.56%   USD 3,000,000       (336,863 )
Goldman Sachs International 20-Year Interest Rate Swap Expiring April 2026 with exercise rate of 1.69% (Notional Value $2,561,275)   GBP 2,109,000       (389,902 )
Deutsche Bank AG 5-Year Interest Rate Swap Expiring April 2024 with exercise rate of 1.60% (Notional Value $12,153,356)   EUR 11,625,000       (520,916 )
J.P. Morgan Securities plc 5-Year Interest Rate Swap Expiring April 2025 with exercise rate of 2.70%   USD 22,032,000       (760,007 )
Total Interest Rate Swaptions             (2,007,688 )
Total OTC Interest Rate Swaptions Written                
(Premiums received $3,480,361)             (3,408,166 )
Other Assets & Liabilities, net - (6.3)%             (418,792,755 )
Total Net Assets - 100.0%           $ 6,637,452,028  

 

Futures Contracts           
Description  Number of Contracts   Expiration Date  Notional Amount   Value and Unrealized
Appreciation (Depreciation)**
 
Commodity Futures Contracts Purchased    
Gold 100 oz. Futures Contracts   389   Aug 2022  $70,319,530   $(2,381,412)
Silver Futures Contracts   571   Sep 2022   57,699,550    (3,483,838)
           $128,019,080   $(5,865,250)
                   
Commodity Futures Contracts Sold Short                  
WTI Crude Futures Contracts   466   Jul 2022  $49,354,060   $6,868,829 

 

Centrally Cleared Credit Default Swap Agreements Protection Sold††        
Counterparty  Exchange  Index  Protection Premium Rate   Payment Frequency  Maturity Date  Notional Amount   Value   Upfront Premiums Paid   Unrealized Depreciation** 
J.P. Morgan Securities LLC  ICE  CDX.NA.IG.33.V1   1.00%  Quarterly  12/20/24  $70,000,000   $171,665   $1,225,590   $(1,053,925)

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

         
Centrally Cleared Interest Rate Swap Agreements††        
Counterparty  Exchange  Floating Rate Type  Floating Rate Index   Fixed Rate   Payment Frequency  Maturity Date   Notional Amount~    Value    Upfront Premiums Paid (Received)    Unrealized Appreciation (Depreciation)** 
J.P. Morgan Securities LLC  CME  Receive  3-Month USD LIBOR   1.65%  Quarterly  03/17/31   180,000,000   $19,212,660   $1,472   $19,211,188 
J.P. Morgan Securities LLC  CME  Receive  U.S. Secured Overnight Financing Rate   1.78%  Annually  03/11/32   23,700,000    2,002,080    426    2,001,654 
J.P. Morgan Securities LLC  LCH  Receive  6-Month Budapest Interbank Offering Rate   6.94%  Semi-Annually  04/11/26  HUF7,085,722,000    310,882    78    310,804 
J.P. Morgan Securities LLC  LCH  Receive  3-Month Korea Certificate of Deposit Rate   2.89%  Quarterly  04/12/27  KRW22,687,810,000    191,465    69    191,396 
J.P. Morgan Securities LLC  LCH  Pay  6-Month EURIBOR   1.60%  Semi-Annually  04/12/32  EUR21,571,000    (932,481)   (1,072,188)   139,707 
J.P. Morgan Securities LLC  LCH  Receive  U.S. Secured Overnight Financing Rate   2.38%  Annually  04/16/49   2,806,000    115,400    34,042    81,358 
J.P. Morgan Securities LLC  LCH  Receive  U.S. Secured Overnight Financing Rate   2.69%  Annually  04/21/32   7,454,000    52,462    (3,007)   55,469 
J.P. Morgan Securities LLC  LCH  Receive  3-Month Prague Interbank Offering Rate   4.63%  Semi-Annually  04/12/25  CZK853,137,000    50,838    76    50,762 
J.P. Morgan Securities LLC  LCH  Pay  Sterling Overnight Interbank Average Rate   1.58%  Annually  04/12/47  GBP1,162,000    (109,475)   (139,325)   29,850 
J.P. Morgan Securities LLC  LCH  Receive  Sterling Overnight Interbank Average Rate   0.88%  Annually  12/09/25  GBP380,000    25,184    (143)   25,327 
J.P. Morgan Securities LLC  LCH  Receive  U.S. Secured Overnight Financing Rate   2.39%  Annually  04/12/37   3,542,000    87,378    73,796    13,582 
J.P. Morgan Securities LLC  LCH  Receive  1D Euro Short Term Rate   0.50%  Annually  04/17/24  EUR640,000    7,424    (92)   7,516 
J.P. Morgan Securities LLC  LCH  Pay  U.S. Secured Overnight Financing Rate   2.70%  Annually  04/22/30   90,000    (333)   (365)   32 
J.P. Morgan Securities LLC  LCH  Receive  U.S. Secured Overnight Financing Rate   2.56%  Annually  04/22/46   108,000    (3,555)   3,419    (6,974)
J.P. Morgan Securities LLC  LCH  Receive  Sterling Overnight Interbank Average Rate   1.69%  Annually  04/20/46  GBP145,000    (14,161)   3,621    (17,782)
J.P. Morgan Securities LLC  LCH  Pay  Overnight Tokyo Average Rate   0.33%  Annually  04/12/28  JPY2,121,592,000    (43,052)   (3,068)   (39,984)
J.P. Morgan Securities LLC  LCH  Pay  U.S. Secured Overnight Financing Rate   2.67%  Annually  04/19/27   7,583,000    (56,323)   269    (56,592)
J.P. Morgan Securities LLC  LCH  Pay  1D Euro Short Term Rate   0.92%  Annually  04/12/27  EUR6,017,000    (205,323)   1,094    (206,417)
J.P. Morgan Securities LLC  LCH  Receive  6-Month EURIBOR   1.60%  Semi-Annually  04/17/29  EUR4,156,000    (151,215)   96,712    (247,927)
J.P. Morgan Securities LLC  LCH  Pay  3-Month Stockholm Interbank Offering Rate   2.24%  Quarterly  04/11/24  SEK318,567,000    (263,498)   68    (263,566)
J.P. Morgan Securities LLC  LCH  Pay  Sterling Overnight Interbank Average Rate   0.85%  Annually  12/03/26  GBP4,491,000    (376,856)   (52,831)   (324,025)
J.P. Morgan Securities LLC  LCH  Pay  U.S. Secured Overnight Financing Rate   1.08%  Annually  12/06/28   6,071,000    (611,617)   (108,594)   (503,023)
J.P. Morgan Securities LLC  LCH  Pay  U.S. Secured Overnight Financing Rate   1.23%  Annually  12/03/31   6,975,000    (918,249)   (183,895)   (734,354)
                            $18,369,635   $(1,348,366)  $19,718,001 

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

Forward Foreign Currency Exchange Contracts††       
Counterparty  Currency  Type  Quantity   Contract Amount  Settlement Date  Unrealized Appreciation (Depreciation) 
Goldman Sachs International  ILS  Buy   92,228,427   24,775,937 USD  08/01/22  $1,720,417 
Barclays Bank plc  ILS  Sell   92,228,427   27,935,310 USD  08/01/22   1,438,956 
Deutsche Bank AG  NOK  Buy   267,539,569   26,785,028 USD  07/08/22   379,740 
UBS AG  JPY  Sell   3,400,000,000   25,417,425 USD  07/05/22   359,940 
JPMorgan Chase Bank, N.A.  EUR  Sell   31,980,000   333,566,575 NOK  07/08/22   350,505 
JPMorgan Chase Bank, N.A.  USD  Sell   34,980,000   45,380,418 CAD  07/05/22   283,909 
JPMorgan Chase Bank, N.A.  CHF  Buy   14,938,676   15,463,059 USD  07/11/22   194,426 
UBS AG  EUR  Sell   18,200,000   18,385,440 CHF  07/11/22   190,707 
Barclays Bank plc  ILS  Sell   5,382,450   1,706,566 USD  11/30/22   142,485 
UBS AG  ILS  Sell   18,825,521   5,499,318 USD  08/01/22   90,925 
UBS AG  ILS  Sell   3,026,363   958,280 USD  11/30/22   78,852 
UBS AG  GBP  Sell   7,160,000   8,777,586 USD  07/05/22   61,715 
Deutsche Bank AG  EUR  Sell   9,150,000   9,647,779 USD  07/08/22   57,633 
BNP Paribas  USD  Sell   17,780,000   2,419,378,362 JPY  07/05/22   50,452 
Goldman Sachs International  CAD  Sell   56,900,000   44,261,900 USD  07/15/22   46,880 
Barclays Bank plc  GBP  Sell   4,308,125   5,286,203 USD  07/05/22   41,921 
Goldman Sachs International  USD  Sell   4,030,000   5,239,343 CAD  07/05/22   41,353 
JPMorgan Chase Bank, N.A.  EUR  Buy   9,190,000   98,096,997 SEK  07/08/22   40,377 
JPMorgan Chase Bank, N.A.  CAD  Sell   7,960,000   6,222,367 USD  07/05/22   36,863 
JPMorgan Chase Bank, N.A.  GBP  Sell   3,730,000   4,576,188 USD  07/05/22   35,659 
Bank of America, N.A.  USD  Sell   22,990,000   29,629,412 CAD  07/05/22   34,224 
Citibank, N.A.  CAD  Buy   3,000,000   311,607,000 JPY  07/19/22   32,701 
Bank of America, N.A.  NZD  Sell   8,800,000   5,527,913 USD  07/19/22   31,943 
JPMorgan Chase Bank, N.A.  AUD  Sell   9,608,000   6,662,864 USD  07/05/22   28,421 
Citibank, N.A.  USD  Buy   1,800,000   2,283,903 CAD  07/05/22   25,239 
Barclays Bank plc  USD  Buy   5,440,000   734,971,200 JPY  07/05/22   23,374 
UBS AG  CAD  Sell   4,055,000   3,173,881 USD  07/05/22   22,849 
UBS AG  EUR  Sell   4,100,000   4,345,664 USD  09/30/22   21,635 
Citibank, N.A.  NZD  Buy   2,500,000   208,847,500 JPY  07/19/22   20,848 
JPMorgan Chase Bank, N.A.  USD  Buy   450,000   4,247,370 NOK  07/07/22   18,750 
UBS AG  USD  Sell   5,550,000   755,511,874 JPY  07/05/22   18,008 
Bank of America, N.A.  AUD  Sell   8,440,000   5,844,059 USD  07/05/22   16,134 
Goldman Sachs International  AUD  Sell   5,660,000   3,918,427 USD  07/05/22   10,127 
JPMorgan Chase Bank, N.A.  EUR  Sell   2,600,000   2,734,052 USD  07/08/22   8,983 
Barclays Bank plc  GBP  Buy   752,000   907,177 USD  07/15/22   8,400 
Bank of America, N.A.  GBP  Buy   5,970,000   7,259,174 USD  07/05/22   8,109 
Goldman Sachs International  GBP  Buy   2,190,000   2,657,845 USD  07/05/22   8,042 
JPMorgan Chase Bank, N.A.  USD  Sell   260,000   253,266 CHF  07/11/22   5,453 
Morgan Stanley Capital Services LLC  EUR  Sell   310,000   315,097 CHF  07/11/22   5,280 
Citibank, N.A.  CAD  Buy   1,020,000   788,573 USD  07/15/22   4,034 
JPMorgan Chase Bank, N.A.  HUF  Sell   172,960,000   459,193 USD  07/27/22   3,466 
UBS AG  AUD  Sell   8,240,000   5,693,008 USD  07/05/22   3,186 
JPMorgan Chase Bank, N.A.  NZD  Sell   6,430,000   4,018,937 USD  07/19/22   3,130 
UBS AG  NZD  Buy   720,000   447,349 USD  07/19/22   2,321 
Goldman Sachs International  GBP  Sell   5,860,000   7,135,675 USD  07/05/22   2,296 
Goldman Sachs International  NZD  Sell   870,000   545,553 USD  07/19/22   2,201 
JPMorgan Chase Bank, N.A.  EUR  Buy   690,000   688,465 CHF  07/11/22   1,747 
Deutsche Bank AG  NOK  Sell   77,509,485   7,870,976 USD  07/08/22   1,011 
Barclays Bank plc  GBP  Sell   75,275,000   91,649,909 USD  07/15/22   891 
Barclays Bank plc  EUR  Buy   290,000   289,251 CHF  07/11/22   844 
Barclays Bank plc  CAD  Sell   410,000   319,226 USD  07/13/22   629 
Barclays Bank plc  NZD  Buy   300,000   25,345,500 JPY  07/21/22   382 
Barclays Bank plc  EUR  Buy   3,210,000   3,365,736 USD  07/15/22   285 
Citibank, N.A.  EUR  Buy   130,000   130,065 CHF  07/11/22   (42)
Barclays Bank plc  CAD  Sell   1,585,000   1,230,859 USD  07/05/22   (802)
JPMorgan Chase Bank, N.A.  GBP  Buy   132,000   161,956 USD  07/15/22   (1,243)
UBS AG  CAD  Sell   3,000,000   2,329,780 USD  07/08/22   (1,432)
UBS AG  AUD  Buy   850,000   589,145 USD  07/05/22   (2,210)
Deutsche Bank AG  USD  Buy   5,140,000   6,617,894 CAD  07/05/22   (2,589)
Deutsche Bank AG  CAD  Sell   1,230,000   949,621 USD  07/05/22   (6,180)
JPMorgan Chase Bank, N.A.  SEK  Buy   5,325,733   527,519 USD  07/08/22   (6,782)
Bank of America, N.A.  EUR  Sell   1,000,000   854,710 GBP  07/08/22   (7,608)
Goldman Sachs International  GBP  Buy   831,000   1,020,951 USD  07/15/22   (9,190)
BNP Paribas  USD  Buy   25,790,000   3,501,041,421 JPY  07/05/22   (12,145)
Citibank, N.A.  USD  Buy   1,000,000   9,976,100 NOK  07/18/22   (13,134)
JPMorgan Chase Bank, N.A.  AUD  Buy   4,060,000   2,816,958 USD  07/05/22   (13,478)
JPMorgan Chase Bank, N.A.  EUR  Sell   11,150,000   119,350,136 SEK  07/08/22   (16,576)
UBS AG  USD  Buy   7,950,000   1,081,290,019 JPY  07/05/22   (18,944)
JPMorgan Chase Bank, N.A.  USD  Buy   17,650,000   2,397,911,199 JPY  07/05/22   (22,243)
JPMorgan Chase Bank, N.A.  EUR  Buy   3,640,000   3,838,233 USD  07/08/22   (23,137)
UBS AG  GBP  Buy   3,010,000   3,688,237 USD  07/05/22   (24,163)
UBS AG  AUD  Buy   2,600,000   246,922,000 JPY  07/25/22   (26,393)
UBS AG  EUR  Sell   16,280,000   17,036,422 USD  07/08/22   (26,702)
JPMorgan Chase Bank, N.A.  EUR  Buy   900,000   925,740 CHF  07/05/22   (26,810)
UBS AG  SEK  Buy   87,629,273   8,598,102 USD  07/08/22   (29,918)
Deutsche Bank AG  USD  Buy   5,180,000   707,318,950 JPY  07/05/22   (32,833)
Deutsche Bank AG  USD  Sell   7,900,000   10,119,953 CAD  07/05/22   (36,054)
UBS AG  USD  Buy   9,310,000   12,038,176 CAD  07/05/22   (44,545)
UBS AG  EUR  Buy   5,420,000   5,473,854 CHF  07/11/22   (55,356)
Goldman Sachs International  EUR  Buy   7,300,000   7,713,217 USD  07/15/22   (58,401)
UBS AG  USD  Sell   8,000,000   10,203,568 CAD  07/05/22   (71,081)
JPMorgan Chase Bank, N.A.  NZD  Buy   16,160,000   10,169,238 USD  07/19/22   (76,637)
JPMorgan Chase Bank, N.A.  USD  Buy   21,480,000   27,743,186 CAD  07/05/22   (78,487)
UBS AG  JPY  Sell   1,773,850,000   12,991,812 USD  07/01/22   (81,194)
Deutsche Bank AG  NZD  Buy   15,019,520   9,502,054 USD  07/19/22   (121,732)
Bank of America, N.A.  USD  Buy   28,890,000   37,336,396 CAD  07/05/22   (123,113)
Deutsche Bank AG  CAD  Buy   17,516,528   13,758,418 USD  07/05/22   (146,793)
JPMorgan Chase Bank, N.A.  CAD  Buy   8,967,705   7,147,675 USD  07/05/22   (179,111)
UBS AG  EUR  Buy   36,890,000   38,860,152 USD  07/08/22   (195,617)
JPMorgan Chase Bank, N.A.  USD  Sell   47,226,000   6,377,004,691 JPY  07/05/22   (228,442)
JPMorgan Chase Bank, N.A.  EUR  Buy   33,320,000   346,884,417 NOK  07/08/22   (298,283)
Barclays Bank plc  EUR  Sell   294,925,000   308,947,533 USD  07/15/22   (312,242)
JPMorgan Chase Bank, N.A.  JPY  Sell   7,889,021,954   57,767,905 USD  07/05/22   (372,991)
                    $3,214,025 

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

OTC Interest Rate Swaptions Purchased    
Counterparty/Description  Floating Rate Type  Floating Rate Index  Payment Frequency  Fixed Rate   Expiration Date  Exercise Rate   Swaption Notional Amount   Swaption Value 
Call                            
Deutsche Bank AG
5-Year Interest Rate Swap
  Pay  SOFR  Annual   2.69%  04/19/27   2.69%  $92,814,000   $3,494,157 
Deutsche Bank AG
5-Year Interest Rate Swap
  Pay  SOFR  Annual   2.39%  04/08/32   2.39%   72,235,000    2,206,193 
Citibank, N.A.
20-Year Interest Rate Swap
  Pay  SOFR  Annual   2.38%  04/12/29   2.38%   24,141,000    2,189,282 
Barclays Bank plc
20-Year Interest Rate Swap
  Pay  SONIA  Annual   1.58%  04/12/27   1.58%   22,770,938    1,850,471 
Citibank, N.A.
5-Year Interest Rate Swap
  Pay  6 Month EURIBOR  Semi-annual   1.60%  04/08/27   1.60%   80,128,515    1,545,807 
                              $11,285,910 
Put                                
Citibank, N.A.
5-Year Interest Rate Swap
  Receive  6 Month EURIBOR  Semi-annual   1.60%  04/08/27   1.60%  $80,128,515   $5,101,924 
Deutsche Bank AG
5-Year Interest Rate Swap
  Receive  SOFR  Annual   2.39%  04/08/32   2.39%   72,235,000    4,463,371 
Deutsche Bank AG
5-Year Interest Rate Swap
  Receive  SOFR  Annual   2.69%  04/19/27   2.69%   92,814,000    3,971,782 
Barclays Bank plc
20-Year Interest Rate Swap
  Receive  SONIA  Annual   1.58%  04/12/27   1.58%   22,770,938    3,808,017 
Citibank, N.A.
20-Year Interest Rate Swap
  Receive  SOFR  Annual   2.38%  04/12/29   2.38%   24,141,000    3,290,727 
                              $20,635,821 

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

OTC Interest Rate Swaptions Written

Counterparty/Description  Floating Rate Type  Floating Rate Index  Payment Frequency   Fixed Rate   Expiration Date   Exercise Rate    Swaption Notional Amount    Swaption Value 
Call                                
Deutsche Bank AG
5-Year Interest Rate Swap
  Receive  6 Month EURIBOR  Semi-annual   1.60%  04/15/24   1.60%  $12,153,357   $(193,946)
Goldman Sachs International
20-Year Interest Rate Swap
  Receive  SONIA  Annual   1.69%  04/20/26   1.69%   2,561,275    (206,896)
Citibank, N.A.
20-Year Interest Rate Swap
  Receive  SOFR  Annual   2.56%  04/20/26   2.56%   3,000,000    (243,825)
J.P. Morgan Securities plc
5-Year Interest Rate Swap
  Receive  SOFR  Annual   2.70%  04/17/25   2.70%   22,032,000    (755,811)
                              $(1,400,478)
Put                                
Citibank, N.A.
20-Year Interest Rate Swap
  Pay  SOFR  Annual   2.56%  04/20/26   2.56%  $3,000,000   $(336,863)
Goldman Sachs International
20-Year Interest Rate Swap
  Pay  SONIA  Annual   1.69%  04/20/26   1.69%   2,561,275    (389,902)
Deutsche Bank AG
5-Year Interest Rate Swap
  Pay  6 Month EURIBOR  Semi-annual   1.60%  04/15/24   1.60%   12,153,356    (520,916)
J.P. Morgan Securities plc
5-Year Interest Rate Swap
  Pay  SOFR  Annual   2.70%  04/17/25   2.70%   22,032,000    (760,007)
                              $(2,007,688)

 

~ The face amount is denominated in U.S. dollars unless otherwise indicated.
* Non-income producing security.
** Includes cumulative appreciation (depreciation).
Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
†† Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
††† Value determined based on Level 3 inputs — See Note 3.
Variable rate security. Rate indicated is the rate effective at June 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1 Special Purpose Acquisition Company (SPAC).
2 Affiliated issuer.
3 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $2,635,661,892 (cost $3,000,380,434), or 39.7% of total net assets.
4 Rate indicated is the 7-day yield as of June 30, 2022.
5 Perpetual maturity.
6 Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
7 All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At June 30, 2022, the total market value of segregated or earmarked securities was $460,184,745 — See Note 2.
8 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $88,204,205 (cost $108,628,876), or 1.3% of total net assets — See Note 6.
9 Security is in default of interest and/or principal obligations.
10 Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at June 30, 2022. See table below for additional step information for each security.
11 Payment-in-kind security.
12 Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
13 Security is an interest-only strip.
14 Zero coupon rate security.
15 Security is a principal-only strip.
16 Rate indicated is the effective yield at the time of purchase.
17 All or a portion of this security is pledged as interest rate swap collateral at June 30, 2022.
18 All or a portion of this security is pledged as listed options collateral at June 30, 2022.
19 Swaptions - See additional disclosure in the swaptions table above for more information on swaptions.

 

AUD — Australian Dollar
CAD — Canadian Dollar
CDX.NA.IG.33.V1 — Credit Default Swap North American Investment Grade Series 33 Index Version 1
CHF — Swiss Franc
CME — Chicago Mercantile Exchange
CMS — Constant Maturity Swap
CMT — Constant Maturity Treasury
CZK — Czech Koruna
EUR — Euro
EURIBOR — European Interbank Offered Rate
GBP — British Pound
HUF — Hungarian Forint
ICE — Intercontinental Exchange
ILS — Israeli New Shekel
JPY — Japanese Yen
KRW — South Korean Won
LCH — London Clearing House
LIBOR — London Interbank Offered Rate
NOK — Norwegian Krone
plc — Public Limited Company
PPV — Public-Private Venture
REMIC — Real Estate Mortgage Investment Conduit
SARL —  Société à Responsabilité Limitée
SEK — Swedish Krona
SOFR — Secured Overnight Financing Rate
SONIA — Sterling Overnight Index Average
WAC — Weighted Average Coupon

 

See Sector Classification in Other Information section.  

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Consolidated Schedule of Investments): 

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Common Stocks  $262,850,025   $7,621,053   $806,070   $271,277,148 
Preferred Stocks       420,317,275    *   420,317,275 
Warrants   1,200,959            1,200,959 
Exchange-Traded Funds   54,338,794            54,338,794 
Mutual Funds   181,758,797            181,758,797 
Closed-End Funds   72,863,785            72,863,785 
Money Market Funds   20,289,555            20,289,555 
Corporate Bonds       2,095,046,960    154,105,086    2,249,152,046 
Senior Floating Rate Interests       1,413,183,803    374,123,151    1,787,306,954 
Asset-Backed Securities       1,007,056,761    259,656,536    1,266,713,297 
Collateralized Mortgage Obligations       438,792,015    47,700,576    486,492,591 
U.S. Government Securities       141,007,046        141,007,046 
Foreign Government Debt       46,965,068        46,965,068 
U.S. Treasury Bills       14,761,834        14,761,834 
Senior Fixed Rate Interests       179,356    2,973,154    3,152,510 
Options Purchased   13,201,380    1,777,327        14,978,707 
Interest Rate Swaptions Purchased       31,921,731        31,921,731 
Commodity Futures Contracts**   6,868,829            6,868,829 
Interest Rate Swap Agreements**       22,118,645        22,118,645 
Forward Foreign Currency Exchange Contracts**       6,018,658        6,018,658 
Total Assets  $613,372,124   $5,646,767,532   $839,364,573   $7,099,504,229 

 

Investments in Securities (Liabilities)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Options Written  $*  $4,845,148   $   $4,845,148 
Interest Rate Swaptions Written       3,408,166        3,408,166 
Commodity Futures Contracts**   5,865,250            5,865,250 
Credit Default Swap Agreements**       1,053,925        1,053,925 
Interest Rate Swap Agreements**       2,400,644        2,400,644 
Forward Foreign Currency Exchange Contracts**       2,804,633        2,804,633 
Unfunded Loan Commitments (Note 5)           2,752,374    2,752,374 
Total Liabilities  $5,865,250   $14,512,516   $2,752,374   $23,130,140 

 

*Security has a market value of $0.
**This derivative is reported as unrealized appreciation/depreciation at period end.

   

 

Macro Opportunities Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $419,168,545 are categorized as Level 2 within the disclosure hierarchy — See Note 2.                                        

 

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

 

Category  Ending Balance at June 30, 2022   Valuation Technique  Unobservable Inputs  Input Range   Weighted Average* 
Assets:                  
Asset-Backed Securities  $136,442,182   Option adjusted spread off prior month end broker quote  Broker Quote        
Asset-Backed Securities   63,898,333   Yield Analysis  Yield   5.7%-7.2%    6.7%
Asset-Backed Securities   24,244,000   Model Price  Purchase Price        
Asset-Backed Securities   20,767,673   Third Party Pricing  Broker Quote        
Asset-Backed Securities   14,304,348   Option adjusted spread off third party pricing  Trade Price        
Collateralized Mortgage Obligations   32,418,582   Yield Analysis  Yield   5.8%    
Collateralized Mortgage Obligations   15,281,994   Option adjusted spread off prior month end broker quote  Broker Quote        
Common Stocks   805,888   Enterprise Value  Valuation Multiple   2.6x-18.6x    8.6x
Common Stocks   182   Model Price  Liquidation Value        
Corporate Bonds   94,577,613   Option adjusted spread off prior month end broker quote  Broker Quote        
Corporate Bonds   27,011,473   Third Party Pricing  Vendor Price        
Corporate Bonds   22,220,000   Yield Analysis  Yield   4.9%    
Corporate Bonds   10,296,000   Model Price  Purchase Price        
Senior Fixed Rate Interests   2,973,154   Yield Analysis  Yield   7.4%   
Senior Floating Rate Interests   239,060,882   Third Party Pricing  Broker Quote        
Senior Floating Rate Interests   112,430,201   Yield Analysis  Yield   7.1%-10.7%    8.6%
Senior Floating Rate Interests   16,688,125   Model Price  Purchase Price        
Senior Floating Rate Interests   5,943,943   Third Party Pricing  Vendor Price        
Total Assets  $839,364,573                 
Liabilities:                     
Unfunded Loan Commitments  $2,752,374   Model Price  Purchase price        

 

*Inputs are weighted by the fair value of the instruments.

 

Significant changes in a quote, yield, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

 

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

 

Transfer between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended June 30, 2022, the Fund had securities with a total value of $243,066,336 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $64,912,893 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

 

Summary of Fair Value Level 3 Activity

 

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended June 30, 2022:

 

   Assets       Liabilities 
   Asset-Backed Securities   Collateralized Mortgage Obligations   Corporate Bonds   Senior Floating Rate Interests   Common Stocks   Senior Fixed Rate Interests   Total Assets   Unfunded Loan Commitments 
Beginning Balance  $134,755,864   $33,621,388   $132,694,814   $202,766,682   $1,167,187   $3,044,928   $508,050,863   $(3,698,361)
Purchases/(Receipts)   95,543,362    -    67,214,089    114,520,014    (100)   -    277,277,365    (1,085,203)
(Sales, maturities and paydowns)/Fundings   (11,108,590)   (22,382,728)   (33,102,468)   (26,144,667)   (826)   -    (92,739,279)   2,169,199 
Amortization of premiums/discounts   209,868    (16,558)   46,705    1,248,919    -    2,022    1,490,956    240,247 
Total realized gains (losses) included in earnings   (1,433,109)   (10,469)   (1)   115,297    (6,599)   -    (1,334,881)   50,431 
Total change in unrealized appreciation (depreciation) included in earnings   (7,025,736)   (1,589,066)   (10,208,788)   (12,292,383)   (344,125)   (73,796)   (31,533,894)   (428,687)
Transfers into Level 3   48,714,877    38,078,009    -    156,273,450    -    -    243,066,336    - 
Transfers out of Level 3   -    -    (2,539,265)   (62,364,161)   (9,467)   -    (64,912,893)   - 
 Ending Balance  $259,656,536   $47,700,576   $154,105,086   $374,123,151   $806,070   $2,973,154   $839,364,573   $(2,752,374)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at June 30, 2022  $(8,717,242)  $(1,599,585)  $(9,820,083)  $(6,727,093)  $(244,464)  $(73,796)  $(27,182,263)  $(257,783)

 

Step Coupon Bonds

 

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. 

 

Name  Coupon Rate at Next Reset Date   Next Rate Reset Date  Future Reset Rate   Future Reset Date 
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70   6.13%  01/29/25        
GAIA Aviation Ltd. 2019-1, 3.97% due 12/15/44   2.00%  11/15/26        
Platinum for Belize Blue Investment Company LLC, 1.60% due 10/20/40   2.10%  10/21/22   4.47%   10/21/25 

 

Affiliated Transactions

 

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

 

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles' annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request. 

 

Transactions during the period ended June 30, 2022, in which the company is an affiliated issuer, were as follows:

 

Security Name  Value 09/30/21   Additions   Reductions   Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value 06/30/22   Shares 06/30/22   Investment Income   Capital Gain Distributions 
Common Stocks                                             
  BP Holdco LLC*  $26,465   $   $   $   $   $26,465    37,539   $   $ 
  Targus Group International Equity, Inc.*   31,107                1,031    32,138    12,773         
Mutual Funds                                             
  Guggenheim Alpha Opportunity Fund — Institutional Class   26,522,954    212,702            205,092    26,940,748    1,010,531    212,702     
  Guggenheim Risk Managed Real Estate Fund — Institutional Class   71,222,266    13,030,937            (10,688,020)   73,565,183    2,237,384    920,449    3,660,423 
  Guggenheim Strategy Fund II   17,552,529    1,064,656            (619,877)   17,997,308    745,539    222,921     
  Guggenheim Strategy Fund III   15,636,354    2,506,961            (638,149)   17,505,166    723,055    214,625     
  Guggenheim Ultra Short Duration Fund — Institutional Class   46,880,462    380,875            (1,510,945)   45,750,392    4,740,973    380,875     
   $177,872,137   $17,196,131   $   $   $(13,250,868)  $181,817,400        $1,951,572   $3,660,423 

 

*Non-income producing security.

 

 

 

Market Neutral Real Estate Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Shares   Value 
COMMON STOCKS - 61.3%        
REITs - 61.3%        
REITs-Diversified - 13.7%        
VICI Properties, Inc.   76,400   $2,275,956 
Gaming and Leisure Properties, Inc.   28,960    1,328,106 
American Assets Trust, Inc.   36,013    1,069,586 
Duke Realty Corp.   13,497    741,660 
American Tower Corp. — Class A   1,762    450,350 
Crown Castle International Corp.   2,654    446,880 
SBA Communications Corp.   1,395    446,470 
Total REITs-Diversified        6,759,008 
REITs-Apartments - 9.1%          
Equity Residential   21,456    1,549,552 
AvalonBay Communities, Inc.1   7,729    1,501,358 
Invitation Homes, Inc.   37,367    1,329,518 
American Campus Communities, Inc.*,1   2,161    139,320 
Total REITs-Apartments        4,519,748 
REITs-Shopping Centers - 7.6%          
SITE Centers Corp.   94,005    1,266,247 
NETSTREIT Corp.   56,410    1,064,457 
Kite Realty Group Trust1   33,972    587,376 
Brixmor Property Group, Inc.   28,886    583,786 
Acadia Realty Trust   17,150    267,883 
Total REITs-Shopping Centers        3,769,749 
REITs-Office Property - 5.9%          
Alexandria Real Estate Equities, Inc.   8,628    1,251,319 
Cousins Properties, Inc.   37,507    1,096,330 
Empire State Realty Trust, Inc. — Class A   69,220    486,617 
Piedmont Office Realty Trust, Inc. — Class A   8,885    116,571 
Total REITs-Office Property        2,950,837 
REITs-Hotels - 5.9%          
Xenia Hotels & Resorts, Inc.*   75,463    1,096,477 
Ryman Hospitality Properties, Inc.*,1   13,832   1,051,647 
DiamondRock Hospitality Co.*   95,548    784,449 
Total REITs-Hotels        2,932,573 
REITs-Single Tenant - 5.1%          
Four Corners Property Trust, Inc.   63,317    1,683,599 
Agree Realty Corp.   11,639    839,521 
Total REITs-Single Tenant        2,523,120 
REITs-Manufactured Homes - 4.1%          
Sun Communities, Inc.   12,668    2,018,772 
           
REITs-Storage - 4.0%          
National Storage Affiliates Trust1   39,457    1,975,612 
REITs-Health Care - 3.7%          
Ventas, Inc.1   18,816    967,707 
CareTrust REIT, Inc.   44,527    821,078 
Total REITs-Health Care        1,788,785 
REITs-Warehouse/Industries - 2.2%          
Rexford Industrial Realty, Inc.1   18,708    1,077,394 
Total REITs        30,315,598 
Total Common Stocks          
(Cost $30,815,747)        30,315,598 
           
MONEY MARKET FUND - 37.3%          
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 1.05%2   18,438,049    18,438,049 
Total Money Market Fund          
(Cost $18,438,049)        18,438,049 
Total Investments - 98.6%          
(Cost $49,253,796)       $48,753,647 
Other Assets & Liabilities, net - 1.4%        669,076 
Total Net Assets - 100.0%       $49,422,723 

 

Custom Basket Swap Agreements  

 

 

Counterparty  Reference Obligation  Type   Financing Rate  Payment Frequency  Maturity Date  Notional Amount   Value and Unrealized Appreciation 
OTC Custom Basket Swap Agreements Sold Short††              
Morgan Stanley Capital Services LLC  MS Equity Custom Basket   Receive   1.25% (Federal Funds Rate - 0.33%)  At Maturity  07/22/24  $15,431,756   $1,257,506 
Goldman Sachs International  GS Equity Custom Basket   Receive   1.37% (Federal Funds Rate - 0.21%)  At Maturity  05/06/24   15,431,766    1,247,891 
                    $30,863,522   $2,505,397 

   

 

Market Neutral Real Estate Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

GS EQUITY SHORT CUSTOM BASKET            
   Shares   Percentage Notional Amount   Value and Unrealized
Appreciation (Depreciation)
 
Financial            
Douglas Emmett, Inc.   25,800    (3.73)%  $239,898 
Broadstone Net Lease, Inc.   40,869    (5.43)%   204,193 
Office Properties Income Trust   28,387    (3.67)%   184,642 
Omega Healthcare Investors, Inc.   23,576    (4.31)%   162,605 
STORE Capital Corp.   20,914    (3.53)%   145,281 
Host Hotels & Resorts, Inc.   47,628    (4.84)%   99,761 
Necessity Retail REIT, Inc.   58,188    (2.75)%   79,336 
RLJ Lodging Trust   8,921    (0.64)%   40,181 
Apartment Income REIT Corp.   9,025    (2.43)%   37,468 
Camden Property Trust   4,080    (3.56)%   36,492 
Essex Property Trust, Inc.   2,503    (4.24)%   35,084 
LTC Properties, Inc.   12,846    (3.20)%   30,220 
Apple Hospitality REIT, Inc.   43,920    (4.18)%   21,192 
Public Storage   1,515    (3.07)%   15,458 
STAG Industrial, Inc.   16,006    (3.20)%   14,735 
Extra Space Storage, Inc.   2,836    (3.13)%   3,196 
Equity Commonwealth   23,107    (4.12)%   2,593 
Corporate Office Properties Trust   10,221    (1.73)%   909 
Americold Realty Trust, Inc.   9,166    (1.78)%   (2,725)
Realty Income Corp.   22,047    (9.75)%   (8,421)
Phillips Edison & Company, Inc.   29,432    (6.37)%   (31,900)
Washington Real Estate Investment Trust   32,189    (4.45)%   (39,269)
Mid-America Apartment Communities, Inc.   6,049    (6.85)%   (231,082)
Total Financial             1,039,847 
Exchange-Traded Funds               
Vanguard Real Estate ETF   15,305    (9.04)%   208,044 
Total GS Equity Short Custom Basket            $1,247,891 

   

 

Market Neutral Real Estate Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

 

MS EQUITY SHORT CUSTOM BASKET            
   Shares   Percentage Notional Amount   Value and Unrealized
Appreciation (Depreciation)
 
Financial            
Douglas Emmett, Inc.   25,800    (3.73)%  $238,479 
Broadstone Net Lease, Inc.   40,869    (5.43)%   211,972 
Office Properties Income Trust   28,387    (3.67)%   183,638 
Omega Healthcare Investors, Inc.   23,576    (4.31)%   159,184 
STORE Capital Corp.   20,914    (3.53)%   144,183 
Host Hotels & Resorts, Inc.   47,628    (4.84)%   99,233 
Necessity Retail REIT, Inc.   58,188    (2.75)%   78,473 
RLJ Lodging Trust   8,921    (0.64)%   40,124 
Essex Property Trust, Inc.   2,503    (4.24)%   38,500 
Apartment Income REIT Corp.   9,025    (2.43)%   37,672 
Camden Property Trust   4,080    (3.56)%   36,572 
LTC Properties, Inc.   12,846    (3.20)%   29,970 
Apple Hospitality REIT, Inc.   43,920    (4.18)%   21,116 
Public Storage   1,515    (3.07)%   15,306 
STAG Industrial, Inc.   16,006    (3.20)%   14,314 
Extra Space Storage, Inc.   2,836    (3.13)%   3,140 
Equity Commonwealth   23,107    (4.12)%   2,301 
Corporate Office Properties Trust   10,221    (1.73)%   727 
Americold Realty Trust, Inc.   9,166    (1.78)%   (2,399)
Realty Income Corp.   22,047    (9.75)%   (6,774)
Phillips Edison & Company, Inc.   29,432    (6.37)%   (25,329)
Washington Real Estate Investment Trust   32,189    (4.45)%   (39,805)
Mid-America Apartment Communities, Inc.   6,049    (6.85)%   (231,459)
Total Financial             1,049,138 
Exchange-Traded Funds               
Vanguard Real Estate ETF   15,305    (9.04)%   208,368 
Total MS Equity Short Custom Basket            $1,257,506 

 

 

* Non-income producing security.
Value determined based on Level 1 inputs — See Note 3.
†† Value determined based on Level 2 inputs — See Note 3.
1 All or a portion of this security is pledged as equity custom basket swap collateral at June 30, 2022.
2 Rate indicated is the 7-day yield as of June 30, 2022.

  

 

GS — Goldman Sachs International

MS — Morgan Stanley Capital Services LLC

REIT — Real Estate Investment Trust

 

See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Common Stocks  $30,315,598   $   $   $30,315,598 
Money Market Fund   18,438,049            18,438,049 
Equity Custom Basket Swap Agreements**       2,505,397        2,505,397 
Total Assets  $48,753,647   $2,505,397   $   $51,259,044 

  

**This derivative is reported as unrealized appreciation/depreciation at period end.

 

 

Municipal Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

 

   Shares   Value 
CLOSED-END FUNDS - 9.5%
BlackRock MuniYield Quality Fund, Inc.   71,982   $913,452 
BlackRock Municipal Income Quality Trust   54,840    679,468 
BlackRock MuniVest Fund, Inc.   90,802    676,475 
Nuveen California Quality Municipal Income Fund   49,986    616,327 
DWS Municipal Income Trust   53,020    498,388 
BlackRock Municipal Income Fund, Inc.   38,861    462,834 
Invesco Trust for Investment Grade Municipals   40,355    424,938 
Invesco Municipal Trust   36,338    369,194 
Nuveen AMT-Free Quality Municipal Income Fund   29,451    346,049 
BlackRock MuniHoldings California Quality Fund, Inc.   27,404    328,026 
BNY Mellon Strategic Municipals, Inc.   110    724 
Total Closed-End Funds          
(Cost $6,218,794)        5,315,875 
           
MONEY MARKET FUNDS - 0.4%          
Dreyfus AMT-Free Tax Exempt Cash Management Fund — Institutional Shares, 0.81%1   230,520    230,520 
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 1.32%1   82    82 
Total Money Market Funds          
(Cost $230,602)        230,602 
           
    Face
Amount
      
MUNICIPAL BONDS†† - 82.5%          
California -  22.9%          
El Camino Healthcare District General Obligation Unlimited          
 due 08/01/292  $2,500,000    1,985,524 
Stockton Unified School District General Obligation Unlimited          
 due 08/01/332   2,000,000    1,293,133 
 due 08/01/372   810,000    429,963 
 due 08/01/422   250,000    102,773 
City of Los Angeles Department of Airports Revenue Bonds          
5.00% due 05/15/39   1,000,000    1,103,494 
5.00% due 05/15/44   100,000    106,961 
Los Angeles Department of Water & Power Revenue Bonds          
5.00% due 07/01/50   1,000,000    1,091,724 
San Diego Unified School District General Obligation Unlimited          
 due 07/01/392   1,000,000    472,003 
 due 07/01/462   1,360,000    446,709 
Sierra Joint Community College District School Facilities District No. 1 General Obligation Unlimited          
 due 08/01/312   705,000    504,630 
 due 08/01/302   415,000    310,615 
College of the Sequoias Tulare Area Improvement District No. 3 General Obligation Unlimited        
 due 08/01/423,4  1,000,000   769,030 
Newport Mesa Unified School District General Obligation Unlimited          
 due 08/01/392   1,300,000    658,011 
Sonoma Valley Unified School District General Obligation Unlimited          
4.00% due 08/01/44   600,000    591,443 
Compton Unified School District General Obligation Unlimited          
 due 06/01/402   1,000,000    441,466 
Delhi Unified School District General Obligation Unlimited          
5.00% due 08/01/44   250,000    266,223 
Gustine Unified School District General Obligation Unlimited          
5.00% due 08/01/41   220,000    235,825 
Alameda Corridor Transportation Authority Revenue Bonds          
due 10/01/51   500,000    228,970 
Stockton Public Financing Authority Revenue Bonds          
5.00% due 10/01/33   200,000    221,479 
M-S-R Energy Authority Revenue Bonds          
6.13% due 11/01/29   190,000    212,015 
Upland Unified School District General Obligation Unlimited          
 due 08/01/382   400,000    199,968 
El Monte Union High School District General Obligation Unlimited          
 due 06/01/432   500,000    191,970 
Westside Elementary School District General Obligation Unlimited          
5.00% due 08/01/48   155,000    166,731 
Rio Hondo Community College District General Obligation Unlimited          
 due 08/01/292   200,000    158,180 
Freddie Mac Multifamily VRD Certificates Revenue Bonds          
2.40% due 10/15/29   150,000    142,678 
Coast Community College District General Obligation Unlimited          
 due 08/01/402   250,000    117,349 
Department of Veterans Affairs Veteran's Farm & Home Purchase Program Revenue Bonds          
3.45% due 12/01/39   110,000    109,223 

   

 

Municipal Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

   Face
Amount
   Value 
MUNICIPAL BONDS†† - 82.5% (continued)
California -  22.9% (continued)        
Buena Park School District General Obligation Unlimited        
5.00% due 08/01/47  $100,000   $106,872 
Oakland Unified School District/Alameda County General Obligation Unlimited          
5.00% due 08/01/22   90,000    90,246 
Roseville Joint Union High School District General Obligation Unlimited          
 due 08/01/302   100,000    76,711 
Total California        12,831,919 
Texas -  14.8%          
Denton County Housing Finance Corp. Revenue Bonds          
2.15% due 11/01/38   2,000,000    1,611,650 
Ysleta Independent School District General Obligation Unlimited          
4.00% due 08/15/52   1,400,000    1,376,029 
Central Texas Regional Mobility Authority Revenue Bonds          
5.00% due 01/01/45   1,250,000    1,317,071 
Cleveland Independent School District General Obligation Unlimited          
4.00% due 02/15/52   1,000,000    988,100 
North Texas Tollway Authority Revenue Bonds          
 due 01/01/362   1,000,000    584,500 
Bexar County Health Facilities Development Corp. Revenue Bonds          
5.00% due 07/15/22   225,000    225,050 
Southwest Independent School District General Obligation Unlimited          
 due 02/01/422   500,000    223,863 
Lindale Independent School District General Obligation Unlimited          
5.00% due 02/15/49   200,000    219,455 
United Independent School District General Obligation Unlimited          
5.00% due 08/15/49   200,000    219,455 
Clifton Higher Education Finance Corp. Revenue Bonds          
4.00% due 08/15/33   200,000    212,468 
Harris County-Houston Sports Authority Revenue Bonds          
 due 11/15/532   1,000,000    204,267 
Arlington Higher Education Finance Corp. Revenue Bonds          
5.00% due 12/01/46   200,000    203,985 
Grand Parkway Transportation Corp. Revenue Bonds          
5.00% due 10/01/43   175,000    187,856 
Texas Municipal Gas Acquisition and Supply Corporation I Revenue Bonds          
6.25% due 12/15/26  135,000   144,395 
Hutto Independent School District General Obligation Unlimited          
5.00% due 08/01/49   100,000    109,269 
Mansfield Independent School District General Obligation Unlimited          
5.00% due 02/15/44   100,000    107,797 
University of North Texas System Revenue Bonds          
5.00% due 04/15/44   100,000    107,517 
City of Arlington Texas Special Tax Revenue Special Tax          
5.00% due 02/15/48   100,000    105,798 
Central Texas Turnpike System Revenue Bonds          
5.00% due 08/15/22   35,000    35,146 
Tarrant County Health Facilities Development Corp. Revenue Bonds          
6.00% due 09/01/24   10,000    10,390 
San Antonio Education Facilities Corp. Revenue Bonds          
5.00% due 06/01/23   10,000    10,202 
Leander Independent School District General Obligation Unlimited          
 due 08/15/222   5,000    3,087 
 due 08/15/242   5,000    2,804 
Total Texas        8,210,154 
Arizona -  5.3%          
City of Phoenix Civic Improvement Corp. Revenue Bonds          
5.00% due 07/01/45   1,250,000    1,386,541 
Arizona Industrial Development Authority Revenue Bonds          
2.12% due 07/01/37   1,165,499    932,630 
Maricopa County Industrial Development Authority Revenue Bonds          
5.00% due 01/01/41   250,000    265,051 
Salt Verde Financial Corp. Revenue Bonds          
5.00% due 12/01/32   200,000    215,950 
Pinal County Elementary School District No. 4 Casa Grande General Obligation Unlimited          
5.00% due 07/01/37   100,000    111,548 
Total Arizona        2,911,720 
New York -  4.2%          
New York City Municipal Water Finance Authority Revenue Bonds          
5.00% due 06/15/49   1,000,000    1,079,012 

   

 

Municipal Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

    Face
Amount
    Value 
MUNICIPAL BONDS†† - 82.5% (continued)          
New York -  4.2% (continued)          
New York City Industrial Development Agency Revenue Bonds          
4.00% due 03/01/32  $500,000   $516,097 
New York Transportation Development Corp. Revenue Bonds          
5.00% due 12/01/22   250,000    252,645 
5.00% due 07/01/34   200,000    205,566 
New York State Dormitory Authority Revenue Bonds          
4.00% due 08/01/43   250,000    246,772 
New York Power Authority Revenue Bonds          
4.00% due 11/15/45   100,000    97,056 
Total New York        2,397,148 
Illinois -  3.8%          
Illinois Finance Authority Revenue Bonds          
5.00% due 10/01/37   1,000,000    1,150,783 
5.00% due 10/01/38   250,000    288,379 
City of Chicago Illinois Wastewater Transmission Revenue Bonds          
5.25% due 01/01/42   400,000    426,821 
University of Illinois Revenue Bonds          
6.00% due 10/01/29   200,000    207,532 
County of State Clair Illinois Highway Revenue Bonds          
4.25% due 01/01/23   40,000    40,534 
Total Illinois        2,114,049 
Ohio -  3.0%          
Dayton-Montgomery County Port Authority Revenue Bonds          
1.83% due 09/01/38   1,600,000    1,257,375 
County of Miami Ohio Revenue Bonds          
5.00% due 08/01/33   200,000    212,927 
American Municipal Power, Inc. Revenue Bonds          
5.00% due 02/15/41   200,000    211,355 
City of Middleburg Heights Ohio Revenue Bonds          
5.00% due 08/01/22   15,000    14,891 
Total Ohio        1,696,548 
Tennessee -  2.9%          
Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd Revenue Bonds          
2.25% due 07/01/45   1,500,000    1,089,388 
City of Shelbyville & Bedford County Health Educational & Housing Facility Board Revenue Bonds          
2.21% due 06/01/38   500,000    401,422 
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds          
2.48% due 12/01/37  200,000   168,213 
Total Tennessee        1,659,023 
Oregon -  2.7%          
Clackamas & Washington Counties School District No. 3 General Obligation Unlimited          
 due 06/15/482   2,000,000    623,910 
 due 06/15/502   400,000    113,309 
 due 06/15/492   350,000    104,071 
Salem-Keizer School District No. 24J General Obligation Unlimited          
 due 06/15/402   1,250,000    567,533 
University of Oregon Revenue Bonds          
5.00% due 04/01/48   100,000    107,084 
Total Oregon        1,515,907 
Virginia -  2.5%          
Freddie Mac Multifamily Variable Rate Certificate Revenue Bonds          
3.15% due 10/15/36   1,290,000    1,211,201 
Loudoun County Economic Development Authority Revenue Bonds          
 due 07/01/492   500,000    162,088 
City of Norfolk Virginia General Obligation Unlimited          
2.50% due 10/01/463   5,000    4,964 
Total Virginia        1,378,253 
Colorado -  2.4%          
E-470 Public Highway Authority Revenue Bonds          
5.00% due 09/01/36   650,000    725,519 
City & County of Denver Colorado Airport System Revenue Bonds          
5.00% due 12/01/28   200,000    220,135 
City & County of Denver Colorado Revenue Bonds          
 due 08/01/302   200,000    153,359 
Colorado Educational & Cultural Facilities Authority Revenue Bonds          
5.00% due 03/01/47   110,000    116,742 
Colorado School of Mines Revenue Bonds          
5.00% due 12/01/47   100,000    107,028 
Total Colorado        1,322,783 
Georgia -  1.9%          
Private Colleges & Universities Authority Revenue Bonds          
5.00% due 09/01/48   1,000,000    1,075,767 

   

 

Municipal Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

    Face
Amount
    Value 
MUNICIPAL BONDS†† - 82.5% (continued)          
North Carolina -  1.9%          
Inlivian Revenue Bonds          
2.02% due 04/01/42  $1,000,000   $730,662 
North Carolina Central University Revenue Bonds          
5.00% due 04/01/44   300,000    324,197 
Total North Carolina        1,054,859 
District of Columbia -  1.8%          
District of Columbia Revenue Bonds          
4.00% due 03/01/39   1,000,000    1,009,989 
West Virginia -  1.7%          
West Virginia University Revenue Bonds          
5.00% due 10/01/41   600,000    677,810 
West Virginia Hospital Finance Authority Revenue Bonds          
5.00% due 06/01/42   300,000    310,419 
Total West Virginia        988,229 
Washington -  1.5%          
Yakima & Kittitas Counties School District No. 119 Selah General Obligation Unlimited          
5.00% due 12/01/42   200,000    221,631 
County of King Washington Sewer Revenue Bonds          
5.00% due 07/01/42   200,000    217,277 
Central Puget Sound Regional Transit Authority Revenue Bonds          
5.00% due 11/01/41   200,000    215,720 
Washington State Convention Center Public Facilities District Revenue Bonds          
4.00% due 07/01/48   210,000    190,986 
Total Washington        845,614 
New Jersey -  1.1%          
New Jersey Turnpike Authority Revenue Bonds          
5.00% due 01/01/31   300,000    329,828 
New Jersey Economic Development Authority Revenue Bonds          
5.00% due 06/01/28   250,000    276,274 
Total New Jersey        606,102 
Oklahoma -  1.0%          
Oklahoma Development Finance Authority Revenue Bonds          
5.00% due 08/15/28   350,000    346,349 
Oklahoma City Airport Trust Revenue Bonds          
5.00% due 07/01/30   200,000    216,241 
Total Oklahoma        562,590 
Michigan -  0.9%          
Michigan State Hospital Finance Authority Revenue Bonds          
5.00% due 11/15/47   200,000    210,963 
Michigan State Housing Development Authority Revenue Bonds          
3.35% due 12/01/34  200,000   187,736 
Flint Hospital Building Authority Revenue Bonds          
5.00% due 07/01/25   100,000    105,153 
Total Michigan        503,852 
Missouri -  0.7%          
Industrial Development Authority of the City of State Louis Missouri Revenue Bonds          
2.22% due 12/01/38   496,205    410,852 
Arkansas -  0.6%          
County of Baxter Arkansas Revenue Bonds          
5.00% due 09/01/26   330,000    352,777 
Louisiana -  0.5%          
City of Shreveport Louisiana Water & Sewer Revenue Bonds          
5.00% due 12/01/35   250,000    273,481 
Louisiana Public Facilities Authority Revenue Bonds          
5.00% due 05/15/26   5,000    5,417 
Total Louisiana        278,898 
Alaska -  0.5%          
University of Alaska Revenue Bonds          
5.00% due 10/01/40   260,000    277,880 
Nebraska -  0.4%          
Central Plains Energy Project Revenue Bonds          
5.00% due 09/01/29   200,000    213,200 
South Carolina -  0.4%          
Charleston County Airport District Revenue Bonds          
5.00% due 07/01/43   200,000    213,069 
Vermont -  0.4%          
Vermont Educational & Health Buildings Financing Agency Revenue Bonds          
5.00% due 12/01/46   200,000    206,171 
Connecticut -  0.4%          
New Haven Housing Authority Revenue Bonds          
2.26% due 05/01/38   247,101    202,722 
South Dakota -  0.3%          
South Dakota Board of Regents Housing & Auxiliary Facilities System Revenue Bonds          
5.00% due 04/01/34   150,000    162,997 
Massachusetts -  0.3%          
Massachusetts Development Finance Agency Revenue Bonds          
5.00% due 10/01/34   150,000    161,787 

   

 

Municipal Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

    Face
Amount
    Value 
MUNICIPAL BONDS†† - 82.5% (continued)          
Florida -  0.2%          
Greater Orlando Aviation Authority Revenue Bonds          
5.00% due 10/01/32  $100,000   $109,023 
Tampa-Hillsborough County Expressway Authority Revenue Bonds          
5.00% due 07/01/22   20,000    19,800 
Florida Higher Educational Facilities Financial Authority Revenue Bonds          
3.00% due 12/01/22   15,000    14,943 
Total Florida        143,766 
Pennsylvania -  0.2%          
Allegheny County Hospital Development Authority Revenue Bonds          
5.00% due 07/15/32   100,000    109,456 
Owen J Roberts School District General Obligation Unlimited          
5.00% due 05/15/23   25,000    25,725 
City of Erie Pennsylvania General Obligation Unlimited          
3.10% due 11/15/22   5,000    4,980 
Total Pennsylvania        140,161 
Idaho -  0.2%          
Idaho Housing & Finance Association Revenue Bonds          
5.00% due 07/15/30   100,000    114,024 
Utah -  0.2%          
South Davis Metro Fire Service Area Revenue Bonds          
5.00% due 12/01/34   100,000    110,401 
Rhode Island -  0.2%          
Rhode Island Health and Educational Building Corp. Revenue Bonds          
5.00% due 05/15/42   100,000    110,305 
Montana -  0.2%          
Montana State Board of Regents Revenue Bonds          
5.00% due 11/15/43   100,000    108,175 
Kansas -  0.2%          
University of Kansas Hospital Authority Revenue Bonds          
5.00% due 09/01/48   100,000    105,067 
Iowa -  0.2%          
PEFA, Inc. Revenue Bonds          
5.00% (VRDN) due 09/01/265  100,000   104,990 
New Hampshire -  0.1%          
New Hampshire Health and Education Facilities Authority Act Revenue Bonds          
5.00% due 01/01/23   60,000    61,025 
Maryland -  0.0%          
Maryland Health & Higher Educational Facilities Authority Revenue Bonds          
5.00% due 07/01/22   15,000    14,850 
4.25% due 07/01/22   10,000    9,900 
4.00% due 07/01/22   10,000    9,900 
5.00% due 07/01/27   5,000    5,302 
Total Maryland        39,952 
New Mexico -  0.0%          
City of Albuquerque New Mexico Revenue Bonds          
5.00% due 07/01/25   30,000    31,167 
Total Municipal Bonds          
(Cost $52,960,844)        46,233,892 
           
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 6.3%          
Government Agency -  6.3%          
Freddie Mac Multifamily ML Certificates Revenue Bonds          
2.49% due 07/25/35   2,172,974    1,920,545 
Freddie Mac Multifamily          
1.90% due 11/25/37   1,967,306    1,622,186 
Total Collateralized Mortgage Obligations          
(Cost $4,296,137)        3,542,731 
           
U.S. TREASURY BILLS†† - 1.4%          
U.S. Treasury Bills          
2.26% due 12/08/226   380,000    376,187 
1.54% due 09/15/226   250,000    249,166 
1.02% due 08/11/226   150,000    149,780 
Total U.S. Treasury Bills          
(Cost $775,195)        775,133 
Total Investments - 100.1%          
(Cost $64,481,572)       $56,098,233 
Other Assets & Liabilities, net - (0.1)%        (73,314)
Total Net Assets - 100.0%       $56,024,919 

  

Centrally Cleared Interest Rate Swap Agreements††

 

 

Counterparty  Exchange   Floating Rate Type  Floating Rate Index  Fixed Rate   Payment Frequency  Maturity Date  Notional Amount   Value   Upfront Premiums Paid (Received)   Unrealized Appreciation** 
BofA Securities, Inc.   CME   Receive  3-Month USD LIBOR   1.67%  Quarterly  09/27/51  $2,850,000   $705,717   $341   $705,376 
BofA Securities, Inc.   CME   Receive  3-Month USD LIBOR   1.28%  Quarterly  11/04/50   1,200,000    385,704    303    385,401 
BofA Securities, Inc.   CME   Receive  3-Month USD LIBOR   1.60%  Quarterly  08/06/51   1,300,000    338,150    313    337,837 
BofA Securities, Inc.   CME   Receive  3-Month USD LIBOR   1.85%  Quarterly  11/18/51   800,000    167,749    308    167,441 
BofA Securities, Inc.   CME   Receive  U.S. Secured Overnight Financing Rate   1.48%  Annually  01/27/29   1,350,000    102,803    289    102,514 
BofA Securities, Inc.   CME   Receive  U.S. Secured Overnight Financing Rate   2.52%  Annually  06/01/29   4,700,000    66,921    136    66,785 
                              $1,767,044   $1,690   $1,765,354 

   

 

Municipal Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

 

** Includes cumulative appreciation (depreciation).
Value determined based on Level 1 inputs — See Note 3.
†† Value determined based on Level 2 inputs — See Note 3.
1 Rate indicated is the 7-day yield as of June 30, 2022.
2 Zero coupon rate security.
3 Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at June 30, 2022. See table below for additional step information for each security.
4 Security has no current coupon. However, a coupon rate will come into effect at a future rate reset date.
5 The rate is adjusted periodically by the counterparty, allows the holder to tender the security upon a rate reset, and is not based upon a set reference rate and spread. Rate indicated is the rate effective at June 30, 2022.
6 Rate indicated is the effective yield at the time of purchase.

 

 BofA — Bank of America

 CME — Chicago Mercantile Exchange

 VRDN — Variable Rate Demand Note

 

 See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Closed-End Funds  $5,315,875   $   $   $5,315,875 
Money Market Funds   230,602            230,602 
Municipal Bonds       46,233,892        46,233,892 
Collateralized Mortgage Obligations       3,542,731        3,542,731 
U.S. Treasury Bills       775,133        775,133 
Interest Rate Swap Agreements**       1,765,354        1,765,354 
Total Assets  $5,546,477   $52,317,110   $   $57,863,587 

 

** This derivative is reported as unrealized appreciation/depreciation at period end.

 

Step Coupon Bonds

 

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

  

 

Name  Coupon Rate at Next Reset Date   Next Rate Reset Date  Future Reset Rate(s)   Future Reset Date(s) 
City of Norfolk Virginia General Obligation Unlimited, 2.50% due 10/01/46   3.00%  10/01/22   3.75% - 5.00%    10/01/26 - 10/01/41 
College of the Sequoias Tulare Area Improvement District No. 3 General Obligation Unlimited, due 08/01/42   6.85%  08/01/32        

 

 

 

 

Risk Managed Real Estate Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

  

   Shares   Value 
COMMON STOCKS - 90.4%
REITs - 90.4%
REITs-Diversified - 19.0%          
Equinix, Inc.1   35,549   $23,356,404 
VICI Properties, Inc.1   491,190    14,632,550 
Digital Realty Trust, Inc.   99,263    12,887,315 
Duke Realty Corp.1   204,009    11,210,295 
Gaming and Leisure Properties, Inc.   202,684    9,295,088 
WP Carey, Inc.   77,058    6,385,026 
American Tower Corp. — Class A   11,707    2,992,192 
Crown Castle International Corp.1   16,805    2,829,626 
SBA Communications Corp.   8,713    2,788,596 
American Assets Trust, Inc.   45,463    1,350,251 
EPR Properties   27,296    1,281,001 
Total REITs-Diversified        89,008,344 
REITs-Apartments - 16.2%          
AvalonBay Communities, Inc.1   91,632    17,799,516 
Equity Residential1   245,341    17,718,527 
Invitation Homes, Inc.1   392,155    13,952,875 
American Campus Communities, Inc.*,1   102,644    6,617,459 
Essex Property Trust, Inc.1   20,251    5,295,839 
UDR, Inc.   96,552    4,445,254 
Mid-America Apartment Communities, Inc.1   23,890    4,172,866 
American Homes 4 Rent — Class A1   109,445    3,878,731 
Camden Property Trust   16,688    2,244,202 
Total REITs-Apartments        76,125,269 
REITs-Warehouse/Industries - 10.9%          
Prologis, Inc.1   288,592    33,952,849 
Rexford Industrial Realty, Inc.   161,979    9,328,371 
Americold Realty Trust, Inc.1   101,209    3,040,318 
Terreno Realty Corp.   52,065    2,901,582 
First Industrial Realty Trust, Inc.   49,135    2,332,930 
Total REITs-Warehouse/Industries        51,556,050 
REITs-Storage - 9.6%          
Public Storage   56,059    17,527,968 
Extra Space Storage, Inc.1   50,453    8,583,064 
National Storage Affiliates Trust   165,163    8,269,711 
Iron Mountain, Inc.   112,421    5,473,778 
Life Storage, Inc.   47,737    5,330,258 
Total REITs-Storage        45,184,779 
REITs-Health Care - 9.0%          
Ventas, Inc.   239,756    12,330,651 
Welltower, Inc.   148,256    12,208,882 
Healthpeak Properties, Inc.1   226,179    5,860,298 
Medical Properties Trust, Inc.1   250,503    3,825,181 
CareTrust REIT, Inc.   194,106    3,579,315 
Sabra Health Care REIT, Inc.   181,601    2,536,966 
Healthcare Trust of America, Inc. — Class A   88,445    2,468,500 
Total REITs-Health Care        42,809,793 
REITs-Office Property - 6.4%          
Alexandria Real Estate Equities, Inc.1   86,439    12,536,248 
Boston Properties, Inc.1   73,783    6,565,211 
Cousins Properties, Inc.1   163,844    4,789,160 
Kilroy Realty Corp.   46,529   2,434,863 
Highwoods Properties, Inc.1   54,722    1,870,945 
Empire State Realty Trust, Inc. — Class A1   143,356    1,007,793 
Hudson Pacific Properties, Inc.1   59,123    877,385 
Piedmont Office Realty Trust, Inc. — Class A   11,217    147,167 
Orion Office REIT, Inc.   8,883    97,359 
Total REITs-Office Property        30,326,131 
REITs-Shopping Centers - 5.9%          
Kite Realty Group Trust   280,838    4,855,689 
Kimco Realty Corp.1   236,529    4,676,178 
Regency Centers Corp.   66,754    3,959,180 
Brixmor Property Group, Inc.1   192,692    3,894,305 
NETSTREIT Corp.   194,628    3,672,630 
SITE Centers Corp.   245,941    3,312,825 
Acadia Realty Trust   171,034    2,671,551 
Federal Realty OP, LP   11,686    1,118,818 
Total REITs-Shopping Centers        28,161,176 
REITs-Single Tenant - 4.7%          
Realty Income Corp.   104,616    7,141,088 
Agree Realty Corp.1   90,737    6,544,860 
Four Corners Property Trust, Inc.   228,869    6,085,627 
National Retail Properties, Inc.   52,868    2,273,324 
Total REITs-Single Tenant        22,044,899 
REITs-Manufactured Homes - 3.2%          
Sun Communities, Inc.   64,635    10,300,234 
Equity LifeStyle Properties, Inc.   68,349    4,816,554 
Total REITs-Manufactured Homes        15,116,788 
REITs-Hotels - 2.9%          
Ryman Hospitality Properties, Inc.*   64,552    4,907,889 
Xenia Hotels & Resorts, Inc.*   280,009    4,068,531 
DiamondRock Hospitality Co.*,1   439,296    3,606,620 
Pebblebrook Hotel Trust   50,238    832,444 
Total REITs-Hotels        13,415,484 
REITs-Regional Malls - 2.6%          
Simon Property Group, Inc.1   129,688    12,309,985 
           
Total REITs        426,058,698 
Total Common Stocks          
(Cost $420,647,457)        426,058,698 

 

MONEY MARKET FUND - 7.9%          
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.97%2   37,255,008    37,255,008 
Total Money Market Fund          
(Cost $37,255,008)        37,255,008 
Total Investments - 98.3%          
(Cost $457,902,465)       463,313,706 

 

   

 

Risk Managed Real Estate Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

   Shares   Value 
COMMON STOCKS SOLD SHORT - (7.8)%
REITs - (7.8)%
REITs-Warehouse/Industries - (0.4)%
Americold Realty Trust, Inc.1   23,140   $(695,126)
STAG Industrial, Inc.   40,410   (1,247,861)
Total REITs-Warehouse/Industries        (1,942,987)
REITs-Storage - (0.6)%          
Public Storage   3,824    (1,195,650)
Extra Space Storage, Inc.1   7,160    (1,218,115)
Total REITs-Storage        (2,413,765)
REITs-Shopping Centers - (0.5)%          
Phillips Edison & Company, Inc.   74,307    (2,482,597)
REITs-Health Care - (0.7)%          
LTC Properties, Inc.   32,432    (1,245,064)
Omega Healthcare Investors, Inc.   59,521    (1,677,897)
Total REITs-Health Care        (2,922,961)
REITs-Hotels - (0.8)%          
RLJ Lodging Trust   22,523    (248,429)
Apple Hospitality REIT, Inc.   110,885    (1,626,683)
Host Hotels & Resorts, Inc.   120,248    (1,885,489)
Total REITs-Hotels        (3,760,601)
REITs-Office Property - (1.0)%          
Corporate Office Properties Trust   25,804    (675,807)
Office Properties Income Trust   71,670    (1,429,816)
Douglas Emmett, Inc.   65,137    (1,457,766)
Equity Commonwealth*   58,339    (1,606,078)
Total REITs-Office Property        (5,169,467)
REITs-Single Tenant - (1.1)%          
STORE Capital Corp.   52,801   $(1,377,050)
Realty Income Corp.   55,663    (3,799,556)
Total REITs-Single Tenant        (5,176,606)
REITs-Diversified - (1.2)%          
Digital Realty Trust, Inc.   6,722    (872,717)
Necessity Retail REIT, Inc.   146,910    (1,069,505)
Washington Real Estate Investment Trust   81,267    (1,731,800)
Broadstone Net Lease, Inc.   103,184    (2,116,304)
Total REITs-Diversified        (5,790,326)
REITs-Apartments - (1.5)%          
Apartment Income REIT Corp.   22,784    (947,814)
Camden Property Trust   10,299    (1,385,010)
Essex Property Trust, Inc.1   6,317    (1,651,959)
Mid-America Apartment Communities, Inc.1   15,271    (2,667,386)
Total REITs-Apartments        (6,652,169)
Total REITs        (36,311,479)
Total Common Stocks Sold Short          
(Proceeds $40,937,712)        (36,311,479)

 

EXCHANGE-TRADED FUNDS SOLD SHORT - (0.7)%          
Vanguard Real Estate ETF   38,640    (3,520,491)
Total Exchange-Traded Funds Sold Short          
(Proceeds $4,128,719)        (3,520,491)
Total Securities Sold Short - (8.5)%          
(Proceeds $45,066,431)       $(39,831,970)
Other Assets & Liabilities, net - 10.2%        48,139,465 
Total Net Assets - 100.0%       $471,621,201 

 

Custom Basket Swap Agreements

Counterparty  Reference Obligation  Type  Financing Rate  Payment Frequency  Maturity Date  Notional Amount   Value and Unrealized Appreciation (Depreciation) 
OTC Custom Basket Swap Agreements††                  
Morgan Stanley Capital Services LLC  MS Equity Custom Basket  Pay  1.98% (Federal Funds Rate + 0.40%)  At Maturity  10/22/25  $7,445,625   $507,372 
                          
Goldman Sachs International  GS Equity Custom Basket  Pay  2.03% (Federal Funds Rate + 0.45%)  At Maturity  05/06/24   7,445,625    504,814 
                          
Goldman Sachs International  GS Equity Custom Basket  Pay  2.03% (Federal Funds Rate + 0.45%)  At Maturity  05/06/24   38,581,516    (1,175,659)
                          
Morgan Stanley Capital Services LLC  MS Equity Custom Basket  Pay  1.98% (Federal Funds Rate + 0.40%)  At Maturity  06/12/24   38,655,662    (1,192,508)
                          
                  $92,128,428   $(1,355,981)

   

 

 

Risk Managed Real Estate Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

Counterparty  Reference Obligation  Type  Financing Rate  Payment Frequency  Maturity Date  Notional Amount   Value and Unrealized Appreciation (Depreciation) 
OTC Custom Basket Swap Agreements Sold Short††              
Morgan Stanley Capital Services LLC  MS Equity Custom Basket  Receive  1.25% (Federal Funds Rate - 0.33%)  At Maturity  06/12/24  $39,363,265   $5,126,117 
Goldman Sachs International  GS Equity Custom Basket  Receive  1.37% (Federal Funds Rate - 0.21%)  At Maturity  05/06/24   39,369,772    5,065,535 
                  $78,733,037   $10,191,652 

 

GS EQUITY LONG CUSTOM BASKET            
   Shares   Percentage Notional Amount   Value and Unrealized
Appreciation (Depreciation)
 
Financial            
Prologis, Inc.   5,553    8.75%  $108,082 
Public Storage   1,080    4.54%   89,917 
Extra Space Storage, Inc.   972    2.22%   52,230 
Duke Realty Corp.   3,602    2.66%   48,971 
Welltower, Inc.   2,856    3.16%   45,775 
VICI Properties, Inc.   7,606    3.04%   39,605 
American Campus Communities, Inc.   1,925    1.67%   35,890 
Invitation Homes, Inc.   6,646    3.18%   35,655 
Iron Mountain, Inc.   2,165    1.42%   34,114 
AvalonBay Communities, Inc.   1,577    4.11%   29,964 
Equity Residential   4,205    4.08%   24,619 
Rexford Industrial Realty, Inc.   2,665    2.06%   24,457 
Life Storage, Inc.   919    1.38%   23,208 
Mid-America Apartment Communities, Inc.   460    1.08%   19,343 
Realty Income Corp.   2,015    1.85%   16,581 
Regency Centers Corp.   1,286    1.02%   15,942 
UDR, Inc.   1,860    1.15%   15,488 
WP Carey, Inc.   1,484    1.65%   14,847 
National Storage Affiliates Trust   2,222    1.49%   13,502 
Equity LifeStyle Properties, Inc.   1,316    1.25%   12,293 
Gaming and Leisure Properties, Inc.   3,200    1.97%   11,386 
Sun Communities, Inc.   937    2.01%   10,902 
Camden Property Trust   321    0.58%   9,966 
Agree Realty Corp.   1,465    1.42%   8,848 
American Homes 4 Rent — Class A   2,108    1.00%   8,733 
Kimco Realty Corp.   4,557    1.21%   7,819 
Essex Property Trust, Inc.   390    1.37%   6,206 
Sabra Health Care REIT, Inc.   3,402    0.64%   4,851 
National Retail Properties, Inc.   1,018    0.59%   3,537 
Brixmor Property Group, Inc.   3,009    0.82%   1,033 
American Tower Corp. — Class A   182    0.62%   489 
EPR Properties   525    0.33%   (479)
Ryman Hospitality Properties, Inc.   907    0.93%   (951)
Ventas, Inc.   4,161    2.87%   (1,036)
Orion Office REIT, Inc.   172    0.03%   (1,924)
Pebblebrook Hotel Trust   967    0.22%   (2,345)
CareTrust REIT, Inc.   2,785    0.69%   (2,488)
Four Corners Property Trust, Inc.   2,869    1.02%   (3,062)
Crown Castle International Corp.   259    0.59%   (3,994)
Empire State Realty Trust, Inc. — Class A   1,077    0.10%   (4,001)
Americold Realty Trust, Inc.   1,949    0.79%   (4,038)
SBA Communications Corp.   134    0.58%   (4,368)
Highwoods Properties, Inc.   1,054    0.48%   (5,335)
SITE Centers Corp.   2,452    0.44%  (6,354)
Healthcare Trust of America, Inc. — Class A   1,704    0.64%   (6,651)
Federal Realty OP, LP   225    0.29%   (6,689)
Terreno Realty Corp.   1,003    0.75%   (6,763)
Digital Realty Trust, Inc.   1,782    3.11%   (6,990)
Equinix, Inc.   684    6.04%   (6,994)
DiamondRock Hospitality Co.   6,139    0.68%   (7,882)
NETSTREIT Corp.   2,377    0.60%   (8,393)
Kilroy Realty Corp.   896    0.63%   (8,835)
First Industrial Realty Trust, Inc.   946    0.60%   (10,078)
Hudson Pacific Properties, Inc.   1,139    0.23%   (10,232)
Xenia Hotels & Resorts, Inc.   3,553    0.69%   (12,615)
Boston Properties, Inc.   1,421    1.70%   (13,155)
Healthpeak Properties, Inc.   4,357    1.52%   (14,086)
Acadia Realty Trust   2,844    0.60%   (14,578)
Cousins Properties, Inc.   2,244    0.88%   (16,003)
Kite Realty Group Trust   4,584    1.06%   (16,315)
Medical Properties Trust, Inc.   4,439    0.91%   (19,548)
Simon Property Group, Inc.   2,498    3.18%   (20,134)
Alexandria Real Estate Equities, Inc.   1,453    2.83%   (23,123)
Total Financial             504,814 
Total GS Equity Long Custom Basket            $504,814 

 

   

 

Risk Managed Real Estate Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

GS EQUITY LONG CUSTOM BASKET    
   Shares   Percentage Notional Amount   Value and Unrealized
Appreciation (Depreciation)
 
Financial            
VICI Properties, Inc.   97,453    7.53%  $396,841 
Gaming and Leisure Properties, Inc.   36,950    4.39%   249,403 
Ventas, Inc.   24,002    3.20%   170,082 
AvalonBay Communities, Inc.   9,862    4.97%   157,390 
Equity Residential   27,375    5.12%   134,167 
Agree Realty Corp.   14,847    2.78%   92,843 
Sun Communities, Inc.   16,160    6.67%   59,795 
Duke Realty Corp.   17,219    2.45%   56,299 
American Campus Communities, Inc.   2,759    0.46%   51,454 
CareTrust REIT, Inc.   56,728    2.71%   41,124 
American Tower Corp. — Class A   2,233    1.48%   1,876 
SBA Communications Corp.   1,768    1.47%   (7,126)
Piedmont Office Realty Trust, Inc. — Class A   5,052    0.17%   (7,955)
Brixmor Property Group, Inc.   36,741    1.92%   (10,275)
Crown Castle International Corp.   3,363    1.47%   (14,642)
Ryman Hospitality Properties, Inc.   17,568    3.46%   (18,792)
DiamondRock Hospitality Co.   121,349    2.58%   (53,561)
Invitation Homes, Inc.   47,665    4.40%   (67,402)
Rexford Industrial Realty, Inc.   23,863    3.56%   (87,104)
Acadia Realty Trust   19,989    0.81%   (100,025)
American Assets Trust, Inc.   45,938    3.54%   (103,939)
Four Corners Property Trust, Inc.   80,766    5.57%   (121,385)
Kite Realty Group Trust   43,210    1.94%   (153,795)
NETSTREIT Corp.   71,748    3.51%   (159,125)
SITE Centers Corp.   124,368    4.34%   (171,946)
National Storage Affiliates Trust   50,330    6.53%   (222,974)
Empire State Realty Trust, Inc. — Class A   87,957    1.60%   (249,233)
Alexandria Real Estate Equities, Inc.   11,005    4.14%   (328,406)
Xenia Hotels & Resorts, Inc.   95,890    3.61%   (332,350)
Cousins Properties, Inc.   47,846    3.62%   (376,898)
Total Financial             (1,175,659)
Total GS Equity Long Custom Basket            $(1,175,659)

 

GS EQUITY SHORT CUSTOM BASKET

   Shares   Percentage Notional Amount   Value and Unrealized
Appreciation (Depreciation)
 
Financial            
Douglas Emmett, Inc.   65,818    (3.76)%   $699,422 
Broadstone Net Lease, Inc.   104,263    (5.43)%    573,465 
Office Properties Income Trust   72,420    (3.67)%   533,973 
Omega Healthcare Investors, Inc.   60,144    (4.31)%    472,322 
STORE Capital Corp.   53,199    (3.52)%    455,985 
Host Hotels & Resorts, Inc.   121,503    (4.84)%    287,734 
STAG Industrial, Inc.   40,831    (3.20)%    272,229 
Necessity Retail REIT, Inc.   148,446    (2.74)%    232,873 
Apartment Income REIT Corp.   23,023    (2.43)%    207,619 
Apple Hospitality REIT, Inc.   112,043    (4.17)%    139,648 
Camden Property Trust   10,407    (3.55)%    124,806 
RLJ Lodging Trust   22,692    (0.64)%    117,292 
Washington Real Estate Investment Trust   82,117    (4.44)%    109,401 
Essex Property Trust, Inc.   6,385    (4.24)%    102,020 
LTC Properties, Inc.   32,772    (3.20)%    98,068 
Realty Income Corp.   56,245    (9.75)%    82,095 
Public Storage   3,865    (3.07)%    46,856 
Corporate Office Properties Trust   26,322    (1.75)%    46,503 
Extra Space Storage, Inc.   7,237    (3.13)%    15,684 
Equity Commonwealth   58,949    (4.12)%    3,053 
Americold Realty Trust, Inc.   23,314    (1.78)%    (4,454)
Phillips Edison & Company, Inc.   75,102    (6.37)%    (41,803)
Mid-America Apartment Communities, Inc.   15,434    (6.85)%    (297,208)
Total Financial             4,277,583 
Exchange-Traded Funds               
Vanguard Real Estate ETF   39,056    (9.04)%    787,952 
Total GS Equity Short Custom Basket            $5,065,535 

 

   

 

 

Risk Managed Real Estate Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

  

MS EQUITY LONG CUSTOM BASKET    
   Shares   Percentage Notional Amount   Value and Unrealized
Appreciation (Depreciation)
 
Financial            
Prologis, Inc.   5,553    8.75%  $108,252 
Public Storage   1,080    4.54%   90,068 
Extra Space Storage, Inc.   972    2.22%   52,268 
Duke Realty Corp.   3,602    2.66%   48,879 
Welltower, Inc.   2,856    3.16%   45,935 
VICI Properties, Inc.   7,606    3.04%   39,623 
American Campus Communities, Inc.   1,925    1.67%   36,239 
Invitation Homes, Inc.   6,646    3.18%   35,678 
Iron Mountain, Inc.   2,165    1.42%   34,117 
AvalonBay Communities, Inc.   1,577    4.11%   30,004 
Equity Residential   4,205    4.08%   24,679 
Rexford Industrial Realty, Inc.   2,665    2.06%   24,491 
Life Storage, Inc.   919    1.38%   23,186 
Mid-America Apartment Communities, Inc.   460    1.08%   19,296 
Realty Income Corp.   2,015    1.85%   16,556 
Regency Centers Corp.   1,286    1.02%   15,956 
UDR, Inc.   1,860    1.15%   15,524 
WP Carey, Inc.   1,484    1.65%   14,897 
National Storage Affiliates Trust   2,222    1.49%   13,483 
Equity LifeStyle Properties, Inc.   1,316    1.25%   12,266 
Gaming and Leisure Properties, Inc.   3,200    1.97%   11,515 
Sun Communities, Inc.   937    2.01%   11,038 
Camden Property Trust   321    0.58%   9,985 
Agree Realty Corp.   1,465    1.42%   8,853 
American Homes 4 Rent — Class A   2,108    1.00%   8,728 
Kimco Realty Corp.   4,557    1.21%   7,851 
Essex Property Trust, Inc.   390    1.37%   6,242 
Sabra Health Care REIT, Inc.   3,402    0.64%   4,832 
National Retail Properties, Inc.   1,018    0.59%   3,762 
Brixmor Property Group, Inc.   3,009    0.82%   979 
American Tower Corp. — Class A   182    0.62%   524 
EPR Properties   525    0.33%   (479)
Ventas, Inc.   4,161    2.87%   (916)
Ryman Hospitality Properties, Inc.   907    0.93%   (950)
Orion Office REIT, Inc.   172    0.03%   (1,924)
Pebblebrook Hotel Trust   967    0.22%   (2,321)
CareTrust REIT, Inc.   2,785    0.69%   (2,466)
Four Corners Property Trust, Inc.   2,869    1.02%   (3,201)
Crown Castle International Corp.   259    0.59%   (3,957)
Empire State Realty Trust, Inc. — Class A   1,077    0.10%   (4,016)
Americold Realty Trust, Inc.   1,949    0.79%   (4,101)
SBA Communications Corp.   134    0.58%   (4,444)
Highwoods Properties, Inc.   1,054    0.48%   (5,286)
SITE Centers Corp.   2,452    0.44%  (5,792)
Healthcare Trust of America, Inc. — Class A   1,704    0.64%   (6,607)
Federal Realty OP, LP   225    0.29%   (6,702)
Digital Realty Trust, Inc.   1,782    3.11%   (6,957)
Equinix, Inc.   684    6.04%   (6,994)
Terreno Realty Corp.   1,003    0.75%   (7,209)
DiamondRock Hospitality Co.   6,139    0.68%   (7,904)
NETSTREIT Corp.   2,377    0.60%   (8,457)
Kilroy Realty Corp.   896    0.63%   (8,810)
First Industrial Realty Trust, Inc.   946    0.60%   (9,987)
Hudson Pacific Properties, Inc.   1,139    0.23%   (10,211)
Xenia Hotels & Resorts, Inc.   3,553    0.69%   (12,246)
Boston Properties, Inc.   1,421    1.70%   (13,091)
Healthpeak Properties, Inc.   4,357    1.52%   (14,068)
Acadia Realty Trust   2,844    0.60%   (14,469)
Cousins Properties, Inc.   2,244    0.88%   (16,040)
Kite Realty Group Trust   4,584    1.06%   (16,307)
Medical Properties Trust, Inc.   4,439    0.91%   (19,278)
Simon Property Group, Inc.   2,498    3.18%   (20,032)
Alexandria Real Estate Equities, Inc.   1,453    2.83%   (23,112)
Total Financial             507,372 
Total MS Equity Long Custom Basket            $507,372 

   

 

 

Risk Managed Real Estate Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

MS EQUITY LONG CUSTOM BASKET    
   Shares   Percentage Notional Amount   Value and Unrealized
Appreciation (Depreciation)
 
Financial            
VICI Properties, Inc.   97,453    7.51%  $398,548 
Gaming and Leisure Properties, Inc.   36,950    4.38%   248,793 
Ventas, Inc.   24,002    3.19%   170,532 
AvalonBay Communities, Inc.   9,862    4.96%   159,471 
Equity Residential   27,375    5.11%   138,025 
Agree Realty Corp.   14,847    2.77%   99,386 
Sun Communities, Inc.   16,160    6.66%   59,228 
American Campus Communities, Inc.   2,759    0.46%   53,168 
Duke Realty Corp.   17,219    2.45%   49,774 
CareTrust REIT, Inc.   56,728    2.71%   41,653 
American Tower Corp. — Class A   2,233    1.48%   2,116 
SBA Communications Corp.   1,768    1.46%   (7,721)
Brixmor Property Group, Inc.   36,741    1.92%   (10,518)
Crown Castle International Corp.   3,363    1.46%   (15,527)
Piedmont Office Realty Trust, Inc. — Class A   11,336    0.38%   (17,982)
Ryman Hospitality Properties, Inc.   17,568    3.46%   (20,034)
DiamondRock Hospitality Co.   121,349    2.58%   (49,573)
Invitation Homes, Inc.   47,665    4.39%   (68,532)
Rexford Industrial Realty, Inc.   23,863    3.56%   (85,483)
American Assets Trust, Inc.   45,938    3.53%   (109,425)
Acadia Realty Trust   23,601    0.95%   (119,256)
Four Corners Property Trust, Inc.   80,766    5.56%   (128,275)
Kite Realty Group Trust   43,210    1.93%   (154,750)
SITE Centers Corp.   119,564    4.17%   (159,986)
NETSTREIT Corp.   71,748    3.50%   (162,224)
National Storage Affiliates Trust   50,330    6.52%   (225,427)
Empire State Realty Trust, Inc. — Class A   87,957    1.60%   (249,628)
Alexandria Real Estate Equities, Inc.   11,005    4.13%   (317,977)
Xenia Hotels & Resorts, Inc.   95,890    3.60%   (332,752)
Cousins Properties, Inc.   47,846    3.62%   (378,132)
Total Financial             (1,192,508)
Total MS Equity Long Custom Basket            $(1,192,508)

 

MS EQUITY SHORT CUSTOM BASKET

   Shares   Percentage Notional Amount   Value and Unrealized
Appreciation (Depreciation)
 
Financial            
Douglas Emmett, Inc.   65,818    (3.74)%   $696,313 
Broadstone Net Lease, Inc.   104,263    (5.43)%    590,980 
Office Properties Income Trust   72,420    (3.67)%    529,498 
Omega Healthcare Investors, Inc.   60,144    (4.31)%   465,037 
STORE Capital Corp.   53,199    (3.52)%    454,668 
Host Hotels & Resorts, Inc.   121,503    (4.84)%    287,229 
STAG Industrial, Inc.   40,831    (3.20)%    271,589 
Necessity Retail REIT, Inc.   148,446    (2.75)%    231,082 
Apartment Income REIT Corp.   23,023    (2.43)%    208,518 
Apple Hospitality REIT, Inc.   112,043    (4.18)%    182,274 
Camden Property Trust   10,407    (3.56)%    124,633 
RLJ Lodging Trust   22,692    (0.64)%    117,248 
Essex Property Trust, Inc.   6,385    (4.24)%    111,886 
Washington Real Estate Investment Trust   82,117    (4.45)%    108,181 
LTC Properties, Inc.   32,772    (3.20)%    97,123 
Realty Income Corp.   56,245    (9.75)%    84,001 
Public Storage   3,865    (3.07)%    46,480 
Corporate Office Properties Trust   26,074    (1.73)%    46,308 
Extra Space Storage, Inc.   7,237    (3.13)%    15,419 
Equity Commonwealth   58,949    (4.12)%    2,668 
Americold Realty Trust, Inc.   23,314    (1.78)%    (3,552)
Phillips Edison & Company, Inc.   75,102    (6.37)%    (27,878)
Mid-America Apartment Communities, Inc.   15,434    (6.85)%    (298,442)
Total Financial             4,341,263 
Exchange-Traded Funds               
Vanguard Real Estate ETF   39,056    (9.04)%    784,854 
Total MS Equity Short Custom Basket            $5,126,117 

 

* Non-income producing security.
Value determined based on Level 1 inputs — See Note 3.
†† Value determined based on Level 2 inputs — See Note 3.
1 All or a portion of this security is pledged as equity custom basket swap collateral at June 30, 2022.
2 Rate indicated is the 7-day yield as of June 30, 2022.

 

GS — Goldman Sachs International
MS — Morgan Stanley Capital Services LLC
REIT — Real Estate Investment Trust

 

See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Common Stocks  $426,058,698   $   $   $426,058,698 
Money Market Fund   37,255,008            37,255,008 
Equity Custom Basket Swap Agreements**       11,203,838        11,203,838 
Total Assets  $463,313,706   $11,203,838   $   $474,517,544 
                     
Investments in Securities (Liabilities)   Level 1 Quoted Prices     Level 2
Significant
Observable
Inputs
    Level 3
Significant
Unobservable
Inputs
    Total  
Common Stocks Sold Short  $36,311,479   $   $   $36,311,479 
Exchange-Traded Funds Sold Short   3,520,491            3,520,491 
Equity Custom Basket Swap Agreements**       2,368,167        2,368,167 
Total Liabilities  $39,831,970   $2,368,167   $   $42,200,137 

 

**This derivative is reported as unrealized appreciation/depreciation at period end.

 

 

 

Small Cap Value Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

 

   Shares   Value 
COMMON STOCKS - 92.2%
Financial - 28.6%
Prosperity Bancshares, Inc.   1,945   $132,785 
Unum Group   3,204    109,000 
Physicians Realty Trust REIT   6,064    105,817 
BOK Financial Corp.   1,281    96,818 
Cathay General Bancorp   2,456    96,152 
Hanmi Financial Corp.   4,023    90,276 
LXP Industrial Trust REIT   7,952    85,404 
Hancock Whitney Corp.   1,912    84,759 
Axis Capital Holdings Ltd.   1,307    74,616 
CNO Financial Group, Inc.   3,966    71,745 
Banc of California, Inc.   3,996    70,410 
First Merchants Corp.   1,818    64,757 
Zions Bancorp North America   1,250    63,625 
Stifel Financial Corp.   1,057    59,213 
MGIC Investment Corp.   4,422    55,717 
STAG Industrial, Inc. REIT   1,776    54,843 
Independent Bank Group, Inc.   792    53,785 
Citizens Financial Group, Inc.   1,492    53,249 
Simmons First National Corp. — Class A   2,450    52,087 
Flagstar Bancorp, Inc.   1,377    48,815 
Apple Hospitality REIT, Inc.   2,954    43,335 
Old Republic International Corp.   1,688    37,744 
Old National Bancorp   2,434    35,999 
Kennedy-Wilson Holdings, Inc.   1,884    35,683 
Sunstone Hotel Investors, Inc. REIT*   3,446    34,184 
Trustmark Corp.   1,088    31,759 
Heartland Financial USA, Inc.   764    31,737 
Virtu Financial, Inc. — Class A   1,322    30,948 
Piedmont Office Realty Trust, Inc. — Class A REIT   2,297    30,137 
First Hawaiian, Inc.   1,283    29,137 
Park Hotels & Resorts, Inc. REIT   1,923    26,095 
RMR Group, Inc. — Class A   797    22,595 
Wintrust Financial Corp.   201    16,110 
Heritage Insurance Holdings, Inc.   2,992    7,899 
Total Financial        1,937,235 
Industrial - 22.9%          
MDU Resources Group, Inc.   3,765    101,617 
Littelfuse, Inc.   384    97,551 
Curtiss-Wright Corp.   670    88,480 
Kirby Corp.*   1,448    88,097 
Graphic Packaging Holding Co.   4,240    86,920 
GATX Corp.   917    86,345 
Sanmina Corp.*   1,906    77,632 
Knight-Swift Transportation Holdings, Inc.   1,594    73,786 
Valmont Industries, Inc.   313    70,309 
Enovis Corp.*   1,151    63,305 
Arcosa, Inc.   1,160    53,859 
Terex Corp.   1,912    52,331 
Moog, Inc. — Class A   659    52,318 
Altra Industrial Motion Corp.   1,286    45,331 
Energizer Holdings, Inc.   1,581    44,821 
PGT Innovations, Inc.*   2,617    43,547 
Zurn Water Solutions Corp.   1,594    43,421 
Daseke, Inc.*   5,826    37,228 
Stoneridge, Inc.*   2,059    35,312 
Sonoco Products Co.   615   35,080 
Summit Materials, Inc. — Class A*   1,369    31,884 
Esab Corp.   711    31,106 
Park Aerospace Corp.   2,395    30,560 
Belden, Inc.   570    30,364 
Owens Corning   400    29,724 
Plexus Corp.*   378    29,673 
Advanced Energy Industries, Inc.   384    28,024 
EnerSys   441    26,002 
Kennametal, Inc.   1,077    25,019 
Smith-Midland Corp.*   939    13,146 
Total Industrial        1,552,792 
Consumer, Cyclical - 11.7%          
H&E Equipment Services, Inc.   2,870    83,144 
Alaska Air Group, Inc.*   1,998    80,020 
Methode Electronics, Inc.   2,092    77,488 
MSC Industrial Direct Company, Inc. — Class A   986    74,058 
Avient Corp.   1,803    72,264 
Meritage Homes Corp.*   954    69,165 
Whirlpool Corp.   440    68,143 
Rush Enterprises, Inc. — Class A   1,158    55,816 
Hawaiian Holdings, Inc.*   3,183    45,549 
Lakeland Industries, Inc.*   2,166    33,270 
Leggett & Platt, Inc.   876    30,292 
Macy's, Inc.   1,539    28,194 
Newell Brands, Inc.   1,428    27,189 
Marriott Vacations Worldwide Corp.   219    25,448 
Dana, Inc.   1,551    21,822 
Total Consumer, Cyclical        791,862 
Energy - 6.7%          
Pioneer Natural Resources Co.   1,159    258,550 
CNX Resources Corp.*   5,066    83,386 
Chesapeake Energy Corp.   964    78,180 
Patterson-UTI Energy, Inc.   2,118    33,380 
Total Energy        453,496 
Consumer, Non-cyclical - 5.8%          
Encompass Health Corp.   1,717    96,238 
Ingredion, Inc.   966    85,163 
Central Garden & Pet Co. — Class A*   1,768    70,738 
US Foods Holding Corp.*   1,618    49,640 
Integer Holdings Corp.*   637    45,010 
Perdoceo Education Corp.*   2,215    26,093 
Ironwood Pharmaceuticals, Inc. — Class A*   1,840    21,215 
Total Consumer, Non-cyclical        394,097 
Utilities - 5.0%          
Black Hills Corp.   1,716    124,873 
OGE Energy Corp.   1,925    74,228 
Spire, Inc.   798    59,347 
ALLETE, Inc.   710    41,734 
Avista Corp.   931    40,508 
Total Utilities        340,690 
Technology - 4.9%          
DXC Technology Co.*   2,820    85,474 

   

 

Small Cap Value Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

   Shares   Value 
COMMON STOCKS - 92.2% (continued)
Technology - 4.9% (continued)
Science Applications International Corp.   908   $84,535 
Amkor Technology, Inc.   2,739    46,426 
Conduent, Inc.*   10,165    43,913 
Silicon Laboratories, Inc.*   253    35,476 
Power Integrations, Inc.   453    33,979 
Total Technology        329,803 
Basic Materials - 4.4%          
Huntsman Corp.   3,206    90,890 
Reliance Steel & Aluminum Co.   396    67,265 
Ashland Global Holdings, Inc.   645    66,467 
Element Solutions, Inc.   2,441    43,450 
Commercial Metals Co.   992    32,835 
Total Basic Materials        300,907 
Communications - 2.2%          
Ciena Corp.*   1,218    55,662 
Infinera Corp.*   8,638    46,300 
Gray Television, Inc.   2,657    44,877 
Total Communications        146,839 
Total Common Stocks          
(Cost $6,110,955)        6,247,721 

 

CONVERTIBLE PREFERRED STOCKS††† - 0.0%           
Thermoenergy Corp. *,1   6,250    
Total Convertible Preferred Stocks          
(Cost $5,968)         

 

RIGHTS - 0.2%          
Basic Materials - 0.2%          
Pan American Silver Corp. *   17,705    12,563 
Total Rights          
(Cost $–)        12,563 

 

EXCHANGE-TRADED FUNDS - 2.6%          
iShares Russell 2000 Value ETF   1,306    177,812 
Total Exchange-Traded Funds          
(Cost $214,893)        177,812 

 

MONEY MARKET FUND - 5.1%          
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.97%2   342,256    342,256 
Total Money Market Fund          
(Cost $342,256)        342,256 
Total Investments - 100.1%          
(Cost $6,674,072)       $6,780,352 
Other Assets & Liabilities, net - (0.1)%        (7,044)
Total Net Assets - 100.0%       $6,773,308 

  

 

* Non-income producing security.
Value determined based on Level 1 inputs — See Note 3.
††† Value determined based on Level 3 inputs — See Note 3.
1 PIPE (Private Investment in Public Equity) - Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
2 Rate indicated is the 7-day yield as of June 30, 2022.

  

 

REIT — Real Estate Investment Trust

 

See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Common Stocks  $6,247,721   $   $   $6,247,721 
Convertible Preferred Stocks           *    
Rights   12,563            12,563 
Exchange-Traded Funds   177,812            177,812 
Money Market Fund   342,256            342,256 
Total Assets  $6,780,352   $   $   $6,780,352 

 

*Security has a market value of $0.

 

 

SMid Cap Value Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

 

   Shares   Value 
COMMON STOCKS - 96.5%
Financial - 24.1%
Unum Group   228,069   $7,758,908 
Prosperity Bancshares, Inc.   108,788    7,426,957 
Physicians Realty Trust REIT   382,791    6,679,703 
VICI Properties, Inc. REIT   165,679    4,935,577 
BOK Financial Corp.   64,412    4,868,259 
Alexandria Real Estate Equities, Inc. REIT   33,157    4,808,760 
Alleghany Corp.*   4,862    4,050,532 
Axis Capital Holdings Ltd.   70,346    4,016,053 
Sun Communities, Inc. REIT   24,554    3,912,926 
First Merchants Corp.   107,334    3,823,237 
Stifel Financial Corp.   61,030    3,418,901 
Voya Financial, Inc.   50,320    2,995,550 
Virtu Financial, Inc. — Class A   125,694    2,942,496 
KeyCorp   168,845    2,909,199 
Apple Hospitality REIT, Inc   191,498    2,809,276 
Old Republic International Corp.   109,037    2,438,067 
Zions Bancorp North America   43,006    2,189,005 
Gaming and Leisure Properties, Inc. REIT   46,248    2,120,933 
Heartland Financial USA, Inc.   48,817    2,027,858 
Old National Bancorp   136,141    2,013,525 
STAG Industrial, Inc. REIT   62,191    1,920,458 
Medical Properties Trust, Inc. REIT   124,560    1,902,031 
Hancock Whitney Corp.   42,714    1,893,512 
Trustmark Corp.   64,832    1,892,446 
First Hawaiian, Inc.   76,443    1,736,021 
Park Hotels & Resorts, Inc. REIT   119,020    1,615,101 
Wintrust Financial Corp.   11,803    946,011 
Heritage Insurance Holdings, Inc.   174,400    460,416 
Total Financial        90,511,718 
Industrial - 20.2%          
Littelfuse, Inc.   23,620    6,000,425 
Graphic Packaging Holding Co.   279,720    5,734,260 
Kirby Corp.*   90,242    5,490,323 
Curtiss-Wright Corp.   37,616    4,967,569 
Knight-Swift Transportation Holdings, Inc.   99,408    4,601,596 
Valmont Industries, Inc.   18,655    4,190,473 
Johnson Controls International plc   76,754    3,674,982 
Enovis Corp.*   63,654    3,500,970 
Arcosa, Inc.   67,761    3,146,143 
Terex Corp.   111,278    3,045,679 
Zurn Water Solutions Corp.   102,246    2,785,181 
Energizer Holdings, Inc.   94,764    2,686,559 
PGT Innovations, Inc.*   161,297    2,683,982 
Altra Industrial Motion Corp.   75,605    2,665,077 
GATX Corp.   27,068    2,548,723 
Daseke, Inc.*   346,897    2,216,672 
Stoneridge, Inc.*   119,484    2,049,151 
Sonoco Products Co.   34,129    1,946,718 
Esab Corp.   41,571    1,818,731 
Summit Materials, Inc. — Class A*   75,831    1,766,104 
Advanced Energy Industries, Inc.   24,186    1,765,094 
Plexus Corp.*   22,485    1,765,072 
Park Aerospace Corp.   126,141   1,609,559 
EnerSys   26,876    1,584,609 
Kennametal, Inc.   66,439    1,543,378 
Smith-Midland Corp.*   10,989    153,846 
Total Industrial        75,940,876 
Consumer, Non-cyclical - 12.5%          
Bunge Ltd.   95,532    8,663,797 
Ingredion, Inc.   60,823    5,362,156 
J M Smucker Co.   35,817    4,584,934 
Henry Schein, Inc.*   59,134    4,537,943 
Encompass Health Corp.   72,511    4,064,242 
Central Garden & Pet Co. — Class A*   100,456    4,019,244 
Tyson Foods, Inc. — Class A   44,697    3,846,624 
US Foods Holding Corp.*   104,944    3,219,682 
Integer Holdings Corp.*   40,418    2,855,936 
Quest Diagnostics, Inc.   15,093    2,007,067 
Prothena Corporation plc*   49,434    1,342,133 
Jazz Pharmaceuticals plc*   7,906    1,233,415 
Ironwood Pharmaceuticals, Inc. — Class A*   101,303    1,168,024 
Total Consumer, Non-cyclical        46,905,197 
Consumer, Cyclical - 11.9%          
LKQ Corp.   112,536    5,524,392 
Avient Corp.   109,330    4,381,946 
H&E Equipment Services, Inc.   143,776    4,165,191 
MSC Industrial Direct Company, Inc. — Class A   52,550    3,947,030 
DR Horton, Inc.   57,992    3,838,490 
Methode Electronics, Inc.   102,055    3,780,117 
Whirlpool Corp.   22,480    3,481,478 
Alaska Air Group, Inc.*   75,819    3,036,551 
Ralph Lauren Corp. — Class A   31,603    2,833,209 
Leggett & Platt, Inc.   52,314    1,809,018 
PVH Corp.   28,203    1,604,750 
Newell Brands, Inc.   82,513    1,571,048 
Marriott Vacations Worldwide Corp.   13,418    1,559,172 
Dana, Inc.   91,572    1,288,418 
Lakeland Industries, Inc.*   82,219    1,262,884 
Meritage Homes Corp.*   12,155    881,238 
Total Consumer, Cyclical        44,964,932 
Technology - 8.4%          
Evolent Health, Inc. — Class A*   244,973    7,523,121 
Teradyne, Inc.   59,776    5,352,941 
Science Applications International Corp.   54,403    5,064,919 
Leidos Holdings, Inc.   45,214    4,553,502 
DXC Technology Co.*   144,637    4,383,947 
Silicon Laboratories, Inc.*   20,880    2,927,794 
Power Integrations, Inc.   25,140    1,885,751 
Total Technology        31,691,975 
Energy - 6.5%          
Pioneer Natural Resources Co.   72,588    16,192,931 
Chesapeake Energy Corp.   55,633    4,511,836 
Kinder Morgan, Inc.   112,598    1,887,143 
Patterson-UTI Energy, Inc.   116,563    1,837,033 
HydroGen Corp.*,†††,1   1,265,700    1 
Total Energy        24,428,944 

   

 

SMid Cap Value Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

  

   Shares   Value 
COMMON STOCKS - 96.5% (continued)
Basic Materials - 6.4%
Huntsman Corp.   189,411   $5,369,802 
Westlake Corp.   54,340    5,326,407 
Ashland Global Holdings, Inc.   41,548    4,281,522 
Reliance Steel & Aluminum Co.   22,854    3,881,980 
Element Solutions, Inc.   156,948    2,793,674 
Nucor Corp.   22,336    2,332,102 
Total Basic Materials        23,985,487 
Utilities - 5.1%          
Black Hills Corp.   101,339    7,374,439 
Pinnacle West Capital Corp.   61,232    4,477,284 
OGE Energy Corp.   112,134    4,323,887 
Spire, Inc.   42,220    3,139,901 
Total Utilities        19,315,511 
Communications - 1.4%          
Ciena Corp.*   60,437    2,761,971 
Infinera Corp.*   483,496    2,591,538 
Total Communications        5,353,509 
Total Common Stocks          
(Cost $333,915,829)        363,098,149 
           
CONVERTIBLE PREFERRED STOCKS††† - 0.0%          
Industrial - 0.0%          
Thermoenergy Corp.*,2   1,652,084   5 
Total Convertible Preferred Stocks          
(Cost $1,577,635)        5 

 

RIGHTS - 0.1%          
Basic Materials - 0.1%          
Pan American Silver Corp.*   516,551    366,545 
Total Rights          
(Cost $–)        366,545 

 

MONEY MARKET FUND - 3.4%          
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.97%3   12,689,370    12,689,370 
Total Money Market Fund          
(Cost $12,689,370)        12,689,370 
Total Investments - 100.0%          
(Cost $348,182,834)       $376,154,069 
Other Assets & Liabilities, net - 0.0%        (71,341)
Total Net Assets - 100.0%       $376,082,728 

  

 

* Non-income producing security.
Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
††† Value determined based on Level 3 inputs — See Note 3.
1 Affiliated issuer.
2 PIPE (Private Investment in Public Equity) - Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
3 Rate indicated is the 7-day yield as of June 30, 2022.

  

 

plc — Public Limited Company
REIT — Real Estate Investment Trust

 

See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

  

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Common Stocks  $363,098,148   $   $1   $363,098,149 
Convertible Preferred Stocks           5    5 
Rights   366,545            366,545 
Money Market Fund   12,689,370            12,689,370 
Total Assets  $376,154,063   $   $6   $376,154,069 

   

 

SMid Cap Value Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

Affiliated Transactions

 

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.

 

Transactions during the period ended June 30, 2022, in which the company is an affiliated issuer, were as follows:
Security Name  Value 09/30/21   Additions   Reductions   Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value 06/30/22   Shares 06/30/22 
Common Stock                                   
  HydroGen Corp.*  $2   $   $   $   $(1)  $1    1,265,700 

  

* Non-income producing security.

 

 

StylePlus—Large Core Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

 

   Shares   Value 
COMMON STOCKS - 18.0%
Technology - 5.1%
Apple, Inc.   19,230   $2,629,125 
Microsoft Corp.   9,521    2,445,278 
International Business Machines Corp.   3,446    486,541 
Oracle Corp.   5,901    412,303 
QUALCOMM, Inc.   3,196    408,257 
NetApp, Inc.   6,071    396,072 
Intel Corp.   10,236    382,929 
Micron Technology, Inc.   5,427    300,005 
Qorvo, Inc.*   3,054    288,053 
HP, Inc.   8,456    277,188 
NXP Semiconductor N.V.   1,850    273,856 
Skyworks Solutions, Inc.   2,899    268,563 
Broadcom, Inc.   484    235,132 
Hewlett Packard Enterprise Co.   17,189    227,926 
Seagate Technology Holdings plc   3,018    215,606 
Cognizant Technology Solutions Corp. — Class A   3,135    211,581 
Akamai Technologies, Inc.*   2,185    199,556 
NVIDIA Corp.   1,219    184,788 
KLA Corp.   476    151,882 
Applied Materials, Inc.   1,494    135,924 
Lam Research Corp.   314    133,811 
Advanced Micro Devices, Inc.*   1,577    120,593 
Texas Instruments, Inc.   733    112,626 
Salesforce, Inc.*   665    109,752 
Total Technology        10,607,347 
Consumer, Non-cyclical - 4.9%          
Procter & Gamble Co.   5,667    814,858 
AbbVie, Inc.   4,309    659,966 
Bristol-Myers Squibb Co.   7,973    613,921 
Merck & Company, Inc.   6,174    562,884 
Gilead Sciences, Inc.   8,038    496,829 
Pfizer, Inc.   9,078    475,960 
Kimberly-Clark Corp.   3,227    436,129 
Vertex Pharmaceuticals, Inc.*   1,500    422,685 
Quest Diagnostics, Inc.   3,152    419,153 
CVS Health Corp.   4,515    418,360 
Tyson Foods, Inc. — Class A   4,836    416,186 
Kellogg Co.   5,711    407,423 
Amgen, Inc.   1,653    402,175 
Philip Morris International, Inc.   4,057    400,588 
Hologic, Inc.*   5,709    395,634 
Avery Dennison Corp.   2,381    385,413 
Regeneron Pharmaceuticals, Inc.*   635    375,367 
Church & Dwight Company, Inc.   3,179    294,566 
FleetCor Technologies, Inc.*   1,393    292,684 
UnitedHealth Group, Inc.   431    221,375 
Altria Group, Inc.   5,013    209,393 
DaVita, Inc.*   2,243    179,350 
Johnson & Johnson   783    138,990 
Conagra Brands, Inc.   3,819    130,762 
PepsiCo, Inc.   747    124,495 
Molson Coors Beverage Co. — Class B   2,278    124,174 
Laboratory Corporation of America Holdings   507    118,820 
S&P Global, Inc.   352    118,645 
PayPal Holdings, Inc.*   1,405   98,125 
Total Consumer, Non-cyclical        10,154,910 
Communications - 2.1%          
Alphabet, Inc. — Class C*   630    1,378,093 
Amazon.com, Inc.*   7,621    809,426 
Motorola Solutions, Inc.   2,074    434,710 
Meta Platforms, Inc. — Class A*   2,563    413,284 
Juniper Networks, Inc.   13,821    393,899 
Cisco Systems, Inc.   7,426    316,645 
Corning, Inc.   8,939    281,668 
AT&T, Inc.   8,093    169,629 
Netflix, Inc.*   626    109,469 
Verizon Communications, Inc.   1,607    81,555 
Total Communications        4,388,378 
Industrial - 1.7%          
3M Co.   3,503    453,323 
Keysight Technologies, Inc.*   3,011    415,066 
Sealed Air Corp.   6,663    384,588 
Snap-on, Inc.   1,909    376,130 
Packaging Corporation of America   2,668    366,850 
Amcor plc   26,884    334,168 
Nordson Corp.   1,561    316,009 
General Dynamics Corp.   1,366    302,228 
Garmin Ltd.   2,252    221,259 
Amphenol Corp. — Class A   2,817    181,359 
CSX Corp.   4,429    128,707 
Total Industrial        3,479,687 
Financial - 1.6%          
U.S. Bancorp   9,489    436,684 
MetLife, Inc.   6,950    436,391 
Everest Re Group Ltd.   1,485    416,216 
Prudential Financial, Inc.   4,349    416,112 
Visa, Inc. — Class A   1,876    369,366 
Citigroup, Inc.   7,623    350,581 
Charles Schwab Corp.   5,489    346,795 
Berkshire Hathaway, Inc. — Class B*   1,110    303,052 
Mastercard, Inc. — Class A   500    157,740 
Travelers Companies, Inc.   696    117,714 
JPMorgan Chase & Co.   957    107,768 
Raymond James Financial, Inc.   1    45 
Total Financial        3,458,464 
Energy - 1.3%          
Exxon Mobil Corp.   8,862    758,942 
Chevron Corp.   4,572    661,934 
Williams Companies, Inc.   12,412    387,378 
Kinder Morgan, Inc.   22,910    383,972 
ONEOK, Inc.   6,520    361,860 
Occidental Petroleum Corp.   3,832    225,628 
Total Energy        2,779,714 
Consumer, Cyclical - 0.7%          
Lowe's Companies, Inc.   2,500    436,675 
Home Depot, Inc.   1,139    312,394 
Tesla, Inc.*   442    297,652 
Whirlpool Corp.   1,749    270,867 
Bath & Body Works, Inc.   4,636    124,801 
Total Consumer, Cyclical        1,442,389 
Basic Materials - 0.6%          
International Paper Co.   9,112    381,155 

   

 

StylePlus—Large Core Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

   Shares   Value 
COMMON STOCKS - 18.0% (continued)
Basic Materials - 0.6% (continued)
Dow, Inc.   7,034   $363,025 
LyondellBasell Industries N.V. — Class A   3,995    349,402 
Nucor Corp.   1,916    200,050 
Total Basic Materials        1,293,632 
Total Common Stocks          
(Cost $39,283,035)        37,604,521 
           
MUTUAL FUNDS - 78.3%          
Guggenheim Strategy Fund III1   2,922,085    70,743,675 
Guggenheim Strategy Fund II1   2,222,242    53,644,927 
Guggenheim Ultra Short Duration Fund — Institutional Class1   4,066,537    39,242,077 
Total Mutual Funds          
(Cost $168,716,040)        163,630,679 
MONEY MARKET FUND - 4.4%          
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.97%2   9,288,876   9,288,876 
Total Money Market Fund          
(Cost $9,288,876)        9,288,876 
Total Investments - 100.7%          
(Cost $217,287,951)       $210,524,076 
Other Assets & Liabilities, net - (0.7)%        (1,418,797)
Total Net Assets - 100.0%       $209,105,279 

 

Futures Contracts

  

 

Description  Number of Contracts   Expiration Date  Notional Amount   Value and Unrealized
Appreciation**
 
Equity Futures Contracts Purchased    
S&P 500 Index Mini Futures Contracts   35   Sep 2022  $6,631,625   $7,744 

 

Total Return Swap Agreements

 

 

Counterparty  Index  Type   Financing Rate  Payment Frequency  Maturity Date  Units   Notional Amount   Value and Unrealized Depreciation 
OTC Equity Index Swap Agreements††                  
Wells Fargo Bank, N.A.  S&P 500 Total Return Index  Pay   2.06% (Federal Funds Rate + 0.48%)  At Maturity  12/28/22   20,856   $166,676,147   $(32,672,405)

  

 

* Non-income producing security.
** Includes cumulative appreciation (depreciation).
Value determined based on Level 1 inputs — See Note 3.
†† Value determined based on Level 2 inputs — See Note 3.
1 Affiliated issuer.
2 Rate indicated is the 7-day yield as of June 30, 2022.

  

 

plc — Public Limited Company

 

See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

  

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Common Stocks  $37,604,521   $   $   $37,604,521 
Mutual Funds   163,630,679            163,630,679 
Money Market Fund   9,288,876            9,288,876 
Equity Futures Contracts**   7,744            7,744 
Total Assets  $210,531,820   $   $   $210,531,820 

 

   

 

 

StylePlus—Large Core Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

Investments in Securities (Liabilities)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Equity Index Swap Agreements**  $   $32,672,405   $   $32,672,405 

 

** This derivative is reported as unrealized appreciation/depreciation at period end.

 

Affiliated Transactions

 

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

 

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles' annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

 

Transactions during the period ended June 30, 2022, in which the company is an affiliated issuer, were as follows:

 

 

Security Name  Value 09/30/21   Additions   Reductions   Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value 06/30/22   Shares 06/30/22   Investment Income 
Mutual Funds                                        
  Guggenheim Strategy Fund II  $71,198,274   $7,320,782   $(22,682,968)  $(297,004)  $(1,894,157)  $53,644,927    2,222,242   $820,782 
  Guggenheim Strategy Fund III   69,179,563    18,036,313    (13,405,972)   (404,060)   (2,662,169)   70,743,675    2,922,085    1,036,313 
  Guggenheim Ultra Short Duration Fund — Institutional Class   75,115,499    440,425    (34,681,983)   173,486    (1,805,350)   39,242,077    4,066,537    440,425 
   $215,493,336   $25,797,520   $(70,770,923)  $(527,578)  $(6,361,676)  $163,630,679        $2,297,520 

 

 

StylePlus—Mid Growth Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

 

   Shares   Value 
COMMON STOCKS - 26.2%        
Industrial - 5.6%        
Builders FirstSource, Inc.*   5,611   $301,311 
Lincoln Electric Holdings, Inc.   2,264    279,287 
Jabil, Inc.   4,861    248,932 
Eagle Materials, Inc.   2,044    224,717 
Keysight Technologies, Inc.*   1,476    203,467 
Landstar System, Inc.   1,394    202,715 
Simpson Manufacturing Company, Inc.   2,010    202,226 
Sealed Air Corp.   3,463    199,884 
nVent Electric plc   6,246    195,687 
Louisiana-Pacific Corp.   3,717    194,808 
Nordson Corp.   903    182,803 
UFP Industries, Inc.   2,514    171,304 
Littelfuse, Inc.   659    167,412 
Acuity Brands, Inc.   1,062    163,591 
Watts Water Technologies, Inc. — Class A   1,287    158,095 
TopBuild Corp.*   797    133,227 
Carlisle Companies, Inc.   527    125,747 
National Instruments Corp.   4,001    124,951 
Trinity Industries, Inc.   5,100    123,522 
Universal Display Corp.   1,099    111,153 
Fortune Brands Home & Security, Inc.   1,849    110,718 
Applied Industrial Technologies, Inc.   1,010    97,132 
Lennox International, Inc.   398    82,223 
Matson, Inc.   762    55,535 
II-VI, Inc.*   1,063    54,160 
Total Industrial        4,114,607 
Technology - 5.4%          
Genpact Ltd.   7,265    307,745 
Maximus, Inc.   4,830    301,923 
Semtech Corp.*   4,096    225,157 
Concentrix Corp.   1,605    217,702 
Cirrus Logic, Inc.*   2,997    217,402 
Lumentum Holdings, Inc.*   2,545    202,124 
ACI Worldwide, Inc.*   7,720    199,871 
NetApp, Inc.   2,789    181,954 
Manhattan Associates, Inc.*   1,522    174,421 
Synaptics, Inc.*   1,370    161,729 
Lattice Semiconductor Corp.*   3,153    152,921 
CommVault Systems, Inc.*   2,394    150,583 
Qualys, Inc.*   1,176    148,341 
Teradata Corp.*   3,793    140,379 
Power Integrations, Inc.   1,835    137,643 
Qorvo, Inc.*   1,264    119,221 
Amkor Technology, Inc.   6,940    117,633 
Fair Isaac Corp.*   287    115,058 
Azenta, Inc.   1,592    114,783 
Blackbaud, Inc.*   1,820    105,687 
Skyworks Solutions, Inc.   913    84,580 
HP, Inc.   2,578    84,507 
NXP Semiconductor N.V.   516    76,383 
Seagate Technology Holdings plc   971    69,368 
MKS Instruments, Inc.   650    66,710 
Akamai Technologies, Inc.*   653    59,639 
Total Technology        3,933,464 
Consumer, Non-cyclical - 4.5%          
Halozyme Therapeutics, Inc.*   5,583   245,652 
Neurocrine Biosciences, Inc.*   2,257    220,012 
Service Corporation International   2,941    203,282 
Quest Diagnostics, Inc.   1,525    202,795 
Syneos Health, Inc.*   2,822    202,281 
Hologic, Inc.*   2,834    196,396 
Darling Ingredients, Inc.*   2,904    173,659 
United Therapeutics Corp.*   698    164,477 
Bruker Corp.   2,429    152,444 
Exelixis, Inc.*   7,030    146,364 
Tenet Healthcare Corp.*   2,508    131,821 
Masimo Corp.*   983    128,449 
Globus Medical, Inc. — Class A*   2,259    126,820 
Integra LifeSciences Holdings Corp.*   2,044    110,438 
Paylocity Holding Corp.*   614    107,094 
Avery Dennison Corp.   646    104,568 
H&R Block, Inc.   2,793    98,649 
PerkinElmer, Inc.   687    97,705 
QuidelOrtho Corp.*   973    94,556 
Waters Corp.*   257    85,062 
United Rentals, Inc.*   294    71,415 
AMN Healthcare Services, Inc.*   649    71,202 
Molina Healthcare, Inc.*   230    64,310 
Laboratory Corporation of America Holdings   270    63,277 
Total Consumer, Non-cyclical        3,262,728 
Financial - 3.4%          
East West Bancorp, Inc.   4,641    300,737 
Wintrust Financial Corp.   3,061    245,339 
Hancock Whitney Corp.   5,257    233,043 
Cathay General Bancorp   5,813    227,579 
Interactive Brokers Group, Inc. — Class A   3,863    212,503 
Home BancShares, Inc.   9,284    192,829 
PacWest Bancorp   6,325    168,624 
Evercore, Inc. — Class A   1,721    161,103 
Affiliated Managers Group, Inc.   1,200    139,920 
Bank of Hawaii Corp.   1,720    127,968 
Primerica, Inc.   876    104,848 
Independence Realty Trust, Inc. REIT   4,792    99,338 
First American Financial Corp.   1,650    87,318 
Rexford Industrial Realty, Inc. REIT   1,340    77,171 
Webster Financial Corp.   1,571    66,218 
Apartment Income REIT Corp.   1,014    42,182 
Life Storage, Inc. REIT   377    42,096 
Total Financial        2,528,816 
Consumer, Cyclical - 3.1%          
Gentex Corp.   8,144    227,788 
Williams-Sonoma, Inc.   1,983    220,014 
Choice Hotels International, Inc.   1,818    202,943 
Mattel, Inc.*   8,204    183,195 
Dick's Sporting Goods, Inc.   2,371    178,702 
Brunswick Corp.   2,664    174,172 
Boyd Gaming Corp.   3,225    160,444 
Deckers Outdoor Corp.*   615    157,041 
Tempur Sealy International, Inc.   6,476    138,392 

   

 

StylePlus—Mid Growth Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

   Shares   Value 
COMMON STOCKS - 26.2% (continued)        
Consumer, Cyclical - 3.1% (continued)        
AutoNation, Inc.*   1,032   $115,337 
Light & Wonder, Inc. — Class A*   2,029    95,343 
Wingstop, Inc.   1,175    87,855 
RH*   393    83,418 
Avient Corp.   1,917    76,833 
Crocs, Inc.*   1,272    61,908 
Bath & Body Works, Inc.   1,923    51,767 
Victoria's Secret & Co.*   1,698    47,493 
Total Consumer, Cyclical        2,262,645 
Basic Materials - 1.7%          
Steel Dynamics, Inc.   5,236    346,361 
Olin Corp.   4,987    230,798 
Ingevity Corp.*   3,333    210,446 
Cleveland-Cliffs, Inc.*   11,911    183,072 
HB Fuller Co.   3,012    181,353 
Nucor Corp.   743    77,577 
Total Basic Materials        1,229,607 
Energy - 1.7%          
Targa Resources Corp.   7,117    424,671 
Antero Midstream Corp.   22,955    207,763 
DT Midstream, Inc.   3,830    187,747 
PDC Energy, Inc.   1,947    119,955 
Matador Resources Co.   2,159    100,588 
ONEOK, Inc.   1,686    93,573 
Murphy Oil Corp.   3,019    91,143 
Total Energy        1,225,440 
Communications - 0.5%          
Ciena Corp.*   4,299    196,464 
Motorola Solutions, Inc.   741   155,314 
Total Communications        351,778 
Utilities - 0.3%          
National Fuel Gas Co.   1,817    120,013 
OGE Energy Corp.   2,456    94,703 
Total Utilities        214,716 
Total Common Stocks          
(Cost $22,437,450)        19,123,801 
           
MUTUAL FUNDS - 70.1%          
Guggenheim Strategy Fund II1   1,029,551    24,853,371 
Guggenheim Strategy Fund III1   999,652    24,201,576 
Guggenheim Ultra Short Duration Fund — Institutional Class1   206,364    1,991,409 
Total Mutual Funds          
(Cost $52,575,348)        51,046,356 
           
MONEY MARKET FUND - 4.5%          
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.97%2   3,247,682    3,247,682 
Total Money Market Fund          
(Cost $3,247,682)        3,247,682 
Total Investments - 100.8%          
(Cost $78,260,480)       $73,417,839 
Other Assets & Liabilities, net - (0.8)%        (581,016)
Total Net Assets - 100.0%       $72,836,823 

 

Total Return Swap Agreements

  

 

Counterparty  Index  Type   Financing Rate  Payment Frequency  Maturity Date  Units   Notional Amount   Value and Unrealized Depreciation 
OTC Equity Index Swap Agreements††                  
Citibank, N.A.  Russell MidCap Growth Index Total Return  Pay   1.88% (Federal Funds Rate + 0.30%)  At Maturity  12/28/22   14,151   $54,561,869   $(24,235,455)

  

 

* Non-income producing security.
Value determined based on Level 1 inputs — See Note 3.
†† Value determined based on Level 2 inputs — See Note 3.
1 Affiliated issuer.
2 Rate indicated is the 7-day yield as of June 30, 2022.

 

 

plc — Public Limited Company
REIT — Real Estate Investment Trust

 

 See Sector Classification in Other Information section. 

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Common Stocks  $19,123,801   $   $   $19,123,801 
Mutual Funds   51,046,356            51,046,356 
Money Market Fund   3,247,682            3,247,682 
Total Assets  $73,417,839   $   $   $73,417,839 

 

Investments in Securities (Liabilities)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Equity Index Swap Agreements**  $   $24,235,455   $   $24,235,455 

 

** This derivative is reported as unrealized appreciation/depreciation at period end.

  

Affiliated Transactions

 

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

 

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles' annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

 

Transactions during the period ended June 30, 2022, in which the company is an affiliated issuer, were as follows:

 

 

Security Name  Value 09/30/21   Additions   Reductions   Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value 06/30/22   Shares 06/30/22   Investment Income 
Mutual Funds                                
  Guggenheim Strategy Fund II  $35,771,287   $5,176,723   $(15,060,952)  $(225,876)  $(807,811)  $24,853,371    1,029,551   $392,741 
  Guggenheim Strategy Fund III   34,436,584    5,433,773    (14,442,927)   (230,098)   (995,756)   24,201,576    999,652    433,773 
  Guggenheim Ultra Short Duration Fund — Institutional Class   22,848,856    58,736    (20,747,986)   (75,161)   (93,036)   1,991,409    206,364    58,736 
   $93,056,727   $10,669,232   $(50,251,865)  $(531,135)  $(1,896,603)  $51,046,356        $885,250 

 

 

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

 

   Shares   Value 
COMMON STOCKS - 1.4%
Financial - 1.4%
Pershing Square Tontine Holdings Ltd. — Class A*,1   9,249,470   $184,711,916 
KKR Acquisition Holdings I Corp. — Class A*,1   3,797,870    37,181,147 
RXR Acquisition Corp. — Class A*,1   843,792    8,260,724 
MSD Acquisition Corp. — Class A*,1   626,308    6,137,818 
AfterNext HealthTech Acquisition Corp. — Class A*,1   611,700    5,939,607 
TPG Pace Beneficial II Corp.*,1   604,770    5,884,412 
Conyers Park III Acquisition Corp. — Class A*,1   570,000    5,500,500 
Waverley Capital Acquisition Corp. 1 — Class A*,1   451,200    4,363,104 
Acropolis Infrastructure Acquisition Corp. — Class A*,1   397,100    3,839,957 
Blue Whale Acquisition Corp. I — Class A*,1   330,700    3,197,869 
Colicity, Inc. — Class A*,1   174,986    1,716,613 
Total Financial        266,733,667 
Communications - 0.0%          
Figs, Inc. — Class A*   198,762    1,810,722 
Vacasa, Inc. — Class A*   361,641    1,041,526 
Total Communications        2,852,248 
Industrial - 0.0%          
BP Holdco LLC*,†††,2   532    375 
Vector Phoenix Holdings, LP*,†††   532    147 
API Heat Transfer Parent LLC*,†††   73,183    7 
Total Industrial        529 
Total Common Stocks          
(Cost $268,968,144)        269,586,444 
           
PREFERRED STOCKS†† - 5.2%          
Financial - 5.2%          
Wells Fargo & Co.          
3.90%   49,600,000    42,718,000 
4.70%   2,184,000    42,216,720 
4.38%   1,774,000    31,949,740 
Equitable Holdings, Inc.          
4.95%   70,950,000    66,672,710 
4.30%   1,839,200    32,940,072 
Citigroup, Inc.          
3.88%   89,450,000    74,243,500 
4.00%   26,450,000    22,879,250 
Bank of America Corp.          
4.13%*   2,218,000    41,232,620 
4.38%*   1,552,000    29,627,680 
4.38%   27,700,000    22,984,629 
First Republic Bank          
4.25%   3,442,000    61,129,920 
4.50%   842,800    15,591,800 
4.13%   798,800    13,979,000 
Markel Corp.          
6.00%   82,610,000    81,474,112 
Bank of New York Mellon Corp.
3.75%   65,200,000   53,224,669 
4.70%   16,500,000    16,120,500 
Charles Schwab Corp.          
4.00%   73,350,000    56,461,163 
JPMorgan Chase & Co.          
3.65%*   37,250,000    30,507,750 
4.63%   1,180,000    23,434,800 
MetLife, Inc.          
3.85%   53,200,000    47,372,142 
Public Storage          
4.63%   1,630,763    35,860,478 
4.13%   309,501    6,022,890 
Arch Capital Group Ltd.          
4.55%   1,616,000    31,108,000 
W R Berkley Corp.          
4.13% due 03/30/61   1,448,221    24,894,919 
4.25% due 09/30/60   173,779    3,056,773 
RenaissanceRe Holdings Ltd.          
4.20%   1,304,000    23,211,200 
American Financial Group, Inc.          
4.50% due 09/15/60   1,161,045    22,431,389 
Goldman Sachs Group, Inc.          
3.80%3   25,830,000    20,146,920 
Kuvare US Holdings, Inc.          
7.00% due 02/17/51*,4   15,650,000    15,689,125 
CNO Financial Group, Inc.          
5.13% due 11/25/60   712,000    13,620,560 
Assurant, Inc.          
5.25% due 01/15/61   558,400    12,424,400 
Selective Insurance Group, Inc.          
4.60%   538,000    9,996,040 
Globe Life, Inc.          
4.25% due 06/15/61   338,000    6,469,320 
Depository Trust & Clearing Corp.          
3.38%*,4   4,750,000    3,745,224 
Total Financial        1,035,438,015 
Government - 0.0%          
CoBank ACB          
4.25%   3,300,000    2,814,084 
Industrial - 0.0%          
API Heat Transfer Intermediate*,†††   9     
Total Preferred Stocks          
(Cost $1,282,244,874)        1,038,252,099 

 

WARRANTS - 0.0%          
Pershing Square Tontine Holdings Ltd.          
Expiring 07/24/25*,1   1,027,719    442,022 
KKR Acquisition Holdings I Corp.          
Expiring 12/31/27*,1   949,467    341,808 
Ginkgo Bioworks Holdings, Inc.          
Expiring 08/01/26*   100,946    53,501 
Conyers Park III Acquisition Corp.          
Expiring 08/12/28*   190,000    45,600 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Shares   Value 
WARRANTS - 0.0% (continued)
AfterNext HealthTech Acquisition Corp.        
Expiring 07/09/23*,1   203,900   $38,741 
MSD Acquisition Corp.          
Expiring 05/13/23*,1   125,260    37,691 
Waverley Capital Acquisition Corp.          
Expiring 04/30/27*,1   150,400    31,765 
Acropolis Infrastructure Acquisition Corp.          
Expiring 03/31/26*,1   132,366    26,473 
RXR Acquisition Corp.          
Expiring 03/08/26*,1   168,756    19,069 
Blue Whale Acquisition Corp.          
Expiring 07/09/23*,1   82,674    17,362 
Colicity, Inc.          
Expiring 12/31/27*,1   34,995    7,594 
Total Warrants          
(Cost $8,332,121)        1,061,626 
           
EXCHANGE-TRADED FUNDS - 0.0%          
iShares iBoxx High Yield Corporate Bond ETF   109,131    8,033,133 
Total Exchange-Traded Funds          
(Cost $8,057,142)        8,033,133 
           
MUTUAL FUNDS - 0.3%          
Guggenheim Strategy Fund II2   1,102,688    26,618,895 
Guggenheim Ultra Short Duration Fund — Institutional Class2   2,708,562    26,137,624 
Guggenheim Strategy Fund III2   593,843    14,376,949 
Total Mutual Funds          
(Cost $69,286,856)        67,133,468 
           
CLOSED-END FUNDS - 0.1%          
BlackRock MuniHoldings California Quality Fund, Inc.   1,085,407    12,992,322 
Total Closed-End Funds          
(Cost $15,984,039)        12,992,322 
           
MONEY MARKET FUNDS - 0.4%          
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 1.32%5   64,868,867    64,868,867 
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.97%5   5,401,210    5,401,210 
Total Money Market Funds          
(Cost $70,270,077)        70,270,077 

 

   Face
Amount~
    
CORPORATE BONDS†† - 36.0%
Financial -  14.8%        
Pershing Square Holdings Ltd.        
3.25% due 10/01/31   104,800,000    82,662,048 
3.25% due 11/15/304   64,600,000    52,678,716 
Macquarie Bank Ltd.        
3.62% due 06/03/304   93,835,000   81,832,027 
3.05% due 03/03/363,4   16,600,000    13,163,402 
Nationwide Mutual Insurance Co.          
4.35% due 04/30/504   111,750,000    92,906,392 
Reliance Standard Life Global Funding II          
2.75% due 05/07/254   96,010,000    91,853,863 
Liberty Mutual Group, Inc.          
4.30% due 02/01/616   94,150,000    63,670,419 
3.95% due 05/15/604   33,870,000    24,344,511 
4.13% due 12/15/513,4   3,600,000    2,870,371 
Wilton RE Ltd.          
6.00% †††,3,4,7   93,150,000    80,258,972 
GLP Capital Limited Partnership / GLP Financing II, Inc.          
4.00% due 01/15/31   53,354,000    46,014,017 
5.30% due 01/15/29   28,165,000    26,900,699 
3.25% due 01/15/32   4,150,000    3,326,101 
4.00% due 01/15/30   475,000    415,982 
Bank of America Corp.          
2.59% due 04/29/313   56,740,000    48,123,637 
6.13% *,3,7   11,550,000    11,138,531 
1.43% (SOFR + 0.73%, Rate Floor: 0.00%) due 10/24/24   1,660,000    1,644,000 
1.73% due 07/22/273   1,650,000    1,466,678 
Reinsurance Group of America, Inc.          
3.15% due 06/15/30   69,919,000    61,767,728 
Maple Grove Funding Trust I          
4.16% due 08/15/514   77,700,000    60,448,254 
Fidelity National Financial, Inc.          
3.40% due 06/15/30   52,430,000    45,872,316 
2.45% due 03/15/31   17,490,000    13,919,386 
Safehold Operating Partnership, LP          
2.85% due 01/15/32   39,904,000    32,031,178 
2.80% due 06/15/31   30,138,000    24,510,958 
FS KKR Capital Corp.          
2.63% due 01/15/27   34,850,000    29,306,772 
3.25% due 07/15/27   30,100,000    25,612,431 
Host Hotels & Resorts, LP          
3.50% due 09/15/30   44,458,000    37,977,870 
2.90% due 12/15/31   20,200,000    16,038,126 
Global Atlantic Finance Co.          
4.70% due 10/15/513,4   38,300,000    30,739,439 
3.13% due 06/15/314   28,750,000    22,870,282 
Fairfax Financial Holdings Ltd.          
3.38% due 03/03/31   61,210,000    52,907,357 
JPMorgan Chase & Co.          
2.96% due 05/13/313   29,530,000    25,495,719 
2.52% due 04/22/313   19,520,000    16,625,546 
4.49% due 03/24/313   10,750,000    10,498,593 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 36.0% (continued)
Financial -  14.8% (continued)        
Massachusetts Mutual Life Insurance Co.        
3.38% due 04/15/504   37,950,000   $29,345,888 
3.20% due 12/01/614   30,450,000    20,812,986 
Ares Finance Company II LLC          
3.25% due 06/15/304   53,085,000    47,021,627 
Iron Mountain, Inc.          
5.25% due 07/15/304   20,998,000    18,255,556 
4.50% due 02/15/314   14,652,000    11,972,809 
5.63% due 07/15/324   13,350,000    11,288,441 
5.00% due 07/15/284   3,915,000    3,467,464 
4.88% due 09/15/274   1,938,000    1,751,080 
National Australia Bank Ltd.          
2.33% due 08/21/304   22,400,000    18,006,254 
2.99% due 05/21/314   19,350,000    16,169,261 
3.35% due 01/12/373,4   14,550,000    12,209,346 
First American Financial Corp.          
4.00% due 05/15/30   40,560,000    36,428,936 
2.40% due 08/15/31   11,875,000    9,156,159 
Deloitte LLP          
3.56% due 05/07/30†††   30,700,000    27,900,154 
3.76% due 05/07/35†††   10,200,000    8,976,842 
3.66% due 05/07/32†††   9,450,000    8,522,087 
7.33% due 11/20/26†††   4,800,000    5,192,545 
Nippon Life Insurance Co.          
2.75% due 01/21/513,4   45,350,000    36,676,812 
2.90% due 09/16/513,4   10,380,000    8,394,558 
OneAmerica Financial Partners, Inc.          
4.25% due 10/15/504   54,430,000    44,093,273 
United Wholesale Mortgage LLC          
5.50% due 04/15/294   32,550,000    24,921,908 
5.50% due 11/15/254   20,100,000    17,217,459 
Macquarie Group Ltd.          
2.69% due 06/23/323,4   31,550,000    25,379,251 
2.87% due 01/14/333,4   17,350,000    14,152,710 
5.03% due 01/15/303,4   800,000    797,838 
1.63% due 09/23/273,4   720,000    625,545 
1.34% due 01/12/273,4   570,000    500,968 
LPL Holdings, Inc.          
4.00% due 03/15/294   35,200,000    30,115,685 
4.38% due 05/15/314   9,350,000    7,988,500 
American International Group, Inc.          
4.38% due 06/30/50   42,005,000    37,247,666 
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.          
3.88% due 03/01/314   46,650,000    34,954,379 
CBS Studio Center          
3.78% (30 Day Average SOFR + 3.00%, Rate Floor: 3.00%) due 01/09/24◊,†††   34,100,000    34,441,000 
Sumitomo Life Insurance Co.          
3.38% due 04/15/813,4   39,700,000    34,014,839 
Jefferies Finance LLC / JFIN Company-Issuer Corp.        
5.00% due 08/15/284   39,450,000   32,447,625 
Stewart Information Services Corp.          
3.60% due 11/15/31   38,800,000    32,183,048 
Jefferies Group LLC          
2.75% due 10/15/32   40,440,000    30,705,405 
6.50% due 01/20/43   720,000    711,777 
Belrose Funding Trust          
2.33% due 08/15/304   38,150,000    30,575,541 
Assurant, Inc.          
2.65% due 01/15/32   36,760,000    28,733,154 
6.75% due 02/15/34   1,450,000    1,578,647 
Crown Castle International Corp.          
2.90% due 04/01/41   31,750,000    22,884,013 
3.30% due 07/01/30   7,657,000    6,752,829 
PricewaterhouseCoopers LLP          
3.43% due 09/13/30†††   31,500,000    28,482,519 
Bain Capital, LP          
3.41% due 04/15/41†††   36,000,000    28,010,408 
3.72% due 04/15/42†††   20,300,000    16,258,679 
Standard Chartered plc          
4.64% due 04/01/313,4   27,625,000    26,328,163 
1.32% due 10/14/233,4   1,080,000    1,072,194 
UBS Group AG          
2.10% due 02/11/323,4   33,400,000    26,518,973 
Americo Life, Inc.          
3.45% due 04/15/314   32,210,000    26,172,659 
Teachers Insurance & Annuity Association of America          
3.30% due 05/15/504   33,100,000    25,249,734 
Westpac Banking Corp.          
3.02% due 11/18/363   15,650,000    12,595,635 
2.96% due 11/16/40   16,600,000    12,009,560 
Trustage Financial Group, Inc.          
4.63% due 04/15/324   26,450,000    24,233,196 
Kennedy-Wilson, Inc.          
4.75% due 03/01/29   21,400,000    17,334,000 
4.75% due 02/01/30   8,600,000    6,729,500 
KKR Group Finance Company VIII LLC          
3.50% due 08/25/504   31,910,000    23,916,534 
Dyal Capital Partners III          
4.40% due 06/15/40†††   26,750,000    23,259,837 
Arch Capital Group Ltd.          
3.64% due 06/30/50   29,500,000    22,936,216 
Brookfield Finance, Inc.          
3.50% due 03/30/51   18,720,000    13,466,681 
4.70% due 09/20/47   9,750,000    8,540,374 
Hunt Companies, Inc.          
5.25% due 04/15/294   25,000,000    21,250,000 
Jefferies Group LLC / Jefferies Group Capital Finance, Inc.          
2.63% due 10/15/31   27,400,000    21,146,285 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 36.0% (continued)
Financial -  14.8% (continued)        
Everest Reinsurance Holdings, Inc.        
3.50% due 10/15/50   27,760,000   $21,051,716 
Manulife Financial Corp.          
2.48% due 05/19/27   17,800,000    16,246,688 
4.06% due 02/24/323   4,815,000    4,452,236 
Assured Guaranty US Holdings, Inc.          
3.60% due 09/15/51   13,780,000    10,350,801 
3.15% due 06/15/31   10,970,000    9,518,474 
Primerica, Inc.          
2.80% due 11/19/31   23,625,000    19,769,268 
Societe Generale S.A.          
2.89% due 06/09/323,4   21,150,000    16,888,417 
1.79% due 06/09/273,4   1,630,000    1,421,768 
Kemper Corp.          
2.40% due 09/30/30   22,380,000    18,100,263 
NFP Corp.          
6.88% due 08/15/284   20,775,000    17,140,206 
Central Storage Safety Project Trust          
4.82% due 02/01/386   18,991,200    17,032,524 
Intercontinental Exchange, Inc.          
3.00% due 06/15/50   22,190,000    16,204,114 
GA Global Funding Trust          
2.90% due 01/06/324   17,480,000    14,524,213 
1.25% due 12/08/234   1,650,000    1,583,657 
AmFam Holdings, Inc.          
2.81% due 03/11/314   19,050,000    16,025,610 
Lincoln National Corp.          
4.38% due 06/15/508   18,680,000    16,012,093 
Fifth Third Bancorp          
2.55% due 05/05/27   17,190,000    15,753,571 
ABN AMRO Bank N.V.          
2.47% due 12/13/293,4   18,000,000    15,341,687 
QBE Insurance Group Ltd.          
5.88% 3,4,7   15,700,000    15,268,250 
Prudential Financial, Inc.          
3.70% due 10/01/503   17,050,000    14,271,703 
Raymond James Financial, Inc.          
3.75% due 04/01/51   15,300,000    12,440,562 
PartnerRe Finance B LLC          
4.50% due 10/01/503   13,970,000    11,623,894 
CNO Financial Group, Inc.          
5.25% due 05/30/29   11,125,000    10,786,412 
Penn Mutual Life Insurance Co.          
3.80% due 04/29/614   14,970,000    10,782,114 
KKR Group Finance Company X LLC          
3.25% due 12/15/514   15,150,000    10,723,496 
Western & Southern Life Insurance Co.          
3.75% due 04/28/614   13,360,000    10,169,131 
Sumitomo Mitsui Financial Group, Inc.          
2.22% due 09/17/31   11,900,000    9,619,595 
Nasdaq, Inc.        
3.25% due 04/28/50   13,150,000   9,566,355 
Blackstone Holdings Finance Company LLC          
3.20% due 01/30/524   12,150,000    8,844,429 
Fidelity & Guaranty Life Holdings, Inc.          
5.50% due 05/01/254   8,050,000    8,191,279 
American Equity Investment Life Holding Co.          
5.00% due 06/15/27   8,252,000    8,146,409 
CNO Global Funding          
1.75% due 10/07/264   7,400,000    6,541,331 
2.65% due 01/06/294   1,650,000    1,437,376 
New York Life Insurance Co.          
3.75% due 05/15/504   9,300,000    7,595,954 
Citigroup, Inc.          
2.52% due 11/03/323   6,900,000    5,598,334 
3.29% due 03/17/263   1,580,000    1,527,527 
W R Berkley Corp.          
4.00% due 05/12/50   8,105,000    6,763,175 
NFL Trust XI SPV          
3.53% due 10/05/35†††   7,000,000    6,273,557 
Goldman Sachs Group, Inc.          
3.65% 3,7   2,450,000    1,901,987 
1.34% (SOFR + 0.54%, Rate Floor: 0.00%) due 11/17/23   1,660,000    1,645,414 
1.22% due 12/06/23   1,650,000    1,589,618 
Brookfield Finance LLC          
3.45% due 04/15/50   6,820,000    4,878,564 
Atlas Mara Ltd.          
 due 12/31/21†††,9   6,600,000    4,719,000 
Horace Mann Educators Corp.          
4.50% due 12/01/25   4,560,000    4,475,825 
Cushman & Wakefield US Borrower LLC          
6.75% due 05/15/284   4,682,000    4,348,408 
Corebridge Financial, Inc.          
4.35% due 04/05/424   4,950,000    4,221,270 
HS Wildcat LLC          
3.83% due 12/31/50†††   5,000,000    4,026,706 
Home Point Capital, Inc.          
5.00% due 02/01/264   5,560,000    3,836,400 
Commonwealth Bank of Australia          
3.61% due 09/12/343,4   3,550,000    3,159,166 
Old Republic International Corp.          
3.85% due 06/11/51   4,100,000    3,094,546 
Fort Knox Military Housing Privatization Project          
5.82% due 02/15/524   1,863,340    1,811,793 
1.66% (1 Month USD LIBOR + 0.34%) due 02/15/52◊,4   1,672,949    1,146,701 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 36.0% (continued)
Financial -  14.8% (continued)        
Murphy's Bowl LLC        
3.20% due 06/30/56†††   3,500,000   $2,757,686 
KKR Group Finance Company III LLC          
5.13% due 06/01/444   2,710,000    2,586,297 
Enstar Group Ltd.          
3.10% due 09/01/31   1,670,000    1,331,827 
4.95% due 06/01/29   1,250,000    1,195,953 
Iron Mountain Information Management Services, Inc.          
5.00% due 07/15/324   2,750,000    2,219,560 
New York Life Global Funding          
0.94% (SOFR + 0.22%) due 02/02/23◊,4   2,070,000    2,063,295 
American National Group, Inc.          
6.14% due 06/13/324   2,000,000    1,978,789 
Western Group Housing, LP          
6.75% due 03/15/574   1,474,680    1,724,358 
Ares Finance Company IV LLC          
3.65% due 02/01/524   2,450,000    1,722,065 
Bank of Nova Scotia          
2.44% due 03/11/24   1,600,000    1,566,151 
Jackson National Life Global Funding          
1.75% due 01/12/254   1,650,000    1,556,055 
Mitsubishi UFJ Financial Group, Inc.          
4.08% due 04/19/283   1,580,000    1,538,902 
Lloyds Banking Group plc          
3.51% due 03/18/263   1,580,000    1,538,220 
Brighthouse Financial Global Funding          
1.00% due 04/12/244   1,620,000    1,529,341 
Danske Bank A/S          
0.98% due 09/10/253,4   1,660,000    1,528,632 
Transatlantic Holdings, Inc.          
8.00% due 11/30/39   1,135,000    1,462,338 
BNP Paribas S.A.          
1.32% due 01/13/273,4   1,640,000    1,448,864 
Athene Global Funding          
2.67% due 06/07/314   1,550,000    1,242,941 
ING Groep N.V.          
1.73% due 04/01/273   1,360,000    1,214,252 
Mid-Atlantic Military Family Communities LLC          
5.24% due 08/01/504   1,092,964    1,047,669 
Janus Henderson US Holdings, Inc.          
4.88% due 08/01/25   780,000    784,816 
F&G Global Funding          
2.30% due 04/11/274   790,000    704,784 
Atlantic Marine Corporations Communities LLC          
5.37% due 12/01/506   754,898    695,506 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 36.0% (continued)
Financial -  14.8% (continued)        
Pacific Beacon LLC        
5.51% due 07/15/364   500,000   $505,951 
Swiss Re Finance Luxembourg S.A.          
5.00% due 04/02/493,4   300,000    283,875 
Pine Street Trust I          
4.57% due 02/15/294   250,000    241,467 
Peachtree Corners Funding Trust          
3.98% due 02/15/254   215,000    212,690 
Sompo International Holdings Ltd.          
4.70% due 10/15/22   140,000    140,501 
Total Financial        2,947,241,705 
Consumer, Non-cyclical -  5.0%          
Altria Group, Inc.          
3.70% due 02/04/51   67,650,000    43,238,560 
3.40% due 05/06/30   32,920,000    27,924,830 
4.45% due 05/06/50   6,120,000    4,406,720 
5.95% due 02/14/49   1,300,000    1,139,136 
CoStar Group, Inc.          
2.80% due 07/15/304   89,110,000    74,192,327 
Medline Borrower, LP          
3.88% due 04/01/294   59,700,000    50,847,087 
BAT Capital Corp.          
3.98% due 09/25/50   41,450,000    28,557,028 
4.70% due 04/02/27   17,390,000    16,986,741 
Smithfield Foods, Inc.          
2.63% due 09/13/314   39,050,000    30,834,939 
3.00% due 10/15/304   15,760,000    13,064,993 
5.20% due 04/01/294   850,000    834,905 
Global Payments, Inc.          
2.90% due 11/15/31   30,265,000    24,785,225 
2.90% due 05/15/30   19,810,000    16,715,381 
Royalty Pharma plc          
3.55% due 09/02/50   39,710,000    27,726,834 
2.20% due 09/02/30   15,800,000    12,745,761 
DaVita, Inc.          
3.75% due 02/15/314   38,095,000    27,313,734 
4.63% due 06/01/304   14,190,000    11,066,242 
Kraft Heinz Foods Co.          
4.88% due 10/01/49   14,525,000    12,829,222 
5.50% due 06/01/50   9,250,000    8,879,205 
5.00% due 06/04/42   7,850,000    7,171,727 
4.38% due 06/01/46   8,090,000    6,742,249 
5.20% due 07/15/45   1,930,000    1,786,067 
Becle, SAB de CV          
2.50% due 10/14/314   44,100,000    35,242,435 
US Foods, Inc.          
6.25% due 04/15/254   24,050,000    23,989,875 
4.75% due 02/15/294   8,107,000    7,087,058 
4.63% due 06/01/304   4,850,000    4,088,750 
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.          
3.00% due 05/15/324   29,125,000    22,366,859 
4.38% due 02/02/524   10,200,000    7,213,644 
5.13% due 02/01/284   2,250,000    2,197,170 
Triton Container International Ltd.        
3.15% due 06/15/314   33,500,000   27,076,920 
California Institute of Technology          
3.65% due 09/01/19   31,896,000    24,085,192 
Emory University          
2.97% due 09/01/50   30,000,000    23,821,018 
Yale-New Haven Health Services Corp.          
2.50% due 07/01/50   32,350,000    22,285,422 
TriNet Group, Inc.          
3.50% due 03/01/294   26,450,000    21,786,072 
Post Holdings, Inc.          
4.50% due 09/15/314   23,850,000    19,505,723 
4.63% due 04/15/304   1,325,000    1,117,995 
Kimberly-Clark de Mexico SAB de CV          
2.43% due 07/01/314   22,650,000    18,817,620 
Health Care Service Corporation A Mutual Legal Reserve Co.          
3.20% due 06/01/504   23,030,000    17,319,079 
Universal Health Services, Inc.          
2.65% due 10/15/304   18,660,000    14,923,235 
Central Garden & Pet Co.          
4.13% due 04/30/314   9,275,000    7,445,649 
4.13% due 10/15/30   8,975,000    7,364,077 
Catalent Pharma Solutions, Inc.          
3.50% due 04/01/304   9,500,000    7,751,328 
3.13% due 02/15/294   8,075,000    6,624,999 
Cheplapharm Arzneimittel GmbH          
4.38% due 01/15/28  EUR 13,750,000    12,242,298 
Sabre GLBL, Inc.          
7.38% due 09/01/254   12,825,000    11,895,188 
Transurban Finance Company Pty Ltd.          
2.45% due 03/16/314   14,400,000    11,807,721 
Spectrum Brands, Inc.          
3.88% due 03/15/314   13,475,000    10,857,953 
5.50% due 07/15/304   850,000    764,965 
Prime Security Services Borrower LLC / Prime Finance, Inc.          
3.38% due 08/31/274   13,450,000    11,079,437 
GXO Logistics, Inc.          
2.65% due 07/15/31   13,725,000    10,827,836 
Avantor Funding, Inc.          
4.63% due 07/15/284   11,500,000    10,542,050 
Bimbo Bakeries USA, Inc.          
4.00% due 05/17/514   12,775,000    10,348,772 
Block, Inc.          
2.75% due 06/01/264   10,125,000    8,983,204 
WW International, Inc.          
4.50% due 04/15/294   12,900,000    8,590,755 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 36.0% (continued)
Consumer, Non-cyclical -  5.0% (continued)        
Moody's Corp.        
3.25% due 05/20/50   11,180,000   $8,298,507 
Nielsen Finance LLC / Nielsen Finance Co.          
4.50% due 07/15/294   8,690,000    7,850,418 
OhioHealth Corp.          
3.04% due 11/15/50   9,100,000    7,043,516 
Johns Hopkins University          
2.81% due 01/01/60   8,750,000    6,382,846 
Duke University          
2.83% due 10/01/55   7,894,000    6,019,970 
Service Corporation International          
4.00% due 05/15/31   7,000,000    5,976,250 
Syneos Health, Inc.          
3.63% due 01/15/294   7,000,000    5,927,799 
HCA, Inc.          
3.50% due 07/15/51   6,175,000    4,217,130 
3.50% due 09/01/30   1,600,000    1,361,136 
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.          
5.00% due 12/31/264   6,325,000    5,407,938 
CPI CG, Inc.          
8.63% due 03/15/264   5,524,000    5,220,180 
Children's Hospital Corp.          
2.59% due 02/01/50   7,100,000    4,911,375 
Children's Health System of Texas          
2.51% due 08/15/50   6,500,000    4,399,438 
Sotheby's/Bidfair Holdings, Inc.          
5.88% due 06/01/294   3,900,000    3,347,444 
Wisconsin Alumni Research Foundation          
3.56% due 10/01/49   3,775,000    3,327,029 
APi Group DE, Inc.          
4.13% due 07/15/294   4,150,000    3,295,930 
BCP V Modular Services Finance II plc          
4.75% due 11/30/28  EUR  3,500,000    2,910,248 
Providence St. Joseph Health Obligated Group          
2.70% due 10/01/51   4,250,000    2,884,886 
Memorial Sloan-Kettering Cancer Center          
2.96% due 01/01/50   3,500,000    2,671,601 
Gartner, Inc.          
3.75% due 10/01/304   2,330,000    1,983,412 
Beth Israel Lahey Health, Inc.          
3.08% due 07/01/51   2,700,000    1,956,745 
Tenet Healthcare Corp.          
4.63% due 06/15/284   2,056,000    1,790,324 
Quanta Services, Inc.          
0.95% due 10/01/24   1,660,000    1,535,258 
Aetna, Inc.          
6.75% due 12/15/37   1,150,000    1,315,189 
Anheuser-Busch InBev Worldwide, Inc.        
8.00% due 11/15/39   1,030,000   1,312,875 
Reynolds American, Inc.          
6.15% due 09/15/43   1,340,000    1,240,303 
Molina Healthcare, Inc.          
4.38% due 06/15/284   1,290,000    1,152,320 
Humana, Inc.          
0.65% due 08/03/23   1,000,000    967,443 
Triton Container International Limited / TAL International Container Corp.          
3.25% due 03/15/32   1,050,000    854,736 
Verisk Analytics, Inc.          
4.13% due 09/12/22   696,000    697,204 
AmerisourceBergen Corp.          
0.74% due 03/15/23   544,000    533,492 
Bio-Rad Laboratories, Inc.          
3.30% due 03/15/27   180,000    169,838 
Total Consumer, Non-cyclical        986,801,992 
Industrial -  4.0%          
Boeing Co.          
5.81% due 05/01/50   114,650,000    105,302,784 
5.71% due 05/01/40   68,110,000    63,530,728 
3.63% due 02/01/31   21,400,000    18,471,617 
5.04% due 05/01/27   17,150,000    16,940,227 
1.17% due 02/04/23   1,650,000    1,631,259 
FLNG Liquefaction 3 LLC          
3.08% due 06/30/39†††   68,244,915    58,260,342 
TD SYNNEX Corp.          
2.65% due 08/09/314   40,600,000    32,751,271 
2.38% due 08/09/284   20,500,000    17,283,022 
Cellnex Finance Company S.A.          
3.88% due 07/07/414   68,935,000    47,207,377 
Vontier Corp.          
2.95% due 04/01/31   34,250,000    26,847,205 
2.40% due 04/01/28   19,150,000    16,051,512 
Textron, Inc.          
2.45% due 03/15/31   31,150,000    25,590,806 
3.00% due 06/01/30   18,395,000    16,000,487 
Flowserve Corp.          
3.50% due 10/01/30   22,340,000    19,186,161 
2.80% due 01/15/32   19,800,000    15,594,852 
Dyal Capital Partners IV          
3.65% due 02/22/41†††   41,800,000    34,072,775 
Standard Industries, Inc.          
4.38% due 07/15/304   13,600,000    10,727,000 
3.38% due 01/15/314   14,475,000    10,677,022 
5.00% due 02/15/274   6,250,000    5,578,479 
Acuity Brands Lighting, Inc.          
2.15% due 12/15/30   34,050,000    26,922,682 
Stadco LA, LLC          
3.75% due 05/15/56†††   31,000,000    24,347,624 
Ryder System, Inc.          
3.35% due 09/01/25   22,380,000    21,695,398 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 36.0% (continued)
Industrial -  4.0% (continued)        
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.        
4.13% due 08/15/264   23,961,000   $20,299,999 
Owens Corning          
3.88% due 06/01/30   21,890,000    19,987,278 
NFL Ventures, LP          
3.02% due 04/15/35†††   20,000,000    18,267,072 
GATX Corp.          
4.00% due 06/30/30   14,265,000    13,156,829 
4.70% due 04/01/29   400,000    394,151 
CNH Industrial Capital LLC          
1.88% due 01/15/26   12,960,000    11,746,732 
TFI International, Inc.          
3.35% due 01/05/33†††   14,000,000    11,656,288 
Weir Group plc          
2.20% due 05/13/264   12,815,000    11,266,647 
National Basketball Association          
2.51% due 12/16/24†††   10,500,000    10,127,318 
Hardwood Funding LLC          
3.19% due 06/07/30†††   8,000,000    7,377,992 
2.83% due 06/07/31†††   2,000,000    1,773,184 
3.13% due 06/07/36†††   1,000,000    858,516 
Airbus SE          
3.95% due 04/10/474   9,000,000    7,928,782 
Amcor Flexibles North America, Inc.          
2.63% due 06/19/30   8,580,000    7,035,235 
Norfolk Southern Corp.          
4.10% due 05/15/21   9,100,000    6,843,099 
Artera Services LLC          
9.03% due 12/04/254   8,490,000    6,841,242 
Hillenbrand, Inc.          
3.75% due 03/01/31   7,650,000    6,177,375 
Mueller Water Products, Inc.          
4.00% due 06/15/294   5,750,000    5,015,955 
Virgin Media Vendor Financing Notes III DAC          
4.88% due 07/15/28  GBP  5,000,000    4,869,201 
Huntington Ingalls Industries, Inc.          
2.04% due 08/16/28   5,150,000    4,392,454 
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc          
4.00% due 09/01/294   3,750,000    3,009,375 
Penske Truck Leasing Company, LP / PTL Finance Corp.          
1.70% due 06/15/264   1,620,000    1,443,918 
Graphic Packaging International LLC          
3.50% due 03/01/294   1,658,000    1,392,216 
Burlington Northern Santa Fe LLC        
5.40% due 06/01/41   1,180,000   1,249,161 
Trimble, Inc.          
4.15% due 06/15/23   1,155,000    1,152,506 
TransDigm, Inc.          
6.25% due 03/15/264   1,075,000    1,036,031 
Howmet Aerospace, Inc.          
5.95% due 02/01/37   525,000    495,075 
6.88% due 05/01/25   129,000    132,522 
Adevinta ASA          
3.00% due 11/15/27  EUR 417,000    364,869 
Martin Marietta Materials, Inc.          
0.65% due 07/15/23   360,000    347,889 
JELD-WEN, Inc.          
6.25% due 05/15/254   300,000    288,000 
Carlisle Companies, Inc.          
0.55% due 09/01/23   220,000    212,188 
Hexcel Corp.          
4.20% due 02/15/27   180,000    168,835 
Canadian National Railway Co.          
6.71% due 07/15/36   110,000    127,828 
Total Industrial        802,106,392 
Consumer, Cyclical -  3.3%          
Marriott International, Inc.          
4.63% due 06/15/30   38,685,000    37,086,702 
3.50% due 10/15/32   40,990,000    35,356,925 
2.85% due 04/15/31   33,790,000    28,021,398 
2.75% due 10/15/33   25,150,000    19,777,400 
Alt-2 Structured Trust          
2.95% due 05/14/31†††    56,131,072    51,337,269 
Delta Air Lines, Inc.          
7.00% due 05/01/254   46,725,000    47,294,511 
Hyatt Hotels Corp.          
5.75% due 04/23/30   23,885,000    24,049,040 
5.63% due 04/23/25   18,750,000    18,991,358 
1.30% due 10/01/23   1,660,000    1,607,499 
Delta Air Lines Inc. / SkyMiles IP Ltd.          
4.50% due 10/20/254   45,200,000    43,919,160 
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.          
6.50% due 06/20/274   38,950,000    38,280,060 
Choice Hotels International, Inc.          
3.70% due 01/15/31   40,900,000    36,249,794 
Hilton Domestic Operating Company, Inc.          
3.75% due 05/01/294   34,700,000    29,430,760 
4.00% due 05/01/314   5,900,000    4,902,900 
3.63% due 02/15/324   1,900,000    1,509,313 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 36.0% (continued)
Consumer, Cyclical -  3.3% (continued)        
1011778 BC ULC / New Red Finance, Inc.        
4.00% due 10/15/304   32,350,000   $25,960,875 
3.88% due 01/15/284   6,940,000    6,023,365 
WMG Acquisition Corp.          
3.00% due 02/15/314   18,650,000    14,466,059 
3.75% due 12/01/294   10,750,000    8,976,250 
Magallanes, Inc.          
5.14% due 03/15/524   27,350,000    22,956,223 
Ferguson Finance plc          
3.25% due 06/02/304   17,904,000    15,494,794 
4.65% due 04/20/324   5,200,000    4,903,052 
Walgreens Boots Alliance, Inc.          
4.10% due 04/15/50   24,778,000    19,544,164 
British Airways Class A Pass Through Trust          
2.90% due 03/15/354   15,357,008    13,522,725 
4.25% due 11/15/324   5,389,688    5,180,901 
American Airlines Class AA Pass Through Trust          
3.35% due 10/15/29   8,802,746    8,085,486 
3.20% due 06/15/28   5,490,800    5,018,723 
3.00% due 10/15/28   3,984,111    3,610,812 
3.15% due 02/15/32   164,941    145,795 
Steelcase, Inc.          
5.13% due 01/18/29   17,427,000    16,218,612 
Whirlpool Corp.          
4.60% due 05/15/50   16,920,000    14,514,315 
Scotts Miracle-Gro Co.          
4.00% due 04/01/31   18,750,000    14,015,625 
Allison Transmission, Inc.          
3.75% due 01/30/314   12,500,000    10,018,000 
Levi Strauss & Co.          
3.50% due 03/01/314   11,100,000    9,074,250 
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc.          
4.63% due 01/15/294   10,500,000    8,951,250 
Air Canada          
3.88% due 08/15/264   8,650,000    7,316,948 
Delta Air Lines, Inc. / SkyMiles IP Ltd.          
4.75% due 10/20/284   3,800,000    3,589,397 
JB Poindexter & Company, Inc.          
7.13% due 04/15/264   2,850,000    2,736,000 
Lowe's Companies, Inc.          
1.70% due 09/15/28   2,425,000    2,064,549 
United Airlines, Inc.          
4.38% due 04/15/264   1,750,000    1,542,048 
PetSmart, Inc. / PetSmart Finance Corp.          
4.75% due 02/15/284   1,750,000    1,514,170 
HP Communities LLC          
5.86% due 09/15/534   1,420,000    1,446,116 
Aramark Services, Inc.          
5.00% due 02/01/284   1,525,000    1,381,970 
Lear Corp.        
5.25% due 05/15/49   1,360,000   1,178,578 
JetBlue Class A Pass Through Trust          
4.00% due 11/15/32   135,277    125,699 
Total Consumer, Cyclical        667,390,840 
Communications -  2.8%          
Level 3 Financing, Inc.          
4.25% due 07/01/284   34,430,000    27,587,037 
3.63% due 01/15/294   34,600,000    26,678,403 
3.88% due 11/15/294   20,300,000    16,765,725 
3.75% due 07/15/294   13,950,000    10,786,210 
Paramount Global          
4.95% due 05/19/508   39,600,000    33,191,253 
4.95% due 01/15/31   32,701,000    31,131,673 
Charter Communications Operating LLC / Charter Communications Operating Capital          
2.80% due 04/01/31   53,050,000    42,485,507 
3.90% due 06/01/52   21,650,000    15,029,739 
2.25% due 01/15/29   2,500,000    2,054,169 
3.85% due 04/01/61   1,000,000    657,636 
4.40% due 12/01/61   650,000    467,485 
British Telecommunications plc          
4.88% due 11/23/813,6   47,450,000    40,332,500 
4.25% due 11/23/813,4   8,250,000    7,181,077 
9.63% due 12/15/30   2,310,000    2,874,610 
Vodafone Group plc          
4.13% due 06/04/813   40,375,000    30,195,722 
UPC Broadband Finco BV          
4.88% due 07/15/314   36,900,000    30,073,500 
McGraw-Hill Education, Inc.          
5.75% due 08/01/284   24,975,000    21,385,584 
LCPR Senior Secured Financing DAC          
5.13% due 07/15/294   17,900,000    14,946,500 
6.75% due 10/15/274   5,071,000    4,730,381 
Go Daddy Operating Company LLC / GD Finance Co., Inc.          
3.50% due 03/01/294   22,100,000    18,632,289 
T-Mobile USA, Inc.          
2.63% due 04/15/26   13,850,000    12,568,875 
2.88% due 02/15/31   7,250,000    6,019,168 
Walt Disney Co.          
3.80% due 05/13/60   21,990,000    18,383,004 
CCO Holdings LLC / CCO Holdings Capital Corp.          
4.50% due 05/01/32   18,275,000    14,797,267 
4.25% due 02/01/314   2,125,000    1,731,875 
Altice France S.A.          
5.13% due 07/15/294   17,600,000    13,288,000 
5.13% due 01/15/294   2,290,000    1,734,927 
CSC Holdings LLC          
3.38% due 02/15/314   14,175,000    10,479,719 
4.13% due 12/01/304   5,741,000    4,477,980 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 36.0% (continued)
Communications -  2.8% (continued)        
Virgin Media Secured Finance plc        
4.50% due 08/15/304   17,850,000   $14,667,524 
Radiate Holdco LLC / Radiate Finance, Inc.          
4.50% due 09/15/264   15,050,000    12,977,314 
Sirius XM Radio, Inc.          
4.13% due 07/01/304   15,085,000    12,598,841 
VeriSign, Inc.          
2.70% due 06/15/31   13,950,000    11,226,156 
Ziggo BV          
4.88% due 01/15/304   10,125,000    8,585,412 
Lamar Media Corp.          
3.63% due 01/15/31   8,600,000    7,038,412 
4.00% due 02/15/30   1,575,000    1,322,450 
Virgin Media Vendor Financing Notes IV DAC          
5.00% due 07/15/284   10,100,000    8,357,435 
Amazon.com, Inc.          
2.70% due 06/03/60   10,180,000    6,895,215 
AT&T, Inc.          
2.75% due 06/01/31   5,360,000    4,628,402 
Switch Ltd.          
3.75% due 09/15/284   4,200,000    4,154,430 
Corning, Inc.          
4.38% due 11/15/57   2,500,000    2,045,321 
Koninklijke KPN N.V.          
8.38% due 10/01/30   1,140,000    1,366,547 
Match Group Holdings II LLC          
4.13% due 08/01/304   1,250,000    1,043,881 
Virgin Media Finance plc          
5.00% due 07/15/304   850,000    673,625 
Motorola Solutions, Inc.          
5.50% due 09/01/44   360,000    335,098 
Total Communications        558,583,878 
Energy -  2.5%          
Galaxy Pipeline Assets Bidco Ltd.          
3.25% due 09/30/404   91,750,000    72,416,220 
2.94% due 09/30/404   57,826,599    47,167,956 
1.75% due 09/30/274   1,828,641    1,698,374 
BP Capital Markets plc          
4.88% 3,7   114,865,000    100,006,734 
Sabine Pass Liquefaction LLC          
4.50% due 05/15/30   63,355,000    60,714,220 
Qatar Energy          
3.13% due 07/12/414   37,875,000    29,675,063 
3.30% due 07/12/514   37,450,000    28,901,513 
Valero Energy Corp.          
2.80% due 12/01/31   13,230,000    11,101,177 
2.15% due 09/15/27   8,920,000    7,939,336 
4.00% due 04/01/29   7,450,000    7,047,634 
3.65% due 12/01/51   4,175,000    3,122,106 
7.50% due 04/15/32   2,530,000    2,909,813 
2.85% due 04/15/25   2,936,000    2,837,382 
4.00% due 06/01/52   290,000    231,331 
ITT Holdings LLC          
6.50% due 08/01/294   38,600,000    30,880,000 
Cheniere Corpus Christi Holdings LLC        
2.74% due 12/31/39   19,150,000   15,112,635 
Midwest Connector Capital Company LLC          
4.63% due 04/01/294   15,975,000    15,065,719 
Occidental Petroleum Corp.          
5.55% due 03/15/26   5,940,000    5,898,598 
4.30% due 08/15/39   6,600,000    5,373,413 
4.40% due 08/15/49   2,500,000    2,000,022 
4.40% due 04/15/46   1,400,000    1,131,183 
4.63% due 06/15/45   800,000    654,976 
NuStar Logistics, LP          
6.38% due 10/01/30   13,850,000    12,033,239 
5.63% due 04/28/27   1,799,000    1,610,123 
Magellan Midstream Partners, LP          
3.25% due 06/01/30   13,260,000    11,788,037 
3.95% due 03/01/50   1,600,000    1,261,950 
Parkland Corp.          
4.63% due 05/01/304   8,000,000    6,489,860 
5.88% due 07/15/274   395,000    358,463 
DCP Midstream Operating, LP          
3.25% due 02/15/32   7,990,000    6,267,196 
DT Midstream, Inc.          
4.30% due 04/15/324   3,250,000    2,979,653 
4.13% due 06/15/294   550,000    466,125 
Phillips 66          
3.70% due 04/06/23   2,250,000    2,249,832 
ONEOK Partners, LP          
3.38% due 10/01/22   720,000    720,029 
6.20% due 09/15/43   680,000    638,703 
Halliburton Co.          
7.45% due 09/15/39   1,100,000    1,282,317 
Enterprise Products Operating LLC          
5.10% due 02/15/45   1,340,000    1,260,374 
Enbridge Energy Partners, LP          
7.38% due 10/15/45   1,040,000    1,238,823 
Total Energy        502,530,129 
Technology -  1.5%          
Broadcom, Inc.          
4.93% due 05/15/374   33,182,000    29,749,080 
4.15% due 11/15/30   19,480,000    17,847,838 
3.19% due 11/15/364   3,135,000    2,383,149 
2.60% due 02/15/334   1,660,000    1,276,387 
Citrix Systems, Inc.          
1.25% due 03/01/26   36,622,000    35,430,423 
3.30% due 03/01/30   1,500,000    1,463,064 
CDW LLC / CDW Finance Corp.          
3.57% due 12/01/31   42,240,000    34,897,209 
Oracle Corp.          
3.95% due 03/25/51   38,750,000    28,461,750 
6.13% due 07/08/39   1,190,000    1,191,510 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 36.0% (continued)
Technology -  1.5% (continued)        
Qorvo, Inc.        
4.38% due 10/15/29   21,000,000   $18,467,820 
3.38% due 04/01/314   8,675,000    6,821,500 
NetApp, Inc.          
2.70% due 06/22/30   22,405,000    18,880,032 
Leidos, Inc.          
2.30% due 02/15/31   20,050,000    15,972,869 
4.38% due 05/15/30   2,650,000    2,451,171 
MSCI, Inc.          
3.63% due 09/01/304   17,718,000    14,771,128 
3.88% due 02/15/314   1,769,000    1,512,495 
Apple, Inc.          
2.55% due 08/20/60   22,850,000    15,648,208 
Boxer Parent Company, Inc.          
6.50% due 10/02/25  EUR 13,500,000    13,246,721 
CGI, Inc.          
2.30% due 09/14/31   16,050,000    12,877,312 
Workday, Inc.          
3.80% due 04/01/32   7,500,000    6,852,565 
TeamSystem SpA          
3.50% due 02/15/28  EUR  5,000,000    4,404,799 
Booz Allen Hamilton, Inc.          
3.88% due 09/01/284   4,550,000    4,026,750 
Microchip Technology, Inc.          
0.97% due 02/15/24   1,650,000    1,566,618 
Skyworks Solutions, Inc.          
0.90% due 06/01/23   500,000    483,256 
Open Text Holdings, Inc.          
4.13% due 02/15/304   210,000    181,661 
Total Technology        290,865,315 
Basic Materials -  1.1%          
Newcrest Finance Pty Ltd.          
3.25% due 05/13/304   48,900,000    43,201,677 
4.20% due 05/13/504   26,390,000    21,596,852 
Anglo American Capital plc          
5.63% due 04/01/304   21,100,000    21,247,544 
2.63% due 09/10/304   18,000,000    14,812,690 
3.95% due 09/10/504   14,140,000    10,836,709 
2.25% due 03/17/284   1,010,000    870,383 
2.88% due 03/17/314   70,000    58,245 
Alcoa Nederland Holding BV          
4.13% due 03/31/294   8,600,000    7,689,604 
5.50% due 12/15/274   6,525,000    6,182,438 
6.13% due 05/15/284   2,800,000    2,723,000 
Minerals Technologies, Inc.          
5.00% due 07/01/284   18,630,000    16,213,689 
Valvoline, Inc.          
3.63% due 06/15/314   18,300,000    14,640,000 
Yamana Gold, Inc.          
2.63% due 08/15/31   14,350,000    11,511,011 
4.63% due 12/15/27   3,000,000    2,882,934 
Reliance Steel & Aluminum Co.          
2.15% due 08/15/30   12,040,000    9,755,109 
Corporation Nacional del Cobre de Chile          
3.75% due 01/15/314   10,430,000    9,341,755 
INEOS Quattro Finance 2 plc          
2.50% due 01/15/26  EUR 8,500,000    7,469,757 
Steel Dynamics, Inc.          
2.40% due 06/15/25   5,950,000    5,628,267 
Nucor Corp.        
2.00% due 06/01/25   5,000,000   4,705,186 
Carpenter Technology Corp.          
6.38% due 07/15/28   2,125,000    1,896,795 
Southern Copper Corp.          
7.50% due 07/27/35   1,150,000    1,360,462 
WR Grace Holdings LLC          
4.88% due 06/15/274   925,000    804,972 
Total Basic Materials        215,429,079 
Utilities -  1.0%          
Cheniere Corpus Christi Holdings LLC          
3.52% due 12/31/39†††   97,100,000    82,649,867 
AES Corp.          
3.95% due 07/15/304   27,890,000    25,148,413 
3.30% due 07/15/254   3,750,000    3,517,425 
NRG Energy, Inc.          
2.45% due 12/02/274   26,000,000    22,324,473 
Arizona Public Service Co.          
3.35% due 05/15/50   23,140,000    16,986,716 
Alexander Funding Trust          
1.84% due 11/15/234   14,400,000    13,786,605 
Enel Finance International N.V.          
2.88% due 07/12/414   19,800,000    13,332,061 
Clearway Energy Operating LLC          
3.75% due 02/15/314   11,150,000    8,989,353 
ONE Gas, Inc.          
0.85% due 03/11/23   1,620,000    1,584,380 
Entergy Texas, Inc.          
1.50% due 09/01/26   1,650,000    1,462,153 
NiSource, Inc.          
5.65% due 02/01/45   1,370,000    1,374,625 
Progress Energy, Inc.          
6.00% due 12/01/39   1,290,000    1,358,780 
Nevada Power Co.          
6.65% due 04/01/36   1,180,000    1,355,272 
Southern Power Co.          
5.25% due 07/15/43   1,350,000    1,279,414 
Consolidated Edison Company of New York, Inc.          
5.10% due 06/15/33   1,080,000    1,094,266 
Dominion Energy, Inc.          
2.36% (3 Month USD LIBOR + 0.53%) due 09/15/23   1,030,000    1,025,359 
Atmos Energy Corp.          
0.63% due 03/09/23   800,000    785,798 
OGE Energy Corp.          
0.70% due 05/26/23   360,000    350,804 
Total Utilities        198,405,764 
Total Corporate Bonds          
(Cost $8,618,762,165)        7,169,355,094 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 24.3%
Collateralized Loan Obligations -  15.3%        
LCCM Trust        
2021-FL3 A, 2.77% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,4   98,500,000   $95,625,110 
2021-FL3 AS, 3.12% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/15/38◊,4   36,950,000    35,205,860 
2021-FL3 B, 3.52% (1 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 11/15/38◊,4   20,750,000    19,872,256 
BXMT Ltd.          
2020-FL2 A, 2.49% (1 Month Term SOFR + 1.01%, Rate Floor: 0.90%) due 02/15/38◊,4   76,225,000    74,771,267 
2020-FL3 AS, 2.64% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 11/15/37◊,4   23,550,000    22,768,309 
2020-FL3 C, 3.44% (30 Day Average SOFR + 2.66%, Rate Floor: 2.55%) due 11/15/37◊,4   16,125,000    15,579,340 
2020-FL2 B, 2.99% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 02/15/38◊,6   16,000,000    15,406,278 
2020-FL3 B, 3.04% (30 Day Average SOFR + 2.26%, Rate Floor: 2.15%) due 11/15/37◊,6   10,600,000    10,298,112 
2020-FL2 C, 3.24% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/38◊,6   5,360,000    5,105,674 
2020-FL2 AS, 2.74% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38◊,6   5,200,000    5,028,522 
LoanCore Issuer Ltd.          
2021-CRE6 B, 3.22% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 11/15/38◊,6   44,000,000    41,487,719 
2021-CRE4 C, 2.59% (30 Day Average SOFR + 1.81%, Rate Floor: 1.70%) due 07/15/35◊,4   25,982,000   24,393,637 
2021-CRE6 C, 3.62% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 11/15/38◊,4   22,825,000    21,208,750 
2019-CRE2 AS, 2.82% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,4   19,984,000    19,619,420 
2021-CRE5 D, 4.32% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/15/36◊,4   14,350,000    13,206,916 
2019-CRE2 B, 3.02% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 05/15/36◊,6   11,575,000    11,222,196 
2021-CRE4 D, 3.39% (30 Day Average SOFR + 2.61%, Rate Floor: 2.50%) due 07/15/35◊,6   5,600,000    5,198,360 
2019-CRE3 B, 2.92% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/15/34◊,6   4,410,000    4,309,078 
Cerberus Loan Funding XXX, LP          
2020-3A A, 2.89% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,4   100,000,000    98,923,910 
2020-3A B, 3.54% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/15/33◊,4   10,200,000    9,933,077 
Woodmont Trust          
2020-7A A1A, 2.94% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,4   83,000,000    82,392,980 
2020-7A B, 3.64% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/32◊,4   13,500,000    13,147,836 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 24.3% (continued)
Collateralized Loan Obligations -  15.3% (continued)        
2020-7A A2, 3.29% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/32◊,4   7,000,000   $6,930,998 
Golub Capital Partners CLO 33M Ltd.          
2021-33A AR2, 3.38% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,4   104,600,000    101,501,204 
Cerberus Loan Funding XXXII, LP          
2021-2A A, 2.66% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,4   65,000,000    62,947,482 
2021-2A C, 3.89% (3 Month USD LIBOR + 2.85%, Rate Floor: 2.85%) due 04/22/33◊,4   20,925,000    19,835,161 
2021-2A B, 2.94% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/22/33◊,4   19,200,000    17,969,585 
HERA Commercial Mortgage Ltd.          
2021-FL1 B, 3.21% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/38◊,4   49,562,000    46,722,628 
2021-FL1 AS, 2.91% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/18/38◊,4   28,000,000    26,530,244 
2021-FL1 C, 3.56% (1 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 02/18/38◊,4   19,200,000    17,661,335 
2021-FL1 A, 2.66% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/38◊,6   10,000,000    9,651,404 
Palmer Square Loan Funding Ltd.          
2022-1A A2, 1.74% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,4   23,000,000    22,002,552 
2021-3A B, 2.81% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/20/29◊,4   22,500,000   21,313,112 
2021-1A A2, 2.31% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/29◊,4   19,000,000    18,427,902 
2021-2A B, 2.88% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/29◊,4   10,500,000    9,955,659 
2021-1A B, 2.86% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/29◊,4   7,100,000    6,818,312 
2021-2A C, 3.88% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 05/20/29◊,4   7,000,000    6,500,815 
ABPCI Direct Lending Fund CLO II LLC          
2021-1A A1R, 2.66% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,4   83,450,000    82,247,519 
Cerberus Loan Funding XXXI, LP          
2021-1A A, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,4   70,250,000    69,505,793 
2021-1A C, 3.64% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 04/15/32◊,4   12,000,000    11,593,110 
Golub Capital Partners CLO 36M Ltd.          
2018-36A A, 2.66% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,4   76,300,000    75,540,853 
KREF Funding V LLC          
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26◊,†††   73,905,083    73,598,779 
    0.15% due 06/25/26†††,10   313,636,364    75,273 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 24.3% (continued)
Collateralized Loan Obligations -  15.3% (continued)        
ABPCI Direct Lending Fund CLO V Ltd.        
2021-5A A1R, 2.56% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,4   50,650,000   $49,878,114 
2021-5A A2R, 2.96% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/31◊,4   15,975,000    15,224,549 
THL Credit Lake Shore MM CLO I Ltd.          
2021-1A A1R, 2.74% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,4   33,500,000    33,246,690 
2021-1A BR, 3.04% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/15/33◊,4   30,400,000    29,520,735 
ABPCI Direct Lending Fund CLO I LLC          
2021-1A A1A2, 2.76% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,4   59,500,000    58,552,177 
2021-1A B12, 3.06% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/20/33◊,4   2,500,000    2,341,993 
GPMT Ltd.          
2019-FL2 AS, 3.23% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/22/36◊,4   24,300,000    24,153,002 
2019-FL2 C, 3.98% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 02/22/36◊,4   21,400,000    20,961,617 
2019-FL2 B, 3.53% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 02/22/36◊,6   12,750,000    12,564,498 
2019-FL2 A, 2.93% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/36◊,6   2,290,740    2,285,105 
Cerberus Loan Funding XXVI, LP        
2021-1A AR, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,4   55,700,000   54,908,096 
2021-1A BR, 2.94% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/31◊,4   3,250,000    3,161,816 
ABPCI Direct Lending Fund IX LLC          
2021-9A A1R, 2.63% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/18/31◊,4   34,150,000    33,446,414 
2021-9A A2R, 3.03% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/18/31◊,4   26,000,000    24,587,311 
CHCP Ltd.          
2021-FL1 A, 2.50% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,4   28,000,000    27,442,962 
2021-FL1 AS, 2.75% (1 Month Term SOFR + 1.41%, Rate Floor: 1.30%) due 02/15/38◊,4   22,250,000    21,238,359 
2021-FL1 B, 3.10% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/38◊,6   5,900,000    5,605,001 
2021-FL1 C, 3.55% (1 Month Term SOFR + 2.21%, Rate Floor: 2.10%) due 02/15/38◊,6   2,950,000    2,950,337 
ABPCI Direct Lending Fund CLO IV LLC          
    3.23% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/06/29◊,†††   53,500,000    53,550,969 
Fortress Credit Opportunities IX CLO Ltd.          
2021-9A A2TR, 2.84% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/33◊,4   46,200,000    45,308,520 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 24.3% (continued)
Collateralized Loan Obligations -  15.3% (continued)        
2021-9A BR, 2.99% (3 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 10/15/33◊,4  6,700,000   $ 6,201,235 
FS Rialto          
2021-FL3 C, 3.56% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 11/16/36◊,4   31,150,000    28,928,890 
2021-FL2 C, 3.56% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 05/16/38◊,6   15,665,000    14,580,230 
2021-FL3 B, 3.31% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/36◊,6   8,000,000    7,465,710 
Owl Rock CLO IV Ltd.          
2021-4A A1R, 3.08% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,4   36,500,000    34,860,949 
2021-4A A2R, 3.38% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/20/33◊,4   16,750,000    15,553,331 
ABPCI Direct Lending Fund CLO VII, LP          
2021-7A A1R, 2.66% (3 Month USD LIBOR + 1.43%, Rate Floor: 1.43%) due 10/20/31◊,4   39,500,000    38,772,078 
2021-7A A2R, 3.08% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 10/20/31◊,4   8,250,000    7,811,060 
Fortress Credit Opportunities XI CLO Ltd.          
2018-11A A1T, 2.34% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,4   44,300,000    43,711,342 
2018-11A C, 3.54% (3 Month USD LIBOR + 2.50%, Rate Floor: 0.00%) due 04/15/31◊,4   2,300,000    2,190,181 
Cerberus Loan Funding XXXIII, LP        
2021-3A A, 2.60% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/33◊,4   32,000,000   31,155,779 
2021-3A B, 2.89% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/33◊,4   9,500,000    8,824,953 
GoldenTree Loan Management US CLO 1 Ltd.          
2021-9A B, 2.56% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/20/33◊,4   35,900,000    34,288,693 
2021-9A C, 2.86% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/33◊,4   3,900,000    3,627,645 
Cerberus Loan Funding XXXV, LP          
2021-5A A, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/33◊,4   30,750,000    29,696,613 
2021-5A B, 2.89% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 09/22/33◊,4   8,000,000    7,425,720 
ACRES Commercial Realty Ltd.          
2021-FL1 C, 3.52% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/15/36◊,6   13,092,000    12,233,236 
2021-FL1 D, 4.17% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 06/15/36◊,6   11,750,000    10,626,598 
2021-FL2 B, 3.77% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/37◊,6   10,100,000    9,650,738 
2021-FL2 AS, 3.27% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 01/15/37◊,6   3,500,000    3,309,772 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 24.3% (continued)
Collateralized Loan Obligations -  15.3% (continued)        
LCM XXIV Ltd.        
2021-24A BR, 2.46% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 03/20/30◊,4   24,200,000   $23,005,677 
2021-24A CR, 2.96% (3 Month USD LIBOR + 1.90%, Rate Floor: 0.00%) due 03/20/30◊,4   13,050,000    12,362,585 
Golub Capital Partners CLO 16 Ltd.          
2021-16A A1R2, 2.79% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,4   26,750,000    25,592,742 
2021-16A A2R2, 2.98% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/25/33◊,4   9,000,000    8,798,742 
Golub Capital Partners CLO 49M Ltd.          
2021-49A BR, 2.96% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/26/33◊,4   21,695,000    20,107,184 
2021-49A CR, 3.66% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 08/26/33◊,4   12,600,000    11,731,302 
Madison Park Funding XLVIII Ltd.          
2021-48A B, 2.49% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/33◊,4   27,500,000    26,025,101 
2021-48A C, 3.04% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/19/33◊,4   5,900,000    5,604,168 
BDS Ltd.          
2021-FL9 C, 3.51% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 11/16/38◊,4   19,500,000    18,536,160 
2020-FL5 B, 3.42% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 02/16/37◊,6   4,400,000    4,190,923 
2021-FL9 D, 3.86% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 11/16/38◊,6   4,400,000   4,040,681 
2020-FL5 AS, 2.97% (1 Month Term SOFR + 1.46%, Rate Floor: 1.35%) due 02/16/37◊,6   3,200,000    3,029,018 
Golub Capital Partners CLO 17 Ltd.          
2017-17A A1R, 2.83% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,4   29,900,000    29,614,007 
BCC Middle Market CLO LLC          
2021-1A A1R, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,4   30,450,000    29,535,599 
Neuberger Berman Loan Advisers CLO 40 Ltd.          
2021-40A B, 2.44% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/16/33◊,4   26,700,000    25,064,825 
2021-40A C, 2.79% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/16/33◊,4   2,000,000    1,869,915 
MidOcean Credit CLO VII          
2020-7A BR, 2.64% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/15/29◊,4   27,500,000    26,317,497 
OCP CLO Ltd.          
2020-4A A2RR, 2.63% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/24/29◊,4   25,500,000    24,911,973 
STWD Ltd.          
2019-FL1 B, 3.05% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 07/15/38◊,6   11,210,000    10,786,941 
2019-FL1 C, 3.40% (1 Month Term SOFR + 2.06%, Rate Floor: 1.95%) due 07/15/38◊,6   8,800,000    8,287,102 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 24.3% (continued)
Collateralized Loan Obligations -  15.3% (continued)        
2021-FL2 C, 3.62% (1 Month USD LIBOR + 2.10%, Rate Floor: 2.10%) due 04/18/38◊,6   2,820,000   $2,614,643 
2019-FL1 AS, 2.85% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 07/15/38◊,6   2,200,000    2,139,285 
BSPDF Issuer Ltd.          
2021-FL1 C, 3.57% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/15/36◊,6   15,300,000    14,088,061 
2021-FL1 B, 3.12% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/36◊,6   6,500,000    6,116,224 
2021-FL1 D, 4.07% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/15/36◊,6   3,500,000    3,096,452 
Madison Park Funding LIII Ltd.          
2022-53A B, 1.94% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,4   24,000,000    22,592,633 
Venture XIV CLO Ltd.          
2020-14A CRR, 3.85% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/28/29◊,4   22,725,000    21,976,173 
Magnetite XXIX Ltd.          
2021-29A B, 2.44% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/15/34◊,4   15,100,000    14,268,744 
2021-29A C, 2.69% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 01/15/34◊,4   7,700,000    7,196,057 
Apres Static CLO Ltd.          
2020-1A A2R, 2.74% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 10/15/28◊,4   21,750,000    21,235,821 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 24.3% (continued)
Collateralized Loan Obligations -  15.3% (continued)        
NewStar Fairfield Fund CLO Ltd.        
2018-2A A1N, 2.33% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/30◊,4   21,171,638   $20,910,318 
Marathon CLO V Ltd.          
2017-5A A2R, 2.96% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/27◊,4   18,020,137    17,807,445 
2017-5A A1R, 2.38% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,4   2,490,902    2,481,613 
Golub Capital Partners CLO 54M L.P          
2021-54A B, 3.21% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 08/05/33◊,4   21,000,000    19,444,872 
Anchorage Capital CLO 6 Ltd.          
2021-6A CRR, 3.24% (3 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 07/15/30◊,4   18,585,000    17,974,330 
AMMC CLO XIV Ltd.          
2021-14A A2R2, 2.58% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/29◊,4   18,290,000    17,640,948 
Recette CLO Ltd.          
2021-1A BRR, 2.46% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 04/20/34◊,4   9,800,000    9,070,207 
2021-1A CRR, 2.81% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 04/20/34◊,4   9,200,000    8,431,969 
Neuberger Berman Loan Advisers CLO 32 Ltd.          
2021-32A BR, 2.44% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/20/32◊,4   14,100,000    13,349,336 
2021-32A CR, 2.74% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 01/20/32◊,4   4,200,000   3,925,399 
BSPRT Issuer Ltd.          
2021-FL7 C, 3.62% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 12/15/38◊,6   7,250,000    6,751,578 
2021-FL6 C, 3.37% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/36◊,6   5,550,000    5,145,716 
2021-FL7 B, 3.37% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 12/15/38◊,6   4,875,000    4,581,756 
Owl Rock CLO VI Ltd.          
2021-6A B1, 3.85% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/21/32◊,4   17,450,000    16,348,729 
KREF          
2021-FL2 C, 3.52% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/39◊,4   16,600,000    15,637,532 
Owl Rock CLO II Ltd.          
2021-2A ALR, 2.61% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/33◊,4   15,600,000    15,273,412 
Dryden 36 Senior Loan Fund          
2020-36A CR3, 3.09% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/15/29◊,4   15,200,000    14,659,879 
Golub Capital Partners CLO 25M Ltd.          
2018-25A AR, 2.74% (3 Month USD LIBOR + 1.38%, Rate Floor: 1.38%) due 05/05/30◊,4   14,537,000    14,376,685 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 24.3% (continued)
Collateralized Loan Obligations -  15.3% (continued)        
Cerberus Loan Funding XXXVI, LP        
2021-6A A, 2.44% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,4   14,128,597   $14,060,047 
Octagon Investment Partners 49 Ltd.          
2021-5A B, 2.59% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/33◊,4   12,800,000    12,050,318 
Diamond CLO Ltd.          
2021-1A A2R, 2.63% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/25/29◊,4   7,021,280    7,018,627 
2021-1A CR, 3.58% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/25/29◊,4   2,300,000    2,281,073 
2021-1A BR, 2.88% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/25/29◊,4   2,150,000    2,149,553 
Greystone Commercial Real Estate Notes          
2021-FL3 C, 3.32% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/15/39◊,6   12,000,000    11,205,478 
Lake Shore MM CLO III LLC          
2021-2A A1R, 2.52% (3 Month USD LIBOR + 1.48%, Rate Floor: 1.48%) due 10/17/31◊,4   10,000,000    9,899,694 
Golub Capital Partners CLO 54M, LP          
2021-54A A, 2.89% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/33◊,4   10,000,000    9,724,611 
Neuberger Berman CLO XVI-S Ltd.          
2021-16SA BR, 2.44% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/34◊,4   10,200,000    9,467,455 
Neuberger Berman Loan Advisers CLO 47 Ltd.        
2022-47A B, 2.05% (3 Month Term SOFR + 1.80%, Rate Floor: 1.80%) due 04/14/35◊,4   9,000,000   8,637,323 
Boyce Park CLO Ltd.          
2022-1A B1, 2.37% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,4   8,800,000    8,206,964 
Dryden 37 Senior Loan Fund          
2015-37A Q,  due 01/15/314,11   10,000,000    7,762,642 
ACRE Commercial Mortgage Ltd.          
2021-FL4 B, 3.01% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 12/18/37◊,6   3,100,000    2,981,604 
2021-FL4 C, 3.36% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 12/18/37◊,6   3,100,000    2,979,845 
HGI CRE CLO Ltd.          
2021-FL2 B, 3.01% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/17/36◊,6   5,000,000    4,797,040 
2021-FL2 C, 3.31% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 09/17/36◊,6   1,000,000    920,703 
Owl Rock CLO I Ltd.          
2019-1A A, 3.28% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 05/20/31◊,4   5,650,000    5,617,542 
Shackleton CLO Ltd.          
2017-8A BR, 2.36% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 10/20/27◊,4   5,510,000    5,386,222 
VOYA CLO          
2021-2A BR, 3.19% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 06/07/30◊,4   4,950,000    4,747,823 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 24.3% (continued)
Collateralized Loan Obligations -  15.3% (continued)        
Atlas Senior Loan Fund III Ltd.        
2017-1A BR, 2.74% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 11/17/27◊,4   4,300,000   $4,195,278 
Northwoods Capital XII-B Ltd.          
2018-12BA B, 3.68% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 06/15/31◊,4   4,000,000    3,855,611 
MF1 Multifamily Housing Mortgage Loan Trust          
2021-FL6 D, 4.07% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 07/16/36◊,6   3,800,000    3,619,530 
BRSP Ltd.          
2021-FL1 D, 4.31% (1 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 08/19/38◊,6   3,800,000    3,519,370 
Carlyle Global Market Strategies CLO Ltd.          
2012-3A SUB,  due 01/14/324,11   8,920,000    2,764,308 
TRTX Issuer Ltd.          
2019-FL3 B, 3.34% (1 Month Term SOFR + 1.86%, Rate Floor: 1.75%) due 10/15/34◊,6   1,500,000    1,455,873 
2019-FL3 A, 2.74% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 10/15/34◊,6   1,209,689    1,204,485 
Wellfleet CLO Ltd.          
2018-2A A2R, 2.64% (3 Month USD LIBOR + 1.58%, Rate Floor: 1.58%) due 10/20/28◊,4   2,500,000    2,419,622 
Allegro CLO VII Ltd.          
2018-1A C, 2.94% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 06/13/31◊,4   2,500,000    2,344,589 
Voya CLO Ltd.          
2013-1A INC,  due 10/15/304,11   10,575,071    2,331,803 
Newfleet CLO Ltd.        
2018-1A A1R, 2.01% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,4   1,075,230   $1,068,217 
Treman Park CLO Ltd.          
2015-1A SUB,  due 10/20/284,11   6,859,005    1,067,261 
Telos CLO Ltd.          
2017-6A B2R, 2.79% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 01/17/27◊,4   1,064,968    1,064,287 
Halcyon Loan Advisors Funding Ltd.          
2017-3A A1R, 1.94% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/27◊,4   722,008    721,574 
Venture XIII CLO Ltd.          
2013-13A SUB,  due 09/10/294,11   3,700,000    518,740 
KVK CLO Ltd.          
2017-1A AR, 1.94% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/28◊,4   471,901    471,697 
Great Lakes CLO Ltd.          
2014-1A SUB,  due 10/15/294,11   461,538    184,399 
Babson CLO Ltd.          
2014-IA SUB,  due 07/20/254,11   1,300,000    88,920 
Atlas Senior Loan Fund IX Ltd.          
2018-9A SUB,  due 04/20/284,11   1,200,000    77,280 
Avery Point II CLO Ltd.          
2013-3X COM ,  due 01/18/2511   2,375,019    17,338 
OHA Credit Partners IX Ltd.          
2013-9A ACOM,  due 10/20/254,11   1,808,219    1,989 
Copper River CLO Ltd.          
2007-1A INC,  due 01/20/216,11   1,500,000    318 
Total Collateralized Loan Obligations        3,045,312,357 
Financial -  2.6%          
HV Eight LLC          
   3.36% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25◊,†††  EUR 107,000,000    111,835,315 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 24.3% (continued)
Financial -  2.6% (continued)        
Strategic Partners Fund VIII LP        
   4.20% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,†††   73,800,000   $73,466,586 
Madison Avenue Secured Funding Trust Series          
2021-1, 2.47% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,4   70,150,000    70,150,000 
Station Place Securitization Trust          
2021-SP1, 3.38% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22◊,†††,4   42,600,000    42,600,000 
HarbourVest Structured Solutions IV Holdings, LP          
   2.58% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††   19,956,425    19,959,191 
   2.58% (3 Month EURIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††  EUR  11,100,000    11,608,045 
Project Onyx          
   2.50% (90 Day Average SOFR + 2.30%, Rate Floor: 2.30%) due 01/26/27◊,†††   31,000,000    31,006,423 
KKR Core Holding Company LLC          
   4.00% due 08/12/31†††   32,280,813    28,512,286 
Ceamer Finance LLC          
   3.69% due 03/22/31†††   23,066,908    21,362,626 
Bib Merchant Voucher Receivables Ltd.          
   4.18% due 04/07/28†††   19,951,298    19,435,015 
Aesf Vi Verdi, LP          
   2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,†††  EUR  10,084,873    10,523,836 
    3.16% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24◊,†††   8,197,841    8,200,212 
Oxford Finance Funding          
2020-1A, 3.10% due 02/15/284   17,448,141    17,289,026 
Thunderbird A          
   5.50% due 03/01/37†††   16,733,000    16,733,000 
Lightning A          
   5.50% due 03/01/37†††   16,733,000    16,733,000 
Nassau LLC        
2019-1, 3.98% due 08/15/344   15,238,043   14,781,420 
Lam Trade Finance Group LLC          
   2.50% due 09/29/22†††   11,000,000    10,988,024 
Industrial DPR Funding Ltd.          
2016-1A, 5.24% due 04/15/264   2,462,015    2,460,530 
Total Financial        527,644,535 
Transport-Aircraft -  2.2%          
AASET Trust          
2021-1A, 2.95% due 11/16/414   71,837,606    60,100,217 
2021-2A, 2.80% due 01/15/474   23,878,367    20,363,318 
2020-1A, 3.35% due 01/16/404   17,808,499    14,937,417 
2019-1, 3.84% due 05/15/394   9,899,264    6,801,904 
2017-1A, 3.97% due 05/16/424   6,350,477    5,270,127 
2019-2, 3.38% due 10/16/394   2,047,999    1,557,137 
Castlelake Aircraft Structured Trust          
2021-1A, 3.47% due 01/15/464   57,113,370    50,827,724 
Navigator Aircraft ABS Ltd.          
2021-1, 2.77% due 11/15/464   46,570,639    41,459,264 
AASET US Ltd.          
2018-2A, 4.45% due 11/18/384   40,558,228    34,449,985 
Lunar Structured Aircraft Portfolio Notes          
2021-1, 2.64% due 10/15/464   37,580,906    34,205,168 
Sprite Ltd.          
2021-1, 3.75% due 11/15/464   35,795,466    32,376,902 
Sapphire Aviation Finance II Ltd.          
2020-1A, 3.23% due 03/15/404   29,149,518    25,489,481 
KDAC Aviation Finance Ltd.          
2017-1A, 4.21% due 12/15/424   30,137,065    23,958,967 
Sapphire Aviation Finance I Ltd.          
2018-1A, 4.25% due 03/15/404   26,945,665    22,475,853 
MAPS Ltd.          
2018-1A, 4.21% due 05/15/434   19,610,250    18,167,799 
WAVE LLC          
2019-1, 3.60% due 09/15/444   20,010,919    16,299,534 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 24.3% (continued)
Transport-Aircraft -  2.2% (continued)        
Falcon Aerospace Ltd.        
2019-1, 3.60% due 09/15/394   12,044,330   $10,170,848 
2017-1, 4.58% due 02/15/424   5,031,208    4,668,112 
Castlelake Aircraft Securitization Trust          
2018-1, 4.13% due 06/15/434   14,607,317    13,128,318 
2016-1, 4.45% due 08/15/41   166,284    152,821 
Raspro Trust          
2005-1A, 1.99% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,†††,4   10,637,384    10,130,293 
Slam Ltd.          
2021-1A, 3.42% due 06/15/464   1,406,250    1,188,507 
Stripes Aircraft Ltd.          
2013-1 A1, 5.11% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/20/23◊,†††   237,922    233,365 
Total Transport-Aircraft        448,413,061 
Whole Business -  1.4%          
Arbys Funding LLC          
2020-1A, 3.24% due 07/30/504   95,842,876    86,108,977 
SERVPRO Master Issuer LLC          
2021-1A, 2.39% due 04/25/514   29,997,000    25,684,571 
2022-1A, 3.13% due 01/25/524   23,441,250    20,355,233 
Taco Bell Funding LLC          
2021-1A, 2.29% due 08/25/514   23,452,150    19,665,425 
2016-1A, 4.97% due 05/25/464   14,582,500    14,488,020 
ServiceMaster Funding LLC          
2020-1, 3.34% due 01/30/514   28,933,750    24,164,687 
2020-1, 2.84% due 01/30/514   9,677,500    8,328,679 
Wingstop Funding LLC          
2020-1A, 2.84% due 12/05/504   25,372,500    22,541,183 
2022-1A, 3.73% due 03/05/524   10,300,000    9,175,003 
Domino's Pizza Master Issuer LLC          
2017-1A, 4.12% due 07/25/474   10,293,125    9,835,441 
2021-1A, 3.15% due 04/25/514   9,237,690    7,892,257 
Wendy's Funding LLC          
2019-1A, 3.78% due 06/15/494   12,379,950    11,892,230 
2019-1A, 4.08% due 06/15/494   1,532,625   1,441,202 
DB Master Finance LLC          
2019-1A, 4.35% due 05/20/494   7,675,943    7,155,928 
2021-1A, 2.79% due 11/20/514   6,716,250    5,533,270 
Sonic Capital LLC          
2021-1A, 2.64% due 08/20/514   11,501,090    9,199,630 
Applebee's Funding LLC / IHOP Funding LLC          
2019-1A, 4.19% due 06/05/494   3,356,100    3,255,793 
Total Whole Business        286,717,529 
Collateralized Debt Obligations -  1.0%          
Anchorage Credit Funding 4 Ltd.          
2021-4A AR, 2.72% due 04/27/394   108,450,000    94,811,491 
2021-4A BR, 3.12% due 04/27/396   16,250,000    13,785,653 
Anchorage Credit Funding 3 Ltd.          
2021-3A A1R, 2.87% due 01/28/394   54,000,000    47,876,227 
Anchorage Credit Funding Ltd.          
2021-13A A1, 2.88% due 07/27/394   32,850,000    28,763,204 
2021-13A B1, 3.23% due 07/27/396   6,345,000    5,374,131 
2021-13A C2, 3.65% due 07/27/396   1,950,000    1,617,855 
Total Collateralized Debt Obligations        192,228,561 
Net Lease -  0.8%          
STORE Master Funding I-VII          
2016-1A, 3.96% due 10/20/464   27,775,362    26,309,556 
2016-1A, 4.32% due 10/20/464   11,261,885    10,677,969 
Capital Automotive REIT          
2020-1A, 3.48% due 02/15/504   22,130,135    20,649,729 
2021-1A, 2.76% due 08/15/514   6,598,625    5,342,494 
CARS-DB4, LP          
2020-1A, 3.81% due 02/15/504   19,965,469    18,201,608 
2020-1A, 3.25% due 02/15/504   3,420,878    3,047,443 
CMFT Net Lease Master Issuer LLC          
2021-1, 2.91% due 07/20/514   10,050,000    8,751,189 
2021-1, 3.04% due 07/20/514   5,050,000    4,232,144 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 24.3% (continued)
Net Lease -  0.8% (continued)        
2021-1, 3.44% due 07/20/514   3,215,000   $2,731,100 
2021-1, 2.51% due 07/20/514   3,000,000    2,592,383 
Oak Street Investment Grade Net Lease Fund Series          
2020-1A, 2.26% due 11/20/504   15,000,000    13,768,422 
STORE Master Funding I LLC          
2015-1A, 4.17% due 04/20/454   9,592,494    9,306,910 
CF Hippolyta Issuer LLC          
2020-1, 2.28% due 07/15/604   10,125,538    9,082,855 
New Economy Assets Phase 1 Sponsor LLC          
2021-1, 2.41% due 10/20/614   10,000,000    8,655,803 
CF Hippolyta LLC          
2020-1, 2.60% due 07/15/604   4,413,814    3,751,558 
STORE Master Funding LLC          
2021-1A, 3.70% due 06/20/514   3,565,085    3,037,308 
Capital Automotive LLC          
2017-1A, 4.18% due 04/15/474   269,920    270,010 
Total Net Lease        150,408,481 
Single Family Residence -  0.4%          
Home Partners of America Trust          
2021-2, 2.65% due 12/17/264   47,371,579    42,062,121 
2021-3, 2.80% due 01/17/414   15,991,336    14,314,825 
FirstKey Homes Trust          
2021-SFR1, 2.19% due 08/17/384   8,174,000    7,205,228 
Tricon Residential Trust          
2021-SFR1, 2.59% due 07/17/384   7,000,000    6,251,991 
Total Single Family Residence        69,834,165 
Transport-Container -  0.3%          
Textainer Marine Containers VII Ltd.          
2020-1A, 2.73% due 08/21/454   55,802,260    52,300,316 
MC Ltd.        
2021-1, 2.63% due 11/05/354   11,496,658   10,204,543 
Total Transport-Container        62,504,859 
Infrastructure -  0.3%          
VB-S1 Issuer LLC          
2022-1A, 4.29% due 02/15/524   40,900,000    37,077,445 
Secured Tenant Site Contract Revenue Notes Series          
2018-1A, 3.97% due 06/15/484   21,232,760    20,981,878 
Hotwire Funding LLC          
2021-1, 2.66% due 11/20/514   4,025,000    3,545,821 
Total Infrastructure        61,605,144 
Insurance -  0.0%          
JGWPT XXIII LLC          
2011-1A, 4.70% due 10/15/564   2,510,326    2,501,677 
JGWPT XXIV LLC          
2011-2A, 4.94% due 09/15/564   1,810,799    1,849,705 
321 Henderson Receivables VI LLC          
2010-1A, 5.56% due 07/15/594   879,794    893,541 
Total Insurance        5,244,923 
Diversified Payment Rights -  0.0%          
CCR Incorporated MT100 Payment Rights Master Trust          
2012-CA, 4.75% due 07/10/224   11,310    11,260 
Total Asset-Backed Securities          
(Cost $5,144,645,410)        4,849,924,875 
           
U.S. GOVERNMENT SECURITIES†† - 14.5%          
U.S. Treasury Bonds          
2.00% due 08/15/51   800,000,000    618,281,248 
1.88% due 02/15/518   330,000,000    247,538,673 
 due 02/15/468,12,13   354,745,000    156,524,956 
 due 05/15/4412,13   302,165,000    140,220,569 
 due 11/15/5112,13   275,000,000    110,003,429 
1.88% due 11/15/51   100,000,000    75,031,250 
 due 02/15/5212,13   143,820,000    57,668,037 
 due 11/15/4412,13   70,650,000    32,155,142 
 due 08/15/5112,13   43,990,000    17,670,259 
2.88% due 08/15/45   2,630,000    2,389,191 
2.38% due 11/15/49   2,300,000    1,942,602 
1.38% due 08/15/50   2,450,000    1,612,693 
2.75% due 11/15/42   700,000    626,801 
U.S. Treasury Notes          
2.88% due 05/15/328   1,056,780,000    1,044,891,225 
2.63% due 05/31/278   244,730,000    240,103,073 
2.38% due 03/31/29   7,200,000    6,892,031 
2.25% due 08/15/27   3,370,000    3,236,911 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
U.S. GOVERNMENT SECURITIES†† - 14.5% (continued)
0.50% due 05/31/27   2,600,000   $2,296,125 
1.50% due 10/31/24   2,100,000    2,028,879 
2.00% due 04/30/24   2,000,000    1,965,078 
1.50% due 01/31/27   2,000,000    1,867,344 
2.13% due 05/15/25   880,000    858,447 
1.38% due 11/15/31   347,000    300,968 
U.S. Treasury Strip Principal          
 due 02/15/5112,13   310,000,000    125,809,371 
Total U.S. Government Securities          
(Cost $3,201,591,206)        2,891,914,302 
           
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 13.0%          
Residential Mortgage-Backed Securities -  8.5%          
CSMC Trust          
2020-RPL5, 3.02% (WAC) due 08/25/60◊,4   77,274,497    74,535,927 
2021-RPL7, 1.93% (WAC) due 07/27/61◊,4   66,695,257    61,981,449 
2021-RPL4, 1.80% (WAC) due 12/27/60◊,4   44,158,973    41,526,873 
2021-RPL1, 1.67% (WAC) due 09/27/60◊,4   30,247,864    28,626,720 
BRAVO Residential Funding Trust          
2022-R1, 3.13% due 01/29/704,14   82,679,582    74,743,764 
2021-C, 1.62% due 03/01/614,14   70,879,355    65,648,671 
2021-HE1, 2.43% (30 Day Average SOFR + 1.50%, Rate Floor: 0.00%) due 01/25/70◊,4   7,500,000    7,383,158 
FKRT          
2.21% due 11/30/58†††,6   117,200,000    112,243,952 
PRPM LLC          
2021-5, 1.79% due 06/25/264,14   67,937,423    63,577,424 
2021-8, 1.74% (WAC) due 09/25/26◊,4   38,228,554    35,560,966 
2022-1, 3.72% due 02/25/274,14   9,320,629    8,954,604 
Legacy Mortgage Asset Trust          
2021-GS2, 1.75% due 04/25/614,14   44,090,659    41,333,013 
2021-GS3, 1.75% due 07/25/614,14   39,286,182    36,134,515 
2021-GS5, 2.25% due 07/25/674,14   25,102,182    23,387,695 
Towd Point Revolving Trust          
4.83% due 09/25/646   81,500,000    78,885,097 
Morgan Stanley ABS Capital I Incorporated Trust          
2006-NC5, 1.77% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/36   26,590,041    14,764,631 
2007-HE5, 1.96% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 03/25/37   28,002,401   13,226,573 
2006-HE6, 2.10% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 09/25/36   23,997,200    9,644,184 
2006-HE5, 1.90% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 08/25/36   13,888,407    7,684,457 
2006-HE4, 2.10% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 06/25/36   8,725,297    4,991,761 
2006-HE5, 2.12% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 08/25/36   8,321,830    4,558,622 
2007-HE2, 1.75% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 01/25/37   8,485,432    4,438,318 
2007-HE3, 1.73% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 12/25/36   5,903,758    3,207,148 
2007-NC3, 1.81% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 05/25/37   3,656,641    2,790,127 
2007-HE6, 1.68% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/37   2,661,383    2,338,153 
2007-HE3, 1.75% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/36◊,4   2,147,299    1,396,499 
2006-HE6, 1.92% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 09/25/36   3,041,899    1,210,137 
LSTAR Securities Investment Ltd.          
2021-1, 2.86% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,6   41,840,028    40,786,203 
2021-2, 2.76% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,6   26,552,973    26,063,206 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 13.0% (continued)
Residential Mortgage-Backed Securities -  8.5% (continued)        
OSAT Trust        
2021-RPL1, 2.12% due 05/25/654,14   65,522,471   $61,556,101 
Home Equity Loan Trust          
2007-FRE1, 1.81% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37   57,612,979    53,940,417 
JP Morgan Mortgage Acquisition Trust          
2006-WMC4, 1.75% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/36   65,954,799    45,065,226 
2006-WMC4, 1.74% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/36   12,089,492    6,950,384 
2006-WMC3, 2.10% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 08/25/36   1,948,912    1,441,993 
Soundview Home Loan Trust          
2006-OPT5, 1.76% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/36   37,879,081    36,069,544 
GSAMP Trust          
2007-NC1, 1.75% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/46   26,691,505    15,333,076 
2006-HE8, 1.85% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/37   10,107,000    8,793,713 
2006-NC2, 1.92% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 06/25/36   6,566,141    4,008,948 
2007-NC1, 1.77% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/46   5,955,265    3,118,362 
Alternative Loan Trust          
2007-OA4, 1.96% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 05/25/47   17,337,601    15,143,495 
2007-OH3, 2.20% (1 Month USD LIBOR + 0.58%, Rate Cap/Floor: 10.00%/0.58%) due 09/25/47   6,788,332    6,034,224 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 13.0% (continued)
Residential Mortgage-Backed Securities -  8.5% (continued)        
2006-43CB, 6.00% (1 Month USD LIBOR + 0.50%, Rate Cap/Floor: 6.00%/6.00%) due 02/25/37   6,301,790   $3,973,791 
2007-OA7, 1.98% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 05/25/47   2,648,937    2,288,508 
2007-OH3, 2.06% (1 Month USD LIBOR + 0.44%, Rate Cap/Floor: 10.00%/0.44%) due 09/25/47   674,784    594,868 
NovaStar Mortgage Funding Trust Series          
2007-2, 1.82% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37   26,524,907    25,547,770 
2007-1, 1.75% (1 Month USD LIBOR + 0.13%, Rate Cap/Floor: 11.00%/0.13%) due 03/25/37   3,014,494    2,116,485 
Imperial Fund Mortgage Trust          
2022-NQM2, 4.02% (WAC) due 03/25/67◊,4   14,018,269    13,338,254 
2022-NQM2, 4.20% (WAC) due 03/25/67◊,4   13,780,064    13,036,071 
Structured Asset Securities Corporation Mortgage Loan Trust          
2008-BC4, 2.25% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/37   23,229,301    22,666,666 
2006-BC4, 1.96% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 12/25/36   2,506,194    2,437,168 
2006-BC6, 1.79% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 01/25/37   187,211    184,535 
2006-OPT1, 1.88% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/25/36   21,992    21,853 
ACE Securities Corporation Home Equity Loan Trust Series        
2006-NC1, 2.24% (1 Month USD LIBOR + 0.62%, Rate Floor: 0.62%) due 12/25/35   16,761,000   15,981,867 
2007-ASP1, 2.02% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 03/25/37   8,477,246    4,222,887 
2007-WM2, 1.83% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 02/25/37   6,607,170    3,249,780 
Citigroup Mortgage Loan Trust, Inc.          
2007-AMC1, 1.78% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 12/25/36◊,4   22,340,899    12,687,285 
2007-AMC3, 1.80% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 03/25/37   6,556,494    5,720,903 
2006-WF1, 5.05% due 03/25/36   8,320,960    4,598,640 
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust          
2006-AR9, 1.31% (1 Year CMT Rate + 0.83%, Rate Floor: 0.83%) due 11/25/46   9,661,556    8,247,096 
2006-AR10, 1.96% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 12/25/36   8,816,536    8,141,986 
2006-AR9, 1.32% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46   4,140,669    3,425,782 
2006-7, 4.06% due 09/25/36   5,402,982    1,787,874 
2006-8, 4.17% due 10/25/36   356,113    143,343 
Starwood Mortgage Residential Trust          
2020-1, 2.56% (WAC) due 02/25/50◊,4   12,023,568    11,587,905 
2020-1, 2.41% (WAC) due 02/25/50◊,4   9,248,898    8,958,929 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 13.0% (continued)
Residential Mortgage-Backed Securities -  8.5% (continued)        
IXIS Real Estate Capital Trust        
2007-HE1, 1.73% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 05/25/37   33,468,951   $8,907,015 
2006-HE1, 2.22% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/36   12,229,756    6,710,284 
2007-HE1, 1.85% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 05/25/37   6,351,928    1,696,855 
2007-HE1, 1.78% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 05/25/37   5,965,620    1,590,513 
2007-HE1, 1.68% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/37   4,963,120    1,318,237 
American Home Mortgage Investment Trust          
2007-1, 2.08% due 05/25/4710   131,792,435    19,762,236 
Credit Suisse Mortgage Capital Certificates          
2021-RPL9, 2.44% (WAC) due 02/25/61◊,4   20,058,196    18,671,531 
SPS Servicer Advance Receivables Trust          
2020-T2, 1.83% due 11/15/554   20,000,000    18,240,544 
Merrill Lynch Mortgage Investors Trust Series          
2007-HE2, 2.14% (1 Month USD LIBOR + 0.52%, Rate Floor: 0.52%) due 02/25/37   33,194,977    11,153,124 
2006-HE6, 1.90% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 11/25/37   8,918,605    5,444,948 
Cascade Funding Mortgage Trust          
2018-RM2, 4.00% (WAC) due 10/25/68◊,6   9,733,720    9,549,372 
2019-RM3, 2.80% (WAC) due 06/25/69◊,6   5,974,768    5,805,989 
Lehman XS Trust Series          
2007-4N, 1.82% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 03/25/47   9,006,588    8,619,313 
2007-2N, 1.80% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 02/25/37   5,240,561   4,906,971 
2007-15N, 1.87% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.00%) due 08/25/37   1,588,451    1,466,329 
2006-10N, 2.04% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 07/25/46   337,669    331,220 
RALI Series Trust          
2007-QO4, 2.00% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 05/25/47   4,444,625    4,068,354 
2006-QO2, 2.06% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/46   16,587,266    3,780,903 
2007-QO2, 1.77% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 02/25/47   7,658,028    3,166,640 
2006-QO2, 2.16% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 02/25/46   5,379,167    1,263,079 
2006-QO6, 1.98% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/46   4,735,048    1,175,544 
2007-QO3, 1.94% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 03/25/47   904,537    812,970 
Ameriquest Mortgage Securities Trust          
2006-M3, 1.78% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 10/25/36   27,777,006    9,908,883 
2006-M3, 1.72% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/36   11,668,208    4,157,216 
First NLC Trust          
2005-4, 2.40% (1 Month USD LIBOR + 0.78%, Rate Cap/Floor: 14.00%/0.78%) due 02/25/36   10,888,602    10,625,884 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 13.0% (continued)
Residential Mortgage-Backed Securities -  8.5% (continued)        
2005-1, 2.08% (1 Month USD LIBOR + 0.46%, Rate Cap/Floor: 14.00%/0.46%) due 05/25/35   2,347,559   $2,123,304 
ABFC Trust          
2007-WMC1, 2.87% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 06/25/37   16,301,896    12,277,794 
Bear Stearns Asset-Backed Securities I Trust          
2006-HE9, 1.76% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.28%) due 11/25/36   12,433,459    12,022,468 
Securitized Asset-Backed Receivables LLC Trust          
2006-WM4, 1.78% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 11/25/36   30,974,604    10,234,576 
2006-HE2, 1.92% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/36   3,427,836    1,620,198 
GCAT 2022-NQM3 Trust          
2022-NQM3, 4.35% (WAC) due 04/25/67◊,4   12,217,763    11,641,017 
HarborView Mortgage Loan Trust          
2006-14, 1.91% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 01/25/47   7,067,664    6,248,707 
2006-12, 1.79% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/19/38   5,396,665    4,871,839 
Merrill Lynch Alternative Note Asset Trust Series          
2007-A1, 2.08% (1 Month USD LIBOR + 0.46%, Rate Floor: 0.46%) due 01/25/37   19,981,876    7,549,586 
2007-A1, 1.92% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 01/25/37   7,577,461    2,829,183 
First Franklin Mortgage Loan Trust          
2006-FF16, 1.90% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 12/25/36   21,299,936    10,208,440 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 13.0% (continued)
Residential Mortgage-Backed Securities -  8.5% (continued)        
Fremont Home Loan Trust        
2006-E, 1.74% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 01/25/37   12,294,716   $5,756,569 
2006-D, 1.77% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/36   10,789,357    4,240,090 
Asset-Backed Securities Corporation Home Equity Loan Trust Series AEG          
2006-HE1, 2.22% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 01/25/36   9,852,545    9,584,166 
Securitized Asset-Backed Receivables LLC Trust 2007-BR2          
2007-BR2, 1.80% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 02/25/37◊,4   11,116,644    9,379,214 
Master Asset-Backed Securities Trust          
2006-WMC4, 1.77% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/36   11,006,406    3,864,921 
2006-NC2, 2.10% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 08/25/36   8,015,237    3,370,626 
2007-WMC1, 1.78% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 01/25/37   6,086,418    2,015,700 
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series          
2005-W4, 2.38% (1 Month USD LIBOR + 0.76%, Rate Floor: 0.76%) due 02/25/36   10,195,989    8,242,521 
Long Beach Mortgage Loan Trust          
2006-8, 1.94% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/36   15,049,503    4,801,912 
2006-6, 2.12% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 07/25/36   4,683,660    1,997,590 
2006-8, 1.80% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 09/25/36   4,016,431   1,275,431 
Credit-Based Asset Servicing and Securitization LLC          
2006-CB2, 2.00% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 12/25/36   8,503,951    8,010,898 
WaMu Asset-Backed Certificates WaMu Series          
2007-HE4, 1.79% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/47   5,230,068    4,006,346 
2007-HE4, 1.87% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/47   3,589,275    2,361,110 
WaMu Mortgage Pass-Through Certificates Series Trust          
2007-OA6, 1.29% (1 Year CMT Rate + 0.81%, Rate Floor: 0.81%) due 07/25/47   4,884,474    4,094,133 
2006-AR13, 1.36% (1 Year CMT Rate + 0.88%, Rate Floor: 0.88%) due 10/25/46   1,523,878    1,336,144 
2006-AR11, 1.40% (1 Year CMT Rate + 0.92%, Rate Floor: 0.92%) due 09/25/46   712,126    628,169 
Deutsche Alt-A Securities Mortgage Loan Trust Series          
2006-AR4, 1.88% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 12/25/36   10,110,060    3,923,088 
2007-OA2, 1.25% (1 Year CMT Rate + 0.77%, Rate Floor: 0.77%) due 04/25/47   2,270,798    2,101,834 
COLT Mortgage Loan Trust          
2021-2, 2.38% (WAC) due 08/25/66◊,4   7,108,000    5,530,362 
GSAA Home Equity Trust          
2006-5, 1.98% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 03/25/36   13,187,009    5,321,351 
2007-7, 2.16% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/37   68,044    66,299 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 13.0% (continued)
Residential Mortgage-Backed Securities -  8.5% (continued)        
Impac Secured Assets CMN Owner Trust        
2005-2, 2.12% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 03/25/36   5,874,752   $5,360,084 
American Home Mortgage Assets Trust          
2006-4, 1.81% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 10/25/46   7,275,756    4,149,655 
2006-6, 1.81% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 12/25/46   1,416,809    1,195,079 
Option One Mortgage Loan Trust          
2007-2, 1.87% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 03/25/37   5,144,977    2,887,372 
2007-5, 1.84% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 05/25/37   2,233,081    1,488,941 
ASG Resecuritization Trust          
2010-3, 1.59% (1 Month USD LIBOR + 0.29%, Rate Cap/Floor: 10.50%/0.29%) due 12/28/45◊,4   2,897,535    2,746,689 
Master Asset-Backed Securities Trust          
2006-WMC3, 1.78% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/36   5,870,309    2,293,604 
Morgan Stanley Capital I Incorporated Trust          
2006-HE1, 2.20% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 01/25/36   2,060,904    1,993,485 
Countrywide Asset-Backed Certificates          
2005-15, 2.07% (1 Month USD LIBOR + 0.45%, Rate Floor: 0.45%) due 03/25/36   1,439,470    1,415,612 
Residential Mortgage Loan Trust          
2020-1, 2.68% (WAC) due 01/26/60◊,4   1,425,302    1,373,370 
Structured Asset Investment Loan Trust        
2006-3, 1.77% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 06/25/36   428,253   415,747 
2004-BNC2, 2.82% (1 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 12/25/34   338,695    333,460 
Nomura Resecuritization Trust          
2015-4R, 2.37% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/36◊,4   813,150    739,082 
Impac Secured Assets Trust          
2006-2, 1.96% (1 Month USD LIBOR + 0.34%, Rate Cap/Floor: 11.50%/0.34%) due 08/25/36   674,755    599,447 
Morgan Stanley Resecuritization Trust          
2014-R9, 1.14% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 11/26/46◊,4   569,990    561,967 
Alliance Bancorp Trust          
2007-OA1, 2.10% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 07/25/37   575,461    496,649 
UCFC Manufactured Housing Contract          
1997-2, 7.38% due 10/15/28   205,167    198,926 
Morgan Stanley Re-REMIC Trust          
2010-R5, 2.55% due 06/26/364   137,814    124,597 
Irwin Home Equity Loan Trust          
2007-1, 6.35% due 08/25/374   1,154    1,127 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 13.0% (continued)
Residential Mortgage-Backed Securities -  8.5% (continued)        
GreenPoint Mortgage Funding Trust        
2007-AR1, 1.70% (1 Month USD LIBOR + 0.08%, Rate Floor: 0.08%) due 02/25/47   21   $21 
Total Residential Mortgage-Backed Securities        1,689,084,030 
Commercial Mortgage-Backed Securities -  1.8%          
BX Commercial Mortgage Trust          
2021-VOLT, 3.32% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/36◊,4   60,050,000    55,939,193 
2021-VOLT, 2.97% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/36◊,4   52,000,000    48,618,981 
2019-XL, 3.32% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/15/36◊,4   6,162,500    5,914,494 
2022-LP2, 3.30% (1 Month Term SOFR + 1.96%, Rate Floor: 1.96%) due 02/15/39◊,4   5,883,098    5,471,779 
JP Morgan Chase Commercial Mortgage Securities Trust          
2021-NYAH, 3.16% (1 Month USD LIBOR + 1.84%, Rate Floor: 1.84%) due 06/15/38◊,4   14,350,000    13,137,758 
2016-JP3, 3.57% (WAC) due 08/15/49   10,290,000    9,190,792 
2021-NYAH, 3.51% (1 Month USD LIBOR + 2.19%, Rate Floor: 2.19%) due 06/15/38◊,4   8,000,000    7,289,423 
2016-JP3, 1.52% (WAC) due 08/15/49◊,10   64,167,156    2,791,746 
SMRT          
2022-MINI, 3.23% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 01/15/39◊,4   32,500,000    30,385,888 
Life Mortgage Trust        
2021-BMR, 3.67% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 03/15/38◊,4   19,167,918   17,845,297 
2021-BMR, 3.07% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/15/38◊,4   5,160,593    4,810,677 
Citigroup Commercial Mortgage Trust          
2019-GC43, 0.75% (WAC) due 11/10/52◊,10   218,956,599    7,751,392 
2019-GC41, 1.18% (WAC) due 08/10/56◊,10   104,389,965    5,487,572 
2016-C2, 1.88% (WAC) due 08/10/49◊,10   32,823,885    1,767,277 
2016-P4, 2.05% (WAC) due 07/10/49◊,10   28,783,110    1,668,779 
2016-P5, 1.53% (WAC) due 10/10/49◊,10   25,545,431    1,170,456 
2016-GC37, 1.84% (WAC) due 04/10/49◊,10   18,636,678    911,470 
2015-GC35, 0.87% (WAC) due 11/10/48◊,10   28,670,883    566,253 
2015-GC29, 1.16% (WAC) due 04/10/48◊,10   18,607,567    427,157 
2013-GC15, 4.37% (WAC) due 09/10/46   380,000    379,730 
2016-C3, 1.16% (WAC) due 11/15/49◊,10   10,284,434    357,045 
Extended Stay America Trust          
2021-ESH, 3.58% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/15/38◊,4   12,423,539    11,986,780 
2021-ESH, 3.03% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/15/38◊,4   6,410,546    6,201,265 
Wells Fargo Commercial Mortgage Trust          
2017-C38, 1.14% (WAC) due 07/15/50◊,10   66,247,149    2,537,988 
2016-BNK1, 1.86% (WAC) due 08/15/49◊,10   35,256,833    1,932,166 
2017-RB1, 1.34% (WAC) due 03/15/50◊,10   35,234,077    1,533,796 
2016-C32, 4.88% (WAC) due 01/15/59   1,400,000    1,368,206 
2016-C35, 2.04% (WAC) due 07/15/48◊,10   23,165,778    1,332,398 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 13.0% (continued)
Commercial Mortgage-Backed Securities -  1.8% (continued)        
2017-C42, 1.02% (WAC) due 12/15/50◊,10   34,658,380   $1,329,717 
2015-NXS4, 1.18% (WAC) due 12/15/48◊,10   38,340,704    1,081,982 
2017-RC1, 1.63% (WAC) due 01/15/60◊,10   19,915,017    1,000,148 
2016-NXS5, 1.59% (WAC) due 01/15/59◊,10   23,038,607    889,949 
2015-C30, 1.03% (WAC) due 09/15/58◊,10   29,360,879    672,405 
2015-P2, 1.09% (WAC) due 12/15/48◊,10   22,906,979    615,156 
2016-C37, 0.96% (WAC) due 12/15/49◊,10   11,796,221    313,542 
2015-NXS1, 1.21% (WAC) due 05/15/48◊,10   8,222,213    189,466 
BENCHMARK Mortgage Trust          
2020-IG3, 3.23% (WAC) due 09/15/48◊,4   5,232,000    4,040,240 
2019-B14, 0.91% (WAC) due 12/15/62◊,10   108,872,277    3,924,737 
2018-B2, 0.54% (WAC) due 02/15/51◊,10   120,423,805    1,942,857 
2018-B6, 0.57% (WAC) due 10/10/51◊,10   60,684,667    1,010,661 
2018-B6, 4.76% (WAC) due 10/10/51   750,000    725,303 
GS Mortgage Securities Trust          
2020-GC45, 0.79% (WAC) due 02/13/53◊,10   153,526,516    5,593,186 
2019-GC42, 0.93% (WAC) due 09/01/52◊,10   69,509,617    2,984,361 
2017-GS6, 1.16% (WAC) due 05/10/50◊,10   41,711,979    1,711,726 
2017-GS6, 3.87% due 05/10/50   521,000    490,136 
2015-GC28, 1.12% (WAC) due 02/10/48◊,10   15,021,236    300,356 
JPMDB Commercial Mortgage Securities Trust          
2017-C7, 0.99% (WAC) due 10/15/50◊,10   130,961,389    4,314,981 
2016-C4, 3.64% (WAC) due 12/15/49   2,650,000    2,421,317 
2016-C4, 0.88% (WAC) due 12/15/49◊,10   82,275,747    2,225,691 
2016-C2, 1.70% (WAC) due 06/15/49◊,10   26,140,475    1,047,653 
2017-C5, 1.04% (WAC) due 03/15/50◊,10   7,635,388    238,901 
GS Mortgage Securities Corporation Trust          
2020-UPTN, 3.35% (WAC) due 02/10/37◊,4   5,350,000    4,863,217 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 13.0% (continued)
Commercial Mortgage-Backed Securities -  1.8% (continued)        
2020-DUNE, 2.67% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 12/15/36◊,4   3,750,000   $3,671,274 
2020-DUNE, 3.22% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/15/36◊,4   1,000,000    964,170 
COMM Mortgage Trust          
2018-COR3, 0.58% (WAC) due 05/10/51◊,10   196,515,699    4,304,185 
2015-CR26, 1.06% (WAC) due 10/10/48◊,10   79,070,491    1,831,083 
2015-CR24, 0.89% (WAC) due 08/10/48◊,10   44,379,316    840,806 
2015-CR23, 1.02% (WAC) due 05/10/48◊,10   39,146,399    762,454 
2015-CR23, 3.80% due 05/10/48   700,000    683,748 
2015-CR27, 1.06% (WAC) due 10/10/48◊,10   25,769,169    624,696 
2013-CR13, 0.89% (WAC) due 11/10/46◊,10   35,041,620    310,665 
2014-LC15, 1.22% (WAC) due 04/10/47◊,10   9,158,508    124,539 
DBGS Mortgage Trust          
2018-C1, 4.78% (WAC) due 10/15/51   7,588,000    7,359,288 
KKR Industrial Portfolio Trust          
2021-KDIP, 2.87% (1 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 12/15/37◊,4   6,562,500    6,199,858 
CSAIL Commercial Mortgage Trust          
2019-C15, 1.20% (WAC) due 03/15/52◊,10   94,798,187    4,602,670 
2015-C1, 0.96% (WAC) due 04/15/50◊,10   49,650,796    785,034 
2016-C6, 2.03% (WAC) due 01/15/49◊,10   4,984,069    275,714 
BANK          
2020-BN25, 0.53% (WAC) due 01/15/63◊,10   140,000,000    3,784,998 
2017-BNK6, 0.92% (WAC) due 07/15/60◊,10   39,741,840    1,198,455 
2017-BNK4, 1.49% (WAC) due 05/15/50◊,10   11,668,755    554,756 
UBS Commercial Mortgage Trust          
2017-C2, 1.15% (WAC) due 08/15/50◊,10   46,810,215    1,836,711 
2017-C5, 1.12% (WAC) due 11/15/50◊,10   46,982,474   1,748,072 
CD Mortgage Trust          
2017-CD6, 1.06% (WAC) due 11/13/50◊,10   44,392,126    1,317,549 
2016-CD1, 1.50% (WAC) due 08/10/49◊,10   29,698,281    1,244,477 
2016-CD2, 0.70% (WAC) due 11/10/49◊,10   29,960,249    573,038 
CD Commercial Mortgage Trust          
2017-CD4, 1.39% (WAC) due 05/10/50◊,10   30,468,635    1,199,858 
2017-CD3, 1.12% (WAC) due 02/10/50◊,10   32,237,440    1,094,239 
BBCMS Mortgage Trust          
2018-C2, 0.93% (WAC) due 12/15/51◊,10   57,667,659    2,210,419 
JPMCC Commercial Mortgage Securities Trust          
2017-JP6, 1.20% (WAC) due 07/15/50◊,10   49,898,643    1,893,768 
CGMS Commercial Mortgage Trust          
2017-B1, 0.89% (WAC) due 08/15/50◊,10   59,744,721    1,883,697 
JPMBB Commercial Mortgage Securities Trust          
2015-C27, 1.29% (WAC) due 02/15/48◊,10   67,804,625    1,635,949 
2013-C12, 0.53% (WAC) due 07/15/45◊,10   31,191,244    80,364 
Morgan Stanley Bank of America Merrill Lynch Trust          
2015-C27, 1.02% (WAC) due 12/15/47◊,10   62,671,729    1,336,562 
CFCRE Commercial Mortgage Trust          
2016-C3, 1.15% (WAC) due 01/10/48◊,10   37,447,149    1,081,444 
Bank of America Merrill Lynch Commercial Mortgage Trust          
2017-BNK3, 1.16% (WAC) due 02/15/50◊,10   21,404,604    815,098 
DBJPM Mortgage Trust          
2017-C6, 1.10% (WAC) due 06/10/50◊,10   20,672,073    711,223 
SG Commercial Mortgage Securities Trust          
2016-C5, 2.06% (WAC) due 10/10/48◊,10   5,602,385    276,351 
Morgan Stanley Capital I Trust          
2016-UBS9, 4.76% (WAC) due 03/15/49   275,000    257,451 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 13.0% (continued)
Commercial Mortgage-Backed Securities -  1.8% (continued)        
GS Mortgage Securities Corporation II        
2013-GC10, 2.94% due 02/10/46   225,000   $223,586 
WFRBS Commercial Mortgage Trust          
2013-C12, 1.22% (WAC) due 03/15/48◊,4,10   5,222,251    20,785 
Total Commercial Mortgage-Backed Securities        353,022,480 
Government Agency -  1.6%          
Fannie Mae          
2.40% due 03/01/40   27,004,000    20,803,590 
3.83% due 05/01/49   19,000,000    18,089,943 
2.27% due 10/01/41   16,935,000    12,972,385 
3.42% due 09/01/47   12,465,205    11,429,863 
 due 12/25/4313   12,783,048    10,272,461 
2.07% due 10/01/50   13,111,835    10,008,313 
2.57% due 08/01/51   12,435,870    9,635,032 
2.00% due 09/01/50   11,769,543    8,858,298 
2.31% due 10/01/41   9,435,000    7,279,855 
1.76% due 08/01/40   9,360,000    6,871,586 
2.17% due 03/01/51   8,638,000    6,460,412 
2.44% due 10/01/51   8,500,000    6,336,647 
2.10% due 07/01/50   7,467,978    5,714,574 
2.43% due 12/01/51   7,401,000    5,664,929 
2.41% due 12/01/41   7,100,000    5,553,718 
2.49% due 12/01/39   6,720,141    5,517,505 
 due 10/25/4313   6,428,887    5,185,675 
3.05% due 03/01/50   6,018,586    5,056,372 
2.94% due 03/01/52   5,824,176    4,916,477 
2.51% due 10/01/46   5,705,679    4,723,137 
4.07% due 05/01/49   4,689,467    4,585,543 
2.52% due 12/01/41   5,309,326    4,418,775 
2.17% due 10/01/50   5,164,775    3,958,859 
2.99% due 01/01/40   4,429,000    3,891,041 
3.50% due 02/01/48   3,841,224    3,557,712 
4.24% due 08/01/48   3,400,000    3,478,079 
2.54% due 12/01/39   3,701,687    3,134,923 
2.34% due 09/01/39   3,646,202    2,921,375 
2.42% due 10/01/51   3,458,466    2,726,568 
2.36% due 01/01/42   3,500,000    2,711,778 
2.96% due 10/01/49   2,841,587    2,436,689 
2.50% due 03/01/35   2,454,404    2,349,603 
3.26% due 11/01/46   2,376,966    2,174,938 
2.69% due 02/01/52   2,486,870    2,026,760 
2.92% due 03/01/50   2,353,846    2,001,975 
2.51% due 07/01/50   2,372,855    1,917,008 
2.62% due 12/01/51   2,334,187    1,881,663 
2.93% due 03/01/52   2,091,186    1,773,359 
2.68% due 04/01/50   1,917,146    1,594,711 
3.46% due 08/01/49   1,670,040    1,531,111 
3.50% due 12/01/47   1,498,092    1,464,890 
3.08% due 02/01/33   1,300,000    1,234,905 
3.74% due 02/01/48   1,241,316    1,175,423 
4.05% due 09/01/48   1,147,058    1,122,071 
2.32% due 07/01/50   1,368,390   1,068,616 
2.25% due 10/01/50   1,262,162    976,818 
3.13% due 01/01/30   976,183    950,033 
3.01% due 04/01/42   1,050,000    898,400 
3.96% due 06/01/49   955,152    880,961 
3.60% due 10/01/47   922,112    857,068 
4.00% due 12/01/38   831,529    834,224 
2.65% due 12/01/51   993,099    801,045 
3.18% due 09/01/42   848,858    767,644 
3.50% due 12/01/46   780,137    762,307 
4.00% due 08/01/47   749,940    752,683 
4.50% due 03/01/48   673,059    680,277 
3.91% due 07/01/49   669,859    677,504 
3.63% due 01/01/37   706,680    669,475 
3.50% due 12/01/45   645,593    632,278 
3.36% due 12/01/39   685,986    617,841 
4.00% due 01/01/46   608,561    612,564 
2.50% due 01/01/35   618,198    594,096 
2.75% due 11/01/31   616,380    573,971 
3.00% due 07/01/46   530,833    502,940 
2.56% due 05/01/39   596,781    496,719 
4.50% due 02/01/45   345,642    355,865 
4.33% due 09/01/48   330,657    330,425 
4.22% due 04/01/49   315,000    304,699 
5.00% due 12/01/44   265,999    276,589 
5.00% due 05/01/44   226,860    235,941 
3.50% due 08/01/43   233,729    229,681 
4.50% due 05/01/47   190,318    194,797 
2.06% due 09/01/36   140,000    108,986 
2.28% due 01/01/51   70,084    54,691 
Fannie Mae-Aces          
1.56% (WAC) due 03/25/35◊,10   234,285,929    27,529,721 
Freddie Mac Seasoned Credit Risk Transfer Trust          
2.00% due 11/25/59   12,350,039    11,072,838 
2.00% due 05/25/60   10,034,392    8,997,019 
FARM Mortgage Trust          
2.18% (WAC) due 01/25/51◊,4   11,127,823    9,862,750 
Freddie Mac          
3.26% due 09/01/45   2,182,427    2,008,823 
4.00% due 01/15/46   1,156,386    1,150,351 
1.96% due 05/01/50   1,561,727    1,148,975 
1.95% due 05/01/50   1,438,764    1,056,881 
3.50% due 01/01/44   905,941    890,035 
4.00% due 02/01/46   668,386    673,743 
4.00% due 11/01/45   540,406    544,674 
3.00% due 08/01/46   562,454    533,233 
4.50% due 06/01/48   275,488    278,442 
Freddie Mac Multifamily Structured Pass Through Certificates          
0.64% (WAC) due 12/25/24◊,10   42,081,331    484,945 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 13.0% (continued)
Government Agency -  1.6% (continued)        
FREMF Mortgage Trust        
0.13% due 05/25/464,10   678,513,380   $204,843 
Total Government Agency        315,556,942 
Military Housing -  1.1%          
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates          
2015-R1, 4.49% (WAC) due 11/25/55◊,4   113,044,958    110,947,224 
2015-R1, 4.44% (WAC) due 11/25/52◊,4   21,478,549    21,101,693 
2015-R1, 4.32% (WAC) due 10/25/52◊,4   13,427,415    12,609,401 
2015-R1, 0.70% (WAC) due 11/25/55◊,4,10   170,218,336    12,291,943 
Capmark Military Housing Trust          
2006-RILY, 6.15% due 07/10/51†††,4   12,770,475    12,734,732 
2008-AMCW, 6.90% due 07/10/55†††,4   8,164,409    9,781,622 
2007-AETC, 5.75% due 02/10/52†††,4   7,246,341    7,195,828 
2006-RILY, 1.57% (1 Month USD LIBOR + 0.37%, Rate Floor: 0.37%) due 07/10/51◊,†††,4   6,849,302    4,559,129 
2007-ROBS, 6.06% due 10/10/52†††,4   4,578,276    4,554,253 
2007-AET2, 6.06% due 10/10/52†††,4   3,007,607    3,065,523 
GMAC Commercial Mortgage Asset Corp.          
2007-HCKM, 6.11% due 08/10/52†††,4   21,734,900    22,255,195 
2005-DRUM, 5.47% due 05/10/50†††,4   4,423,490    4,155,089 
2002-MEAD, 6.85% due 05/10/37†††,4   3,207,691    3,621,566 
2005-BLIS, 5.25% due 07/10/50†††,4   2,500,000    2,327,205 
Total Military Housing        231,200,403 
Total Collateralized Mortgage Obligations          
(Cost $2,880,626,453)        2,588,863,855 

 

SENIOR FLOATING RATE INTERESTS††,◊ - 9.1%
Consumer, Cyclical -  2.0%        
MB2 Dental Solutions LLC        
7.24% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††   44,469,479   43,790,552 
7.43% ((3 Month USD LIBOR + 6.00%) and (Commercial Prime Lending Rate + 5.00%), Rate Floor: 7.00%) due 01/29/27†††   15,900,487    15,657,731 
7.49% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††   13,852,034    13,640,552 
Verisure Holding AB          
3.47% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28  EUR 30,010,000    28,286,697 
3.25% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26  EUR 6,890,000    6,523,371 
Packers Holdings LLC          
4.44% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28   36,122,509    32,984,547 
BGIS (BIFM CA Buyer, Inc.)          
5.07% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26†††   32,466,952    29,788,428 
Mavis Tire Express Services TopCo Corp.          
5.75% (1 Month Term SOFR + 4.00%, Rate Floor: 5.75%) due 05/04/28   28,373,683    26,174,723 
Zephyr Bidco Ltd.          
5.97% (1 Month GBP SONIA + 4.75%, Rate Floor: 5.44%) due 07/23/25  GBP 23,950,000    25,374,773 
CNT Holdings I Corp.          
4.69% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 11/08/27   23,946,875    22,684,635 
Pacific Bells, LLC          
6.79% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28   23,035,443    21,250,196 
PetSmart LLC          
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28   20,048,500    18,815,517 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 9.1% (continued)
Consumer, Cyclical -  2.0% (continued)        
Loire Finco Luxembourg SARL        
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/27   19,454,978   $18,255,190 
Flamingo          
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/24/28  EUR 18,600,000    17,124,747 
BCP V Modular Services Holdings IV Ltd.          
4.50% (3 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 12/15/28  EUR 14,800,000    13,812,558 
Fertitta Entertainment LLC          
5.53% (1 Month SOFR + 4.00%, Rate Floor: 4.00%) due 01/27/29   14,050,000    12,920,802 
New Trojan Parent, Inc.          
4.75% ((1 Month USD LIBOR + 3.25%) and (3 Month USD LIBOR + 3.25%), Rate Floor: 3.75%) due 01/06/28   13,909,500    12,367,910 
Adevinta ASA          
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 06/26/28  EUR 11,000,000    10,744,797 
Truck Hero, Inc.          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 01/31/28   8,887,500    7,927,650 
PAI Holdco, Inc.          
4.99% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/28/27   5,085,624    4,786,844 
Power Solutions (Panther)          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26   3,931,066    3,660,805 
SP PF Buyer LLC          
6.17% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25   3,348,092    2,829,137 
OEConnection LLC          
5.65% (1 Month USD LIBOR + 4.00%) due 09/25/26   1,164,009    1,076,708 
1011778 BC Unlimited Liability Co.          
3.42% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/19/26   1,025,338    976,891 
Cast & Crew Payroll LLC        
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/09/26   597,349   565,493 
Rent-A-Center, Inc.          
4.94% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28   493,750    442,835 
BRE/Everbright M6 Borrower LLC          
6.67% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 09/09/26   99,749    96,632 
Total Consumer, Cyclical        392,560,721 
Industrial -  1.7%          
United Airlines, Inc.          
5.39% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28   40,586,250    37,618,583 
Mileage Plus Holdings LLC          
7.31% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27   30,500,000    30,073,000 
American Bath Group LLC          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27   34,001,096    29,765,239 
Berry Global, Inc.          
3.00% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26   24,306,026    23,431,738 
SkyMiles IP Ltd.          
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27   20,345,893    20,199,606 
TransDigm, Inc.          
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25   14,688,600    13,897,031 
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25   5,768,694    5,469,702 
Merlin Buyer, Inc.          
5.53% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 12/14/28   20,099,625    18,918,772 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 9.1% (continued)
Industrial -  1.7% (continued)        
IFCO Management GmbH        
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 05/29/26  EUR 19,870,000   $18,342,531 
Hunter Douglas, Inc.          
4.84% (3 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 02/26/29   19,750,000    16,948,068 
Icebox Holdco III, Inc.          
6.00% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/28   17,563,125    16,465,430 
AI Convoy Luxembourg SARL          
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 01/18/27  EUR  13,593,008    13,033,220 
Service Logic Acquisition, Inc.          
5.24% ((1 Month USD LIBOR + 4.00%) and (3 Month USD LIBOR + 4.00%), Rate Floor: 4.75%) due 10/29/27   11,803,970    11,199,017 
TK Elevator Midco GmbH          
4.02% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27   8,186,293    7,649,108 
3.63% (1 Month EURIBOR + 3.63%, Rate Floor: 3.63%) due 07/30/27  EUR  3,000,000    2,819,491 
Fugue Finance BV          
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 08/30/24  EUR  10,500,000    10,115,781 
Hillman Group, Inc.          
4.39% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/14/28   10,695,999    9,987,389 
CapStone Acquisition Holdings, Inc.          
6.42% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/12/27†††   8,663,570    8,555,276 
Air Canada          
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28   8,324,311    7,658,366 
Filtration Group Corp.          
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25†††  EUR  7,908,042    7,540,939 
TricorBraun Holdings, Inc.        
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28   7,476,765   6,936,045 
DXP Enterprises, Inc.          
6.42% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/23/27   5,858,333    5,636,185 
Charter Next Generation, Inc.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27   4,246,250    3,987,951 
YAK MAT (YAK ACCESS LLC)          
12.18% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26   7,240,000    3,832,711 
Dispatch Terra Acquisition LLC          
6.50% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28†††   3,854,710    3,488,513 
Berlin Packaging LLC          
4.89% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.25%) due 03/13/28   2,878,250    2,671,966 
Anchor Packaging LLC          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/20/26   1,938,272    1,836,513 
Filtration Group Corp.          
4.67% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25   1,634,479    1,544,877 
BWAY Holding Co.          
4.31% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24   122,108    114,603 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 9.1% (continued)
Industrial -  1.7% (continued)        
API Heat Transfer        
12.00% (3 Month USD LIBOR + 11.00%, Rate Floor: 12.00%) due 01/01/24†††   51,851   $15,555 
12.00% (3 Month USD LIBOR, Rate Floor: 0.00%) (in-kind rate was 12.00%) due 10/02/23†††,15   9,251    6,938 
Total Industrial        339,760,144 
Financial -  1.7%          
Citadel Securities, LP          
4.14% (1 Month Term SOFR + 2.50%, Rate Floor: 3.50%) due 02/02/28   62,370,000    59,855,865 
Jane Street Group LLC          
4.42% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28   36,858,535    35,356,550 
Trans Union LLC          
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/01/28   29,529,500    28,096,138 
Higginbotham Insurance Agency, Inc.          
7.17% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.25%) due 11/25/26†††   25,452,498    25,173,018 
HighTower Holding LLC          
5.10% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28   22,735,750    21,068,537 
Nexus Buyer LLC          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26   21,917,982    20,624,821 
Alter Domus          
5.20% (1 Month Term SOFR + 4.01%, Rate Floor: 4.01%) due 02/17/28   20,681,100    19,026,612 
USI, Inc.          
5.50% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26†††   18,404,819    16,978,446 
Orion Advisor Solutions, Inc.          
4.99% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/24/27   17,460,011    16,383,252 
HUB International Ltd.        
4.21% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.15%) due 04/25/25   14,620,531   13,814,940 
AmWINS Group, Inc.          
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28   13,199,078    12,445,674 
Cross Financial Corp.          
4.81% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27   11,998,429    11,378,470 
Franchise Group, Inc.          
6.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26   12,394,764    11,268,948 
Jones Deslauriers Insurance Management, Inc.          
6.06% (3 Month Canada Banker Acceptance + 4.25%, Rate Floor: 5.00%) due 03/27/28  CAD  11,883,749    8,541,953 
9.31% (3 Month Canada Banker Acceptance + 7.50%, Rate Floor: 8.00%) due 03/26/29  CAD  3,489,000    2,514,646 
Duff & Phelps          
5.28% (1 Month SOFR + 3.75%, Rate Floor: 3.75%) due 04/09/27   10,145,113    9,472,999 
Alliant Holdings Intermediate LLC          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25   8,084,065    7,593,281 
NFP Corp.          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27   7,572,760    6,982,084 
USI, Inc.          
5.25% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24   6,405,119    6,128,931 
Total Financial        332,705,165 
Consumer, Non-cyclical -  1.6%          
Quirch Foods Holdings LLC          
6.82% (3 Month Term SOFR + 4.50%, Rate Floor: 5.50%) due 10/27/27†††   38,618,203    36,494,202 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 9.1% (continued)
Consumer, Non-cyclical -  1.6% (continued)        
Bombardier Recreational Products, Inc.        
3.67% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27   33,570,707   $30,912,914 
PetIQ LLC          
5.50% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 04/13/28†††   28,611,000    26,608,230 
National Mentor Holdings, Inc.          
5.75% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28   27,995,275    24,156,003 
6.01% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28   538,426    464,586 
Southern Veterinary Partners LLC          
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27   21,985,258    20,849,280 
Sunshine Investments BV          
2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 03/28/25  EUR  18,059,706    18,664,346 
HAH Group Holding Co. LLC          
7.21% (3 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 10/29/27   19,470,170    18,545,337 
Mission Veterinary Partners          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28   19,155,250    18,101,711 
Nidda Healthcare Holding GmbH          
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26  EUR  18,276,306    17,029,924 
Women's Care Holdings, Inc.          
5.74% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28   16,179,177    15,078,993 
Sigma Holding BV (Flora Food)          
3.50% ((1 Month EURIBOR + 3.50%) and (6 Month EURIBOR + 3.50%), Rate Floor: 3.50%) due 07/02/25  EUR  17,000,000    13,547,626 

 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 9.1% (continued)
Consumer, Non-cyclical -  1.6% (continued)        
Blue Ribbon LLC        
7.06% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28   14,293,125   $13,006,744 
Medline Borrower LP          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 10/23/28   8,977,500    8,311,190 
Confluent Health LLC          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 11/30/28   7,948,948    7,366,052 
Energizer Holdings, Inc.          
3.88% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27   7,406,250    7,012,830 
SCP Eye Care Services LLC          
6.00% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28   6,558,518    6,246,988 
Elanco Animal Health, Inc.          
2.81% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27   6,594,174    6,215,009 
IQVIA, Inc.          
2.00% (3 Month EURIBOR + 2.00%, Rate Floor: 2.00%) due 03/07/24  EUR  4,683,039    4,687,995 
Pearl Intermediate Parent LLC          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25   4,763,265    4,481,423 
Elsan SAS          
3.35% (6 Month EURIBOR + 3.35%, Rate Floor: 3.35%) due 06/16/28  EUR  4,500,000    4,319,396 
Midwest Physician Administrative Services          
5.50% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/13/28   4,448,443    4,052,532 
Spectrum Brands, Inc.          
3.67% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 03/03/28   3,950,000    3,796,937 
Avantor Funding, Inc.        
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 11/08/27   3,134,443   3,006,621 
Kronos Acquisition Holdings, Inc.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26   3,191,400    2,889,813 
Callaway Golf Company          
6.17% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 01/02/26   2,477,066    2,447,663 
Hostess Brands LLC          
3.60% ((1 Month USD LIBOR + 2.25%) and (3 Month USD LIBOR + 2.25%), Rate Floor: 3.00%) due 08/04/25   815,328    779,511 
Aveanna Healthcare LLC          
5.35% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/17/28   483,142    423,353 
Atkins Nutritionals, Inc.          
4.73% (3 Month Term SOFR + 3.25%, Rate Floor: 3.85%) due 07/07/24   127,931    127,212 
Endo Luxembourg Finance Company I SARL          
6.69% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 03/27/28   10,649    8,119 
Total Consumer, Non-cyclical        319,632,540 
Technology -  1.0%          
Datix Bidco Ltd.          
6.19% (6 Month GBP LIBOR + 4.50%, Rate Floor: 5.19%) due 04/28/25†††  GBP  45,800,000    55,527,997 
Peraton Corp.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28   32,821,382    30,752,322 
Planview Parent, Inc.          
5.67% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27   29,575,625    27,801,087 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 9.1% (continued)
Technology -  1.0% (continued)        
Team.Blue Finco SARL        
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/30/28  EUR 22,750,000   $21,544,915 
Apttus Corp.          
5.62% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28   12,455,875    11,646,243 
Project Boost Purchaser LLC          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26   6,336,000    5,872,712 
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26   4,638,629    4,302,328 
Boxer Parent Co., Inc.          
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 10/02/25  EUR  8,228,480    7,926,777 
Aston FinCo SARL          
5.96% (1 Month GBP SONIA + 4.77%, Rate Floor: 4.77%) due 10/09/26  GBP  5,742,145    6,553,045 
5.92% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/09/26   634,395    598,076 
Athenahealth Group, Inc.          
5.01% (1 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 02/15/29   6,071,014    5,573,981 
Navicure, Inc.          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/22/26   5,607,268    5,305,878 
Sportradar Capital SARL          
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 11/22/27†††  EUR  5,300,000    5,081,735 
Storable, Inc.          
5.38% ((3 Month Term SOFR + 3.50%) and (6 Month Term SOFR + 3.50%), Rate Floor: 4.00%) due 04/17/28   4,975,000    4,659,933 
Paya Holdings III, LLC          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/23/28†††   3,374,500    3,205,775 
Emerald TopCo, Inc. (Press Ganey)        
4.74% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26   1,202,170   1,122,826 
TIBCO Software, Inc.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26   882,000    862,711 
Transact Holdings, Inc.          
6.42% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 04/30/26   72,382    69,071 
Total Technology        198,407,412 
Communications -  0.5%          
Syndigo LLC          
5.82% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27†††   24,651,000    23,171,940 
Authentic Brands          
5.65% (3 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 12/21/28   21,800,000    20,328,500 
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24   1,023,145    978,894 
McGraw Hill LLC          
5.55% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28   20,197,997    18,245,456 
UPC Broadband Holding BV          
4.32% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/31/29   19,200,000    18,207,936 
Xplornet Communications, Inc.          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28   9,925,000    9,038,797 
Radiate Holdco LLC          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26   2,453,413    2,275,541 
Zayo Group Holdings, Inc.          
4.67% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27   1,652,094    1,518,456 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 9.1% (continued)
Communications -  0.5% (continued)        
Internet Brands, Inc.        
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24   752,923   $707,281 
Flight Bidco, Inc.          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25   735,900    683,776 
Telenet Financing USD LLC          
3.32% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/28/28   620,000    572,464 
SFR Group S.A.          
4.73% (3 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 02/02/26   616,094    559,106 
Total Communications        96,288,147 
Basic Materials -  0.4%          
INEOS Ltd.          
2.75% (1 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 01/29/26  EUR  31,100,000    29,914,400 
Illuminate Buyer LLC          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27   26,776,555    24,682,360 
GrafTech Finance, Inc.          
4.67% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25   11,986,458    11,589,467 
Trinseo Materials Operating S.C.A.          
4.17% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28   10,989,000    10,348,891 
W.R. Grace Holdings LLC          
6.06% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 09/22/28   1,243,750    1,177,209 
Total Basic Materials        77,712,327 
Utilities -  0.1%          
Hamilton Projects Acquiror LLC          
6.75% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27   32,953,717    31,511,992 
Energy -  0.1%        
ITT Holdings LLC          
4.42% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28   13,342,178   12,741,779 
Venture Global Calcasieu Pass LLC          
4.00% (1 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26†††   12,016,661    11,956,578 
Lotus Midstream, LLC          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/29/25   528,868    511,469 
Total Energy        25,209,826 
Total Senior Floating Rate Interests          
(Cost $1,979,240,738)        1,813,788,274 

 

FEDERAL AGENCY BONDS†† - 1.3%          
Tennessee Valley Authority          
4.25% due 09/15/65   138,205,000    138,858,710 
4.63% due 09/15/60   42,258,000    45,608,595 
5.38% due 04/01/56   8,960,000    10,838,867 
 due 09/15/5310,12   1,612,000    417,572 
 due 09/15/5510,12   1,612,000    384,190 
 due 09/15/5610,12   1,612,000    366,720 
 due 03/15/5710,12   1,612,000    358,868 
 due 09/15/5710,12   1,612,000    351,184 
 due 09/15/5810,12   1,612,000    335,119 
 due 03/15/5910,12   1,612,000    327,928 
 due 09/15/5910,12   1,612,000    320,890 
 due 09/15/6010,12   1,612,000    307,267 
 due 09/15/5410,12   1,020,000    253,027 
 due 03/15/6110,12   1,020,000    190,252 
 due 09/15/6110,12   1,020,000    186,169 
 due 09/15/6210,12   1,020,000    177,566 
 due 03/15/6310,12   1,020,000    173,747 
 due 09/15/6310,12   1,020,000    170,009 
 due 09/15/6410,12   1,020,000    162,776 
 due 03/15/6510,12   1,020,000    159,275 
 due 09/15/6510,12   1,020,000    155,192 
Tennessee Valley Authority Principal Strips          
 due 01/15/4812,13   38,400,000    12,744,154 
 due 12/15/4212,13   23,785,000    9,950,502 
 due 01/15/3812,13   15,800,000    8,275,092 
 due 09/15/6512,13   3,500,000    532,521 
 due 09/15/3912,13   570,000    275,259 
 due 04/01/5612,13   540,000    125,293 
Federal Farm Credit Bank          
3.00% due 03/08/32   5,100,000    4,729,062 
2.00% due 05/14/40   3,000,000    2,150,145 
2.04% due 12/22/45   2,870,000    1,886,408 
2.60% due 06/28/39   2,000,000    1,591,362 
1.99% due 07/30/40   2,000,000    1,420,628 
2.48% due 11/17/36   1,650,000    1,351,134 
2.75% due 02/02/37   1,580,000    1,346,218 
3.11% due 08/05/48   1,500,000    1,243,141 
2.69% due 11/29/41   1,080,000    835,136 
2.43% due 01/29/37   720,000    601,173 
2.90% due 12/09/41   720,000    574,301 
2.84% due 06/01/46   720,000    546,217 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
FEDERAL AGENCY BONDS†† - 1.3% (continued)
2.59% due 12/30/41   180,000   $137,494 
2.59% due 08/24/46   140,000    101,649 
3.67% due 02/26/44   70,000    64,777 
Freddie Mac          
 due 09/15/3612   2,675,000    1,546,276 
2.05% due 08/19/50   2,010,000    1,255,179 
2.02% due 10/05/45   720,000    471,906 
2.25% due 09/15/50   360,000    234,710 
Resolution Funding Corporation Principal Strips          
 due 01/15/3012,13   1,950,000    1,511,537 
 due 04/15/3012,13   725,000    556,384 
Federal Home Loan Bank          
2.69% due 09/26/34   1,350,000    1,176,958 
2.45% due 08/16/41   540,000    404,101 
3.63% due 06/22/43   350,000    323,610 
Total Federal Agency Bonds          
(Cost $342,860,001)        258,066,250 

 

MUNICIPAL BONDS†† - 0.8%          
New York -  0.3%          
Westchester County Local Development Corp. Revenue Bonds          
3.85% due 11/01/50   40,000,000    32,467,396 
Port Authority of New York & New Jersey Revenue Bonds          
3.14% due 02/15/51   23,045,000    18,223,875 
Total New York        50,691,271 
Texas -  0.2%          
Dallas Fort Worth International Airport Revenue Bonds          
3.09% due 11/01/40   13,800,000    11,504,657 
City of San Antonio Texas Electric & Gas Systems Revenue Bonds          
2.91% due 02/01/48   10,500,000    8,180,822 
Wylie Independent School District General Obligation Unlimited          
 due 08/15/4612   8,885,000    3,310,804 
Central Texas Regional Mobility Authority Revenue Bonds          
3.17% due 01/01/41   3,000,000    2,371,987 
Central Texas Turnpike System Revenue Bonds          
3.03% due 08/15/41   3,150,000    2,332,797 
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds          
3.42% due 09/01/50   2,500,000    1,818,961 
Harris County-Houston Sports Authority Revenue Bonds          
 due 11/15/4512   2,850,000    893,224 
 due 11/15/4112   1,500,000    589,191 
Harris County Cultural Education Facilities Finance Corp. Revenue Bonds          
3.34% due 11/15/37   1,500,000    1,284,401 
Dallas/Fort Worth International Airport Revenue Bonds        
2.92% due 11/01/50   1,300,000   1,021,822 
Grand Parkway Transportation Corp. Revenue Bonds          
3.31% due 10/01/49   1,000,000    771,144 
Total Texas        34,079,810 
California -  0.2%          
California Public Finance Authority Revenue Bonds          
3.07% due 10/15/40   8,000,000    6,289,202 
2.55% due 01/01/40   3,600,000    2,932,455 
Oakland Unified School District/Alameda County General Obligation Unlimited          
2.87% due 08/01/35   7,405,000    5,912,034 
3.12% due 08/01/40   600,000    459,811 
San Mateo Foster City School District General Obligation Unlimited          
3.06% due 08/01/44   6,125,000    4,821,531 
California State University Revenue Bonds          
2.98% due 11/01/51   5,000,000    3,938,289 
Oakland Redevelopment Agency Successor Agency Tax Allocation          
4.00% due 09/01/39   1,100,000    1,022,275 
Hillsborough City School District General Obligation Unlimited          
 due 09/01/3712   1,000,000    474,300 
 due 09/01/3912   1,000,000    415,228 
Total California        26,265,125 
Illinois -  0.0%          
State of Illinois General Obligation Unlimited          
5.65% due 12/01/38   5,524,999    5,686,014 
6.63% due 02/01/35   1,820,000    1,998,136 
City of Chicago Illinois General Obligation Unlimited          
6.31% due 01/01/44   4,500,000    5,059,590 
Total Illinois        12,743,740 
Mississippi -  0.1%          
Medical Center Educational Building Corp. Revenue Bonds          
2.92% due 06/01/41   11,800,000    9,168,974 
Alabama -  0.0%          
Auburn University Revenue Bonds          
2.68% due 06/01/50   6,500,000    4,493,063 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Face
Amount~
   Value 
MUNICIPAL BONDS†† - 0.8% (continued)
North Carolina -  0.0%        
Inlivian Revenue Bonds        
3.02% due 01/01/38  $4,125,000   $3,688,198 
Total North Carolina        3,688,198 
Ohio -  0.0%          
County of Franklin Ohio Revenue Bonds          
2.88% due 11/01/50   4,000,000    2,914,219 
Washington -  0.0%          
Central Washington University Revenue Bonds          
6.95% due 05/01/40   1,750,000    2,167,099 
Arizona -  0.0%          
Northern Arizona University Revenue Bonds          
3.09% due 08/01/39   2,350,000    1,958,580 
Florida -  0.0%          
County of Miami-Dade Florida Revenue Bonds          
 due 10/01/4112   4,100,000    1,704,303 
Oklahoma -  0.0%          
Tulsa Airports Improvement Trust Revenue Bonds          
3.10% due 06/01/45   1,000,000    753,858 
Oklahoma Development Finance Authority Revenue Bonds          
4.65% due 08/15/30   450,000    418,960 
Total Oklahoma        1,172,818 
Pennsylvania -  0.0%          
Pennsylvania Economic Development Financing Authority Revenue Bonds          
 due 01/01/4112   995,000    422,625 
Idaho -  0.0%          
Boise State University Revenue Bonds          
3.06% due 04/01/40   250,000    211,399 
Total Municipal Bonds          
(Cost $186,003,590)        151,681,224 

 

FOREIGN GOVERNMENT DEBT†† - 0.1%          
Panama Government International Bond          
4.50% due 04/16/50   22,700,000    18,471,917 
Bermuda Government International Bond          
3.38% due 08/20/504   8,400,000    6,085,117 
Chile Government International Bond          
4.34% due 03/07/42   360,000    320,495 
Total Foreign Government Debt          
(Cost $34,192,564)        24,877,529 

 

SENIOR FIXED RATE INTERESTS††† - 0.0%          
Industrial -  0.0%          
CTL Logistics          
2.65% due 10/10/42   7,057,887    5,906,159 
Total Senior Fixed Rate Interests          
(Cost $7,057,887)        5,906,159 

 

   Contracts/Notional Value    
LISTED OPTIONS PURCHASED - 0.2%
Put Options on:        
Equity Options        
 S&P 500 Index
Expiring April 2023 with strike price of $4,000.00 (Notional Value $359,611,100)
   950    38,707,750 
Total Listed Options Purchased          
(Cost $22,612,640)        38,707,750 

 

OTC OPTIONS PURCHASED†† - 0.0%
Call Options on:        
Interest Rate Options        
Bank of America, N.A. 2Y-10 CMS CAP
Expiring July 2022 with strike price of $0.40
  USD 6,229,100,000    124,582 
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP
Expiring July 2022 with strike price of $0.40
  USD 1,402,500,000    28,050 
Goldman Sachs International 2Y-10 CMS CAP
Expiring July 2022 with strike price of $0.61
  USD 1,880,100,000    2,350 
Bank of America, N.A. 2Y-10 CMS CAP
Expiring July 2022 with strike price of $0.61
  USD 630,100,000    788 
Total OTC Options Purchased          
(Cost $23,214,540)        155,770 
Total Investments - 106.7%          
(Cost $24,163,950,447)       $21,260,570,251 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

   Contracts/Notional Value   Value 
LISTED OPTIONS WRITTEN - 0.0%
Call Options on:        
Equity Options        
 Figs, Inc.
Expiring December 2022 with strike price of $50.00 (Notional Value $133,006)
   146   $ 
 Figs, Inc.
Expiring December 2022 with strike price of $55.00 (Notional Value $129,362)
   142     
Total Listed Options Written          
(Premiums received $304,075)         

 

OTC INTEREST RATE SWAPTIONS WRITTEN††,16 - 0.0%
Put Swaptions on:        
Interest Rate Swaptions        
BNP Paribas 5-Year Interest Rate Swap
Expiring July 2022 with exercise rate of 2.80%
  USD 238,850,000   (808,579)
UBS AG 5-Year Interest Rate Swap
Expiring September 2022 with exercise rate of 3.30%
  USD 203,600,000    (1,054,654)
Total Interest Rate Swaptions        (1,863,233)
Total OTC Interest Rate Swaptions Written          
(Premiums received $3,526,275)        (1,863,233)
Other Assets & Liabilities, net - (6.7)%        (1,326,734,184)
Total Net Assets - 100.0%       $19,931,972,834 

 

 

Centrally Cleared Interest Rate Swap Agreements††        
Counterparty  Exchange   Floating Rate Type  Floating Rate Index  Fixed Rate   Payment Frequency  Maturity Date  Notional Amount   Value   Upfront Premiums  Received   Unrealized Depreciation** 
BofA Securities, Inc.   CME   Pay  Federal Funds Rate   1.34%  Annually  09/30/31  $300,000,000   $(35,269,353)  $(65,508)  $(35,203,845)

 

 

Forward Foreign Currency Exchange Contracts††       
Counterparty  Currency   Type   Quantity   Contract Amount  Settlement Date  Unrealized Appreciation (Depreciation) 
Goldman Sachs International   ILS    Buy    67,282,219   18,074,471 USD  08/01/22  $1,255,073 
Goldman Sachs International   ILS    Sell    67,282,219   20,296,295 USD  08/01/22   966,751 
Goldman Sachs International   ILS    Buy    28,886,625   7,727,829 USD  11/30/22   666,308 
Goldman Sachs International   ILS    Sell    28,886,625   8,761,488 USD  11/30/22   367,350 
UBS AG   EUR    Sell    10,126,000   10,732,730 USD  09/30/22   53,432 
Goldman Sachs International   CAD    Sell    14,895,000   11,586,661 USD  07/15/22   12,272 
Barclays Bank plc   GBP    Sell    78,325,000   95,363,390 USD  07/15/22   927 
Morgan Stanley Capital Services LLC   CAD    Buy    150,000   116,044 USD  07/15/22   516 
JPMorgan Chase Bank, N.A.   CAD    Buy    103,000   79,967 USD  07/15/22   70 
Goldman Sachs International   GBP    Buy    955,000   1,171,694 USD  07/15/22   (8,960)
Barclays Bank plc   EUR    Buy    13,674,000   14,446,681 USD  07/15/22   (108,057)
Barclays Bank plc   EUR    Sell    414,968,000   434,698,110 USD  07/15/22   (439,333)
                        $2,766,349 

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

 

OTC Interest Rate Swaptions Written    
Counterparty/Description  Floating Rate Type  Floating Rate Index  Payment Frequency  Fixed Rate   Expiration Date  Exercise Rate   Swaption Notional Amount   Swaption Value 
Put                            
BNP Paribas
5-Year Interest Rate Swap
  Pay  SOFR  Annual   2.80%  07/06/22   2.80%  $238,850,000   $(808,579)
UBS AG
5-Year Interest Rate Swap
  Pay  SOFR  Annual   3.30%  09/27/22   3.30%   203,600,000    (1,054,654)
                              $(1,863,233)

 

 

~ The face amount is denominated in U.S. dollars unless otherwise indicated.
* Non-income producing security.
** Includes cumulative appreciation (depreciation).
Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
†† Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
††† Value determined based on Level 3 inputs — See Note 3.
Variable rate security. Rate indicated is the rate effective at June 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1 Special Purpose Acquisition Company (SPAC).
2 Affiliated issuer.
3 Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
4 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $8,647,536,506 (cost $9,706,644,125), or 43.4% of total net assets.
5 Rate indicated is the 7-day yield as of June 30, 2022.
6 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $712,373,601 (cost $781,727,661), or 3.6% of total net assets — See Note 6.
7 Perpetual maturity.
8 All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At June 30, 202, the total market value of segregated or earmarked securities was $1,738,261,273— See Note 2.
9 Security is in default of interest and/or principal obligations.
10 Security is an interest-only strip.
11 Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
12 Zero coupon rate security.
13 Security is a principal-only strip.
14 Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at June 30, 2022. See table below for additional step information for each security.
15 Payment-in-kind security.
16 Swaptions - See additional disclosure in the swaptions table above for more information on swaptions.

 

 

BofA — Bank of America
CAD — Canadian Dollar
CME — Chicago Mercantile Exchange
CMS — Constant Maturity Swap
CMT — Constant Maturity Treasury
EUR — Euro
EURIBOR — European Interbank Offered Rate
GBP — British Pound
ILS — Israeli New Shekel
LIBOR — London Interbank Offered Rate
plc — Public Limited Company
REMIC — Real Estate Mortgage Investment Conduit
REIT — Real Estate Investment Trust
SARL —  Société à Responsabilité Limitée
SOFR — Secured Overnight Financing Rate
SONIA — Sterling Overnight Index Average
WAC — Weighted Average Coupon

 

See Sector Classification in Other Information section.

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Common Stocks  $269,585,915   $   $529   $269,586,444 
Preferred Stocks       1,038,252,099   *   1,038,252,099 
Warrants   1,061,626            1,061,626 
Exchange-Traded Funds   8,033,133            8,033,133 
Mutual Funds   67,133,468            67,133,468 
Closed-End Funds   12,992,322            12,992,322 
Money Market Funds   70,270,077            70,270,077 
Corporate Bonds       6,589,546,855    579,808,239    7,169,355,094 
Asset-Backed Securities       4,219,222,637    630,702,238    4,849,924,875 
U.S. Government Securities       2,891,914,302        2,891,914,302 
Collateralized Mortgage Obligations       2,402,369,761    186,494,094    2,588,863,855 
Senior Floating Rate Interests       1,487,105,869    326,682,405    1,813,788,274 
Federal Agency Bonds       258,066,250        258,066,250 
Municipal Bonds       151,681,224        151,681,224 
Foreign Government Debt       24,877,529        24,877,529 
Senior Fixed Rate Interests           5,906,159    5,906,159 
Options Purchased   38,707,750    155,770        38,863,520 
Forward Foreign Currency Exchange Contracts**       3,322,699        3,322,699 
Total Assets  $467,784,291   $19,066,514,995   $1,729,593,664   $21,263,892,951 

 

Investments in Securities (Liabilities)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Options Written  $ — *  $   $   $ 
Interest Rate Swaptions Written       1,863,233        1,863,233 
Interest Rate Swap Agreements**       35,203,845        35,203,845 
Forward Foreign Currency Exchange Contracts**       556,350        556,350 
Unfunded Loan Commitments (Note 5)           1,009,910    896,969 
Total Liabilities  $   $37,623,428   $1,009,910   $38,633,338 

 

*Security has a market value of $0.
**This derivative is reported as unrealized appreciation/depreciation at period end.

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $2,116,588,375 are categorized as Level 2 within the disclosure hierarchy — See Note 2.

 

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

 

Category   Ending Balance at
June 30, 2022
  Valuation Technique   Unobservable Inputs   Input Range   Weighted Average*
Assets:                      
Asset-Backed Securities   $ 426,333,371   Option adjusted spread off prior month end broker quote   Broker Quote    
Asset-Backed Securities       112,825,273   Third Party Pricing   Broker Quote    
Asset-Backed Securities       47,947,301   Yield Analysis   Yield   5.7%-6.1%   5.8%
Asset-Backed Securities       26,863,293   Option adjusted spread off third party pricing   Trade Price    
Asset-Backed Securities       16,733,000   Model Price   Purchase Price    
Collateralized Mortgage Obligations       112,243,952   Yield Analysis   Yield   5.8%  
Collateralized Mortgage Obligations       74,250,142   Option adjusted spread off prior month end broker quote   Broker Quote    
Common Stocks       522   Enterprise Value   Valuation Multiple   2.6x-8.6x   4.3x
Common Stocks       7   Model Price   Liquidation Value    
Corporate Bonds       409,051,998   Option adjusted spread off prior month end broker quote   Broker Quote    
Corporate Bonds       85,778,269   Yield Analysis   Yield   4.9%-5.2%   5.1%
Corporate Bonds       80,258,972   Third Party Pricing   Vendor Price    
Corporate Bonds       4,719,000   Model Price   Purchase Price    
Senior Fixed Rate Interests       5,906,159   Yield Analysis   Yield   4.6%  
Senior Floating Rate Interests       160,935,977   Third Party Pricing   Broker Quote    
Senior Floating Rate Interests       153,789,850   Yield Analysis   Yield   7.4%-9.0%   8.2%
Senior Floating Rate Interests       11,956,578   Third Party Pricing   Vendor Price    
Total Assets   $ 1,729,593,664                
Liabilities:                      
Unfunded Loan Commitments   $ 1,009,910   Model Price   Purchase Price    

 

*Inputs are weighted by the fair value of the instruments.

 

Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

 

Significant changes in a quote, yield, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

 

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

 

Transfer between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended June 30, 2022, the Fund had securities with a total value of $412,733,798 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $20,038,997 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

   

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022

 

 

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended June 30, 2022:

 

   Assets       Liabilities 
   Asset-Backed Securities   Collateralized Mortgage Obligations   Corporate Bonds   Senior Floating Rate Interests   Common Stocks   Senior Fixed Rate Interests   Total Assets   Unfunded Loan Commitments 
Beginning Balance  $728,643,975   $102,193,653   $624,825,088   $136,117,831   $521   $6,865,207   $1,598,646,275   $(654,750)
Purchases/(Receipts)   214,981,513    4,150,795    57,763,600    29,818,974    -    -    306,714,882    (596,980)
(Sales, maturities and paydowns)/Fundings   (335,452,097)   (97,529,988)   (5,527,948)   (7,134,350)   -    -    (445,644,383)   793,171 
Amortization of premiums/discounts   692,632    (31,500)   (32,948)   314,591    -    -    942,775    26,696 
Total realized gains (losses) included in earnings   269,190    (70,785)   -    381,908    -    -    580,313    7,884 
Total change in unrealized appreciation (depreciation) included in earnings   (20,988,235)   (935,520)   (97,219,553)   (4,238,651)   8    (959,048)   (124,340,999)   (585,931)
Transfers into Level 3   42,555,260    178,717,439    -    191,461,099    -    -    412,733,798    - 
Transfers out of Level 3   -    -    -    (20,038,997)   -    -    (20,038,997)   - 
Ending Balance  $630,702,238   $186,494,094   $579,808,239   $326,682,405   $529   $5,906,159   $1,729,593,664   $(1,009,910)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at June 30, 2022  $(21,324,160)  $(981,293)  $(97,219,553)  $(1,182,183)  $8   $(959,048)  $(121,666,229)  $(423,557)

 

Step Coupon Bonds

 

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

 

 

Name  Coupon Rate at Next Reset Date   Next Rate Reset Date  Future Reset Rate   Future Reset Date 
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70   6.13%  01/29/25        
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61   4.62%  09/26/24   5.62%   09/26/25 
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61   4.75%  05/26/24   5.75%   05/26/25 
Legacy Mortgage Asset Trust 2021-GS5, 2.25% due 07/25/67   5.25%  11/26/24   6.25%   11/26/25 
Legacy Mortgage Asset Trust 2021-GS2, 1.75% due 04/25/61   4.75%  04/26/24   5.75%   04/26/25 
OSAT Trust 2021-RPL1, 2.12% due 05/25/65   5.12%  06/26/24   6.12%   06/26/25 
PRPM LLC 2022-1, 3.72% due 02/25/27   6.72%  02/25/25   7.72%   02/25/26 
PRPM LLC 2021-5, 1.79% due 06/25/26   4.79%  06/26/24   5.79%   06/26/25 

 

Affiliated Transactions

 

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

 

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles' annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

 

 

Transactions during the period ended June 30, 2022, in which the company is an affiliated issuer, were as follows:

 

Security Name  Value 09/30/21   Additions   Reductions   Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value 06/30/22   Shares 06/30/22   Investment Income 
Common Stocks                                
  BP Holdco LLC*  $375   $   $   $   $   $375    532   $ 
Mutual Funds                                        
  Guggenheim Strategy Fund II   27,213,251    337,553            (931,909)   26,618,895    1,102,688    337,553 
  Guggenheim Strategy Fund III   14,737,023    189,003            (549,077)   14,376,949    593,843    189,003 
  Guggenheim Ultra Short Duration Fund — Institutional Class   26,783,244    217,597            (863,217)   26,137,624    2,708,562    217,597 
   $68,733,893   $744,153   $   $   $(2,344,203)  $67,133,843        $744,153 

 

 

* Non-income producing security.

 

 

Ultra Short Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

 

   Shares   Value 
MONEY MARKET FUNDS - 1.3%
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 1.32%1   8,939,552   $8,939,552 
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.97%1   2,262,807    2,262,807 
Total Money Market Funds          
(Cost $11,202,359)        11,202,359 
           
    Face
Amount~
      
CORPORATE BONDS†† - 43.7%          
Financial -  17.9%          
Athene Global Funding          
1.31% (SOFR Compounded Index + 0.56%) due 08/19/24◊,2   11,000,000    10,671,064 
Fidelity National Financial, Inc.          
5.50% due 09/01/22   10,000,000    10,037,374 
Goldman Sachs Group, Inc.          
3.00% due 03/15/24   4,200,000    4,143,898 
1.36% (SOFR + 0.62%) due 12/06/23   2,800,000    2,767,264 
1.38% (SOFR + 0.70%) due 01/24/25   2,600,000    2,540,782 
Swedbank AB          
0.85% due 03/18/242   9,550,000    9,064,176 
F&G Global Funding          
0.90% due 09/20/242   9,700,000    8,994,691 
JPMorgan Chase & Co.          
0.70% due 03/16/243   9,100,000    8,901,086 
Charles Schwab Corp.          
1.95% (SOFR Compounded Index + 0.50%) due 03/18/24   8,850,000    8,775,536 
Banco Santander S.A.          
0.70% due 06/30/243   9,000,000    8,669,682 
Sumitomo Mitsui Trust Bank Ltd.          
0.85% due 03/25/242   8,900,000    8,438,675 
Ameriprise Financial, Inc.          
3.00% due 04/02/25   6,450,000    6,298,341 
Credit Suisse AG NY          
1.11% (SOFR Compounded Index + 0.39%) due 02/02/24   5,250,000    5,175,383 
Sompo International Holdings Ltd.          
4.70% due 10/15/22   5,120,000    5,138,333 
Macquarie Group Ltd.          
1.20% due 10/14/252,3   5,250,000    4,867,619 
American Express Co.          
1.18% (SOFR + 0.93%) due 03/04/25   4,800,000    4,756,254 
Macquarie Bank Ltd.          
3.23% due 03/21/252   4,650,000    4,574,765 
First-Citizens Bank & Trust Co.          
3.93% due 06/19/243   4,400,000    4,371,744 
Fifth Third Bancorp          
4.30% due 01/16/24   3,000,000    3,013,266 
Citigroup, Inc.          
1.38% (SOFR + 0.69%) due 01/25/26   2,550,000   2,463,023 
Jackson National Life Global Funding          
1.75% due 01/12/252   2,600,000    2,451,966 
Bank of Nova Scotia          
1.23% (SOFR Compounded Index + 0.96%) due 03/11/24   2,400,000    2,389,378 
Morgan Stanley          
1.74% (SOFR + 0.95%) due 02/18/26   2,400,000    2,334,960 
Starwood Property Trust, Inc.          
3.75% due 12/31/242   2,550,000    2,320,500 
FS KKR Capital Corp.          
4.25% due 02/14/252   2,450,000    2,309,767 
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.          
2.88% due 10/15/262   2,650,000    2,189,987 
American Equity Investment Life Holding Co.          
5.00% due 06/15/27   2,150,000    2,122,489 
Standard Chartered plc          
1.32% due 10/14/232,3   1,350,000    1,340,243 
GA Global Funding Trust          
1.63% due 01/15/262   1,300,000    1,177,608 
Jefferies Financial Group, Inc.          
5.50% due 10/18/23   950,000    959,714 
Mitsubishi UFJ Financial Group, Inc.          
1.97% (3 Month USD LIBOR + 0.79%) due 07/25/22   950,000    949,705 
OneMain Finance Corp.          
3.50% due 01/15/27   1,150,000    920,000 
Brighthouse Financial Global Funding          
1.38% (SOFR + 0.76%) due 04/12/24◊,2   900,000    893,938 
Wells Fargo & Co.          
4.13% due 08/15/23   800,000    805,788 
Peachtree Corners Funding Trust          
3.98% due 02/15/252   650,000    643,015 
Nordea Bank Abp          
2.54% (3 Month USD LIBOR + 0.94%) due 08/30/23◊,2   550,000    549,210 
ING Groep N.V.          
1.96% (3 Month USD LIBOR + 1.00%) due 10/02/23   500,000    501,462 
First American Financial Corp.          
4.60% due 11/15/24   500,000    498,215 
Markel Corp.          
3.63% due 03/30/23   450,000    451,062 
Equitable Holdings, Inc.          
3.90% due 04/20/23   422,000    424,097 
Fidelity & Guaranty Life Holdings, Inc.          
5.50% due 05/01/252   400,000    407,020 

   

 

Ultra Short Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

  

   Face
Amount~
   Value 
CORPORATE BONDS†† - 43.7% (continued)
Financial -  17.9% (continued)        
M&T Bank Corp.        
4.00% due 07/15/24   400,000   $397,786 
Apollo Management Holdings, LP          
4.00% due 05/30/242   350,000    345,395 
Reliance Standard Life Global Funding II          
3.85% due 09/19/232   200,000    199,872 
Total Financial        151,246,133 
Industrial -  7.9%          
Boeing Co.          
1.43% due 02/04/24   6,550,000    6,256,752 
1.95% due 02/01/24   6,000,000    5,806,202 
Carlisle Companies, Inc.          
0.55% due 09/01/23   10,000,000    9,644,903 
Ryder System, Inc.          
3.35% due 09/01/25   4,820,000    4,672,557 
3.75% due 06/09/23   2,650,000    2,643,277 
Siemens Financieringsmaatschappij N.V.          
0.65% due 03/11/242   7,300,000    6,976,300 
Graphic Packaging International LLC          
0.82% due 04/15/242   6,700,000    6,302,921 
IP Lending V Ltd.          
5.13% due 04/02/26†††,2   4,700,000    4,673,301 
Teledyne Technologies, Inc.          
0.65% due 04/01/23   4,550,000    4,446,461 
CNH Industrial Capital LLC          
1.95% due 07/02/23   4,230,000    4,134,108 
Berry Global, Inc.          
0.95% due 02/15/24   2,150,000    2,036,494 
1.65% due 01/15/27   1,100,000    962,820 
TD SYNNEX Corp.          
1.25% due 08/09/242   2,400,000    2,239,923 
Silgan Holdings, Inc.          
1.40% due 04/01/262   2,350,000    2,099,277 
Vontier Corp.          
1.80% due 04/01/26   2,150,000    1,875,811 
Penske Truck Leasing Company LP / PTL Finance Corp.          
2.70% due 11/01/242   900,000    863,940 
Jabil, Inc.          
1.70% due 04/15/26   650,000    582,006 
CNH Industrial N.V.          
4.50% due 08/15/23   400,000    403,353 
Weir Group plc          
2.20% due 05/13/262   440,000    386,838 
Total Industrial        67,007,244 
Consumer, Non-cyclical -  4.4%          
Illumina, Inc.          
0.55% due 03/23/23   8,800,000    8,614,940 
Triton Container International Ltd.          
0.80% due 08/01/232   3,100,000    2,937,498 
2.05% due 04/15/262   2,200,000    1,945,301 
1.15% due 06/07/242   1,700,000    1,591,513 
Global Payments, Inc.          
1.50% due 11/15/24   5,700,000   5,350,890 
4.00% due 06/01/23   651,000    649,875 
AmerisourceBergen Corp.          
0.74% due 03/15/23   5,814,000    5,701,700 
Element Fleet Management Corp.          
1.60% due 04/06/242   4,900,000    4,666,191 
CVS Health Corp.          
4.00% due 12/05/23   1,600,000    1,605,549 
Stryker Corp.          
3.38% due 05/15/24   1,600,000    1,591,586 
Bunge Limited Finance Corp.          
3.00% due 09/25/22   800,000    799,835 
Spectrum Brands, Inc.          
5.75% due 07/15/25   700,000    691,182 
Block, Inc.          
2.75% due 06/01/262   550,000    487,977 
Laboratory Corp. of America Holdings          
3.60% due 02/01/25   350,000    344,824 
General Mills, Inc.          
2.05% (3 Month USD LIBOR + 1.01%) due 10/17/23   200,000    200,481 
Total Consumer, Non-cyclical        37,179,342 
Utilities -  3.9%          
NextEra Energy Capital Holdings, Inc.          
1.78% (3 Month USD LIBOR + 0.27%) due 02/22/23   8,600,000    8,546,216 
1.12% (SOFR Compounded Index + 0.40%) due 11/03/23   2,500,000    2,464,101 
1.33% (SOFR Compounded Index + 0.54%) due 03/01/23   100,000    99,503 
Atmos Energy Corp.          
0.63% due 03/09/23   4,650,000    4,567,452 
2.07% (3 Month USD LIBOR + 0.38%) due 03/09/23   1,000,000    997,602 
CenterPoint Energy Resources Corp.          
2.11% (3 Month USD LIBOR + 0.50%) due 03/02/23   5,406,000    5,390,809 
ONE Gas, Inc.          
1.10% due 03/11/24   4,550,000    4,334,305 
Alexander Funding Trust          
1.84% due 11/15/232   4,300,000    4,116,833 
OGE Energy Corp.          
0.70% due 05/26/23   1,500,000    1,461,684 
AES Corp.          
3.30% due 07/15/252   300,000    281,394 
NRG Energy, Inc.          
3.75% due 06/15/242   275,000    269,770 

   

 

Ultra Short Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

    Face
Amount~
    Value 
CORPORATE BONDS†† - 43.7% (continued)          
Utilities -  3.9% (continued)          
Entergy Louisiana LLC          
3.30% due 12/01/22   175,000   $175,189 
Total Utilities        32,704,858 
Technology -  3.7%          
Microchip Technology, Inc.          
2.67% due 09/01/23   8,070,000    7,935,544 
0.97% due 02/15/24   750,000    712,099 
Fidelity National Information Services, Inc.          
0.60% due 03/01/24   8,200,000    7,761,213 
HCL America, Inc.          
1.38% due 03/10/262   7,300,000    6,568,668 
CDW LLC / CDW Finance Corp.          
2.67% due 12/01/26   4,300,000    3,831,017 
Infor, Inc.          
1.45% due 07/15/232   2,600,000    2,529,465 
Qorvo, Inc.          
1.75% due 12/15/242   2,050,000    1,914,946 
Total Technology        31,252,952 
Communications -  3.0%          
NTT Finance Corp.          
0.58% due 03/01/242   8,950,000    8,509,417 
Verizon Communications, Inc.          
0.75% due 03/22/24   4,400,000    4,197,108 
FactSet Research Systems, Inc.          
2.90% due 03/01/27   3,750,000    3,506,250 
Rogers Communications, Inc.          
2.95% due 03/15/252   2,400,000    2,318,459 
T-Mobile USA, Inc.          
2.63% due 04/15/26   1,600,000    1,452,000 
2.25% due 02/15/26   600,000    539,936 
Cogent Communications Group, Inc.          
3.50% due 05/01/262   2,000,000    1,840,000 
Level 3 Financing, Inc.          
5.38% due 05/01/25   1,700,000    1,646,569 
Paramount Global          
4.75% due 05/15/25   982,000    991,110 
Sprint Spectrum Company LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC          
4.74% due 03/20/252   618,751    618,854 
Vodafone Group plc          
4.13% due 05/30/25   175,000    175,655 
Total Communications        25,795,358 
Energy -  1.3%          
Enbridge, Inc.          
1.20% (SOFR + 0.40%) due 02/17/23   4,900,000    4,873,736 
Phillips 66          
0.90% due 02/15/24   3,400,000    3,237,588 
Valero Energy Corp.          
1.20% due 03/15/24   3,000,000    2,852,934 
Total Energy        10,964,258 
Consumer, Cyclical -  1.0%          
Magallanes, Inc.          
3.64% due 03/15/252   5,700,000    5,520,504 
Hyatt Hotels Corp.          
1.80% due 10/01/24   3,500,000   3,308,237 
Total Consumer, Cyclical        8,828,741 
Basic Materials -  0.6%          
Anglo American Capital plc          
4.13% due 09/27/222   3,000,000    3,000,506 
5.38% due 04/01/252   450,000    461,322 
Reliance Steel & Aluminum Co.          
4.50% due 04/15/23   1,300,000    1,303,995 
Total Basic Materials        4,765,823 
Total Corporate Bonds          
(Cost $386,221,803)        369,744,709 

 

ASSET-BACKED SECURITIES†† - 29.0%          
Collateralized Loan Obligations -  23.1%          
Lake Shore MM CLO III LLC          
2021-2A A1R, 2.52% (3 Month USD LIBOR + 1.48%, Rate Floor: 1.48%) due 10/17/31◊,2   11,350,000    11,236,153 
BXMT Ltd.          
2020-FL2 A, 2.49% (1 Month Term SOFR + 1.01%, Rate Floor: 0.90%) due 02/15/38◊,2   5,000,000    4,904,642 
2020-FL2 AS, 2.74% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38   2,550,000    2,465,910 
2020-FL3 AS, 2.64% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 11/15/37◊,2   2,500,000    2,417,018 
HERA Commercial Mortgage Ltd.          
2021-FL1 AS, 2.91% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/18/38◊,2   5,000,000    4,737,544 
2021-FL1 A, 2.66% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/38   4,250,000    4,101,847 
ABPCI Direct Lending Fund CLO V Ltd.          
2021-5A A1R, 2.56% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,2   8,250,000    8,124,273 
Palmer Square Loan Funding Ltd.          
2021-2A B, 2.88% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/29◊,2   4,500,000    4,266,711 

 

   

 

Ultra Short Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

    Face
Amount~
    Value 
ASSET-BACKED SECURITIES†† - 29.0% (continued)          

Collateralized Loan Obligations -  23.1% (continued)

          
2021-1A A1, 1.96% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 04/20/29◊,2   2,597,913   $2,566,352 
2022-1A A2, 1.74% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,2   1,000,000    956,633 
2019-3A A1, 2.33% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/27◊,2   211,104    209,518 
CHCP Ltd.          
2021-FL1 A, 2.50% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,2   6,500,000    6,370,688 
CIFC Funding Ltd.          
2018-3A AR, 1.91% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 04/19/29◊,2   6,314,660    6,199,796 
Golub Capital Partners CLO 49M Ltd.          
2021-49A AR, 2.59% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/26/33◊,2   6,250,000    6,078,393 
Shackleton CLO Ltd.          
2017-8A A1R, 1.98% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/27◊,2   6,063,109    6,001,588 
LCM XXIV Ltd.          
2021-24A AR, 2.04% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.98%) due 03/20/30◊,2   5,750,000    5,640,572 
ABPCI Direct Lending Fund IX LLC          
2021-9A A1R, 2.63% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/18/31◊,2   5,700,000    5,582,564 
ABPCI Direct Lending Fund CLO VII, LP          
2021-7A A1R, 2.66% (3 Month USD LIBOR + 1.43%, Rate Floor: 1.43%) due 10/20/31◊,2   5,500,000    5,398,644 
FS Rialto          
2021-FL3 B, 3.31% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/36   5,500,000    5,132,675 
LCCM Trust          
2021-FL3 A, 2.77% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,2   4,100,000   3,980,335 
2021-FL2 B, 3.22% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/13/38◊,2   1,000,000    955,647 
Cerberus Loan Funding XXXV, LP          
2021-5A A, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/33◊,2   5,000,000    4,828,717 
Carlyle Global Market Strategies CLO Ltd.          
2018-4A A1RR, 2.04% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 01/15/31◊,2   4,927,378    4,809,751 
Golub Capital Partners CLO 54M, LP          
2021-54A A, 2.89% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/33◊,2   4,750,000    4,619,190 
Parliament CLO II Ltd.          
2021-2A A, 1.83% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/20/32◊,2   4,500,000    4,473,977 
Owl Rock CLO IV Ltd.          
2021-4A A1R, 3.08% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,2   4,500,000    4,297,925 
Cerberus Loan Funding XXXIV, LP          
2021-4A A, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 08/13/33◊,2   4,159,005    4,152,452 
Golub Capital Partners CLO 16 Ltd.          
2021-16A A1R2, 2.79% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,2   4,250,000    4,066,137 
BRSP Ltd.          
2021-FL1 B, 3.51% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/19/38◊,2   4,250,000    4,032,045 

   

 

Ultra Short Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

    Face
Amount~
    Value 
ASSET-BACKED SECURITIES†† - 29.0% (continued)          
Collateralized Loan Obligations -  23.1% (continued)          
Madison Park Funding XLVIII Ltd.          
2021-48A B, 2.49% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/33◊,2   4,000,000   $3,785,469 
Cerberus Loan Funding XXXVI, LP          
2021-6A A, 2.44% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,2   3,700,347    3,682,393 
Golub Capital Partners CLO 33M Ltd.          
2021-33A AR2, 3.38% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,2   3,750,000    3,638,906 
MidOcean Credit CLO VII          
2020-7A A1R, 2.08% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/29◊,2   3,281,834    3,240,575 
Cerberus Loan Funding XXX, LP          
2020-3A A, 2.89% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,2   3,000,000    2,967,717 
ABPCI Direct Lending Fund CLO II LLC          
2021-1A A1R, 2.66% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,2   3,000,000    2,956,771 
BDS Ltd.          
2021-FL8 C, 3.16% (1 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/18/36◊,2   2,000,000    1,868,409 
2021-FL8 D, 3.51% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/18/36◊,2   1,000,000    894,167 
Woodmont Trust          
2020-7A A1A, 2.94% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,2   2,750,000    2,729,888 
Cerberus 2112 Levered LLC          
 , 3.20% (3 Month Term SOFR + 2.35%, Rate Floor: 2.35%) due 02/15/29◊,†††   2,500,000    2,500,721 
Cerberus Loan Funding XXXI, LP          
2021-1A A, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,2   2,500,000    2,473,516 
Cerberus Loan Funding XXXII, LP          
2021-2A A, 2.66% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,2   2,500,000   2,421,057 
LoanCore Issuer Ltd.          
2019-CRE2 AS, 2.82% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,2   1,300,000    1,276,283 
2018-CRE1 AS, 2.82% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/28◊,2   1,000,000    988,117 
2018-CRE1 A, 2.45% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/28◊,2   116,171    116,026 
Venture XIV CLO Ltd.          
2020-14A ARR, 2.63% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/29◊,2   2,394,118    2,364,670 
THL Credit Lake Shore MM CLO I Ltd.          
2021-1A A1R, 2.74% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,2   2,250,000    2,232,987 
ABPCI Direct Lending Fund CLO I LLC          
2021-1A A1A2, 2.76% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,2   2,250,000    2,214,158 
Cerberus Loan Funding XXXIII, LP          
2021-3A A, 2.60% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/33◊,2   2,250,000    2,190,641 
Cerberus Loan Funding XXVI, LP          
2021-1A AR, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,2   2,000,000    1,971,565 
Fortress Credit Opportunities XI CLO Ltd.          
2018-11A A1T, 2.34% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,2   1,800,000    1,776,082 
Wellfleet CLO Ltd.          
2020-2A A1R, 2.12% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/29◊,2   1,768,641    1,746,332 

   

 

 

Ultra Short Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 29.0% (continued)        
Collateralized Loan Obligations -  23.1% (continued)        
GoldenTree Loan Management US CLO 1 Ltd.        
2021-9A X, 1.56% (3 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 01/20/33◊,2   1,714,286   $1,714,115 
Madison Park Funding LIII Ltd.          
2022-53A B, 1.94% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,2   1,750,000    1,647,379 
Allegro CLO IX Ltd.          
2018-3A A, 2.21% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/31◊,2   1,500,000    1,467,489 
BCC Middle Market CLO LLC          
2021-1A A1R, 2.54% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,2   1,250,000    1,212,463 
STWD Ltd.          
2021-FL2 B, 3.32% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/18/38◊,2   1,000,000    943,585 
Greystone Commercial Real Estate Notes          
2021-FL3 B, 2.97% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/15/39◊,2   1,000,000    934,367 
ACRE Commercial Mortgage Ltd.          
2021-FL4 AS, 2.71% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/37◊,2   850,000    818,262 
Voya CLO Ltd.          
2019-2A X, 1.71% (3 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 07/20/32◊,2   562,500    562,119 
California Street CLO IX, LP          
2019-9A XR2, 1.74% (3 Month USD LIBOR + 0.70%, Rate Floor: 0.00%) due 07/16/32◊,2   500,000    499,848 
Fortress Credit Opportunities VI CLO Ltd.          
2018-6A A1TR, 2.35% (3 Month USD LIBOR + 1.36%, Rate Floor: 0.00%) due 07/10/30◊,2   250,000    249,574 
2018-6A A2R, 2.59% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/10/30◊,2   250,000    246,552 
GPMT Ltd.          
2019-FL2 A, 2.93% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/36   464,357   463,215 
Newfleet CLO Ltd.          
2018-1A A1R, 2.01% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,2   452,728    449,776 
Marathon CLO V Ltd.          
2017-5A A1R, 2.38% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,2   427,515    425,920 
Golub Capital Partners CLO 17 Ltd.          
2017-17A A1R, 2.83% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,2   350,000    346,652 
Halcyon Loan Advisors Funding Ltd.          
2017-3A A1R, 1.94% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/27◊,2   201,859    201,738 
OZLM XII Ltd.          
2018-12A A1R, 2.34% (3 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 04/30/27◊,2   183,979    183,804 
KVK CLO Ltd.          
2017-1A AR, 1.94% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/28◊,2   98,770    98,727 
Total Collateralized Loan Obligations        195,109,732 
Whole Business -  1.7%          
Applebee's Funding LLC / IHOP Funding LLC          
2019-1A, 4.19% due 06/05/492   5,346,000    5,186,219 
Domino's Pizza Master Issuer LLC          
2018-1A, 4.33% due 07/25/482   4,332,850    4,195,953 
Taco Bell Funding LLC          
2021-1A, 1.95% due 08/25/512   3,233,750    2,817,295 
Wingstop Funding LLC          
2020-1A, 2.84% due 12/05/502   1,343,250    1,193,357 

   

 

 

Ultra Short Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 29.0% (continued)        
Whole Business -  1.7% (continued)        
SERVPRO Master Issuer LLC        
2019-1A, 3.88% due 10/25/492   975,000   $907,801 
Total Whole Business        14,300,625 
Financial -  1.4%          
Station Place Securitization Trust          
2021-15, 2.23% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 09/26/22◊,†††,2   7,850,000    7,850,000 
2021-SP1, 3.38% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22◊,†††,2   1,200,000    1,200,000 
Madison Avenue Secured Funding Trust Series          
2021-1, 2.47% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,2   2,850,000    2,850,000 
Total Financial        11,900,000 
Transport-Container -  1.2%          
Triton Container Finance VIII LLC          
2021-1A, 1.86% due 03/20/462   6,479,688    5,655,514 
CLI Funding VIII LLC          
2021-1A, 1.64% due 02/18/462   2,815,506    2,483,049 
Textainer Marine Containers VII Ltd.          
2021-1A, 1.68% due 02/20/462   1,876,000    1,636,127 
2020-1A, 2.73% due 08/21/452   730,502    684,659 
Total Transport-Container        10,459,349 
Net Lease -  0.9%          
Oak Street Investment Grade Net Lease Fund Series          
2020-1A, 1.85% due 11/20/502   6,563,620    6,005,907 
CF Hippolyta Issuer LLC          
2021-1A, 1.98% due 03/15/612   2,170,137    1,873,137 
Total Net Lease        7,879,044 
Transport-Aircraft -  0.5%          
Raspro Trust          
2005-1A, 1.99% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,†††,2   4,727,726    4,502,352 
Collateralized Debt Obligations -  0.2%          
Anchorage Credit Funding 3 Ltd.          
2021-3A A1R, 2.87% due 01/28/392   1,750,000   1,551,545 
Total Asset-Backed Securities          
(Cost $254,303,235)        245,702,647 
           
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 17.3%          
Residential Mortgage-Backed Securities -  14.4%          
CSMC Trust          
2021-RPL1, 1.67% (WAC) due 09/27/60◊,2   6,013,130    5,690,854 
2021-RPL7, 1.93% (WAC) due 07/27/61◊,2   2,648,389    2,461,209 
2020-RPL5, 3.02% (WAC) due 08/25/60◊,2   2,304,056    2,222,401 
2020-NQM1, 1.21% due 05/25/652,4   1,472,888    1,395,680 
2021-RPL4, 1.80% (WAC) due 12/27/60◊,2   1,477,595    1,389,522 
BRAVO Residential Funding Trust          
2021-C, 1.62% due 03/01/612,4   8,481,290    7,855,396 
2022-R1, 3.13% due 01/29/702,4   2,952,842    2,669,420 
2021-HE1, 1.78% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 01/25/70◊,2   1,269,589    1,255,751 
2021-HE2, 1.78% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 11/25/69◊,2   581,455    574,974 
PRPM LLC          
2021-5, 1.79% due 06/25/262,4   3,927,019    3,674,996 
2022-1, 3.72% due 02/25/272,4   3,774,855    3,626,614 
2021-8, 1.74% (WAC) due 09/25/26◊,2   2,069,786    1,925,356 
2021-RPL2, 2.24% (WAC) due 10/25/51◊,2   2,000,000    1,774,105 
Legacy Mortgage Asset Trust          
2021-GS4, 1.65% due 11/25/602,4   3,622,866    3,358,252 
2021-GS3, 1.75% due 07/25/612,4   3,539,689    3,255,724 
2021-GS2, 1.75% due 04/25/612,4   1,666,944    1,562,685 
2021-GS5, 2.25% due 07/25/672,4   1,108,754    1,033,025 
Verus Securitization Trust          
2021-5, 1.37% (WAC) due 09/25/66◊,2   2,480,690    2,097,205 
2020-5, 1.22% due 05/25/652,4   2,185,911    2,072,086 
2021-6, 1.89% (WAC) due 10/25/66◊,2   2,173,371    1,911,943 

   

 

Ultra Short Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 17.3% (continued)        
Residential Mortgage-Backed Securities -  14.4% (continued)        
2021-4, 1.35% (WAC) due 07/25/66◊,2   1,144,432   $993,057 
2021-3, 1.44% (WAC) due 06/25/66◊,2   726,172    624,948 
2019-4, 2.85% due 11/25/592,4   596,505    592,974 
2020-1, 2.42% due 01/25/602,4   428,199    420,168 
2019-4, 2.64% due 11/25/592,4   295,629    293,999 
NYMT Loan Trust          
2021-SP1, 1.67% due 08/25/612,4   8,683,245    7,932,660 
OSAT Trust          
2021-RPL1, 2.12% due 05/25/652,4   7,579,720    7,120,886 
New Residential Advance Receivables Trust Advance Receivables Backed Notes          
2020-APT1, 1.04% due 12/16/522   4,000,000    3,924,775 
2020-T1, 1.43% due 08/15/532   2,000,000    1,909,845 
NRZ Advance Receivables Trust          
2020-T2, 1.48% due 09/15/532   4,150,000    3,963,857 
2020-T3, 1.32% due 10/15/522   1,100,000    1,089,317 
Ocwen Master Advance Receivables Trust          
2020-T1, 1.28% due 08/15/522   4,662,105    4,650,571 
SPS Servicer Advance Receivables Trust II          
2020-T1, 1.28% due 11/15/522   4,666,667    4,615,573 
Imperial Fund Mortgage Trust          
2022-NQM2, 4.02% (WAC) due 03/25/67◊,2   4,599,487    4,376,370 
FKRT          
2.21% due 11/30/58†††,5   4,550,000    4,357,594 
Towd Point Revolving Trust          
4.83% due 09/25/645   3,250,000    3,145,725 
LSTAR Securities Investment Ltd.          
2021-1, 2.86% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,5   1,460,828    1,424,034 
2021-2, 2.76% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,5   967,638    949,790 
CFMT LLC          
2021-HB5, 0.80% (WAC) due 02/25/31◊,2   2,206,380    2,165,540 
New Residential Mortgage Loan Trust          
2019-1A, 3.50% (WAC) due 10/25/59◊,2   1,316,278   1,263,726 
2018-2A, 3.50% (WAC) due 02/25/58◊,2   795,793    771,615 
CSMC          
2021-NQM8, 2.41% (WAC) due 10/25/66◊,2   1,785,714    1,581,780 
Soundview Home Loan Trust          
2006-OPT5, 1.76% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/36   1,551,662    1,477,538 
Angel Oak Mortgage Trust          
2022-1, 3.29% (WAC) due 12/25/66◊,2   1,592,346    1,476,120 
Towd Point Mortgage Trust          
2018-2, 3.25% (WAC) due 03/25/58◊,2   585,224    573,038 
2017-6, 2.75% (WAC) due 10/25/57◊,2   484,402    473,311 
2017-5, 2.22% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/57◊,2   203,807    201,713 
Morgan Stanley ABS Capital I Incorporated Trust          
2006-NC1, 2.19% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/35   1,016,004    1,006,824 
CSMC Series          
2014-2R, 1.21% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/46◊,2   968,428    954,318 
Credit Suisse Mortgage Capital Certificates          
2021-RPL9, 2.44% (WAC) due 02/25/61◊,2   932,939    868,443 
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series          
2005-W2, 2.36% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/35   817,454    802,589 
Ellington Financial Mortgage Trust          
2020-2, 1.49% (WAC) due 10/25/65◊,2   524,676    499,911 
2020-2, 1.64% (WAC) due 10/25/65◊,2   302,233    290,509 
Residential Mortgage Loan Trust          
2020-1, 2.38% (WAC) due 01/26/60◊,2   732,632    707,141 

   

 

Ultra Short Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 17.3% (continued)        
Residential Mortgage-Backed Securities -  14.4% (continued)        
CIT Mortgage Loan Trust        
2007-1, 2.97% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/37◊,2   698,442   $694,858 
Banc of America Funding Trust          
2015-R2, 1.88% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/29/37◊,2   624,450    605,850 
GS Mortgage-Backed Securities Trust          
2020-NQM1, 1.38% (WAC) due 09/27/60◊,2   468,801    451,308 
SG Residential Mortgage Trust          
2022-1, 3.68% (WAC) due 03/27/62◊,2   485,266    449,137 
Cascade Funding Mortgage Trust          
2019-RM3, 2.80% (WAC) due 06/25/69◊,5   206,026    200,206 
Starwood Mortgage Residential Trust          
2020-1, 2.28% (WAC) due 02/25/50◊,2   96,369    95,137 
Citigroup Mortgage Loan Trust          
2007-WFH2, 2.22% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/37   47,325    47,267 
Ameriquest Mortgage Securities Incorporated Asset-Backed Pass-Through Certificates Series          
2005-R10, 2.27% (1 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 01/25/36   38,047    37,994 
Total Residential Mortgage-Backed Securities        121,889,214 
Commercial Mortgage-Backed Securities -  2.9%          
BX Commercial Mortgage Trust          
2021-VOLT, 2.97% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/36◊,2   10,250,000    9,583,549 
2022-LP2, 2.90% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39◊,2   2,474,636    2,326,331 
JP Morgan Chase Commercial Mortgage Securities Trust          
2021-NYAH, 2.86% (1 Month USD LIBOR + 1.54%, Rate Floor: 1.54%) due 06/15/38◊,2   2,700,000    2,502,182 
Life Mortgage Trust          
2021-BMR, 2.42% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 03/15/38◊,2   2,408,277   2,299,399 
Morgan Stanley Capital I Trust          
2018-H3, 0.99% (WAC) due 07/15/51◊,6   43,519,525    1,496,615 
MHP          
2022-MHIL, 2.54% (1 Month Term SOFR + 1.26%, Rate Floor: 1.26%) due 01/15/27◊,2   1,500,000    1,421,190 
BXHPP Trust          
2021-FILM, 2.42% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 08/15/36◊,2   1,500,000    1,394,386 
Citigroup Commercial Mortgage Trust          
2019-GC41, 1.18% (WAC) due 08/10/56◊,6   24,854,754    1,306,564 
BENCHMARK Mortgage Trust          
2019-B14, 0.91% (WAC) due 12/15/62◊,6   34,641,179    1,248,780 
JPMDB Commercial Mortgage Securities Trust          
2018-C8, 0.75% (WAC) due 06/15/51◊,6   27,697,404    589,730 
KKR Industrial Portfolio Trust          
2021-KDIP, 2.32% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/37◊,2   487,500    465,457 
Wells Fargo Commercial Mortgage Trust          
2015-NXS1, 2.63% due 05/15/48   37,005    36,973 
Total Commercial Mortgage-Backed Securities        24,671,156 
Total Collateralized Mortgage Obligations          
(Cost $155,500,963)        146,560,370 
           
SENIOR FLOATING RATE INTERESTS††,◊ - 5.6%          
Industrial -  2.0%          
SkyMiles IP Ltd.          
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27   4,650,000    4,616,567 
Berry Global, Inc.          
3.00% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26   3,931,857    3,790,428 
LTI Holdings, Inc.          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/08/25   3,039,544    2,819,177 

   

 

Ultra Short Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 5.6% (continued)        
Industrial -  2.0% (continued)        
Mileage Plus Holdings LLC        
7.31% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27   2,200,000   $2,169,200 
Hunter Douglas, Inc.          
4.84% (3 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 02/26/29   2,400,000    2,059,512 
Standard Industries, Inc.          
3.79% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 09/22/28   730,538    704,450 
Filtration Group Corp.          
4.67% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25   633,641    598,905 
Total Industrial        16,758,239 
Technology -  1.1%          
Emerald TopCo, Inc. (Press Ganey)          
4.74% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26   2,830,897    2,644,058 
Dun & Bradstreet          
4.87% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26   2,320,551    2,184,939 
VT TopCo, Inc.          
5.42% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 08/01/25   1,561,670    1,503,107 
5.97% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 08/01/25   57,253    54,820 
Boxer Parent Company, Inc.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25   1,229,822    1,142,713 
Entegris, Inc.          
due 03/02/29   1,000,000    965,000 
Sabre GLBL, Inc.          
3.67% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24   530,715    501,860 
MACOM Technology Solutions Holdings, Inc.          
3.92% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24   244,787    238,770 
Total Technology        9,235,267 
Consumer, Cyclical -  0.8%          
Power Solutions (Panther)          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26   2,882,944    2,684,742 
Stars Group (Amaya)          
4.50% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26   2,779,000    2,637,577 
Go Daddy Operating Company LLC          
3.42% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 02/15/24   1,282,346   1,237,233 
IBC Capital Ltd.          
5.78% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23   692,765    622,913 
BCPE Empire Holdings, Inc.          
5.67% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/11/26   98,983    93,291 
Total Consumer, Cyclical        7,275,756 
Financial -  0.6%          
Focus Financial Partners LLC          
3.67% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24   3,025,329    2,899,173 
USI, Inc.          
5.25% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24   1,027,318    983,020 
Delos Finance SARL (International Lease Finance)          
4.00% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/06/23   690,000    680,513 
HUB International Ltd.          
4.21% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.15%) due 04/25/25   538,913    509,219 
Alliant Holdings Intermediate LLC          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25   297,419    279,362 
Total Financial        5,351,287 
Consumer, Non-cyclical -  0.5%          
Icon Luxembourg SARL          
4.56% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 07/03/28   1,877,195    1,810,967 
Pearl Intermediate Parent LLC          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25   1,385,751    1,303,756 
KDC US Holdings, Inc.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 12/22/25   497,177    463,617 
Nomad Foods Lux SARL          
3.66% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/15/24   293,780    282,187 

   

 

Ultra Short Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 5.6% (continued)        
Consumer, Non-cyclical -  0.5% (continued)        
Outcomes Group Holdings, Inc.        
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/24/25   297,432   $276,612 
Total Consumer, Non-cyclical        4,137,139 
Communications -  0.3%          
Internet Brands, Inc.          
5.42% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24   2,272,010    2,134,281 
Flight Bidco, Inc.          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25   197,943    183,923 
Total Communications        2,318,204 
Basic Materials -  0.2%          
Illuminate Buyer LLC          
5.17% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27   1,710,777    1,576,977 
HB Fuller Co.          
3.60% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/21/24   120,364    119,697 
Total Basic Materials        1,696,674 
Energy -  0.1%          
ITT Holdings LLC          
4.42% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28   488,310    466,336 
Lotus Midstream, LLC          
4.92% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/29/25   96,586    93,408 
Total Energy        559,744 
Total Senior Floating Rate Interests          
(Cost $50,048,244)        47,332,310 

 

FOREIGN GOVERNMENT DEBT†† - 2.9%          
State of Israel          
0.75% due 07/31/22  ILS  44,240,000    12,678,532 
1.25% due 11/30/22  ILS  32,083,000    9,201,041 
Abu Dhabi Government International Bond          
0.75% due 09/02/232   2,200,000    2,128,500 
Total Foreign Government Debt          
(Cost $25,970,358)        24,008,073 

 

MUNICIPAL BONDS†† - 0.0%        
Colorado -  0.0%        
Dawson Ridge Metropolitan District No. 1 General Obligation Limited        
 due 10/01/227   150,000   149,519 
Maryland -  0.0%          
Maryland Health & Higher Educational Facilities Authority Revenue Bonds          
4.00% due 07/01/22   30,000    30,000 
Texas -  0.0%          
Houston Higher Education Finance Corp. Revenue Bonds          
5.00% due 09/01/22   25,000    25,140 
Florida -  0.0%          
Capital Trust Agency, Inc. Revenue Bonds          
4.38% due 12/01/22   10,000    10,511 
Puerto Rico -  0.0%          
Puerto Rico Highway & Transportation Authority Revenue Bonds          
5.25% due 07/01/22   10,000    9,900 
New York -  0.0%          
New York City Transitional Finance Authority Building Aid Revenue Bonds          
5.00% due 07/15/22   5,000    4,955 
Arizona -  0.0%          
City of Mesa Arizona Excise Tax Revenue Bonds          
5.00% due 07/01/22   5,000    4,950 
Pennsylvania -  0.0%          
City of Erie Pennsylvania General Obligation Unlimited          
 due 11/15/227   5,000    4,924 
Total Municipal Bonds          
(Cost $243,314)        239,899 
Total Investments - 99.8%          
(Cost $883,490,276)       $844,790,367 
Other Assets & Liabilities, net - 0.2%        1,663,727 
Total Net Assets - 100.0%       $846,454,094 

 

Centrally Cleared Interest Rate Swap Agreements††

  

 

Counterparty  Exchange   Floating Rate Type  Floating Rate Index  Fixed Rate   Payment Frequency  Maturity Date  Notional Amount   Value   Upfront Premiums Paid   Unrealized Appreciation** 
BofA Securities, Inc.   CME   Receive  U.S. Secured Overnight Financing Rate   1.10%  Annually  01/10/25  $137,000,000   $5,928,475   $540   $5,927,935 
BofA Securities, Inc.   CME   Receive  3-Month USD LIBOR   1.00%  Quarterly  05/04/26   15,000,000    1,107,695    282    1,107,413 
BofA Securities, Inc.   CME   Receive  3-Month USD LIBOR   1.66%  Quarterly  03/16/31   4,500,000    475,479    292    475,187 
BofA Securities, Inc.   CME   Receive  U.S. Secured Overnight Financing Rate   1.79%  Annually  02/17/27  $3,520,000   $149,222   $293   $148,929 
BofA Securities, Inc.   CME   Receive  U.S. Secured Overnight Financing Rate   1.47%  Annually  02/02/27   2,150,000    119,306    284    119,022 
                              $7,780,177   $1,691   $7,778,486 

   

 

Ultra Short Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

Forward Foreign Currency Exchange Contracts††

 

 

Counterparty  Currency   Type   Quantity   Contract Amount  Settlement Date  Unrealized Appreciation (Depreciation) 
Goldman Sachs International   ILS    Sell    27,192,978   8,430,101 USD  08/01/22  $617,816 
Barclays Bank plc   ILS    Sell    21,118,725   6,695,929 USD  11/30/22   559,059 
UBS AG   ILS    Sell    17,379,729   5,389,748 USD  08/01/22   396,717 
UBS AG   ILS    Sell    11,365,313   3,599,040 USD  11/30/22   296,405 
Barclays Bank plc   ILS    Sell    8,523,623   2,581,743 USD  08/01/22   132,986 
Barclays Bank plc   ILS    Buy    8,523,623   2,345,521 USD  08/01/22   103,235 
Morgan Stanley Capital Services LLC   CZK    Sell    30,060   1,260 USD  07/28/22   (10)
                        $2,106,208 

  

 

~ The face amount is denominated in U.S. dollars unless otherwise indicated.
** Includes cumulative appreciation (depreciation).
Value determined based on Level 1 inputs — See Note 3.
†† Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
††† Value determined based on Level 3 inputs — See Note 3.
Variable rate security. Rate indicated is the rate effective at June 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1 Rate indicated is the 7-day yield as of June 30, 2022.
2 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $496,159,555 (cost $520,174,764), or 58.6% of total net assets.
3 Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
4 Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at June 30, 2022. See table below for additional step information for each security.
5 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $10,077,349 (cost $10,434,401), or 1.2% of total net assets — See Note 6.
6 Security is an interest-only strip.
7 Zero coupon rate security.

  

 

BofA — Bank of America
CME — Chicago Mercantile Exchange
CZK — Czech Koruna
ILS — Israeli New Shekel
LIBOR — London Interbank Offered Rate
plc — Public Limited Company
SARL —  Société à Responsabilité Limitée
SOFR — Secured Overnight Financing Rate
WAC — Weighted Average Coupon

 

See Sector Classification in Other Information section. 

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Money Market Funds  $11,202,359   $   $   $11,202,359 
Corporate Bonds       365,071,408    4,673,301    369,744,709 
Asset-Backed Securities       226,799,574    18,903,073    245,702,647 
Collateralized Mortgage Obligations       142,202,776    4,357,594    146,560,370 
Senior Floating Rate Interests       47,332,310        47,332,310 
Foreign Government Debt       24,008,073        24,008,073 
Municipal Bonds       239,899        239,899 
Interest Rate Swap Agreements**       7,778,486        7,778,486 
Forward Foreign Currency Exchange Contracts**       2,106,218        2,106,218 
Total Assets  $11,202,359   $815,538,744   $27,933,968   $854,675,071 

   

 

Ultra Short Duration Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

Investments in Securities (Liabilities)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Forward Foreign Currency Exchange Contracts**  $   $10   $   $10 
Unfunded Loan Commitments (Note 5)           1,744    1,744 
Total Liabilities  $   $10   $1,744   $1,754 

 

**This derivative is reported as unrealized appreciation/depreciation at period end.

 

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

 

Category  Ending Balance at June 30, 2022   Valuation Technique  Unobservable Inputs  Input Range  Weighted Average
Assets:                
Asset-Backed Securities  $11,900,000   Third Party Pricing  Broker Quote   
Asset-Backed Securities   4,502,352  Option adjusted spread off third party pricing  Trade Price   
Asset-Backed Securities   2,500,721  Option adjusted spread off prior month end broker quote  Broker Quote   
Collateralized Mortgage Obligations   4,357,594   Model Price  Market Comparable Yields  5.8% 
Corporate Bonds   4,673,301   Option adjusted spread off prior month end broker quote  Broker Quote   
Total Assets  $27,933,968             
Liabilities:                 
Unfunded Loan Commitments  $1,744   Model Price  Purchase Price   

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $4,280,714 are categorized as Level 2 within the disclosure hierarchy — See Note 2.

  

Significant changes in a quote or market comparable yields would generally result in significant changes in the fair value of the security.

 

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

 

Transfer between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended June 30, 2022, the Fund had securities with a total value of $12,207,594 transfer into Level 3 from Level 2 due to a lack of observable inputs.

 

Summary of Fair Value Level 3 Activity

 

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended June 30, 2022:

 

   Assets       Liabilities 
   Asset-Backed Securities   Collateralized Mortgage Obligations   Corporate Bonds   Total Assets   Unfunded Loan Commitments 
                     
Beginning Balance  $23,200,000   $2,621,708   $   $25,821,708   $(689)
Purchases/(Receipts)   9,841,340        4,700,000    14,541,340     
(Sales, maturities and paydowns)/Fundings   (22,000,000)   (2,621,708)       (24,621,708)   287 
Amortization of premiums/discounts   718    (6)       712     
Total realized gains (losses) included in earnings       (1,226)       (1,226)   859 
Total change in unrealized appreciation (depreciation) included in earnings   11,015    1,232    (26,699)   (14,452)   (2,201)
Transfers into Level 3   7,850,000    4,357,594        12,207,594     
Ending Balance  $18,903,073   $4,357,594   $4,673,301   $27,933,968   $(1,744)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at June 30, 2022  $11,015   $   $(26,699)  $(15,684)  $(2,201)

 

Step Coupon Bonds

 

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

  

 

Name  Coupon Rate at Next Reset Date   Next Rate Reset Date   Future Reset Rate   Future Reset Date 
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70   6.13%   01/29/25         
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61   4.62%   09/26/24    5.62%   09/26/25 
CSMC Trust 2020-NQM1, 1.21% due 05/25/65   2.21%   09/26/24         
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61   4.75%   05/26/24    5.75%   05/26/25 
Legacy Mortgage Asset Trust 2021-GS4, 1.65% due 11/25/60   4.65%   08/26/24    5.65%   08/26/25 
Legacy Mortgage Asset Trust 2021-GS5, 2.25% due 07/25/67   5.25%   11/26/24    6.25%   11/26/25 
Legacy Mortgage Asset Trust 2021-GS2, 1.75% due 04/25/61   4.75%   04/26/24    5.75%   04/26/25 
NYMT Loan Trust 2021-SP1, 1.67% due 08/25/61   4.67%   08/26/24    5.67%   08/26/25 
OSAT Trust 2021-RPL1, 2.12% due 05/25/65   5.12%   06/26/24    6.12%   06/26/25 
PRPM LLC 2022-1, 3.72% due 02/25/27   6.72%   02/25/25    7.72%   2/25/26 
PRPM LLC 2021-5, 1.79% due 06/25/26   4.79%   06/26/24    5.79%   06/26/25 
Verus Securitization Trust 2020-1, 2.42% due 01/25/60   3.42%   01/26/24         
Verus Securitization Trust 2019-4, 2.64% due 11/25/59   3.64%   10/26/23         
Verus Securitization Trust 2019-4, 2.85% due 11/25/59   3.85%   10/26/23         
Verus Securitization Trust 2020-5, 1.22% due 05/25/65   2.22%   10/26/24         

 

 

World Equity Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

 

   Shares   Value 
COMMON STOCKS - 97.9%
Consumer, Non-cyclical - 15.0%
Johnson & Johnson   4,460   $791,695 
AbbVie, Inc.   4,089    626,271 
Merck & Company, Inc.   6,427    585,949 
Cigna Corp.   2,001    527,303 
Amgen, Inc.   2,045    497,549 
McKesson Corp.   1,500    489,315 
Gilead Sciences, Inc.   6,746    416,970 
AmerisourceBergen Corp. — Class A   2,877    407,038 
Kellogg Co.   5,611    400,289 
Imperial Brands plc   16,900    377,606 
CVS Health Corp.   3,677    340,711 
Philip Morris International, Inc.   3,198    315,771 
Automatic Data Processing, Inc.   1,500    315,060 
Dai Nippon Printing Company Ltd.   11,000    237,206 
Altria Group, Inc.   5,020    209,685 
Becton Dickinson and Co.   500    123,265 
Colgate-Palmolive Co.   1,500    120,210 
Viatris, Inc.   9,500    99,465 
Total Consumer, Non-cyclical        6,881,358 
Technology - 14.1%          
Apple, Inc.   10,485    1,433,509 
Microsoft Corp.   5,445    1,398,439 
International Business Machines Corp.   3,375    476,516 
Texas Instruments, Inc.   2,857    438,978 
Intel Corp.   11,294    422,509 
Oracle Corp.   5,326    372,128 
HP, Inc.   11,186    366,677 
Broadridge Financial Solutions, Inc.   2,567    365,926 
NetApp, Inc.   4,319    281,772 
Hewlett Packard Enterprise Co.   20,732    274,906 
Broadcom, Inc.   500    242,905 
Ricoh Company Ltd.   29,300    229,109 
Analog Devices, Inc.   600    87,654 
NVIDIA Corp.   546    82,768 
Total Technology        6,473,796 
Consumer, Cyclical - 13.1%          
Home Depot, Inc.   2,028    556,220 
McDonald's Corp.   2,040    503,635 
Lowe's Companies, Inc.   2,545    444,535 
Dollar General Corp.   1,749    429,274 
Genuine Parts Co.   2,900    385,700 
PACCAR, Inc.   4,607    379,340 
Sumitomo Corp.   24,100    329,828 
Yum! Brands, Inc.   2,800    317,828 
Marubeni Corp.   32,900    296,781 
Hasbro, Inc.   3,512    287,562 
Tesla, Inc.*   411    276,776 
BorgWarner, Inc.   6,807    227,150 
Whirlpool Corp.   1,449    224,407 
Best Buy Company, Inc.   3,316    216,170 
Newell Brands, Inc.   10,700    203,728 
Lear Corp.   1,600    201,424 
Walgreens Boots Alliance, Inc.   4,100    155,390 
Sumitomo Electric Industries Ltd.   13,000    143,616 
TJX Companies, Inc.   1,900    106,115 
General Motors Co.*   3,000   95,280 
Aramark   3,000    91,890 
Cummins, Inc.   445    86,121 
O'Reilly Automotive, Inc.*   100    63,176 
Total Consumer, Cyclical        6,021,946 
Financial - 12.9%          
Allstate Corp.   3,384    428,854 
Prudential Financial, Inc.   3,990    381,763 
AXA S.A.   15,200    344,999 
National Australia Bank Ltd.   17,900    338,545 
Australia & New Zealand Banking Group Ltd.   20,200    307,282 
American International Group, Inc.   5,600    286,328 
DBS Group Holdings Ltd.   13,100    279,917 
Travelers Companies, Inc.   1,560    263,843 
Loews Corp.   4,200    248,892 
Annaly Capital Management, Inc. REIT   38,200    225,762 
Wendel SE   2,600    217,280 
Chubb Ltd.   1,100    216,238 
United Overseas Bank Ltd.   11,100    209,772 
Canadian Apartment Properties REIT   6,000    208,970 
Swiss Re AG   2,500    193,775 
Westpac Banking Corp.   14,000    188,510 
Dexus REIT   30,500    187,018 
JPMorgan Chase & Co.   1,569    176,685 
Vornado Realty Trust REIT   5,800    165,822 
Berkshire Hathaway, Inc. — Class B*   567    154,802 
MetLife, Inc.   2,200    138,138 
Gjensidige Forsikring ASA   6,700    135,709 
Western Union Co.   8,000    131,760 
BNP Paribas S.A.   2,700    128,351 
Banco Bilbao Vizcaya Argentaria S.A.   24,000    108,909 
AvalonBay Communities, Inc. REIT   500    97,125 
GPT Group REIT   29,806    86,854 
Principal Financial Group, Inc.   1,300    86,827 
Total Financial        5,938,730 
Communications - 11.4%          
Alphabet, Inc. — Class C*   428    936,229 
Amazon.com, Inc.*   6,040    641,508 
Verizon Communications, Inc.   10,990    557,743 
Comcast Corp. — Class A   11,800    463,032 
Motorola Solutions, Inc.   1,744    365,542 
NortonLifeLock, Inc.   14,000    307,440 
Omnicom Group, Inc.   4,800    305,328 
Cisco Systems, Inc.   6,100    260,104 
Liberty Media Corporation-Liberty SiriusXM — Class C*   7,000    252,350 
Liberty Global plc — Class C*   11,387    251,539 
Sirius XM Holdings, Inc.   36,100    221,293 
Corning, Inc.   6,800    214,268 
HKT Trust & HKT Ltd.   151,200    203,103 
CDW Corp.   700    110,292 
Interpublic Group of Companies, Inc.   3,000    82,590 

   

 

World Equity Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

   Shares   Value 
COMMON STOCKS - 97.9% (continued)
Communications - 11.4% (continued)
Meta Platforms, Inc. — Class A*   500   $80,625 
Total Communications        5,252,986 
Industrial - 9.3%          
Northrop Grumman Corp.   925    442,677 
Lockheed Martin Corp.   1,026    441,139 
Waste Connections, Inc.   3,282    406,837 
Packaging Corporation of America   2,575    354,063 
3M Co.   2,657    343,842 
Amcor plc   26,100    324,423 
Nippon Yusen K.K.   4,600    314,265 
Aurizon Holdings Ltd.   108,600    284,960 
Arrow Electronics, Inc.*   2,100    235,389 
AP Moller - Maersk A/S — Class B   100    233,253 
Mitsui OSK Lines Ltd.   9,700    221,969 
General Dynamics Corp.   900    199,125 
CK Infrastructure Holdings Ltd.   30,000    183,903 
Illinois Tool Works, Inc.   643    117,187 
Kyocera Corp.   1,800    96,256 
TE Connectivity Ltd.   672    76,037 
Total Industrial        4,275,325 
Energy - 9.3%          
Enbridge, Inc.   10,000    422,417 
Equinor ASA   12,100    420,824 
TotalEnergies SE   7,900    416,979 
Suncor Energy, Inc.   11,759    412,654 
TC Energy Corp.   7,600    393,796 
Repsol S.A.   25,600    376,904 
ENEOS Holdings, Inc.   80,000    302,871 
BP plc   63,700    301,057 
Eni SpA   24,000    284,892 
Aker BP ASA   7,000    243,132 
Galp Energia SGPS S.A. — Class B   20,100    235,585 
Tourmaline Oil Corp.   4,321    224,733 
Idemitsu Kosan Company Ltd.   9,000    216,895 
Total Energy        4,252,739 
Utilities - 7.0%          
EDP - Energias de Portugal S.A.   74,300    346,624 
National Grid plc   25,800    330,395 
Southern Co.   4,550    324,461 
Exelon Corp.   6,567    297,616 
Snam SpA   54,200    283,921 
Kansai Electric Power Company, Inc.*   28,100   278,333 
Chubu Electric Power Company, Inc.   25,600    257,721 
Red Electrica Corporation S.A.   13,000    245,546 
Enagas S.A.   11,100    245,077 
HK Electric Investments & HK Electric Investments Ltd.   250,500    229,860 
Engie S.A.   15,100    173,516 
Iberdrola S.A.   13,000    134,809 
SSE plc   3,900    76,719 
Total Utilities        3,224,598 
Basic Materials - 5.8%          
Rio Tinto plc   6,700    400,945 
International Paper Co.   8,210    343,424 
LyondellBasell Industries N.V. — Class A   3,508    306,810 
South32 Ltd.   111,100    302,261 
Fortescue Metals Group Ltd.   24,900    301,407 
Celanese Corp. — Class A   2,363    277,912 
Eastman Chemical Co.   3,000    269,310 
BlueScope Steel Ltd.   13,800    151,512 
Yara International ASA   3,000    125,368 
Steel Dynamics, Inc.   1,385    91,618 
Westlake Corp.   900    88,218 
Total Basic Materials        2,658,785 
Total Common Stocks          
(Cost $47,240,968)        44,980,263 
           
EXCHANGE-TRADED FUNDS - 0.9%          
iShares MSCI EAFE ETF   3,737    233,525 
SPDR S&P 500 ETF Trust   539    203,338 
Total Exchange-Traded Funds          
(Cost $467,726)        436,863 
           
MONEY MARKET FUND - 0.5%          
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 1.05%1   235,145    235,145 
Total Money Market Fund          
(Cost $235,145)        235,145 
Total Investments - 99.3%          
(Cost $47,943,839)       $45,652,271 
Other Assets & Liabilities, net - 0.7%        300,184 
Total Net Assets - 100.0%       $45,952,455 

 

Futures Contracts

 

 

Description  Number of Contracts   Expiration Date   Notional Amount   Value and Unrealized
Appreciation (Depreciation)**
 
Currency Futures Contracts Sold Short    
Japanese Yen Futures Contracts   32    Sep 2022   $2,963,600   $29,299 
Euro FX Futures Contracts   14    Sep 2022    1,843,975    8,956 
British Pound Futures Contracts   11    Sep 2022    838,063    7,237 
Australian Dollar Futures Contracts   32    Sep 2022   $2,210,720   $(355)
             $7,856,358   $45,137 

 

   

 

World Equity Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2022
   

 

 

* Non-income producing security.
** Includes cumulative appreciation (depreciation).
Value determined based on Level 1 inputs — See Note 3.
1 Rate indicated is the 7-day yield as of June 30, 2022.

  

 

plc — Public Limited Company 

REIT — Real Estate Investment Trust

 

See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at June 30, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Common Stocks  $44,980,263   $   $   $44,980,263 
Exchange-Traded Funds   436,863            436,863 
Money Market Fund   235,145            235,145 
Currency Futures Contracts**   45,492            45,492 
Total Assets  $45,697,763   $   $   $45,697,763 

 

Investments in Securities (Liabilities)  Level 1 Quoted Prices   Level 2
Significant
Observable
Inputs
   Level 3
Significant
Unobservable
Inputs
   Total 
Currency Futures Contracts**  $355   $   $   $355 

 

**This derivative is reported as unrealized appreciation/depreciation at period end.

 

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 

 

Note 1 – Organization, Consolidation of Subsidiary and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the "Trust"), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 ("1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (each, a "Fund"). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately.

 

This report covers the following funds (collectively, the “Funds”): 

 

Fund Name

Investment Company Type
Alpha Opportunity Fund Diversified
Capital Stewardship Fund Diversified
Core Bond Fund Diversified
Diversified Income Fund Diversified
Floating Rate Strategies Fund Diversified
High Yield Fund Diversified
Large Cap Value Fund Diversified
Limited Duration Fund Diversified
Macro Opportunities Fund Diversified
Market Neutral Real Estate Fund Diversified
Municipal Income Fund Diversified
Risk Managed Real Estate Fund Diversified
Small Cap Value Fund Diversified
SMid Cap Value Fund Diversified
StylePlus—Large Core Fund Diversified
StylePlus—Mid Growth Fund Diversified
Total Return Bond Fund Diversified
Ultra Short Duration Fund Diversified
World Equity Income Fund Diversified

 

 

For information on the Funds' policy regarding valuation of investments and other significant accounting policies, please refer to the Funds' most recent semi-annual or annual shareholder report.

 

Consolidation of Subsidiary

The Consolidated Schedule of Investments of the Macro Opportunities Fund includes the accounts of a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”). Significant inter-company accounts and transactions have been eliminated in consolidation for the Fund.

 

The Fund may invest up to 25% of its total assets in its Subsidiary which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objectives and policies.

  

Significant Accounting Policies

The Funds operate as investment companies and, accordingly, follow the Investment Company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. 

 

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

 

(a) Valuation of Investments 

The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds' securities and/or other assets.

   

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 

 

Valuations of the Funds’ securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.

 

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

 

Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.

 

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange ("NYSE"). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and Guggenheim Investments ("GI") are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

 

Open-end investment companies are valued at their net asset value as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.

 

U.S. Government securities are valued by independent pricing services, the last traded fill price, or at the reported bid price at the close of business.

 

Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.

 

Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.

 

Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee.

 

Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. Over-the-counter (“OTC”) options and options on swaps are valued using a price provided by a pricing service. 

 

The value of futures contracts is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

 

The value of interest rate swap agreements entered into by a Fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s close price from the applicable exchange adjusted for the current day's spreads.

 

   

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 

 

The values of other swap agreements entered into by a Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the NYSE.

 

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.

 

Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value". Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

 

The Funds may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Funds invest will complete an acquisition or that any acquisitions that are completed will be profitable.

 

Note 2 – Financial Instruments and Derivatives

As part of their investment strategy, the Funds may utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Schedule of Investments.

 

Short Sales

A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

 

Derivatives

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

   

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 

 

The Funds may utilize derivatives for the following purposes:

 

Duration: the use of an instrument to manage the interest rate risk of a portfolio.

 

Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

 

Income: the use of any instrument that distributes cash flows typicallybased upon some rate of interest.

 

Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.

 

Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.

 

Speculation: the use of an instrument to express macro-economic and other investment views. 

 

For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.

 

Options Purchased and Written 

A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.

 

The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.

 

Futures Contracts

A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund's use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Securities held as collateral are noted on the Schedules of Investments.

 

Swap Agreements

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing OTC swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

   

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 

 

Total return and custom basket swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index or custom basket of securities) or a fixed or variable interest rate. Total return and custom basket swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return or custom basket swaps, a Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

 

Interest rate swaps involve the exchange by the Funds with another party for their respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.

 

Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. A fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit event occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the default recovery of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.

 

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

  

Forward Foreign Currency Exchange Contracts

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.

 

The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Funds may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.

 

In conjunction with short sales and the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.

 

The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.

 

Foreign Investments 

There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets.A fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Funds may incur transaction costs in connection with conversions between various currencies. The Funds may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.

   

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 

 

The Funds may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Funds.

 

Reverse Repurchase Agreements

Each of the Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.

 

Note 3 – Fair Value Measurement  

In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

 

Level 1 — quoted prices in active markets for identical assets or liabilities.

 

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

 

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

 

The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

 

Independent pricing services are used to value a majority of the Funds’ investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Funds’ assets and liabilities are categorized as Level 2, as indicated in this report.

Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Funds' assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Funds may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.

   

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 


Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.

 

Note 4 – Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.

 

Tax positions taken or expected to be taken in the course of preparing the Funds' tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds' tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds' financial statements. The Funds' U.S. federal income tax returns are subject to examination by the Internal Revenue Service ("IRS") for a period of three years after they are filed.

 

The Macro Opportunities Fund intends to invest up to 25% of its assets in its Subsidiary which is expected to provide the Fund with exposure to the commodities markets within the limitations of the U.S. federal income tax requirements under Subchapter M of the Internal Revenue Code. The Fund has received a private letter ruling from the IRS that concludes that the income the Fund receives from the Subsidiary will constitute qualifying income for purposes of Subchapter M of the Internal Revenue Code. The Subsidiary will be classified as a corporation for U.S. federal income tax purposes. A foreign corporation, such as the Subsidiary, will generally not be subject to U.S. federal income taxation unless it is deemed to be engaged in a U.S. trade or business. If, during a taxable year, the Subsidiary’s taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the Fund as a deductible amount for U.S. federal income tax purposes and cannot be carried forward to reduce future income from the Subsidiary in subsequent years.

 

At June 30, 2022, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

 

Fund   Tax Cost   Tax
Unrealized
Appreciation
  Tax Unrealized
Depreciation
  Net Tax
Unrealized
Appreciation
(Depreciation)
Alpha Opportunity Fund   $ 32,464,514   $ 4,317,349   $ (4,477,065)   $ (159,716)
Capital Stewardship Fund     191,616,015     9,877,242     (20,809,960)     (10,932,718)
Core Bond Fund     1,519,131,970     1,126,964     (190,535,352)     (189,408,388)
Diversified Income Fund     8,789,922     103,485     (1,080,144)     (976,659)
Floating Rate Strategies Fund     1,426,474,824         (102,831,100)     (102,831,100)
High Yield Fund     219,525,107     555,339     (31,859,025)     (31,303,686)
Large Cap Value Fund     33,387,441     6,811,403     (1,316,826)     5,494,577
Limited Duration Fund     5,479,287,316     21,115,188     (343,620,253)     (322,505,065)
Macro Opportunities Fund     7,921,161,495     38,729,812     (880,764,844)     (842,035,032)
Market Neutral Real Estate Fund     49,363,923     3,749,356     (1,854,235)     1,895,121
Municipal Income Fund     64,484,328     1,964,057     (8,584,798)     (6,620,741)
Risk Managed Real Estate Fund     418,875,609     43,762,160     (30,320,362)     13,441,798
Small Cap Value Fund     6,692,251     789,680     (701,579)     88,101
SMid Cap Value Fund     348,315,719     56,920,065     (29,081,715)     27,838,350
StylePlus—Large Core Fund     217,717,328     1,983,486     (41,841,399)     (39,857,913)
StylePlus—Mid Growth Fund     78,572,185     198,473     (29,588,274)     (29,389,801)
Total Return Bond Fund     24,165,167,012         (2,938,897,490)     (2,938,897,490)
Ultra Short Duration Fund     883,490,276     8,129,845     (36,945,060)     (28,815,215)
World Equity Income Fund     48,157,991     3,259,541     (5,720,124)     (2,460,583)

 

Note 5 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of June 30, 2022. The Funds are obligated to fund these loan commitments at the borrower’s discretion.

 

The unfunded loan commitments as of June 30, 2022, were as follows: 

 

Fund  Borrower  Maturity Date      Face Amount*   Value
Core Bond Fund
   CTL Logistics  12/11/20        357,219   $58,292
   RLDatix  04/27/25        1,252,544   5,040
   Service Logic Acquisition, Inc.  10/29/27        43,134   2,211
                   $65,543
Floating Rate Strategies Fund                
   Athenahealth Group, Inc.  02/15/29        1,415,942   $115,923
   Aveanna Healthcare LLC  07/17/28        735,849   91,061
   Dermatology Intermediate Holdings III, Inc.  04/02/29        694,816   48,637
   Hillman Group, Inc.  07/14/28        800,000   53,000
   Icebox Holdco  12/22/28        1,242,857   77,679
   Medical Solutions Parent Holdings, Inc.  11/01/28        1,488,000   95,604
   Osmosis Holdings Australia II Pty Ltd.  07/31/28        1,157,407   108,021
   Pro Mach Group, Inc.  08/31/28        208,939   12,275
   Taxware Holdings (Sovos Compliance LLC)  08/11/28        559,589   33,922
                   $636,122

   

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 

 

High Yield Fund
   Confluent Health LLC  11/30/28        73,894   $5,419
   Pro Mach Group, Inc.  08/31/28        35,615   2,092
   SCP Eye Care Services LLC  03/16/28        188,352   8,947
   Taxware Holdings (Sovos Compliance LLC)  08/11/28        110,445   6,695
                   $23,153
Limited Duration Fund
   RLDatix  04/27/25        13,798,857   $55,528
Macro Opportunities Fund
   Care BidCo  05/04/28   EUR    7,307,598   $636,390
   Confluent Health LLC  11/30/28        820,221   60,147
   Dermatology Intermediate Holdings III, Inc.  04/02/29        888,409   62,189
   Galls LLC  01/31/24        205,268   7,074
   Higginbotham Insurance Agency, Inc.  11/25/26        5,230,899   57,438
   Icebox Holdco  12/22/28        2,220,000   138,750
   Integrated Power Services Holdings, Inc.  11/22/28        599,695   11,994
   MB2 Dental Solutions LLC  01/29/27        1,265,149   19,315
   Medical Solutions Parent Holdings, Inc.  11/01/28        1,440,000   92,520
   Polaris Newco LLC  06/04/26        5,216,561   512,443
   Pro Mach Group, Inc.  08/31/28        102,095   5,998
   RLDatix  04/27/26        12,812,535   59,921
   Schur Flexibles GmbH  09/01/26   EUR    687,215  675
   SCP Eye Care Services LLC  03/16/28        2,176,417   103,380
   Service Logic Acquisition, Inc.  10/29/27        629,254   32,249
   Taxware Holdings (Sovos Compliance LLC)  08/11/28        559,589   33,922
   TGP Holdings LLC  06/29/28        19,659   3,077
   The Facilities Group  11/30/27        3,677,371   36,286
   Vertical (TK Elevator)  01/29/27   EUR    10,711,455   873,938
   VT TopCo, Inc.  08/01/25        124,468   4,668
                   $2,752,374
Total Return Bond Fund
   Athenahealth Group, Inc.  02/15/29        1,028,986   $84,243
   Aveanna Healthcare LLC  07/17/28        113,208   14,009
   Confluent Health LLC  11/30/28        1,381,814   101,328
   GTI Logistics  08/10/42        692,113   112,941
   Higginbotham Insurance Agency, Inc.  11/25/26        9,734,723   106,892
   Hillman Group, Inc.  07/14/28        2,330,014   154,363
   Icebox Holdco  12/22/28        3,642,857   227,679
   MB2 Dental Solutions LLC  01/29/27        2,729,235   41,668
   RLDatix  04/27/25        19,781,561   79,604
   SCP Eye Care Services LLC  03/16/28        1,148,293   54,544
   Service Logic Acquisition, Inc.  10/29/27        636,866   32,639
                   $1,009,910
Ultra Short Duration Fund    
   VT TopCo, Inc.  08/01/25        46,518   $1,744

 

*The face amount is denominated in U.S. dollars unless otherwise indicated.

 

EUR - Euro

 

Note 6– Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board:

 

Fund  Restricted Securities  Acquisition Date  Cost   Value 
Core Bond Fund           
   British Telecommunications plc           
    4.88% due 11/23/813  11/16/21  $2,900,000   $2,465,000 
   Central Storage Safety Project Trust             
    4.82% due 02/01/38  03/20/18   947,577    830,855 
   Copper River CLO Ltd.             
   2007-1A INC, due 01/20/212  05/09/14       148 
         $3,847,577   $3,296,003 

   

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 

 

Floating Rate Strategies Fund             
   Mirabela Nickel Ltd.             
     due 06/24/194  12/31/13  $1,160,811   $63,991 
High Yield Fund               
   Basic Energy Services, Inc.             
     due 10/15/234  09/25/18  $1,219,360   $162,312 
   Liberty Mutual Group, Inc.             
    4.30% due 02/01/61  01/27/21   750,000    507,199 
   Mirabela Nickel Ltd.             
     due 06/24/194  12/31/13   252,369    13,906 
         $2,221,729   $683,417 
Limited Duration Fund             
   Cascade Funding Mortgage Trust             
   2018-RM2, 4.00% (WAC) due 10/25/681  11/02/18  $6,703,963   $6,585,774 
   Cascade Funding Mortgage Trust             
   2019-RM3, 2.80% (WAC) due 06/25/691  06/25/19   1,648,007    1,601,652 
   Copper River CLO Ltd.             
   2007-1A INC, due 01/20/212  05/09/14       106 
   FKRT             
    2.21% due 11/30/58  09/24/21   25,699,843    24,613,222 
   LSTAR Securities Investment Ltd.             
   2021-1, 2.86% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261  02/04/21   7,547,611    7,357,510 
   LSTAR Securities Investment Ltd.             
   2021-2, 2.76% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261  03/17/21   5,672,360    5,567,734 
   Towd Point Revolving Trust             
    4.83% due 09/25/64  03/17/22   18,499,784    17,906,433 
         $65,771,568   $63,632,431 
Macro Opportunities Fund             
   Basic Energy Services, Inc.             
     due 10/15/234  09/25/18  $1,493,094   $198,750 
   British Telecommunications plc             
    4.88% due 11/23/813  11/16/21   28,200,000    23,970,000 
   Copper River CLO Ltd.             
   2007-1A INC, due 01/20/212  05/09/14       1,728 
   FKRT             
    2.21% due 11/30/58  09/24/21   33,849,794    32,418,582 
   Liberty Mutual Group, Inc.             
    4.30% due 02/01/61  01/27/21   36,760,090    24,981,256 
   Mirabela Nickel Ltd.             
     due 06/24/194  12/31/13   1,710,483    94,271 
   Secured Tenant Site Contract Revenue Notes Series             
   2018-1A, 4.70% due 06/15/48  05/25/18   6,615,415    6,539,618 
         $108,628,876   $88,204,205 
Total Return Bond Fund           
    ACRE Commercial Mortgage Ltd.             
    2021-FL4 B, 3.01% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 12/18/371  01/21/21  $3,100,000   $2,981,604 
    ACRE Commercial Mortgage Ltd.             
    2021-FL4 C, 3.36% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 12/18/371  01/21/21   3,100,000    2,979,845 
    ACRES Commercial Realty Ltd.             
    2021-FL1 C, 3.52% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/15/361  05/07/21   13,092,000    12,233,236 
    ACRES Commercial Realty Ltd.             
    2021-FL1 D, 4.17% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 06/15/361  05/07/21   11,750,000    10,626,598 

 

 

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 

 

    ACRES Commercial Realty Ltd.             
    2021-FL2 B, 3.77% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/371  12/07/21   10,100,000    9,650,738 
    ACRES Commercial Realty Ltd.             
    2021-FL2 AS, 3.27% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 01/15/371  12/07/21   3,500,000    3,309,772 
    Anchorage Credit Funding 4 Ltd.             
    2021-4A BR, 3.12% due 04/27/39  01/29/21   16,250,000    13,785,653 
    Anchorage Credit Funding Ltd.             
    2021-13A B1, 3.23% due 07/27/39  05/25/21   6,345,000    5,374,131 
    Anchorage Credit Funding Ltd.             
    2021-13A C2, 3.65% due 07/27/39  06/30/21   1,950,000    1,617,855 
    Atlantic Marine Corporations Communities LLC             
     5.37% due 12/01/50  02/02/17   769,754    695,506 
    BDS Ltd.             
    2020-FL5 B, 3.42% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 02/16/371  07/27/20   4,328,294    4,190,923 
    BDS Ltd.             
    2021-FL9 D, 3.86% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 11/16/381  10/01/21   4,400,000    4,040,681 
    BDS Ltd.             
    2020-FL5 AS, 2.97% (1 Month Term SOFR + 1.46%, Rate Floor: 1.35%) due 02/16/371  06/08/20   3,140,745    3,029,018 
    British Telecommunications plc             
     4.88% due 11/23/813  11/16/21   47,450,000    40,332,500 
    BRSP Ltd.             
    2021-FL1 D, 4.31% (1 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 08/19/381  07/12/21   3,800,000    3,519,370 
    BSPDF Issuer Ltd.             
    2021-FL1 C, 3.57% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/15/361  10/06/21   15,300,000    14,088,061 
    BSPDF Issuer Ltd.             
    2021-FL1 B, 3.12% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 10/15/361  10/06/21   6,500,000    6,116,224 
    BSPDF Issuer Ltd.             
    2021-FL1 D, 4.07% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/15/361  10/06/21   3,500,000    3,096,452 
    BSPRT Issuer Ltd.             
    2021-FL7 C, 3.62% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 12/15/381  12/09/21   7,250,000    6,751,578 
    BSPRT Issuer Ltd.             
    2021-FL6 C, 3.37% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/361  03/15/21   5,550,000    5,145,716 
    BSPRT Issuer Ltd.             
    2021-FL7 B, 3.37% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 12/15/381  12/09/21   4,875,000    4,581,756 
    BXMT Ltd.             
    2020-FL2 B, 2.99% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 02/15/381  01/31/20   15,919,045    15,406,278 
    BXMT Ltd.             
    2020-FL3 B, 3.04% (30 Day Average SOFR + 2.26%, Rate Floor: 2.15%) due 11/15/371  10/20/20   10,600,000    10,298,112 
    BXMT Ltd.             
    2020-FL2 C, 3.24% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%)  due 02/15/381  09/25/20   5,289,637    5,105,674 
    BXMT Ltd.             
    2020-FL2 AS, 2.74% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/381  06/03/20   5,118,672    5,028,522 
    Cascade Funding Mortgage Trust             
    2018-RM2 4.00% (WAC) due 10/25/681  11/02/18   9,720,746    9,549,372 

 

 

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 

 

    Cascade Funding Mortgage Trust             
    2019-RM3 2.80% (WAC) due 06/25/691  06/25/19   5,974,725    5,805,989 
    Central Storage Safety Project Trust             
     4.82% due 02/01/38  02/02/18   19,591,472    17,032,524 
    CHCP Ltd.             
    2021-FL1 B, 3.10% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/381  02/12/21   5,900,000    5,605,001 
    CHCP Ltd.             
    2021-FL1 C, 3.55% (1 Month Term SOFR + 2.21%, Rate Floor: 2.10%) due 02/15/381  02/12/21   2,950,000    2,950,337 
    Copper River CLO Ltd.             
    2007-1A INC,  due 01/20/212  05/09/14       318 
    FKRT             
     2.21% due 11/30/58  09/24/21   117,199,286    112,243,952 
    FS Rialto             
    2021-FL2 C, 3.56% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 05/16/381  04/28/21   15,665,000    14,580,230 
    FS Rialto             
    2021-FL3 B, 3.31% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/361  10/21/21   8,000,000    7,465,710 
    GPMT Ltd.             
    2019-FL2 B, 3.53% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 02/22/361  07/23/20   12,670,635    12,564,498 
    GPMT Ltd.             
    2019-FL2 A, 2.93% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/361  01/21/20   2,285,810    2,285,105 
    Greystone Commercial Real Estate Notes             
    2021-FL3 C, 3.32% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/15/391  07/29/21   12,000,000    11,205,478 
    HERA Commercial Mortgage Ltd.             
    2021-FL1 A, 2.66% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/381  02/10/21   10,000,000    9,651,404 
    HGI CRE CLO Ltd.             
    2021-FL2 B, 3.01% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/17/361  09/17/21   5,000,000    4,797,040 
    HGI CRE CLO Ltd.             
    2021-FL2 C, 3.31% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 09/17/361  09/17/21   1,000,000    920,703 
    Liberty Mutual Group, Inc.             
     4.30% due 02/01/61  01/27/21   94,150,000    63,670,419 
    LoanCore Issuer Ltd.             
    2021-CRE6 B, 3.22% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 11/15/381  10/27/21   44,000,000    41,487,719 
    LoanCore Issuer Ltd.             
    2019-CRE2 B, 3.02% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 05/15/361  06/17/20   11,431,843    11,222,196 
    LoanCore Issuer Ltd.             
    2021-CRE4 D, 3.39% (30 Day Average SOFR + 2.61%, Rate Floor: 2.50%) due 07/15/351  09/16/21   5,602,704    5,198,360 
    LoanCore Issuer Ltd.             
    2019-CRE3 B, 2.92% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/15/341  07/27/20   4,341,894    4,309,078 
    LSTAR Securities Investment Ltd.             
    2021-1 2.86% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261  02/04/21   41,840,028    40,786,203 
    LSTAR Securities Investment Ltd.             
    2021-2 2.76% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261  03/17/21   26,552,973    26,063,206 
    MF1 Multifamily Housing Mortgage Loan Trust             
    2021-FL6 D, 4.07% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 07/16/361  06/10/21   3,800,000    3,619,530 

 

 

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 

 

    STWD Ltd.             
    2019-FL1 B, 3.05% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 07/15/381  06/29/20   11,087,103    10,786,941 
    STWD Ltd.             
    2019-FL1 C, 3.40% (1 Month Term SOFR + 2.06%, Rate Floor: 1.95%) due 07/15/381  01/05/21   8,788,755    8,287,102 
    STWD Ltd.             
    2021-FL2 C, 3.62% (1 Month USD LIBOR + 2.10%, Rate Floor: 2.10%) due 04/18/381  04/19/21   2,820,000    2,614,643 
    STWD Ltd.             
    2019-FL1 AS, 2.85% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 07/15/381  08/14/20   2,186,849    2,139,285 
    Towd Point Revolving Trust             
     4.83% due 09/25/64  03/17/22   81,499,048    78,885,097 
    TRTX Issuer Ltd.             
    2019-FL3 B, 3.34% (1 Month Term SOFR + 1.86%, Rate Floor: 1.75%) due 10/15/341  01/05/21   1,493,272    1,455,873 
    TRTX Issuer Ltd.             
    2019-FL3 A, 2.74% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 10/15/341  07/23/20   1,197,371    1,204,485 
          $781,727,661   $712,373,601
Ultra Short Duration Fund             
   Cascade Funding Mortgage Trust             
   2019-RM3, 2.80% (WAC) due 06/25/691  06/25/19  $206,001   $200,206 
   FKRT             
    2.21% due 11/30/58  09/24/21   4,549,972    4,357,594 
   LSTAR Securities Investment Ltd.             
   2021-1, 2.86% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261  02/04/21   1,460,828    1,424,034 
   LSTAR Securities Investment Ltd.             
   2021-2, 2.76% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261  03/17/21   967,638    949,790 
   Towd Point Revolving Trust             
    4.83% due 09/25/64  03/17/22   3,249,962    3,145,725 
         $10,434,401   $10,077,349 

 

 

1 Variable rate security. Rate indicated is the rate effective at June 30, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
2 Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
3 Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
4 Security is in default of interest and/or principal obligations.

 

 

Note 7 – COVID-19 and Other Market Risks

The COVID-19 pandemic and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates (which have since risen). Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict.

   

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 

 

The value of, or income generated by, the investments held by the Funds are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Funds in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.

   

 

OTHER INFORMATION (Unaudited)

 

 

Sector Classification

 

Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.