TOTAL INVESTMENTS–97.67% (Cost $203,821,429) | 229,565,383 | ||
RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–2.33% | 5,485,778 | ||
NET ASSETS APPLICABLE TO 17,346,116 SHARES OUTSTANDING–100.00% | $235,051,161 | ||
| ✧ Class R-6 shares. | |
| ° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. | |
| • Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at September 30, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their description above and may be subject to caps and/or floors. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions such as changes in current interest rate and prepayments on the underlying pool of assets. These securities do not indicate a reference rate and spread in their description above. |
| * Interest only security. An interest only security is the interest only portion of a fixed income security which is sold separately from the principal portion of the security. | |
| ♦ Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. | |
| μ Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 2021. Rate will reset at a future date. | |
| ≠ The rate shown is the effective yield at the time of purchase. | |
| ^ Zero coupon security. | |
| ∞ Fully or partially pledged as collateral for futures contracts. |
| The following futures contracts were outstanding at September 30, 2021: |
| Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation1 | Value/ Unrealized Depreciation1 | ||||||
| Interest Rate Contract: | |||||||||||
| 20 | U.S. Treasury 10 yr Notes | $2,632,187 | $2,660,276 | 12/21/21 | $— | $(28,089) | |||||
| Equity Contracts: | |||||||||||
| 61 | E-mini MSCI EAFE Index | 6,914,350 | 7,225,911 | 12/17/21 | — | (311,561) | |||||
| 11 | E-mini S&P 500 Index | 2,363,763 | 2,363,460 | 12/17/21 | 303 | — | |||||
| 26 | Euro STOXX 50 Index | 1,219,140 | 1,252,104 | 12/17/21 | — | (32,964) | |||||
| 6 | FTSE 100 Index | 571,850 | 569,102 | 12/17/21 | 2,748 | — | |||||
| 3,051 | (344,525) | ||||||||||
| Total Futures Contracts | $3,051 | $(372,614) | |||||||||
| The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional amounts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets. |
| 1 Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts were opened through September 30, 2021. |
| Summary of Abbreviations: |
| ARM–Adjustable Rate Mortgage |
| BB–Barclays Bank |
| DB–Deutsche Bank |
| EAFE–Europe Australasia Far East |
| ETF–Exchange-Traded Fund |
| FREMF–Freddie Mac Multifamily |
| FTSE–Financial Times Stock Exchange |
| GNMA–Government National Mortgage Association |
| GS–Goldman Sachs |
| HSBC–Hong Kong and Shanghai Banking Corporation |
| JPM–JPMorgan |
| JPM-DB–JPMorgan Deutsche Bank |
| LIBOR01M–Intercontinental Exchange London Interbank Offered Rate USD 1 Month |
| LIBOR12M–Intercontinental Exchange London Interbank Offered Rate USD 12 Month |
| LNG–Liquefied Natural Gas |
| MSCI–Morgan Stanley Capital International |
| RBS–Royal Bank of Scotland |
| REIT–Real Estate Investment Trust |
| REMICs–Real Estate Mortgage Investment Conduits |
| S&P–Standard & Poor’s |
| S.F.–Single Family |
| USD–United States Dollar |
| WF–Wells Fargo |
| yr–Year |
| Level 1– | inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies, futures contracts, options contracts) |
| Level 2– | other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) (e.g., debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing) |
| Level 3– | inputs are significant unobservable inputs (including the Fund's own assumptions used to determine the fair value of investments) (e.g., indicative quotes from brokers, fair valued securities) |
| Level 1 | Level 2 | Level 3 | Total | ||||
| Investments: | |||||||
| Assets: | |||||||
Investment Companies | $139,051,380 | $— | $— | $139,051,380 | |||
Agency Collateralized Mortgage Obligations | — | 10,827,333 | — | 10,827,333 | |||
Agency Commercial Mortgage-Backed Securities | — | 4,419,167 | — | 4,419,167 | |||
Agency Mortgage-Backed Securities | — | 8,671,765 | — | 8,671,765 | |||
Corporate Bonds | — | 31,238,034 | — | 31,238,034 | |||
Non-Agency Asset-Backed Securities | — | 3,587,300 | — | 3,587,300 | |||
Non-Agency Collateralized Mortgage Obligations | — | 590,725 | — | 590,725 | |||
Non-Agency Commercial Mortgage-Backed Securities | — | 7,678,199 | — | 7,678,199 | |||
U.S. Treasury Obligations | — | 21,665,666 | — | 21,665,666 | |||
Money Market Fund | 1,835,814 | — | — | 1,835,814 | |||
Total Investments | $140,887,194 | $88,678,189 | $— | $229,565,383 | |||
| Derivatives: |
| Assets: | |||||||
Futures Contracts | $3,051 | $— | $— | $3,051 | |||
| Liabilities: | |||||||
Futures Contracts | $(372,614) | $— | $— | $(372,614) |