Hartford Schroders Opportunistic Income Fund

 Schedule of Investments

 July 31, 2020 (Unaudited)

 

Shares or Principal Amount

                                

Market Value

 

Common Stocks - 15.7%

        
     Diversified Financials - 15.7%

 

150,000

    

AGNC Investment Corp. REIT

         $ 2,040,000  

250,000

    

Annaly Capital Management, Inc. REIT

           1,852,500  
             

 

 

 
           3,892,500  
             

 

 

 
    

Total Common Stocks
(cost $3,528,557)

         $ 3,892,500  
             

 

 

 

Asset & Commercial Mortgage-Backed Securities - 83.0%

 

     Asset-Backed - Finance & Insurance - 1.6%

 

$           390,348

    

SpringCastle Funding Asset-Backed Notes
3.20%, 05/27/2036(1)

           393,982  
             

 

 

 
     Asset-Backed - Home Equity - 11.4%

 

    

CWHEQ Revolving Home Equity Loan Trust

 

922,163

    

0.32%, 01/15/2037, 1 mo. USD LIBOR + 0.140%(2)

           867,827  

470,991

    

0.33%, 02/15/2037, 1 mo. USD LIBOR + 0.150%(2)

           445,946  

456,366

    

0.36%, 05/15/2036, 1 mo. USD LIBOR + 0.180%(2)

           437,982  

500,000

    

Home RE Ltd.
3.42%, 05/25/2029, 1 mo. USD LIBOR + 3.250%(1)(2)

           462,425  

147,303

    

Legacy Mortgage Asset Trust
4.00%, 12/28/2054(1)(3)

           148,375  

516,276

    

Master Asset Backed-Securities Trust
0.47%, 05/25/2037, 1 mo. USD LIBOR + 0.300%(1)(2)

           469,201  
             

 

 

 
           2,831,756  
             

 

 

 
     Asset-Backed - Student Loan - 1.5%

 

GBP           284,333

    

Income Contingent Student Loan
1.32%, 07/24/2058, 12 mo. GBP LIBOR + 1.000%(2)(4)

           366,849  
             

 

 

 
     Commercial Mortgage-Backed Securities - 11.1%

 

    

BX Commercial Mortgage Trust

 

$        1,000,000

    

1.50%, 03/15/2037, 1 mo. USD LIBOR + 1.321%(1)(2)

           968,687  

840,000

    

2.23%, 11/15/2035, 1 mo. USD LIBOR + 2.050%(1)(2)

           827,346  

1,000,000

    

Credit Suisse Mortgage Capital Certificates
2.33%, 05/15/2036, 1 mo. USD LIBOR + 2.150%(1)(2)

           975,349  
             

 

 

 
           2,771,382  
             

 

 

 
     Other Asset-Backed Securities - 7.2%

 

293,297

    

CSMC Trust
4.10%, 09/27/2066(1)(3)

           294,480  
    

OneMain Financial Issuance Trust

 

500,000

    

3.30%, 03/14/2029(1)

           506,863  

300,000

    

3.83%, 06/18/2031(1)

           305,364  

694,220

    

Preston Ridge Partners Mortgage Trust LLC
3.35%, 11/25/2024(1)(5)

           689,673  
             

 

 

 
           1,796,380  
             

 

 

 
     Whole Loan Collateral CMO - 50.2%

 

    

Alba plc

 

GBP           235,936

    

0.34%, 03/17/2039, 3 mo. GBP LIBOR + 0.170%(2)(4)

           289,929  

196,669

    

0.36%, 12/15/2038, 3 mo. GBP LIBOR + 0.170%(2)(4)

           241,948  

$           450,000

    

Banc of America Funding Trust
3.93%, 06/26/2035(1)(3)

           409,431  

1,000,000

    

Bellemeade Re Ltd.
3.27%, 04/25/2029, 1 mo. USD LIBOR + 3.100%(1)(2)

           939,635  

1,000,000

    

BF NYT Mortgage Trust
2.68%, 12/15/2035, 1 mo. USD LIBOR + 2.500%(1)(2)

           960,328  

264,688

    

Eagle RE Ltd.
1.97%, 04/25/2029, 1 mo. USD LIBOR + 1.800%(1)(2)

           262,576  

GBP           48,903

    

Eurosail PRIME plc
0.59%, 09/13/2045, 3 mo. GBP LIBOR + 0.400%(2)(4)

           61,306  
    

Fannie Mae Connecticut Avenue Securities

 

$         413,586

    

2.37%, 01/25/2030, 1 mo. USD LIBOR + 2.200%(2)

           400,328  

500,000

    

3.17%, 10/25/2029, 1 mo. USD LIBOR + 3.000%(2)

           495,614  

327,073

    

3.72%, 07/25/2029, 1 mo. USD LIBOR + 3.550%(2)

           329,551  

1,140,460

    

4.42%, 01/25/2029, 1 mo. USD LIBOR + 4.250%(2)

           1,154,622  

 

 Hartford Schroders Opportunistic Income Fund

 Schedule of Investments – (continued)

 July 31, 2020 (Unaudited)

 

Shares or Principal Amount

                            

Market Value

 

$           381,000

    

FirstKey Homes LLC
3.64%, 09/17/2025

                             $ 380,989  

490,386

    

IndyMac INDX Mortgage Loan Trust
0.33%, 04/25/2037, 1 mo. USD LIBOR + 0.160%(2)

           440,371  
    

Landmark Mortgage Securities plc

 

GBP           824,139

    

0.36%, 04/17/2044, 3 mo. GBP LIBOR + 0.280%(2)(4)

           1,018,377  

360,687

    

0.39%, 06/17/2038, 3 mo. GBP LIBOR + 0.220%(2)(4)

           459,470  

844,811

    

Ludgate Funding plc
0.43%, 12/01/2060, 3 mo. GBP LIBOR + 0.190%(2)(4)

           1,048,702  

$        1,000,000

    

Oaktown Re IV Ltd.
7.18%, 07/25/2030, 1 mo. USD LIBOR + 7.000%(1)(2)

           998,890  

252,219

    

Radnor RE Ltd.
2.12%, 02/25/2029, 1 mo. USD LIBOR + 1.950%(1)(2)

           246,987  

GBP           343,408

    

Resloc plc
0.35%, 12/15/2043, 3 mo. GBP LIBOR + 0.160%(2)(4)

           421,363  
    

RMAC Securities plc

 

814,530

    

0.35%, 06/12/2044, 3 mo. GBP LIBOR + 0.150%(2)(4)

           1,008,803  

191,989

    

0.37%, 06/12/2044, 3 mo. GBP LIBOR + 0.170%(2)(4)

           236,720  

$           399,406

    

WaMu Mortgage Pass-Through Certificates Trust
4.20%, 08/25/2033(3)

           397,753  

289,417

    

Wells Fargo Mortgage Backed Securities Trust
4.40%, 10/25/2037(3)

           274,673  
             

 

 

 
           12,478,366  
             

 

 

 
    

Total Asset & Commercial Mortgage-Backed Securities
(cost $20,874,572)

         $   20,638,715  
             

 

 

 

Corporate Bonds - 9.6%

 

    

Insurance - 9.6%

 

962,871

    

Ambac LSNI LLC
6.00%, 02/12/2023, 3 mo. USD LIBOR + 5.000%(1)(2)

           960,464  

1,319,000

    

NMI Holdings, Inc.
7.38%, 06/01/2025(1)

           1,433,898  
             

 

 

 
           2,394,362  
             

 

 

 
    

Total Corporate Bonds
(cost $2,352,487)

         $ 2,394,362  
             

 

 

 

U.S. Government Agencies - 7.6%

 

    

Mortgage-Backed Agencies - 7.6%

 

    

FHLMC - 4.9%

 

$           200,000

    

2.50%, 07/01/2050

         $ 210,713  

435,660

    

3.00%, 02/01/2050

           465,812  

496,248

    

3.00%, 05/01/2050

           531,516  
             

 

 

 
           1,208,041  
             

 

 

 
    

FNMA - 2.7%

 

$          449,103

    

2.00%, 07/01/2050

         $ 464,943  

199,878

    

2.50%, 07/01/2050

           211,601  
             

 

 

 
           676,544  
             

 

 

 
    

Total U.S. Government Agencies
(cost $1,868,651)

         $ 1,884,585  
             

 

 

 
    

Total Long-Term Investments
(cost $28,624,267)

         $ 28,810,162  
             

 

 

 

Short-Term Investments - 3.2%

 

    

Other Investment Pools & Funds - 3.2%

 

784,540

    

Morgan Stanley Institutional Liquidity Funds, Treasury Portfolio, Institutional Class, 0.01%(6)

           784,540  
             

 

 

 
    

Total Short-Term Investments
(cost $784,540)

         $ 784,540  
             

 

 

 

 

 Hartford Schroders Opportunistic Income Fund

 Schedule of Investments – (continued)

 July 31, 2020 (Unaudited)

 

               

Market Value

 
    

Total Investments
(cost $29,408,807)

     119.1   $ 29,594,702  
    

Other Assets and Liabilities

     (19.1 )%      (4,740,875)  
       

 

 

 

 

 

 

 
    

Total Net Assets

     100.0   $   24,853,827  
       

 

 

 

 

 

 

 

Note: Percentage of investments as shown is the ratio of the total market value to total net assets.

The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types.

For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes.

 

(1)

Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At July 31, 2020, the aggregate value of these securities was $12,253,954, representing 49.3% of net assets.

(2)

Variable rate securities; the rate reported is the coupon rate in effect at July 31, 2020. Base lending rates may be subject to a floor or cap.

(3)

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(4)

Security is exempt from registration under Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At July 31, 2020, the aggregate value of these securities was $5,153,467, representing 20.7% of net assets.

(5)

Security is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate.

(6)

Current yield as of period end.

 

                    Reverse Repurchase Agreements Outstanding at July 31, 2020  
Counterparty    Interest
Rate
    Settlement
Date
     Maturity
Date
     Principal
Amount
    Value     Value Including
Accrued Interest
 

JP Morgan Chase Bank

     1.768%       07/07/20        10/02/20      USD  (864,000   $ (864,000   $ (865,061

JP Morgan Chase Bank

     3.049%       06/17/20        09/14/20      USD (718,000     (718,000     (720,736

JP Morgan Chase Bank

     0.820%       07/10/20        10/09/20      GBP      (2,044,559     (2,676,328     (2,677,611
            

 

 

   

 

 

 
Total reverse repurchase agreement              $         (4,258,328   $         (4,263,409
            

 

 

   

 

 

 

Securities pledged as collateral against open reverse repurchase agreements are noted in the Schedule of Investments.

 

                    Futures Contracts Outstanding at July 31, 2020  
Description    Number
of
Contracts
     Expiration Date      Current
Notional
Amount
     Value and
Unrealized
Appreciation/
(Depreciation)
 

Short position contracts:

 

British Pound Future

     32        09/14/20      $       2,621,600      $ (67,942)  
           

 

 

 
           
           

 

 

 

Total futures contracts

 

   $             (67,942)  
           

 

 

 

 

For information regarding the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder report.

 

GLOSSARY: (abbreviations used in preceding Schedule of Investments)
Currency Abbreviations:

GBP

   British Pound

USD

   United States Dollar
Other Abbreviations:

CMO

   Collateralized Mortgage Obligation

FHLMC

   Federal Home Loan Mortgage Corp.

FNMA

   Federal National Mortgage Association

LIBOR

   London Interbank Offered Rate

REIT

   Real Estate Investment Trust
 
 Hartford Schroders Opportunistic Income Fund

 Schedule of Investments – (continued)

 July 31, 2020 (Unaudited)

 

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of July 31, 2020 in valuing the Fund’s investments.

 

                                                                                                           
Description    Total     Level 1     Level 2     Level 3(1)  

Assets

 

Common Stocks

 

Diversified Financials

   $ 3,892,500     $ 3,892,500     $     $  

Asset & Commercial Mortgage-Backed Securities

     20,638,715             20,638,715        

Corporate Bonds

     2,394,362             2,394,362        

U.S. Government Agencies

     1,884,585             1,884,585        

Short-Term Investments

     784,540       784,540              
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

   $ 29,594,702     $ 4,677,040     $ 24,917,662     $  
  

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities

 

Futures Contracts(2)

   $ (67,942   $ (67,942   $     $  

Reverse Repurchase Agreements

     (4,258,328           (4,258,328      
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

   $ (4,326,270   $ (67,942   $ (4,258,328   $  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(1)

For the period ended July 31, 2020, there were no transfers in and out of Level 3.

(2)

Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments.

Hartford Schroders Opportunistic Income Fund (the “Fund”)

Notes to the Schedule of Investments

1. Investment Valuation and Fair Value Measurements:

For purposes of calculating the net asset value per share (“NAV”) of each class of the Fund, portfolio securities and other assets held in the Fund’s portfolio for which market prices are readily available are valued at market value. Market value is generally determined on the basis of official close price or last reported trade price. If no trades were reported, market value is based on prices obtained from a quotation reporting system, established market makers (including evaluated prices), or independent pricing services. Pricing vendors may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data, credit quality information, general market conditions, news, and other factors and assumptions.

If market prices are not readily available or are deemed unreliable, the Fund will use the fair value of the security or other instrument as determined in good faith under policies and procedures established by and under the supervision of the Board of the Trustees of the Fund (the “Board of Trustees”) (“Valuation Procedures”). Market prices are considered not readily available where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of the Fund’s portfolio holdings or assets. In addition, market prices are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities or other instruments trade do not open for trading for the entire day and no other market prices are available. Fair value pricing is subjective in nature and the use of fair value pricing by the Fund may cause its NAV to differ significantly from the NAV that would have been calculated using market prices at the close of the exchange on which a portfolio holding is primarily traded. There can be no assurance that the Fund could obtain the fair value assigned to an investment if the Fund were to sell the investment at approximately the time at which the Fund determines its NAV.

Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close. Securities and other instruments that are primarily traded on foreign markets may trade on days that are not business days of the Fund. The value of the foreign securities or other instruments in which the Fund invests may change on days when a shareholder will not be able to purchase shares of the Fund.

Fixed income investments (other than short-term obligations) held by the Fund are normally valued at prices supplied by independent pricing services in accordance with the Valuation Procedures. Short-term investments maturing in 60 days or less are generally valued at amortized cost if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term exceeded 60 days.

Exchange-traded derivatives, such as options, futures and options on futures, are valued at the last sale price determined by the exchange where such instruments principally trade as of the close of such exchange (“Exchange Close”). If a last sale price is not available, the value will be the mean of the most recently quoted bid and ask prices as of the Exchange Close. If a mean of the bid and ask prices cannot be calculated for the day, the value will be the most recently quoted bid price as of the Exchange Close. Over-the-counter derivatives are normally valued based on prices supplied by independent pricing services in accordance with the Valuation Procedures.

Investments valued in currencies other than U.S. dollars are converted to U.S. dollars using the prevailing spot exchange rates obtained from independent pricing services for calculation of the NAV. As a result, the NAV of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities or other instruments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and the market value may change on days when an investor is not able to purchase, exchange or request the repurchase of shares of the Fund.

Foreign currency contracts represent agreements to exchange currencies on specific future dates at predetermined rates. Foreign currency contracts are valued using foreign currency exchange rates and forward rates as provided by an independent pricing service on the Valuation Date.

Financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective financial instrument in accordance with the Valuation Procedures.

U.S. Generally Accepted Accounting Principles (“U.S. GAAP”) defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants. The U.S. GAAP fair value measurement standards require disclosure of a fair value hierarchy for each major category of assets and liabilities. Various inputs are used in determining the fair value of the Fund’s investments. These inputs are summarized into three broad hierarchy levels. This hierarchy is based on whether the valuation inputs are observable or unobservable.

These levels are:

• Level 1 – Quoted prices in active markets for identical investments. Level 1 may include exchange traded instruments, such as domestic equities, some foreign equities, options, futures, mutual funds, exchange traded funds, rights and warrants.

• Level 2 – Observable inputs other than Level 1 prices, such as quoted prices for similar investments; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data. Level 2 may include debt investments that are traded less frequently than exchange traded instruments and which are valued using independent pricing services; foreign equities, which are principally traded on certain foreign markets and are adjusted daily pursuant to a fair value pricing service in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close; senior floating rate interests, which are valued using an aggregate of dealer bids; short-term investments, which are valued at amortized cost; and swaps, which are valued based upon the terms of each swap contract.

• Level 3 – Significant unobservable inputs that are supported by limited or no market activity. Level 3 may include financial instruments whose values are determined using indicative market quotes or require significant management judgment or estimation. These unobservable valuation inputs may include estimates for current yields, maturity/duration, prepayment speed, and indicative market quotes for comparable investments along with other assumptions relating to credit quality, collateral value, complexity of the investment structure, general market conditions and liquidity. This category may include investments where trading has been halted or there are certain restrictions on trading. While these investments are priced using unobservable inputs, the valuation of these investments reflects the best available data and management believes the prices are a reasonable representation of exit price.

The Board of Trustees has delegated the day-to-day responsibility for implementing the Valuation Procedures to the Valuation Committee. The Valuation Committee will consider all relevant factors in determining an investment’s fair value, and may seek the advice of the Fund’s sub-advisers, as applicable, knowledgeable brokers, and legal counsel in making such determination. The Valuation Committee reports to the Audit Committee of the Board of Trustees.

Valuation levels are not necessarily indicative of the risk associated with investing in such investments. Individual investments within any of the above mentioned asset classes may be assigned a different hierarchical level than those presented above, as individual circumstances dictate.

For additional information, refer to the Fair Valuation Summary and the Level 3 roll-forward reconciliation, if applicable, which follows the Fund’s Schedule of Investments.

2. Secured Borrowings:

The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of July 31, 2020.

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements

 

                                                                                                                                      
     Overnight and
Continuous
     <30 days      Between
30 & 90 days
     >90 days      Total  

Reverse Repurchase Agreements

 

Asset & Commercial Mortgage-Backed Securities

   $      $      $ 3,540,328      $      $ 3,540,328  

Corporate Bonds

                   718,000               718,000  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Borrowings

   $      $      $ 4,258,328      $      $ 4,258,328  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Gross amount of recognized liabilities for sale buy-back transactions

 

   $ 4,258,328  
              

 

 

 

 

(1) 

Amount represents the payable for cash collateral received on securities on loan. This will generally be in the “Overnight and Continuous” column as the securities are typically callable on demand.