Form NPORT-P Northern Lights Fund For: Jul 31

September 21, 2021 9:38 AM EDT

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    NPORT-P
    false
    
      
      
        
          0001314414
          XXXXXXXX
        
      
      
      
      
        S000064812
        C000209836
        C000209835
      
      
    
  
  
    
      Northern Lights Fund Trust
      811-21720
      0001314414
      549300BSYF57GRCG4861
      225 PICTORIA DRIVE
      SUITE 450
      CINCINNATI
      
      45246
      631-470-2600
      Navigator Ultra Short Bond Fund
      S000064812
      549300BWD81JQHWWQ219
      2021-10-31
      2021-07-31
      N
    
    
      53440501.07
      160062.18
      53280438.89
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
        
        
        
        
      
      
      
      
      
    
    
      
        eBay Inc.
        OML71K8X303XQONU6T67
        EBAY 0 01/30/23
        278642AT0
        
          
        
        3000000.00000000
        PA
        USD
        3031795.59000000
        5.690260165197
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-01-30
          Floating
          1.05549800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-Mobile US, Inc.
        549300ZTTY7CXOLJ6539
        S 7 1/4 09/15/21
        85207UAE5
        
          
        
        2000000.00000000
        PA
        USD
        2015730.00000000
        3.783245862823
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-09-15
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG New York Branch
        N/A
        DB 4 1/4 10/14/21
        251526BX6
        
          
        
        1000000.00000000
        PA
        USD
        1007617.48000000
        1.891158370673
        Long
        DBT
        CORP
        DE
        
        N
        
        2
        
          2021-10-14
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NextEra Energy Capital Holdings Inc
        UMI46YPGBLUE4VGNNT48
        NEE FLOAT 08/28/21
        65339KBA7
        
          
        
        1000000.00000000
        PA
        USD
        1000377.25000000
        1.877569462341
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-08-28
          Floating
          0.68500100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        BACR 3.2 08/10/21
        06738EAQ8
        
          
        
        931000.00000000
        PA
        USD
        931533.08000000
        1.748358495926
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2021-08-10
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Airlines Group Inc
        N/A
        AAL 5 06/01/22
        02376RAC6
        
          
        
        500000.00000000
        PA
        USD
        499375.00000000
        0.937257669800
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Daimler Finance North America LLC
        549300423Z16BB673J12
        DAIGR Float 02/15/22
        233851DV3
        
          
        
        1000000.00000000
        PA
        USD
        1004663.85000000
        1.885614816488
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-02-15
          Floating
          1.05588000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Company LLC
        UDSQCVRUX5BONN0VY111
        F Float 01/07/22
        345397ZN6
        
          
        
        1500000.00000000
        PA
        USD
        1512402.96000000
        2.838570761630
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-01-07
          Floating
          3.27800200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Boeing Company
        RVHJWBXLJ1RFUBSY1F30
        BA 1.167 02/04/23
        097023DD4
        
          
        
        2000000.00000000
        PA
        USD
        2006870.74000000
        3.766618259551
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-02-04
          Fixed
          1.16700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Company
        54930070NSV60J38I987
        GM Float 09/10/21
        37045VAR1
        
          
        
        1000000.00000000
        PA
        USD
        1000664.85000000
        1.878109247684
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-09-10
          Floating
          1.02800200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marriott International, Inc.
        225YDZ14ZO8E1TXUSU86
        MAR 3 1/8 10/15/21
        571903AM5
        
          
        
        1000000.00000000
        PA
        USD
        1000506.08000000
        1.877811258397
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-10-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Skyworks Solutions, Inc.
        549300WZ3ORQ2BVKBD96
        SWKS 0.9 06/01/23
        83088MAJ1
        
          
        
        1000000.00000000
        PA
        USD
        1004067.91000000
        1.884496319696
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-06-01
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
        N/A
        SPRNTS 3.36 09/20/21
        85208NAA8
        
          
        
        93750.00000000
        PA
        USD
        94136.72000000
        0.176681577631
        Long
        ABS-O
        CORP
        US
        
        Y
        
        2
        
          2021-09-20
          Fixed
          3.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Netflix, Inc.
        549300Y7VHGU0I7CE873
        NFLX 5 1/2 02/15/22
        64110LAJ5
        
          
        
        500000.00000000
        PA
        USD
        513750.00000000
        0.964237552661
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ball Corporation
        0BGI85ALH27ZJP15DY16
        BLL 5 03/15/22
        058498AR7
        
          
        
        250000.00000000
        PA
        USD
        256461.25000000
        0.481342224919
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kraft Heinz Foods Company
        5493003STKEZ2S0RNU91
        KHC 3 1/2 06/06/22
        50076QAZ9
        
          
        
        1500000.00000000
        PA
        USD
        1537399.61000000
        2.885486009554
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-06-06
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T INC 0 CP 14/12/2021
        0020A2ZE5
        
          
        
        1000000.00000000
        PA
        USD
        999349.25000000
        1.875640048805
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          N
          N
          N
        
      
      
        7-Eleven Inc.
        549300K23JPL0SS3LB18
        SVELEV 0 5/8 02/10/23
        817826AA8
        
          
        
        1000000.00000000
        PA
        USD
        1000679.11000000
        1.878136011728
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2023-02-10
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Southern California Edison Company
        9R1Z5I36FERIBVKW4P77
        EIX Float 12/03/21
        842400GX5
        
          
        
        400000.00000000
        PA
        USD
        400129.93000000
        0.750988427152
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-12-03
          Floating
          0.39849800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nissan Motor Acceptance Corporation
        7D6DIU2QXTUJRFNNJA49
        NSANY 1.9 09/14/21
        654740AS8
        
          
        
        1500000.00000000
        PA
        USD
        1502956.91000000
        2.820841834848
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2021-09-14
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hyatt Hotels Corporation
        T27JQIMTYSH41TCD5186
        H 5 3/8 08/15/21
        448579AD4
        
          
        
        896000.00000000
        PA
        USD
        897329.85000000
        1.684163773223
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-08-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corporation
        9DJT3UXIJIZJI4WXO774
        BAC 3.124 01/20/23
        06051GGE3
        
          
        
        1000000.00000000
        PA
        USD
        1012759.42000000
        1.900809079465
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-01-20
          Fixed
          3.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ladder Capital Finance Holdings LLLP/ Ladder Capital Finance Corp.
        N/A
        LADR 5 1/4 03/15/22
        505742AF3
        
          
        
        850000.00000000
        PA
        USD
        852244.00000000
        1.599543880934
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-03-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hyndai Capital America
        549300RIPPWJB5Z0FK07
        HYNMTR 3.95 02/01/22
        44891AAY3
        
          
        
        600000.00000000
        PA
        USD
        610281.02000000
        1.145412899582
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-02-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sprint Communications, Inc.
        549300ZTTY7CXOLJ6539
        S 11 1/2 11/15/21
        852061AM2
        
          
        
        500000.00000000
        PA
        USD
        515720.00000000
        0.967934969651
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-11-15
          Fixed
          11.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Telefonaktiebolaget LM Ericsson (publ)
        549300W9JLPW15XIFM52
        ERICB 4 1/8 05/15/22
        294829AA4
        
          
        
        1923000.00000000
        PA
        USD
        1979584.28000000
        3.715405355588
        Long
        DBT
        CORP
        SE
        
        N
        
        2
        
          2022-05-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Smithfield Foods, Inc.
        CVTIPZRZJC0JQEZLL598
        SFD 3.35 02/01/22
        832248AY4
        
          
        
        3550000.00000000
        PA
        USD
        3588251.39000000
        6.734650586133
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-02-01
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Financial Company  Inc
        5493008B6JBRUJ90QL97
        GM FLOAT 06/30/22
        37045XBX3
        
          
        
        1500000.00000000
        PA
        USD
        1513921.16000000
        2.841420212632
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-06-30
          Floating
          1.45725100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILLTOP SECURITIES, INC.
        N/A
        HTSCPH 0 09/29/21
        43276XWV2
        
          
        
        500000.00000000
        PA
        USD
        498885.56000000
        0.936339058749
        Long
        DBT
        
        US
        
        N
        
        2
        
          2021-09-29
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nissan Motor Acceptance Corporation
        7D6DIU2QXTUJRFNNJA49
        NSANY 3.65 09/21/21
        654740BJ7
        
          
        
        1000000.00000000
        PA
        USD
        1004032.01000000
        1.884428940371
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2021-09-21
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marriott International, Inc.
        225YDZ14ZO8E1TXUSU86
        MAR 2.3 01/15/22
        571903AR4
        
          
        
        1000000.00000000
        PA
        USD
        1006455.11000000
        1.888976763269
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-01-15
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pioneer Natural Resources Company
        FY8JBF7CCL2VE4F1B628
        PXD 0.55 05/15/23
        723787AU1
        
          
        
        500000.00000000
        PA
        USD
        500755.87000000
        0.939849371424
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-05-15
          Fixed
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rogers Communications Inc.
        54930030NVF3Y2OL0A78
        RCICN Float 03/22/22
        775109BQ3
        
          
        
        1000000.00000000
        PA
        USD
        1002782.25000000
        1.882083314047
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2022-03-22
          Floating
          0.73487900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NextEra Energy Capital Holdings Inc
        UMI46YPGBLUE4VGNNT48
        NEE Float 02/22/23
        65339KBT6
        
          
        
        1000000.00000000
        PA
        USD
        1000140.80000000
        1.877125678459
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-02-22
          Floating
          0.42013100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Air Lease Corporation
        5493004NW4M4P8TMMK63
        AL Float 12/15/22
        00914AAN2
        
          
        
        1000000.00000000
        PA
        USD
        1001221.97000000
        1.879154884716
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-12-15
          Floating
          0.48399800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FMC Corporation
        CKDHZ2X64EEBQCSP7013
        FMC 0% 8/16/2021
        34410WVG4
        
          
        
        1500000.00000000
        PA
        USD
        1499812.50000000
        2.814940213042
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Deutsche Bank AG New York Branch
        N/A
        DB Float 11/16/22
        251526BM0
        
          
        
        1000000.00000000
        PA
        USD
        1007484.26000000
        1.890908335195
        Long
        DBT
        CORP
        DE
        
        N
        
        2
        
          2022-11-16
          Floating
          1.34588200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sirius Xm Radio Inc
        WP5O65E6BMU84LNO4227
        SIRI 3 7/8 08/01/22
        82967NAY4
        
          
        
        200000.00000000
        PA
        USD
        200000.00000000
        0.375372283274
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-08-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        BACR 4.61 02/15/23
        06738EBE4
        
          
        
        1250000.00000000
        PA
        USD
        1277897.19000000
        2.398435930001
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-02-15
          Fixed
          4.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        7-Eleven Inc.
        549300K23JPL0SS3LB18
        SVELEV Float 08/10/22
        817826AH3
        
          
        
        1500000.00000000
        PA
        USD
        1500383.07000000
        2.816011093860
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-08-10
          Floating
          0.61200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Company LLC
        UDSQCVRUX5BONN0VY111
        F 5.596 01/07/22
        345397ZM8
        
          
        
        1000000.00000000
        PA
        USD
        1017725.00000000
        1.910128784977
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-01-07
          Fixed
          5.59600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FS KKR Capital Corp
        549300TYRSI1T21B1360
        FSK 4 3/4 05/15/22
        302635AC1
        
          
        
        500000.00000000
        PA
        USD
        513320.45000000
        0.963431346839
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-05-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alibaba Group Holding Ltd
        5493001NTNQJDH60PM02
        BABA 3 1/8 11/28/21
        01609WAP7
        
          
        
        750000.00000000
        PA
        USD
        753075.39000000
        1.413418143110
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2021-11-28
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cardinal Health, Inc.
        CCU46N3GJMF4OK4N7U60
        CAH 2.616 06/15/22
        14149YBF4
        
          
        
        686000.00000000
        PA
        USD
        698394.39000000
        1.310789484001
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-06-15
          Fixed
          2.61600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hyndai Capital America
        549300RIPPWJB5Z0FK07
        HYNMTR 3.1 04/05/22
        44891AAM9
        
          
        
        1000000.00000000
        PA
        USD
        1018781.84000000
        1.912112327196
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-04-05
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Delta Air Lines Inc
        Q2CCMS6R0AS67HJMBN42
        DAL 3 5/8 03/15/22
        247361ZJ0
        
          
        
        250000.00000000
        PA
        USD
        251917.12000000
        0.472813522651
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-03-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harley-Davidson Financial Services Inc.
        RLUFFFFW4GRYU77BTS24
        HOG 4.05 02/04/22
        41283LAU9
        
          
        
        200000.00000000
        PA
        USD
        203704.11000000
        0.382324384415
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2022-02-04
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hyatt Hotels Corporation
        T27JQIMTYSH41TCD5186
        H Float 09/01/22
        448579AK8
        
          
        
        1300000.00000000
        PA
        USD
        1302784.80000000
        2.445146524955
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-09-01
          Floating
          3.13463200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HTSCP
        N/A
        HTSCP 0 10/06/21
        43276VX60
        
          
        
        1500000.00000000
        PA
        USD
        1497591.00000000
        2.810770765405
        Long
        DBT
        
        US
        
        N
        
        2
        
          2021-10-06
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Enstar Group Ltd
        213800AMAL5QFXVUCN04
        ESGR 4 1/2 03/10/22
        29359UAA7
        
          
        
        500000.00000000
        PA
        USD
        509795.54000000
        0.956815579264
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2022-03-10
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dreyfus Treasury Obligations Cash Management
        549300MKKM9KT7BF6329
        DREY-T O C/M-INS
        261908107
        
          
        
        351524.36000000
        PA
        USD
        351524.36000000
        0.659762508198
        Long
        STIV
        RF
        US
        
        N
        
        1
        
          N
          N
          N
        
      
    
    
      
    
    
      2021-08-27
      Northern Lights Fund Trust
      James Colantino
      James Colantino
      Treasurer
    
  
  XXXX



 

 

NAVIGATOR EQUITY HEDGED FUND
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2021

 

 

Shares             Fair Value
    EXCHANGE-TRADED FUNDS — 88.8%      
    EQUITY FUNDS- 88.8%      
5,208   First Trust Dow Jones Internet Index Fund(a)(e)       $ 1,259,815
7,553   iShares Core S&P 500 ETF         3,326,341
30,057   iShares MSCI EAFE Growth ETF(e)         3,281,623
48,494   iShares MSCI USA Quality Factor ETF(e)         6,661,136
29,069   iShares U.S. Broker-Dealers & Securities Exchanges(e)         3,000,502
148,822   SPDR Portfolio S&P 500 Growth ETF(e)         9,728,495
18,380   Vanguard Communication Services ETF         2,659,219
22,033   Vanguard Real Estate ETF(e)         2,341,888
             

32,259,018

               
    TOTAL EXCHANGE-TRADED FUNDS (Cost $31,341,502)    

  32,259,018

               
Shares              
    SHORT-TERM INVESTMENTS — 10.3%      
    MONEY MARKET FUNDS - 10.3%      
801,580   Dreyfus Money Market Fund, Service Shares, 0.01%(b)         801,580
2,951,620   Dreyfus Treasury Obligations Cash Management Fund, Institutional Class, 0.01%(b)         2,951,620
    TOTAL MONEY MARKET FUNDS (Cost $3,753,200)  

3,753,200

               
    TOTAL SHORT-TERM INVESTMENTS (Cost $3,753,200)  

3,753,200

         
Contracts(c)              
    INDEX OPTIONS PURCHASED(a) - 1.4%   Expiration Date Exercise Price Notional Value  
    PUT OPTIONS PURCHASED - 1.4%      
86   S&P 500 Index   September-21 $ 4,310.00 $ 37,066,000 $ 508,690
    TOTAL PUT OPTIONS PURCHASED (Cost - $545,006)  
 
         
    TOTAL INDEX OPTIONS PURCHASED (Cost - $545,006)     508,690
           
Contracts(c)              
    EQUITY OPTIONS PURCHASED(a) - 0.4%          
    CALL OPTIONS PURCHASED - 0.4%      
1,000  

iPath Series B S&P 500 VIX Short-Term Futures ETN

 

  August-21 $ 29.50 $ 2,950,000 $ 130,000
    TOTAL CALL OPTIONS PURCHASED (Cost - $208,226)  
         
    TOTAL EQUITY OPTIONS PURCHASED (Cost - $208,226)     130,000

 

Shares         Fair Value

 

3,534,286

 

 

COLLATERAL FOR SECURITIES LOANED — 9.7%

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Shares, 0.03% (b)(d)

TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $3,534,286)

    $                      3,534,286
           
    TOTAL INVESTMENTS - 110.6% (Cost $39,382,220)      
    CALL OPTIONS WRITTEN - (0.7)% (Proceeds - $265,313)     $ 40,185,194
    PUT OPTIONS WRITTEN - (0.8)% (Proceeds - $335,204)     (235,000)
    LIABILITIES IN EXCESS OF OTHER ASSETS – (9.1)%     (304,870)
    NET ASSETS - 100.0%    

(3,311,894)

             

$ 36,333,430

Contracts(c)          
    WRITTEN EQUITY OPTIONS(a) - (0.7)%          
    CALL OPTIONS WRITTEN- (0.7)%   Expiration Date Exercise Price Notional Value  
1,000   iPath Series B S&P 500 VIX Short-Term Futures ETN      
    TOTAL CALL OPTIONS WRITTEN (Proceeds - $265,313)   August-21 $ 28.00 $ 2,800,000 $ 235,000
       
    TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $265,313)    
         

$ 235,000

Contracts(c)          
    WRITTEN INDEX OPTIONS(a) - (0.8)%          
    PUT OPTIONS WRITTEN - (0.8)%          
86   S&P 500 Index      
    TOTAL PUT OPTIONS WRITTEN (Proceeds - $335,204)   September-21 $ 4,160.00 $ 35,776,000 $ 304,870
       
    TOTAL INDEX OPTIONS WRITTEN (Proceeds - $335,204)    
         

$ 304,870

           
                 

 

EAFE  - Europe, Australasia and Far East
ETF  - Exchange-Traded Fund
ETN  - Exchange-Traded Note
 

-

 

 

(a) Non-income producing security.
(b) Rate disclosed is the seven-day effective yield as of July 31, 2021.

(c)

(d)

(e)

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

Security purchased with cash proceeds of securities lending collateral. Non-cash collateral amounted to $2,395,188.

All or a portion of the security is on loan. Total loaned securities had a value of $5,803,412 at July 31, 2021.

 

 

 

 

 

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2021
Shares             Fair Value
    EXCHANGE-TRADED FUNDS — 23.2%      
    FIXED INCOME - 23.2%      
14,931,187   iShares iBoxx High Yield Corporate Bond ETF(e)       $1,311,555,466
4,994,488   SPDR Bloomberg Barclays High Yield Bond ETF(e)         548,244,948
             

1,859,800,414

               
    TOTAL EXCHANGE-TRADED FUNDS (Cost $1,824,867,967)    

  1,859,800,414

             
    OPEN-END FUNDS — 2.9%      
    FIXED DEBT FUNDS - 2.3%      
8,968,617   Eaton Vance Income Fund of Boston, Institutional Class         50,493,313
5,595,323   JPMorgan High Yield Fund, Class I         40,901,808
5,486,332   Lord Abbett High Yield Fund, Class I         41,750,984
5,033,337   Navigator Ultra Short Bond Fund, Class I(h)         50,585,038
             

183,731,143

    MIXED ALLOCATION FUND- 0.6%      
5,000,000   Navigator Tactical US Allocation Fund, Class I(h)         51,786,500
             
 
    TOTAL OPEN-END FUNDS (Cost $226,548,979)    

  235,517,643

           
Principal Amount ($)       Spread Coupon Rate (%) Maturity  
    AGENCY BONDS — 0.1%          
    GOVERNMENT SPONSORED0.1%      
10,000,000   Federal Farm Credit Banks Funding Corporation(c) ICE LIBOR USD 1 Month + 0.020% 0.1091 09/17/21                         10,000,710
             
  TOTAL AGENCY BONDS (Cost $9,999,499)                                 10,000,710
               
Principal Amount ($)       Spread Coupon Rate (%) Maturity  
    CORPORATE BONDS — 48.5%      
    AEROSPACE & DEFENSE0.5%      
10,000,000   Boeing Company   2.3000 08/01/21   10,000,000
23,000,000   Boeing Company   1.1670 02/04/23   23,079,014
4,468,000   Boeing Company   4.5080 05/01/23   4,749,176
2,000,000   Boeing Company   1.4330 02/04/24   2,005,223
1,000,000   Northrop Grumman Corporation   3.2500 08/01/23   1,056,849
              40,890,262
Principal Amount ($)           Spread Coupon Rate (%) Maturity Fair Value
    ASSET MANAGEMENT1.5%      
22,000,000   Charles Schwab Corporation   0.7500 03/18/24 $  22,172,397
1,900,000   Eaton Vance Corporation   3.6250 06/15/23   2,007,699
3,086,000   Golub Capital BDC, Inc.   3.3750 04/15/24   3,243,052
20,738,000   TD Ameritrade Holding Corporation(c) ICE LIBOR USD 3 Month + 0.430% 0.6056 11/01/21   20,753,174
2,000,000   TD Ameritrade Holding Corporation   2.9500 04/01/22   2,026,963
67,473,000   UBS Group A.G. (b)   2.6500 02/01/22   68,265,586
              118,468,871
    AUTOMOTIVE4.8%      
30,000,000   American Honda Finance Corporation(c) ICE LIBOR USD 3 Month + 0.120% 0.2543 01/21/22   30,021,691
10,000,000   American Honda Finance Corporation   0.3500 04/20/23   10,010,178
4,000,000   American Honda Finance Corporation   0.8750 07/07/23   4,041,497
9,750,000   BMW US Capital, LLC(b),(c) ICE LIBOR USD 3 Month + 0.500% 0.6603 08/13/21   9,752,066
57,785,000   Daimler Finance North America, LLC(b),(c) ICE LIBOR USD 3 Month + 0.900% 1.0559 02/15/22   58,054,501
2,900,000   Fiat Chrysler Automobiles N.V.   5.2500 04/15/23   3,117,312
12,476,000   Ford Motor Credit Company, LLC(c) ICE LIBOR USD 3 Month + 3.140% 3.2780 01/07/22   12,579,160
8,672,000   General Motors Company(b),(c) ICE LIBOR USD 3 Month + 0.900% 1.0280 09/10/21   8,677,766
2,542,000   General Motors Company   5.4000 10/02/23   2,789,406
3,400,000   General Motors Financial Company, Inc.   3.5500 07/08/22   3,498,530
8,210,000   General Motors Financial Company, Inc.(c) US0003M + 1.310% 1.4573 06/30/22   8,286,195
6,480,000   General Motors Financial Company, Inc.   5.2000 03/20/23   6,952,502
4,800,000   Harley-Davidson Financial Services, Inc.(b)   4.0500 02/04/22   4,888,899
15,000,000   Hyundai Capital America(b)   0.8750 06/14/24   14,978,333
800,000   Mclaren Finance plc(b)   7.5000 08/01/26   814,200
5,500,000   Nissan Motor Acceptance Corporation(b)   1.9000 09/14/21   5,510,842
619,000   Toyota Motor Corporation   2.1570 07/02/22   630,177
2,000,000   Toyota Motor Corporation   0.6810 03/25/24   2,008,838
40,000,000   Toyota Motor Credit Corporation(c) ICE LIBOR USD 3 Month + 0.125% 0.2852 08/13/21   40,002,767
50,000,000   Toyota Motor Credit Corporation(c) ICE LIBOR USD 3 Month + 0.290% 0.4280 10/07/21   50,024,819
29,828,000   Toyota Motor Credit Corporation(c) ICE LIBOR USD 3 Month + 0.150% 0.3041 02/14/22   29,851,070
550,000   Toyota Motor Credit Corporation   0.4500 07/22/22   551,391
673,000   Toyota Motor Credit Corporation  Series B   2.9000 03/30/23   702,377
2,000,000   Toyota Motor Credit Corporation   0.5000 08/14/23   2,008,832
700,000   Toyota Motor Credit Corporation   0.4500 01/11/24   700,012
5,000,000   Toyota Motor Credit Corporation   0.5000 06/18/24   4,988,521
19,600,000   Volkswagen Group of America Finance, LLC(b),(c) ICE LIBOR USD 3 Month + 0.860% 0.9938 09/24/21   19,624,253
16,143,000   Volkswagen Group of America Finance, LLC Series(b)   2.5000 09/24/21   16,193,834
31,670,000   Volkswagen Group of America Finance, LLC(b)   4.0000 11/12/21   31,998,776
              383,258,745
    BANKING13.1%      
3,150,000   Australia & New Zealand Banking Group Ltd.   2.6250 05/19/22   3,212,982
Principal Amount ($)     Spread Coupon Rate (%) Maturity Fair Value
75,000,000   Bank of America Corporation   2.5030 10/21/22   $ 75,371,612
39,200,000   Bank of America Corporation(c) US0003M + 1.160% 3.1240 01/20/23   39,700,169
35,000,000   Bank of America Corporation(c) US0003M + 1.021% 2.8810 04/24/23   35,640,556
4,000,000   Bank of America Corporation(c) US0003M + 0.790% 3.0040 12/20/23   4,142,019
2,670,000   Bank of America Corporation(c) US0003M + 0.970% 3.4580 03/15/25   2,851,648
5,000,000   Bank of America Corporation(c) SOFRRATE + 0.690% 0.9760 04/22/25   5,029,350
20,000,000   Bank of Montreal(c) ICE LIBOR USD 3 Month + 0.400% 0.5280 09/10/21   20,009,439
2,000,000   Bank of Montreal   2.9000 03/26/22   2,036,288
2,800,000   Bank of Nova Scotia   2.0000 11/15/22   2,863,323
1,041,000   Bank of Nova Scotia   1.9500 02/01/23   1,067,797
2,000,000   Bank of Nova Scotia   1.6250 05/01/23   2,047,238
5,000,000   Bank of Nova Scotia   0.7000 04/15/24   5,014,782
1,027,000   Barclays Bank plc   1.7000 05/12/22   1,037,757
5,938,000   Barclays plc(c) US0003M + 1.625% 1.7440 01/10/23   5,975,381
34,215,000   Barclays plc   3.6840 01/10/23   34,704,639
11,350,000   Barclays plc(c) US0003M + 1.400% 4.6100 02/15/23   11,603,306
2,000,000   Barclays plc(c) US0003M + 1.356% 4.3380 05/16/24   2,128,187
45,019,000   BBVA USA   2.8750 06/29/22   46,019,917
15,000,000   Canadian Imperial Bank of Commerce   0.4500 06/22/23   15,014,423
10,994,000   Citigroup, Inc.(c) ICE LIBOR USD 3 Month + 1.190% 1.3656 08/02/21   10,994,000
25,100,000   Citigroup, Inc.(c) ICE LIBOR USD 3 Month + 0.960% 1.0852 04/25/22   25,248,064
1,750,000   Citigroup, Inc.(c) US0003M + 0.950% 2.8760 07/24/23   1,791,851
3,000,000   Citigroup, Inc.(c) SOFRRATE + 0.686% 0.7760 10/30/24   3,013,352
3,630,000   Citigroup, Inc.(c) SOFRRATE + 0.669% 0.9810 05/01/25   3,650,546
17,340,000   Citizens Bank NA(c) ICE LIBOR USD 3 Month + 0.720% 0.8741 02/14/22   17,394,907
30,562,000   Citizens Bank NA   3.2500 02/14/22   30,977,204
35,102,000   Citizens Bank NA   2.6500 05/26/22   35,729,007
2,000,000   Cooperatieve Rabobank UA   2.7500 01/10/23   2,073,722
4,700,000   Cooperatieve Rabobank UA   4.6250 12/01/23   5,128,101
2,000,000   Cooperatieve Rabobank UA   0.3750 01/12/24   1,999,295
45,000,000   Credit Suisse A.G.   2.1000 11/12/21   45,245,043
35,000,000   Credit Suisse A.G. (c) United States SOFR Secured Overnight Financing Rate + 0.450% 0.4789 02/04/22   35,054,539
600,000   Credit Suisse A.G.   0.4950 02/02/24   598,837
600,000   Credit Suisse Group Funding Guernsey Ltd.   3.8000 09/15/22   623,195
20,373,000   Deutsche Bank A.G.   4.2500 10/14/21   20,528,191
2,580,000   Deutsche Bank A.G.(c) US0003M + 1.190% 1.3459 11/16/22   2,599,309
2,200,000   Deutsche Bank A.G.   0.8980 05/28/24   2,198,807
2,000,000   HSBC Holdings plc(c) US0003M + 1.055% 3.2620 03/13/23   2,035,836
800,000   HSBC Holdings plc   4.2500 03/14/24   865,107
500,000   Huntington National Bank   3.1250 04/01/22   508,471
2,000,000   JPMorgan Chase & Company(c) US0003M + 0.935% 2.7760 04/25/23   2,036,006
Principal Amount ($)         Spread Coupon Rate (%) Maturity Fair Value
1,400,000   JPMorgan Chase & Company   3.3750 05/01/23   $ 1,470,034
8,518,000   JPMorgan Chase & Company(c) US0003M + 1.230% 1.3552 10/24/23   8,635,888
3,700,000   JPMorgan Chase & Company(c) SOFRRATE + 0.580% 0.6970 03/16/24   3,716,069
4,450,000   JPMorgan Chase & Company(c) SOFRRATE + 1.455% 1.5140 06/01/24   4,538,085
1,420,000   JPMorgan Chase & Company(c) US0003M + 0.890% 3.7970 07/23/24   1,511,118
1,100,000   JPMorgan Chase & Company(c) United States SOFR Secured Overnight Financing Rate + 0.600% 0.6530 09/16/24   1,103,708
2,000,000   JPMorgan Chase & Company(c) SOFRRATE + 0.420% 0.5630 02/16/25   1,993,709
1,880,000   JPMorgan Chase & Company(c) US0003M + 1.155% 3.2200 03/01/25   1,995,757
1,300,000   JPMorgan Chase & Company(c) SOFRRATE + 0.540% 0.8240 06/01/25   1,301,606
2,511,000   KeyBank NA(c) SOFRRATE + 0.320% 0.4330 06/14/24   2,514,649
4,400,000   Lloyds Banking Group plc   4.0500 08/16/23   4,708,729
25,000,000   Macquarie Bank Ltd.(b),(c) ICE LIBOR USD 3 Month + 0.450% 0.6254 08/06/21   25,001,268
7,000,000   Mitsubishi UFJ Financial Group, Inc.   2.6650 07/25/22   7,167,311
6,600,000   Mitsubishi UFJ Financial Group, Inc.   3.4070 03/07/24   7,074,139
2,000,000   Mitsubishi UFJ Financial Group, Inc.(c) H15T1Y + 0.680% 0.8480 09/15/24   2,010,207
900,000   Mizuho Financial Group, Inc. (c) US0003M + 0.840% 2.7210 07/16/23   920,834
2,000,000   Mizuho Financial Group, Inc.(c) US0003M + 0.610% 0.8490 09/08/24   2,012,751
25,000,000   MUFG Union Bank NA   3.1500 04/01/22   25,435,069
18,000,000   National Australia Bank Ltd.(b),(c) US0003M + 0.890% 1.0090 01/10/22   18,069,629
25,000,000   Natwest Group plc US0003M + 1.480% 3.4980 05/15/23   25,591,413
7,160,000   Natwest Group plc   3.8750 09/12/23   7,639,995
600,000   Natwest Group plc   6.0000 12/19/23   671,356
1,684,000   PNC Bank NA   2.9500 01/30/23   1,745,515
2,000,000   PNC Financial Services Group, Inc.   3.5000 01/23/24   2,145,627
3,705,000   Royal Bank of Canada   0.5000 10/26/23   3,715,110
2,000,000   Royal Bank of Canada   0.4250 01/19/24   2,001,929
4,880,000   Santander UK Group Holdings plc   3.5710 01/10/23   4,947,842
43,585,000   Societe Generale S.A. (b)   3.2500 01/12/22   44,142,260
38,000,000   Standard Chartered plc(b),(c) US0003M + 1.200% 1.3280 09/10/22   38,040,894
42,458,000   Sumitomo Mitsui Financial Group, Inc.   2.4420 10/19/21   42,664,517
600,000   Sumitomo Mitsui Financial Group, Inc.   2.7840 07/12/22   614,330
1,442,000   Sumitomo Mitsui Financial Group, Inc.   2.7780 10/18/22   1,485,786
600,000   Sumitomo Mitsui Financial Group, Inc.   3.7480 07/19/23   639,142
2,000,000   Sumitomo Mitsui Financial Group, Inc.   0.5080 01/12/24   1,999,127
11,738,000   Synchrony Bank   3.0000 06/15/22   11,981,580
2,000,000   Toronto-Dominion Bank   0.2500 01/06/23   2,000,333
1,780,000   Truist Bank   2.8000 05/17/22   1,813,543
4,000,000   Truist Financial Corporation   3.0500 06/20/22   4,090,540
1,000,000   US Bancorp   3.0000 03/15/22   1,015,250
2,000,000   US Bancorp   3.3750 02/05/24   2,142,345
75,000,000   US Bank NA(c) ICE LIBOR USD 3 Month + 0.180% 0.3143 01/21/22   75,064,001
Principal Amount ($)           Spread Coupon Rate (%) Maturity Fair Value
5,000,000   Wells Fargo & Company   3.4500 02/13/23   $ 5,235,522
2,000,000   Wells Fargo & Company   3.7500 01/24/24   2,151,211
56,600,000   Wells Fargo Bank NA(c) US0003M + 0.650% 2.0820 09/09/22   56,707,462
1,700,000   Wells Fargo Bank NA   3.5500 08/14/23   1,808,434
2,000,000   Westpac Banking Corporation   2.7500 01/11/23   2,072,286
19,686,000   Zions Bancorp NA   3.3500 03/04/22   19,987,693
              1,051,059,806
    BEVERAGES0.5%      
12,429,000   Heineken N.V. (b)   3.4000 04/01/22   12,681,981
5,233,000   Keurig Dr Pepper, Inc.   0.7500 03/15/24   5,241,228
18,831,000   Molson Coors Beverage Company   3.5000 05/01/22   19,279,334
2,000,000   PepsiCo, Inc.   0.4000 10/07/23   2,004,897
              39,207,440
    BIOTECH & PHARMA2.2%      
38,911,000   AbbVie, Inc.(c) ICE LIBOR USD 3 Month + 0.460% 0.6096 11/19/21   38,958,780
32,399,000   AbbVie, Inc.   2.1500 11/19/21   32,591,678
2,000,000   AbbVie, Inc.   3.4500 03/15/22   2,028,500
27,165,000   AbbVie, Inc.(c) US0003M + 0.650% 0.7993 11/21/22   27,345,285
818,000   AbbVie, Inc.   2.3000 11/21/22   838,505
2,600,000   AbbVie, Inc.   3.7500 11/14/23   2,785,641
2,300,000   AbbVie, Inc.   3.8500 06/15/24   2,492,971
500,000   Amgen, Inc.   3.6250 05/15/22   508,814
60,000,000   AstraZeneca plc   0.3000 05/26/23   60,044,269
4,000,000   Bristol-Myers Squibb Company   0.5370 11/13/23   4,004,261
1,480,000   GlaxoSmithKline Capital plc   2.8750 06/01/22   1,509,988
2,000,000   GlaxoSmithKline Capital plc   0.5340 10/01/23   2,006,097
2,000,000   Jazz Securities DAC(b)   4.3750 01/15/29   2,085,220
1,470,000   Royalty Pharma plc(b)   0.7500 09/02/23   1,476,002
500,000   Takeda Pharmaceutical Company Ltd.   4.4000 11/26/23   542,200
              179,218,211
    CABLE & SATELLITE0.1%      
1,200,000   Cequel Communications Holdings I, LLC(b)   7.5000 04/01/28   1,268,436
1,385,000   Charter Communications Operating, LLC   4.4640 07/23/22   1,429,735
1,233,000   Comcast Corporation   3.7000 04/15/24   1,336,598
2,910,000   Sirius XM Radio, Inc.(b)   3.8750 08/01/22   2,910,000
              6,944,769
    CHEMICALS0.5%      
2,177,000   DuPont de Nemours, Inc.   4.2050 11/15/23   2,349,928
25,674,000   Eastman Chemical Company   3.5000 12/01/21   25,946,242
4,545,000   LYB International Finance BV   4.0000 07/15/23   4,853,152
7,708,000   Mosaic Company   3.7500 11/15/21   7,716,737
              40,866,059
Principal Amount ($)           Spread Coupon Rate (%) Maturity Fair Value
    COMMERCIAL SUPPORT SERVICES0.1%      
4,000,000   APX Group, Inc.   7.6250 09/01/23 $  4,106,940
             
    CONSTRUCTION MATERIALS0.1%      
10,000,000   Martin Marietta Materials, Inc.   0.6500 07/15/23   10,021,710
             
    DIVERSIFIED INDUSTRIALS0.2%      
15,400,000   Honeywell International, Inc.   0.4830 08/19/22   15,402,277
             
    E-COMMERCE DISCRETIONARY0.8%      
26,490,000   Amazon.com, Inc.   0.2500 05/12/23   26,488,126
2,343,000   Amazon.com, Inc.   0.4500 05/12/24   2,343,735
35,575,000   eBay, Inc.(c) US0003M + 0.870% 1.0555 01/30/23   35,952,042
              64,783,903
    ELECTRIC UTILITIES2.0%      
18,250,000   Duke Energy Corporation   1.8000 09/01/21   18,250,000
1,473,000   Exelon Generation Company, LLC   3.4000 03/15/22   1,497,020
13,218,000   NextEra Energy Capital Holdings, Inc.(c) ICE LIBOR USD 3 Month + 0.550% 0.6850 08/28/21   13,222,986
20,240,000   NextEra Energy Capital Holdings, Inc.(c) US0003M + 0.720% 0.8670 02/25/22   20,311,402
49,000,000   NextEra Energy Capital Holdings, Inc.(c) US0003M + 0.270% 0.4201 02/22/23   49,006,898
2,000,000   NextEra Energy Capital Holdings, Inc.   0.6500 03/01/23   2,007,733
700,000   Pacific Gas and Electric Company   1.7500 06/16/22   699,180
2,800,000   Pacific Gas and Electric Company   1.3670 03/10/23   2,798,657
4,191,000   Pacific Gas and Electric Company   4.2500 08/01/23   4,427,105
1,500,000   Public Service Company of Colorado   2.2500 09/15/22   1,518,919
14,892,000   Public Service Enterprise Group, Inc.   2.0000 11/15/21   14,945,634
31,265,000   Southern California Edison Company(c) ICE LIBOR USD 3 Month + 0.270% 0.3985 12/03/21   31,275,156
2,000,000   Southern Company   0.6000 02/26/24   2,006,252
              161,966,942
    ELECTRICAL EQUIPMENT0.4%      
25,000,000   Siemens Financieringsmaatschappij N.V. (b)   0.4000 03/11/23   25,065,911
10,000,000   Siemens Financieringsmaatschappij N.V. (b)   0.6500 03/11/24   10,039,594
              35,105,505
    ENTERTAINMENT CONTENT0.2%      
1,000,000   Discovery Communications, LLC   2.9500 03/20/23   1,038,244
5,040,000   TWDC Enterprises 18 Corporation(c) ICE LIBOR USD 3 Month + 0.390% 0.5240 03/04/22   5,052,262
11,001,000   TWDC Enterprises 18 Corporation   2.4500 03/04/22   11,146,048
              17,236,554
    FOOD1.1%      
5,700,000   Conagra Brands, Inc.   3.2500 09/15/22   5,877,237
Principal Amount ($)     Spread Coupon Rate (%) Maturity Fair Value
36,863,000   Danone S.A. (b)   2.0770 11/02/21 $  36,975,383
710,000   Hormel Foods Corporation   0.6500 06/03/24   712,421
8,860,000   Kraft Heinz Foods Company   3.5000 06/06/22   9,080,907
24,377,000   Mondelez International Holdings Netherlands BV(b)   2.0000 10/28/21   24,443,546
8,889,000   Smithfield Foods, Inc. (b)   3.3500 02/01/22   8,984,779
              86,074,273
    FORESTRY, PAPER & WOOD PRODUCTS0.0%      
2,420,000   Georgia-Pacific, LLC   8.0000 01/15/24   2,856,861
             
    GAS & WATER UTILITIES0.1%      
2,700,000   Atmos Energy Corporation   0.6250 03/09/23   2,700,757
3,325,000   ONE Gas, Inc.   0.8500 03/11/23   3,326,075
              6,026,832
    HEALTH CARE FACILITIES & SERVICES1.4%      
30,000,000   AmerisourceBergen Corporation   0.7370 03/15/23   30,059,021
1,700,000   Anthem, Inc.   0.4500 03/15/23   1,702,567
4,143,000   Cardinal Health, Inc.(c)   2.6160 06/15/22   4,217,854
12,778,000   Cardinal Health, Inc.(c) US0003M + 0.770% 0.8889 06/15/22   12,855,638
9,340,000   Cigna Corporation(c) ICE LIBOR USD 3 Month + 0.890% 1.0161 07/15/23   9,462,794
2,500,000   Cigna Corporation   3.7500 07/15/23   2,656,294
2,000,000   Cigna Corporation   0.6130 03/15/24   2,001,119
2,000,000   CVS Health Corporation   3.7000 03/09/23   2,101,864
12,942,000   Humana, Inc.   3.1500 12/01/22   13,330,135
20,000,000   Humana, Inc.   0.6500 08/03/23   20,004,810
6,055,000   Laboratory Corp of America Holdings   3.2500 09/01/24   6,484,462
2,000,000   UnitedHealth Group, Inc.   2.8750 03/15/22   2,019,972
4,830,000   UnitedHealth Group, Inc.   3.3500 07/15/22   4,973,488
              111,870,018
    HOME CONSTRUCTION0.1%      
10,000,000   Toll Brothers Finance Corporation   5.8750 02/15/22   10,152,800
             
    INDUSTRIAL SUPPORT SERVICES0.2%      
20,000,000   Triton Container International Ltd. (b)   0.8000 08/01/23   19,999,605
             
    INSTITUTIONAL FINANCIAL SERVICES3.9%      
2,000,000   Bank of New York Mellon Corporation   2.9500 01/29/23   2,077,759
7,400,000   Bank of New York Mellon Corporation   0.5000 04/26/24   7,409,098
2,000,000   Bank of New York Mellon Corporation   1.6000 04/24/25   2,059,523
2,000,000   Credit Suisse Group A.G.   3.8000 06/09/23   2,117,233
100,000,000   Goldman Sachs Group, Inc.(c) US0003M + 0.780% 0.9080 10/31/22   100,162,274
3,283,000   Goldman Sachs Group, Inc.   3.6250 01/22/23   3,443,043
Principal Amount ($)     Spread Coupon Rate (%) Maturity Fair Value
52,000,000   Goldman Sachs Group, Inc.   0.4810 01/27/23   $ 52,032,590
1,900,000   Goldman Sachs Group, Inc.   0.5230 03/08/23   1,901,748
7,000,000   Goldman Sachs Group, Inc. (c) SOFRRATE + 0.572% 0.6730 03/08/24   7,015,868
48,662,000   Morgan Stanley   2.6250 11/17/21   49,013,185
9,878,000   Morgan Stanley   2.7500 05/19/22   10,079,179
35,000,000   Morgan Stanley(c) United States SOFR Secured Overnight Financing Rate + 0.700% 0.7500 01/20/23   35,098,843
2,025,000   Morgan Stanley   3.1250 01/23/23   2,106,939
4,000,000   Morgan Stanley(c) SOFRRATE + 0.455% 0.5290 01/25/24   4,002,179
1,785,000   Morgan Stanley(c) SOFRRATE + 0.616% 0.7310 04/05/24   1,791,427
720,000   Morgan Stanley   3.8750 04/29/24   783,091
4,040,000   Morgan Stanley(c) SOFRRATE + 0.509% 0.7910 01/22/25   4,048,189
25,000,000   Nasdaq, Inc.   0.4450 12/21/22   25,013,504
              310,155,672
    INSURANCE3.1%      
700,000   Allstate Corporation   3.1500 06/15/23   737,111
2,000,000   American International Group, Inc.   4.1250 02/15/24   2,176,227
3,200,000   AmWINS Group, Inc. (b)   4.8750 06/30/29   3,268,000
500,000   Aon plc   4.0000 11/27/23   536,101
17,000,000   Brighthouse Financial Global Funding(b)   0.6000 06/28/23   17,030,562
20,000,000   Equitable Financial Life Global Funding(b)   0.5000 04/06/23   20,055,036
25,000,000   MassMutual Global Funding II(b),(c) ICE LIBOR USD 3 Month + 0.150% 0.2880 01/07/22   25,016,118
33,609,000   Met Tower Global Funding(b)   0.5500 07/13/22   33,681,907
25,000,000   Met Tower Global Funding(b),(c) United States SOFR Secured Overnight Financing Rate + 0.550% 0.6000 01/17/23   25,165,446
14,500,000   Metropolitan Life Global Funding I(b),(c) United States SOFR Secured Overnight Financing Rate + 0.570% 0.6200 01/13/23   14,599,387
40,000,000   New York Life Global Funding(b),(c) ICE LIBOR USD 3 Month + 0.280% 0.4142 01/21/22   40,065,906
62,000,000   Northwestern Mutual Global Funding(b)   0.6000 03/25/24   62,198,013
1,850,000   W R Berkley Corporation   4.6250 03/15/22   1,897,915
              246,427,729
    INTERNET MEDIA & SERVICES0.1%      
9,328,000   Netflix, Inc.   5.5000 02/15/22   9,584,520
             
    LEISURE FACILITIES & SERVICES1.2%      
6,960,000   Marriott International, Inc.   3.1250 10/15/21   6,963,522
18,993,000   McDonald's Corporation   2.6250 01/15/22   19,200,959
71,650,000   McDonald's Corporation(c) ICE LIBOR USD 3 Month + 0.430% 0.5616 10/28/21   71,724,811
              97,889,292
    MACHINERY0.5%      
10,000,000   Caterpillar Financial Services Corporation(c) ICE LIBOR USD 3 Month + 0.200% 0.3675 11/12/21   10,006,232
20,000,000   Caterpillar Financial Services Corporation(c) ICE LIBOR USD 3 Month + 0.220% 0.3579 01/06/22   20,019,186
4,360,000   Caterpillar Financial Services Corporation   0.2500 03/01/23   4,362,136
Principal Amount ($)     Spread Coupon Rate (%) Maturity Fair Value
2,028,000   Caterpillar Financial Services Corporation   0.4500 05/17/24 $  2,033,006
700,000   CNH Industrial Capital, LLC   4.3750 04/05/22   717,988
800,000   John Deere Capital Corporation   1.2000 04/06/23   813,494
2,000,000   John Deere Capital Corporation   0.7000 07/05/23   2,016,423
2,364,000   John Deere Capital Corporation   0.4000 10/10/23   2,370,867
              42,339,332
    MEDICAL EQUIPMENT & DEVICES0.4%      
32,000,000   Illumina, Inc.   0.5500 03/23/23   32,063,070
             
    OIL & GAS PRODUCERS1.1%      
2,000,000   BP Capital Markets America, Inc.   2.9370 04/06/23   2,085,602
2,270,000   BP Capital Markets America, Inc.   3.7900 02/06/24   2,448,630
2,000,000   Chevron Corporation   2.4110 03/03/22   2,018,825
20,835,000   Chevron USA, Inc.(c) ICE LIBOR USD 3 Month + 0.110% 0.2775 08/12/22   20,866,615
600,000   Chevron USA, Inc.   0.3330 08/12/22   601,271
1,500,000   Diamondback Energy, Inc.   0.9000 03/24/23   1,500,279
2,000,000   Energy Transfer Operating, L.P.   4.2500 03/15/23   2,094,912
2,000,000   Enterprise Products Operating, LLC   3.5000 02/01/22   2,032,221
9,440,000   Exxon Mobil Corporation   1.5710 04/15/23   9,645,071
609,000   Exxon Mobil Corporation   3.1760 03/15/24   649,452
1,625,000   Kinder Morgan Energy Partners, L.P.   3.9500 09/01/22   1,674,138
16,930,000   Pioneer Natural Resources Company   0.5500 05/15/23   16,955,594
2,000,000   Shell International Finance BV   0.3750 09/15/23   2,000,797
3,764,000   TransCanada PipeLines Ltd.   2.5000 08/01/22   3,847,699
2,000,000   Valero Energy Corporation   2.7000 04/15/23   2,072,343
6,000,000   Valero Energy Corporation(c) US0003M + 1.150% 1.2689 09/15/23   6,006,865
5,600,000   Williams Companies, Inc. (The)   4.0000 11/15/21   5,606,836
4,159,000   Williams Companies, Inc. (The)   3.6000 03/15/22   4,219,186
              86,326,336
    REAL ESTATE INVESTMENT TRUSTS0.1%      
10,393,000   American Tower Corporation   2.2500 01/15/22   10,484,547
800,000   ERP Operating, L.P.   4.6250 12/15/21   804,080
500,000   Federal Realty Investment Trust   3.9500 01/15/24   538,444
 

 

 

          11,827,071
 

 

 

RETAIL - CONSUMER STAPLES1.3%      
66,280,000   7-Eleven, Inc.(b),(c) ICE LIBOR USD 3 Month + 0.450% 0.6120 08/10/22   66,296,927
19,000,000   7-Eleven, Inc. (b)   0.6250 02/10/23   19,012,903
16,700,000   Walgreens Boots Alliance, Inc.   3.3000 11/18/21   16,762,096
2,000,000   Walmart, Inc.   3.4000 06/26/23   2,112,834
Principal Amount ($)     Spread Coupon Rate (%) Maturity Fair Value
3,662,000   Walmart, Inc.   3.3000 04/22/24 $  3,923,053
              108,107,813
    SEMICONDUCTORS0.7%      
3,300,000   Marvell Technology, Inc. (b)   4.2000 06/22/23   3,502,907
4,695,000   Microchip Technology, Inc.   4.3330 06/01/23   4,993,358
2,000,000   Microchip Technology, Inc. (b)   0.9720 02/15/24   2,004,427
25,000,000   NVIDIA Corporation   0.3090 06/15/23   24,989,635
2,292,000   QUALCOMM, Inc.   3.0000 05/20/22   2,344,201
20,345,000   Skyworks Solutions, Inc.   0.9000 06/01/23   20,427,762
              58,262,290
    SOFTWARE2.4%      
1,500,000   Microsoft Corporation   2.4000 02/06/22   1,514,517
2,000,000   Microsoft Corporation   2.8750 02/06/24   2,119,760
35,755,000   Oracle Corporation   1.9000 09/15/21   35,801,066
86,334,000   Oracle Corporation   2.5000 05/15/22   87,510,381
44,614,000   VMware, Inc.   2.9500 08/21/22   45,701,410
19,758,000   VMware, Inc.   0.6000 08/15/23   19,794,316
              192,441,450
    SPECIALTY FINANCE1.5%      
1,300,000   AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.6250 07/01/22   1,348,855
4,000,000   AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.5000 09/15/23   4,282,324
500,000   Air Lease Corporation   3.5000 01/15/22   507,289
24,000,000   Air Lease Corporation(c) US0003M + 0.350% 0.4840 12/15/22   24,029,327
3,070,000   Air Lease Corporation   0.7000 02/15/24   3,062,272
17,997,000   American Express Company   3.7000 11/05/21   18,104,795
20,000,000   American Express Company(c) ICE LIBOR USD 3 Month + 0.600% 0.7764 11/05/21   20,016,000
7,870,000   American Express Company   2.7500 05/20/22   8,011,559
2,000,000   American Express Company   3.4000 02/27/23   2,092,230
600,000   Capital One Financial Corporation   3.2000 01/30/23   625,011
28,229,000   Capital One Financial Corporation(c) ICE LIBOR USD 3 Month + 0.950% 1.0731 03/09/22   28,359,659
2,000,000   Capital One Financial Corporation   3.5000 06/15/23   2,112,977
9,184,000   Ladder Capital Finance Holdings LLP(b)   5.2500 03/15/22   9,208,246
              121,760,544
    TECHNOLOGY HARDWARE0.2%      
1,685,000   Apple, Inc.   1.7000 09/11/22   1,714,036
4,500,000   Apple, Inc.   2.4000 05/03/23   4,668,379
1,085,000   Arrow Electronics, Inc.   3.5000 04/01/22   1,101,671
5,050,000   Hewlett Packard Enterprise Company   3.5000 10/05/21   5,064,820
              12,548,906
    TECHNOLOGY SERVICES0.5%      
600,000   Fiserv, Inc.   3.8000 10/01/23   641,315
Principal Amount ($)     Spread Coupon Rate (%) Maturity Fair Value
3,700,000   International Business Machines Corporation   2.8500 05/13/22 $  3,776,964
26,620,000   PayPal Holdings, Inc.   2.2000 09/26/22   27,233,238
3,600,000   Square, Inc.(b)   2.7500 06/01/26   3,685,770
1,800,000   Square, Inc.(b)   3.5000 06/01/31   1,870,065
              37,207,352
    TELECOMMUNICATIONS1.4%      
4,110,000   AT&T, Inc.   0.9000 03/25/24   4,121,663
24,826,000   Rogers Communications, Inc.(c) US0003M + 0.600% 0.7350 03/22/22   24,895,072
9,239,000   Sprint Corporation   7.2500 09/15/21   9,311,665
30,424,000   Verizon Communications, Inc.(c) ICE LIBOR USD 3 Month + 1.000% 1.1180 03/16/22   30,606,028
1,100,000   Verizon Communications, Inc.   4.1500 03/15/24   1,196,061
38,469,000   Verizon Communications, Inc.   0.7500 03/22/24   38,661,045
              108,791,534
    TOBACCO & CANNABIS0.0%      
900,000   Philip Morris International, Inc.   1.1250 05/01/23   913,415
             
    TRANSPORTATION & LOGISTICS0.2%      
5,000,000   American Airlines Group, Inc.(b)   5.0000 06/01/22   4,993,750
750,000   Delta Air Lines, Inc.   3.6250 03/15/22   755,751
843,000   Ryder System, Inc.   2.8000 03/01/22   853,600
6,500,000   Ryder System, Inc.   3.8750 12/01/23   6,987,677
544,000   Union Pacific Corporation   4.1630 07/15/22   559,013
              14,149,791
  TOTAL CORPORATE BONDS (Cost $3,892,858,409)    

3,896,314,500

             
Principal Amount ($)              
    MUNICIPAL BONDS — 0.4%      
    California 0.4%      
11,435,000   Los Angeles Community College District/CA   0.2760 08/01/21   11,435,000
11,425,000   Los Angeles Community College District/CA   0.3260 08/01/22   11,445,563
1,250,000   San Francisco Community College District   3.0000 06/15/22   1,279,531
5,000,000   State of California   5.0000 09/01/23   5,493,053
              29,653,147
   

 

 

     
    New Jersey 0.0%      
961,125   County of Camden NJ   1.5000 10/19/21   963,993
             
  TOTAL MUNICIPAL BONDS (Cost $30,570,236)    

30,617,140

             
Principal Amount ($)       Spread Coupon Rate (%) Maturity Fair Value
    U.S. GOVERNMENT & AGENCIES — 0.3%      
    U.S. TREASURY NOTES0.3%      
20,000,000   United States Treasury Note   0.2500 08/31/25 $  19,744,531
             
  TOTAL U.S. GOVERNMENT & AGENCIES (Cost $19,978,812)    

19,744,531

             
    CERTIFICATE OF DEPOSIT — 2.1%      
    BANKING - 2.1%      
20,000,000   Canadian Imperial Bank of Commerce(c)                   BSBY1M+ 0.100% 0.1710 01/24/22   20,000,000
50,000,000   Royal Bank of Canada, New York(c) US0003M + 0.090% 0.2210 12/07/21   50,017,177
50,000,000   Royal Bank of Canada, New York(c) US0003M + 0.090% 0.2180 12/10/21   50,017,422
10,000,000   Toronto-Dominion Bank, New York(c) SOFRRATE + 0.200% 0.2320 02/16/22   10,005,517
10,000,000   Toronto-Dominion Bank, New York(c)    BSBY3M+ 0.050% 0.1360 12/09/21   9,998,000
25,000,000   Toronto-Dominion Bank, New York(b),(c) US0003M + 0.090% 0.2180 12/03/21   25,008,312
             

165,046,428

               
    TOTAL CERTIFICATE OF DEPOSIT (Cost $165,000,000)    

165,046,428

               
               
    COMMERCIAL PAPER — 4.8%      
    COMMERCIAL PAPER - 4.8%      
50,000,000   American Honda Finance Corporation   0.0000 09/07/21   49,990,466
23,000,000   American Honda Finance Corporation   0.0000 09/21/21   22,993,533
15,000,000   American Honda Financial Corporation   0.0000 10/13/21   14,993,750
49,000,000   AT&T, Inc.   0.0000 12/14/21   48,968,113
25,000,000   FMC Corporation   0.0000 08/24/21   24,995,208
25,000,000   FMC Corporation   0.0000 08/12/21   24,997,708
23,500,000   FMC Corporation   0.0000 08/16/21   23,497,063
22,500,000   Hilltop Securities, Inc.   0.0000 10/06/21   22,463,865
25,000,000   Hilltop Securities, Inc.   0.0000 08/04/21   24,997,125
24,000,000   Hilltop Securities, Inc.   0.0000 09/29/21   23,946,507
35,000,000   Jabil, Inc.   0.0000 08/20/21   34,991,318
25,000,000   Shell Intl Finance BV(b)   0.0000 10/01/21   24,995,144
41,830,000   Walgreens Boots Alliance   0.0000 08/06/21   41,829,129
             

383,658,929

               
    TOTAL COMMERCIAL PAPER (Cost $383,615,067)    

383,658,929

               
Shares             Fair Value
    SHORT-TERM INVESTMENTS — 12.5%      
    MONEY MARKET FUNDS - 12.5%      
104,233,454   Dreyfus Treasury Obligations Cash Management Fund, Institutional Shares, 0.01%(d)        $ 104,233,454
574,687,656   JPMorgan Prime Money Market Fund, Capital Class, 0.07%(d)         574,975,000
169,800,548   Morgan Stanley Institutional Liquidity Funds – Prime Portfolio, Institutional Class, 0.06%(d)         169,817,528
154,309,182   Western Asset Institutional Liquid Reserves, Institutional Class, 0.02%(d)         154,324,613
    TOTAL MONEY MARKET FUNDS (Cost $1,003,386,890)  

1,003,350,595

               
    TOTAL SHORT-TERM INVESTMENTS (Cost $1,003,386,890)  

1,003,350,595

Contracts(g)              
    EQUITY OPTIONS PURCHASED(a) - 0.0%   Expiration Date Exercise Price Notional Value  
    CALL OPTIONS PURCHASED - 0.0%      
19,000   iShares iBoxx High Yield Corporate Bond ETF   08/20/2021 $ 95 $ 180,500,000 $ 19,000
    TOTAL CALL OPTIONS PURCHASED (Cost - $23,160)  
 
         
    TOTAL EQUITY OPTIONS PURCHASED (Cost - $23,160)     19,000
           
Contracts(g)              
    FUTURE OPTIONS PURCHASED(a) - 0.1%   Expiration Date Exercise Price Notional Value  
    PUT OPTIONS PURCHASED - 0.1%      
5,364   S&P 500 E-Mini Option   09/17/2021 $ 3,700 $ 992,340,000 $ 2,950,200
2,500   S&P 500 E-Mini Option   09/17/2021   4,000   500,000,000   3,275,000
    TOTAL PUT OPTIONS PURCHASED (Cost - $14,361,365)  

6,225,200

         
    TOTAL FUTURE OPTIONS PURCHASED (Cost - $14,361,365)     6,225,200
           

 

1,723,605,815

 

 

COLLATERAL FOR SECURITIES LOANED — 21.5%

Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Shares, 0.03% (b)(d)

TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $1,723,605,815)

    $            1,723,605,815
 

 

 

TOTAL INVESTMENTS – 116.4% (Cost $9,294,816,199)     $ 9,333,900,905
    PUT OPTIONS WRITTEN - (0.2)% (Proceeds - $14,733,573)     (14,419,000)
    LIABILITIES IN EXCESS OF OTHER ASSETS – (16.2)%    

(1,299,313,332)

    NET ASSETS - 100.0%        

$ 8,020,168,573

           
Contracts(g)              
    WRITTEN EQUITY OPTIONS(a) - (0.2)%   Expiration Date Exercise Price Notional Value Fair Value
    PUT OPTIONS WRITTEN - (0.2)%      
(5,000)   iShares iBoxx High Yield Corporate Bond ETF   08/20/2021 $ 87 $ (43,500,000) $ 150,000
(19,000)   iShares iBoxx High Yield Corporate Bond ETF   08/20/2021   95   (180,500,000)   14,269,000
    TOTAL PUT OPTIONS WRITTEN (Proceeds - $14,733,573)  

14,419,000

         
    TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $14,733,573)    

$ 14,419,000

           
OPEN FUTURES CONTRACTS        
Number of Contracts   Open Long Futures Contracts     Expiration Notional Amount Unrealized Appreciation
1,886   CBOT 5 Year US Treasury Note   09/30/2021 $ 234,703,270 $ 1,239,568
2,683   CME E-Mini Standard & Poor's 500 Index Future   09/17/2021   588,851,425   19,725,400
    TOTAL FUTURES CONTRACTS  

$ 20,964,968

         
                                                                           

 

DAC  - Designated Activity Company
ETF  - Exchange-Traded Fund
LIBOR  - London Interbank Offered Rate
LP  - Limited Partnership
LTD  - Limited Company
PLC  - Public Limited Company
REIT  - Real Estate Investment Trust
SOFR  - Secured Overnight Financing Rate
   
BSBY1M BSBY1M
BSBY3M BSBY3M
H15T1Y US Treasury Yield Curve Rate T Note Constant Maturity 1 Year
ICE LIBOR USD 1 Month ICE LIBOR USD 1 Month
ICE LIBOR USD 3 Month ICE LIBOR USD 3 Month
SOFRRATE United States SOFR Secured Overnight Financing Rate
United States SOFR Secured Overnight Financing Rate United States SOFR Secured Overnight Financing Rate
US0003M ICE LIBOR USD 3 Month
 
     

 

 

(a) Non-income producing security.
(b) Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers.  As of July 31, 2021, the total market value of 144A securities is $902,924,624 or 11.3% of net assets.
(c) Variable rate security. Interest rate is as of July 31, 2021.

(d)

(e)

(f)

(g)

(h)

Rate disclosed is the seven-day effective yield as of July 31, 2021.

All or a portion of the security is on loan. Total loaned securities had a value of $1,730,172,379 at July 31, 2021.

Security purchased with cash proceeds of securities lending collateral. Non-cash collateral amounted to $42,425,526.

Each option contract allows the Fund to purchase or sell 1 underlying futures contract or 100 shares of the underlying security .

Affiliated Security.

 

 

 

OPEN CREDIT DEFAULT SWAP AGREEMENTS (1)          
OPENCREDIT DEFAULT SWAP AGREEMENTS - SELL PROTECTION (2)      
               
Reference Entity Counterparty Termination Date Interest Rate Payable Notional Value at July 31, 2021 Fair Value Upfront Premiums Received Unrealized Appreciation
               
CDX North American High Yield Series 35  GS  12/20/2025 5.00%  $    356,800,000  $  34,574,079  $    27,969,437  $   6,604,642
CDX North American High Yield Series 36  GS  6/20/2026 5.00%     2,908,100,000    283,997,613      259,973,992     24,023,621
CDX North American High Yield Series 36  MS  6/20/2026 5.00%        114,400,000       11,172,012           9,043,908        2,128,104
               
TOTAL OPEN CREDIT DEFAULT SWAP          $329,743,704  $  296,987,337  $ 32,756,367
               
GS - Goldman Sachs              
MS - Morgan Stanley              
(1) For centrally cleared swaps, the notional amounts represent the maximum potential the Fund may pay/receive as a seller/buyer of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the reference entity.
(2) For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and deliver the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value.

 

 

 

NAVIGATOR TACTICAL U.S. ALLOCATION FUND
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2021
 
Principal Amount ($)       Spread Coupon Rate (%) Maturity Fair Value
    CORPORATE BONDS — 74.7%      
    AUTOMOTIVE6.9%      
1,526,000   Daimler Finance North America, LLC(a)   3.4000 02/22/22 $ 1,552,131
2,000,000   General Motors Financial Company, Inc.(b) US0003M + 1.310% 1.4573 06/30/22   2,018,562
              3,570,693
    BANKING11.6%      
2,000,000   Bank of America Corporation(b) US0003M + 1.021% 2.8810 04/24/23   2,036,603
2,000,000   JPMorgan Chase & Company(b) US0003M + 1.230% 1.3550 10/24/23   2,027,680
2,000,000   Standard Chartered plc(a),(b) US0003M + 1.200% 1.3280 09/10/22   2,002,152
              6,066,435
    BEVERAGES3.9%      
2,000,000   Molson Coors Beverage Company   3.5000 05/01/22   2,047,617
             
    CABLE & SATELLITE3.1%      
600,000   Comcast Corporation(b) US0003M + 0.440% 0.5849 10/01/21   600,457
1,000,000   Sirius XM Radio, Inc.(a)   3.8750 08/01/22   1,000,000
              1,600,457
    COMMERCIAL SUPPORT SERVICES2.0%      
1,000,000   APX Group, Inc.   7.6250 09/01/23   1,026,735
             
    ELECTRIC UTILITIES10.0%      
1,370,000   Duke Energy Corporation(b) US0003M + 0.650% 0.7750 03/11/22   1,374,929
1,790,000   Duke Energy Florida, LLC(b) ICE LIBOR USD 3 Month + 0.250% 0.3909 11/26/21   1,791,123
2,000,000   NextEra Energy Capital Holdings, Inc.   2.4030 09/01/21   2,003,422
              5,169,474
    FOOD2.0%      
1,000,000   Kraft Heinz Foods Company   3.5000 06/06/22   1,024,933
             
    HEALTH CARE FACILITIES & SERVICES7.8%      
2,000,000   Cardinal Health, Inc.(b) US0003M + 0.770% 0.8889 06/15/22   2,012,152
2,000,000   CIGNA CORP ADJ% 07/15/2023(b) ICE LIBOR USD 3 Month + 0.890% 1.0161 07/15/23   2,026,294
              4,038,446
    INSTITUTIONAL FINANCIAL SERVICES4.4%      
2,249,000   Goldman Sachs Group, Inc.(b) US0003M + 1.000% 1.1252 07/24/23   2,265,542
             
Principal Amount ($)         Spread Coupon Rate (%) Maturity Fair Value
    LEISURE FACILITIES & SERVICES3.9%      
2,000,000   McDonald's Corporation   2.6250 01/15/22 $  2,021,898
             
    OIL & GAS PRODUCERS3.9%      
2,000,000   Valero Energy Corporation(b) US0003M + 1.150% 1.2689 09/15/23   2,002,288
             
    RETAIL - CONSUMER STAPLES3.9%      
2,000,000   7-Eleven, Inc.(a),(b) ICE LIBOR USD 3 Month + 0.450% 0.6120 08/10/22   2,000,511
             
    SOFTWARE3.9%      
2,000,000   Oracle Corporation   2.5000 05/15/22   2,027,252
             
    SPECIALTY FINANCE1.9%      
1,000,000   Ladder Capital Finance Holdings LLP(a)   5.2500 03/15/22   1,002,640
             
    TECHNOLOGY HARDWARE5.5%      
781,000   Apple, Inc.(b) US0003M + 0.350% 0.5099 05/11/22   783,541
2,000,000   Telefonaktiebolaget LM Ericsson   4.1250 05/15/22   2,058,850
              2,842,391
  TOTAL CORPORATE BONDS (Cost $38,701,302)    

38,707,312

             
Principal Amount ($)              
    COMMERCIAL PAPER — 6.8%      
    COMMERCIAL PAPER - 6.8%      
2,000,000   American Honda Finance Corporation   0.0000 09/21/21   1,999,437
1,000,000   Hilltop Securities, Inc.   0.0000 10/06/21   998,394
500,000   Hilltop Securities, Inc.   0.0000 09/29/21   498,886
             

3,496,717

               
    TOTAL COMMERCIAL PAPER (Cost $3,496,881)    

3,496,717

               
Shares             Fair Value
    SHORT-TERM INVESTMENTS — 6.9%      
    MONEY MARKET FUNDS - 6.9%      
3,593,145   Dreyfus Treasury Obligations Cash Management Fund, Institutional Class, 0.01%(c) (Cost $3,593,145)       $ 3,593,145
             
    TOTAL INVESTMENTS - 88.4% (Cost $45,791,328)     $ 45,797,174
    OTHER ASSETS IN EXCESS OF LIABILITIES- 11.6%    

5,989,790

    NET ASSETS - 100.0%        

$ 51,786,964

           
OPEN FUTURES CONTRACTS        
Number of Contracts   Open Long Futures Contracts     Expiration Notional Amount Unrealized Appreciation
236   CME E-Mini Standard & Poor's 500 Index Future   09/17/2021 $ 51,796,100 $ 1,834,900
    TOTAL FUTURES CONTRACTS  
 
                       

 

LLC  - Limited Liability Company
PLC  - Public Limited Company
   
ICE LIBOR USD 3 Month ICE LIBOR USD 3 Month
US0003M ICE LIBOR USD 3 Month

 

 

   
(a) Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers.  As of July 31, 2021, the total market value of 144A securities is $7,557,434 or 14.6% of net assets.
(b) Variable rate security. Interest rate is as of July 31, 2021.
(c) Rate disclosed is the seven-day effective yield as of July 31, 2021.
   

 

 

 

NAVIGATOR ULTRA SHORT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2021
 
Principal Amount ($)       Spread Coupon Rate (%) Maturity Fair Value
    CORPORATE BONDS — 90.2%      
    AEROSPACE & DEFENSE3.8%      
2,000,000   Boeing Company   1.1670 02/04/23 $ 2,006,871
             
    ASSET MANAGEMENT1.0%      
500,000   FS KKR Capital Corporation   4.7500 05/15/22   513,320
             
    AUTOMOTIVE19.6%      
1,000,000   Daimler Finance North America, LLC(a),(b) ICE LIBOR USD 3 Month + 0.900% 1.0560 02/15/22   1,004,664
1,500,000   Ford Motor Credit Company, LLC(b) ICE LIBOR USD 3 Month + 3.140% 3.2780 01/07/22   1,512,403
1,000,000   Ford Motor Credit Company, LLC   5.5960 01/07/22   1,017,725
1,000,000   General Motors Company(b) ICE LIBOR USD 3 Month + 0.900% 1.0280 09/10/21   1,000,665
1,500,000   General Motors Financial Company, Inc.(b) US0003M + 1.310% 1.4570 06/30/22   1,513,922
200,000   Harley-Davidson Financial Services, Inc.(a)   4.0500 02/04/22   203,704
1,000,000   Hyundai Capital America(a)   3.1000 04/05/22   1,018,782
600,000   Hyundai Capital America(a)   3.9500 02/01/22   610,281
1,500,000   Nissan Motor Acceptance Corporation(a)   1.9000 09/14/21   1,502,957
1,000,000   Nissan Motor Acceptance Corporation(a)   3.6500 09/21/21   1,004,032
              10,389,135
    BANKING9.7%      
1,000,000   Bank of America Corporation(b) US0003M + 1.160% 3.1240 01/20/23   1,012,759
931,000   Barclays plc   3.2000 08/10/21   931,533
1,250,000   Barclays plc(b) US0003M + 1.400% 4.6100 02/15/23   1,277,898
1,000,000   Deutsche Bank A.G.   4.2500 10/14/21   1,007,617
1,000,000   Deutsche Bank A.G.(b) US0003M + 1.190% 1.3460 11/16/22   1,007,484
              5,237,291
    CABLE & SATELLITE0.4%      
200,000   Sirius XM Radio, Inc.(a)   3.8750 08/01/22   200,000
             
    CONTAINERS & PACKAGING0.5%      
250,000   Ball Corporation   5.0000 03/15/22   256,461
             
    E-COMMERCE DISCRETIONARY7.1%      
750,000   Alibaba Group Holding Ltd.   3.1250 11/28/21   753,075
Principal Amount ($)     Spread Coupon Rate (%) Maturity Fair Value
3,000,000   eBay, Inc.(b) US0003M + 0.870% 1.0550 01/30/23 $  3,031,796
              3,784,871
    ELECTRIC UTILITIES4.5%      
1,000,000   NextEra Energy Capital Holdings, Inc.(b) ICE LIBOR USD 3 Month + 0.550% 0.6850 08/28/21   1,000,377
1,000,000   NextEra Energy Capital Holdings, Inc.(b) US0003M + 0.270% 0.4200 02/22/23   1,000,141
400,000   Southern California Edison Company(b) ICE LIBOR USD 3 Month + 0.270% 0.3980 12/03/21   400,130
              2,400,648
    FOOD9.6%      
1,500,000   Kraft Heinz Foods Company B   3.5000 06/06/22   1,537,400
3,550,000   Smithfield Foods, Inc.(a)   3.3500 02/01/22   3,588,251
              5,125,651
    HEALTH CARE FACILITIES & SERVICES1.3%      
686,000   Cardinal Health, Inc.   2.6160 06/15/22   698,394
             
    INSURANCE1.0%      
500,000   Enstar Group Ltd.   4.5000 03/10/22   509,796
             
    INTERNET MEDIA & SERVICES1.0%      
500,000   Netflix, Inc.   5.5000 02/15/22   513,750
             
    LEISURE FACILITIES & SERVICES7.9%      
896,000   Hyatt Hotels Corporation   5.3750 08/15/21   897,330
1,300,000   Hyatt Hotels Corporation(b) US0003M + 3.000% 3.1350 09/01/22   1,302,785
1,000,000   Marriott International, Inc.   3.1250 10/15/21   1,000,506
1,000,000   Marriott International, Inc.   2.3000 01/15/22   1,006,455
              4,207,076
    OIL & GAS PRODUCERS0.9%      
500,000   Pioneer Natural Resources Company   0.5500 05/15/23   500,756
             
    RETAIL - CONSUMER STAPLES4.7%      
1,500,000   7-Eleven, Inc.(a),(b) ICE LIBOR USD 3 Month + 0.450% 0.6120 08/10/22   1,500,383
1,000,000   7-Eleven, Inc.(a)   0.6250 02/10/23   1,000,679
              2,501,062
    SEMICONDUCTORS1.9%      
1,000,000   Skyworks Solutions, Inc.   0.9000 06/01/23   1,004,068
             
    SPECIALTY FINANCE3.5%      
1,000,000   Air Lease Corporation(b) US0003M + 0.350% 0.4840 12/15/22   1,001,222
Principal Amount ($)       Spread Coupon Rate (%) Fair Value
850,000   Ladder Capital Finance Holdings LLP(a)   5.2500 03/15/22 $  852,244
              1,853,466
    TECHNOLOGY HARDWARE3.7%      
1,923,000   Telefonaktiebolaget LM Ericsson   4.1250 05/15/22   1,979,584
             
    TELECOMMUNICATIONS6.7%      
1,000,000   Rogers Communications, Inc.(b) US0003M + 0.600% 0.7350 03/22/22   1,002,782
500,000   Sprint Communications, Inc.   11.5000 11/15/21   515,720
2,000,000   Sprint Corporation   7.2500 09/15/21   2,015,730
93,750   Sprint Spectrum Company, LLC(a)   3.3600 09/20/21   94,137
              3,628,369
    TRANSPORTATION & LOGISTICS1.4%      
500,000   American Airlines Group, Inc.(a)   5.0000 06/01/22   499,375
250,000   Delta Air Lines, Inc.   3.6250 03/15/22   251,917
              751,292
  TOTAL CORPORATE BONDS (Cost $48,018,877)    

48,061,861

             
               
    COMMERCIAL PAPER — 8.4%      
    COMMERCIAL PAPER - 8.4%      
1,000,000   AT&T, Inc.   0.0000 12/14/21   999,349
1,500,000   FMC Corporation   0.0000 08/16/21   1,499,813
1,500,000   Hilltop Securities, Inc.   0.0000 10/06/21   1,497,591
500,000   Hilltop Securities, Inc.   0.0000 09/29/21   498,886
             

4,495,638

               
    TOTAL COMMERCIAL PAPER (Cost $4,494,998)    

4,495,638

               
Shares              
    SHORT-TERM INVESTMENTS — 0.7%      
    MONEY MARKET FUNDS - 0.7%      
351,524   Dreyfus Treasury Obligations Cash Management Fund, Institutional Class, 0.01%(c) (Cost $351,524)         351,524
             
 
    TOTAL INVESTMENTS - 99.3% (Cost $52,865,399)     $ 52,909,023
    OTHER ASSETS IN EXCESS OF LIABILITIES- 0.7%    

371,416

    NET ASSETS - 100.0%        

$ 53,280,439

 

LIBOR - London Interbank Offered Rate

         
                 

 

LLC  - Limited Liability Company
LTD  - Limited Company
PLC  - Public Limited Company
 

 

 

ICE LIBOR USD 3 Month ICE LIBOR USD 3 Month
US0003M ICE LIBOR USD 3 Month
   
 
     

 

 

 

(a) Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers.  As of July 31, 2021, the total market value of 144A securities is $13,079,489 or 24.5% of net assets.
(b) Variable rate security. Interest rate is as of July 31, 2021.
(c) Rate disclosed is the seven-day effective yield as of July 31, 2021.

 

 



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