Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-07455
Virtus Opportunities Trust
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA 01301-9668
(Address of principal executive offices) (Zip code)
Kevin J. Carr, Esq.
Senior Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT 06103-2608
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800)243-1574
Date of fiscal year end: September 30
Date of reporting period: March 31, 2020
FormN-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Table of Contents
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
Table of Contents
Virtus Newfleet Core Plus Bond Fund* |
Virtus Newfleet High Yield Fund* |
Virtus Newfleet Low Duration Core Plus Bond Fund* |
Virtus Newfleet Multi-Sector Intermediate Bond Fund* |
Virtus Newfleet Senior Floating Rate Fund* |
Virtus Newfleet Tax-Exempt Bond Fund* |
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1 | ||
2 | ||
4 | ||
6 | ||
Fund | Schedule of Investments | |
7 | ||
17 | ||
23 | ||
Virtus Newfleet Multi-Sector Intermediate Bond Fund (“Newfleet Multi-Sector Intermediate Bond Fund”) | 34 | |
45 | ||
52 | ||
57 | ||
61 | ||
63 | ||
66 | ||
72 | ||
84 |
Table of Contents
President, Virtus Funds
Table of Contents
Beginning Account Value October 1, 2019 | Ending Account Value March 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Newfleet Core Plus Bond Fund | ||||||||
Class A | $ 1,000.00 | $ 970.80 | 0.82 % | $ 4.04 | ||||
Class C | 1,000.00 | 967.90 | 1.56 | 7.67 | ||||
Class I | 1,000.00 | 971.80 | 0.56 | 2.76 | ||||
Class R6 | 1,000.00 | 972.50 | 0.45 | 2.22 | ||||
Newfleet High Yield Fund | ||||||||
Class A | 1,000.00 | 882.70 | 0.99 | 4.66 | ||||
Class C | 1,000.00 | 881.60 | 1.74 | 8.18 | ||||
Class I | 1,000.00 | 886.30 | 0.74 | 3.49 | ||||
Class R6 | 1,000.00 | 886.60 | 0.68 | 3.21 | ||||
Newfleet Low Duration Core Plus Bond Fund | ||||||||
Class A | 1,000.00 | 968.30 | 0.75 | 3.69 | ||||
Class C | 1,000.00 | 964.70 | 1.50 | 7.37 | ||||
Class I | 1,000.00 | 970.40 | 0.50 | 2.46 | ||||
Class R6 | 1,000.00 | 969.80 | 0.43 | 2.12 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||
Class A | 1,000.00 | 908.80 | 0.99 | 4.72 | ||||
Class C | 1,000.00 | 905.30 | 1.74 | 8.29 | ||||
Class I | 1,000.00 | 910.20 | 0.74 | 3.53 | ||||
Class R6 | 1,000.00 | 910.40 | 0.60 | 2.87 | ||||
Newfleet Senior Floating Rate Fund | ||||||||
Class A | 1,000.00 | 864.40 | 1.13 | 5.27 | ||||
Class C | 1,000.00 | 861.30 | 1.90 | 8.84 | ||||
Class I | 1,000.00 | 865.30 | 0.90 | 4.20 | ||||
Class R6 | 1,000.00 | 865.00 | 0.77 | 3.59 | ||||
Newfleet Tax-Exempt Bond Fund | ||||||||
Class A | 1,000.00 | 996.90 | 0.85 | 4.24 | ||||
Class C | 1,000.00 | 993.20 | 1.60 | 7.97 | ||||
Class I | 1,000.00 | 998.10 | 0.60 | 3.00 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
Table of Contents
Beginning Account Value October 1, 2019 | Ending Account Value March 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Newfleet Core Plus Bond Fund | ||||||||
Class A | $ 1,000.00 | $ 1,020.90 | 0.82 % | $ 4.14 | ||||
Class C | 1,000.00 | 1,017.20 | 1.56 | 7.87 | ||||
Class I | 1,000.00 | 1,022.20 | 0.56 | 2.83 | ||||
Class R6 | 1,000.00 | 1,022.75 | 0.45 | 2.28 | ||||
Newfleet High Yield Fund | ||||||||
Class A | 1,000.00 | 1,020.05 | 0.99 | 5.00 | ||||
Class C | 1,000.00 | 1,016.30 | 1.74 | 8.77 | ||||
Class I | 1,000.00 | 1,021.30 | 0.74 | 3.74 | ||||
Class R6 | 1,000.00 | 1,021.60 | 0.68 | 3.44 | ||||
Newfleet Low Duration Core Plus Bond Fund | ||||||||
Class A | 1,000.00 | 1,021.25 | 0.75 | 3.79 | ||||
Class C | 1,000.00 | 1,017.50 | 1.50 | 7.57 | ||||
Class I | 1,000.00 | 1,022.50 | 0.50 | 2.53 | ||||
Class R6 | 1,000.00 | 1,022.85 | 0.43 | 2.17 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||
Class A | 1,000.00 | 1,020.05 | 0.99 | 5.00 | ||||
Class C | 1,000.00 | 1,016.30 | 1.74 | 8.77 | ||||
Class I | 1,000.00 | 1,021.30 | 0.74 | 3.74 | ||||
Class R6 | 1,000.00 | 1,022.00 | 0.60 | 3.03 | ||||
Newfleet Senior Floating Rate Fund | ||||||||
Class A | 1,000.00 | 1,019.35 | 1.13 | 5.70 | ||||
Class C | 1,000.00 | 1,015.50 | 1.90 | 9.57 | ||||
Class I | 1,000.00 | 1,020.50 | 0.90 | 4.55 | ||||
Class R6 | 1,000.00 | 1,021.15 | 0.77 | 3.89 | ||||
Newfleet Tax-Exempt Bond Fund | ||||||||
Class A | 1,000.00 | 1,020.75 | 0.85 | 4.29 | ||||
Class C | 1,000.00 | 1,017.00 | 1.60 | 8.07 | ||||
Class I | 1,000.00 | 1,022.00 | 0.60 | 3.03 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
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Table of Contents
March 31, 2020
Table of Contents
Corporate Bonds and Notes | 35% | |
Financials | 13% | |
Energy | 3 | |
Utilities | 3 | |
All other Corporate Bonds and Notes | 16 | |
Mortgage-Backed Securities | 26 | |
U.S. Government Securities | 17 | |
Asset-Backed Securities | 10 | |
Leveraged Loans | 5 | |
Short-Term Investment | 4 | |
Municipal Bonds | 2 | |
Other | 1 | |
Total | 100% |
Corporate Bonds and Notes | 89% | |
Communication Services | 18% | |
Materials | 12 | |
Consumer Discretionary | 12 | |
All other Corporate Bonds and Notes | 47 | |
Leveraged Loans | 6 | |
Short-Term Investment | 2 | |
Other | 3 | |
Total | 100% |
Asset-Backed Securities | 34% | |
Mortgage-Backed Securities | 32 | |
Corporate Bonds and Notes | 21 | |
Financials | 8% | |
Utilities | 2 | |
Health Care | 2 | |
All other Corporate Bonds and Notes | 9 | |
Short-Term Investment | 4 | |
Leveraged Loans | 3 | |
U.S. Government Securities | 3 | |
Other | 3 | |
Total | 100% |
Corporate Bonds and Notes | 46% | |
Financials | 9% | |
Energy | 6 | |
Materials | 5 | |
All other Corporate Bonds and Notes | 26 | |
Mortgage-Backed Securities | 18 | |
Leveraged Loans | 10 | |
Asset-Backed Securities | 8 | |
Foreign Government Securities | 6 | |
Short-Term Investment | 5 | |
U.S. Government Securities | 2 | |
Other | 5 | |
Total | 100% |
Leveraged Loans | 85% | |
Healthcare | 12% | |
Service | 10 | |
Food / Tobacco | 5 | |
Manufacturing | 5 | |
Information Technology | 5 | |
Forest Prod / Containers | 5 | |
Media / Telecom - Telecommunications | 5 | |
All other Leveraged Loans | 38 | |
Short-Term Investment | 10 | |
Corporate Bonds and Notes | 5 | |
Total | 100% |
Texas | 12% |
Florida | 11 |
Illinois | 11 |
New Jersey | 6 |
Colorado | 6 |
Arizona | 5 |
District of Columbia | 4 |
Other (includes short-term investment) | 45 |
Total | 100% |
Table of Contents
Par Value | Value | ||
U.S. Government Securities—16.9% | |||
U.S. Treasury Bonds | |||
2.500%, 2/15/46 | $1,115 | $1,402 | |
3.000%, 8/15/48 | 5,100 | 7,091 | |
U.S. Treasury Notes | |||
2.250%, 3/31/21 | 5,105 | 5,212 | |
2.875%, 8/15/28 | 450 | 532 | |
2.625%, 2/15/29 | 585 | 684 | |
1.500%, 2/15/30 | 2,155 | 2,323 | |
Total U.S. Government Securities (Identified Cost $14,711) | 17,244 | ||
Municipal Bonds—2.2% | |||
California—1.0% | |||
State of California, Build America Bonds Taxable 7.600%, 11/1/40 | 520 | 866 | |
University of California, Series B-A, Taxable 4.428%, 5/15/48 | 140 | 151 | |
1,017 | |||
Georgia—0.3% | |||
Rockdale County Water & Sewerage Authority Revenue Taxable 3.060%, 7/1/24 | 255 | 268 | |
Idaho—0.2% | |||
Idaho Health Facilities Authority Saint Luke’s Health System Revenue Taxable 5.020%, 3/1/48 | 170 | 210 | |
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 30 | 31 | |
Massachusetts—0.3% | |||
Massachusetts Bay Transportation Authority Revenue, Series A-1, Taxable 5.250%, 7/1/32 | 255 | 353 | |
Texas—0.1% | |||
State of Texas, General Obligation Taxable 3.211%, 4/1/44 | 80 | 82 | |
Virginia—0.3% | |||
City of Bristol, General Obligation Taxable 4.210%, 1/1/42 | 285 | 297 | |
Total Municipal Bonds (Identified Cost $2,131) | 2,258 | ||
Par Value | Value | ||
Foreign Government Security—0.2% | |||
Republic of Turkey 7.375%, 2/5/25 | $180 | $177 | |
Total Foreign Government Security (Identified Cost $181) | 177 | ||
Mortgage-Backed Securities—25.7% | |||
Agency—4.3% | |||
Federal National Mortgage Association | |||
Pool #812352 5.000%, 4/1/20 | — | —(1) | |
Pool #323702 6.000%, 5/1/29 | 13 | 14 | |
Pool #535371 6.500%, 5/1/30 | 1 | 1 | |
Pool #590108 7.000%, 7/1/31 | 5 | 6 | |
Pool #880117 5.500%, 4/1/36 | 24 | 27 | |
Pool #938574 5.500%, 9/1/36 | 79 | 89 | |
Pool #909092 6.000%, 9/1/37 | 13 | 15 | |
Pool #909220 6.000%, 8/1/38 | 118 | 136 | |
Pool #986067 6.000%, 8/1/38 | 5 | 6 | |
Pool #AA7001 5.000%, 6/1/39 | 352 | 390 | |
Pool #MA3692 3.500%, 7/1/49 | 787 | 831 | |
Pool #CA4128 3.000%, 9/1/49 | 227 | 238 | |
Pool#MA3803 3.500%, 10/1/49 | 911 | 962 | |
Pool#MA3905 3.000%, 1/1/50 | 1,587 | 1,664 | |
Government National Mortgage Association Pool #443000 6.500%, 9/15/28 | 16 | 18 | |
4,397 | |||
Non-Agency—21.4% | |||
Ajax Mortgage Loan Trust 2019-D, A1 144A 2.956%, 9/25/65(2)(3) | 329 | 322 | |
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(2) | 195 | 194 | |
2015-SFR1, A 144A 3.467%, 4/17/52(2) | 205 | 199 | |
2015-SFR2, C 144A 4.691%, 10/17/52(2) | 125 | 113 | |
AMSR Trust 2020-SFR1, A 144A 1.819%, 4/17/37(2) | 110 | 102 |
Par Value | Value | ||
Non-Agency—continued | |||
Angel Oak Mortgage Trust I LLC 2019-2, A1 144A 3.628%, 3/25/49(2)(3) | $214 | $216 | |
Angel Oak Mortgage Trust LLC 2019-3, A1 144A 2.930%, 5/25/59(2)(3) | 191 | 183 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(2)(3) | 265 | 258 | |
2019-1, A1 144A 3.805%, 1/25/49(2)(3) | 122 | 119 | |
2019-2, A1 144A 3.347%, 4/25/49(2)(3) | 125 | 119 | |
Aventura Mall Trust 2013-AVM, C 144A 3.743%, 12/5/32(2)(3) | 325 | 321 | |
Banc of America Funding Trust | |||
2004-B, 2A1 4.307%, 11/20/34(3) | 28 | 27 | |
2005-1, 1A1 5.500%, 2/25/35 | 55 | 53 | |
Banc of America Mortgage Trust 2005-3, 1A15 5.500%, 4/25/35 | 35 | 34 | |
Bank of America (Merrill Lynch - Countrywide) Home Loan Mortgage Pass-Through-Trust 2004-6, 1A2 4.536%, 5/25/34(3) | 111 | 97 | |
Bayview Opportunity Master Fund IVa Trust | |||
2016-SPL1, B1 144A 4.250%, 4/28/55(2) | 160 | 153 | |
2017-SPL5, B1 144A 4.000%, 6/28/57(2)(3) | 100 | 95 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(2)(3) | 100 | 99 | |
BX Commercial Mortgage Trust 2019-XL, C (1 month LIBOR + 1.250%) 144A 1.955%, 10/15/36(2)(3) | 162 | 147 | |
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(2)(3) | 245 | 192 | |
BXMT 2020-FL2, A (1 month LIBOR + 0.090%) 144A 1.700%, 2/16/37(2)(3) | 255 | 227 | |
Chase Home Lending Mortgage Trust 2019-ATR1, A4 144A 4.000%, 4/25/49(2)(3) | 79 | 79 | |
Citigroup Commercial Mortgage Trust | |||
2013-375P, B 144A 3.518%, 5/10/35(2)(3) | 205 | 202 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
2019-SST2, A (1 month LIBOR + 0.920%) 144A 1.625%, 12/15/36(2)(3) | $200 | $192 | |
2015-GC27, A4 2.878%, 2/10/48 | 245 | 246 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2019-IMC1, A1 144A 2.720%, 7/25/49(2)(3) | 180 | 173 | |
2019-RP1, A1 144A 3.500%, 1/25/66(2)(3) | 371 | 375 | |
COLT Mortgage Loan Trust Funding LLC | |||
2019-3, A1 144A 2.764%, 8/25/49(2)(3) | 265 | 256 | |
2020-1, A1 144A 2.488%, 2/25/50(2)(3) | 97 | 94 | |
COMM Mortgage Trust 2020-CBM, B 144A 3.099%, 2/10/37(2) | 210 | 184 | |
CoreVest American Finance Trust | |||
2020-1, A1 144A 1.832%, 3/15/50(2) | 275 | 265 | |
2019-3, C 144A 3.265%, 10/15/52(2) | 220 | 163 | |
2018-2, A 144A 4.026%, 11/15/52(2) | 119 | 120 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 1.685%, 5/15/36(2)(3) | 370 | 348 | |
Ellington Financial Mortgage Trust | |||
2018-1, A1FX 144A 4.140%, 10/25/58(2)(3) | 290 | 287 | |
2019-2, A3 144A 3.046%, 11/25/59(2)(3) | 92 | 88 | |
Exantas Capital Corp. 2020-RSO8, A (1 month LIBOR + 1.150%) 144A 2.850%, 3/15/35(2)(3) | 265 | 228 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(2)(3) | 51 | 50 | |
2018-1, A23 144A 3.500%, 11/25/57(2)(3) | 49 | 49 | |
2018-2, A41 144A 4.500%, 10/25/58(2)(3) | 147 | 147 | |
2019-H1, A1 144A 2.657%, 10/25/59(2)(3) | 233 | 231 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(2)(3) | 139 | 143 | |
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(2) | 255 | 253 | |
GS Mortgage Securities Trust 2020-GC45, AS 3.173%, 2/13/53 | 245 | 231 |
Par Value | Value | ||
Non-Agency—continued | |||
Homeward Opportunities Fund I Trust | |||
2018-2, A1 144A 3.985%, 11/25/58(2)(3) | $318 | $310 | |
2019-1, A1 144A 3.454%, 1/25/59(2)(3) | 149 | 144 | |
JPMorgan Chase (WaMu) Mortgage Pass-Through Certificates 2003-S11, 3A5 5.950%, 11/25/33 | 56 | 54 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
2015-C31, AS 4.106%, 8/15/48 | 215 | 222 | |
2015-C28, B 3.986%, 10/15/48 | 280 | 269 | |
JPMorgan Chase Mortgage Trust | |||
2016-SH1, M2 144A 3.750%, 4/25/45(2)(3) | 192 | 190 | |
2016-SH2, M2 144A 3.750%, 12/25/45(2)(3) | 350 | 333 | |
2017-3, 2A2 144A 2.500%, 8/25/47(2)(3) | 96 | 96 | |
2017-5, A1 144A 3.147%, 10/26/48(2)(3) | 190 | 183 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%) 144A 1.505%, 5/15/36(2)(3) | 215 | 196 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(2)(3) | 195 | 171 | |
MASTR Specialized Loan Trust 2005-3, A2 144A 5.704%, 11/25/35(2)(3) | 29 | 29 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 2.147%, 6/25/52(2)(3)(4) | 85 | 85 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.686%, 4/25/55(2)(3) | 100 | 87 | |
2019-1A, A1A 144A 3.750%, 4/25/58(2)(3) | 361 | 372 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust | |||
2013-C13, AS 4.266%, 11/15/46 | 360 | 369 | |
2015-C22, AS 3.561%, 4/15/48 | 310 | 310 | |
New Residential Mortgage Loan Trust | |||
2014-1A, A 144A 3.750%, 1/25/54(2)(3) | 116 | 119 | |
2015-2A, A1 144A 3.750%, 8/25/55(2)(3) | 90 | 92 | |
2016-1A, A1 144A 3.750%, 3/25/56(2)(3) | 72 | 74 |
Par Value | Value | ||
Non-Agency—continued | |||
2016-4A, B1A 144A 4.500%, 11/25/56(2)(3) | $157 | $153 | |
2017-2A, A3 144A 4.000%, 3/25/57(2)(3) | 163 | 169 | |
2018-1A, A1A 144A 4.000%, 12/25/57(2)(3) | 206 | 213 | |
2018-2A, A1 144A 4.500%, 2/25/58(2)(3) | 278 | 290 | |
2019-NQM4, A1 144A 2.492%, 9/25/59(2)(3) | 238 | 234 | |
2020-1A, A1B 144A 3.500%, 10/25/59(2)(3) | 326 | 327 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%) 2.672%, 3/25/35(3) | 75 | 74 | |
OBX Trust | |||
2018-EXP2, 1A1 144A 4.000%, 11/25/48(2)(3) | 271 | 271 | |
2019-INV1, A3 144A 4.500%, 11/25/48(2)(3) | 133 | 134 | |
One Market Plaza Trust 2017-1MKT, A 144A 3.614%, 2/10/32(2) | 150 | 146 | |
Pretium Mortgage Credit Partners I LLC 2019-NPL3, A1 144A 3.105%, 7/27/59(2)(3) | 72 | 62 | |
Progress Residential Trust | |||
2018-SFR2, B 144A 3.841%, 8/17/35(2) | 100 | 98 | |
2019-SFR3, B 144A 2.571%, 9/17/36(2) | 235 | 212 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(2)(3) | 280 | 281 | |
PRPM LLC | |||
2019-1A, A1 144A 4.500%, 1/25/24(2)(3) | 400 | 404 | |
2019-2A, A1 144A 3.967%, 4/25/24(2)(3) | 360 | 322 | |
2019-GS1, A1 144A 3.500%, 10/25/24(2)(3)(4) | 225 | 223 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(2)(3) | 555 | 551 | |
RCO V Mortgage LLC | |||
2019-1, A1 144A 3.721%, 5/24/24(2)(3) | 383 | 364 | |
2019-2, A1 144A 3.475%, 11/25/24(2)(3) | 137 | 130 | |
Residential Mortgage Loan Trust | |||
2019-1, A1 144A 3.936%, 10/25/58(2)(3) | 58 | 56 | |
2019-2, A1 144A 2.913%, 5/25/59(2)(3) | 255 | 254 | |
RMF Proprietary Issuance Trust 2019-1, A 144A 2.750%, 10/25/63(2)(3) | 280 | 264 | |
Sequoia Mortgage Trust 2013-8, B1 3.518%, 6/25/43(3) | 91 | 87 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(2)(3) | $379 | $366 | |
Starwood Mortgage Residential Trust 2019-IMC1, A1 144A 3.468%, 2/25/49(2)(3) | 245 | 244 | |
Thornburg Mortgage Securities Trust 2004-2, A1 (1 month LIBOR + 0.620%) 1.567%, 6/25/44(3) | 341 | 299 | |
Towd Point Mortgage Trust | |||
2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 1.847%, 4/25/48(2)(3) | 338 | 328 | |
2015-1, A2 144A 3.250%, 10/25/53(2)(3) | 150 | 148 | |
2015-5, A2 144A 3.500%, 5/25/55(2)(3) | 220 | 214 | |
2017-1, M1 144A 3.750%, 10/25/56(2)(3) | 100 | 94 | |
2017-6, A2 144A 3.000%, 10/25/57(2)(3) | 310 | 284 | |
2018-6, A2 144A 3.750%, 3/25/58(2)(3) | 370 | 322 | |
2019-1, A1 144A 3.750%, 3/25/58(2)(3) | 272 | 279 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(2)(3) | 50 | 50 | |
2015-2, 1M1 144A 3.250%, 11/25/60(2)(3) | 165 | 153 | |
Tricon American Homes Trust | |||
2017-SFR1, A 144A 2.716%, 9/17/34(2) | 199 | 195 | |
2019-SFR1, C 144A 3.149%, 3/17/38(2) | 190 | 162 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(2) | 200 | 159 | |
VCAT LLC 2019-NPL2, A1 144A 3.573%, 11/25/49(2)(3) | 135 | 133 | |
Vericrest Opportunity Loan Trust | |||
2019-NPL2, A1 144A 3.967%, 2/25/49(2)(3) | 104 | 92 | |
2020-NPL2, A1A 144A 2.981%, 2/25/50(2)(3) | 95 | 82 | |
Vericrest Opportunity Loan Trust LXIV LLC 2017-NP11, A1 144A 3.375%, 10/25/47(2)(3) | 63 | 57 | |
Vericrest Opportunity Loan Trust LXXXV LLC 2020-NPL1, A1A 144A 3.228%, 1/25/50(2)(3) | 132 | 116 | |
Verus Securitization Trust | |||
2017-2A, A1 144A 2.485%, 7/25/47(2)(3) | 54 | 53 |
Par Value | Value | ||
Non-Agency—continued | |||
2018-1, A1 144A 2.929%, 2/25/48(2)(3) | $46 | $44 | |
2018-2, B1 144A 4.426%, 6/1/58(2)(3) | 240 | 215 | |
2018-3, A1 144A 4.108%, 10/25/58(2)(3) | 91 | 89 | |
2019-INV2, A1 144A 2.913%, 7/25/59(2)(3) | 340 | 330 | |
2019-INV1, A1 144A 3.402%, 12/25/59(2)(3) | 119 | 114 | |
Wells Fargo Commercial Mortgage Trust | |||
2014-C24, AS 3.931%, 11/15/47 | 215 | 218 | |
2015-LC20, B 3.719%, 4/15/50 | 300 | 288 | |
21,826 | |||
Total Mortgage-Backed Securities (Identified Cost $27,137) | 26,223 | ||
Asset-Backed Securities—9.7% | |||
Automobiles—5.5% | |||
ACC Trust | |||
2018-1, B 144A 4.820%, 5/20/21(2) | 114 | 114 | |
2019-1, A 144A 3.750%, 5/20/22(2) | 167 | 167 | |
American Credit Acceptance Receivables Trust | |||
2018-4, C 144A 3.970%, 1/13/25(2) | 195 | 188 | |
2019-2, C 144A 3.170%, 6/12/25(2) | 220 | 205 | |
Avis Budget Rental Car Funding LLC | |||
(AESOP) 2016-1A, A 144A 2.990%, 6/20/22(2) | 200 | 195 | |
2019-3A, A 144A 2.360%, 3/20/26(2) | 270 | 236 | |
Capital Auto Receivables Asset Trust 2017-1, C 144A 2.700%, 9/20/22(2) | 185 | 183 | |
Carvana Auto Receivables Trust | |||
2019-1A, D 144A 3.880%, 10/15/24(2) | 225 | 219 | |
2019-3A, D 144A 3.040%, 4/15/25(2)(4) | 240 | 203 | |
Centre Point Funding LLC 2012-2A, 1 144A 2.610%, 8/20/21(2) | 14 | 13 | |
Drive Auto Receivables Trust 2019-4, C 2.510%, 11/17/25 | 240 | 231 | |
DT Auto Owner Trust | |||
2018-3A, C 144A 3.790%, 7/15/24(2) | 145 | 142 |
Par Value | Value | ||
Automobiles—continued | |||
2019-2A, B 144A 2.990%, 4/17/23(2) | $215 | $213 | |
2019-2A, C 144A 3.180%, 2/18/25(2) | 215 | 212 | |
Exeter Automobile Receivables Trust | |||
2018-3A, C 144A 3.710%, 6/15/23(2) | 205 | 205 | |
2019-2A, C 144A 3.300%, 3/15/24(2) | 225 | 209 | |
2019-4A, C 144A 2.440%, 9/16/24(2) | 285 | 276 | |
Flagship Credit Auto Trust | |||
2016-2, B 144A 3.840%, 9/15/22(2) | 43 | 43 | |
2017-3, C 144A 2.910%, 9/15/23(2) | 220 | 217 | |
2019-1, C 144A 3.600%, 2/18/25(2) | 150 | 149 | |
2019-2, C 144A 3.090%, 5/15/25(2) | 260 | 254 | |
GLS Auto Receivables Issuer Trust 2019-2A, B 144A 3.320%, 3/15/24(2) | 260 | 243 | |
GLS Auto Receivables Trust 2018-3A, C 144A 4.180%, 7/15/24(2) | 240 | 218 | |
Hertz Vehicle Financing II LP 2019-1A, A 144A 3.710%, 3/25/23(2) | 160 | 155 | |
OneMain Direct Auto Receivables Trust | |||
2017-2A, C 144A 2.820%, 7/15/24(2) | 185 | 184 | |
2018-1A, C 144A 3.850%, 10/14/25(2) | 145 | 143 | |
Prestige Auto Receivables Trust 2017-1A, C 144A 2.810%, 1/17/23(2) | 220 | 218 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(2) | 240 | 193 | |
United Auto Credit Securitization Trust 2019-1, D 144A 3.470%, 8/12/24(2) | 215 | 198 | |
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(2) | 270 | 260 | |
5,686 | |||
Credit Card—0.4% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(2) | 410 | 377 | |
Other—3.5% | |||
Aqua Finance Trust 2017-A, A 144A 3.720%, 11/15/35(2) | 103 | 103 |
Table of Contents
Par Value | Value | ||
Other—continued | |||
Arby’s Funding LLC 2015-1A, A2 144A 4.969%, 10/30/45(2) | $134 | $130 | |
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(2) | 181 | 174 | |
Dell Equipment Finance Trust 2017-2, A3 144A 2.190%, 10/24/22(2) | 19 | 18 | |
Diamond Resorts Owner Trust 2017-1A, A 144A 3.270%, 10/22/29(2) | 55 | 55 | |
Foundation Finance Trust 2019-1A, A 144A 3.860%, 11/15/34(2) | 154 | 147 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(2) | 245 | 217 | |
Lendmark Funding Trust 2019-1A, A 144A 3.000%, 12/20/27(2) | 270 | 243 | |
MVW LLC 2019-2A, A 144A 2.220%, 10/20/38(2) | 257 | 236 | |
MVW Owner Trust | |||
2017-1A, A 144A 2.420%, 12/20/34(2) | 88 | 86 | |
2019-1A, A 144A 2.890%, 11/20/36(2) | 221 | 207 | |
NMEF Funding 2019-A, C 144A 3.300%, 8/17/26(2) | 200 | 195 | |
Oasis LLC 2020-1A, A 144A 3.820%, 1/15/32(2) | 239 | 238 | |
Octane Receivables Trust 2019-1A, A 144A 3.160%, 9/20/23(2) | 206 | 204 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(2) | 180 | 179 | |
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(2) | 250 | 236 | |
Orange Lake Timeshare Trust 2019-A, B 144A 3.360%, 4/9/38(2) | 191 | 187 | |
Small Business Lending Trust 2019-A, A 144A 2.850%, 7/15/26(2) | 160 | 158 | |
SoFi Consumer Loan Program LLC 2017-1, A 144A 3.280%, 1/26/26(2) | 25 | 24 | |
SoFi Consumer Loan Program Trust 2019-3, A 144A 2.900%, 5/25/28(2) | 160 | 155 |
Par Value | Value | ||
Other—continued | |||
Taco Bell Funding LLC 2016-1A, A23 144A 4.970%, 5/25/46(2) | $238 | $228 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(2) | 179 | 167 | |
3,587 | |||
Student Loan—0.3% | |||
Commonbond Student Loan Trust 2019-AGS, A1 144A 2.540%, 1/25/47(2) | 265 | 268 | |
Total Asset-Backed Securities (Identified Cost $10,425) | 9,918 | ||
Corporate Bonds and Notes—34.2% | |||
Communication Services—1.7% | |||
Altice Financing S.A. 144A 5.000%, 1/15/28(2) | 200 | 177 | |
AT&T, Inc. | |||
4.100%, 2/15/28 | 204 | 214 | |
(3 month LIBOR + 1.180%) 1.964%, 6/12/24(3) | 85 | 79 | |
Cable Onda S.A. 144A 4.500%, 1/30/30(2) | 200 | 176 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(2) | 100 | 81 | |
144A 6.625%, 8/15/27(2) | 55 | 37 | |
DISH DBS Corp. 5.000%, 3/15/23 | 95 | 91 | |
Frontier Communications Corp. 144A 8.500%, 4/1/26(2) | 70 | 64 | |
Meredith Corp. 6.875%, 2/1/26 | 90 | 78 | |
Sirius XM Radio, Inc. 144A 5.500%, 7/1/29(2) | 60 | 61 | |
Sprint Spectrum Co. LLC 144A 4.738%, 3/20/25(2) | 200 | 204 | |
Telesat Canada 144A 4.875%, 6/1/27(2) | 85 | 81 | |
Tencent Holdings Ltd. 144A 3.975%, 4/11/29(2) | 255 | 283 | |
Verizon Communications, Inc. 4.125%, 3/16/27 | 100 | 111 | |
1,737 | |||
Consumer Discretionary—2.1% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 145 | 112 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Bunge Ltd. Finance Corp. 4.350%, 3/15/24 | $150 | $155 | |
Dana, Inc. 5.375%, 11/15/27 | 190 | 154 | |
Dollar Tree, Inc. 4.000%, 5/15/25 | 115 | 118 | |
eBay, Inc. 2.700%, 3/11/30 | 295 | 267 | |
Eldorado Resorts, Inc. 6.000%, 9/15/26 | 45 | 40 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(2) | 95 | 83 | |
General Motors Financial Co., Inc. 3.450%, 4/10/22 | 30 | 28 | |
Lear Corp. 3.800%, 9/15/27 | 250 | 229 | |
Lithia Motors, Inc. 144A 4.625%, 12/15/27(2) | 80 | 72 | |
M/I Homes, Inc. 144A 4.950%, 2/1/28(2) | 190 | 161 | |
PulteGroup, Inc. 6.375%, 5/15/33 | 120 | 121 | |
QVC, Inc. | |||
4.375%, 3/15/23 | 145 | 137 | |
4.750%, 2/15/27 | 160 | 142 | |
Scientific Games International, Inc. | |||
144A 5.000%, 10/15/25(2) | 130 | 113 | |
144A 8.250%, 3/15/26(2) | 70 | 45 | |
144A 7.000%, 5/15/28(2) | 35 | 21 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 100 | 93 | |
Under Armour, Inc. 3.250%, 6/15/26 | 100 | 85 | |
2,176 | |||
Consumer Staples—1.1% | |||
Albertsons Cos., Inc. 144A 4.875%, 2/15/30(2) | 115 | 114 | |
Anheuser-Busch InBev Worldwide, Inc. | |||
4.000%, 4/13/28 | 200 | 211 | |
4.750%, 1/23/29 | 52 | 57 | |
Bacardi Ltd. 144A 4.700%, 5/15/28(2) | 170 | 182 | |
BAT Capital Corp. 4.906%, 4/2/30 | 240 | 246 | |
Conagra Brands, Inc. 4.300%, 5/1/24 | 270 | 280 | |
1,090 | |||
Table of Contents
Par Value | Value | ||
Energy—3.1% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(2) | $120 | $72 | |
Boardwalk Pipelines LP 4.950%, 12/15/24 | 185 | 150 | |
Cheniere Energy Partners LP | |||
5.625%, 10/1/26 | 70 | 65 | |
144A 4.500%, 10/1/29(2) | 115 | 102 | |
CrownRock LP 144A 5.625%, 10/15/25(2) | 115 | 60 | |
Energy Transfer Operating LP 4.200%, 4/15/27 | 210 | 170 | |
Energy Transfer Partners LP 4.500%, 11/1/23 | 45 | 41 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 210 | 182 | |
Kinder Morgan Energy Partners LP 7.500%, 11/15/40 | 320 | 355 | |
MPLX LP | |||
4.875%, 12/1/24 | 120 | 105 | |
4.000%, 3/15/28 | 90 | 80 | |
144A 4.250%, 12/1/27(2) | 205 | 177 | |
Nabors Industries, Inc. 5.750%, 2/1/25 | 110 | 24 | |
Parsley Energy LLC 144A 4.125%, 2/15/28(2) | 80 | 54 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 150 | 56 | |
Pertamina Persero PT 144A 6.450%, 5/30/44(2) | 300 | 327 | |
Petroleos Mexicanos 144A 7.690%, 1/23/50(2) | 190 | 132 | |
Sabine Pass Liquefaction LLC | |||
6.250%, 3/15/22 | 140 | 136 | |
4.200%, 3/15/28 | 80 | 69 | |
State Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(5) | 200 | 198 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 185 | 154 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(2) | 42 | 33 | |
USA Compression Partners LP 6.875%, 4/1/26 | 190 | 119 | |
Valero Energy Partners LP 4.500%, 3/15/28 | 285 | 257 | |
3,118 | |||
Financials—12.8% | |||
AerCap Ireland Capital DAC | |||
3.950%, 2/1/22 | 200 | 174 | |
3.650%, 7/21/27 | 150 | 116 |
Par Value | Value | ||
Financials—continued | |||
Allstate Corp. (The) Series B 5.750%, 8/15/53(6) | $200 | $180 | |
Apollo Management Holdings LP 144A 4.000%, 5/30/24(2) | 215 | 224 | |
Ares Finance Co. LLC 144A 4.000%, 10/8/24(2) | 270 | 267 | |
Athene Holding Ltd. 4.125%, 1/12/28 | 200 | 181 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(2) | 305 | 233 | |
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 5.125%, 1/18/33(2) | 200 | 166 | |
Bank of America Corp. | |||
3.004%, 12/20/23 | 285 | 290 | |
4.200%, 8/26/24 | 448 | 476 | |
(3 month LIBOR + 0.770%) 2.511%, 2/5/26(3) | 225 | 204 | |
Bank of Montreal 3.803%, 12/15/32 | 338 | 328 | |
Brighthouse Financial, Inc. 3.700%, 6/22/27 | 220 | 191 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 200 | 189 | |
Brookfield Finance, Inc. 4.000%, 4/1/24 | 342 | 346 | |
Capital One Financial Corp. | |||
4.200%, 10/29/25 | 200 | 199 | |
3.750%, 7/28/26 | 225 | 212 | |
Citadel LP 144A 4.875%, 1/15/27(2) | 190 | 183 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 371 | 384 | |
(3 month LIBOR + 1.250%) 2.683%, 7/1/26(3) | 600 | 555 | |
Discover Bank 4.682%, 8/9/28 | 500 | 509 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 225 | 243 | |
Goldman Sachs Group, Inc. (The) 5.750%, 1/24/22 | 305 | 324 | |
ICAHN Enterprises LP 6.250%, 5/15/26 | 225 | 213 | |
Jefferies Financial Group, Inc. 5.500%, 10/18/23 | 170 | 172 | |
Jefferies Group LLC | |||
5.125%, 1/20/23 | 39 | 40 | |
4.850%, 1/15/27 | 115 | 114 |
Par Value | Value | ||
Financials—continued | |||
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42(2) | $215 | $221 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(2) | 150 | 119 | |
Liberty Mutual Group, Inc. | |||
144A 4.250%, 6/15/23(2) | 65 | 66 | |
144A 4.569%, 2/1/29(2) | 210 | 232 | |
Morgan Stanley | |||
3.125%, 7/27/26 | 410 | 424 | |
6.375%, 7/24/42 | 655 | 935 | |
MSCI, Inc. | |||
144A 4.000%, 11/15/29(2) | 100 | 99 | |
144A 3.625%, 9/1/30(2) | 10 | 10 | |
Navient Corp. | |||
6.750%, 6/25/25 | 135 | 124 | |
5.000%, 3/15/27 | 40 | 34 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 85 | 82 | |
5.625%, 6/15/43(6) | 270 | 254 | |
Santander Holdings USA, Inc. | |||
3.700%, 3/28/22 | 169 | 167 | |
3.500%, 6/7/24 | 180 | 176 | |
4.400%, 7/13/27 | 80 | 79 | |
SBA Tower Trust 144A 2.877%, 7/9/21(2) | 320 | 319 | |
Societe Generale S.A. 144A 4.750%, 11/24/25(2) | 200 | 200 | |
Springleaf Finance Corp. | |||
6.875%, 3/15/25 | 110 | 111 | |
7.125%, 3/15/26 | 40 | 39 | |
5.375%, 11/15/29 | 15 | 14 | |
Synchrony Financial 3.950%, 12/1/27 | 285 | 253 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 90 | 84 | |
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54(2) | 160 | 163 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | 270 | 269 | |
Trinity Acquisition plc 4.400%, 3/15/26 | 90 | 94 | |
Truist Bank 2.250%, 3/11/30 | 250 | 229 | |
UBS AG 7.625%, 8/17/22 | 500 | 515 | |
Voya Financial, Inc. 5.650%, 5/15/53 | 195 | 179 | |
Wells Fargo & Co. | |||
3.550%, 9/29/25 | 490 | 517 | |
Series S 5.900%(6)(7) | 155 | 152 |
Table of Contents
Par Value | Value | ||
Financials—continued | |||
Zions Bancorp NA 3.250%, 10/29/29 | $250 | $212 | |
13,085 | |||
Health Care—2.0% | |||
Anthem, Inc. 2.875%, 9/15/29 | 185 | 180 | |
Bausch Health Cos., Inc. 144A 5.750%, 8/15/27(2) | 125 | 129 | |
Catalent Pharma Solutions, Inc. 144A 5.000%, 7/15/27(2) | 30 | 29 | |
Centene Corp. 144A 4.625%, 12/15/29(2) | 80 | 80 | |
Charles River Laboratories International, Inc. 144A 4.250%, 5/1/28(2) | 50 | 48 | |
CVS Health Corp. | |||
2.875%, 6/1/26 | 290 | 292 | |
3.750%, 4/1/30 | 90 | 93 | |
HCA, Inc. | |||
5.375%, 2/1/25 | 55 | 56 | |
5.125%, 6/15/39 | 90 | 93 | |
5.250%, 6/15/49 | 140 | 149 | |
LifePoint Health, Inc. 144A 4.375%, 2/15/27(2) | 75 | 71 | |
Mylan NV 3.950%, 6/15/26 | 280 | 280 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(2) | 65 | 65 | |
Perrigo Finance Unlimited Co. 4.375%, 3/15/26 | 200 | 207 | |
Tenet Healthcare Corp. 144A 5.125%, 11/1/27(2) | 63 | 60 | |
Zimmer Biomet Holdings, Inc. (3 month LIBOR + 0.750%) 1.802%, 3/19/21(3) | 245 | 242 | |
2,074 | |||
Industrials—2.2% | |||
ASGN, Inc. 144A 4.625%, 5/15/28(2) | 100 | 94 | |
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(2) | 280 | 259 | |
Avolon Holdings Funding Ltd. | |||
144A 3.950%, 7/1/24(2) | 37 | 31 | |
144A 4.375%, 5/1/26(2) | 215 | 172 | |
Carlisle Cos., Inc. 2.750%, 3/1/30 | 110 | 96 | |
DP World plc 144A 6.850%, 7/2/37(2) | 140 | 132 | |
Garda World Security Corp. 144A 4.625%, 2/15/27(2) | 95 | 85 | |
Hillenbrand, Inc. 4.500%, 9/15/26 | 120 | 122 |
Par Value | Value | ||
Industrials—continued | |||
Oshkosh Corp. 4.600%, 5/15/28 | $216 | $209 | |
Penske Truck Leasing Co., LP 144A 4.125%, 8/1/23(2) | 190 | 196 | |
Pentair Finance S.a.r.l 4.500%, 7/1/29 | 315 | 332 | |
Signature Aviation US Holdings, Inc. 144A 4.000%, 3/1/28(2) | 195 | 176 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60(6) | 263 | 250 | |
TransDigm, Inc. 144A 5.500%, 11/15/27(2) | 155 | 139 | |
2,293 | |||
Information Technology—1.9% | |||
Broadcom Corp. 3.000%, 1/15/22 | 90 | 89 | |
Citrix Systems, Inc. 3.300%, 3/1/30 | 365 | 340 | |
Dell International LLC | |||
144A 6.020%, 6/15/26(2) | 45 | 48 | |
144A 8.100%, 7/15/36(2) | 95 | 109 | |
Hewlett Packard Enterprise Co. 4.900%, 10/15/25 | 255 | 268 | |
Juniper Networks, Inc. 3.750%, 8/15/29 | 210 | 204 | |
Motorola Solutions, Inc. | |||
4.600%, 2/23/28 | 166 | 169 | |
4.600%, 5/23/29 | 85 | 89 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(2) | 15 | 14 | |
Verisk Analytics, Inc. 4.000%, 6/15/25 | 215 | 230 | |
VMware, Inc. | |||
2.950%, 8/21/22 | 109 | 109 | |
3.900%, 8/21/27 | 235 | 232 | |
1,901 | |||
Materials—2.2% | |||
Avery Dennison Corp. 2.650%, 4/30/30 | 129 | 120 | |
BHP Billiton Finance USA Ltd. 144A 6.750%, 10/19/75(2)(6) | 200 | 212 | |
Celanese US Holdings LLC 3.500%, 5/8/24 | 240 | 227 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(2) | 30 | 27 | |
DuPont de Nemours, Inc. 4.493%, 11/15/25 | 212 | 228 | |
Glencore Funding LLC 144A 4.000%, 3/27/27(2) | 290 | 264 | |
Greif, Inc. 144A 6.500%, 3/1/27(2) | 85 | 82 | |
GUSAP III LP 144A 4.250%, 1/21/30(2) | 200 | 176 |
Par Value | Value | ||
Materials—continued | |||
Inversiones CMPC S.A. 144A 3.850%, 1/13/30(2) | $290 | $261 | |
Novelis Corp. 144A 4.750%, 1/30/30(2) | 100 | 89 | |
Olin Corp. 5.625%, 8/1/29 | 225 | 207 | |
SABIC Capital II BV 144A 4.500%, 10/10/28(2) | 200 | 208 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 215 | 198 | |
2,299 | |||
Real Estate—2.4% | |||
Corporate Office Properties LP 3.600%, 5/15/23 | 295 | 289 | |
EPR Properties 4.750%, 12/15/26 | 275 | 250 | |
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(2) | 190 | 148 | |
GLP Capital LP 5.750%, 6/1/28 | 231 | 204 | |
Healthcare Realty Trust, Inc. 3.875%, 5/1/25 | 140 | 146 | |
Healthcare Trust of America Holdings LP 3.750%, 7/1/27 | 215 | 199 | |
Iron Mountain, Inc. 144A 4.875%, 9/15/29(2) | 190 | 179 | |
iStar, Inc. 4.250%, 8/1/25 | 190 | 156 | |
Life Storage LP 3.500%, 7/1/26 | 220 | 210 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 80 | 78 | |
4.625%, 8/1/29 | 45 | 41 | |
Office Properties Income Trust 4.500%, 2/1/25 | 215 | 210 | |
Retail Opportunity Investments Partnership LP 4.000%, 12/15/24 | 155 | 158 | |
Service Properties Trust 4.950%, 2/15/27 | 245 | 186 | |
2,454 | |||
Utilities—2.7% | |||
American Electric Power Co., Inc. 2.300%, 3/1/30 | 180 | 168 | |
CenterPoint Energy, Inc. | |||
3.850%, 2/1/24 | 95 | 96 | |
4.250%, 11/1/28 | 140 | 144 | |
Centrais Eletricas Brasileiras S.A. 144A 4.625%, 2/4/30(2) | 200 | 177 | |
DPL, Inc. 144A 4.350%, 4/15/29(2) | 263 | 250 |
Table of Contents
Par Value | Value | ||
Utilities—continued | |||
Edison International 4.950%, 4/15/25 | $270 | $269 | |
Exelon Corp. 3.497%, 6/1/22 | 285 | 276 | |
FirstEnergy Transmission LLC 144A 4.350%, 1/15/25(2) | 235 | 245 | |
Pennsylvania Electric Co. 144A 3.600%, 6/1/29(2) | 240 | 254 | |
PSEG Power LLC 3.850%, 6/1/23 | 231 | 235 | |
Southern Power Co. 4.150%, 12/1/25 | 255 | 263 | |
Talen Energy Supply LLC 144A 6.625%, 1/15/28(2) | 105 | 88 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(2) | 110 | 115 | |
Vistra Operations Co. LLC 144A 4.300%, 7/15/29(2) | 230 | 204 | |
2,784 | |||
Total Corporate Bonds and Notes (Identified Cost $36,871) | 35,011 | ||
Leveraged Loans(3)—4.7% | |||
Aerospace—0.5% | |||
AI Convoy (Luxembourg) S.a.r.l. Tranche B (3 month LIBOR + 3.500%) 5.340%, 1/18/27 | 160 | 142 | |
American Airlines, Inc. 2018 (1 month LIBOR + 1.750%) 2.709%, 6/27/25 | 195 | 154 | |
Atlantic Aviation FBO, Inc. (1 month LIBOR + 3.750%) 4.740%, 12/6/25 | 20 | 19 | |
TransDigm, Inc. Tranche E (1 month LIBOR + 2.250%) 3.239%, 5/30/25 | 232 | 210 | |
525 | |||
Consumer Non-Durables—0.1% | |||
Kronos Acquisition Holdings, Inc. Tranche B-3 (1 month LIBOR + 4.000%) 5.000%, 5/15/23 | 138 | 123 | |
Energy—0.1% | |||
Buckeye Partners LP (1 month LIBOR + 2.750%) 4.265%, 11/1/26 | 45 | 41 |
Par Value | Value | ||
Energy—continued | |||
CITGO Petroleum Corp. 2019, Tranche B (1 month LIBOR + 5.000%) 6.000%, 3/27/24 | $84 | $73 | |
114 | |||
Food / Tobacco—0.1% | |||
Aramark Services, Inc. Tranche B-4 (1 month LIBOR + 1.750%) 2.739%, 1/15/27 | 45 | 42 | |
CHG PPC Parent LLC First Lien (1 month LIBOR + 2.750%) 3.739%, 3/31/25 | 69 | 61 | |
103 | |||
Forest Prod / Containers—0.1% | |||
Berry Global, Inc. Tranche Y (3 month LIBOR + 2.000%) 2.863%, 7/1/26 | 89 | 84 | |
Reynolds Consumer Products LLC (3 month LIBOR + 1.750%) 3.501%, 2/4/27 | 30 | 28 | |
112 | |||
Gaming / Leisure—0.2% | |||
Seminole Tribe of Florida (1 month LIBOR + 1.750%) 2.739%, 7/8/24 | 149 | 136 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 3.240%, 2/8/27 | 70 | 59 | |
195 | |||
Healthcare—0.5% | |||
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 3.362%, 11/27/25 | 30 | 28 | |
(1 month LIBOR + 3.000%) 3.612%, 6/2/25 | 16 | 16 | |
Catalent Pharma Solutions, Inc. Tranche B-2 (3 month LIBOR + 2.250%) 0.000%, 5/18/26(8) | 100 | 96 | |
CHG Healthcare Services, Inc. (3 month LIBOR + 3.000%) 4.073%, 6/7/23 | 117 | 104 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 3.200%, 6/11/25 | 128 | 121 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.739%, 11/17/25 | 178 | 164 |
Par Value | Value | ||
Healthcare—continued | |||
Select Medical Corp. Tranche B (1 month LIBOR + 2.500%) 3.430%, 3/6/25 | $25 | $24 | |
553 | |||
Housing—0.5% | |||
American Builders & Contractors Supply Co., Inc. (1 month LIBOR + 2.000%) 2.989%, 1/15/27 | 159 | 150 | |
CPG International LLC (3 month LIBOR + 3.750%) 5.933%, 5/6/24 | 129 | 107 | |
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 2.989%, 11/21/24 | 227 | 196 | |
453 | |||
Information Technology—0.2% | |||
Boxer Parent Co., Inc. (1 month LIBOR + 4.250%) 5.239%, 10/2/25 | 54 | 44 | |
Kronos, Inc. 2018 (3 month LIBOR + 3.000%) 4.763%, 11/1/23 | 103 | 94 | |
Presidio Holdings, Inc. (4 month LIBOR + 3.500%) 5.280%, 1/22/27 | 15 | 14 | |
152 | |||
Manufacturing—0.1% | |||
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 2.739%, 2/28/27 | 20 | 19 | |
Star US Bidco LLC (1 month LIBOR + 4.250%) 5.250%, 3/17/27 | 120 | 102 | |
121 | |||
Media / Telecom - Broadcasting—0.1% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.750%) 4.331%, 9/18/26 | 139 | 129 | |
Media / Telecom - Cable/Wireless Video—0.4% | |||
CSC Holdings LLC 2018 (1 month LIBOR + 2.250%) 2.862%, 1/15/26 | 149 | 142 | |
Telenet Financing USD LLC Tranche AR (1 month LIBOR + 2.000%) 2.705%, 4/30/28 | 200 | 182 |
Table of Contents
Par Value | Value | ||
Media / Telecom - Cable/Wireless Video—continued | |||
Ziggo Financing Partnership Tranche I (1 month LIBOR + 2.500%) 3.205%, 4/30/28 | $40 | $38 | |
362 | |||
Media / Telecom - Telecommunications—0.3% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 3.239%, 3/15/27 | 75 | 69 | |
Consolidated Communications, Inc. 2016 (1 month LIBOR + 3.000%) 4.000%, 10/5/23 | 85 | 74 | |
Zayo Group Holdings, Inc. (1 month LIBOR + 3.000%) 3.989%, 3/9/27 | 155 | 146 | |
289 | |||
Media / Telecom - Wireless Communications—0.2% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 4.239%, 4/4/26 | 55 | 51 | |
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 2.740%, 4/11/25 | 207 | 196 | |
247 | |||
Service—0.5% | |||
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 4.000%) 4.959%, 2/6/26 | 170 | 152 | |
Pug LLC Tranche B (1 month LIBOR + 3.500%) 4.489%, 2/12/27 | 119 | 102 | |
Sedgwick Claims Management Services, Inc. (1 month LIBOR + 3.250%) 4.239%, 12/31/25 | 218 | 192 | |
TKC Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 4.750%, 2/1/23 | 111 | 88 | |
534 | |||
Par Value | Value | ||
Transportation - Automotive—0.3% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.989%, 11/2/23(4) | $129 | $83 | |
Navistar, Inc. Tranche B (1 month LIBOR + 3.500%) 4.280%, 11/6/24 | 93 | 80 | |
Panther BF Aggregator 2 LP First Lien (1 month LIBOR + 3.500%) 4.441%, 4/30/26 | 139 | 127 | |
290 | |||
Utility—0.5% | |||
APLP Holdings LP 2020, Tranche B (3 month LIBOR + 2.500%) 0.000%, 4/14/25(8) | 124 | 120 | |
Brookfield WEC Holdings, Inc. (1 month LIBOR + 3.000%) 3.989%, 8/1/25 | 213 | 200 | |
Calpine Corp. 2019 (1 month LIBOR + 2.250%) 3.240%, 4/5/26 | 149 | 141 | |
Pacific Gas and Electric Co. (3 month LIBOR + 2.250%) 3.120%, 12/31/20 | 75 | 72 | |
533 | |||
Total Leveraged Loans (Identified Cost $5,343) | 4,835 | ||
Shares | ||
Preferred Stocks—0.8% | ||
Financials—0.6% | ||
JPMorgan Chase & Co. Series HH, 4.600% | 86(9) | 75 |
KeyCorp Series D, 5.000%(10) | 140(9) | 122 |
M&T Bank Corp. Series F, 5.125%(10) | 126(9) | 121 |
MetLife, Inc. Series D, 5.875% | 88(9) | 84 |
PNC Financial Services Group, Inc. (The) Series R, 4.850% | 80(9) | 68 |
PNC Financial Services Group, Inc. (The) Series S, 5.000% | 220(9) | 208 |
678 | ||
Shares | Value | ||
Industrials—0.2% | |||
General Electric Co. Series D, 5.000% | 231(9) | $190 | |
Total Preferred Stocks (Identified Cost $944) | 868 | ||
Exchange-Traded Funds(11)—0.4% | |||
Invesco Senior Loan ETF | 8,583 | 176 | |
iShares iBoxx High Yield Corporate Bond ETF | 3,335 | 257 | |
Total Exchange-Traded Funds (Identified Cost $449) | 433 | ||
Total Long-Term Investments—94.8% (Identified Cost $98,192) | 96,967 | ||
Short-Term Investment—3.7% | |||
Money Market Mutual Fund—3.7% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.290%)(11) | 3,786,163 | 3,786 | |
Total Short-Term Investment (Identified Cost $3,786) | 3,786 | ||
TOTAL INVESTMENTS—98.5% (Identified Cost $101,978) | $100,753 | ||
Other assets and liabilities, net—1.5% | 1,484 | ||
NET ASSETS—100.0% | $102,237 |
Abbreviations: | |
BAM | Build America Municipal Insured |
DB | Deutsche Bank AG |
ETF | Exchange-Traded Fund |
GS | Goldman Sachs & Co. |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
MASTR | Morgan Stanley Structured Asset Security |
Footnote Legend: | |
(1) | Amount is less than $500. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2020, these securities amounted to a value of $38,965 or 38.1% of net assets. |
Table of Contents
(3) | Variable rate security. Rate disclosed is as of March 31, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(4) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(5) | Regulation S security. Security is offered and sold outside of the United States. Therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(6) | Interest payments may be deferred. |
(7) | No contractual maturity date. |
(8) | This loan will settle after March 31, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(9) | Value shown as par value. |
(10) | Interest may be forfeited. |
(11) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 93% |
Canada | 2 |
Cayman Islands | 1 |
Netherlands | 1 |
Luxembourg | 1 |
Switzerland | 1 |
Ireland | 1 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Table of Contents
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $9,918 | $— | $9,715 | $203 | |||
Corporate Bonds and Notes | 35,011 | — | 35,011 | — | |||
Foreign Government Security | 177 | — | 177 | — | |||
Leveraged Loans | 4,835 | — | 4,752 | 83 | |||
Mortgage-Backed Securities | 26,223 | — | 25,915 | 308 | |||
Municipal Bonds | 2,258 | — | 2,258 | — | |||
U.S. Government Securities | 17,244 | — | 17,244 | — | |||
Equity Securities: | |||||||
Exchange-Traded Funds | 433 | 433 | — | — | |||
Preferred Stocks | 868 | — | 868 | — | |||
Money Market Mutual Fund | 3,786 | 3,786 | — | — | |||
Total Investments | $100,753 | $4,219 | $95,940 | $594 |
Total | Asset-Backed Securities | Mortgage-Backed Securities | Leveraged Loans | ||||
Investments in Securities | |||||||
Balance as of September 30, 2019: | $547 | $— | $547 | $— | |||
Accrued discount/(premium) | —(a) | —(a) | —(a) | — | |||
Realized gain (loss) | —(a) | — | — | —(a) | |||
Change in unrealized appreciation (depreciation)(b) | (112) | (39) | (32) | (41) | |||
Purchases | 606 | 242 | 240 | 124 | |||
Sales(c) | (43) | — | (43) | —(a) | |||
Transfers from Level 3(d) | (404) | — | (404) | — | |||
Balance as of March 31, 2020 | $594 | $203 | $308 | $83 |
Table of Contents
Par Value | Value | ||
Mortgage-Backed Security—0.3% | |||
Non-Agency—0.3% | |||
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(1)(2) | $180 | $158 | |
Total Mortgage-Backed Security (Identified Cost $180) | 158 | ||
Asset-Backed Security—0.6% | |||
Other—0.6% | |||
Oasis LLC 2020-1A, A 144A 3.820%, 1/15/32(1) | 282 | 280 | |
Total Asset-Backed Security (Identified Cost $281) | 280 | ||
Corporate Bonds and Notes—84.6% | |||
Communication Services—17.2% | |||
Altice Financing S.A. 144A 5.000%, 1/15/28(1) | 200 | 177 | |
Altice France Holding S.A. 144A 6.000%, 2/15/28(1) | 400 | 352 | |
Altice France S.A. 144A 7.375%, 5/1/26(1) | 340 | 343 | |
CCO Holdings LLC | |||
144A 5.125%, 5/1/27(1) | 350 | 352 | |
144A 4.750%, 3/1/30(1) | 325 | 324 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(1) | 265 | 267 | |
Clear Channel Worldwide Holdings, Inc. | |||
144A 9.250%, 2/15/24(1) | 163 | 140 | |
144A 5.125%, 8/15/27(1) | 100 | 94 | |
Consolidated Communications, Inc. 6.500%, 10/1/22 | 515 | 451 | |
CSC Holdings LLC | |||
144A 5.500%, 4/15/27(1) | 135 | 140 | |
144A 7.500%, 4/1/28(1) | 200 | 213 | |
144A 5.750%, 1/15/30(1) | 600 | 605 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(1) | 105 | 85 | |
144A 6.625%, 8/15/27(1) | 280 | 187 | |
DISH DBS Corp. | |||
5.875%, 7/15/22 | 95 | 93 | |
5.000%, 3/15/23 | 210 | 202 | |
7.750%, 7/1/26 | 160 | 164 | |
Front Range BidCo, Inc. 144A 4.000%, 3/1/27(1) | 15 | 14 | |
Frontier Communications Corp. | |||
8.500%, 4/15/20 | 396 | 105 | |
11.000%, 9/15/25(3) | 175 | 46 | |
144A 8.500%, 4/1/26(1) | 100 | 91 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 272 | 231 |
Par Value | Value | ||
Communication Services—continued | |||
LCPR Senior Secured Financing DAC 144A 6.750%, 10/15/27(1) | $300 | $296 | |
Level 3 Financing, Inc. | |||
5.375%, 1/15/24 | 245 | 245 | |
5.250%, 3/15/26 | 135 | 135 | |
Live Nation Entertainment, Inc. | |||
144A 5.625%, 3/15/26(1) | 290 | 258 | |
144A 4.750%, 10/15/27(1) | 105 | 94 | |
McGraw-Hill Global Education Holdings LLC Senior Unsecured Notes 144A 7.875%, 5/15/24(1) | 210 | 156 | |
Meredith Corp. 6.875%, 2/1/26 | 330 | 284 | |
Sirius XM Radio, Inc. | |||
144A 4.625%, 7/15/24(1) | 55 | 56 | |
144A 5.500%, 7/1/29(1) | 305 | 311 | |
Sprint Corp. 7.875%, 9/15/23 | 770 | 849 | |
Telesat Canada | |||
144A 4.875%, 6/1/27(1) | 130 | 124 | |
144A 6.500%, 10/15/27(1) | 375 | 360 | |
T-Mobile USA, Inc. 0.000%, 1/15/24(4) | 275 | — | |
Twitter, Inc. 144A 3.875%, 12/15/27(1) | 300 | 289 | |
Univision Communications, Inc. 144A 5.125%, 2/15/25(1) | 325 | 277 | |
Virgin Media Secured Finance plc 144A 5.500%, 5/15/29(1) | 300 | 300 | |
8,710 | |||
Consumer Discretionary—11.3% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 410 | 316 | |
Caesars Resort Collection LLC 144A 5.250%, 10/15/25(1) | 165 | 119 | |
Dana, Inc. 5.375%, 11/15/27 | 280 | 227 | |
Diamond Resorts International, Inc. 144A 10.750%, 9/1/24(1) | 250 | 153 | |
Downstream Development Authority of the Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23(1) | 115 | 92 | |
Eldorado Resorts, Inc. 6.000%, 9/15/26 | 180 | 162 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(1) | 315 | 274 | |
Golden Nugget, Inc. | |||
144A 6.750%, 10/15/24(1) | 290 | 183 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
144A 8.750%, 10/1/25(1) | $145 | $75 | |
International Game Technology plc | |||
144A 6.250%, 2/15/22(1) | 200 | 184 | |
144A 6.250%, 1/15/27(1) | 200 | 174 | |
Lennar Corp. 5.250%, 6/1/26 | 265 | 264 | |
Lithia Motors, Inc. 144A 4.625%, 12/15/27(1) | 300 | 270 | |
M/I Homes, Inc. 144A 4.950%, 2/1/28(1) | 590 | 501 | |
MGM Growth Properties Operating Partnership LP | |||
5.625%, 5/1/24 | 65 | 62 | |
5.750%, 2/1/27 | 155 | 135 | |
4.500%, 1/15/28 | 120 | 102 | |
MGM Resorts International 5.500%, 4/15/27 | 196 | 178 | |
Michaels Stores, Inc. 144A 8.000%, 7/15/27(1) | 95 | 70 | |
Neiman Marcus Group Ltd. LLC 144A 8.000%, 10/25/24(1) | 332 | 33 | |
Panther BF Aggregator 2 LP 144A 8.500%, 5/15/27(1) | 255 | 222 | |
PulteGroup, Inc. 7.875%, 6/15/32 | 180 | 198 | |
QVC, Inc. 4.750%, 2/15/27 | 315 | 279 | |
Scientific Games International, Inc. | |||
144A 5.000%, 10/15/25(1) | 250 | 218 | |
144A 8.250%, 3/15/26(1) | 120 | 77 | |
144A 7.000%, 5/15/28(1) | 160 | 98 | |
Station Casinos LLC 144A 4.500%, 2/15/28(1) | 335 | 271 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 345 | 320 | |
Vista Outdoor, Inc. 5.875%, 10/1/23 | 185 | 153 | |
Weekley Homes LLC 6.625%, 8/15/25 | 305 | 275 | |
5,685 | |||
Consumer Staples—4.1% | |||
Albertsons Cos., Inc. 144A 4.625%, 1/15/27(1) | 585 | 582 | |
Chobani LLC 144A 7.500%, 4/15/25(1) | 315 | 287 | |
Dole Food Co., Inc. 144A 7.250%, 6/15/25(1) | 325 | 257 | |
H-Food Holdings LLC 144A 8.500%, 6/1/26(1) | 270 | 213 | |
Kronos Acquisition Holdings, Inc. 144A 9.000%, 8/15/23(1) | 195 | 160 | |
Post Holdings, Inc. 144A 5.000%, 8/15/26(1) | 305 | 314 |
Table of Contents
Par Value | Value | ||
Consumer Staples—continued | |||
Prestige Brands, Inc. 144A 6.375%, 3/1/24(1) | $255 | $261 | |
2,074 | |||
Energy—5.7% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(1) | 285 | 171 | |
American Midstream Partners LP 144A 9.500%, 12/15/21(1) | 175 | 165 | |
Blue Racer Midstream LLC 144A 6.125%, 11/15/22(1) | 165 | 124 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 141 | 25 | |
Cheniere Energy Partners LP | |||
5.625%, 10/1/26 | 160 | 149 | |
144A 4.500%, 10/1/29(1) | 440 | 392 | |
CITGO Holding, Inc. 144A 9.250%, 8/1/24(1) | 285 | 232 | |
CrownRock LP 144A 5.625%, 10/15/25(1) | 260 | 135 | |
CSI Compressco LP 7.250%, 8/15/22 | 205 | 113 | |
Denbury Resources, Inc. 144A 9.250%, 3/31/22(1) | 178 | 43 | |
Geopark Ltd. 144A 6.500%, 9/21/24(1) | 215 | 122 | |
MEG Energy Corp. 144A 7.125%, 2/1/27(1) | 300 | 149 | |
Nabors Industries, Inc. 5.750%, 2/1/25 | 210 | 46 | |
Parsley Energy LLC 144A 4.125%, 2/15/28(1) | 315 | 214 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 300 | 112 | |
Sanchez Energy Corp. 144A 7.250%, 2/15/23(1)(4)(5) | 115 | 17 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 285 | 237 | |
Transocean, Inc. | |||
6.800%, 3/15/38 | 300 | 69 | |
144A 8.000%, 2/1/27(1) | 70 | 33 | |
USA Compression Partners LP | |||
6.875%, 4/1/26 | 230 | 144 | |
6.875%, 9/1/27 | 200 | 124 | |
Vine Oil & Gas LP 144A 8.750%, 4/15/23(1) | 205 | 45 | |
2,861 | |||
Financials—6.6% | |||
Acrisure LLC | |||
144A 8.125%, 2/15/24(1) | 95 | 93 | |
144A 7.000%, 11/15/25(1) | 240 | 206 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 305 | 294 | |
ICAHN Enterprises LP | |||
6.375%, 12/15/25 | 145 | 137 |
Par Value | Value | ||
Financials—continued | |||
6.250%, 5/15/26 | $220 | $208 | |
5.250%, 5/15/27 | 265 | 245 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 305 | 241 | |
MSCI, Inc. | |||
144A 4.000%, 11/15/29(1) | 314 | 312 | |
144A 3.625%, 9/1/30(1) | 35 | 33 | |
Navient Corp. | |||
5.875%, 10/25/24 | 305 | 280 | |
5.000%, 3/15/27 | 125 | 108 | |
Springleaf Finance Corp. | |||
6.875%, 3/15/25 | 370 | 373 | |
7.125%, 3/15/26 | 85 | 83 | |
5.375%, 11/15/29 | 45 | 41 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 310 | 288 | |
Voya Financial, Inc. 5.650%, 5/15/53 | 440 | 403 | |
3,345 | |||
Health Care—11.1% | |||
Advanz Pharma Corp., Ltd. 8.000%, 9/6/24 | 41 | 36 | |
Avantor, Inc. | |||
144A 6.000%, 10/1/24(1) | 130 | 136 | |
144A 9.000%, 10/1/25(1) | 380 | 400 | |
Bausch Health Americas, Inc. | |||
144A 9.250%, 4/1/26(1) | 135 | 141 | |
144A 8.500%, 1/31/27(1) | 270 | 282 | |
Bausch Health Cos., Inc. 144A 7.000%, 1/15/28(1) | 190 | 197 | |
Catalent Pharma Solutions, Inc. 144A 5.000%, 7/15/27(1) | 75 | 73 | |
Charles River Laboratories International, Inc. | |||
144A 5.500%, 4/1/26(1) | 195 | 199 | |
144A 4.250%, 5/1/28(1) | 150 | 145 | |
Community Health Systems, Inc. 144A 6.625%, 2/15/25(1) | 280 | 259 | |
Endo Finance LLC 144A 5.375%, 1/15/23(1) | 250 | 175 | |
HCA, Inc. | |||
5.375%, 2/1/25 | 330 | 336 | |
5.625%, 9/1/28 | 315 | 330 | |
5.875%, 2/1/29 | 35 | 37 | |
LifePoint Health, Inc. 144A 4.375%, 2/15/27(1) | 290 | 273 | |
Ortho-Clinical Diagnostics, Inc. | |||
144A 6.625%, 5/15/22(1) | 63 | 59 | |
144A 7.250%, 2/1/28(1) | 135 | 116 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(1) | 115 | 114 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1) | 440 | 440 |
Par Value | Value | ||
Health Care—continued | |||
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(1) | $180 | $130 | |
144A 10.000%, 4/15/27(1) | 130 | 91 | |
Tenet Healthcare Corp. | |||
8.125%, 4/1/22 | 85 | 80 | |
7.000%, 8/1/25 | 180 | 156 | |
144A 4.875%, 1/1/26(1) | 180 | 171 | |
144A 6.250%, 2/1/27(1) | 130 | 127 | |
144A 5.125%, 11/1/27(1) | 60 | 57 | |
Teva Pharmaceutical Finance Netherlands III BV | |||
3.150%, 10/1/26 | 405 | 341 | |
144A 7.125%, 1/31/25(1) | 295 | 292 | |
West Street Merger Sub, Inc. 144A 6.375%, 9/1/25(1) | 470 | 410 | |
5,603 | |||
Industrials—8.7% | |||
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(1) | 380 | 372 | |
ASGN, Inc. 144A 4.625%, 5/15/28(1) | 300 | 281 | |
Beacon Roofing Supply, Inc. 144A 4.500%, 11/15/26(1) | 295 | 272 | |
Bombardier, Inc. | |||
144A 8.750%, 12/1/21(1) | 155 | 129 | |
144A 7.500%, 12/1/24(1) | 155 | 103 | |
144A 7.875%, 4/15/27(1) | 70 | 48 | |
Fortress Transportation & Infrastructure Investors LLC | |||
144A 6.750%, 3/15/22(1) | 175 | 162 | |
144A 6.500%, 10/1/25(1) | 220 | 161 | |
Garda World Security Corp. 144A 4.625%, 2/15/27(1) | 290 | 260 | |
GFL Environmental, Inc. | |||
144A 7.000%, 6/1/26(1) | 99 | 96 | |
144A 8.500%, 5/1/27(1) | 72 | 72 | |
Hillman Group, Inc. (The) 144A 6.375%, 7/15/22(1) | 315 | 245 | |
Norwegian Air Shuttle ASA Pass-Through-Trust 2016-1, A 144A 4.875%, 5/10/28(1) | 596 | 431 | |
Signature Aviation US Holdings, Inc. 144A 4.000%, 3/1/28(1) | 595 | 537 | |
SRS Distribution, Inc. 144A 8.250%, 7/1/26(1) | 290 | 261 | |
Titan Acquisition Ltd. 144A 7.750%, 4/15/26(1) | 210 | 175 | |
TransDigm, Inc. | |||
144A 6.250%, 3/15/26(1) | 415 | 413 |
Table of Contents
Par Value | Value | ||
Industrials—continued | |||
144A 5.500%, 11/15/27(1) | $450 | $404 | |
4,422 | |||
Information Technology—3.3% | |||
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(1) | 170 | 150 | |
Dun & Bradstreet Corp. (The) 144A 10.250%, 2/15/27(1) | 140 | 148 | |
Exela Intermediate LLC 144A 10.000%, 7/15/23(1) | 110 | 29 | |
Infor US, Inc. 6.500%, 5/15/22 | 200 | 195 | |
Open Text Holdings, Inc. 144A 4.125%, 2/15/30(1) | 305 | 287 | |
Radiate Holdco LLC 144A 6.625%, 2/15/25(1) | 240 | 204 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(1) | 50 | 48 | |
SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1) | 300 | 309 | |
ViaSat, Inc. 144A 5.625%, 9/15/25(1) | 305 | 285 | |
1,655 | |||
Materials—11.7% | |||
ARD Finance S.A. PIK Interest Capitalization, 144A 6.500%, 6/30/27(1)(6) | 595 | 511 | |
Atotech Alpha 3 B.V. 144A 6.250%, 2/1/25(1) | 280 | 258 | |
Calumet Specialty Products Partners LP 7.625%, 1/15/22 | 160 | 124 | |
Cascades, Inc. 144A 5.750%, 7/15/23(1) | 115 | 111 | |
Cleveland-Cliffs, Inc. | |||
144A 6.750%, 3/15/26(1) | 55 | 49 | |
144A 7.000%, 3/15/27(1) | 170 | 104 | |
CPG Merger Sub LLC 144A 8.000%, 10/1/21(1) | 320 | 310 | |
Greif, Inc. 144A 6.500%, 3/1/27(1) | 195 | 187 | |
Hecla Mining Co. 7.250%, 2/15/28 | 305 | 268 | |
INEOS Group Holdings S.A. 144A 5.625%, 8/1/24(1) | 315 | 287 | |
Kaiser Aluminum Corp. 144A 4.625%, 3/1/28(1) | 305 | 271 | |
Kraton Polymers LLC 144A 7.000%, 4/15/25(1) | 512 | 453 | |
LSB Industries, Inc. 144A 9.625%, 5/1/23(1) | 260 | 216 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(1) | 460 | 348 |
Par Value | Value | ||
Materials—continued | |||
Novelis Corp. 144A 4.750%, 1/30/30(1) | $300 | $267 | |
Olin Corp. 5.625%, 8/1/29 | 320 | 294 | |
Reynolds Group Issuer, Inc. | |||
144A 7.000%, 7/15/24(1) | 165 | 168 | |
RegS 7.000%, 7/15/24(7) | 125 | 127 | |
Schweitzer-Mauduit International, Inc. 144A 6.875%, 10/1/26(1) | 250 | 249 | |
Scotts Miracle-Gro Co. (The) 4.500%, 10/15/29 | 355 | 338 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 265 | 244 | |
TPC Group, Inc. 144A 10.500%, 8/1/24(1) | 270 | 221 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(1) | 150 | 124 | |
144A 6.625%, 11/1/25(1) | 265 | 213 | |
United States Steel Corp. 6.250%, 3/15/26 | 235 | 153 | |
5,895 | |||
Real Estate—2.3% | |||
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(1) | 640 | 499 | |
Iron Mountain, Inc. 144A 4.875%, 9/15/29(1) | 315 | 296 | |
iStar, Inc. 4.250%, 8/1/25 | 290 | 239 | |
Uniti Group, Inc. 144A 7.125%, 12/15/24(1) | 185 | 137 | |
1,171 | |||
Utilities—2.6% | |||
DPL, Inc. 144A 4.350%, 4/15/29(1) | 475 | 452 | |
Ferrellgas Partners LP 8.625%, 6/15/20(3) | 140 | 35 | |
Suburban Propane Partners LP 5.500%, 6/1/24 | 145 | 136 | |
Talen Energy Supply LLC | |||
144A 7.250%, 5/15/27(1) | 105 | 95 | |
144A 6.625%, 1/15/28(1) | 205 | 172 | |
TerraForm Power Operating LLC | |||
144A 4.250%, 1/31/23(1) | 175 | 174 | |
144A 5.000%, 1/31/28(1) | 240 | 251 | |
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20(1)(4) | 500 | 1 | |
1,316 | |||
Total Corporate Bonds and Notes (Identified Cost $49,814) | 42,737 | ||
Par Value | Value | ||
Leveraged Loans(2)—6.2% | |||
Aerospace—0.2% | |||
DynCorp International, Inc. Tranche B, First Lien (1 month LIBOR + 6.000%) 6.612%, 8/18/25 | $93 | $76 | |
Consumer Non-Durables—0.9% | |||
American Greetings Corp. (1 month LIBOR + 4.500%) 5.500%, 4/6/24 | 91 | 72 | |
Diamond (BC) B.V. (3 month LIBOR + 3.000%) 4.777%, 9/6/24 | 186 | 138 | |
Kronos Acquisition Holdings, Inc. Tranche B-3 (1 month LIBOR + 4.000%) 5.000%, 5/15/23 | 128 | 113 | |
Parfums Holding Co., Inc. First Lien (3 month LIBOR + 4.250%) 5.863%, 6/30/24 | 173 | 134 | |
457 | |||
Energy—0.4% | |||
California Resources Corp. | |||
2016 (3 month LIBOR + 10.375%) 11.988%, 12/31/21 | 155 | 7 | |
2017 (3 month LIBOR + 4.750%) 6.363%, 12/31/22(4) | 55 | 12 | |
CITGO Petroleum Corp. 2019, Tranche B (1 month LIBOR + 5.000%) 6.000%, 3/27/24 | 94 | 82 | |
Fieldwood Energy LLC First Lien (3 month LIBOR + 5.250%) 7.027%, 4/11/22 | 245 | 77 | |
McDermott Technology (Americas), Inc. (3 month LIBOR + 9.000%) 10.720%, 2/10/25 | 22 | 20 | |
198 | |||
Financial—0.2% | |||
Asurion LLC Tranche B-2, Second Lien (1 month LIBOR + 6.500%) 7.489%, 8/4/25 | 128 | 117 | |
Food / Tobacco—0.2% | |||
Milk Specialties Co. (1 month LIBOR + 4.000%) 5.000%, 8/16/23(4) | 143 | 97 |
Table of Contents
Par Value | Value | ||
Food and Drug—0.1% | |||
Sage Borrowco LLC Tranche B, First Lien (1 month LIBOR + 4.750%) 5.739%, 6/20/26 | $65 | $59 | |
Forest Prod / Containers—0.3% | |||
Klockner Pentaplast of America, Inc. (1 month LIBOR + 4.250%) 5.250%, 6/30/22 | 203 | 140 | |
Healthcare—1.6% | |||
21st Century Oncology, Inc. Tranche B (1 month LIBOR + 6.125%) 7.125%, 1/16/23 | 153 | 146 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 4.739%, 10/10/25 | 135 | 68 | |
One Call Corp. First Lien (3 month LIBOR + 5.250%) 6.954%, 11/27/22 | 496 | 397 | |
Ortho-Clinical Diagnostics, Inc. (1 month LIBOR + 3.250%) 4.765%, 6/30/25 | 88 | 74 | |
Viant Medical Holdings, Inc. First Lien (3 month LIBOR + 3.750%) 5.200%, 7/2/25 | 159 | 137 | |
822 | |||
Information Technology—0.2% | |||
Kronos, Inc. Second Lien (3 month LIBOR + 8.250%) 10.013%, 11/1/24 | 78 | 71 | |
Manufacturing—0.4% | |||
U.S. Farathane LLC Tranche B-4 (3 month LIBOR + 3.500%) 4.950%, 12/23/21 | 311 | 192 | |
Media / Telecom - Cable/Wireless Video—0.3% | |||
Intelsat Jackson Holdings S.A. Tranche B-5 (3 month LIBOR + 0.000%) 6.625%, 1/2/24 | 186 | 172 | |
Media / Telecom - Telecommunications—0.1% | |||
Securus Technologies Holdings, Inc. Second Lien (1 month LIBOR + 8.250%) 9.250%, 11/1/25 | 100 | 47 |
Par Value | Value | ||
Service—0.6% | |||
Carlisle Food Service Products, Inc. First Lien (1 month LIBOR + 3.000%) 4.000%, 3/20/25 | $80 | $63 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 4.000%) 4.959%, 2/6/26 | 150 | 135 | |
TKC Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 4.750%, 2/1/23 | 153 | 122 | |
320 | |||
Transportation - Automotive—0.7% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.989%, 11/2/23(4) | 258 | 167 | |
Panther BF Aggregator 2 LP First Lien (1 month LIBOR + 3.500%) 4.441%, 4/30/26 | 194 | 177 | |
344 | |||
Total Leveraged Loans (Identified Cost $4,207) | 3,112 | ||
Shares | ||
Preferred Stocks—1.3% | ||
Financials—1.3% | ||
Citigroup, Inc. Series T, 6.250%(8) | 190(9) | 196 |
JPMorgan Chase & Co. Series HH, 4.600% | 259(9) | 227 |
KeyCorp Series D, 5.000%(8) | 250(9) | 217 |
640 | ||
Total Preferred Stocks (Identified Cost $700) | 640 | |
Common Stocks—0.0% | ||
Communication Services—0.0% | ||
Clear Channel Outdoor Holdings, Inc.(10) | 7,282 | 4 |
Energy—0.0% | ||
Frontera Energy Corp. | 1,088 | 3 |
Total Common Stocks (Identified Cost $53) | 7 | |
Shares | Value | ||
Exchange-Traded Fund—0.5% | |||
iShares iBoxx High Yield Corporate Bond ETF(11) | 3,218 | $248 | |
Total Exchange-Traded Fund (Identified Cost $249) | 248 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(4)(10) | 8,563 | 9 | |
Total Rights (Identified Cost $7) | 9 | ||
Warrant—0.0% | |||
Communication Services—0.0% | |||
iHeartMedia, Inc. | 3,097 | 20 | |
Total Warrant (Identified Cost $54) | 20 | ||
Total Long-Term Investments—93.5% (Identified Cost $55,545) | 47,211 | ||
Short-Term Investment—1.9% | |||
Money Market Mutual Fund—1.9% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.290%)(11) | 979,695 | 980 | |
Total Short-Term Investment (Identified Cost $980) | 980 | ||
TOTAL INVESTMENTS—95.4% (Identified Cost $56,525) | $48,191 | ||
Other assets and liabilities, net—4.6% | 2,311 | ||
NET ASSETS—100.0% | $50,502 |
Abbreviations: | |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
Table of Contents
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2020, these securities amounted to a value of $31,045 or 61.5% of net assets. |
(2) | Variable rate security. Rate disclosed is as of March 31, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(3) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(4) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(5) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(6) | First pay date will be in June 2020. |
(7) | Regulation S security. Security is offered and sold outside of the United States. Therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(8) | Interest may be forfeited. |
(9) | Value shown as par value. |
(10) | Non-income producing. |
(11) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 85% |
Canada | 5 |
Luxembourg | 3 |
Netherlands | 2 |
United Kingdom | 2 |
Norway | 1 |
France | 1 |
Other | 1 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Table of Contents
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Security | $280 | $— | $280 | $— | |||
Corporate Bonds and Notes | 42,737 | — | 42,719 | 18(1) | |||
Leveraged Loans | 3,112 | — | 2,836 | 276 | |||
Mortgage-Backed Security | 158 | — | 158 | — | |||
Equity Securities: | |||||||
Exchange-Traded Fund | 248 | 248 | — | — | |||
Common Stocks | 7 | 7 | — | — | |||
Preferred Stocks | 640 | — | 640 | — | |||
Rights | 9 | — | — | 9 | |||
Warrant | 20 | — | 20 | — | |||
Money Market Mutual Fund | 980 | 980 | — | — | |||
Total Investments | $48,191 | $1,235 | $46,653 | $303 |
(1) | Includes internally fair valued security. |
Total | Corporate Bonds And Notes | Mortgage-Backed Security | Common Stocks | Rights | Warrant | Leveraged Loans | |||||||
Investments in Securities | |||||||||||||
Balance as of September 30, 2019: | $247 | $1 | $182 | $8 | $7 | $49 | $— | ||||||
Accrued discount/(premium) | — | — | —(a) | — | — | — | — | ||||||
Realized gain (loss) | 6 | — | — | 1 | — | 5 | —(a) | ||||||
Change in unrealized appreciation (depreciation)(b) | (130) | — | (25) | —(a) | 2 | (25) | (82) | ||||||
Purchases | 250 | — | — | — | — | — | 250 | ||||||
Sales | (19) | — | — | (9) | — | (9) | (1) | ||||||
Transfers into Level 3(c) | 126 | 17 | — | — | — | — | 109 | ||||||
Transfers from Level 3(c) | (177) | — | (157) | — | — | (20) | — | ||||||
Balance as of March 31, 2020 | $303 | $18(d) | $— | — | $9 | $— | $276 |
Table of Contents
Par Value | Value | ||
U.S. Government Securities—3.4% | |||
U.S. Treasury Notes | |||
2.250%, 3/31/21 | $2,420 | $2,470 | |
1.750%, 6/15/22 | 10,940 | 11,307 | |
1.250%, 8/31/24 | 1,105 | 1,149 | |
Total U.S. Government Securities (Identified Cost $14,501) | 14,926 | ||
Foreign Government Securities—0.6% | |||
Republic of Indonesia 144A 5.875%, 1/15/24(1) | 755 | 819 | |
Republic of Kazakhstan 144A 5.125%, 7/21/25(1) | 570 | 613 | |
Republic of South Africa | |||
4.665%, 1/17/24 | 100 | 94 | |
5.875%, 9/16/25 | 575 | 552 | |
Republic of Turkey 7.375%, 2/5/25 | 790 | 775 | |
Total Foreign Government Securities (Identified Cost $2,992) | 2,853 | ||
Mortgage-Backed Securities—32.0% | |||
Agency—0.8% | |||
Federal National Mortgage Association | |||
Pool #AD6058 4.000%, 8/1/25 | 30 | 32 | |
Pool #AO5149 3.000%, 6/1/27 | 96 | 101 | |
Pool #AL7532 3.000%, 11/1/27 | 429 | 450 | |
Pool #AS5730 3.000%, 9/1/30 | 892 | 936 | |
Pool #AS5927 3.000%, 10/1/30 | 404 | 424 | |
Pool #MA0908 4.000%, 11/1/31 | 220 | 240 | |
Pool #AC3654 5.000%, 10/1/39 | 147 | 164 | |
Pool #AD3841 4.500%, 4/1/40 | 60 | 66 | |
Pool #MA3663 3.500%, 5/1/49 | 1,277 | 1,348 | |
Federal National Mortgage Association REMIC 1997-70, PE (P.O.) 0.000%, 4/25/22 | 1 | 1 | |
Government National Mortgage Association | |||
Pool #345039 7.000%, 9/15/23 | 3 | 3 |
Par Value | Value | ||
Agency—continued | |||
Pool #780023 7.000%, 9/15/24 | $2 | $2 | |
3,767 | |||
Non-Agency—31.2% | |||
Ajax Mortgage Loan Trust | |||
2017-B, A 144A 3.163%, 9/25/56(1)(2) | 780 | 791 | |
2019-D, A1 144A 2.956%, 9/25/65(1)(2) | 1,002 | 979 | |
2018-C, A 144A 4.360%, 9/25/65(1)(2) | 766 | 754 | |
American Homes 4 Rent Trust 2015-SFR1, A 144A 3.467%, 4/17/52(1) | 182 | 177 | |
AMSR Trust 2020-SFR1, A 144A 1.819%, 4/17/37(1) | 940 | 872 | |
Angel Oak Mortgage Trust I LLC 2018-3, A1 144A 3.649%, 9/25/48(1)(2) | 1,784 | 1,748 | |
Angel Oak Mortgage Trust LLC | |||
2017-3, A1 144A 2.708%, 11/25/47(1)(2) | 130 | 127 | |
2019-3, A1 144A 2.930%, 5/25/59(1)(2) | 1,653 | 1,590 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(1)(2) | 1,445 | 1,406 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(2) | 1,332 | 1,294 | |
2019-2, A1 144A 3.347%, 4/25/49(1)(2) | 1,370 | 1,301 | |
Ashford Hospitality Trust 2018-KEYS, B (1 month LIBOR + 1.450%) 144A 2.155%, 5/15/35(1)(2) | 1,100 | 865 | |
Aventura Mall Trust | |||
2013-AVM, A 144A 3.743%, 12/5/32(1)(2) | 1,721 | 1,699 | |
2013-AVM, C 144A 3.743%, 12/5/32(1)(2) | 1,130 | 1,116 | |
Banc of America Funding Trust | |||
2004-B, 2A1 4.307%, 11/20/34(2) | 19 | 18 | |
2005-1, 1A1 5.500%, 2/25/35 | 94 | 90 | |
2006-2, 3A1 6.000%, 3/25/36 | 19 | 18 | |
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust 2004-24CB, 1A1 6.000%, 11/25/34 | 140 | 144 |
Par Value | Value | ||
Non-Agency—continued | |||
Bank of America (Merrill Lynch) Investors Trust 2004-A4, A1 4.322%, 8/25/34(2) | $264 | $244 | |
Bayview Commercial Asset Trust 2006-2A, A2 (1 month LIBOR + 0.280%) 144A 1.227%, 7/25/36(1)(2) | 201 | 176 | |
Bayview Financial Acquisition Trust 2007-A, 1A2 6.205%, 5/28/37(2) | 5 | 5 | |
Bayview Koitere Fund Trust 2017-RT4, A 144A 3.500%, 7/28/57(1)(2) | 196 | 196 | |
Bayview Opportunity Master Fund IVa Trust 2017-RT1, A1 144A 3.000%, 3/28/57(1)(2) | 479 | 471 | |
Bayview Opportunity Master Fund IVb Trust 2017-SPL4, A 144A 3.500%, 1/28/55(1)(2) | 368 | 365 | |
Bear Stearns ARM Trust 2004-9, 22A1 4.364%, 11/25/34(2) | 282 | 243 | |
BSPRT Issuer Ltd. 2019-FL5, A (1 month LIBOR + 1.150%) 144A 1.855%, 5/15/29(1)(2) | 835 | 753 | |
Bunker Hill Loan Depositary Trust 2019-2, A1 144A 2.879%, 7/25/49(1)(2) | 1,579 | 1,446 | |
BX Commercial Mortgage Trust | |||
2019-XL, C (1 month LIBOR + 1.250%) 144A 1.955%, 10/15/36(1)(2) | 989 | 897 | |
2020-BXLP, D (1 month LIBOR + 1.250%) 144A 1.955%, 12/15/36(1)(2) | 480 | 427 | |
BX Trust 2018-GW, B (1 month LIBOR + 1.020%) 144A 1.725%, 5/15/35(1)(2) | 1,265 | 1,088 | |
BXMT 2020-FL2, A (1 month LIBOR + 0.090%) 144A 1.700%, 2/16/37(1)(2) | 1,235 | 1,101 | |
Centex Home Equity Loan Trust 2004-D, AF5 5.850%, 9/25/34(2) | 115 | 114 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
Citigroup Commercial Mortgage Trust | |||
2013-375P, B 144A 3.518%, 5/10/35(1)(2) | $695 | $685 | |
2019-SST2, A (1 month LIBOR + 0.920%) 144A 1.625%, 12/15/36(1)(2) | 1,200 | 1,151 | |
2015-GC27, A4 2.878%, 2/10/48 | 1,200 | 1,205 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2004-NCM2, 2CB2 6.750%, 8/25/34 | 105 | 106 | |
2014-A, A 144A 4.000%, 1/25/35(1)(2) | 211 | 213 | |
2013-A, A 144A 3.000%, 5/25/42(1)(2) | 463 | 427 | |
2015-PS1, A1 144A 3.750%, 9/25/42(1)(2) | 143 | 143 | |
2019-IMC1, A1 144A 2.720%, 7/25/49(1)(2) | 1,010 | 974 | |
2015-A, A1 144A 3.500%, 6/25/58(1)(2) | 280 | 280 | |
2019-RP1, A1 144A 3.500%, 1/25/66(1)(2) | 1,706 | 1,728 | |
COLT Mortgage Loan Trust Funding LLC | |||
2018-2, A1 144A 3.470%, 7/27/48(1)(2) | 202 | 199 | |
2018-3, A1 144A 3.692%, 10/26/48(1)(2) | 721 | 713 | |
2019-3, A1 144A 2.764%, 8/25/49(1)(2) | 275 | 266 | |
2020-1, A1 144A 2.488%, 2/25/50(1)(2) | 1,427 | 1,380 | |
COMM Mortgage Trust 2020-CBM, B 144A 3.099%, 2/10/37(1) | 1,035 | 908 | |
Commercial Mortgage Lease-Backed Certificates 2001-CMLB, A3 144A 7.471%, 6/20/31(1)(2) | 325 | 327 | |
CoreVest American Finance Trust | |||
2017-1, A 144A 2.968%, 10/15/49(1) | 1,186 | 1,167 | |
2020-1, A1 144A 1.832%, 3/15/50(1) | 1,275 | 1,227 | |
2018-2, A 144A 4.026%, 11/15/52(1) | 1,014 | 1,025 | |
Credit Suisse First Boston Mortgage Securities Corp. | |||
2003-27, 5A3 5.250%, 11/25/33 | 23 | 23 | |
2003-AR30, 5A1 3.958%, 1/25/34(2) | 121 | 124 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 1.685%, 5/15/36(1)(2) | 1,455 | 1,368 |
Par Value | Value | ||
Non-Agency—continued | |||
Credit Suisse Mortgage Capital Trust | |||
2013-HYB1, A16 144A 3.100%, 4/25/43(1)(2) | $251 | $246 | |
2014-IVR2, A2 144A 3.760%, 4/25/44(1)(2) | 493 | 487 | |
2018-RPL8, A1 144A 4.125%, 7/25/58(1)(2) | 558 | 513 | |
Deephaven Residential Mortgage Trust | |||
2017-1A, A1 144A 2.725%, 12/26/46(1)(2) | 82 | 80 | |
2017-1A, A2 144A 2.928%, 12/26/46(1)(2) | 133 | 130 | |
2017-2A, A1 144A 2.453%, 6/25/47(1)(2) | 880 | 854 | |
2017-3A, A3 144A 2.813%, 10/25/47(1)(2) | 156 | 156 | |
2018-2A, A1 144A 3.479%, 4/25/58(1)(2) | 738 | 720 | |
2018-3A, A1 144A 3.789%, 8/25/58(1)(2) | 152 | 149 | |
2019-1A, A1 144A 3.743%, 1/25/59(1)(2) | 638 | 621 | |
Ellington Financial Mortgage Trust | |||
2018-1, A1FX 144A 4.140%, 10/25/58(1)(2) | 1,253 | 1,237 | |
2019-2, A3 144A 3.046%, 11/25/59(1)(2) | 1,085 | 1,043 | |
Exantas Capital Corp. 2020-RSO8, A (1 month LIBOR + 1.150%) 144A 2.850%, 3/15/35(1)(2) | 1,280 | 1,104 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(1)(2) | 494 | 490 | |
2018-1, A23 144A 3.500%, 11/25/57(1)(2) | 365 | 362 | |
2018-2, A41 144A 4.500%, 10/25/58(1)(2) | 389 | 390 | |
2019-H1, A1 144A 2.657%, 10/25/59(1)(2) | 1,150 | 1,138 | |
2020-H1, A1 144A 2.310%, 1/25/60(1)(2) | 1,268 | 1,222 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(1)(2) | 2,346 | 2,402 | |
GS Mortgage Securities Trust 2020-GC45, AS 3.173%, 2/13/53 | 1,225 | 1,153 | |
GSAA Home Equity Trust 2005-1, AF4 5.619%, 11/25/34(2) | 10 | 10 | |
GSR Mortgage Loan Trust 2003-3F, 1A6 6.000%, 4/25/33 | 221 | 227 | |
Hilton USA Trust 2016-SFP, B 144A 3.323%, 11/5/35(1) | 1,070 | 1,019 |
Par Value | Value | ||
Non-Agency—continued | |||
Homeward Opportunities Fund I Trust | |||
2018-1, A1 144A 3.766%, 6/25/48(1)(2) | $1,243 | $1,200 | |
2018-2, A1 144A 3.985%, 11/25/58(1)(2) | 1,637 | 1,594 | |
2019-1, A1 144A 3.454%, 1/25/59(1)(2) | 1,584 | 1,524 | |
2019-3, A1 144A 2.675%, 11/25/59(1)(2) | 2,204 | 2,097 | |
IMC Home Equity Loan Trust 1997-5, A9 7.310%, 11/20/28 | 60 | 58 | |
JP Morgan Chase Mortgage Trust 2005-A5, 1A2 4.019%, 8/25/35(2) | 280 | 251 | |
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust | |||
2003-AR6, A1 4.678%, 6/25/33(2) | 120 | 112 | |
2003-AR4, 2A1 3.618%, 8/25/33(2) | 46 | 42 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
2020-MKST, C (1 month LIBOR + 1.250%) 144A 1.955%, 12/15/36(1)(2) | 690 | 632 | |
2011-C4, A4 144A 4.388%, 7/15/46(1) | 91 | 92 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, AM 144A 3.350%, 6/25/29(1)(2) | 817 | 809 | |
2014-2, 2A2 144A 3.500%, 6/25/29(1)(2) | 578 | 575 | |
2006-A2, 4A1 4.670%, 8/25/34(2) | 53 | 51 | |
2014-1, 2A12 144A 3.500%, 1/25/44(1)(2) | 525 | 520 | |
2015-1, AM1 144A 2.970%, 12/25/44(1)(2) | 191 | 170 | |
2016-SH1, M2 144A 3.750%, 4/25/45(1)(2) | 485 | 478 | |
2015-5, A2 144A 3.053%, 5/25/45(1)(2) | 297 | 296 | |
2016-SH2, M2 144A 3.750%, 12/25/45(1)(2) | 778 | 741 | |
2017-3, 2A2 144A 2.500%, 8/25/47(1)(2) | 761 | 760 | |
2017-5, A1 144A 3.147%, 10/26/48(1)(2) | 1,976 | 1,898 | |
2018-8, A3 144A 4.000%, 1/25/49(1)(2) | 206 | 210 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%) 144A 1.505%, 5/15/36(1)(2) | 1,040 | 947 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(1)(2) | $1,195 | $1,045 | |
MASTR Alternative Loan Trust | |||
2003-8, 2A1 5.750%, 11/25/33 | 63 | 64 | |
2004-4, 6A1 5.500%, 4/25/34 | 90 | 92 | |
2004-7, 9A1 6.000%, 8/25/34 | 70 | 73 | |
2005-2, 2A1 6.000%, 1/25/35 | 289 | 283 | |
MASTR Specialized Loan Trust 2005-3, A2 144A 5.704%, 11/25/35(1)(2) | 97 | 97 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 2.147%, 6/25/52(1)(2)(3) | 1,040 | 1,040 | |
MetLife Securitization Trust 2019-1A, A1A 144A 3.750%, 4/25/58(1)(2) | 1,195 | 1,233 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2013-C13, AS 4.266%, 11/15/46 | 1,515 | 1,552 | |
Morgan Stanley Capital Barclays Bank Trust 2016-MART, A 144A 2.200%, 9/13/31(1) | 1,660 | 1,550 | |
Morgan Stanley Capital I Trust 2017-CLS, A (1 month LIBOR + 0.700%) 144A 1.405%, 11/15/34(1)(2) | 1,080 | 1,022 | |
Morgan Stanley Residential Mortgage Loan Trust 2014-1A, B2 144A 3.017%, 6/25/44(1)(2) | 345 | 334 | |
National City Mortgage Capital Trust 2008-1, 2A1 6.000%, 3/25/38 | 90 | 86 | |
New Residential Mortgage Loan Trust | |||
2016-2A, A1 144A 3.750%, 11/26/35(1)(2) | 1,617 | 1,665 | |
2018-NQM1,A1 144A 3.986%, 11/25/48(1)(2) | 773 | 768 | |
2019-NQM1, A1 144A 3.675%, 1/25/49(1)(2) | 1,633 | 1,611 | |
2014-1A, A 144A 3.750%, 1/25/54(1)(2) | 1,013 | 1,042 | |
2014-2A, A3 144A 3.750%, 5/25/54(1)(2) | 98 | 100 | |
2014-3A, AFX3 144A 3.750%, 11/25/54(1)(2) | 827 | 855 | |
2015-2A, A1 144A 3.750%, 8/25/55(1)(2) | 1,194 | 1,230 |
Par Value | Value | ||
Non-Agency—continued | |||
2016-1A, A1 144A 3.750%, 3/25/56(1)(2) | $683 | $703 | |
2016-3A, A1 144A 3.750%, 9/25/56(1)(2) | 677 | 696 | |
2016-4A, A1 144A 3.750%, 11/25/56(1)(2) | 2,822 | 2,902 | |
2017-2A, A3 144A 4.000%, 3/25/57(1)(2) | 1,250 | 1,298 | |
2018-1A, A1A 144A 4.000%, 12/25/57(1)(2) | 1,734 | 1,792 | |
2019-NQM4, A1 144A 2.492%, 9/25/59(1)(2) | 1,281 | 1,262 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%) 2.672%, 3/25/35(2) | 630 | 621 | |
OBX Trust | |||
2018-EXP2, 1A1 144A 4.000%, 11/25/48(1)(2) | 1,178 | 1,181 | |
2019-INV1, A3 144A 4.500%, 11/25/48(1)(2) | 396 | 398 | |
2018-1, A2 (1 month LIBOR + 0.650%) 144A 1.597%, 6/25/57(1)(2) | 593 | 554 | |
2019-EXP3, 1A8 144A 3.500%, 10/25/59(1)(2) | 963 | 951 | |
Pretium Mortgage Credit Partners I LLC 2019-NPL3, A1 144A 3.105%, 7/27/59(1)(2) | 1,167 | 1,012 | |
Progress Residential Trust | |||
2017-SFR1, B 144A 3.017%, 8/17/34(1) | 690 | 673 | |
2018-SFR2, B 144A 3.841%, 8/17/35(1) | 1,750 | 1,717 | |
2019-SFR3, B 144A 2.571%, 9/17/36(1) | 685 | 619 | |
PRPM LLC | |||
2019-1A, A1 144A 4.500%, 1/25/24(1)(2) | 1,547 | 1,561 | |
2019-2A, A1 144A 3.967%, 4/25/24(1)(2) | 871 | 779 | |
2019-GS1, A1 144A 3.500%, 10/25/24(1)(2)(3) | 665 | 661 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(1)(2) | 1,373 | 1,364 | |
RCO V Mortgage LLC | |||
2019-1, A1 144A 3.721%, 5/24/24(1)(2) | 1,297 | 1,233 | |
2019-2, A1 144A 3.475%, 11/25/24(1)(2) | 983 | 934 | |
Residential Mortgage Loan Trust | |||
2020-1, A1 144A 2.376%, 2/25/24(1)(2) | 955 | 913 | |
2019-1, A1 144A 3.936%, 10/25/58(1)(2) | 802 | 782 | |
2019-2, A1 144A 2.913%, 5/25/59(1)(2) | 479 | 478 |
Par Value | Value | ||
Non-Agency—continued | |||
RMF Proprietary Issuance Trust 2019-1, A 144A 2.750%, 10/25/63(1)(2) | $1,434 | $1,353 | |
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(1)(2) | 2,435 | 2,350 | |
Spruce Hill Mortgage Loan Trust | |||
2019-SH1, A1 144A 3.395%, 4/29/49(1)(2) | 1,477 | 1,387 | |
2020-SH1, A1 144A 2.521%, 1/28/50(1)(2) | 1,133 | 1,051 | |
Starwood Mortgage Residential Trust | |||
2018-IMC1, A1 144A 3.793%, 3/25/48(1)(2) | 1,923 | 1,873 | |
2019-IMC1, A1 144A 3.468%, 2/25/49(1)(2) | 1,468 | 1,461 | |
2020-1, A1 144A 2.275%, 2/25/50(1)(2) | 545 | 523 | |
Starwood Waypoint Homes Trust 2017-1, A (1 month LIBOR + 0.950%) 144A 1.655%, 1/17/35(1)(2) | 630 | 577 | |
Structured Adjustable Rate Mortgage Loan Trust | |||
2004-1, 6A 4.016%, 2/25/34(2) | 342 | 298 | |
2004-14, 7A 3.924%, 10/25/34(2) | 123 | 113 | |
Structured Asset Securities Corp. 2003-37A, 2A 4.085%, 12/25/33(2) | 70 | 60 | |
Structured Asset Securities Corp. Mortgage-Pass-Through Certificates 2003-34A, 6A 4.150%, 11/25/33(2) | 199 | 172 | |
Thornburg Mortgage Securities Trust 2004-2, A1 (1 month LIBOR + 0.620%) 1.567%, 6/25/44(2) | 997 | 875 | |
Towd Point Mortgage Trust | |||
2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 1.847%, 4/25/48(1)(2) | 1,493 | 1,448 | |
2015-3, A1B 144A 3.000%, 3/25/54(1)(2) | 167 | 166 | |
2015-5, A2 144A 3.500%, 5/25/55(1)(2) | 275 | 268 | |
2019-1, A1 144A 3.750%, 3/25/58(1)(2) | 640 | 657 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(1)(2) | 703 | 705 | |
Tricon American Homes Trust 2017-SFR1, A 144A 2.716%, 9/17/34(1) | 774 | 761 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
VCAT LLC 2019-NPL2, A1 144A 3.573%, 11/25/49(1)(2) | $665 | $656 | |
Velocity Commercial Capital Loan Trust 2017-1, AFX 144A 3.000%, 5/25/47(1)(2) | 40 | 39 | |
Vericrest Opportunity Loan Trust | |||
2019-NPL2, A1 144A 3.967%, 2/25/49(1)(2) | 622 | 550 | |
2020-NPL2, A1A 144A 2.981%, 2/25/50(1)(2) | 1,028 | 886 | |
Vericrest Opportunity Loan Trust LXIV LLC 2017-NP11, A1 144A 3.375%, 10/25/47(1)(2) | 648 | 591 | |
Vericrest Opportunity Loan Trust LXXXIII LLC 2019-NPL9, A1A 144A 3.327%, 11/26/49(1)(2) | 800 | 708 | |
Vericrest Opportunity Loan Trust LXXXV LLC 2020-NPL1, A1A 144A 3.228%, 1/25/50(1)(2) | 461 | 406 | |
Verus Securitization Trust | |||
2017-1A, A1 144A 2.853%, 1/25/47(1)(2) | 58 | 57 | |
2017-2A, A1 144A 2.485%, 7/25/47(1)(2) | 346 | 335 | |
2018-1, A1 144A 2.929%, 2/25/48(1)(2) | 1,293 | 1,228 | |
2018-INV1, A3 144A 4.052%, 3/25/58(1)(2) | 369 | 353 | |
2018-2, A1 144A 3.677%, 6/1/58(1)(2) | 1,980 | 1,925 | |
2018-2, B1 144A 4.426%, 6/1/58(1)(2) | 445 | 398 | |
2019-2, A1 144A 3.211%, 5/25/59(1)(2) | 737 | 722 | |
2019-INV2, A1 144A 2.913%, 7/25/59(1)(2) | 689 | 669 | |
2019-INV1, A1 144A 3.402%, 12/25/59(1)(2) | 786 | 753 | |
2020-1, A1 144A 2.417%, 1/25/60(1)(2) | 1,046 | 1,004 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 1,035 | 1,051 | |
Wells Fargo Mortgage Backed Securities Trust | |||
2004-K, 1A2 4.991%, 7/25/34(2) | 95 | 95 | |
2004-U, A1 4.582%, 10/25/34(2) | 32 | 32 | |
138,346 | |||
Total Mortgage-Backed Securities (Identified Cost $147,359) | 142,113 | ||
Par Value | Value | ||
Asset-Backed Securities—34.0% | |||
Auto Floor Plan—0.2% | |||
NextGear Floorplan Master Owner Trust 2017-2A, A2 144A 2.560%, 10/17/22(1) | $920 | $887 | |
Automobiles—19.5% | |||
ACC Trust | |||
2019-1, A 144A 3.750%, 5/20/22(1) | 771 | 770 | |
2019-2, A 144A 2.820%, 2/21/23(1) | 1,101 | 1,098 | |
American Credit Acceptance Receivables Trust | |||
2017-2, C 144A 2.860%, 6/12/23(1) | 15 | 15 | |
2018-3, C 144A 3.750%, 10/15/24(1) | 1,090 | 1,084 | |
2018-4, C 144A 3.970%, 1/13/25(1) | 1,110 | 1,070 | |
2019-1, C 144A 3.500%, 4/14/25(1) | 1,200 | 1,173 | |
2019-2, C 144A 3.170%, 6/12/25(1) | 1,040 | 967 | |
AmeriCredit Automobile Receivables Trust | |||
2015-4, C 2.880%, 7/8/21 | 14 | 14 | |
2017-1, C 2.710%, 8/18/22 | 915 | 909 | |
2018-1, D 3.820%, 3/18/24 | 975 | 945 | |
2019-1, C 3.360%, 2/18/25 | 1,200 | 1,207 | |
Avid Automobile Receivables Trust 2018-1, A 144A 2.840%, 8/15/23(1) | 162 | 161 | |
Avis Budget Rental Car Funding LLC | |||
(AESOP) 2016-1A, A 144A 2.990%, 6/20/22(1) | 800 | 781 | |
(AESOP) 2017-1A, A 144A 3.070%, 9/20/23(1) | 1,110 | 1,042 | |
(AESOP) 2020-1A, A 144A 2.330%, 8/20/26(1) | 1,475 | 1,299 | |
2019-3A, A 144A 2.360%, 3/20/26(1) | 1,270 | 1,112 | |
California Republic Auto Receivables Trust 2016-1, B 3.430%, 2/15/22 | 785 | 785 | |
Capital Auto Receivables Asset Trust 2017-1, C 144A 2.700%, 9/20/22(1) | 920 | 908 | |
CarMax Auto Owner Trust | |||
2016-2, B 2.160%, 12/15/21 | 750 | 747 |
Par Value | Value | ||
Automobiles—continued | |||
2017-1, B 2.540%, 9/15/22 | $900 | $898 | |
2019-1, C 3.740%, 1/15/25 | 1,175 | 1,184 | |
CarNow Auto Receivables Trust 2019-1A, A 144A 2.720%, 11/15/22(1) | 785 | 768 | |
Carvana Auto Receivables Trust | |||
2019-1A, D 144A 3.880%, 10/15/24(1) | 1,195 | 1,163 | |
2019-3A, C 144A 2.710%, 10/15/24(1) | 1,580 | 1,516 | |
2020-N1A, D 144A 3.430%, 1/15/26(1) | 1,270 | 1,233 | |
Centre Point Funding LLC 2012-2A, 1 144A 2.610%, 8/20/21(1) | 91 | 90 | |
CPS Auto Receivables Trust | |||
2017-D, B 144A 2.430%, 1/18/22(1) | 62 | 61 | |
2018-C, D 144A 4.400%, 6/17/24(1) | 905 | 905 | |
2018-D, D 144A 4.340%, 9/16/24(1) | 1,450 | 1,443 | |
2020-A, C 144A 2.540%, 12/15/25(1) | 1,225 | 1,209 | |
Credit Acceptance Auto Loan Trust | |||
2018-1A, A 144A 3.010%, 2/16/27(1) | 1,491 | 1,491 | |
2019-3A, B 144A 2.860%, 1/16/29(1) | 1,180 | 1,135 | |
Drive Auto Receivables Trust | |||
2.900%, 8/15/25 | 1,255 | 1,222 | |
2018-4, D 4.090%, 1/15/26 | 220 | 220 | |
2019-4, C 2.510%, 11/17/25 | 1,120 | 1,079 | |
DT Auto Owner Trust | |||
2018-1A, C 144A 3.470%, 12/15/23(1) | 620 | 618 | |
2018-3A, C 144A 3.790%, 7/15/24(1) | 2,070 | 2,034 | |
2019-1A, C 144A 3.610%, 11/15/24(1) | 800 | 795 | |
2019-2A, B 144A 2.990%, 4/17/23(1) | 1,040 | 1,029 | |
2019-2A, C 144A 3.180%, 2/18/25(1) | 1,040 | 1,027 | |
2019-4A, C 144A 2.730%, 7/15/25(1) | 1,390 | 1,358 | |
Exeter Automobile Receivables Trust | |||
2017-3A, B 144A 2.810%, 9/15/22(1) | 358 | 355 |
Table of Contents
Par Value | Value | ||
Automobiles—continued | |||
2018-1A, C 144A 3.030%, 1/17/23(1) | $2,088 | $2,081 | |
2018-2A, C 144A 3.690%, 3/15/23(1) | 915 | 915 | |
2018-3A, C 144A 3.710%, 6/15/23(1) | 1,105 | 1,104 | |
2019-3A, C 144A 2.790%, 5/15/24(1) | 1,060 | 1,033 | |
2019-4A, C 144A 2.440%, 9/16/24(1) | 1,370 | 1,325 | |
2020-1A, D 144A 2.730%, 12/15/25(1) | 1,225 | 993 | |
First Investors Auto Owner Trust | |||
2016-2A, C 144A 2.530%, 7/15/22(1) | 1,490 | 1,480 | |
2017-1A, D 144A 3.600%, 4/17/23(1) | 880 | 877 | |
2017-2A, B 144A 2.650%, 11/15/22(1) | 900 | 894 | |
2018-1A, D 144A 4.110%, 6/17/24(1) | 1,175 | 1,160 | |
2019-1A, C 144A 3.260%, 3/17/25(1) | 1,240 | 1,193 | |
Flagship Credit Auto Trust | |||
2015-2, C 144A 4.080%, 12/15/21(1) | 209 | 207 | |
2016-2, B 144A 3.840%, 9/15/22(1) | 415 | 415 | |
2016-3, D 144A 3.890%, 11/15/22(1) | 1,635 | 1,635 | |
2019-1, C 144A 3.600%, 2/18/25(1) | 1,400 | 1,387 | |
2019-2, C 144A 3.090%, 5/15/25(1) | 1,250 | 1,223 | |
2020-1, C 144A 2.240%, 1/15/26(1) | 1,490 | 1,389 | |
Foursight Capital Automobile Receivables Trust | |||
2016-1, A2 144A 2.870%, 10/15/21(1) | 1 | 1 | |
2017-1, B 144A 3.050%, 12/15/22(1) | 855 | 850 | |
2018-1, C 144A 3.680%, 8/15/23(1) | 910 | 901 | |
GLS Auto Receivables Issuer Trust | |||
2019-1A, B 144A 3.650%, 12/16/24(1) | 1,250 | 1,240 | |
2019-2A, B 144A 3.320%, 3/15/24(1) | 1,240 | 1,159 |
Par Value | Value | ||
Automobiles—continued | |||
2019-3A, B 144A 2.720%, 6/17/24(1) | $1,285 | $1,267 | |
2019-4A, B 144A 2.780%, 9/16/24(1) | 1,400 | 1,350 | |
2020-1A, B 144A 2.430%, 11/15/24(1) | 1,810 | 1,745 | |
GLS Auto Receivables Trust | |||
2017-1A, C 144A 3.500%, 7/15/22(1) | 560 | 557 | |
2018-1A, A 144A 2.820%, 7/15/22(1) | 200 | 199 | |
2018-3A, C 144A 4.180%, 7/15/24(1) | 1,340 | 1,217 | |
GM Financial Consumer Automobile 2017-1A, B 144A 2.300%, 6/16/23(1) | 915 | 913 | |
Hertz Vehicle Financing II LP | |||
2015-3A, A 144A 2.670%, 9/25/21(1) | 925 | 915 | |
2016-4A, A 144A 2.650%, 7/25/22(1) | 2,140 | 2,071 | |
2019-1A, A 144A 3.710%, 3/25/23(1) | 970 | 941 | |
OneMain Direct Auto Receivables Trust | |||
2017-2A, C 144A 2.820%, 7/15/24(1) | 925 | 920 | |
2018-1A, C 144A 3.850%, 10/14/25(1) | 1,030 | 1,019 | |
Santander Drive Auto Receivables Trust | |||
2017-1, C 2.580%, 5/16/22 | 196 | 196 | |
2018-2, C 3.350%, 7/17/23 | 920 | 916 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(1) | 1,115 | 895 | |
Tesla Auto Lease Trust 2018-B, B 144A 4.120%, 10/20/21(1) | 925 | 910 | |
Tidewater Auto Receivables Trust 2020-AA, C 144A 1.910%, 9/15/26(1) | 1,530 | 1,422 | |
Tricolor Auto Securitization Trust 2018-2A, B 144A 4.760%, 2/15/22(1) | 867 | 862 | |
United Auto Credit Securitization Trust 2019-1, D 144A 3.470%, 8/12/24(1) | 1,035 | 951 | |
US Auto Funding LLC 2019-1A, B 144A 3.990%, 12/15/22(1) | 825 | 760 |
Par Value | Value | ||
Automobiles—continued | |||
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(1) | $1,270 | $1,222 | |
Westlake Automobile Receivables Trust | |||
2017-2A, C 144A 2.590%, 12/15/22(1) | 418 | 418 | |
2018-2A, D 144A 4.000%, 1/16/24(1) | 1,285 | 1,289 | |
2018-3A, C 144A 3.610%, 10/16/23(1) | 1,348 | 1,344 | |
86,681 | |||
Consumer Loans—0.7% | |||
Marlette Funding Trust 2019-4A, A 144A 2.390%, 12/17/29(1) | 1,096 | 1,057 | |
Prosper Marketplace Issuance Trust Series 2019-4A, A 144A 2.480%, 2/17/26(1) | 1,014 | 963 | |
Upstart Securitization Trust 2019-3, A 144A 2.684%, 1/21/30(1) | 1,243 | 1,234 | |
3,254 | |||
Credit Card—0.4% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(1) | 1,720 | 1,583 | |
Equipment—0.9% | |||
BCC Funding Corp. XVI LLC 2019-1A, B 144A 2.640%, 9/20/24(1) | 1,370 | 1,319 | |
NMEF Funding LLC 2019-A, B 144A 3.060%, 8/17/26(1) | 1,205 | 1,180 | |
Pawnee Equipment Receivables Series LLC 2019-1, B 144A 2.520%, 10/15/24(1) | 1,365 | 1,330 | |
3,829 | |||
Other—11.3% | |||
Amur Equipment Finance Receivables V LLC 2018-1A, A2 144A 3.240%, 12/20/23(1) | 550 | 550 | |
Amur Equipment Finance Receivables VI LLC 2018-2A, A2 144A 3.890%, 7/20/22(1) | 771 | 786 |
Table of Contents
Par Value | Value | ||
Other—continued | |||
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(1) | $431 | $430 | |
2019-A, A 144A 3.140%, 7/16/40(1) | 1,385 | 1,379 | |
2019-A, C 144A 4.010%, 7/16/40(1) | 1,450 | 1,441 | |
Arby’s Funding LLC 2015-1A, A2 144A 4.969%, 10/30/45(1) | 488 | 472 | |
Avant Loans Funding Trust 2019-A, A 144A 3.480%, 7/15/22(1) | 321 | 312 | |
BRE Grand Islander Timeshare Issuer LLC | |||
2017-1A, A 144A 2.940%, 5/25/29(1) | 384 | 375 | |
2019-A, A 144A 3.280%, 9/26/33(1) | 1,027 | 1,014 | |
BXG Receivables Note Trust | |||
2012-A, A 144A 2.660%, 12/2/27(1) | 12 | 11 | |
2013-A, A 144A 3.010%, 12/4/28(1) | 505 | 489 | |
2015-A, A 144A 2.880%, 5/2/30(1) | 146 | 145 | |
CCG Receivables Trust | |||
2018-1, A2 144A 2.500%, 6/16/25(1) | 949 | 947 | |
2019-1, B 144A 3.220%, 9/14/26(1) | 1,030 | 1,029 | |
2019-2, B 144A 2.550%, 3/15/27(1) | 1,185 | 1,161 | |
Conn’s Receivables Funding LLC 2018-A, B 144A 4.650%, 1/15/23(1) | 215 | 206 | |
Consumer Loan Underlying Bond CLUB Credit Trust 2019-P2, A 144A 2.470%, 10/15/26(1) | 766 | 722 | |
Consumer Loan Underlying Bond Credit Trust 2018-P2, A 144A 3.470%, 10/15/25(1) | 266 | 263 | |
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(1) | 1,122 | 1,080 | |
Dell Equipment Finance Trust 2017-2, A3 144A 2.190%, 10/24/22(1) | 90 | 90 | |
Diamond Resorts Owner Trust | |||
2017-1A, A 144A 3.270%, 10/22/29(1) | 758 | 749 | |
2019-1A, B 144A 3.530%, 2/20/32(1) | 1,008 | 958 |
Par Value | Value | ||
Other—continued | |||
Foundation Finance Trust | |||
2017-1A, A 144A 3.300%, 7/15/33(1) | $662 | $661 | |
2019-1A, A 144A 3.860%, 11/15/34(1) | 816 | 780 | |
FREED ABS Trust 2019-2, B 144A 3.190%, 11/18/26(1) | 1,370 | 1,195 | |
Gold Key Resorts LLC 2014-A, A 144A 3.220%, 3/17/31(1) | 90 | 90 | |
GreatAmerica Leasing Receivables Funding LLC 2017-1, A4 144A 2.360%, 1/20/23(1) | 659 | 657 | |
Hardee’s Funding LLC 2018-1A, A2I 144A 4.250%, 6/20/48(1) | 1,364 | 1,309 | |
Hilton Grand Vacations Trust | |||
2014-AA, A 144A 1.770%, 11/25/26(1) | 56 | 55 | |
2017-AA, A 144A 2.660%, 12/26/28(1) | 355 | 348 | |
2018-AA, A 144A 3.540%, 2/25/32(1) | 780 | 778 | |
Kabbage Funding LLC 2019-1, A 144A 3.825%, 3/15/24(1) | 1,345 | 1,308 | |
Lendmark Funding Trust 2018-2A, A 144A 4.230%, 4/20/27(1) | 1,425 | 1,333 | |
Mariner Finance Issuance Trust 2019-AA, A 144A 2.960%, 7/20/32(1)(3) | 1,045 | 881 | |
Marlette Funding Trust | |||
2018-3A, A 144A 3.200%, 9/15/28(1) | 104 | 103 | |
2019-2A, A 144A 3.130%, 7/16/29(1) | 703 | 674 | |
MVW LLC 2019-2A, A 144A 2.220%, 10/20/38(1) | 1,224 | 1,124 | |
MVW Owner Trust | |||
2015-1A, B 144A 2.960%, 12/20/32(1) | 107 | 105 | |
2016-1A, A 144A 2.250%, 12/20/33(1) | 513 | 500 | |
2017-1A, A 144A 2.420%, 12/20/34(1) | 440 | 428 | |
2019-1A, A 144A 2.890%, 11/20/36(1) | 1,064 | 993 | |
Oasis LLC 2020-1A, A 144A 3.820%, 1/15/32(1) | 1,159 | 1,152 |
Par Value | Value | ||
Other—continued | |||
Octane Receivables Trust 2019-1A, A 144A 3.160%, 9/20/23(1) | $1,023 | $1,017 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(1) | 1,895 | 1,889 | |
Oportun Funding IX LLC 2018-B, A 144A 3.910%, 7/8/24(1) | 905 | 852 | |
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(1) | 250 | 236 | |
Orange Lake Timeshare Trust | |||
2015-AA, A 144A 2.880%, 9/8/27(1) | 112 | 111 | |
2018-A, A 144A 3.100%, 11/8/30(1) | 167 | 163 | |
2019-A, B 144A 3.360%, 4/9/38(1) | 902 | 882 | |
Prosper Marketplace Issuance Trust 2018-2A, B 144A 3.960%, 10/15/24(1) | 1,245 | 1,208 | |
Sierra Timeshare Conduit Receivables Funding LLC 2017-1A, A 144A 2.910%, 3/20/34(1) | 383 | 378 | |
Sierra Timeshare Receivables Funding LLC | |||
2016-1A, A 144A 3.080%, 3/21/33(1) | 112 | 111 | |
2016-2A, A 144A 2.330%, 7/20/33(1) | 146 | 144 | |
2018-2A, A 144A 3.500%, 6/20/35(1) | 388 | 374 | |
2019-1A, B 144A 3.420%, 1/20/36(1) | 693 | 686 | |
2019-2A, B 144A 2.820%, 5/20/36(1) | 736 | 722 | |
Small Business Lending Trust | |||
2019-A, A 144A 2.850%, 7/15/26(1) | 886 | 874 | |
2020-A, A 144A 2.620%, 12/15/26(1)(3) | 1,158 | 1,147 | |
SoFi Consumer Loan Program LLC | |||
2016-3, A 144A 3.050%, 12/26/25(1) | 134 | 133 | |
2017-1, A 144A 3.280%, 1/26/26(1) | 263 | 258 | |
2017-5, A2 144A 2.780%, 9/25/26(1) | 326 | 308 | |
2017-6, A2 144A 2.820%, 11/25/26(1) | 514 | 502 |
Table of Contents
Par Value | Value | ||
Other—continued | |||
SoFi Consumer Loan Program Trust | |||
2018-2, A2 144A 3.350%, 4/26/27(1) | $1,676 | $1,661 | |
2019-3, A 144A 2.900%, 5/25/28(1) | 755 | 732 | |
Springleaf Funding Trust 2016-AA, A 144A 2.900%, 11/15/29(1) | 110 | 109 | |
Taco Bell Funding LLC 2016-1A, A23 144A 4.970%, 5/25/46(1) | 1,167 | 1,116 | |
TRIP Rail Master Funding LLC 2017-1A, A1 144A 2.709%, 8/15/47(1) | 776 | 768 | |
Upgrade Receivables Trust 2019-1A, A 144A 3.480%, 3/15/25(1) | 306 | 303 | |
Upstart Pass-Through Trust 2020-ST1, A 144A 3.750%, 2/20/28(1)(3) | 958 | 781 | |
Upstart Securitization Trust | |||
2019-1, A 144A 3.450%, 4/20/26(1) | 184 | 182 | |
2019-2, A 144A 2.897%, 9/20/29(1) | 894 | 829 | |
VSE VOI Mortgage LLC | |||
2016-A, A 144A 2.540%, 7/20/33(1) | 443 | 434 | |
2017-A, A 144A 2.330%, 3/20/35(1) | 421 | 409 | |
Welk Resorts LLC | |||
2013-AA, A 144A 3.100%, 3/15/29(1) | 29 | 29 | |
2015-AA, A 144A 2.790%, 6/16/31(1) | 735 | 727 | |
Westgate Resorts LLC | |||
2016-1A, A 144A 3.500%, 12/20/28(1) | 287 | 285 | |
2018-1A, A 144A 3.380%, 12/20/31(1) | 893 | 888 | |
50,331 | |||
Student Loan—0.7% | |||
Commonbond Student Loan Trust | |||
2017-AGS, A1 144A 2.550%, 5/25/41(1) | 374 | 377 | |
2019-AGS, A1 144A 2.540%, 1/25/47(1) | 1,292 | 1,307 | |
Earnest Student Loan Program LLC 2017-A, A2 144A 2.650%, 1/25/41(1) | 275 | 274 |
Par Value | Value | ||
Student Loan—continued | |||
Navient Private Education Loan Trust 2017-A, A2A 144A 2.880%, 12/16/58(1) | $846 | $852 | |
SoFi Professional Loan Program LLC 2016-A, A2 144A 2.760%, 12/26/36(1) | 165 | 166 | |
2,976 | |||
Unknown SOI_Bloomberg ABS Collateral Type—0.3% | |||
Towd Point Mortgage Trust 2019-MH1, A1 144A 3.000%, 11/25/58(1)(2) | 1,168 | 1,175 | |
Total Asset-Backed Securities (Identified Cost $155,598) | 150,716 | ||
Corporate Bonds and Notes—20.5% | |||
Communication Services—1.5% | |||
AT&T, Inc. | |||
(3 month LIBOR + 0.890%) 2.594%, 2/15/23(2) | 475 | 448 | |
(3 month LIBOR + 1.180%) 1.964%, 6/12/24(2) | 805 | 748 | |
Crown Castle International Corp. 4.875%, 4/15/22 | 930 | 976 | |
Diamond Sports Group LLC 144A 5.375%, 8/15/26(1) | 470 | 382 | |
Discovery Communications LLC 3.300%, 5/15/22 | 1,320 | 1,328 | |
Sirius XM Radio, Inc. 144A 4.625%, 7/15/24(1) | 190 | 193 | |
Sprint Spectrum Co. LLC 144A 3.360%, 9/20/21(1) | 900 | 895 | |
Tencent Holdings Ltd. 144A 3.280%, 4/11/24(1) | 467 | 484 | |
Verizon Communications, Inc. (3 month LIBOR + 1.100%) 2.792%, 5/15/25(2) | 1,226 | 1,118 | |
6,572 | |||
Consumer Discretionary—1.0% | |||
Aptiv Corp. 4.150%, 3/15/24 | 735 | 719 | |
Bunge Ltd. Finance Corp. 4.350%, 3/15/24 | 735 | 761 | |
Daimler Finance North America LLC 144A 2.200%, 10/30/21(1) | 1,195 | 1,146 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
General Motors Financial Co., Inc. | |||
3.700%, 11/24/20 | $670 | $663 | |
3.200%, 7/6/21 | 975 | 931 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 175 | 163 | |
4,383 | |||
Consumer Staples—0.8% | |||
Altria Group, Inc. 3.800%, 2/14/24 | 1,031 | 1,045 | |
BAT Capital Corp. (3 month LIBOR + 0.880%) 2.572%, 8/15/22(2) | 1,030 | 949 | |
Campbell Soup Co. 3.650%, 3/15/23 | 285 | 291 | |
Conagra Brands, Inc. 4.300%, 5/1/24 | 1,090 | 1,132 | |
3,417 | |||
Energy—1.5% | |||
Boardwalk Pipelines LP 4.950%, 12/15/24 | 630 | 510 | |
CNOOC Finance 2013 Ltd. 3.000%, 5/9/23 | 870 | 887 | |
Energy Transfer Operating LP 4.250%, 3/15/23 | 380 | 340 | |
Energy Transfer Partners LP 4.500%, 11/1/23 | 310 | 281 | |
Kinder Morgan, Inc. | |||
3.150%, 1/15/23 | 1,005 | 995 | |
144A 5.625%, 11/15/23(1) | 305 | 319 | |
MPLX LP 144A 3.500%, 12/1/22(1) | 1,000 | 957 | |
Petroleos Mexicanos 4.625%, 9/21/23 | 855 | 691 | |
Sabine Pass Liquefaction LLC 6.250%, 3/15/22 | 1,475 | 1,431 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(1) | 225 | 180 | |
6,591 | |||
Financials—8.3% | |||
AerCap Ireland Capital DAC 3.950%, 2/1/22 | 1,085 | 945 | |
Ares Capital Corp. 3.500%, 2/10/23 | 740 | 656 | |
Aviation Capital Group LLC 144A 3.875%, 5/1/23(1) | 1,058 | 989 | |
Banco BBVA Peru S.A. RegS 5.000%, 8/26/22(4) | 520 | 515 |
Table of Contents
Par Value | Value | ||
Financials—continued | |||
Banco Bradesco SA 144A 3.200%, 1/27/25(1) | $500 | $457 | |
Banco Santander Chile 144A 2.700%, 1/10/25(1) | 950 | 910 | |
Bank of America Corp. | |||
4.200%, 8/26/24 | 2,155 | 2,291 | |
3.950%, 4/21/25 | 420 | 442 | |
(3 month LIBOR + 0.770%) 2.511%, 2/5/26(2) | 705 | 640 | |
Brookfield Finance, Inc. 3.900%, 1/25/28 | 715 | 734 | |
Capital One N.A. 2.950%, 7/23/21 | 1,085 | 1,088 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 450 | 434 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 715 | 741 | |
(3 month LIBOR + 1.250%) 2.683%, 7/1/26(2) | 1,080 | 998 | |
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(1) | 935 | 898 | |
Goldman Sachs Group, Inc. (The) | |||
2.350%, 11/15/21 | 350 | 350 | |
3.000%, 4/26/22 | 900 | 906 | |
(3 month LIBOR + 1.750%) 3.545%, 10/28/27(2) | 2,015 | 1,814 | |
HSBC Holdings plc | |||
2.950%, 5/25/21 | 860 | 865 | |
(3 month LIBOR + 1.500%) 3.400%, 1/5/22(2) | 476 | 456 | |
Huntington Bancshares, Inc. 7.000%, 12/15/20 | 245 | 251 | |
ICAHN Enterprises LP 6.250%, 5/15/26 | 1,060 | 1,002 | |
Industrial & Commercial Bank of China Ltd. | |||
2.957%, 11/8/22 | 370 | 386 | |
(3 month LIBOR + 0.750%) 2.484%, 11/8/20(2) | 370 | 371 | |
JPMorgan Chase & Co. 3.875%, 9/10/24 | 1,260 | 1,330 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 740 | 585 | |
Lincoln National Corp. | |||
4.200%, 3/15/22 | 470 | 477 | |
(3 month LIBOR + 2.040%) 3.859%, 4/20/67(2)(5) | 75 | 45 |
Par Value | Value | ||
Financials—continued | |||
Metropolitan Life Global Funding I 144A 2.500%, 12/3/20(1) | $650 | $652 | |
Mizuho Financial Group, Inc. 2.273%, 9/13/21 | 565 | 558 | |
Morgan Stanley | |||
4.100%, 5/22/23 | 730 | 756 | |
3.875%, 4/29/24 | 655 | 687 | |
(3 month LIBOR + 0.930%) 2.732%, 7/22/22(2) | 725 | 705 | |
Navient Corp. | |||
5.875%, 10/25/24 | 810 | 744 | |
5.000%, 3/15/27 | 205 | 176 | |
Prudential Financial, Inc. 5.625%, 6/15/43(5) | 1,168 | 1,098 | |
Santander Holdings USA, Inc. | |||
4.450%, 12/3/21 | 932 | 951 | |
3.700%, 3/28/22 | 735 | 728 | |
3.500%, 6/7/24 | 840 | 820 | |
SBA Tower Trust | |||
144A 3.156%, 10/8/20(1) | 750 | 749 | |
144A 2.877%, 7/9/21(1) | 800 | 797 | |
144A 3.168%, 4/11/22(1) | 730 | 726 | |
Synchrony Financial 4.375%, 3/19/24 | 1,220 | 1,208 | |
Toronto-Dominion Bank (The) 2.650%, 6/12/24 | 723 | 738 | |
Turkiye Is Bankasi AS 144A 5.500%, 4/21/22(1) | 800 | 751 | |
UBS Group Funding Switzerland AG 144A 2.650%, 2/1/22(1) | 400 | 399 | |
Wells Fargo & Co. | |||
3.750%, 1/24/24 | 870 | 921 | |
(3 month LIBOR + 1.230%) 3.007%, 10/31/23(2) | 1,175 | 1,121 | |
36,861 | |||
Health Care—1.5% | |||
AbbVie, Inc. | |||
2.300%, 5/14/21 | 495 | 493 | |
2.850%, 5/14/23 | 495 | 502 | |
Anthem, Inc. 2.375%, 1/15/25 | 665 | 656 | |
CVS Health Corp. | |||
3.625%, 4/1/27 | 360 | 369 | |
(3 month LIBOR + 0.720%) 1.719%, 3/9/21(2) | 265 | 259 | |
HCA, Inc. 5.375%, 2/1/25 | 570 | 580 | |
Mylan NV 3.950%, 6/15/26 | 955 | 954 | |
Tenet Healthcare Corp. 4.625%, 7/15/24 | 550 | 524 |
Par Value | Value | ||
Health Care—continued | |||
Zimmer Biomet Holdings, Inc. | |||
3.150%, 4/1/22 | $1,200 | $1,200 | |
(3 month LIBOR + 0.750%) 1.802%, 3/19/21(2) | 1,100 | 1,087 | |
6,624 | |||
Industrials—1.2% | |||
America West Airlines Pass-Through-Trust 2001-1, G 7.100%, 4/2/21 | 494 | 494 | |
Avolon Holdings Funding Ltd. 144A 3.950%, 7/1/24(1) | 1,257 | 1,051 | |
CNH Industrial N.V. 4.500%, 8/15/23 | 1,314 | 1,374 | |
Penske Truck Leasing Co., LP 144A 4.125%, 8/1/23(1) | 895 | 924 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60(5) | 1,288 | 1,222 | |
TransDigm, Inc. 144A 6.250%, 3/15/26(1) | 445 | 443 | |
5,508 | |||
Information Technology—1.0% | |||
Broadcom, Inc. 144A 3.625%, 10/15/24(1) | 1,315 | 1,291 | |
Dell International LLC 144A 4.000%, 7/15/24(1) | 395 | 398 | |
Hewlett Packard Enterprise Co. | |||
2.250%, 4/1/23 | 660 | 645 | |
(3 month LIBOR + 0.720%) 2.620%, 10/5/21(2) | 145 | 137 | |
Open Text Corp. 144A 3.875%, 2/15/28(1) | 1,000 | 940 | |
VMware, Inc. 2.950%, 8/21/22 | 1,295 | 1,298 | |
4,709 | |||
Materials—0.6% | |||
DuPont de Nemours, Inc. | |||
3.766%, 11/15/20 | 146 | 147 | |
(3 month LIBOR + 0.710%) 2.402%, 11/15/20(2) | 243 | 241 | |
Glencore Funding LLC 144A 4.125%, 5/30/23(1) | 1,140 | 1,051 | |
GTL Trade Finance, Inc. 144A 5.893%, 4/29/24(1) | 312 | 308 | |
SABIC Capital II BV 144A 4.000%, 10/10/23(1) | 300 | 297 |
Table of Contents
Par Value | Value | ||
Materials—continued | |||
Syngenta Finance NV | |||
144A 3.698%, 4/24/20(1) | $365 | $364 | |
144A 3.933%, 4/23/21(1) | 365 | 344 | |
2,752 | |||
Real Estate—0.8% | |||
Corporate Office Properties LP 3.700%, 6/15/21 | 220 | 223 | |
GLP Capital LP 5.250%, 6/1/25 | 640 | 592 | |
iStar, Inc. 4.250%, 8/1/25 | 965 | 794 | |
Office Properties Income Trust 4.150%, 2/1/22 | 915 | 929 | |
Service Properties Trust | |||
4.500%, 6/15/23 | 420 | 315 | |
4.650%, 3/15/24 | 430 | 315 | |
4.350%, 10/1/24 | 455 | 334 | |
3,502 | |||
Utilities—2.3% | |||
CenterPoint Energy, Inc. 3.850%, 2/1/24 | 1,260 | 1,278 | |
Centrais Eletricas Brasileiras S.A. 144A 3.625%, 2/4/25(1) | 400 | 355 | |
DTE Energy Co. 2.529%, 10/1/24 | 1,074 | 1,044 | |
Exelon Corp. | |||
2.850%, 6/15/20 | 805 | 805 | |
3.497%, 6/1/22 | 1,046 | 1,013 | |
NRG Energy, Inc. 144A 3.750%, 6/15/24(1) | 1,281 | 1,268 | |
PNM Resources, Inc. 3.250%, 3/9/21 | 810 | 815 | |
PSEG Power LLC 3.850%, 6/1/23 | 1,022 | 1,040 | |
Southern Co. (The) 2.950%, 7/1/23 | 920 | 925 | |
TerraForm Power Operating LLC 144A 4.250%, 1/31/23(1) | 735 | 729 | |
Vistra Operations Co. LLC 144A 3.550%, 7/15/24(1) | 1,040 | 978 | |
10,250 | |||
Total Corporate Bonds and Notes (Identified Cost $94,941) | 91,169 | ||
Par Value | Value | ||
Leveraged Loans(2)—3.5% | |||
Aerospace—0.3% | |||
Kestrel Bidco, Inc. (1 month LIBOR + 3.000%) 4.000%, 12/11/26 | $419 | $318 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 3.239%, 5/30/25 | 228 | 207 | |
Tranche F (1 month LIBOR + 2.250%) 3.239%, 12/9/25 | 720 | 654 | |
1,179 | |||
Energy—0.0% | |||
Paragon Offshore Finance Co. (1 month PRIME + 0.000%) 3.250%, 7/16/21(3)(6) | 1 | — | |
Financial—0.0% | |||
FinCo I LLC 2018 (1 month LIBOR + 2.000%) 2.989%, 12/27/22 | 188 | 180 | |
Food / Tobacco—0.2% | |||
Aramark Services, Inc. | |||
Tranche B-2 (1 month LIBOR + 1.750%) 2.739%, 3/28/24 | 212 | 201 | |
Tranche B-3 (1 month LIBOR + 1.750%) 2.739%, 3/11/25 | 345 | 321 | |
Tranche B-4 (1 month LIBOR + 1.750%) 2.739%, 1/15/27 | 215 | 199 | |
721 | |||
Forest Prod / Containers—0.2% | |||
Berry Global, Inc. Tranche Y (3 month LIBOR + 2.000%) 2.863%, 7/1/26 | 725 | 684 | |
Reynolds Consumer Products LLC (3 month LIBOR + 1.750%) 3.501%, 2/4/27 | 145 | 136 | |
820 | |||
Gaming / Leisure—0.4% | |||
Boyd Gaming Corp. Tranche B (weekly LIBOR + 2.250%) 2.934%, 9/15/23 | 510 | 439 | |
CityCenter Holdings LLC (1 month LIBOR + 2.250%) 3.239%, 4/18/24 | 605 | 525 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 2.697%, 6/22/26 | $578 | $546 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 3.240%, 2/8/27 | 352 | 299 | |
1,809 | |||
Healthcare—0.7% | |||
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 3.362%, 11/27/25 | 174 | 165 | |
(1 month LIBOR + 3.000%) 3.612%, 6/2/25 | 399 | 377 | |
Elanco Animal Health, Inc. Tranche B (3 month LIBOR + 1.750%) 0.000%, 2/4/27(7) | 90 | 85 | |
HCA, Inc. Tranche B-13 (1 month LIBOR + 1.750%) 2.739%, 3/18/26 | 1,770 | 1,667 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 3.200%, 6/11/25 | 525 | 498 | |
Select Medical Corp. Tranche B (1 month LIBOR + 2.500%) 3.430%, 3/6/25 | 115 | 109 | |
2,901 | |||
Information Technology—0.2% | |||
Dell International LLC Tranche B-1 (1 month LIBOR + 2.000%) 2.990%, 9/19/25 | 817 | 776 | |
Science Applications International Corp. Tranche B-2 (3 month LIBOR + 2.250%) 0.000%, 3/13/27(7) | 220 | 206 | |
982 | |||
Manufacturing—0.0% | |||
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 2.739%, 2/28/27 | 100 | 94 |
Table of Contents
Par Value | Value | ||
Manufacturing—continued | |||
NCR Corp. (1 month LIBOR + 2.500%) 3.490%, 8/28/26 | $131 | $118 | |
212 | |||
Media / Telecom - Broadcasting—0.1% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.750%) 4.331%, 9/18/26 | 644 | 597 | |
Media / Telecom - Cable/Wireless Video—0.6% | |||
Charter Communications Operating LLC Tranche B2 (1 month LIBOR + 1.750%) 2.740%, 2/1/27 | 818 | 782 | |
CSC Holdings LLC | |||
2018 (1 month LIBOR + 2.250%) 2.862%, 1/15/26 | 738 | 704 | |
2019 (1 month LIBOR + 2.500%) 3.112%, 4/15/27 | 279 | 267 | |
Telenet Financing USD LLC Tranche AR (1 month LIBOR + 2.000%) 2.705%, 4/30/28 | 980 | 893 | |
2,646 | |||
Media / Telecom - Telecommunications—0.3% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 3.239%, 3/15/27 | 988 | 917 | |
Level 3 Financing, Inc. 2027, Tranche B (1 month LIBOR + 1.750%) 2.739%, 3/1/27 | 440 | 409 | |
1,326 | |||
Media / Telecom - Wireless Communications—0.2% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 4.239%, 4/4/26 | 328 | 309 | |
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 2.740%, 4/11/25 | 398 | 375 | |
684 | |||
Service—0.2% | |||
Trans Union LLC Tranche B-5 (1 month LIBOR + 1.750%) 2.739%, 11/16/26 | 766 | 731 |
Par Value | Value | ||
Transportation - Automotive—0.0% | |||
Genesee & Wyoming, Inc. (3 month LIBOR + 2.000%) 3.450%, 12/30/26 | $155 | $148 | |
Utility—0.1% | |||
Pacific Gas and Electric Co. (3 month LIBOR + 2.250%) 3.120%, 12/31/20 | 460 | 445 | |
Total Leveraged Loans (Identified Cost $16,565) | 15,381 | ||
Shares | ||
Preferred Stocks—0.9% | ||
Financials—0.9% | ||
Bank of New York Mellon Corp. (The) Series E, 4.950% | 1,380(8) | 1,200 |
Citigroup, Inc. Series T, 6.250%(9) | 1,020(8) | 1,051 |
JPMorgan Chase & Co. Series Z, 5.300% | 1,155(8) | 1,083 |
JPMorgan Chase & Co. Series HH, 4.600% | 531(8) | 465 |
3,799 | ||
Total Preferred Stocks (Identified Cost $4,107) | 3,799 | |
Exchange-Traded Fund—0.5% | ||
iShares iBoxx High Yield Corporate Bond ETF(10) | 28,924 | 2,229 |
Total Exchange-Traded Fund (Identified Cost $2,221) | 2,229 | |
Total Long-Term Investments—95.4% (Identified Cost $438,284) | 423,186(11) | |
Short-Term Investment—4.5% | ||
Money Market Mutual Fund—4.5% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.290%)(10) | 19,948,143 | 19,948 |
Total Short-Term Investment (Identified Cost $19,948) | 19,948 | |
TOTAL INVESTMENTS—99.9% (Identified Cost $458,232) | $443,134 | |
Other assets and liabilities, net—0.1% | 641 | |
NET ASSETS—100.0% | $443,775 |
Abbreviations: | |
DB | Deutsche Bank AG |
ETF | Exchange-Traded Fund |
GS | Goldman Sachs & Co. |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
MASTR | Morgan Stanley Structured Asset Security |
P.O. | Principal Only Security |
REMIC | Real Estate Mortgage Investment Conduit |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2020, these securities amounted to a value of $294,111 or 66.3% of net assets. |
(2) | Variable rate security. Rate disclosed is as of March 31, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(3) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(4) | Regulation S security. Security is offered and sold outside of the United States. Therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(5) | Interest payments may be deferred. |
(6) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(7) | This loan will settle after March 31, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(8) | Value shown as par value. |
(9) | Interest may be forfeited. |
(10) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(11) | All or a portion of the Fund’s assets have been segregated for delayed delivery security. |
Table of Contents
Country Weightings† | |
United States | 96% |
Cayman Islands | 1 |
Netherlands | 1 |
Canada | 1 |
Turkey | 1 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $150,716 | $— | $147,907 | $2,809 | |||
Corporate Bonds and Notes | 91,169 | — | 91,169 | — | |||
Foreign Government Securities | 2,853 | — | 2,853 | — | |||
Leveraged Loans | 15,381 | — | 15,381 | —(1) | |||
Mortgage-Backed Securities | 142,113 | — | 140,412 | 1,701 | |||
U.S. Government Securities | 14,926 | — | 14,926 | — | |||
Equity Securities: | |||||||
Exchange-Traded Fund | 2,229 | 2,229 | — | — | |||
Preferred Stocks | 3,799 | — | 3,799 | — | |||
Money Market Mutual Fund | 19,948 | 19,948 | — | — | |||
Total Investments | $443,134 | $22,177 | $416,447 | $4,510 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Asset-Backed Securities | Mortgage-Backed Securities | Leveraged Loans | ||||
Investments in Securities | |||||||
Balance as of September 30, 2019: | $3,678 | $- | $3,678 | $-(a) | |||
Accrued discount/(premium) | -(b) | -(b) | -(b) | - | |||
Change in unrealized appreciation (depreciation)(c) | (375) | (189) | (186) | - | |||
Purchases | 2,940 | 2,230 | 710 | - | |||
Sales(d) | (307) | (113) | (194) | - | |||
Transfers into Level 3(e) | 881 | 881 | - | - | |||
Transfers from Level 3(e) | (2,307) | - | (2,307) | - | |||
Balance as of March 31, 2020 | $4,510 | $2,809 | $1,701 | $-(a) |
Table of Contents
Par Value | Value | ||
U.S. Government Securities—2.3% | |||
U.S. Treasury Bond 2.875%, 5/15/49 | $ 3,805 | $5,196 | |
U.S. Treasury Notes | |||
1.750%, 6/15/22 | 355 | 367 | |
1.750%, 11/15/29 | 800 | 879 | |
Total U.S. Government Securities (Identified Cost $5,890) | 6,442 | ||
Municipal Bonds—1.3% | |||
California—1.1% | |||
State of California, Build America Bonds Taxable 7.600%, 11/1/40 | 1,905 | 3,170 | |
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 100 | 104 | |
Michigan—0.1% | |||
Tobacco Settlement Finance Authority Revenue Taxable Series A 7.309%, 6/1/34 | 130 | 129 | |
Virginia—0.1% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 310 | 268 | |
Total Municipal Bonds (Identified Cost $3,692) | 3,671 | ||
Foreign Government Securities—5.4% | |||
Bolivarian Republic of Venezuela | |||
9.375%, 1/13/34(1) | 920 | 83 | |
RegS 7.650%, 4/21/25(1)(2) | 1,500 | 135 | |
Israel 2.750%, 7/3/30 | 200 | 200 | |
Kingdom of Morocco 144A 5.500%, 12/11/42(3) | 800 | 847 | |
Kingdom of Saudi Arabia 144A 3.625%, 3/4/28(3) | 1,240 | 1,259 | |
Republic of Argentine 5.875%, 1/11/28 | 805 | 216 | |
Republic of Colombia 3.000%, 1/30/30 | 830 | 757 | |
Republic of Egypt | |||
144A 7.600%, 3/1/29(3) | 370 | 331 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
144A 8.500%, 1/31/47(3) | $745 | $608 | |
Republic of El Salvador 144A 7.625%, 2/1/41(3) | 345 | 283 | |
Republic of Ghana 144A 8.125%, 3/26/32(3) | 640 | 451 | |
Republic of Indonesia | |||
2.850%, 2/14/30 | 520 | 504 | |
144A 4.350%, 1/8/27(3) | 1,055 | 1,089 | |
Republic of Ivory Coast 144A 6.125%, 6/15/33(3) | 635 | 553 | |
Republic of Pakistan RegS 6.875%, 12/5/27(2) | 465 | 385 | |
Republic of Panama | |||
4.300%, 4/29/53 | 475 | 511 | |
3.870%, 7/23/60 | 815 | 813 | |
Republic of South Africa | |||
5.875%, 9/16/25 | 205 | 197 | |
5.650%, 9/27/47 | 510 | 376 | |
Republic of Turkey 7.625%, 4/26/29 | 1,870 | 1,781 | |
Republic of Uruguay 5.100%, 6/18/50 | 325 | 370 | |
Russian Federation | |||
144A 5.625%, 4/4/42(3) | 600 | 729 | |
RegS 4.375%, 3/21/29(2) | 600 | 641 | |
Ukraine 144A 7.750%, 9/1/25(3) | 845 | 767 | |
United Mexican States | |||
4.500%, 4/22/29 | 555 | 569 | |
Series M 6.500%, 6/9/22 | 16,410MXN | 693 | |
Total Foreign Government Securities (Identified Cost $18,409) | 15,148 | ||
Mortgage-Backed Securities—16.9% | |||
Agency—0.9% | |||
Federal National Mortgage Association | |||
Pool #MA3088 4.000%, 8/1/47 | 1,678 | 1,802 | |
Pool #MA3663 3.500%, 5/1/49 | 675 | 713 | |
2,515 | |||
Non-Agency—16.0% | |||
Agate Bay Mortgage Trust 2016-3, A5 144A 3.500%, 8/25/46(3)(4) | 401 | 403 |
Par Value | Value | ||
Non-Agency—continued | |||
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(3) | $915 | $909 | |
2015-SFR1, A 144A 3.467%, 4/17/52(3) | 637 | 619 | |
2015-SFR2, C 144A 4.691%, 10/17/52(3) | 1,011 | 911 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(3)(4) | 554 | 539 | |
2019-1, A1 144A 3.805%, 1/25/49(3)(4) | 401 | 389 | |
2019-2, A1 144A 3.347%, 4/25/49(3)(4) | 388 | 369 | |
Banc of America Funding Trust | |||
2004-D, 5A1 3.783%, 1/25/35(4) | 467 | 405 | |
2005-1, 1A1 5.500%, 2/25/35 | 254 | 243 | |
2006-2, 3A1 6.000%, 3/25/36 | 116 | 109 | |
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust 2004-24CB, 1A1 6.000%, 11/25/34 | 51 | 53 | |
Bayview Opportunity Master Fund IVa Trust | |||
2016-SPL1, B1 144A 4.250%, 4/28/55(3) | 625 | 596 | |
2017-SPL5, B1 144A 4.000%, 6/28/57(3)(4) | 1,000 | 945 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(3)(4) | 445 | 438 | |
BSPRT Issuer Ltd. 2019-FL5, A (1 month LIBOR + 1.150%) 144A 1.855%, 5/15/29(3)(4) | 535 | 483 | |
Bunker Hill Loan Depositary Trust 2019-2, A1 144A 2.879%, 7/25/49(3)(4) | 308 | 282 | |
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(3)(4) | 785 | 616 | |
Chase Home Lending Mortgage Trust 2019-ATR1, A4 144A 4.000%, 4/25/49(3)(4) | 275 | 276 | |
Citigroup Commercial Mortgage Trust 2013-375P, B 144A 3.518%, 5/10/35(3)(4) | 400 | 394 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
Citigroup Mortgage Loan Trust, Inc. | |||
2019-IMC1, A1 144A 2.720%, 7/25/49(3)(4) | $582 | $561 | |
2015-A, A1 144A 3.500%, 6/25/58(3)(4) | 165 | 165 | |
2019-RP1, A1 144A 3.500%, 1/25/66(3)(4) | 801 | 812 | |
COLT Mortgage Loan Trust Funding LLC 2020-1, A1 144A 2.488%, 2/25/50(3)(4) | 311 | 300 | |
CoreVest American Finance Trust 2019-3, C 144A 3.265%, 10/15/52(3) | 250 | 186 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 1.685%, 5/15/36(3)(4) | 675 | 634 | |
Credit Suisse Mortgage Capital Trust 2014-IVR2, A2 144A 3.760%, 4/25/44(3)(4) | 197 | 195 | |
Deephaven Residential Mortgage Trust | |||
2017-1A, A2 144A 2.928%, 12/26/46(3)(4) | 84 | 82 | |
2017-2A, A2 144A 2.606%, 6/25/47(3)(4) | 67 | 65 | |
Ellington Financial Mortgage Trust 2019-2, A3 144A 3.046%, 11/25/59(3)(4) | 169 | 163 | |
Galton Funding Mortgage Trust | |||
2018-1, A23 144A 3.500%, 11/25/57(3)(4) | 319 | 316 | |
2018-2, A41 144A 4.500%, 10/25/58(3)(4) | 303 | 303 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(3)(4) | 418 | 428 | |
Homeward Opportunities Fund I Trust | |||
2018-1, A1 144A 3.766%, 6/25/48(3)(4) | 341 | 329 | |
2019-3, A1 144A 2.675%, 11/25/59(3)(4) | 718 | 683 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C31, AS 4.106%, 8/15/48 | 665 | 687 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(3)(4) | 127 | 126 | |
2014-5, B2 144A 2.959%, 10/25/29(3)(4) | 267 | 236 |
Par Value | Value | ||
Non-Agency—continued | |||
2016-SH1, M2 144A 3.750%, 4/25/45(3)(4) | $474 | $468 | |
2016-SH2, M2 144A 3.750%, 12/25/45(3)(4) | 878 | 835 | |
2018-8, A3 144A 4.000%, 1/25/49(3)(4) | 349 | 356 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(3)(4) | 775 | 678 | |
MASTR Alternative Loan Trust | |||
2005-5, 2A3 5.500%, 7/25/25 | 395 | 377 | |
2005-2, 2A1 6.000%, 1/25/35 | 268 | 264 | |
MASTR Specialized Loan Trust 2005-3, A2 144A 5.704%, 11/25/35(3)(4) | 77 | 77 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 2.147%, 6/25/52(3)(4)(5) | 400 | 400 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.686%, 4/25/55(3)(4) | 425 | 370 | |
2019-1A, A1A 144A 3.750%, 4/25/58(3)(4) | 671 | 692 | |
New Residential Mortgage Loan Trust 2017-2A, A3 144A 4.000%, 3/25/57(3)(4) | 544 | 565 | |
OBX Trust | |||
2018-EXP2, 1A1 144A 4.000%, 11/25/48(3)(4) | 980 | 982 | |
2019-INV1, A3 144A 4.500%, 11/25/48(3)(4) | 525 | 529 | |
2019-EXP3, 1A8 144A 3.500%, 10/25/59(3)(4) | 649 | 641 | |
Pretium Mortgage Credit Partners I LLC 2019-NPL3, A1 144A 3.105%, 7/27/59(3)(4) | 456 | 396 | |
Progress Residential Trust | |||
2017-SFR1, B 144A 3.017%, 8/17/34(3) | 940 | 917 | |
2018-SFR1, B 144A 3.484%, 3/17/35(3) | 980 | 951 | |
2018-SFR2, B 144A 3.841%, 8/17/35(3) | 1,380 | 1,354 | |
PRPM LLC | |||
2019-1A, A1 144A 4.500%, 1/25/24(3)(4) | 781 | 788 | |
2019-2A, A1 144A 3.967%, 4/25/24(3)(4) | 1,125 | 1,006 | |
2019-GS1, A1 144A 3.500%, 10/25/24(3)(4)(5) | 585 | 582 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(3)(4) | 1,284 | 1,275 |
Par Value | Value | ||
Non-Agency—continued | |||
RCO V Mortgage LLC | |||
2019-1, A1 144A 3.721%, 5/24/24(3)(4) | $701 | $666 | |
2019-2, A1 144A 3.475%, 11/25/24(3)(4) | 383 | 364 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(3)(4) | 795 | 792 | |
RMF Proprietary Issuance Trust 2019-1, A 144A 2.750%, 10/25/63(3)(4) | 1,071 | 1,010 | |
Sequoia Mortgage Trust 2013-8, B1 3.518%, 6/25/43(4) | 617 | 587 | |
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(3)(4) | 360 | 347 | |
Starwood Mortgage Residential Trust 2019-IMC1, A1 144A 3.468%, 2/25/49(3)(4) | 715 | 711 | |
Towd Point Mortgage Trust | |||
2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 1.847%, 4/25/48(3)(4) | 745 | 722 | |
2015-1, A2 144A 3.250%, 10/25/53(3)(4) | 555 | 546 | |
2016-1, M1 144A 3.500%, 2/25/55(3)(4) | 380 | 361 | |
2015-6, M1 144A 3.750%, 4/25/55(3)(4) | 760 | 725 | |
2015-5, A2 144A 3.500%, 5/25/55(3)(4) | 690 | 672 | |
2017-1, M1 144A 3.750%, 10/25/56(3)(4) | 450 | 422 | |
2017-6, A2 144A 3.000%, 10/25/57(3)(4) | 485 | 445 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(3)(4) | 195 | 195 | |
2015-2, 1M1 144A 3.250%, 11/25/60(3)(4) | 710 | 660 | |
Tricon American Homes Trust | |||
2017-SFR1, A 144A 2.716%, 9/17/34(3) | 372 | 366 | |
2019-SFR1, C 144A 3.149%, 3/17/38(3) | 610 | 520 | |
TVC Mortgage Trust 2020-RTL1, M 144A 5.193%, 9/25/24(3)(4) | 705 | 515 | |
UBS Commercial Mortgage Trust 2012-C1, D 144A 5.572%, 5/10/45(3)(4) | 610 | 568 | |
VCAT LLC 2019-NPL2, A1 144A 3.573%, 11/25/49(3)(4) | 288 | 284 | |
Vericrest Opportunity Loan Trust | |||
2019-NPL2, A1 144A 3.967%, 2/25/49(3)(4) | 399 | 353 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
2020-NPL2, A1A 144A 2.981%, 2/25/50(3)(4) | $303 | $261 | |
Verus Securitization Trust | |||
2018-1, A1 144A 2.929%, 2/25/48(3)(4) | 246 | 234 | |
2018-2, B1 144A 4.426%, 6/1/58(3)(4) | 760 | 680 | |
2019-INV1, A1 144A 3.402%, 12/25/59(3)(4) | 518 | 496 | |
Wells Fargo Commercial Mortgage Trust | |||
2014-C24, AS 3.931%, 11/15/47 | 665 | 675 | |
2015-LC20, B 3.719%, 4/15/50 | 875 | 840 | |
44,770 | |||
Total Mortgage-Backed Securities (Identified Cost $49,563) | 47,285 | ||
Asset-Backed Securities—8.0% | |||
Automobiles—4.1% | |||
ACC Trust | |||
2018-1, B 144A 4.820%, 5/20/21(3) | 473 | 473 | |
2019-1, B 144A 4.470%, 10/20/22(3) | 640 | 641 | |
American Credit Acceptance Receivables Trust | |||
2018-1, C 144A 3.550%, 4/10/24(3) | 593 | 591 | |
2018-4, C 144A 3.970%, 1/13/25(3) | 790 | 762 | |
Avid Automobile Receivables Trust 2019-1, C 144A 3.140%, 7/15/26(3) | 930 | 889 | |
Exeter Automobile Receivables Trust | |||
2018-4A, D 144A 4.350%, 9/16/24(3) | 865 | 792 | |
2019-1A, D 144A 4.130%, 12/16/24(3) | 770 | 695 | |
GLS Auto Receivables Issuer Trust 2019-4A, C 144A 3.060%, 8/15/25(3) | 470 | 448 | |
GLS Auto Receivables Trust | |||
2017-1A, C 144A 3.500%, 7/15/22(3) | 1,180 | 1,173 | |
2018-1A, B 144A 3.520%, 8/15/23(3) | 1,155 | 1,093 |
Par Value | Value | ||
Automobiles—continued | |||
OneMain Direct Auto Receivables Trust 2018-1A, C 144A 3.850%, 10/14/25(3) | $660 | $653 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(3)(5) | 710 | 722 | |
Skopos Auto Receivables Trust 2018-1A, B 144A 3.930%, 5/16/22(3) | 561 | 553 | |
United Auto Credit Securitization Trust 2019-1, E 144A 4.290%, 8/12/24(3) | 670 | 503 | |
Veros Automobile Receivables Trust | |||
2018-1, B 144A 4.050%, 2/15/24(3) | 720 | 718 | |
2020-1, B 144A 2.190%, 6/16/25(3) | 810 | 779 | |
11,485 | |||
Credit Card—0.3% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(3) | 820 | 755 | |
Other—3.6% | |||
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(3) | 553 | 552 | |
2019-A, C 144A 4.010%, 7/16/40(3) | 915 | 909 | |
Arby’s Funding LLC 2015-1A, A2 144A 4.969%, 10/30/45(3) | 900 | 870 | |
BCC Funding Corp. XVI LLC 2019-1A, D 144A 3.940%, 7/20/27(3) | 930 | 902 | |
Business Jet Securities LLC 2019-1, A 144A 4.212%, 7/15/34(3) | 651 | 482 | |
Drug Royalty III LP 1 2016-1A, A 144A 3.979%, 4/15/27(3)(5) | 75 | 75 | |
FREED ABS Trust | |||
2019-1, B 144A 3.870%, 6/18/26(3) | 665 | 573 | |
2019-2, B 144A 3.190%, 11/18/26(3) | 775 | 676 | |
Hardee’s Funding LLC 2018-1A, A2I 144A 4.250%, 6/20/48(3) | 896 | 860 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(3) | 785 | 696 |
Par Value | Value | ||
Other—continued | |||
Kabbage Funding LLC 2019-1, A 144A 3.825%, 3/15/24(3) | $730 | $710 | |
Oasis LLC 2020-1A, A 144A 3.820%, 1/15/32(3) | 760 | 755 | |
Octane Receivables Trust 2019-1A, A 144A 3.160%, 9/20/23(3) | 664 | 659 | |
Prosper Marketplace Issuance Trust 2018-2A, B 144A 3.960%, 10/15/24(3) | 795 | 772 | |
Regional Management Issuance Trust 2018-2, A 144A 4.560%, 1/18/28(3)(5) | 655 | 607 | |
10,098 | |||
Total Asset-Backed Securities (Identified Cost $23,471) | 22,338 | ||
Corporate Bonds and Notes—44.7% | |||
Communication Services—5.0% | |||
Altice Financing S.A. 144A 5.000%, 1/15/28(3) | 250 | 221 | |
Altice France Holding S.A. 144A 6.000%, 2/15/28(3) | 330 | 290 | |
America Movil SAB de C.V. 6.450%, 12/5/22 | 50MXN | 197 | |
Cable Onda S.A. 144A 4.500%, 1/30/30(3) | 790 | 695 | |
CCO Holdings LLC | |||
144A 4.750%, 3/1/30(3) | 610 | 609 | |
144A 4.500%, 8/15/30(3) | 585 | 573 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(3) | 773 | 778 | |
Clear Channel Worldwide Holdings, Inc. | |||
144A 9.250%, 2/15/24(3) | 171 | 147 | |
144A 5.125%, 8/15/27(3) | 250 | 234 | |
Consolidated Communications, Inc. 6.500%, 10/1/22 | 830 | 726 | |
CSC Holdings LLC 144A 5.750%, 1/15/30(3) | 725 | 731 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(3) | 320 | 260 | |
144A 6.625%, 8/15/27(3) | 620 | 415 | |
DISH DBS Corp. | |||
5.875%, 7/15/22 | 300 | 292 | |
5.000%, 3/15/23 | 305 | 293 | |
7.750%, 7/1/26 | 280 | 288 | |
Front Range BidCo, Inc. 144A 4.000%, 3/1/27(3) | 20 | 19 |
Table of Contents
Par Value | Value | ||
Communication Services—continued | |||
Frontier Communications Corp. | |||
8.500%, 4/15/20 | $254 | $67 | |
11.000%, 9/15/25(6) | 400 | 104 | |
144A 8.500%, 4/1/26(3) | 245 | 224 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 426 | 363 | |
IHS Netherlands Holdco B.V. 144A 8.000%, 9/18/27(3) | 500 | 410 | |
LCPR Senior Secured Financing DAC 144A 6.750%, 10/15/27(3) | 455 | 448 | |
Live Nation Entertainment, Inc. 144A 4.750%, 10/15/27(3) | 190 | 170 | |
McGraw-Hill Global Education Holdings LLC Senior Unsecured Notes 144A 7.875%, 5/15/24(3) | 513 | 382 | |
Meredith Corp. 6.875%, 2/1/26 | 436 | 375 | |
Sirius XM Radio, Inc. | |||
144A 4.625%, 7/15/24(3) | 160 | 163 | |
144A 5.500%, 7/1/29(3) | 325 | 332 | |
Sprint Corp. 7.875%, 9/15/23 | 560 | 617 | |
Sprint Spectrum Co. LLC 144A 5.152%, 3/20/28(3) | 750 | 799 | |
Telesat Canada | |||
144A 4.875%, 6/1/27(3) | 285 | 272 | |
144A 6.500%, 10/15/27(3) | 955 | 917 | |
Tencent Holdings Ltd. 144A 3.975%, 4/11/29(3) | 855 | 947 | |
Twitter, Inc. 144A 3.875%, 12/15/27(3) | 630 | 606 | |
13,964 | |||
Consumer Discretionary—3.6% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 625 | 482 | |
Caesars Resort Collection LLC 144A 5.250%, 10/15/25(3) | 363 | 262 | |
Dana, Inc. 5.375%, 11/15/27 | 680 | 551 | |
Downstream Development Authority of the Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23(3) | 451 | 361 | |
eBay, Inc. 2.700%, 3/11/30 | 875 | 792 | |
Eldorado Resorts, Inc. 6.000%, 9/15/26 | 214 | 193 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(3) | 746 | 649 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Golden Nugget, Inc. 144A 8.750%, 10/1/25(3) | $375 | $194 | |
Lear Corp. 3.800%, 9/15/27 | 835 | 765 | |
Lithia Motors, Inc. 144A 4.625%, 12/15/27(3) | 410 | 369 | |
M/I Homes, Inc. 144A 4.950%, 2/1/28(3) | 935 | 793 | |
MGM Growth Properties Operating Partnership LP 5.750%, 2/1/27 | 380 | 331 | |
MGM Resorts International 5.500%, 4/15/27 | 304 | 277 | |
Michaels Stores, Inc. 144A 8.000%, 7/15/27(3) | 310 | 229 | |
Neiman Marcus Group Ltd. LLC 144A 8.000%, 10/25/24(3) | 428 | 43 | |
Panther BF Aggregator 2 LP 144A 8.500%, 5/15/27(3) | 445 | 388 | |
PulteGroup, Inc. 7.875%, 6/15/32 | 525 | 577 | |
QVC, Inc. 4.750%, 2/15/27 | 425 | 376 | |
Scientific Games International, Inc. | |||
144A 8.250%, 3/15/26(3) | 570 | 365 | |
144A 7.000%, 5/15/28(3) | 175 | 108 | |
Station Casinos LLC 144A 4.500%, 2/15/28(3) | 475 | 385 | |
Under Armour, Inc. 3.250%, 6/15/26 | 640 | 543 | |
Vista Outdoor, Inc. 5.875%, 10/1/23 | 616 | 510 | |
Weekley Homes LLC 6.625%, 8/15/25 | 685 | 616 | |
10,159 | |||
Consumer Staples—1.8% | |||
Albertsons Cos., Inc. 144A 4.625%, 1/15/27(3) | 745 | 741 | |
Altria Group, Inc. 4.800%, 2/14/29 | 960 | 1,005 | |
Bacardi Ltd. 144A 4.700%, 5/15/28(3) | 780 | 834 | |
BAT Capital Corp. 4.906%, 4/2/30 | 630 | 646 | |
Chobani LLC 144A 7.500%, 4/15/25(3) | 785 | 715 | |
Kronos Acquisition Holdings, Inc. 144A 9.000%, 8/15/23(3) | 434 | 356 | |
Sigma Finance Netherlands BV 144A 4.875%, 3/27/28(3) | 800 | 764 | |
5,061 | |||
Energy—5.4% | |||
Afren plc 144A 11.500%, 2/1/16(1)(3)(5) | 464 | —(7) |
Par Value | Value | ||
Energy—continued | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(3) | $660 | $396 | |
Blue Racer Midstream LLC 144A 6.625%, 7/15/26(3) | 750 | 435 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 290 | 52 | |
CGG SA PIK Interest Capitalization, (3 month LIBOR + 4.000%) 144A 5.696%, 2/21/24(3)(8) | 5 | 5 | |
Cheniere Energy Partners LP | |||
5.625%, 10/1/26 | 332 | 309 | |
144A 4.500%, 10/1/29(3) | 400 | 356 | |
CITGO Holding, Inc. 144A 9.250%, 8/1/24(3) | 290 | 236 | |
CrownRock LP 144A 5.625%, 10/15/25(3) | 670 | 348 | |
Denbury Resources, Inc. 144A 9.250%, 3/31/22(3) | 251 | 60 | |
Geopark Ltd. 144A 6.500%, 9/21/24(3) | 760 | 431 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 900 | 780 | |
KazMunayGas National Co. JSC 144A 4.750%, 4/19/27(3) | 1,705 | 1,629 | |
Kinder Morgan, Inc. 7.750%, 1/15/32 | 805 | 929 | |
MEG Energy Corp. 144A 7.125%, 2/1/27(3) | 485 | 241 | |
MPLX LP 4.000%, 3/15/28 | 707 | 628 | |
Nabors Industries, Inc. 5.750%, 2/1/25 | 355 | 78 | |
Odebrecht Offshore Drilling Finance Ltd. PIK Interest Capitalization, 144A 7.720%, 12/1/26(3)(9) | 894 | 89 | |
Odebrecht Oil & Gas Finance Ltd. 144A 0.000%(3)(5)(10) | 124 | 1 | |
Parsley Energy LLC 144A 4.125%, 2/15/28(3) | 420 | 286 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 635 | 238 | |
Pertamina Persero PT 144A 6.450%, 5/30/44(3) | 2,075 | 2,261 | |
Petrobras Global Finance B.V. | |||
7.375%, 1/17/27 | 922 | 943 | |
5.750%, 2/1/29 | 350 | 330 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(3) | 1,580 | 95 | |
Petroleos Mexicanos | |||
6.375%, 1/23/45 | 610 | 394 | |
6.350%, 2/12/48 | 480 | 300 |
Table of Contents
Par Value | Value | ||
Energy—continued | |||
Sabine Pass Liquefaction LLC 4.200%, 3/15/28 | $505 | $434 | |
Sanchez Energy Corp. 144A 7.250%, 2/15/23(1)(3)(5) | 375 | 56 | |
Sinopec Group Overseas Development 2017 Ltd. 144A 3.625%, 4/12/27(3) | 700 | 737 | |
State Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(2) | 855 | 845 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 623 | 519 | |
Transocean, Inc. 144A 8.000%, 2/1/27(3) | 70 | 33 | |
USA Compression Partners LP | |||
6.875%, 4/1/26 | 400 | 250 | |
6.875%, 9/1/27 | 385 | 239 | |
Vine Oil & Gas LP 144A 8.750%, 4/15/23(3) | 573 | 126 | |
15,089 | |||
Financials—9.0% | |||
Acrisure LLC | |||
144A 8.125%, 2/15/24(3) | 255 | 248 | |
144A 7.000%, 11/15/25(3) | 780 | 671 | |
AerCap Ireland Capital DAC 3.650%, 7/21/27 | 975 | 756 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53(11) | 845 | 761 | |
Athene Holding Ltd. 4.125%, 1/12/28 | 935 | 845 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(3) | 725 | 728 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(3) | 1,005 | 767 | |
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 5.125%, 1/18/33(3) | 890 | 737 | |
Banco de Bogota S.A. 144A 6.250%, 5/12/26(3) | 530 | 501 | |
Bank of Montreal 3.803%, 12/15/32 | 529 | 514 | |
Brighthouse Financial, Inc. 3.700%, 6/22/27 | 935 | 811 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 785 | 740 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 1,030 | 972 |
Par Value | Value | ||
Financials—continued | |||
Citadel LP 144A 4.875%, 1/15/27(3) | $605 | $583 | |
Development Bank of Kazakhstan JSC 144A 8.950%, 5/4/23(3) | 160,000KZT | 314 | |
Discover Bank 4.682%, 8/9/28 | 865 | 881 | |
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(3) | 645 | 619 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 845 | 912 | |
Goldman Sachs Group, Inc. (The) 3.850%, 1/26/27 | 875 | 900 | |
Grupo de Inversiones Suramericana S.A. 144A 5.500%, 4/29/26(3) | 610 | 584 | |
ICAHN Enterprises LP 6.250%, 5/15/26 | 765 | 723 | |
ING Groep N.V. 6.000%(10)(11) | 665 | 630 | |
Intercorp Peru Ltd. 144A 3.875%, 8/15/29(3) | 740 | 649 | |
Jefferies Group LLC 4.850%, 1/15/27 | 360 | 357 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(3) | 355 | 280 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 3.859%, 4/20/67(4)(11) | 300 | 180 | |
MSCI, Inc. | |||
144A 4.000%, 11/15/29(3) | 571 | 567 | |
144A 3.625%, 9/1/30(3) | 40 | 38 | |
Navient Corp. | |||
6.750%, 6/25/25 | 611 | 562 | |
5.000%, 3/15/27 | 200 | 172 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 485 | 470 | |
5.625%, 6/15/43(11) | 450 | 423 | |
Santander Holdings USA, Inc. | |||
3.500%, 6/7/24 | 270 | 264 | |
4.400%, 7/13/27 | 700 | 689 | |
Springleaf Finance Corp. | |||
7.125%, 3/15/26 | 670 | 656 | |
5.375%, 11/15/29 | 60 | 55 | |
Synchrony Financial 3.950%, 12/1/27 | 850 | 756 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 437 | 406 | |
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54(3) | 740 | 755 |
Par Value | Value | ||
Financials—continued | |||
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | $910 | $905 | |
Truist Bank 2.250%, 3/11/30 | 820 | 752 | |
Voya Financial, Inc. 5.650%, 5/15/53 | 615 | 564 | |
Wells Fargo & Co. Series S 5.900%(10)(11) | 640 | 629 | |
25,326 | |||
Health Care—3.5% | |||
Advanz Pharma Corp., Ltd. 8.000%, 9/6/24 | 104 | 92 | |
Avantor, Inc. | |||
144A 6.000%, 10/1/24(3) | 302 | 316 | |
144A 9.000%, 10/1/25(3) | 388 | 408 | |
Bausch Health Americas, Inc. | |||
144A 9.250%, 4/1/26(3) | 190 | 198 | |
144A 8.500%, 1/31/27(3) | 315 | 329 | |
Bausch Health Cos., Inc. 144A 7.000%, 1/15/28(3) | 455 | 472 | |
Catalent Pharma Solutions, Inc. 144A 5.000%, 7/15/27(3) | 150 | 145 | |
Centene Corp. 144A 4.625%, 12/15/29(3) | 325 | 327 | |
Charles River Laboratories International, Inc. 144A 4.250%, 5/1/28(3) | 195 | 188 | |
Community Health Systems, Inc. 144A 6.625%, 2/15/25(3) | 375 | 347 | |
CVS Health Corp. 3.750%, 4/1/30 | 625 | 647 | |
HCA, Inc. | |||
5.375%, 2/1/25 | 319 | 325 | |
5.625%, 9/1/28 | 397 | 416 | |
5.875%, 2/1/29 | 65 | 69 | |
4.125%, 6/15/29 | 720 | 725 | |
LifePoint Health, Inc. 144A 4.375%, 2/15/27(3) | 305 | 287 | |
Mylan NV 3.950%, 6/15/26 | 690 | 689 | |
Ortho-Clinical Diagnostics, Inc. | |||
144A 6.625%, 5/15/22(3) | 71 | 67 | |
144A 7.250%, 2/1/28(3) | 110 | 95 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(3) | 335 | 333 | |
Perrigo Finance Unlimited Co. 4.375%, 3/15/26 | 600 | 620 | |
Select Medical Corp. 144A 6.250%, 8/15/26(3) | 520 | 520 |
Table of Contents
Par Value | Value | ||
Health Care—continued | |||
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(3) | $315 | $227 | |
144A 10.000%, 4/15/27(3) | 290 | 203 | |
Tenet Healthcare Corp. | |||
8.125%, 4/1/22 | 155 | 146 | |
144A 5.125%, 11/1/27(3) | 255 | 244 | |
Teva Pharmaceutical Finance Netherlands III BV | |||
3.150%, 10/1/26 | 555 | 467 | |
144A 7.125%, 1/31/25(3) | 200 | 198 | |
West Street Merger Sub, Inc. 144A 6.375%, 9/1/25(3) | 792 | 690 | |
9,790 | |||
Industrials—4.3% | |||
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(3) | 715 | 700 | |
ASGN, Inc. 144A 4.625%, 5/15/28(3) | 400 | 375 | |
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(3) | 870 | 805 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(3) | 807 | 646 | |
Beacon Roofing Supply, Inc. 144A 4.500%, 11/15/26(3) | 620 | 572 | |
Bombardier, Inc. | |||
144A 8.750%, 12/1/21(3) | 530 | 440 | |
144A 7.500%, 3/15/25(3) | 280 | 194 | |
Carlisle Cos., Inc. 2.750%, 3/1/30 | 251 | 219 | |
DP World plc 144A 6.850%, 7/2/37(3) | 730 | 688 | |
Garda World Security Corp. 144A 4.625%, 2/15/27(3) | 390 | 349 | |
GFL Environmental, Inc. | |||
144A 7.000%, 6/1/26(3) | 159 | 154 | |
144A 8.500%, 5/1/27(3) | 153 | 154 | |
Hillenbrand, Inc. 4.500%, 9/15/26 | 395 | 402 | |
Hillman Group, Inc. (The) 144A 6.375%, 7/15/22(3) | 540 | 419 | |
Norwegian Air Shuttle ASA Pass-Through-Trust 2016-1, A 144A 4.875%, 5/10/28(3) | 862 | 623 | |
Oshkosh Corp. 4.600%, 5/15/28 | 742 | 719 |
Par Value | Value | ||
Industrials—continued | |||
Pentair Finance S.a.r.l 4.500%, 7/1/29 | $690 | $726 | |
Signature Aviation US Holdings, Inc. 144A 4.000%, 3/1/28(3) | 775 | 700 | |
SRS Distribution, Inc. 144A 8.250%, 7/1/26(3) | 450 | 405 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60(11) | 1,686 | 1,600 | |
Titan Acquisition Ltd. 144A 7.750%, 4/15/26(3) | 433 | 362 | |
TransDigm, Inc. | |||
144A 6.250%, 3/15/26(3) | 290 | 289 | |
144A 5.500%, 11/15/27(3) | 640 | 574 | |
12,115 | |||
Information Technology—2.4% | |||
Alibaba Group Holding Ltd. 3.400%, 12/6/27 | 760 | 797 | |
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(3) | 83 | 73 | |
Citrix Systems, Inc. 3.300%, 3/1/30 | 1,145 | 1,065 | |
Dell International LLC 144A 8.100%, 7/15/36(3) | 295 | 339 | |
Exela Intermediate LLC 144A 10.000%, 7/15/23(3) | 287 | 75 | |
Juniper Networks, Inc. 3.750%, 8/15/29 | 815 | 791 | |
Motorola Solutions, Inc. | |||
4.600%, 2/23/28 | 521 | 531 | |
4.600%, 5/23/29 | 270 | 284 | |
Open Text Holdings, Inc. 144A 4.125%, 2/15/30(3) | 710 | 668 | |
Radiate Holdco LLC 144A 6.625%, 2/15/25(3) | 705 | 599 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(3) | 80 | 77 | |
ViaSat, Inc. 144A 5.625%, 9/15/25(3) | 830 | 776 | |
VMware, Inc. 3.900%, 8/21/27 | 636 | 627 | |
6,702 | |||
Materials—5.3% | |||
Alpek SAB de C.V. 144A 5.375%, 8/8/23(3) | 1,110 | 1,030 | |
ARD Finance S.A. PIK Interest Capitalization, 144A 6.500%, 6/30/27(3)(12) | 780 | 670 |
Par Value | Value | ||
Materials—continued | |||
Avery Dennison Corp. 2.650%, 4/30/30 | $755 | $703 | |
BHP Billiton Finance USA Ltd. 144A 6.750%, 10/19/75(3)(11) | 680 | 721 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(3) | 125 | 110 | |
CPG Merger Sub LLC 144A 8.000%, 10/1/21(3) | 320 | 311 | |
Equate Petrochemical BV 144A 4.250%, 11/3/26(3) | 765 | 727 | |
Glencore Funding LLC 144A 4.000%, 3/27/27(3) | 950 | 865 | |
Greif, Inc. 144A 6.500%, 3/1/27(3) | 420 | 403 | |
GUSAP III LP 144A 4.250%, 1/21/30(3) | 805 | 710 | |
Hecla Mining Co. 7.250%, 2/15/28 | 440 | 387 | |
INEOS Group Holdings S.A. 144A 5.625%, 8/1/24(3) | 335 | 305 | |
Inversiones CMPC S.A. 144A 3.850%, 1/13/30(3) | 960 | 864 | |
Kaiser Aluminum Corp. 144A 4.625%, 3/1/28(3) | 480 | 426 | |
Kraton Polymers LLC 144A 7.000%, 4/15/25(3) | 716 | 634 | |
LSB Industries, Inc. 144A 9.625%, 5/1/23(3) | 360 | 299 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(3) | 650 | 492 | |
Novelis Corp. 144A 4.750%, 1/30/30(3) | 405 | 360 | |
Olin Corp. 5.625%, 8/1/29 | 690 | 635 | |
Reynolds Group Issuer, Inc. 144A 7.000%, 7/15/24(3) | 370 | 376 | |
SABIC Capital II BV 144A 4.500%, 10/10/28(3) | 795 | 827 | |
Schweitzer-Mauduit International, Inc. 144A 6.875%, 10/1/26(3) | 595 | 592 | |
Scotts Miracle-Gro Co. (The) 4.500%, 10/15/29 | 465 | 443 | |
Syngenta Finance N.V. 144A 4.441%, 4/24/23(3) | 315 | 297 |
Table of Contents
Par Value | Value | ||
Materials—continued | |||
Teck Resources Ltd. 6.125%, 10/1/35 | $690 | $634 | |
TPC Group, Inc. 144A 10.500%, 8/1/24(3) | 285 | 233 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(3) | 425 | 353 | |
144A 6.625%, 11/1/25(3) | 446 | 358 | |
14,765 | |||
Real Estate—2.1% | |||
EPR Properties 4.750%, 12/15/26 | 815 | 741 | |
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(3) | 770 | 601 | |
GLP Capital LP | |||
5.250%, 6/1/25 | 600 | 555 | |
5.750%, 6/1/28 | 229 | 202 | |
5.300%, 1/15/29 | 336 | 287 | |
Iron Mountain, Inc. 144A 4.875%, 9/15/29(3) | 775 | 728 | |
iStar, Inc. 4.250%, 8/1/25 | 770 | 633 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 302 | 293 | |
4.625%, 8/1/29 | 145 | 134 | |
Office Properties Income Trust 4.500%, 2/1/25 | 900 | 881 | |
Service Properties Trust 4.950%, 2/15/27 | 900 | 682 | |
5,737 | |||
Utilities—2.3% | |||
American Electric Power Co., Inc. 2.300%, 3/1/30 | 533 | 497 | |
CenterPoint Energy, Inc. 4.250%, 11/1/28 | 365 | 374 | |
Centrais Eletricas Brasileiras S.A. 144A 4.625%, 2/4/30(3) | 620 | 549 | |
DPL, Inc. 144A 4.350%, 4/15/29(3) | 998 | 950 | |
Edison International 4.950%, 4/15/25 | 735 | 733 | |
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(3) | 670 | 482 | |
Ferrellgas Partners LP 8.625%, 6/15/20(6) | 135 | 34 | |
Perusahaan Listrik Negara PT 144A 4.125%, 5/15/27(3) | 1,000 | 964 | |
Talen Energy Supply LLC | |||
144A 7.250%, 5/15/27(3) | 145 | 131 | |
144A 6.625%, 1/15/28(3) | 560 | 469 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(3) | 581 | 609 | |
Texas Competitive Electric Escrow,(5) | 200 | — |
Par Value | Value | ||
Utilities—continued | |||
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20(3)(5) | $375 | $—(7) | |
Transportadora de Gas Internacional SA ESP 144A 5.550%, 11/1/28(3) | 750 | 721 | |
6,513 | |||
Total Corporate Bonds and Notes (Identified Cost $142,752) | 125,221 | ||
Leveraged Loans(4)—9.9% | |||
Aerospace—0.6% | |||
AI Convoy (Luxembourg) S.a.r.l. Tranche B (3 month LIBOR + 3.500%) 5.340%, 1/18/27 | 650 | 575 | |
Atlantic Aviation FBO, Inc. (1 month LIBOR + 3.750%) 4.740%, 12/6/25 | 148 | 141 | |
Dynasty Acquisition Co., Inc. | |||
2020, Tranche B-1 (3 month LIBOR + 3.500%) 4.950%, 4/6/26 | 277 | 219 | |
2020, Tranche B-2 (3 month LIBOR + 3.500%) 4.950%, 4/6/26 | 149 | 118 | |
DynCorp International, Inc. Tranche B, First Lien (1 month LIBOR + 6.000%) 6.612%, 8/18/25 | 331 | 273 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 3.239%, 5/30/25 | 216 | 196 | |
Tranche F (1 month LIBOR + 2.250%) 3.239%, 12/9/25 | 141 | 128 | |
1,650 | |||
Chemicals—0.1% | |||
Innophos Holdings, Inc. (1 month LIBOR + 3.750%) 4.755%, 2/4/27 | 400 | 339 | |
Consumer Non-Durables—0.7% | |||
American Greetings Corp. (1 month LIBOR + 4.500%) 5.500%, 4/6/24 | 819 | 647 | |
Diamond (BC) B.V. (3 month LIBOR + 3.000%) 4.777%, 9/6/24 | 494 | 365 | |
Kronos Acquisition Holdings, Inc. Tranche B-3 (1 month LIBOR + 4.000%) 5.000%, 5/15/23 | 374 | 333 |
Par Value | Value | ||
Consumer Non-Durables—continued | |||
Parfums Holding Co., Inc. First Lien (3 month LIBOR + 4.250%) 5.863%, 6/30/24 | $349 | $270 | |
Rodan & Fields LLC (1 month LIBOR + 3.000%) 4.709%, 6/16/25 | 703 | 307 | |
1,922 | |||
Energy—0.2% | |||
California Resources Corp. 2016 (3 month LIBOR + 10.375%) 11.988%, 12/31/21 | 420 | 20 | |
CITGO Petroleum Corp. 2019, Tranche B (1 month LIBOR + 5.000%) 6.000%, 3/27/24 | 356 | 310 | |
Fieldwood Energy LLC First Lien (3 month LIBOR + 5.250%) 7.027%, 4/11/22 | 880 | 275 | |
605 | |||
Financial—0.7% | |||
Asurion LLC Tranche B-2, Second Lien (1 month LIBOR + 6.500%) 7.489%, 8/4/25 | 559 | 509 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 3.989%, 6/16/25 | 645 | 521 | |
Deerfield Dakota Holding LLC Tranche B, First Lien (3 month LIBOR + 4.000%) 0.000%, 3/5/27(13) | 280 | 235 | |
FinCo I LLC 2018 (1 month LIBOR + 2.000%) 2.989%, 12/27/22 | 144 | 138 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 3.680%, 6/28/23 | 511 | 455 | |
1,858 | |||
Food / Tobacco—0.6% | |||
Chobani LLC Tranche B (1 month LIBOR + 3.500%) 4.500%, 10/10/23 | 478 | 424 | |
Dole Food Co., Inc. Tranche B (1 month LIBOR + 2.750%) 3.750%, 4/6/24 | 469 | 420 | |
H-Food Holdings LLC (1 month LIBOR + 3.688%) 4.677%, 5/23/25 | 338 | 281 | |
Milk Specialties Co. (1 month LIBOR + 4.000%) 5.000%, 8/16/23(5) | 285 | 194 |
Table of Contents
Par Value | Value | ||
Food / Tobacco—continued | |||
Shearer’s Foods LLC Second Lien (1 month LIBOR + 6.750%) 7.750%, 6/30/22 | $460 | $424 | |
1,743 | |||
Forest Prod / Containers—0.2% | |||
BWay Holding Co. (3 month LIBOR + 3.250%) 5.084%, 4/3/24 | 318 | 258 | |
Spectrum Holdings III Corp. First Lien (3 month LIBOR + 3.250%) 4.252%, 1/31/25 | 277 | 188 | |
446 | |||
Gaming / Leisure—0.5% | |||
Affinity Gaming LLC (1 month LIBOR + 3.250%) 4.250%, 7/3/23 | 501 | 372 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24 | 269 | 182 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 4.246%, 8/14/24 | 333 | 268 | |
Stars Group Holdings B.V. (3 month LIBOR + 3.500%) 4.950%, 7/10/25 | 492 | 468 | |
UFC Holdings LLC Tranche B (1 month LIBOR + 3.250%) 4.250%, 4/29/26 | 254 | 221 | |
1,511 | |||
Healthcare—1.6% | |||
21st Century Oncology, Inc. Tranche B (1 month LIBOR + 6.125%) 7.125%, 1/16/23 | 156 | 148 | |
Accelerated Health Systems LLC (1 month LIBOR + 3.500%) 4.297%, 10/31/25 | 400 | 340 | |
Agiliti Health, Inc. (1 month LIBOR + 3.000%) 4.625%, 1/4/26 | 114 | 109 | |
AHP Health Partners, Inc. (1 month LIBOR + 4.500%) 5.500%, 6/30/25 | 483 | 424 |
Par Value | Value | ||
Healthcare—continued | |||
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 3.362%, 11/27/25 | $195 | $185 | |
(1 month LIBOR + 3.000%) 3.612%, 6/2/25 | 87 | 82 | |
CHG Healthcare Services, Inc. (3 month LIBOR + 3.000%) 4.073%, 6/7/23 | 560 | 495 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 4.739%, 10/10/25 | 287 | 145 | |
EyeCare Partners LLC | |||
First Lien (3 month LIBOR + 3.750%) 3.750%, 2/18/27(14) | 81 | 65 | |
First Lien (6 month LIBOR + 3.750%) 4.822%, 2/18/27 | 345 | 276 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.739%, 11/17/25 | 650 | 600 | |
Navicure, Inc. (1 month LIBOR + 4.000%) 4.989%, 10/22/26 | 255 | 233 | |
One Call Corp. First Lien (3 month LIBOR + 5.250%) 6.954%, 11/27/22 | 521 | 417 | |
Ortho-Clinical Diagnostics, Inc. (1 month LIBOR + 3.250%) 4.765%, 6/30/25 | 338 | 286 | |
Phoenix Guarantor, Inc. Tranche B-1 (3 month LIBOR + 3.250%) 4.113%, 3/5/26 | 114 | 103 | |
Sotera Health Holdings LLC First Lien (1 month LIBOR + 4.500%) 5.500%, 12/11/26 | 470 | 407 | |
Viant Medical Holdings, Inc. First Lien (3 month LIBOR + 3.750%) 5.200%, 7/2/25 | 264 | 227 | |
4,542 | |||
Housing—0.3% | |||
American Builders & Contractors Supply Co., Inc. (1 month LIBOR + 2.000%) 2.989%, 1/15/27 | 388 | 365 |
Par Value | Value | ||
Housing—continued | |||
CPG International LLC (3 month LIBOR + 3.750%) 5.933%, 5/6/24 | $560 | $464 | |
829 | |||
Information Technology—1.0% | |||
Applied Systems, Inc. Second Lien (3 month LIBOR + 7.000%) 8.450%, 9/19/25 | 305 | 275 | |
Aston Finco S.a.r.l. First Lien (3 month LIBOR + 4.250%) 6.128%, 10/9/26 | 275 | 243 | |
Boxer Parent Co., Inc. (1 month LIBOR + 4.250%) 5.239%, 10/2/25 | 161 | 133 | |
Dell International LLC Tranche B-1 (1 month LIBOR + 2.000%) 2.990%, 9/19/25 | 206 | 196 | |
Kronos, Inc. | |||
2018 (3 month LIBOR + 3.000%) 4.763%, 11/1/23 | 820 | 744 | |
Second Lien (3 month LIBOR + 8.250%) 10.013%, 11/1/24 | 233 | 213 | |
SS&C Technologies, Inc. | |||
Tranche B-3 (1 month LIBOR + 1.750%) 2.739%, 4/16/25 | 189 | 176 | |
Tranche B-4 (1 month LIBOR + 1.750%) 2.739%, 4/16/25 | 134 | 126 | |
Vertafore, Inc. First Lien (1 month LIBOR + 3.250%) 4.239%, 7/2/25 | 457 | 400 | |
Vertiv Group Corp. (1 month LIBOR + 3.000%) 4.581%, 3/2/27 | 345 | 297 | |
2,803 | |||
Manufacturing—0.5% | |||
CPI Acquisition, Inc. First Lien (3 month LIBOR + 4.500%) 6.381%, 8/17/22 | 604 | 376 | |
Filtration Group Corp. (1 month LIBOR + 3.000%) 3.989%, 3/29/25 | 521 | 450 | |
Star US Bidco LLC (1 month LIBOR + 4.250%) 5.250%, 3/17/27 | 395 | 337 |
Table of Contents
Par Value | Value | ||
Manufacturing—continued | |||
U.S. Farathane LLC Tranche B-4 (3 month LIBOR + 3.500%) 4.950%, 12/23/21 | $513 | $318 | |
1,481 | |||
Media / Telecom - Broadcasting—0.2% | |||
Diamond Sports Group LLC (1 month LIBOR + 3.250%) 4.180%, 8/24/26 | 279 | 215 | |
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.750%) 4.331%, 9/18/26 | 216 | 200 | |
415 | |||
Media / Telecom - Cable/Wireless Video—0.3% | |||
CSC Holdings LLC 2018 (1 month LIBOR + 2.250%) 2.862%, 1/15/26 | 321 | 307 | |
Intelsat Jackson Holdings S.A. Tranche B-5 (3 month LIBOR + 0.000%) 6.625%, 1/2/24 | 318 | 293 | |
Ziggo Financing Partnership Tranche I (1 month LIBOR + 2.500%) 3.205%, 4/30/28 | 165 | 155 | |
755 | |||
Media / Telecom - Telecommunications—0.2% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 3.239%, 3/15/27 | 254 | 236 | |
Securus Technologies Holdings, Inc. Second Lien (1 month LIBOR + 8.250%) 9.250%, 11/1/25 | 390 | 182 | |
418 | |||
Media / Telecom - Wireless Communications—0.1% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 4.239%, 4/4/26 | 229 | 215 | |
Iridium Satellite LLC (1 month LIBOR + 3.750%) 4.750%, 11/4/26 | 85 | 80 | |
295 | |||
Retail—0.0% | |||
Neiman Marcus Group Ltd. LLC (1 month LIBOR + 6.000%) 7.500%, 10/25/23 | 328 | 129 |
Par Value | Value | ||
Service—1.3% | |||
Carlisle Food Service Products, Inc. First Lien (1 month LIBOR + 3.000%) 4.000%, 3/20/25 | $491 | $388 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 4.000%) 4.959%, 2/6/26 | 390 | 350 | |
GFL Environmental, Inc. 2018 (1 month LIBOR + 3.000%) 3.991%, 5/30/25 | 453 | 437 | |
Hoya Midco LLC First Lien (1 month LIBOR + 3.500%) 5.007%, 6/30/24 | 199 | 141 | |
Pearl Intermediate Parent LLC First Lien (1 month LIBOR + 2.750%) 3.739%, 2/14/25 | 604 | 499 | |
Pi US Mergerco, Inc. Tranche B-1 (3 month LIBOR + 3.250%) 4.700%, 1/3/25 | 654 | 547 | |
Pug LLC Tranche B (1 month LIBOR + 3.500%) 4.489%, 2/12/27 | 648 | 551 | |
Sedgwick Claims Management Services, Inc. 2019 (1 month LIBOR + 4.000%) 4.989%, 9/3/26 | 456 | 409 | |
TKC Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 4.750%, 2/1/23 | 321 | 256 | |
3,578 | |||
Transportation - Automotive—0.2% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.989%, 11/2/23(5) | 560 | 364 | |
Panther BF Aggregator 2 LP First Lien (1 month LIBOR + 3.500%) 4.441%, 4/30/26 | 343 | 312 | |
676 | |||
Utility—0.6% | |||
APLP Holdings LP 2020, Tranche B (3 month LIBOR + 2.500%) 4.103%, 4/14/25 | 373 | 358 | |
Brookfield WEC Holdings, Inc. (1 month LIBOR + 3.000%) 3.989%, 8/1/25 | 697 | 655 |
Par Value | Value | ||
Utility—continued | |||
Calpine Corp. 2019 (1 month LIBOR + 2.250%) 3.240%, 4/5/26 | $387 | $367 | |
Pacific Gas and Electric Co. (3 month LIBOR + 2.250%) 3.120%, 12/31/20 | 305 | 295 | |
1,675 | |||
Total Leveraged Loans (Identified Cost $33,876) | 27,670 | ||
Shares | ||
Preferred Stocks—1.9% | ||
Financials—1.7% | ||
Citigroup, Inc. Series P, 5.950% | 530(15) | 514 |
Huntington Bancshares, Inc. Series E, 5.700% | 353(15) | 282 |
JPMorgan Chase & Co. Series HH, 4.600% | 347(15) | 304 |
KeyCorp Series D, 5.000%(16) | 1,090(15) | 948 |
M&T Bank Corp. Series F, 5.125%(16) | 598(15) | 574 |
MetLife, Inc. Series D, 5.875% | 478(15) | 457 |
PNC Financial Services Group, Inc. (The) Series S, 5.000% | 775(15) | 732 |
Zions Bancorp, 6.950% | 38,525 | 1,008 |
4,819 | ||
Industrials—0.2% | ||
General Electric Co. Series D, 5.000% | 730(15) | 602 |
Total Preferred Stocks (Identified Cost $5,810) | 5,421 | |
Common Stocks—0.0% | ||
Communication Services—0.0% | ||
Clear Channel Outdoor Holdings, Inc.(17) | 11,677 | 8 |
Consumer Discretionary—0.0% | ||
Mark IV Industries(5) | 446 | 4 |
Energy—0.0% | ||
Frontera Energy Corp. | 6,656 | 16 |
Total Common Stocks (Identified Cost $176) | 28 | |
Exchange-Traded Funds(18)—1.8% | ||
Invesco Senior Loan ETF | 102,552 | 2,098 |
Table of Contents
Shares | Value | ||
iShares iBoxx High Yield Corporate Bond ETF | 39,379 | $3,035 | |
Total Exchange-Traded Funds (Identified Cost $5,161) | 5,133 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(5)(17) | 6,252 | 7 | |
Total Rights (Identified Cost $5) | 7 | ||
Warrant—0.0% | |||
Communication Services—0.0% | |||
iHeartMedia, Inc. | 4,966 | 32 | |
Total Warrant (Identified Cost $86) | 32 | ||
Total Long-Term Investments—92.2% (Identified Cost $288,891) | 258,396 | ||
Short-Term Investment—4.4% | |||
Money Market Mutual Fund—4.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.290%)(19) | 12,381,931 | 12,382 | |
Total Short-Term Investment (Identified Cost $12,382) | 12,382 | ||
TOTAL INVESTMENTS—96.6% (Identified Cost $301,273) | $270,778 | ||
Other assets and liabilities, net—3.4% | 9,534 | ||
NET ASSETS—100.0% | $280,312 |
Abbreviations: | |
BAM | Build America Municipal Insured |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
MASTR | Morgan Stanley Structured Asset Security |
PIK | Payment-in-Kind Security |
Footnote Legend: | |
(1) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(2) | Regulation S security. Security is offered and sold outside of the United States. Therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2020, these securities amounted to a value of $138,662 or 49.5% of net assets. |
(4) | Variable rate security. Rate disclosed is as of March 31, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(6) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(7) | Amount is less than $500. |
(8) | 40% of the income received was in cash and 60% was in PIK. |
(9) | 13% of the income received was in cash and 87% was in PIK. |
(10) | No contractual maturity date. |
(11) | Interest payments may be deferred. |
(12) | First pay date will be in June 2020. |
(13) | This loan will settle after March 31, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(14) | Represents unfunded portion of security and commitment fee earned on this portion. |
(15) | Value shown as par value. |
(16) | Interest may be forfeited. |
(17) | Non-income producing. |
(18) | Shares of these funds are publicly offered, and the prospectus and annual reports of each are publicly available. |
(19) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Foreign Currencies: | |
KZT | Kazakhstani Tenge |
MXN | Mexican Peso |
Country Weightings† | |
United States | 78% |
Canada | 3 |
Netherlands | 3 |
Indonesia | 2 |
Mexico | 2 |
Luxembourg | 1 |
Cayman Islands | 1 |
Other | 10 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Table of Contents
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $22,338 | $— | $20,934 | $1,404 | |||
Corporate Bonds and Notes | 125,221 | — | 125,164 | 57(1)(2) | |||
Foreign Government Securities | 15,148 | — | 15,148 | — | |||
Leveraged Loans | 27,670 | — | 27,112 | 558 | |||
Mortgage-Backed Securities | 47,285 | — | 46,303 | 982 | |||
Municipal Bonds | 3,671 | — | 3,671 | — | |||
U.S. Government Securities | 6,442 | — | 6,442 | — | |||
Equity Securities: | |||||||
Exchange-Traded Funds | 5,133 | 5,133 | — | — | |||
Preferred Stocks | 5,421 | 1,008 | 4,413 | — | |||
Common Stocks | 28 | 24 | — | 4 | |||
Rights | 7 | — | — | 7 | |||
Warrant | 32 | — | 32 | — | |||
Money Market Mutual Fund | 12,382 | 12,382 | — | — | |||
Total Investments | $270,778 | $18,547 | $249,219 | $3,012 |
(1) | Includes internally fair valued security. |
(2) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Asset-Backed Securities | Corporate Bonds And Notes | Leveraged Loans | Mortgage-Backed Securities | Common Stocks | Rights | Warrant | ||||||||
Investments in Securities | |||||||||||||||
Balance as of September 30, 2019: | $2,725 | $753 | $—(a)(b) | $— | $1,883 | $12 | $6 | $71 | |||||||
Accrued discount/(premium) | —(d) | — | — | — | —(a) | — | — | — | |||||||
Realized gain (loss) | (9) | — | — | —(a) | (9) | — | — | — | |||||||
Change in unrealized appreciation (depreciation)(c) | (333) | — | — | (178) | (109) | (8) | 1 | (39) | |||||||
Purchases | 1,168 | — | — | 543 | 625 | — | — | — | |||||||
Sales(d) | (1,484) | (753) | — | (1) | (730) | — | — | — | |||||||
Transfers into Level 3(e) | 1,655 | 1,404 | 57 | 194 | — | — | — | — | |||||||
Transfers from Level 3(e) | (710) | — | — | — | (678) | — | — | (32) | |||||||
Balance as of March 31, 2020 | $3,012 | $1,404 | $57(b)(f) | $558 | $982 | $4 | $7 | $— |
Table of Contents
Par Value | Value | ||
Corporate Bonds and Notes—5.1% | |||
Communication Services—0.9% | |||
Clear Channel Worldwide Holdings, Inc. 144A 5.125%, 8/15/27(1) | $130 | $122 | |
Diamond Sports Group LLC 144A 5.375%, 8/15/26(1) | 445 | 361 | |
DISH DBS Corp. 5.875%, 7/15/22 | 575 | 560 | |
Front Range BidCo, Inc. 144A 4.000%, 3/1/27(1) | 25 | 24 | |
iHeartCommunications, Inc. | |||
6.375%, 5/1/26 | 258 | 244 | |
8.375%, 5/1/27 | 467 | 398 | |
1,709 | |||
Consumer Staples—0.4% | |||
Dole Food Co., Inc. 144A 7.250%, 6/15/25(1) | 855 | 675 | |
Financials—1.4% | |||
Acrisure LLC 144A 8.125%, 2/15/24(1) | 220 | 214 | |
ICAHN Enterprises LP 4.750%, 9/15/24 | 1,000 | 918 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 225 | 178 | |
Springleaf Finance Corp. 6.125%, 5/15/22 | 1,105 | 1,121 | |
2,431 | |||
Health Care—1.3% | |||
Community Health Systems, Inc. 144A 6.625%, 2/15/25(1) | 430 | 398 | |
LifePoint Health, Inc. 144A 4.375%, 2/15/27(1) | 260 | 245 | |
One Call Corp. PIK Interest Capitalization 144A 7.500%, 7/1/24(1)(2) | 1,556 | 1,376 | |
West Street Merger Sub, Inc. 144A 6.375%, 9/1/25(1) | 345 | 301 | |
2,320 | |||
Industrials—0.2% | |||
Garda World Security Corp. 144A 4.625%, 2/15/27(1) | 445 | 398 | |
Materials—0.5% | |||
Ardagh Packaging Finance plc 144A 6.000%, 2/15/25(1) | 785 | 787 |
Par Value | Value | ||
Materials—continued | |||
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(1) | $95 | $84 | |
871 | |||
Real Estate—0.4% | |||
iStar, Inc. 4.250%, 8/1/25 | 875 | 720 | |
Utilities—0.0% | |||
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20(1)(3) | 9,165 | 11 | |
Total Corporate Bonds and Notes (Identified Cost $10,028) | 9,135 | ||
Leveraged Loans(4)—95.1% | |||
Aerospace—2.9% | |||
AI Convoy (Luxembourg) S.a.r.l. Tranche B (3 month LIBOR + 3.500%) 5.340%, 1/18/27 | 840 | 743 | |
American Airlines, Inc. 2018 (1 month LIBOR + 1.750%) 2.709%, 6/27/25 | 1,306 | 1,030 | |
Atlantic Aviation FBO, Inc. (1 month LIBOR + 3.750%) 4.740%, 12/6/25 | 331 | 314 | |
DynCorp International, Inc. Tranche B, First Lien (1 month LIBOR + 6.000%) 6.612%, 8/18/25 | 619 | 511 | |
Kestrel Bidco, Inc. (1 month LIBOR + 3.000%) 4.000%, 12/11/26 | 1,197 | 910 | |
TransDigm, Inc. Tranche F (1 month LIBOR + 2.250%) 3.239%, 12/9/25 | 1,794 | 1,629 | |
5,137 | |||
Chemicals—3.1% | |||
Ascend Performance Materials Operations LLC (3 month LIBOR + 5.250%) 6.700%, 8/27/26 | 463 | 389 | |
Element Solutions, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.989%, 2/2/26 | 1,002 | 927 | |
H.B. Fuller Co. Tranche B (1 month LIBOR + 2.000%) 2.773%, 10/21/24 | 966 | 833 | |
Hexion, Inc. Tranche B (3 month LIBOR + 3.500%) 5.410%, 7/1/26 | 892 | 743 |
Par Value | Value | ||
Chemicals—continued | |||
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 2.989%, 4/1/24 | $2,127 | $1,938 | |
Innophos Holdings, Inc. (1 month LIBOR + 3.750%) 4.755%, 2/4/27 | 870 | 737 | |
5,567 | |||
Consumer Durables—1.1% | |||
Plantronics, Inc. Tranche B (1 month LIBOR + 2.500%) 3.474%, 7/2/25 | 750 | 580 | |
Serta Simmons Bedding LLC First Lien (1 month LIBOR + 3.500%) 4.500%, 11/8/23 | 1,663 | 652 | |
Zodiac Pool Solutions LLC Tranche B-1 (1 month LIBOR + 2.000%) 2.989%, 7/2/25 | 845 | 761 | |
1,993 | |||
Consumer Non-Durables—3.6% | |||
Diamond (BC) B.V. (3 month LIBOR + 3.000%) 4.777%, 9/6/24 | 1,406 | 1,040 | |
Isagenix International LLC (3 month LIBOR + 5.750%) 7.017%, 6/16/25 | 1,495 | 523 | |
Kronos Acquisition Holdings, Inc. Tranche B-3 (1 month LIBOR + 4.000%) 5.000%, 5/15/23 | 1,883 | 1,677 | |
Libbey Glass, Inc. (1 month LIBOR + 3.000%) 4.005%, 4/9/21 | 1,291 | 526 | |
Parfums Holding Co., Inc. First Lien (3 month LIBOR + 4.250%) 5.863%, 6/30/24 | 1,210 | 937 | |
Revlon Consumer Products Corp. Tranche B (3 month LIBOR + 3.500%) 5.111%, 9/7/23 | 1,408 | 540 | |
Rodan & Fields LLC (1 month LIBOR + 3.000%) 4.709%, 6/16/25 | 1,109 | 484 | |
ZEP, Inc. First Lien (6 month LIBOR + 4.000%) 5.072%, 8/12/24 | 1,194 | 781 | |
6,508 | |||
Table of Contents
Par Value | Value | ||
Energy—1.6% | |||
California Resources Corp. 2017 (3 month LIBOR + 4.750%) 6.363%, 12/31/22(3) | $1,000 | $220 | |
CITGO Holding, Inc. (1 month LIBOR + 7.000%) 8.000%, 8/1/23 | 314 | 253 | |
CITGO Petroleum Corp. 2019, Tranche B (1 month LIBOR + 5.000%) 6.000%, 3/27/24 | 983 | 855 | |
Fieldwood Energy LLC First Lien (3 month LIBOR + 5.250%) 7.027%, 4/11/22 | 733 | 229 | |
Gavilan Resources LLC Second Lien (1 month LIBOR + 6.000%) 6.989%, 3/1/24 | 790 | 71 | |
McDermott Technology (Americas), Inc. (3 month LIBOR + 9.000%) 10.720%, 2/10/25 | 325 | 293 | |
Medallion Midland Acquisition LLC (1 month LIBOR + 3.250%) 4.250%, 10/30/24 | 1,062 | 574 | |
Paragon Offshore Finance Co. (1 month PRIME + 0.000%) 3.250%, 7/16/21(3)(5) | 11 | — | |
Traverse Midstream Partners LLC (1 month LIBOR + 4.000%) 5.000%, 9/27/24 | 860 | 473 | |
2,968 | |||
Financial—3.5% | |||
Asurion LLC | |||
Tranche B-2, Second Lien (1 month LIBOR + 6.500%) 7.489%, 8/4/25 | 890 | 811 | |
Tranche B-4 (1 month LIBOR + 3.000%) 3.989%, 8/4/22 | 950 | 896 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 3.989%, 6/16/25 | 1,216 | 981 | |
Deerfield Dakota Holding LLC Tranche B, First Lien (3 month LIBOR + 4.000%) 0.000%, 3/5/27(6) | 885 | 743 |
Par Value | Value | ||
Financial—continued | |||
Ellie Mae, Inc. First Lien (3 month LIBOR + 4.000%) 5.200%, 4/17/26 | $1,037 | $904 | |
Financial & Risk US Holdings, Inc. (1 month LIBOR + 3.250%) 0.000%, 10/1/25(6) | 1,756 | 1,678 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 3.680%, 6/28/23 | 337 | 300 | |
6,313 | |||
Food / Tobacco—5.7% | |||
CHG PPC Parent LLC First Lien (1 month LIBOR + 2.750%) 3.739%, 3/31/25 | 1,048 | 933 | |
Chobani LLC Tranche B (1 month LIBOR + 3.500%) 4.500%, 10/10/23 | 1,368 | 1,214 | |
Dole Food Co., Inc. Tranche B (1 month LIBOR + 2.750%) 3.750%, 4/6/24 | 1,088 | 975 | |
Froneri US, Inc. Tranche B-2 (1 month LIBOR + 2.250%) 3.239%, 1/29/27 | 675 | 640 | |
H-Food Holdings LLC (1 month LIBOR + 3.688%) 4.677%, 5/23/25 | 1,604 | 1,332 | |
Hostess Brands LLC 2019, Tranche B (1 month LIBOR + 2.250%) 3.813%, 8/3/25 | 1,340 | 1,239 | |
JBS USA Lux S.A. (3 month LIBOR + 2.000%) 3.072%, 5/1/26 | 1,305 | 1,215 | |
Milk Specialties Co. (1 month LIBOR + 4.000%) 5.000%, 8/16/23(3) | 1,130 | 768 | |
Shearer’s Foods LLC (1 month LIBOR + 4.250%) 5.250%, 3/31/22 | 824 | 752 | |
Sigma Bidco B.V. Tranche B-2 (3 month LIBOR + 3.000%) 4.909%, 7/2/25 | 1,374 | 1,200 | |
10,268 | |||
Forest Prod / Containers—5.4% | |||
Anchor Glass Container Corp. | |||
2017, First Lien (1 month LIBOR + 2.750%) 3.776%, 12/7/23 | 975 | 538 |
Par Value | Value | ||
Forest Prod / Containers—continued | |||
Second Lien (1 month LIBOR + 7.750%) 8.755%, 12/7/24 | $808 | $317 | |
Berlin Packaging LLC First Lien (1 month LIBOR + 3.000%) 4.588%, 11/7/25 | 1,061 | 920 | |
Berry Global, Inc. | |||
Tranche W (3 month LIBOR + 2.000%) 2.863%, 10/1/22 | 514 | 490 | |
Tranche X (3 month LIBOR + 2.000%) 2.863%, 1/19/24 | 267 | 248 | |
Tranche Y (3 month LIBOR + 2.000%) 2.863%, 7/1/26 | 1,303 | 1,232 | |
BWay Holding Co. (3 month LIBOR + 3.250%) 5.084%, 4/3/24 | 919 | 745 | |
Klockner Pentaplast of America, Inc. (1 month LIBOR + 4.250%) 5.250%, 6/30/22 | 1,132 | 780 | |
Reynolds Consumer Products LLC (3 month LIBOR + 1.750%) 3.501%, 2/4/27 | 675 | 633 | |
Reynolds Group Holdings, Inc. (1 month LIBOR + 2.750%) 3.739%, 2/5/23 | 1,543 | 1,454 | |
Spectrum Holdings III Corp. First Lien (3 month LIBOR + 3.250%) 4.252%, 1/31/25 | 1,159 | 788 | |
Tricorbraun Holdings, Inc. First Lien (3 month LIBOR + 3.750%) 5.695%, 11/30/23 | 958 | 790 | |
Trident TPI Holdings, Inc. Tranche B-1 (3 month LIBOR + 3.250%) 4.323%, 10/17/24 | 866 | 710 | |
9,645 | |||
Gaming / Leisure—4.4% | |||
Affinity Gaming LLC (1 month LIBOR + 3.250%) 4.250%, 7/3/23 | 995 | 740 | |
Aristocrat Technologies, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 3.577%, 10/19/24 | 1,075 | 959 |
Table of Contents
Par Value | Value | ||
Gaming / Leisure—continued | |||
CityCenter Holdings LLC (1 month LIBOR + 2.250%) 3.239%, 4/18/24 | $1,097 | $952 | |
Everi Payments, Inc. Tranche B (3 month LIBOR + 2.750%) 3.822%, 5/9/24 | 1,220 | 966 | |
Golden Nugget LLC (1 month LIBOR + 2.500%) 3.584%, 10/4/23 | 1,278 | 991 | |
PCI Gaming Authority Tranche B (1 month LIBOR + 2.500%) 3.489%, 5/29/26 | 898 | 727 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 4.246%, 8/14/24 | 1,121 | 901 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 3.240%, 2/8/27 | 874 | 741 | |
UFC Holdings LLC Tranche B (1 month LIBOR + 3.250%) 4.250%, 4/29/26 | 1,000 | 870 | |
7,847 | |||
Healthcare—13.5% | |||
21st Century Oncology, Inc. Tranche B (1 month LIBOR + 6.125%) 7.125%, 1/16/23 | 1,303 | 1,236 | |
AHP Health Partners, Inc. (1 month LIBOR + 4.500%) 5.500%, 6/30/25 | 1,183 | 1,039 | |
Avantor Funding, Inc. 2020, Tranche B-3 (1 month LIBOR + 2.250%) 3.250%, 11/21/24 | 649 | 610 | |
Azalea TopCo, Inc. First Lien (1 month LIBOR + 3.500%) 4.489%, 7/27/26 | 612 | 557 | |
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 3.362%, 11/27/25 | 497 | 470 | |
(1 month LIBOR + 3.000%) 3.612%, 6/2/25 | 1,473 | 1,394 | |
Catalent Pharma Solutions, Inc. Tranche B-2 (3 month LIBOR + 2.250%) 0.000%, 5/18/26(6) | 700 | 675 |
Par Value | Value | ||
Healthcare—continued | |||
CHG Healthcare Services, Inc. (3 month LIBOR + 3.000%) 4.073%, 6/7/23 | $939 | $830 | |
Concordia International Corp. (6 month LIBOR + 5.500%) 6.568%, 9/6/24 | 728 | 620 | |
CPI Holdco LLC First Lien (3 month LIBOR + 4.250%) 5.700%, 11/4/26 | 455 | 391 | |
Elanco Animal Health, Inc. Tranche B (3 month LIBOR + 1.750%) 0.000%, 2/4/27(6) | 270 | 255 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 4.739%, 10/10/25 | 1,450 | 732 | |
eResearch Technology, Inc. First Lien (3 month LIBOR + 4.500%) 5.950%, 2/4/27 | 900 | 783 | |
Gentiva Health Services, Inc. Tranche B (1 month LIBOR + 3.250%) 4.250%, 7/2/25 | 642 | 600 | |
Greatbatch Ltd. Tranche B (1 month LIBOR + 2.500%) 3.510%, 10/27/22 | 458 | 428 | |
Heartland Dental LLC (1 month LIBOR + 3.750%) 4.739%, 4/30/25 | 977 | 745 | |
IQVIA, Inc. | |||
Tranche B-1 (1 month LIBOR + 1.750%) 2.739%, 3/7/24 | 913 | 837 | |
Tranche B-2 (1 month LIBOR + 1.750%) 2.739%, 1/17/25 | 102 | 92 | |
Tranche B-3 (3 month LIBOR + 1.750%) 3.200%, 6/11/25 | 1,036 | 984 | |
Jaguar Holding Co. II LLC 2018 (3 month LIBOR + 2.500%) 0.000%, 8/18/22(6) | 1,895 | 1,804 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.739%, 11/17/25 | 1,545 | 1,427 | |
National Mentor Holdings, Inc. | |||
First Lien (1 month LIBOR + 4.000%) 5.123%, 3/9/26 | 613 | 545 |
Par Value | Value | ||
Healthcare—continued | |||
Tranche C, First Lien (3 month LIBOR + 4.000%) 5.460%, 3/9/26 | $28 | $25 | |
Navicure, Inc. (1 month LIBOR + 4.000%) 4.989%, 10/22/26 | 640 | 586 | |
One Call Corp. First Lien (3 month LIBOR + 5.250%) 6.954%, 11/27/22 | 273 | 218 | |
Ortho-Clinical Diagnostics, Inc. (1 month LIBOR + 3.250%) 4.765%, 6/30/25 | 1,376 | 1,165 | |
Parexel International Corp. (1 month LIBOR + 2.750%) 3.739%, 9/27/24 | 1,197 | 1,016 | |
Phoenix Guarantor, Inc. Tranche B-1 (3 month LIBOR + 3.250%) 4.113%, 3/5/26 | 308 | 278 | |
Select Medical Corp. Tranche B (1 month LIBOR + 2.500%) 3.430%, 3/6/25 | 1,033 | 976 | |
Sotera Health Holdings LLC First Lien (1 month LIBOR + 4.500%) 5.500%, 12/11/26 | 870 | 753 | |
Surgery Center Holdings, Inc. (1 month LIBOR + 3.250%) 4.250%, 9/2/24 | 1,152 | 878 | |
Viant Medical Holdings, Inc. First Lien (3 month LIBOR + 3.750%) 5.200%, 7/2/25 | 955 | 822 | |
Zelis Cost Management Buyer, Inc. (1 month LIBOR + 4.750%) 5.739%, 9/30/26 | 678 | 624 | |
24,395 | |||
Housing—3.3% | |||
American Builders & Contractors Supply Co., Inc. (1 month LIBOR + 2.000%) 2.989%, 1/15/27 | 1,534 | 1,442 | |
CPG International LLC (3 month LIBOR + 3.750%) 5.933%, 5/6/24 | 2,545 | 2,110 | |
Quikrete Holdings, Inc. First Lien (1 month LIBOR + 2.500%) 3.489%, 2/1/27 | 1,158 | 1,066 |
Table of Contents
Par Value | Value | ||
Housing—continued | |||
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 2.989%, 11/21/24 | $1,495 | $1,295 | |
5,913 | |||
Information Technology—5.4% | |||
Applied Systems, Inc. | |||
First Lien (3 month LIBOR + 3.250%) 4.700%, 9/19/24 | 456 | 418 | |
Second Lien (3 month LIBOR + 7.000%) 8.450%, 9/19/25 | 773 | 697 | |
Aston Finco S.a.r.l. First Lien (3 month LIBOR + 4.250%) 6.128%, 10/9/26 | 505 | 447 | |
Dell International LLC Tranche B-1 (1 month LIBOR + 2.000%) 2.990%, 9/19/25 | 1,624 | 1,544 | |
Go Daddy Operating Co. LLC Tranche B-2 (1 month LIBOR + 1.750%) 2.739%, 2/15/24 | 26 | 24 | |
Kronos, Inc. 2018 (3 month LIBOR + 3.000%) 4.763%, 11/1/23 | 3,555 | 3,227 | |
Presidio Holdings, Inc. (4 month LIBOR + 3.500%) 5.280%, 1/22/27 | 190 | 177 | |
Science Applications International Corp. Tranche B-2 (3 month LIBOR + 2.250%) 0.000%, 3/13/27(6) | 770 | 720 | |
Vertafore, Inc. First Lien (1 month LIBOR + 3.250%) 4.239%, 7/2/25 | 1,523 | 1,334 | |
Vertiv Group Corp. (1 month LIBOR + 3.000%) 4.581%, 3/2/27 | 1,240 | 1,067 | |
9,655 | |||
Manufacturing—5.4% | |||
CIRCOR International, Inc. (1 month LIBOR + 3.250%) 4.061%, 12/11/24 | 1,331 | 1,055 | |
CPI Acquisition, Inc. First Lien (3 month LIBOR + 4.500%) 6.381%, 8/17/22 | 1,507 | 939 | |
Filtration Group Corp. (1 month LIBOR + 3.000%) 3.989%, 3/29/25 | 1,104 | 954 | |
Gardner Denver, Inc. Tranche B-1 (1 month LIBOR + 1.750%) 2.739%, 3/1/27 | 1,137 | 1,063 |
Par Value | Value | ||
Manufacturing—continued | |||
Gates Global LLC Tranche B-2 (1 month LIBOR + 2.750%) 3.750%, 4/1/24 | $1,052 | $907 | |
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 2.739%, 2/28/27 | 365 | 341 | |
NCR Corp. (1 month LIBOR + 2.500%) 3.490%, 8/28/26 | 596 | 536 | |
NN, Inc. | |||
2017 (1 month LIBOR + 5.750%) 6.739%, 10/19/22 | 356 | 255 | |
Tranche B (1 month LIBOR + 5.750%) 7.353%, 10/19/22(3) | 614 | 439 | |
RBS Global, Inc. 2019, Tranche B (1 month LIBOR + 1.750%) 2.679%, 8/21/24 | 916 | 832 | |
Star US Bidco LLC (1 month LIBOR + 4.250%) 5.250%, 3/17/27 | 960 | 818 | |
Titan Acquisition Ltd. (3 month LIBOR + 3.000%) 4.450%, 3/28/25 | 1,095 | 892 | |
U.S. Farathane LLC Tranche B-4 (3 month LIBOR + 3.500%) 4.950%, 12/23/21 | 1,147 | 711 | |
9,742 | |||
Media / Telecom - Broadcasting—3.7% | |||
Diamond Sports Group LLC (1 month LIBOR + 3.250%) 4.180%, 8/24/26 | 1,144 | 881 | |
iHeartCommunications, Inc. (1 month LIBOR + 3.000%) 3.989%, 5/1/26 | 1,420 | 1,189 | |
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.750%) 4.331%, 9/18/26 | 1,595 | 1,479 | |
Sinclair Television Group, Inc. Tranche B (1 month LIBOR + 2.250%) 3.240%, 1/3/24 | 1,203 | 1,143 | |
Univision Communications, Inc. 2017 (1 month LIBOR + 2.750%) 3.750%, 3/15/24 | 2,391 | 2,014 | |
6,706 | |||
Par Value | Value | ||
Media / Telecom - Cable/Wireless Video—4.3% | |||
Charter Communications Operating LLC Tranche B2 (1 month LIBOR + 1.750%) 2.740%, 2/1/27 | $2,355 | $2,251 | |
CSC Holdings LLC | |||
2017 (1 month LIBOR + 2.250%) 3.909%, 7/17/25 | 1,609 | 1,532 | |
2018 (1 month LIBOR + 2.250%) 2.862%, 1/15/26 | 1,010 | 964 | |
Intelsat Jackson Holdings S.A. Tranche B-5 (3 month LIBOR + 0.000%) 6.625%, 1/2/24 | 691 | 637 | |
Telenet Financing USD LLC Tranche AR (1 month LIBOR + 2.000%) 2.705%, 4/30/28 | 815 | 742 | |
Virgin Media Bristol LLC Tranche N (1 month LIBOR + 2.500%) 3.205%, 1/31/28 | 830 | 764 | |
Ziggo Financing Partnership Tranche I (1 month LIBOR + 2.500%) 3.205%, 4/30/28 | 955 | 898 | |
7,788 | |||
Media / Telecom - Diversified Media—2.3% | |||
CDS US Intermediate Holdings, Inc. Tranche B (3 month LIBOR + 3.750%) 5.200%, 7/8/22 | 1,223 | 618 | |
Clear Channel Outdoor Holdings, Inc. Tranche B (1 month LIBOR + 3.500%) 4.489%, 8/21/26 | 870 | 731 | |
Fort Dearborn Holding Co., Inc. First Lien (1 month LIBOR + 4.000%) 5.900%, 10/19/23 | 1,311 | 1,102 | |
McGraw-Hill Global Education Holdings LLC Tranche B, First Lien (1 month LIBOR + 4.000%) 5.000%, 5/4/22 | 1,252 | 1,019 | |
Meredith Corp. Tranche B-2 (1 month LIBOR + 2.500%) 3.489%, 1/31/25 | 689 | 605 | |
4,075 | |||
Table of Contents
Par Value | Value | ||
Media / Telecom - Telecommunications—5.3% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 3.239%, 3/15/27 | $1,102 | $1,023 | |
Consolidated Communications, Inc. 2016 (1 month LIBOR + 3.000%) 4.000%, 10/5/23 | 1,191 | 1,039 | |
Frontier Communications Corp. Tranche B-1 (3 month LIBOR + 3.750%) 5.350%, 6/17/24 | 524 | 496 | |
Level 3 Financing, Inc. 2027, Tranche B (1 month LIBOR + 1.750%) 2.739%, 3/1/27 | 2,324 | 2,162 | |
Neustar, Inc. Tranche B-4, First Lien (3 month LIBOR + 3.500%) 4.950%, 8/8/24 | 875 | 660 | |
Numericable U.S. LLC | |||
Tranche B-11 (1 month LIBOR + 2.750%) 3.739%, 7/31/25 | 988 | 907 | |
Tranche B-12 (1 month LIBOR + 3.688%) 4.392%, 1/31/26 | 540 | 502 | |
Tranche B-13 (1 month LIBOR + 4.000%) 4.705%, 8/14/26 | 642 | 608 | |
West Corp. | |||
Tranche B (3 month LIBOR + 4.000%) 5.450%, 10/10/24 | 1,053 | 785 | |
Tranche B-1 (3 month LIBOR + 3.500%) 4.950%, 10/10/24 | 457 | 335 | |
Zayo Group Holdings, Inc. (1 month LIBOR + 3.000%) 3.989%, 3/9/27 | 1,045 | 982 | |
9,499 | |||
Media / Telecom - Wireless Communications—1.4% | |||
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 2.740%, 4/11/25 | 1,390 | 1,311 |
Par Value | Value | ||
Media / Telecom - Wireless Communications—continued | |||
Sprint Communications, Inc. 2018 (1 month LIBOR + 3.000%) 4.000%, 2/2/24 | $1,307 | $1,297 | |
2,608 | |||
Metals / Minerals—0.2% | |||
Covia Holdings Corp. (3 month LIBOR + 4.000%) 5.874%, 6/2/25 | 971 | 434 | |
Retail—1.7% | |||
ASHCO LLC (3 month LIBOR + 5.000%) 6.072%, 9/25/24 | 1,462 | 1,220 | |
Michaels Stores, Inc. 2018, Tranche B (1 month LIBOR + 2.500%) 3.534%, 1/30/23 | 1,531 | 1,271 | |
Neiman Marcus Group Ltd. LLC (1 month LIBOR + 6.000%) 7.500%, 10/25/23 | 1,448 | 570 | |
3,061 | |||
Service—10.9% | |||
Advantage Sales & Marketing, Inc. First Lien (3 month LIBOR + 3.250%) 4.700%, 7/23/21 | 548 | 437 | |
AlixPartners LLP 2017 (1 month LIBOR + 2.500%) 3.489%, 4/4/24 | 1,100 | 1,048 | |
Carlisle Food Service Products, Inc. First Lien (1 month LIBOR + 3.000%) 4.000%, 3/20/25 | 1,099 | 868 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 4.000%) 4.959%, 2/6/26 | 995 | 892 | |
GFL Environmental, Inc. 2018 (1 month LIBOR + 3.000%) 3.991%, 5/30/25 | 1,275 | 1,231 | |
Hoya Midco LLC First Lien (1 month LIBOR + 3.500%) 5.007%, 6/30/24 | 1,236 | 878 | |
Patriot Container Corp. First Lien (1 month LIBOR + 3.500%) 5.103%, 3/20/25(3) | 945 | 822 |
Par Value | Value | ||
Service—continued | |||
Pearl Intermediate Parent LLC First Lien (1 month LIBOR + 2.750%) 3.739%, 2/14/25 | $1,826 | $1,509 | |
PetVet Care Centers LLC 2020, First Lien (1 month LIBOR + 3.250%) 4.239%, 2/14/25 | 118 | 97 | |
Pi US Mergerco, Inc. Tranche B-1 (3 month LIBOR + 3.250%) 4.700%, 1/3/25 | 1,275 | 1,066 | |
Pug LLC Tranche B (1 month LIBOR + 3.500%) 4.489%, 2/12/27 | 898 | 763 | |
Red Ventures LLC Tranche B-2 (1 month LIBOR + 2.500%) 3.489%, 11/8/24 | 345 | 285 | |
Sedgwick Claims Management Services, Inc. (1 month LIBOR + 3.250%) 4.239%, 12/31/25 | 2,114 | 1,858 | |
St. George’s University Scholastic Services LLC (1 month LIBOR + 3.250%) 4.240%, 7/17/25 | 1,018 | 972 | |
Tempo Acquisition LLC (1 month LIBOR + 2.750%) 3.739%, 5/1/24 | 1,205 | 1,073 | |
TKC Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 4.750%, 2/1/23 | 1,594 | 1,270 | |
Trans Union LLC Tranche B-5 (1 month LIBOR + 1.750%) 2.739%, 11/16/26 | 1,662 | 1,587 | |
TRC Cos, Inc. 2019 (3 month LIBOR + 5.000%) 6.450%, 6/21/24 | 1,000 | 790 | |
Tunnel Hill Partners LP (1 month LIBOR + 3.500%) 4.489%, 2/6/26 | 1,074 | 902 | |
WEX, Inc. Tranche B-3 (1 month LIBOR + 2.250%) 3.239%, 5/15/26 | 1,458 | 1,257 | |
19,605 | |||
Transportation - Automotive—3.9% | |||
Accuride Corp. 2017 (3 month LIBOR + 5.250%) 6.700%, 11/17/23 | 1,405 | 562 |
Table of Contents
Par Value | Value | ||
Transportation - Automotive—continued | |||
American Axle & Manufacturing, Inc. Tranche B (1 month LIBOR + 2.250%) 3.180%, 4/6/24 | $1,040 | $860 | |
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.989%, 11/2/23(3) | 905 | 588 | |
DexKo Global, Inc. Tranche B (1 month LIBOR + 3.500%) 4.500%, 7/24/24 | 1,092 | 921 | |
Navistar, Inc. Tranche B (1 month LIBOR + 3.500%) 4.280%, 11/6/24 | 1,267 | 1,089 | |
Panther BF Aggregator 2 LP First Lien (1 month LIBOR + 3.500%) 4.441%, 4/30/26 | 1,506 | 1,371 | |
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) 3.989%, 10/1/25 | 1,281 | 878 | |
TI Group Automotive Systems LLC (1 month LIBOR + 2.500%) 3.489%, 6/30/22 | 895 | 801 | |
7,070 | |||
Utility—2.5% | |||
APLP Holdings LP 2020, Tranche B (3 month LIBOR + 2.500%) 4.103%, 4/14/25 | 755 | 725 | |
Brookfield WEC Holdings, Inc. (1 month LIBOR + 3.000%) 3.989%, 8/1/25 | 1,936 | 1,820 | |
Calpine Construction Finance Co. LP Tranche B (1 month LIBOR + 2.000%) 2.989%, 1/15/25 | 973 | 907 | |
Lightstone Holdco LLC | |||
2018, Tranche B (1 month LIBOR + 3.750%) 4.750%, 1/30/24 | 777 | 586 | |
2018, Tranche C (1 month LIBOR + 3.750%) 4.750%, 1/30/24 | 44 | 33 |
Par Value | Value | ||
Utility—continued | |||
Pacific Gas and Electric Co. (3 month LIBOR + 2.250%) 3.120%, 12/31/20 | $520 | $503 | |
4,574 | |||
Total Leveraged Loans (Identified Cost $206,315) | 171,371 | ||
Shares | ||
Common Stocks—0.2% | ||
Communication Services—0.2% | ||
Clear Channel Outdoor Holdings, Inc.(7) | 107,177 | 69 |
iHeartMedia, Inc. Class A(7) | 45,578 | 333 |
T-Mobile USA, Inc.(3) | 1,090,000 | — |
402 | ||
Total Common Stocks (Identified Cost $1,292) | 402 | |
Rights—0.1% | ||
Utilities—0.1% | ||
Vistra Energy Corp.(3)(7) | 152,810 | 163 |
Total Rights (Identified Cost $130) | 163 | |
Total Long-Term Investments—100.5% (Identified Cost $217,765) | 181,071 | |
Short-Term Investment—11.2% | ||
Money Market Mutual Fund—11.2% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.290%)(8) | 20,158,051 | 20,158 |
Total Short-Term Investment (Identified Cost $20,158) | 20,158 | |
TOTAL INVESTMENTS—111.7% (Identified Cost $237,923) | $201,229 | |
Other assets and liabilities, net—(11.7)% | (21,036) | |
NET ASSETS—100.0% | $180,193 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2020, these securities amounted to a value of $5,174 or 2.9% of net assets. |
(2) | 100% of the income received was in PIK. |
(3) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(4) | Variable rate security. Rate disclosed is as of March 31, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(6) | This loan will settle after March 31, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(7) | Non-income producing. |
(8) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 93% |
Canada | 3 |
Luxembourg | 2 |
France | 1 |
Netherlands | 1 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Table of Contents
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $9,135 | $— | $9,124 | $11(1) | |||
Leveraged Loans | 171,371 | — | 168,534 | 2,837(2) | |||
Equity Securities: | |||||||
Rights | 163 | — | — | 163 | |||
Common Stocks | 402 | 402 | — | —(2) | |||
Money Market Mutual Fund | 20,158 | 20,158 | — | — | |||
Total Investments | $201,229 | $20,560 | $177,658 | $3,011 |
(1) | Includes internally fair valued security. |
(2) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Corporate Bonds And Notes | Leveraged Loans | Common Stocks | Right | Warrant | ||||||
Investments in Securities | |||||||||||
Balance as of September 30, 2019: | $1,537 | $1,056 | $291 | $36 | $132 | $22 | |||||
Accrued discount/(premium) | 15 | 15 | — | — | — | — | |||||
Realized gain (loss) | 29 | — | 1 | 3 | — | 25 | |||||
Change in unrealized appreciation (depreciation)(a) | (29) | 235 | (290) | (1) | 31 | (4) | |||||
Purchases | 960 | 82 | 878 | — | — | — | |||||
Sales | (373) | — | (292) | (38) | — | (43) | |||||
Transfers into Level 3(b) | 2,249 | — | 2,249 | — | — | — | |||||
Transfers from Level 3(b) | (1,377) | (1,377) | — | — | — | — | |||||
Balance as of March 31, 2020 | $3,011 | $11(c) | $2,837(d) | $—(d) | $163 | $— |
Table of Contents
Par Value | Value | ||
Municipal Bonds(1)—92.5% | |||
Alabama—1.7% | |||
Black Belt Energy Gas District, Natural Gas Purchase Revenue, Mandatory Put 12/1/23, 4.000%, 12/1/48(2) | $535 | $550 | |
Pell City Special Care Facilities Financing Authority, Noland Health Services Revenue, | |||
4.000%, 12/1/25 | 500 | 517 | |
5.000%, 12/1/25 | 1,000 | 1,051 | |
2,118 | |||
Arizona—5.1% | |||
Arizona Board of Regents, Arizona State University System Revenue, | |||
5.000%, 7/1/36 | 1,000 | 1,193 | |
5.000%, 7/1/37 | 360 | 429 | |
Arizona Department of Transportation, State Highway Fund Revenue, 5.000%, 7/1/36 | 500 | 597 | |
Arizona State Health Facilities Authority, Scottsdale Lincoln Hospital Revenue, 5.000%, 12/1/24 | 565 | 647 | |
Maricopa County Industrial Development Authority, Banner Health Revenue, 4.000%, 1/1/34 | 1,000 | 1,089 | |
Northern Arizona University, Stimular Plan for Economic and Educational Development Revenue, | |||
5.000%, 8/1/24 | 1,115 | 1,226 | |
5.000%, 8/1/25 | 1,000 | 1,099 | |
6,280 | |||
Arkansas—0.5% | |||
University of Arkansas, Facility Revenue, 5.000%, 11/1/33 | 505 | 607 | |
California—3.0% | |||
California Municipal Finance Authority, Bowles Hall Foundation Revenue, | |||
4.000%, 6/1/21 | 100 | 103 | |
4.500%, 6/1/23 | 225 | 239 |
Par Value | Value | ||
California—continued | |||
4.500%, 6/1/24 | $150 | $161 | |
California State Health Facilities Financing Authority, Providence St. Joseph Health, 4.000%, 10/1/36 | 275 | 296 | |
California State Municipal Finance Authority, Community Medical Centers, 5.000%, 2/1/27 | 400 | 458 | |
California Statewide Communities Development Authority, The Culinary Institute of America Revenue, 5.000%, 7/1/28 | 200 | 221 | |
Golden State Tobacco Securitization Corp., Tobacco Settlement Revenue, 5.000%, 6/1/47 | 800 | 768 | |
Inglewood Redevelopment Agency Successor Agency, Subordinate Lien Merged Redevelopment Project, Tax Allocation Revenue, (BAM Insured) 5.000%, 5/1/32 | 545 | 661 | |
Santa Clarita Community College District, General Obligation, 3.000%, 8/1/44 | 500 | 514 | |
Temecula Valley Unified School District Financing Authority, Special Tax Revenue, (BAM Insured) 5.000%, 9/1/25 | 175 | 204 | |
3,625 | |||
Colorado—5.6% | |||
Denver Convention Center Hotel Authority Revenue, Senior Lien, 5.000%, 12/1/27 | 400 | 418 | |
E-470 Public Highway Authority Revenue, (NATL Insured) 0.000%, 9/1/29 | 665 | 397 | |
Public Authority For Colorado Energy, Natural Gas Purchase Revenue, | |||
6.125%, 11/15/23 | 1,785 | 1,909 |
Par Value | Value | ||
Colorado—continued | |||
6.250%, 11/15/28 | $2,250 | $2,679 | |
Regional Transportation District, Sales Tax Revenue, Fastracks Project, 5.000%, 11/1/32 | 1,195 | 1,448 | |
6,851 | |||
Connecticut—1.8% | |||
Connecticut Housing Finance Authority, Mortgage Revenue, (GNMA / FNMA / FHLMC Insured) 3.200%, 11/15/33 | 425 | 462 | |
Connecticut State Health & Educational Facilities Authority Revenue, 4.000%, 7/1/40 | 725 | 805 | |
Connecticut, State of, General Obligation, 5.000%, 9/15/34 | 750 | 905 | |
2,172 | |||
District of Columbia—4.0% | |||
Metropolitan Washington Airports Authority, Dulles Toll Road Revenue, Second Lien, (AGC Insured) 6.500%, 10/1/41 | 4,000 | 4,929 | |
Florida—10.9% | |||
Brevard County Health Facilities Authority, Health First Revenue, 5.000%, 4/1/21 | 115 | 119 | |
Brevard County School Board, Certificates of Participation, 5.000%, 7/1/32 | 1,000 | 1,221 | |
Broward County School Board, Certificates of Participation, 5.000%, 7/1/32 | 300 | 356 | |
Central Florida Expressway Authority, Senior Lien Toll Revenue, 4.000%, 7/1/30 | 230 | 258 | |
Florida, State of, General Obligation, 5.000%, 7/1/31 | 4,000 | 5,119 |
Table of Contents
Par Value | Value | ||
Florida—continued | |||
Miami Beach Redevelopment Agency, | |||
Tax Increment Revenue, 5.000%, 2/1/32 | $300 | $336 | |
Tax Increment Revenue, (AGM Insured) 5.000%, 2/1/31 | 40 | 45 | |
Miami-Dade County Educational Facilities Authority, University of Miami Revenue, 5.000%, 4/1/30 | 200 | 223 | |
Miami-Dade County School Board, Certificates of Participation, 5.000%, 2/1/34 | 1,700 | 1,972 | |
Seminole County School Board, Certificates of Participation, 5.000%, 7/1/29 | 1,935 | 2,315 | |
South Florida Water Management District, Certificates of Participation, 5.000%, 10/1/35 | 750 | 876 | |
Tallahassee, City of, Health Facilities Revenue, Tallahassee Memorial Healthcare, 5.000%, 12/1/36 | 500 | 562 | |
13,402 | |||
Georgia—0.5% | |||
Atlanta Water & Wastewater Revenue, 5.000%, 11/1/31 | 550 | 642 | |
Idaho—1.5% | |||
Idaho Health Facilities Authority, St. Luke’s Health System Revenue, 5.000%, 3/1/37 | 235 | 280 | |
Idaho Housing & Finance Association, Federal Highway Grant Anticipation Revenue, 4.500%, 7/15/29 | 1,500 | 1,554 | |
1,834 | |||
Illinois—10.8% | |||
Chicago, City of, | |||
Sales Tax Revenue, (Pre-Refunded 1/1/22 @ 100) 5.250%, 1/1/38 | 25 | 27 |
Par Value | Value | ||
Illinois—continued | |||
Sales Tax Revenue, (Escrowed to Maturity) 5.000%, 1/1/21 | $750 | $772 | |
Waterworks Revenue, Second Lien, 5.000%, 11/1/22 | 500 | 540 | |
Waterworks Revenue, Second Lien, 5.000%, 11/1/30 | 500 | 580 | |
Waterworks Revenue, Second Lien, (AGM Insured) 5.000%, 11/1/31 | 500 | 602 | |
Waterworks Revenue, Second Lien, (AGM Insured) 5.250%, 11/1/32 | 350 | 427 | |
Illinois Finance Authority, Rush University Medical Center Revenue, 5.000%, 11/15/21 | 250 | 263 | |
Illinois State Toll Highway Authority, Toll Highway Revenue, Senior Lien, 5.000%, 1/1/32 | 1,000 | 1,173 | |
Illinois, State of, General Obligation, | |||
5.000%, 4/1/22 | 815 | 835 | |
5.000%, 2/1/26 | 1,490 | 1,542 | |
5.000%, 2/1/27 | 1,250 | 1,311 | |
Metropolitan Pier & Exposition Authority, McCormick Place Expansion Project Revenue, (AGM Insured) 0.000%, 6/15/26 | 1,000 | 869 | |
Railsplitter Tobacco Settlement Authority, Tobacco Settlement Revenue, 5.000%, 6/1/27 | 450 | 534 | |
Sales Tax Securitization Corp., Chicago Sales Tax Revenue, Sales Tax Revenue, 5.000%, 1/1/30 | 1,500 | 1,721 | |
University of Illinois, Auxiliary Facilities System Revenue, | |||
5.500%, 4/1/31 | 1,540 | 1,595 | |
5.125%, 4/1/36 | 500 | 516 | |
13,307 | |||
Indiana—2.4% | |||
Indiana Finance Authority, | |||
Indiana University Health Center Revenue, 5.000%, 12/1/22 | 800 | 879 |
Par Value | Value | ||
Indiana—continued | |||
Parkview Health System, 5.000%, 11/1/43 | $1,700 | $2,055 | |
2,934 | |||
Louisiana—0.4% | |||
New Orleans Sewerage Service Revenue, 5.000%, 6/1/20 | 550 | 553 | |
Maine—2.1% | |||
Portland, City of, General Airport Revenue, | |||
5.000%, 7/1/26 | 1,000 | 1,096 | |
5.000%, 7/1/29 | 580 | 635 | |
5.000%, 7/1/30 | 770 | 842 | |
2,573 | |||
Maryland—1.9% | |||
Baltimore, City of, Convention Center Hotel Revenue, 5.000%, 9/1/36(3) | 250 | 246 | |
Maryland Economic Development Corp., Exelon Generation Co. Revenue, Mandatory Put 6/1/20, 2.550%, 12/1/25(2) | 500 | 500 | |
Maryland Health & Higher Educational Facilities Authority, | |||
Medstar Health System Revenue, 5.000%, 8/15/26 | 800 | 928 | |
Medstar Health System Revenue, 5.000%, 5/15/42 | 600 | 694 | |
2,368 | |||
Massachusetts—0.5% | |||
Massachusetts Port Authority, Transportation Revenue, 5.000%, 7/1/31 | 500 | 598 | |
Michigan—2.1% | |||
Michigan Finance Authority, Beaumont Health Credit Group Revenue, 5.000%, 8/1/27 | 1,250 | 1,429 | |
Michigan State Building Authority, Facilities Program Lease Revenue, | |||
5.000%, 4/15/25 | 500 | 590 |
Table of Contents
Par Value | Value | ||
Michigan—continued | |||
4.000%, 10/15/36 | $500 | $551 | |
2,570 | |||
Mississippi—0.9% | |||
Mississippi, State of, General Obligation, 4.000%, 10/1/39 | 1,000 | 1,136 | |
New Jersey—5.9% | |||
Camden County Improvement Authority Healthcare Redevelopment Project, Cooper Health System Revenue, 5.000%, 2/15/22 | 950 | 1,000 | |
New Jersey Economic Development Authority, Cigarette Tax Revenue, (AGM Insured) 5.000%, 6/15/22 | 3,000 | 3,193 | |
New Jersey Housing & Mortgage Finance Agency, Mortgage Revenue, 4.375%, 4/1/28 | 1,675 | 1,733 | |
New Jersey Turnpike Authority, Toll Revenue, 4.000%, 1/1/35 | 240 | 269 | |
Tobacco Settlement Financing Corp., Tobacco Settlement Revenue, | |||
5.000%, 6/1/31 | 250 | 276 | |
5.000%, 6/1/32 | 250 | 275 | |
5.000%, 6/1/33 | 250 | 274 | |
5.000%, 6/1/34 | 250 | 273 | |
7,293 | |||
New York—3.5% | |||
Buffalo & Erie County Industrial Land Development Corp., Catholic Health System Revenue, 5.000%, 7/1/23 | 550 | 611 | |
Dutchess County Local Development Corp., The Culinary Institute of America Revenue, 5.000%, 7/1/33 | 180 | 199 |
Par Value | Value | ||
New York—continued | |||
New York City Industrial Development Agency, Queens Baseball Stadium Project Revenue, | |||
(AGC Insured) 6.125%, 1/1/29 | $460 | $462 | |
(AMBAC Insured) 5.000%, 1/1/31 | 470 | 460 | |
New York City Municipal Water Finance Authority, Water & Sewer Revenue, General Resolution, 5.000%, 6/15/40 | 1,295 | 1,573 | |
New York State Dormitory Authority, | |||
New York University Hospitals Center Revenue, 5.000%, 7/1/33 | 150 | 179 | |
Orange Regional Medical Center Revenue, 5.000%, 12/1/23(4) | 300 | 334 | |
New York Transportation Development Corp., American Airlines JFK Project Revenue, 5.000%, 8/1/26 | 250 | 249 | |
TSASC, Inc., Tobacco Settlement Revenue, 5.000%, 6/1/34 | 190 | 208 | |
4,275 | |||
Ohio—2.0% | |||
Buckeye Tobacco Settlement Financing Authority, Tobacco Settlement Revenue, 4.000%, 6/1/48 | 500 | 536 | |
New Albany Community Authority, Community Facilities Revenue, 5.000%, 10/1/24 | 1,250 | 1,359 | |
Northeast Ohio Regional Sewer District Revenue, 3.000%, 11/15/40 | 500 | 525 | |
2,420 | |||
Oregon—2.3% | |||
Oregon State Housing & Community, Mortgage Revenue, Residential Finance Program Revenue, 4.500%, 1/1/49 | 435 | 471 |
Par Value | Value | ||
Oregon—continued | |||
Oregon, State of, General Obligation, 5.000%, 5/1/33 | $1,095 | $1,308 | |
Washington & Multnomah Counties, Beaverton School District No. 48J, General Obligation, (SCH BD GTY Insured) 5.000%, 6/15/36 | 800 | 986 | |
2,765 | |||
Pennsylvania—3.3% | |||
Butler County Hospital Authority, Butler Health System Revenue, 5.000%, 7/1/30 | 250 | 286 | |
Delaware River Joint Toll Bridge Commission, Bridge System Revenue, 5.000%, 7/1/34 | 250 | 306 | |
Pennsylvania Turnpike Commission, Turnpike Revenue Subordinate Lien, | |||
(Pre-Refunded 12/1/20 @ 100) 6.000%, 12/1/34 | 250 | 257 | |
(Pre-Refunded 12/1/20 @ 100) 6.000%, 12/1/34 | 265 | 273 | |
Toll Highway Revenue, 6.375%, 12/1/38 | 2,000 | 2,615 | |
Philadelphia, City of, Water & Wastewater Revenue, 5.000%, 10/1/42 | 300 | 355 | |
4,092 | |||
South Carolina—1.2% | |||
Dorchester County, Water & Sewer Revenue, 5.000%, 10/1/28 | 1,020 | 1,110 | |
South Carolina Association of Governmental Organizations Educational Facilities Corp., for Pickens School District Lease Revenue, 5.000%, 12/1/24 | 290 | 337 | |
1,447 | |||
Table of Contents
Par Value | Value | ||
Tennessee—2.6% | |||
Chattanooga-Hamilton County Hospital Authority, Erlanger Health System Revenue, 5.000%, 10/1/26 | $1,000 | $1,106 | |
Tennessee Housing Development Agency, Residential Finance Program Revenue, | |||
2.050%, 7/1/20 | 495 | 496 | |
2.300%, 1/1/21 | 310 | 312 | |
Tennessee State School Bond Authority, Higher Education Program Revenue, (ST HGR ED INTERCEPT PROG Insured) 5.000%, 11/1/34 | 1,000 | 1,233 | |
3,147 | |||
Texas—11.9% | |||
Hidalgo County Drain District No. 1, General Obligation, 5.000%, 9/1/28 | 1,000 | 1,178 | |
Lamar Consolidated Independent School District, General Obligation, (PSF-GTD Insured) 5.000%, 2/15/34 | 1,000 | 1,215 | |
North Texas Tollway Authority, Special Project System Revenue, (Pre-Refunded 9/1/31 @ 100) 0.000%, 9/1/43 | 2,340 | 3,014 | |
Southmost Regional Water Authority, Desalination Plant Project Revenue, | |||
(AGM Insured) 5.000%, 9/1/23 | 1,085 | 1,171 | |
(AGM Insured) 5.000%, 9/1/25 | 1,015 | 1,094 | |
Texas Municipal Gas Acquisition & Supply Corp. I, Gas Supply Revenue, Senior Lien, 6.250%, 12/15/26 | 1,385 | 1,525 |
Par Value | Value | ||
Texas—continued | |||
Texas Municipal Gas Acquisition & Supply Corp. II, Gas Supply Revenue, 1.179%, 9/15/27(2) | $2,620 | $2,577 | |
Texas Water Development Board Revenue, 5.000%, 8/1/29 | 1,000 | 1,300 | |
Upper Trinity Regional Water District Authority, Regional Treated Supply System Revenue, (BAM Insured) 5.000%, 8/1/24 | 1,340 | 1,541 | |
14,615 | |||
Vermont—0.3% | |||
Vermont Educational & Health Buildings Financing Agency, University of Vermont Health Network Revenue, 5.000%, 12/1/35 | 300 | 351 | |
Virginia—0.7% | |||
Virginia College Building Authority, Marymount University Revenue, | |||
5.000%, 7/1/20(4) | 200 | 200 | |
5.000%, 7/1/21(4) | 400 | 404 | |
5.000%, 7/1/22(4) | 195 | 198 | |
802 | |||
Washington—1.6% | |||
King County Sewer Revenue, 5.000%, 7/1/36 | 1,630 | 1,949 | |
West Virginia—0.3% | |||
Monongalia County Building Commission, Monongalia Health System Revenue, 5.000%, 7/1/23 | 300 | 327 | |
Wisconsin—1.2% | |||
Public Finance Authority, | |||
Renown Regional Medical Center Revenue, 5.000%, 6/1/33 | 1,000 | 1,172 |
Par Value | Value | ||
Wisconsin—continued | |||
Waste Management, Inc. Revenue, 2.875%, 5/1/27 | $250 | $246 | |
1,418 | |||
Total Municipal Bonds (Identified Cost $107,142) | 113,400 | ||
Shares | ||
Exchange-Traded Fund—0.9% | ||
VanEck Vectors High-Yield Municipal Index ETF(5) | 20,453 | 1,069 |
Total Exchange-Traded Fund (Identified Cost $1,021) | 1,069 | |
Total Long-Term Investments—93.4% (Identified Cost $108,163) | 114,469 | |
Short-Term Investment—3.3% | ||
Money Market Mutual Fund—3.3% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.290%)(5) | 4,094,213 | 4,094 |
Total Short-Term Investment (Identified Cost $4,094) | 4,094 | |
TOTAL INVESTMENTS—96.7% (Identified Cost $112,257) | $118,563 | |
Other assets and liabilities, net—3.3% | 4,040 | |
NET ASSETS—100.0% | $122,603 |
Table of Contents
Abbreviations: | |
AGC | Assured Guaranty Corp. |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
BAM | Build America Municipal Insured |
ETF | Exchange-Traded Fund |
FHLMC | Federal Home Loan Mortgage Corporation (“Freddie Mac”) |
FNMA | Federal National Mortgage Association (“Fannie Mae”) |
GNMA | Government National Mortgage Association (“Ginnie Mae”) |
NATL | National Public Finance Guarantee Corp. |
PSF-GTD | Permanent School Fund Guarantee Program |
SCH BD GTY | School Bond Guaranty |
Footnote Legend: | |
(1) | At March 31, 2020, 16.8% of the securities in the portfolio are backed by insurance of financial institutions and financial guaranty assurance agencies. None of the insurers concentration exceeds 10% of the Fund’s net assets. |
(2) | Variable or step coupon security; interest rate shown reflects the rate in effect at March 31, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(3) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(4) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2020, these securities amounted to a value of $1,136 or 0.9% of net assets. |
(5) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Municipal Bonds | $113,400 | $— | $113,154 | $246 | |||
Equity Securities: | |||||||
Exchange-Traded Fund | 1,069 | 1,069 | — | — | |||
Money Market Mutual Fund | 4,094 | 4,094 | — | — | |||
Total Investments | $118,563 | $5,163 | $113,154 | $246 |
Table of Contents
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | Newfleet Low Duration Core Plus Bond Fund | |||
Assets | |||||
Investment in securities at value(1) | $100,753 | $48,191 | $443,134 | ||
Cash | 2,041 | 1,964 | 2,157 | ||
Receivables | |||||
Investment securities sold | 57 | 94 | 102 | ||
Fund shares sold | 388 | 22 | 841 | ||
Dividends and interest | 585 | 874 | 1,560 | ||
Securities lending income | —(a) | 3 | 1 | ||
Prepaid Trustees’ retainer | 2 | 1 | 11 | ||
Prepaid expenses | 36 | 27 | 58 | ||
Other assets | 9 | 5 | 43 | ||
Total assets | 103,871 | 51,181 | 447,907 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 246 | 197 | 1,892 | ||
Investment securities purchased | 1,268 | 382 | 1,700 | ||
Dividend distributions | 9 | 29 | 97 | ||
Investment advisory fees | 18 | 11 | 92 | ||
Distribution and service fees | 12 | 11 | 36 | ||
Administration and accounting fees | 10 | 5 | 43 | ||
Transfer agent and sub-transfer agent fees and expenses | 10 | 6 | 58 | ||
Professional fees | 18 | 20 | 16 | ||
Trustee deferred compensation plan | 9 | 5 | 43 | ||
Interest expense and/or commitment fees | —(a) | —(a) | —(a) | ||
Other accrued expenses | 12 | 13 | 42 | ||
Other payables | 22 | — | 113 | ||
Total liabilities | 1,634 | 679 | 4,132 | ||
Net Assets | $102,237 | $50,502 | $443,775 | ||
Net Assets Consist of: | |||||
Common stock $0.001 par value | $— | $— | $43 | ||
Capital paid in on shares of beneficial interest | 105,010 | 63,575 | 463,358 | ||
Accumulated earnings (loss) | (2,773) | (13,073) | (19,626) | ||
Net Assets | $102,237 | $50,502 | $443,775 | ||
Net Assets: | |||||
Class A | $33,869 | $40,066 | $79,162 | ||
Class C | $4,847 | $1,874 | $21,559 | ||
Class I | $62,701 | $7,759 | $342,689 | ||
Class R6 | $820 | $803 | $365 | ||
Shares Outstanding (unlimited number of shares authorized, no par value):(2) | |||||
Class A | 3,072,921 | 11,380,886 | 7,619,442 | ||
Class C | 450,196 | 541,858 | 2,075,031 | ||
Class I | 5,597,149 | 2,200,541 | 32,992,163 | ||
Class R6 | 73,171 | 227,699 | 35,077 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $11.02 | $3.52 | $10.39 | ||
Class C | $10.77 | $3.46 | $10.39 | ||
Class I | $11.20 | $3.53 | $10.39 | ||
Class R6 | $11.21 | $3.53 | $10.39 |
Table of Contents
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | Newfleet Low Duration Core Plus Bond Fund | |||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $11.45 | $3.66 | $10.63 | ||
Maximum Sales Charge - Class A | 3.75% | 3.75% | 2.25% | ||
(1)Investment in securities at cost | $101,978 | $56,525 | $458,232 | ||
(2) Newfleet Core Plus Bond Fund and Newfleet Low Duration Core Plus Bond Fund have a par value of $1.00, and all other funds on this page have no par value. |
(a) | Amount is less than $500. |
Table of Contents
Newfleet Multi-Sector Intermediate Bond Fund | Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | |||
Assets | |||||
Investment in securities at value(1) | $270,778 | $201,229 | $118,563 | ||
Foreign currency at value(2) | —(a) | — | — | ||
Cash | 10,679 | 3,674 | 2,623 | ||
Receivables | |||||
Investment securities sold | 311 | 27,607 | — | ||
Fund shares sold | 6,245 | 258 | 210 | ||
Dividends and interest | 2,688 | 686 | 1,451 | ||
Securities lending income | 6 | — | — | ||
Prepaid Trustees’ retainer | 7 | 6 | 3 | ||
Prepaid expenses | 38 | 38 | 24 | ||
Other assets | 26 | 21 | 11 | ||
Total assets | 290,778 | 233,519 | 122,885 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 950 | 722 | 110 | ||
Investment securities purchased | 8,907 | 14,505 | — | ||
Borrowings (See Note 10) | — | 37,500 | — | ||
Dividend distributions | 243 | 251 | 53 | ||
Investment advisory fees | 109 | 79 | 29 | ||
Distribution and service fees | 47 | 48 | 16 | ||
Administration and accounting fees | 26 | 21 | 12 | ||
Transfer agent and sub-transfer agent fees and expenses | 38 | 35 | 24 | ||
Professional fees | 21 | 14 | 16 | ||
Trustee deferred compensation plan | 26 | 21 | 11 | ||
Interest expense and/or commitment fees | —(a) | 47 | —(a) | ||
Other accrued expenses | 25 | 44 | 11 | ||
Other payables | 74 | 39 | — | ||
Total liabilities | 10,466 | 53,326 | 282 | ||
Net Assets | $280,312 | $180,193 | $122,603 | ||
Net Assets Consist of: | |||||
Common stock $0.001 par value | $— | $— | $11 | ||
Capital paid in on shares of beneficial interest | 334,029 | 278,115 | 115,851 | ||
Accumulated earnings (loss) | (53,717) | (97,922) | 6,741 | ||
Net Assets | $280,312 | $180,193 | $122,603 | ||
Net Assets: | |||||
Class A | $70,500 | $43,727 | $36,150 | ||
Class C | $32,733 | $33,856 | $10,074 | ||
Class I | $172,469 | $99,228 | $76,379 | ||
Class R6 | $4,610 | $3,382 | $— | ||
Shares Outstanding (unlimited number of shares authorized, no par value):(3) | |||||
Class A | 7,784,396 | 5,691,518 | 3,233,913 | ||
Class C | 3,575,975 | 4,402,434 | 901,103 | ||
Class I | 19,054,520 | 12,933,126 | 6,832,998 | ||
Class R6 | 508,022 | 440,959 | — |
Table of Contents
Newfleet Multi-Sector Intermediate Bond Fund | Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | |||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $9.06 | $7.68 | $11.18 | ||
Class C | $9.15 | $7.69 | $11.18 | ||
Class I | $9.05 | $7.67 | $11.18 | ||
Class R6 | $9.07 | $7.67 | $— | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $9.41 | $7.90 | $11.50 | ||
Maximum Sales Charge - Class A | 3.75% | 2.75% | 2.75% | ||
(1)Investment in securities at cost | $301,273 | $237,923 | $112,257 | ||
(2) Foreign currency at cost | $—(a) | $— | $— | ||
(3) Newfleet Tax-Exempt Bond Fund has a par value of $0.001, and all other funds on this page have no par value. |
(a) | Amount is less than $500. |
Table of Contents
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | Newfleet Low Duration Core Plus Bond Fund | |||
Investment Income | |||||
Dividends | $22 | $20 | $65 | ||
Interest | 1,760 | 1,875 | 7,520 | ||
Security lending, net of fees | 1 | 19 | 2 | ||
Foreign taxes withheld | — | —(1) | — | ||
Total investment income | 1,783 | 1,914 | 7,587 | ||
Expenses | |||||
Investment advisory fees | 224 | 191 | 963 | ||
Distribution and service fees, Class A | 45 | 59 | 103 | ||
Distribution and service fees, Class C | 19 | 11 | 104 | ||
Administration and accounting fees | 56 | 34 | 255 | ||
Transfer agent fees and expenses | 25 | 19 | 106 | ||
Sub-transfer agent fees and expenses, Class A | 10 | 11 | 22 | ||
Sub-transfer agent fees and expenses, Class C | 2 | 1 | 6 | ||
Sub-transfer agent fees and expenses, Class I | 13 | 4 | 124 | ||
Custodian fees | 1 | —(1) | 2 | ||
Printing fees and expenses | 5 | 5 | 30 | ||
Professional fees | 15 | 15 | 16 | ||
Interest expense and/or commitment fees | —(1) | —(1) | 1 | ||
Registration fees | 31 | 29 | 51 | ||
Trustees’ fees and expenses | 4 | 2 | 17 | ||
Miscellaneous expenses | 13 | 19 | 22 | ||
Total expenses | 463 | 400 | 1,822 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (118) | (109) | (411) | ||
Less low balance account fees | (1) | (3) | —(1) | ||
Net expenses | 344 | 288 | 1,411 | ||
Net investment income (loss) | 1,439 | 1,626 | 6,176 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 411 | (304) | (1,503) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (5,282) | (7,957) | (20,656) | ||
Net realized and unrealized gain (loss) on investments | (4,871) | (8,261) | (22,159) | ||
Net increase (decrease) in net assets resulting from operations | $(3,432) | $(6,635) | $(15,983) |
(1) | Amount is less than $500. |
(2) | See Note 3D in the Notes to Financial Statements. |
Table of Contents
Newfleet Multi-Sector Intermediate Bond Fund | Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | |||
Investment Income | |||||
Dividends | $91 | $115 | $37 | ||
Interest | 7,541 | 9,445 | 1,989 | ||
Security lending, net of fees | 61 | — | — | ||
Foreign taxes withheld | —(1) | — | — | ||
Total investment income | 7,693 | 9,560 | 2,026 | ||
Expenses | |||||
Investment advisory fees | 860 | 758 | 292 | ||
Distribution and service fees, Class A | 106 | 187 | 47 | ||
Distribution and service fees, Class C | 193 | 216 | 52 | ||
Administration and accounting fees | 167 | 179 | 72 | ||
Transfer agent fees and expenses | 70 | 74 | 29 | ||
Sub-transfer agent fees and expenses, Class A | 27 | 13 | 10 | ||
Sub-transfer agent fees and expenses, Class C | 13 | 15 | 2 | ||
Sub-transfer agent fees and expenses, Class I | 70 | 50 | 36 | ||
Custodian fees | 2 | 1 | —(1) | ||
Printing fees and expenses | 15 | 17 | 6 | ||
Professional fees | 18 | 18 | 13 | ||
Interest expense and/or commitment fees | 1 | 336 | —(1) | ||
Registration fees | 42 | 40 | 26 | ||
Trustees’ fees and expenses | 12 | 15 | 5 | ||
Miscellaneous expenses | 16 | 16 | 9 | ||
Total expenses | 1,612 | 1,935 | 599 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (158) | (33) | (111) | ||
Less low balance account fees | —(1) | —(1) | —(1) | ||
Net expenses | 1,454 | 1,902 | 488 | ||
Net investment income (loss) | 6,239 | 7,658 | 1,538 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | (2,610) | (20,025) | 792 | ||
Foreign currency transactions | —(1) | — | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (31,908) | (23,700) | (2,755) | ||
Foreign currency transactions | (5) | — | — | ||
Net realized and unrealized gain (loss) on investments | (34,523) | (43,725) | (1,963) | ||
Net increase (decrease) in net assets resulting from operations | $(28,284) | $(36,067) | $(425) |
(1) | Amount is less than $500. |
(2) | See Note 3D in the Notes to Financial Statements. |
Table of Contents
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | ||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $1,439 | $2,539 | $1,626 | $3,389 | |||
Net realized gain (loss) | 411 | (30) | (304) | (634) | |||
Net change in unrealized appreciation (depreciation) | (5,282) | 5,088 | (7,957) | (17) | |||
Increase (decrease) in net assets resulting from operations | (3,432) | 7,597 | (6,635) | 2,738 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (497) | (1,119) | (1,298) | (2,829) | |||
Class C | (40) | (112) | (52) | (116) | |||
Class I | (885) | (1,285) | (240) | (377) | |||
Class R6 | (15) | (23) | (24) | (66) | |||
Total Dividends and Distributions to Shareholders | (1,437) | (2,539) | (1,614) | (3,388) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (867) | 110 | (3,178) | (1,570) | |||
Class C | 1,398 | (1,679) | (11) | (984) | |||
Class I | 11,708 | 24,047 | 1,122 | (623) | |||
Class R6 | (175) | 569 | 87 | (3,512) | |||
Increase (decrease) in net assets from capital transactions | 12,064 | 23,047 | (1,980) | (6,689) | |||
Net increase (decrease) in net assets | 7,195 | 28,105 | (10,229) | (7,339) | |||
Net Assets | |||||||
Beginning of period | 95,042 | 66,937 | 60,731 | 68,070 | |||
End of Period | $102,237 | $95,042 | $50,502 | $60,731 |
Table of Contents
Newfleet Low Duration Core Plus Bond Fund | Newfleet Multi-Sector Intermediate Bond Fund | ||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $6,176 | $11,333 | $6,239 | $11,966 | |||
Net realized gain (loss) | (1,503) | (392) | (2,610) | (6,416) | |||
Net increase from payment by affiliates | — | — | — | 6 | |||
Net change in unrealized appreciation (depreciation) | (20,656) | 8,918 | (31,913) | 10,661 | |||
Increase (decrease) in net assets resulting from operations | (15,983) | 19,859 | (28,284) | 16,217 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (989) | (2,152) | (1,603) | (2,890) | |||
Class C | (172) | (445) | (578) | (1,427) | |||
Class I | (5,004) | (8,732) | (3,759) | (6,137) | |||
Class R6 | (5) | (4) | (102) | (217) | |||
Return of Capital: | |||||||
Class A | — | — | — | (379) | |||
Class C | — | — | — | (232) | |||
Class I | — | — | — | (744) | |||
Class R6 | — | — | — | (27) | |||
Total Dividends and Distributions to Shareholders | (6,170) | (11,333) | (6,042) | (12,053) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 1,620 | 4,937 | (6,111) | 11,432 | |||
Class C | 1,765 | (2,555) | (2,924) | (14,751) | |||
Class I | 7,449 | 81,041 | 15,177 | 13,121 | |||
Class R6 | 99 | 278 | 207 | (10,775) | |||
Increase (decrease) in net assets from capital transactions | 10,933 | 83,701 | 6,349 | (973) | |||
Net increase (decrease) in net assets | (11,220) | 92,227 | (27,977) | 3,191 | |||
Net Assets | |||||||
Beginning of period | 454,995 | 362,768 | 308,289 | 305,098 | |||
End of Period | $443,775 | $454,995 | $280,312 | $308,289 |
Table of Contents
Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | ||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $7,658 | $20,985 | $1,538 | $3,573 | |||
Net realized gain (loss) | (20,025) | (8,908) | 792 | (86) | |||
Net change in unrealized appreciation (depreciation) | (23,700) | (7,994) | (2,755) | 6,600 | |||
Increase (decrease) in net assets resulting from operations | (36,067) | 4,083 | (425) | 10,087 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (3,680) | (8,440) | (417) | (1,126) | |||
Class C | (908) | (2,767) | (77) | (332) | |||
Class I | (3,714) | (10,029) | (1,016) | (2,973) | |||
Class R6 | (25) | (9) | — | — | |||
Total Dividends and Distributions to Shareholders | (8,327) | (21,245) | (1,510) | (4,431) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (107,764) | (21,646) | (1,667) | 632 | |||
Class C | (6,594) | (29,121) | (943) | (4,620) | |||
Class I | (38,510) | (61,367) | (7,008) | (21,504) | |||
Class R6 | 3,888 | 117 | — | — | |||
Increase (decrease) in net assets from capital transactions | (148,980) | (112,017) | (9,618) | (25,492) | |||
Net increase (decrease) in net assets | (193,374) | (129,179) | (11,553) | (19,836) | |||
Net Assets | |||||||
Beginning of period | 373,567 | 502,746 | 134,156 | 153,992 | |||
End of Period | $180,193 | $373,567 | $122,603 | $134,156 |
Table of Contents
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet Core Plus Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.51 | 0.16 | (0.49) | (0.33) | (0.16) | — | — | (0.16) | — | (0.49) | $11.02 | (2.92) % | $33,869 | 0.82 % (7) | 1.07 % | 2.78 % | 28 % | |
10/1/18 to 9/30/19 | 10.84 | 0.35 | 0.67 | 1.02 | (0.35) | — | — | (0.35) | — | 0.67 | 11.51 | 9.64 | 36,248 | 0.85 | 1.11 | 3.21 | 59 | |
10/1/17 to 9/30/18 | 11.31 | 0.36 | (0.46) | (0.10) | (0.37) | — | — | (0.37) | — | (0.47) | 10.84 | (0.92) | 33,998 | 0.84 | 1.12 | 3.24 | 49 | |
10/1/16 to 9/30/17 | 11.38 | 0.37 | (0.08) | 0.29 | (0.36) | — | — | (0.36) | — | (0.07) | 11.31 | 2.60 (8) | 39,536 | 0.84 (8) | 1.17 | 3.26 (8) | 56 | |
10/1/15 to 9/30/16 | 11.02 | 0.36 | 0.33 | 0.69 | (0.33) | — | — | (0.33) | — (9) | 0.36 | 11.38 | 6.38 (10) | 44,136 | 0.86 (11) | 1.18 | 3.28 | 64 | |
10/1/14 to 9/30/15 | 11.43 | 0.40 | (0.43) | (0.03) | (0.32) | (0.06) | — | (0.38) | — | (0.41) | 11.02 | (0.26) | 48,064 | 0.85 | 1.12 | 3.55 | 64 | |
Class C | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.24 | 0.11 | (0.47) | (0.36) | (0.11) | — | — | (0.11) | — | (0.47) | $10.77 | (3.21) % | $4,847 | 1.56 % (7) | 1.83 % | 2.02 % | 28 % | |
10/1/18 to 9/30/19 | 10.59 | 0.27 | 0.65 | 0.92 | (0.27) | — | — | (0.27) | — | 0.65 | 11.24 | 8.78 | 3,725 | 1.59 | 1.85 | 2.49 | 59 | |
10/1/17 to 9/30/18 | 11.04 | 0.27 | (0.44) | (0.17) | (0.28) | — | — | (0.28) | — | (0.45) | 10.59 | (1.58) | 5,165 | 1.59 | 1.87 | 2.49 | 49 | |
10/1/16 to 9/30/17 | 11.12 | 0.27 | (0.08) | 0.19 | (0.27) | — | — | (0.27) | — | (0.08) | 11.04 | 1.79 (8) | 6,671 | 1.59 (8) | 1.92 | 2.51 (8) | 56 | |
10/1/15 to 9/30/16 | 10.78 | 0.27 | 0.32 | 0.59 | (0.25) | — | — | (0.25) | — (9) | 0.34 | 11.12 | 5.54 (10) | 9,409 | 1.61 (11) | 1.93 | 2.52 | 64 | |
10/1/14 to 9/30/15 | 11.19 | 0.30 | (0.41) | (0.11) | (0.24) | (0.06) | — | (0.30) | — | (0.41) | 10.78 | (1.00) | 8,853 | 1.60 | 1.87 | 2.74 | 64 | |
Class I | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.70 | 0.18 | (0.50) | (0.32) | (0.18) | — | — | (0.18) | — | (0.50) | $11.20 | (2.82) % | $62,701 | 0.56 % (7) | 0.79 % | 3.01 % | 28 % | |
10/1/18 to 9/30/19 | 11.02 | 0.38 | 0.69 | 1.07 | (0.39) | — | — | (0.39) | — | 0.68 | 11.70 | 9.90 | 54,038 | 0.60 | 0.82 | 3.39 | 59 | |
10/1/17 to 9/30/18 | 11.49 | 0.39 | (0.46) | (0.07) | (0.40) | — | — | (0.40) | — | (0.47) | 11.02 | (0.60) | 27,360 | 0.59 | 0.84 | 3.50 | 49 | |
10/1/16 to 9/30/17 | 11.56 | 0.40 | (0.08) | 0.32 | (0.39) | — | — | (0.39) | — | (0.07) | 11.49 | 2.81 (8) | 26,597 | 0.59 (8) | 0.92 | 3.52 (8) | 56 | |
10/1/15 to 9/30/16 | 11.19 | 0.40 | 0.33 | 0.73 | (0.36) | — | — | (0.36) | — (9) | 0.37 | 11.56 | 6.63 (10) | 24,236 | 0.61 (11) | 0.93 | 3.51 | 64 | |
10/1/14 to 9/30/15 | 11.59 | 0.43 | (0.42) | 0.01 | (0.35) | (0.06) | — | (0.41) | — | (0.40) | 11.19 | 0.08 | 17,456 | 0.60 | 0.87 | 3.78 | 64 | |
Class R6 | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.71 | 0.18 | (0.50) | (0.32) | (0.18) | — | — | (0.18) | — | (0.50) | $11.21 | (2.75) % | $820 | 0.45 % (7) | 0.75 % | 3.16 % | 28 % | |
10/1/18 to 9/30/19 | 11.02 | 0.40 | 0.69 | 1.09 | (0.40) | — | — | (0.40) | — | 0.69 | 11.71 | 10.13 | 1,031 | 0.48 | 0.77 | 3.52 | 59 | |
10/1/17 to 9/30/18 | 11.50 | 0.40 | (0.47) | (0.07) | (0.41) | — | — | (0.41) | — | (0.48) | 11.02 | (0.60) | 414 | 0.50 (7) | 0.79 | 3.59 | 49 | |
11/3/16(12) to 9/30/17 | 11.45 | 0.38 | 0.03 | 0.41 | (0.36) | — | — | (0.36) | — | 0.05 | 11.50 | 3.66 (8) | 463 | 0.53 (8) | 0.88 | 3.33 (8) | 56 (13) | |
Newfleet High Yield Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $4.10 | 0.11 | (0.58) | (0.47) | (0.11) | — | — | (0.11) | — | (0.58) | $3.52 | (11.73) % | $40,066 | 0.99 % | 1.37 % | 5.53 % | 40 % | |
10/1/18 to 9/30/19 | 4.13 | 0.23 | (0.03) | 0.20 | (0.23) | — | — | (0.23) | — | (0.03) | 4.10 | 4.99 | 49,890 | 0.99 | 1.36 | 5.61 | 59 | |
10/1/17 to 9/30/18 | 4.25 | 0.23 | (0.12) | 0.11 | (0.23) | — | — | (0.23) | — | (0.12) | 4.13 | 2.77 | 51,859 | 0.99 | 1.34 | 5.48 | 66 | |
10/1/16 to 9/30/17 | 4.18 | 0.23 | 0.06 | 0.29 | (0.22) | — | — | (0.22) | — | 0.07 | 4.25 | 7.05 (8) | 56,694 | 1.00 (7)(8) | 1.41 | 5.36 (8) | 71 | |
10/1/15 to 9/30/16 | 3.98 | 0.21 | 0.20 | 0.41 | (0.21) | — | — | (0.21) | — (9) | 0.20 | 4.18 | 10.59 (10) | 64,338 | 1.15 (11) | 1.42 | 5.15 | 81 | |
10/1/14 to 9/30/15 | 4.35 | 0.22 | (0.36) | (0.14) | (0.23) | — | — | (0.23) | — | (0.37) | 3.98 | (3.39) | 60,951 | 1.15 | 1.32 | 5.26 | 94 | |
Class C | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $4.02 | 0.10 | (0.57) | (0.47) | (0.09) | — | — | (0.09) | — | (0.56) | $3.46 | (11.84) % | $1,874 | 1.74 % | 2.11 % | 4.78 % | 40 % | |
10/1/18 to 9/30/19 | 4.06 | 0.19 | (0.04) | 0.15 | (0.19) | — | — | (0.19) | — | (0.04) | 4.02 | 3.94 | 2,207 | 1.75 | 2.11 | 4.85 | 59 | |
10/1/17 to 9/30/18 | 4.17 | 0.19 | (0.10) | 0.09 | (0.20) | — | — | (0.20) | — | (0.11) | 4.06 | 2.20 | 3,254 | 1.74 | 2.08 | 4.73 | 66 | |
10/1/16 to 9/30/17 | 4.11 | 0.19 | 0.06 | 0.25 | (0.19) | — | — | (0.19) | — | 0.06 | 4.17 | 6.11 (8) | 3,593 | 1.75 (7)(8) | 2.17 | 4.61 (8) | 71 | |
10/1/15 to 9/30/16 | 3.92 | 0.17 | 0.20 | 0.37 | (0.18) | — | — | (0.18) | — (9) | 0.19 | 4.11 | 9.68 (10) | 4,231 | 1.90 (11) | 2.17 | 4.40 | 81 | |
10/1/14 to 9/30/15 | 4.28 | 0.19 | (0.35) | (0.16) | (0.20) | — | — | (0.20) | — | (0.36) | 3.92 | (3.93) | 3,705 | 1.90 | 2.07 | 4.52 | 94 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet High Yield Fund (Continued) | ||||||||||||||||||
Class I | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $4.10 | 0.12 | (0.57) | (0.45) | (0.12) | — | — | (0.12) | — | (0.57) | $3.53 | (11.37) % | $7,759 | 0.74 % | 1.14 % | 5.77 % | 40 % | |
10/1/18 to 9/30/19 | 4.13 | 0.24 | (0.03) | 0.21 | (0.24) | — | — | (0.24) | — | (0.03) | 4.10 | 5.25 | 7,805 | 0.75 | 1.15 | 5.82 | 59 | |
10/1/17 to 9/30/18 | 4.25 | 0.24 | (0.12) | 0.12 | (0.24) | — | — | (0.24) | — | (0.12) | 4.13 | 3.03 | 8,557 | 0.74 | 1.14 | 5.72 | 66 | |
10/1/16 to 9/30/17 | 4.18 | 0.24 | 0.06 | 0.30 | (0.23) | — | — | (0.23) | — | 0.07 | 4.25 | 7.31 (8) | 6,577 | 0.75 (7)(8) | 1.17 | 5.62 (8) | 71 | |
10/1/15 to 9/30/16 | 3.98 | 0.21 | 0.21 | 0.42 | (0.22) | — | — | (0.22) | — (9) | 0.20 | 4.18 | 10.86 (10) | 7,954 | 0.90 (11) | 1.16 | 5.38 | 81 | |
10/1/14 to 9/30/15 | 4.35 | 0.23 | (0.36) | (0.13) | (0.24) | — | — | (0.24) | — | (0.37) | 3.98 | (3.15) | 4,625 | 0.90 | 1.07 | 5.53 | 94 | |
Class R6 | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $4.10 | 0.12 | (0.57) | (0.45) | (0.12) | — | — | (0.12) | — | (0.57) | $3.53 | (11.34) % | $803 | 0.68 % | 1.05 % | 5.84 % | 40 % | |
10/1/18 to 9/30/19 | 4.13 | 0.23 | (0.02) | 0.21 | (0.24) | — | — | (0.24) | — | (0.03) | 4.10 | 5.30 | 829 | 0.69 | 1.04 | 5.77 | 59 | |
10/1/17 to 9/30/18 | 4.25 | 0.24 | (0.11) | 0.13 | (0.25) | — | — | (0.25) | — | (0.12) | 4.13 | 3.09 | 4,400 | 0.69 | 1.00 | 5.79 | 66 | |
11/3/16(12) to 9/30/17 | 4.14 | 0.22 | 0.10 | 0.32 | (0.21) | — | — | (0.21) | — | 0.11 | 4.25 | 7.93 (8) | 5,253 | 0.69 (7)(8) | 1.15 | 5.66 (8) | 71 | |
Newfleet Low Duration Core Plus Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $10.86 | 0.13 | (0.47) | (0.34) | (0.13) | — | — | (0.13) | — | (0.47) | $10.39 | (3.17) % | $79,162 | 0.75 % | 0.92 % | 2.40 % | 28 % | |
10/1/18 to 9/30/19 | 10.64 | 0.29 | 0.22 | 0.51 | (0.29) | — | — | (0.29) | — | 0.22 | 10.86 | 4.82 | 81,384 | 0.75 | 0.95 | 2.67 | 45 | |
10/1/17 to 9/30/18 | 10.83 | 0.25 | (0.19) | 0.06 | (0.25) | — | — | (0.25) | — | (0.19) | 10.64 | 0.55 | 74,707 | 0.75 | 1.09 | 2.32 | 54 | |
10/1/16 to 9/30/17 | 10.90 | 0.21 | (0.07) | 0.14 | (0.21) | — | — | (0.21) | — | (0.07) | 10.83 | 1.31 | 81,542 | 0.75 | 1.12 | 1.95 | 55 | |
1/1/16 to 9/30/16(14) | 10.70 | 0.15 | 0.20 | 0.35 | (0.15) | — | — | (0.15) | — | 0.20 | 10.90 | 3.25 | 102,049 | 0.76 (11) | 1.12 | 1.89 | 38 | |
1/1/15 to 12/31/15 | 10.82 | 0.19 | (0.09) | 0.10 | (0.19) | (0.03) | — | (0.22) | — (9) | (0.12) | 10.70 | 0.89 (10) | 85,666 | 0.75 | 1.12 | 1.77 | 56 | |
1/1/14 to 12/31/14 | 10.83 | 0.22 | (0.01) | 0.21 | (0.22) | — | — | (0.22) | — | (0.01) | 10.82 | 1.94 | 75,456 | 0.92 (7) | 1.11 | 2.02 | 58 | |
Class C | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $10.86 | 0.09 | (0.47) | (0.38) | (0.09) | — | — | (0.09) | — | (0.47) | $10.39 | (3.53) % | $21,559 | 1.50 % | 1.67 % | 1.65 % | 28 % | |
10/1/18 to 9/30/19 | 10.64 | 0.21 | 0.22 | 0.43 | (0.21) | — | — | (0.21) | — | 0.22 | 10.86 | 4.04 | 20,746 | 1.50 | 1.70 | 1.92 | 45 | |
10/1/17 to 9/30/18 | 10.83 | 0.17 | (0.19) | (0.02) | (0.17) | — | — | (0.17) | — | (0.19) | 10.64 | (0.20) | 22,809 | 1.50 | 1.82 | 1.55 | 54 | |
10/1/16 to 9/30/17 | 10.90 | 0.13 | (0.07) | 0.06 | (0.13) | — | — | (0.13) | — | (0.07) | 10.83 | 0.56 | 32,400 | 1.50 | 1.87 | 1.20 | 55 | |
1/1/16 to 9/30/16(14) | 10.70 | 0.09 | 0.19 | 0.28 | (0.08) | — | — | (0.08) | — | 0.20 | 10.90 | 2.67 | 46,642 | 1.51 (11) | 1.87 | 1.15 | 38 | |
1/1/15 to 12/31/15 | 10.82 | 0.11 | (0.10) | 0.01 | (0.10) | (0.03) | — | (0.13) | — (9) | (0.12) | 10.70 | 0.13 (10) | 44,621 | 1.50 | 1.86 | 1.02 | 56 | |
1/1/14 to 12/31/14 | 10.84 | 0.14 | (0.02) | 0.12 | (0.14) | — | — | (0.14) | — | (0.02) | 10.82 | 1.08 | 51,303 | 1.68 (7) | 1.87 | 1.28 | 58 | |
Class I | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $10.85 | 0.14 | (0.46) | (0.32) | (0.14) | — | — | (0.14) | — | (0.46) | $10.39 | (2.96) % | $342,689 | 0.50 % | 0.67 % | 2.65 % | 28 % | |
10/1/18 to 9/30/19 | 10.63 | 0.31 | 0.22 | 0.53 | (0.31) | — | — | (0.31) | — | 0.22 | 10.85 | 5.09 | 352,583 | 0.50 | 0.70 | 2.91 | 45 | |
10/1/17 to 9/30/18 | 10.83 | 0.28 | (0.20) | 0.08 | (0.28) | — | — | (0.28) | — | (0.20) | 10.63 | 0.71 | 265,252 | 0.50 | 0.83 | 2.57 | 54 | |
10/1/16 to 9/30/17 | 10.90 | 0.24 | (0.07) | 0.17 | (0.24) | — | — | (0.24) | — | (0.07) | 10.83 | 1.56 | 250,777 | 0.50 | 0.88 | 2.21 | 55 | |
1/1/16 to 9/30/16(14) | 10.70 | 0.17 | 0.20 | 0.37 | (0.17) | — | — | (0.17) | — | 0.20 | 10.90 | 3.44 | 251,630 | 0.52 (11) | 0.87 | 2.15 | 38 | |
1/1/15 to 12/31/15 | 10.81 | 0.22 | (0.09) | 0.13 | (0.21) | (0.03) | — | (0.24) | — (9) | (0.11) | 10.70 | 1.24 (10) | 150,977 | 0.50 | 0.88 | 2.03 | 56 | |
1/1/14 to 12/31/14 | 10.83 | 0.25 | (0.02) | 0.23 | (0.25) | — | — | (0.25) | — | (0.02) | 10.81 | 2.10 | 92,794 | 0.68 (7) | 0.91 | 2.27 | 58 | |
Class R6 | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $10.86 | 0.15 | (0.47) | (0.32) | (0.15) | — | — | (0.15) | — | (0.47) | $10.39 | (3.02) % | $365 | 0.43 % | 0.61 % | 2.72 % | 28 % | |
12/19/18(12) to 9/30/19 | 10.58 | 0.25 | 0.28 | 0.53 | (0.25) | — | — | (0.25) | — | 0.28 | 10.86 | 5.08 | 282 | 0.43 | 0.62 | 3.02 | 45 (13) |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $10.16 | 0.20 | (1.11) | (0.91) | (0.19) | — | — | (0.19) | — | (1.10) | $9.06 | (9.12) % | $70,500 | 0.99 % | 1.09 % | 3.94 % | 46 % | |
10/1/18 to 9/30/19 | 9.97 | 0.43 | 0.19 | 0.62 | (0.38) | (0.05) | — | (0.43) | — (9) | 0.19 | 10.16 | 6.43 (10) | 86,034 | 0.98 | 1.10 | 4.34 | 81 | |
10/1/17 to 9/30/18 | 10.42 | 0.45 | (0.46) | (0.01) | (0.42) | (0.02) | — | (0.44) | — | (0.45) | 9.97 | (0.14) | 73,217 | 0.98 | 1.10 | 4.43 | 70 | |
10/1/16 to 9/30/17 | 10.30 | 0.47 | 0.10 | 0.57 | (0.45) | — | — | (0.45) | — | 0.12 | 10.42 | 5.64 (8) | 87,144 | 1.01 (7)(8) | 1.13 | 4.55 (8) | 64 | |
10/1/15 to 9/30/16 | 9.76 | 0.47 | 0.49 | 0.96 | (0.42) | — | — | (0.42) | — | 0.54 | 10.30 | 10.15 | 98,969 | 1.14 (11) | 1.15 | 4.80 | 60 | |
10/1/14 to 9/30/15 | 10.70 | 0.49 | (0.85) | (0.36) | (0.40) | (0.05) | (0.13) | (0.58) | — (9) | (0.94) | 9.76 | (3.41) (10) | 104,833 | 1.10 | 1.10 | 4.81 | 66 | |
Class C | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $10.26 | 0.16 | (1.12) | (0.96) | (0.15) | — | — | (0.15) | — | (1.11) | $9.15 | (9.47) % | $32,733 | 1.74 % | 1.84 % | 3.19 % | 46 % | |
10/1/18 to 9/30/19 | 10.07 | 0.36 | 0.19 | 0.55 | (0.31) | (0.05) | — | (0.36) | — (9) | 0.19 | 10.26 | 5.57 (10) | 39,778 | 1.73 | 1.85 | 3.63 | 81 | |
10/1/17 to 9/30/18 | 10.53 | 0.38 | (0.48) | (0.10) | (0.34) | (0.02) | — | (0.36) | — | (0.46) | 10.07 | (0.96) | 53,809 | 1.73 | 1.83 | 3.68 | 70 | |
10/1/16 to 9/30/17 | 10.40 | 0.39 | 0.11 | 0.50 | (0.37) | — | — | (0.37) | — | 0.13 | 10.53 | 4.90 (8) | 63,919 | 1.77 (7)(8) | 1.88 | 3.80 (8) | 64 | |
10/1/15 to 9/30/16 | 9.85 | 0.40 | 0.50 | 0.90 | (0.35) | — | — | (0.35) | — | 0.55 | 10.40 | 9.34 | 75,350 | 1.88 (11) | 1.90 | 4.04 | 60 | |
10/1/14 to 9/30/15 | 10.79 | 0.42 | (0.85) | (0.43) | (0.33) | (0.05) | (0.13) | (0.51) | — (9) | (0.94) | 9.85 | (4.11) (10) | 84,099 | 1.85 | 1.85 | 4.06 | 66 | |
Class I | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $10.15 | 0.21 | (1.10) | (0.89) | (0.21) | — | — | (0.21) | — | (1.10) | $9.05 | (8.98) % | $172,469 | 0.74 % | 0.84 % | 4.18 % | 46 % | |
10/1/18 to 9/30/19 | 9.98 | 0.46 | 0.18 | 0.64 | (0.42) | (0.05) | — | (0.47) | — (9) | 0.17 | 10.15 | 6.57 (10) | 177,574 | 0.73 | 0.85 | 4.57 | 81 | |
10/1/17 to 9/30/18 | 10.43 | 0.48 | (0.47) | 0.01 | (0.44) | (0.02) | — | (0.46) | — | (0.45) | 9.98 | 0.14 | 162,322 | 0.73 | 0.83 | 4.66 | 70 | |
10/1/16 to 9/30/17 | 10.31 | 0.50 | 0.09 | 0.59 | (0.47) | — | — | (0.47) | — | 0.12 | 10.43 | 5.90 (8) | 205,821 | 0.75 (7)(8) | 0.88 | 4.83 (8) | 64 | |
10/1/15 to 9/30/16 | 9.77 | 0.50 | 0.49 | 0.99 | (0.45) | — | — | (0.45) | — | 0.54 | 10.31 | 10.42 | 123,435 | 0.88 (11) | 0.90 | 5.04 | 60 | |
10/1/14 to 9/30/15 | 10.71 | 0.52 | (0.85) | (0.33) | (0.43) | (0.05) | (0.13) | (0.61) | — (9) | (0.94) | 9.77 | (3.17) (10) | 138,956 | 0.85 | 0.85 | 5.06 | 66 | |
Class R6 | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $10.17 | 0.22 | (1.11) | (0.89) | (0.21) | — | — | (0.21) | — | (1.10) | $9.07 | (8.96) % | $4,610 | 0.60 % | 0.77 % | 4.33 % | 46 % | |
10/1/18 to 9/30/19 | 9.98 | 0.46 | 0.20 | 0.66 | (0.42) | (0.05) | — | (0.47) | — (9) | 0.19 | 10.17 | 6.77 (10) | 4,903 | 0.59 | 0.78 | 4.65 | 81 | |
10/1/17 to 9/30/18 | 10.43 | 0.49 | (0.47) | 0.02 | (0.45) | (0.02) | — | (0.47) | — | (0.45) | 9.98 | 0.19 | 15,750 | 0.62 | 0.76 | 4.78 | 70 | |
10/1/16 to 9/30/17 | 10.31 | 0.50 | 0.10 | 0.60 | (0.48) | — | — | (0.48) | — | 0.12 | 10.43 | 5.98 (8) | 19,410 | 0.67 (7)(8) | 0.82 | 4.79 (8) | 64 | |
10/1/15 to 9/30/16 | 9.77 | 0.50 | 0.50 | 1.00 | (0.46) | — | — | (0.46) | — | 0.54 | 10.31 | 10.50 | 2,004 | 0.81 (11) | 0.83 | 5.12 | 60 | |
11/12/14(12) to 9/30/15 | 10.67 | 0.46 | (0.81) | (0.35) | (0.37) | (0.05) | (0.13) | (0.55) | — | (0.90) | 9.77 | (3.31) (10) | 1,778 | 0.76 | 0.77 | 5.12 | 66 (13) | |
Newfleet Senior Floating Rate Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $9.11 | 0.20 | (1.41) | (1.21) | (0.22) | — | — | (0.22) | — | (1.43) | $7.68 | (13.56) % | $43,727 | 1.14 % (15)(16)(17) | 1.13 % | 4.49 % | 19 % | |
10/1/18 to 9/30/19 | 9.41 | 0.46 | (0.30) | 0.16 | (0.46) | — | — | (0.46) | — | (0.30) | 9.11 | 1.80 | 167,595 | 1.10 (17) | 1.11 | 4.96 | 24 | |
10/1/17 to 9/30/18 | 9.42 | 0.41 | (0.01) | 0.40 | (0.41) | — | — | (0.41) | — | (0.01) | 9.41 | 4.33 | 196,025 | 1.09 | 1.12 | 4.31 | 37 | |
10/1/16 to 9/30/17 | 9.42 | 0.37 | 0.02 | 0.39 | (0.39) | — | — | (0.39) | — | — | 9.42 | 4.28 | 223,055 | 1.10 (7) | 1.16 | 3.95 | 95 | |
10/1/15 to 9/30/16 | 9.36 | 0.34 | 0.06 | 0.40 | (0.34) | — | — | (0.34) | — | 0.06 | 9.42 | 4.42 | 227,588 | 1.23 (11)(15) | 1.24 | 3.67 | 48 | |
10/1/14 to 9/30/15 | 9.72 | 0.38 | (0.32) | 0.06 | (0.39) | — | (0.03) | (0.42) | — (9) | (0.36) | 9.36 | 0.53 (10) | 268,596 | 1.20 (15) | 1.20 | 3.94 | 34 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet Senior Floating Rate Fund (Continued) | ||||||||||||||||||
Class C | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $9.12 | 0.17 | (1.41) | (1.24) | (0.19) | — | — | (0.19) | — | (1.43) | $7.69 | (13.87) % | $33,856 | 1.89 % (17) | 1.93 % | 3.83 % | 19 % | |
10/1/18 to 9/30/19 | 9.42 | 0.39 | (0.30) | 0.09 | (0.39) | — | — | (0.39) | — | (0.30) | 9.12 | 1.05 | 47,050 | 1.86 (17) | 1.92 | 4.23 | 24 | |
10/1/17 to 9/30/18 | 9.44 | 0.33 | (0.01) | 0.32 | (0.34) | — | — | (0.34) | — | (0.02) | 9.42 | 3.45 | 78,558 | 1.84 | 1.91 | 3.55 | 37 | |
10/1/16 to 9/30/17 | 9.43 | 0.30 | 0.03 | 0.33 | (0.32) | — | — | (0.32) | — | 0.01 | 9.44 | 3.50 | 97,800 | 1.85 (7) | 1.92 | 3.20 | 95 | |
10/1/15 to 9/30/16 | 9.37 | 0.27 | 0.06 | 0.33 | (0.27) | — | — | (0.27) | — | 0.06 | 9.43 | 3.63 | 111,839 | 1.98 (11) | 1.99 | 2.92 | 48 | |
10/1/14 to 9/30/15 | 9.73 | 0.31 | (0.33) | (0.02) | (0.31) | — | (0.03) | (0.34) | — (9) | (0.36) | 9.37 | (0.22) (10) | 138,478 | 1.95 | 1.95 | 3.19 | 34 | |
Class I | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $9.10 | 0.21 | (1.41) | (1.20) | (0.23) | — | — | (0.23) | — | (1.43) | $7.67 | (13.47) % | $99,228 | 0.89 % (17) | 0.93 % | 4.81 % | 19 % | |
10/1/18 to 9/30/19 | 9.40 | 0.48 | (0.30) | 0.18 | (0.48) | — | — | (0.48) | — | (0.30) | 9.10 | 2.05 | 158,703 | 0.86 (17) | 0.91 | 5.20 | 24 | |
10/1/17 to 9/30/18 | 9.42 | 0.43 | (0.02) | 0.41 | (0.43) | — | — | (0.43) | — | (0.02) | 9.40 | 4.48 | 228,058 | 0.84 | 0.90 | 4.56 | 37 | |
10/1/16 to 9/30/17 | 9.41 | 0.40 | 0.02 | 0.42 | (0.41) | — | — | (0.41) | — | 0.01 | 9.42 | 4.54 | 250,770 | 0.84 (7) | 0.92 | 4.21 | 95 | |
10/1/15 to 9/30/16 | 9.35 | 0.36 | 0.06 | 0.42 | (0.36) | — | — | (0.36) | — | 0.06 | 9.41 | 4.69 | 210,752 | 0.97 (11) | 0.98 | 3.91 | 48 | |
10/1/14 to 9/30/15 | 9.71 | 0.40 | (0.32) | 0.08 | (0.41) | — | (0.03) | (0.44) | — (9) | (0.36) | 9.35 | 0.78 (10) | 284,735 | 0.95 | 0.95 | 4.20 | 34 | |
Class R6 | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $9.11 | 0.24 | (1.44) | (1.20) | (0.24) | — | — | (0.24) | — | (1.44) | $7.67 | (13.50) % | $3,382 | 0.75 % (17) | 0.86 % | 5.82 % | 19 % | |
10/1/18 to 9/30/19 | 9.40 | 0.49 | (0.28) | 0.21 | (0.50) | — | — | (0.50) | — | (0.29) | 9.11 | 2.31 | 219 | 0.71 (17) | 0.84 | 5.35 | 24 | |
10/1/17 to 9/30/18 | 9.42 | 0.44 | (0.02) | 0.42 | (0.44) | — | — | (0.44) | — | (0.02) | 9.40 | 4.60 | 105 | 0.75 (7) | 0.86 | 4.70 | 37 | |
11/3/16(12) to 9/30/17 | 9.43 | 0.36 | 0.01 | 0.37 | (0.38) | — | — | (0.38) | — | (0.01) | 9.42 | 4.32 | 104 | 0.77 (7) | 0.86 | 3.76 | 95 (13) | |
Newfleet Tax-Exempt Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.34 | 0.13 | (0.16) | (0.03) | (0.13) | — | — | (0.13) | — | (0.16) | $11.18 | (0.31) % | $36,150 | 0.85 % | 1.01 % | 2.27 % | 3 % | |
10/1/18 to 9/30/19 | 10.88 | 0.27 | 0.53 | 0.80 | (0.27) | — | (0.07) | (0.34) | — | 0.46 | 11.34 | 7.50 | 38,374 | 0.85 | 0.99 | 2.47 | 4 | |
10/1/17 to 9/30/18 | 11.28 | 0.31 | (0.35) | (0.04) | (0.31) | — | (0.05) | (0.36) | — | (0.40) | 10.88 | (0.35) | 36,238 | 0.85 | 0.99 | 2.78 | 15 | |
10/1/16 to 9/30/17 | 11.55 | 0.31 | (0.26) | 0.05 | (0.30) | — | (0.02) | (0.32) | — | (0.27) | 11.28 | 0.48 (8) | 46,657 | 0.85 (8) | 1.03 | 2.78 (8) | 9 | |
1/1/16 to 9/30/16(14) | 11.43 | 0.22 | 0.12 | 0.34 | (0.22) | — | — | (0.22) | — | 0.12 | 11.55 | 3.00 | 69,711 | 0.87 (11) | 1.03 | 2.53 | 9 | |
1/1/15 to 12/31/15 | 11.46 | 0.30 | (0.03) | 0.27 | (0.29) | — | (0.01) | (0.30) | — | (0.03) | 11.43 | 2.39 | 74,418 | 0.85 | 1.00 | 2.60 | 10 | |
1/1/14 to 12/31/14 | 10.91 | 0.31 | 0.56 | 0.87 | (0.32) | — | — (9) | (0.32) | — | 0.55 | 11.46 | 7.94 | 79,906 | 0.85 | 0.99 | 2.73 | 22 | |
Class C | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.34 | 0.09 | (0.17) | (0.08) | (0.08) | — | — | (0.08) | — | (0.16) | $11.18 | (0.68) % | $10,074 | 1.60 % | 1.75 % | 1.52 % | 3 % | |
10/1/18 to 9/30/19 | 10.89 | 0.19 | 0.52 | 0.71 | (0.19) | — | (0.07) | (0.26) | — | 0.45 | 11.34 | 6.60 | 11,194 | 1.60 | 1.73 | 1.73 | 4 | |
10/1/17 to 9/30/18 | 11.29 | 0.22 | (0.34) | (0.12) | (0.23) | — | (0.05) | (0.28) | — | (0.40) | 10.89 | (1.09) | 15,238 | 1.60 | 1.73 | 2.03 | 15 | |
10/1/16 to 9/30/17 | 11.55 | 0.23 | (0.25) | (0.02) | (0.22) | — | (0.02) | (0.24) | — | (0.26) | 11.29 | (0.18) (8) | 20,832 | 1.60 (8) | 1.78 | 2.03 (8) | 9 | |
1/1/16 to 9/30/16(14) | 11.43 | 0.15 | 0.13 | 0.28 | (0.16) | — | — | (0.16) | — | 0.12 | 11.55 | 2.42 | 26,833 | 1.61 (11) | 1.78 | 1.78 | 9 | |
1/1/15 to 12/31/15 | 11.46 | 0.21 | (0.03) | 0.18 | (0.20) | — | (0.01) | (0.21) | — | (0.03) | 11.43 | 1.62 | 30,316 | 1.60 | 1.75 | 1.85 | 10 | |
1/1/14 to 12/31/14 | 10.92 | 0.22 | 0.55 | 0.77 | (0.23) | — | — (9) | (0.23) | — | 0.54 | 11.46 | 7.13 | 30,967 | 1.60 | 1.74 | 1.98 | 22 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet Tax-Exempt Bond Fund (Continued) | ||||||||||||||||||
Class I | ||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.34 | 0.14 | (0.16) | (0.02) | (0.14) | — | — | (0.14) | — | (0.16) | $11.18 | (0.19) % | $76,379 | 0.60 % | 0.78 % | 2.52 % | 3 % | |
10/1/18 to 9/30/19 | 10.88 | 0.30 | 0.53 | 0.83 | (0.30) | — | (0.07) | (0.37) | — | 0.46 | 11.34 | 7.76 | 84,588 | 0.60 | 0.78 | 2.72 | 4 | |
10/1/17 to 9/30/18 | 11.28 | 0.33 | (0.34) | (0.01) | (0.34) | — | (0.05) | (0.39) | — | (0.40) | 10.88 | (0.10) | 102,516 | 0.60 | 0.74 | 3.03 | 15 | |
10/1/16 to 9/30/17 | 11.55 | 0.34 | (0.26) | 0.08 | (0.33) | — | (0.02) | (0.35) | — | (0.27) | 11.28 | 0.73 (8) | 100,062 | 0.60 (8) | 0.79 | 3.04 (8) | 9 | |
1/1/16 to 9/30/16(14) | 11.43 | 0.24 | 0.12 | 0.36 | (0.24) | — | — | (0.24) | — | 0.12 | 11.55 | 3.19 | 104,679 | 0.62 (11) | 0.78 | 2.78 | 9 | |
1/1/15 to 12/31/15 | 11.46 | 0.33 | (0.03) | 0.30 | (0.32) | — | (0.01) | (0.33) | — | (0.03) | 11.43 | 2.64 | 90,912 | 0.60 | 0.77 | 2.85 | 10 | |
1/1/14 to 12/31/14 | 10.91 | 0.34 | 0.56 | 0.90 | (0.35) | — | — (9) | (0.35) | — | 0.55 | 11.46 | 8.30 | 86,459 | 0.60 | 0.79 | 2.98 | 22 |
Table of Contents
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | Not annualized for periods less than one year. |
(4) | Annualized for periods less than one year. |
(5) | The Funds will also indirectly bear their prorated share of expenses of any underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(8) | State Street Bank & Trust, custodian for some of the Funds through January 29, 2010, reimbursed the Funds for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses and increase the Ratio of Net Investment Income (Loss) as follows: Newfleet Core Plus Bond Fund 0.02% (Class A), 0.02% (Class C), 0.02% (Class I), 0.00% (Class R6) Newfleet High Yield Fund 0.08% (Class A), 0.08% (Class C), 0.08% (Class I), 0.00% (Class R6) Newfleet Multi-Sector Intermediate Bond Fund 0.02% (Class A), 0.02% (Class C), 0.02% (Class I), 0.00% (Class R6) Newfleet Tax-Exempt Bond Fund 0.01% (Class A), 0.01% (Class C), 0.01% (Class I) Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return as follows: Newfleet Core Plus Bond Fund 0.02% (Class A), 0.02% (Class C), 0.02% (Class I), 0.00% (Class R6) Newfleet High Yield Fund 0.08% (Class A), 0.08% (Class C), 0.08% (Class I), 0.00% (Class R6) Newfleet Multi-Sector Intermediate Bond Fund 0.02% (Class A), 0.02% (Class C), 0.02% (Class I), 0.00% (Class R6) Newfleet Tax-Exempt Bond Fund 0.01% (Class A), 0.01% (Class C), 0.01% (Class I) |
(9) | Amount is less than $0.005 per share. |
(10) | Payment from affiliate had no impact on total return. |
(11) | Net expense ratio includes extraordinary proxy expenses. |
(12) | Inception date. |
(13) | Portfolio turnover is representative of the Fund for the entire period. |
(14) | The Fund changed its fiscal year end to September 30, during the period. |
(15) | The share class is currently under its expense limitation. |
(16) | See Note 3D in the Notes to Financial Statements for information on recapture of expenses previously reimbursed. |
(17) | Ratios of total expenses excluding interest expense on borrowings for the six months ended March 31, 2020, and year ended September 30, 2019, were 0.94% (Class A), 1.69% (Class C), 0.69% (Class I) and 0.55% (Class R6). |
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Fund | Investment objective(s) | |
Newfleet Core Plus Bond Fund | High total return from both current income and capital appreciation. | |
Newfleet High Yield Fund | High current income and a secondary objective of capital growth. | |
Newfleet Low Duration Core Plus Bond Fund | To provide a high level of total return, including a competitive level of current income, while limiting fluctuations in net asset value due to changes in interest rates. | |
Newfleet Multi-Sector Intermediate Bond Fund | Maximizing current income while preserving capital. | |
Newfleet Senior Floating Rate Fund | High total return from both current income and capital appreciation. | |
Newfleet Tax-Exempt Bond Fund | Providing a high level of current income that is exempt from federal income tax. |
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A. | Security Valuation |
Each Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Funds’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Fund is notified. Interest income is recorded on the accrual basis. Each Fund amortizes premiums and accretes discounts using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. |
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Dividend income from REITs is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
Each Fund is treated as a separate taxable entity. It is the intention of each Fund to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. | |
Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of March 31, 2020, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 forward (with limited exceptions). | |
D. | Distributions to Shareholders |
Distributions are recorded by each Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each Fund or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that a Fund bears directly, the shareholders of a Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | When-issued Purchases and Forward Commitments (Delayed Delivery) |
Certain Funds may engage in when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by a Fund to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable the Funds to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. Each Fund records when-issued and forward commitment securities on the trade date. Each Fund maintains collateral for the securities purchased. Securities purchased on a when-issued or forward commitment basis begin earning interest on the settlement date. | |
H. | Interest-Only and Principal-Only Securities |
Certain Funds may invest in stripped mortgage-backed securities. Stripped mortgage-backed securities represent a participation in, or are secured by, or payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. Stripped mortgage-backed securities include interest-only securities (IOs) which receive all of the interest, and principal-only securities (POs) which receive all of the principal. The market value of these securities is highly sensitive to changes in interest rates and a rapid (slow) rate of principal payments may have an adverse (positive) effect on yield to maturity. Payments received for IOs are included in interest income. Because principal will not be received at the maturity of an IO, adjustments are made to the book value of the security on a daily basis until maturity and these adjustments are also included in interest income. Payments received for POs are treated as reductions to the cost and par value of the securities. Any paydown gains or losses associated with the payments received are included in interest income. If the underlying mortgage assets are greater than anticipated payments of principal, a Fund may fail to recoup some or all of its initial investment in these securities. |
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I. | Leveraged Loans |
Certain Funds may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged loans are generally non-investment grade and often involve borrowers that are highly leveraged. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the leveraged loan. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. A Fund generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When a Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. | |
A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due. | |
The leveraged loans have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased a Fund may pay an assignment fee. On an ongoing basis, a Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid. | |
As of March 31, 2020, the Funds had the following unfunded loan commitments: |
Unfunded Loan Commitment | ||
Borrower | Newfleet Multi-Sector Intermediate Bond Fund | |
EyeCare Partners LLC | $65 |
J. | Securities Lending |
The Funds may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities a Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by each Fund under Master Securities Lending Agreements (“MSLA”) which permit the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
Effective March 13, 2020, the securities lending program was put on hold and all securities on loan were recalled. |
A. | Investment Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Funds. The Adviser manages the Funds’ investment programs and general operations of the Funds, including oversight of the Funds’ subadviser. | |
As compensation for its services to the Funds, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily net assets of each Fund: |
First $1 Billion | $1+ Billion | ||
Newfleet Core Plus Bond Fund | 0.45 % | 0.40 % | |
Newfleet Tax-Exempt Bond Fund | 0.45 | 0.40 * |
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First $2 Billion | $2+ Billion | ||
Newfleet Low Duration Core Plus Bond Fund | 0.40 % | 0.375 % |
First $1 Billion | $1+ Billion through $2 Billion | $2+ Billion | |||
Newfleet High Yield Fund | 0.65 % | 0.60 % | 0.55 % | ||
Newfleet Multi-Sector Intermediate Bond Fund | 0.55 | 0.50 | 0.45 |
First $2 Billion | $2+ Billion through $4 Billion | $4+ Billion | |||
Newfleet Senior Floating Rate Fund | 0.45 % | 0.40 % | 0.38 % |
* | Effective January 28, 2020. Prior to January 28, 2020, the Adviser’s fee was 0.45% of the Fund’s average daily net assets. |
B. | Subadviser |
Newfleet Asset Management, LLC (the “Subadviser”), an indirect, wholly-owned subsidiary of Virtus, is the subadviser to the Funds. The Subadviser manages the investments of each Fund, for which it is paid a fee by the Adviser. | |
C. | Expense Limitations |
The Adviser has contractually agreed to limit each Fund’s annual total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed on an annualized basis, the following respective percentages of average daily net assets through January 31, 2021. Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. The waivers and reimbursements are calculated daily and received monthly. |
Fund | Class A | Class C | Class I | Class R6 | ||||
Newfleet Core Plus Bond Fund(1) | 0.80 % | 1.55 % | 0.55 % | 0.43 % | ||||
Newfleet High Yield Fund | 1.00 | 1.75 | 0.75 | 0.69 | ||||
Newfleet Low Duration Core Plus Bond Fund | 0.75 | 1.50 | 0.50 | 0.43 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | 0.99 | 1.74 | 0.74 | 0.60 | ||||
Newfleet Senior Floating Rate Fund | 0.94 * | 1.69 | 0.69 | 0.55 | ||||
Newfleet Tax-Exempt Bond Fund | 0.85 | 1.60 | 0.60 | N/A |
(1) | Effective December 1, 2019 through January 31, 2021. For the period October 1, 2019 through November 30, 2019, the expense caps for Class A, Class C, Class I and Class R6 were: 0.85%,1.60%, 0.60% and 0.48%, respectively. |
* | The share class is currently under its expense limitation. |
D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending: |
Expiration | ||||||||||
Fund | 2020 | 2021 | 2022 | 2023 | Total | |||||
Newfleet Core Plus Bond Fund | ||||||||||
Class A | $ 64 | $ 98 | $ 89 | $ 46 | $ 297 | |||||
Class C | 12 | 21 | 12 | 5 | 50 | |||||
Class I | 42 | 68 | 84 | 65 | 259 | |||||
Class R6 | 1 | 1 | 2 | 2 | 6 | |||||
Newfleet High Yield Fund | ||||||||||
Class A | 122 | 180 | 182 | 87 | 571 | |||||
Class C | 8 | 21 | 8 | 4 | 41 | |||||
Class I | 18 | 24 | 26 | 17 | 85 | |||||
Class R6 | 5 | 15 | 4 | 1 | 25 |
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Expiration | ||||||||||
Fund | 2020 | 2021 | 2022 | 2023 | Total | |||||
Newfleet Low Duration Core Plus Bond Fund | ||||||||||
Class A | $162 | $274 | $158 | $68 | $662 | |||||
Class C | 68 | 87 | 46 | 18 | 219 | |||||
Class I | 490 | 842 | 612 | 325 | 2,269 | |||||
Class R6 | — | — | —(1) | —(1) | —(1) | |||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||
Class A | 59 | 86 | 85 | 42 | 272 | |||||
Class C | 45 | 53 | 50 | 18 | 166 | |||||
Class I | 133 | 176 | 168 | 94 | 571 | |||||
Class R6 | 7 | 23 | 9 | 4 | 43 | |||||
Newfleet Senior Floating Rate Fund | ||||||||||
Class A | 67 | 52 | 25 | 2 | 146 | |||||
Class C | 43 | 59 | 40 | 9 | 151 | |||||
Class I | 109 | 143 | 111 | 29 | 392 | |||||
Class R6 | —(1) | 1 | —(1) | 1 | 2 | |||||
Newfleet Tax-Exempt Bond Fund | ||||||||||
Class A | 46 | 59 | 53 | 29 | 187 | |||||
Class C | 20 | 22 | 18 | 8 | 68 | |||||
Class I | 102 | 137 | 160 | 74 | 473 |
(1) | Amount is less than $500. |
Fund | Class A | |
Newfleet Senior Floating Rate Fund | $8 |
E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of each Fund’s shares. VP Distributors has advised the Funds that for the six months (the “period”) ended March 31, 2020, it retained net commissions of $9 for Class A shares and CDSC of $1, and $3 for Class A shares, and Class C shares, respectively. | |
In addition, each Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the annual rates of 0.25% for Class A shares and 1.00% for Class C shares. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. | |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Funds. | |
For the period ended March 31, 2020, the Funds incurred administration fees totaling $677 which are included in the Statements of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
For the period ended March 31, 2020, the Funds incurred transfer agent fees totaling $303 which are included in the Statements of Operations within the line item “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statements of Assets and Liabilities at March 31, 2020. |
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Purchases | Sales | ||
Newfleet Core Plus Bond Fund | $24,887 | $25,934 | |
Newfleet High Yield Fund | 22,624 | 26,548 | |
Newfleet Low Duration Core Plus Bond Fund | 131,695 | 128,849 | |
Newfleet Multi-Sector Intermediate Bond Fund | 119,068 | 129,126 | |
Newfleet Senior Floating Rate Fund | 65,913 | 224,855 | |
Newfleet Tax-Exempt Bond Fund | 3,376 | 17,127 |
Purchases | Sales | ||
Newfleet Core Plus Bond Fund | $11,220 | $1,496 | |
Newfleet Low Duration Core Plus Bond Fund | 2,439 | 678 | |
Newfleet Multi-Sector Intermediate Bond Fund | 22,137 | 22,378 |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | ||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 156 | $1,784 | 453 | $5,012 | 225 | $912 | 445 | $1,779 | |||||||
Reinvestment of distributions | 38 | 440 | 88 | 982 | 280 | 1,123 | 611 | 2,471 | |||||||
Shares repurchased and cross class conversions | (270) | (3,091) | (530) | (5,884) | (1,306) | (5,213) | (1,438) | (5,820) | |||||||
Net Increase / (Decrease) | (76) | $(867) | 11 | $110 | (801) | $(3,178) | (382) | $(1,570) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 234 | $2,662 | 165 | $1,770 | 87 | $341 | 113 | $448 | |||||||
Reinvestment of distributions | 3 | 38 | 10 | 108 | 13 | 51 | 29 | 113 | |||||||
Shares repurchased and cross class conversions | (118) | (1,302) | (332) | (3,557) | (107) | (403) | (395) | (1,545) | |||||||
Net Increase / (Decrease) | 119 | $1,398 | (157) | $(1,679) | (7) | $(11) | (253) | $(984) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 1,457 | $17,142 | 2,593 | $29,141 | 1,033 | $4,147 | 882 | $3,588 | |||||||
Reinvestment of distributions | 75 | 877 | 113 | 1,281 | 59 | 239 | 91 | 369 | |||||||
Shares repurchased and cross class conversions | (553) | (6,311) | (572) | (6,375) | (794) | (3,264) | (1,140) | (4,580) | |||||||
Net Increase / (Decrease) | 979 | $11,708 | 2,134 | $24,047 | 298 | $1,122 | (167) | $(623) |
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Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | ||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 26 | $301 | 62 | $707 | 66 | $240 | 32 | $127 | |||||||
Reinvestment of distributions | 1 | 14 | 2 | 20 | 5 | 20 | 14 | 57 | |||||||
Shares repurchased and cross class conversions | (42) | (490) | (14) | (158) | (45) | (173) | (909) | (3,696) | |||||||
Net Increase / (Decrease) | (15) | $(175) | 50 | $569 | 26 | $87 | (863) | $(3,512) |
Newfleet Low Duration Core Plus Bond Fund | Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 1,644 | $17,826 | 3,909 | $41,644 | 748 | $7,552 | 2,942 | $29,318 | |||||||
Reinvestment of distributions | 79 | 857 | 170 | 1,818 | 142 | 1,420 | 289 | 2,878 | |||||||
Shares repurchased and cross class conversions | (1,600) | (17,063) | (3,606) | (38,525) | (1,577) | (15,083) | (2,100) | (20,764) | |||||||
Net Increase / (Decrease) | 123 | $1,620 | 473 | $4,937 | (687) | $(6,111) | 1,131 | $11,432 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 583 | $6,265 | 1,286 | $13,665 | 415 | $4,220 | 991 | $9,890 | |||||||
Reinvestment of distributions | 13 | 144 | 35 | 378 | 45 | 460 | 136 | 1,370 | |||||||
Shares repurchased and cross class conversions | (432) | (4,644) | (1,555) | (16,598) | (760) | (7,604) | (2,593) | (26,011) | |||||||
Net Increase / (Decrease) | 164 | $1,765 | (234) | $(2,555) | (300) | $(2,924) | (1,466) | $(14,751) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 10,415 | $112,672 | 19,386 | $207,470 | 5,988 | $58,092 | 8,464 | $84,699 | |||||||
Reinvestment of distributions | 427 | 4,608 | 743 | 7,981 | 258 | 2,581 | 483 | 4,810 | |||||||
Shares repurchased and cross class conversions | (10,336) | (109,831) | (12,589) | (134,410) | (4,681) | (45,496) | (7,723) | (76,388) | |||||||
Net Increase / (Decrease) | 506 | $7,449 | 7,540 | $81,041 | 1,565 | $15,177 | 1,224 | $13,121 | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 9 | $96 | 26 | $276 | 109 | $1,051 | 174 | $1,749 | |||||||
Reinvestment of distributions | —(1) | 3 | —(1) | 2 | 8 | 81 | 21 | 206 | |||||||
Shares repurchased and cross class conversions | (—) (1) | (—) (2) | — | — | (91) | (925) | (1,291) | (12,730) | |||||||
Net Increase / (Decrease) | 9 | $99 | 26 | $278 | 26 | $207 | (1,096) | $(10,775) |
(1) | Amount is less than 500 shares. |
(2) | Amount is less than $500. |
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Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | ||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 822 | $7,389 | 2,876 | $26,470 | 185 | $2,102 | 621 | $6,917 | |||||||
Reinvestment of distributions | 393 | 3,498 | 878 | 8,031 | 30 | 342 | 85 | 937 | |||||||
Shares repurchased and cross class conversions | (13,917) | (118,651) | (6,191) | (56,147) | (364) | (4,111) | (652) | (7,222) | |||||||
Net Increase / (Decrease) | (12,702) | $(107,764) | (2,437) | $(21,646) | (149) | $(1,667) | 54 | $632 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 153 | $1,371 | 442 | $4,083 | 114 | $1,316 | 178 | $1,968 | |||||||
Reinvestment of distributions | 86 | 757 | 262 | 2,398 | 6 | 69 | 27 | 296 | |||||||
Shares repurchased and cross class conversions | (993) | (8,722) | (3,885) | (35,602) | (206) | (2,328) | (618) | (6,884) | |||||||
Net Increase / (Decrease) | (754) | $(6,594) | (3,181) | $(29,121) | (86) | $(943) | (413) | $(4,620) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 2,922 | $26,249 | 8,633 | $79,413 | 395 | $4,473 | 1,025 | $11,335 | |||||||
Reinvestment of distributions | 253 | 2,236 | 665 | 6,076 | 66 | 751 | 204 | 2,260 | |||||||
Shares repurchased and cross class conversions | (7,677) | (66,995) | (16,120) | (146,856) | (1,085) | (12,232) | (3,191) | (35,099) | |||||||
Net Increase / (Decrease) | (4,502) | $(38,510) | (6,822) | $(61,367) | (624) | $(7,008) | (1,962) | $(21,504) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 571 | $5,088 | 13 | $114 | — | $— | — | $— | |||||||
Reinvestment of distributions | 3 | 23 | —(1) | 3 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (157) | (1,223) | (—) (1) | (—) (2) | — | — | — | — | |||||||
Net Increase / (Decrease) | 417 | $3,888 | 13 | $117 | — | $— | — | $— |
(1) | Amount is less than 500 shares. |
(2) | Amount is less than $500. |
% of Shares Outstanding | Number of Accounts* | ||
Newfleet Core Plus Bond Fund | 39% | 2 | |
Newfleet High Yield Fund | 10 | 1 | |
Newfleet Low Duration Core Plus Bond Fund | 36 | 2 | |
Newfleet Multi-Sector Intermediate Bond Fund | 21 | 1 | |
Newfleet Senior Floating Rate Fund | 21 | 1 | |
Newfleet Tax-Exempt Bond Fund | 12 | 1 |
* | None of the accounts are affiliated. |
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Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Newfleet Core Plus Bond Fund | $ 102,068 | $ 3,498 | $ (4,813) | $ (1,315) | ||||
Newfleet High Yield Fund | �� | 56,534 | 189 | (8,532) | (8,343) | |||
Newfleet Low Duration Core Plus Bond Fund | 458,233 | 1,537 | (16,636) | (15,099) | ||||
Newfleet Multi-Sector Intermediate Bond Fund | 301,614 | 1,441 | (32,277) | (30,836) | ||||
Newfleet Senior Floating Rate Fund | 238,250 | — | (37,021) | (37,021) | ||||
Newfleet Tax-Exempt Bond Fund | 112,329 | 6,551 | (317) | 6,234 |
No Expiration | Total | ||||||
Short-Term | Long-Term | Short-Term | Long-Term | ||||
Newfleet Core Plus Bond Fund | $323 | $1,586 | $323 | $1,586 | |||
Newfleet High Yield Fund | 941 | 3,141 | 941 | 3,141 | |||
Newfleet Low Duration Core Plus Bond Fund | 1,808 | 1,151 | 1,808 | 1,151 | |||
Newfleet Multi-Sector Intermediate Bond Fund | 3,173 | 12,834 | 3,173 | 12,834 | |||
Newfleet Senior Floating Rate Fund | 1,745 | 30,011 | 1,745 | 30,011 |
Capital Loss Deferred | |
Newfleet Core Plus Bond Fund | $ 103 |
Newfleet High Yield Fund | 698 |
Newfleet Low Duration Core Plus Bond Fund | 328 |
Newfleet Multi-Sector Intermediate Bond Fund | 4,622 |
Newfleet Senior Floating Rate Fund | 9,330 |
Newfleet Tax-Exempt Bond Fund | 145 |
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Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
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please contact us at1-800-243-1574, orVirtus.com.
8640 | 05-20 |
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President, Virtus Funds
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Beginning Account Value October 1, 2019 | Ending Account Value March 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 863.00 | 1.39 % | $ 6.47 | |||
Class C | 1,000.00 | 860.00 | 2.05 | 9.53 | |||
Class I | 1,000.00 | 864.20 | 1.07 | 4.99 | |||
Class R6 | 1,000.00 | 864.60 | 0.95 | 4.43 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
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Beginning Account Value October 1, 2019 | Ending Account Value March 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,018.05 | 1.39 % | $ 7.01 | |||
Class C | 1,000.00 | 1,014.75 | 2.05 | 10.33 | |||
Class I | 1,000.00 | 1,019.65 | 1.07 | 5.40 | |||
Class R6 | 1,000.00 | 1,020.25 | 0.95 | 4.80 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
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Industrials | 23% |
Consumer Staples | 21 |
Information Technology | 18 |
Consumer Discretionary | 14 |
Health Care | 13 |
Communication Services | 5 |
Financials | 3 |
Other (includes short-term investment) | 3 |
Total | 100% |
Shares | Value | ||
Common Stocks—95.6% | |||
Communication Services—4.8% | |||
Cellnex Telecom SA 144A (Spain)(1) | 422,412 | $19,162 | |
Tencent Holdings Ltd. (China) | 307,991 | 15,223 | |
Tencent Music Entertainment Group ADR (China)(2) | 827,666 | 8,326 | |
42,711 | |||
Consumer Discretionary—13.7% | |||
adidas AG (Germany) | 91,377 | 20,288 | |
Alibaba Group Holding Ltd. Sponsored ADR (China)(2) | 199,377 | 38,775 | |
EssilorLuxottica SA (France) | 147,109 | 15,575 | |
Ferrari NV (Italy) | 88,815 | 13,681 | |
Flutter Entertainment plc (Ireland) | 194,610 | 17,506 | |
LVMH Moet Hennessy Louis Vuitton SE (France) | 43,826 | 16,073 | |
121,898 | |||
Shares | Value | ||
Consumer Staples—19.6% | |||
Alimentation Couche-Tard, Inc. Class B (Canada) | 1,247,354 | $29,382 | |
Asahi Group Holdings Ltd. (Japan) | 682,400 | 22,139 | |
Diageo plc (United Kingdom) | 702,610 | 22,279 | |
Mondelez International, Inc. Class A (United States) | 609,393 | 30,519 | |
Nestle S.A. Registered Shares (Switzerland) | 398,012 | 40,744 | |
Unilever NV (Netherlands) | 607,753 | 29,872 | |
174,935 | |||
Financials—2.8% | |||
HDFC Bank Ltd. (India) | 768,700 | 8,760 | |
London Stock Exchange Group plc (United Kingdom) | 184,075 | 16,467 | |
25,227 | |||
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Shares | Value | ||
Health Care—12.5% | |||
Alcon, Inc. (Switzerland)(2) | 554,396 | $28,402 | |
CSL Ltd. (Australia) | 133,480 | 24,196 | |
Grifols SA (Spain) | 976,156 | 32,660 | |
Medtronic plc (Ireland) | 294,877 | 26,592 | |
111,850 | |||
Industrials—22.4% | |||
Ashtead Group plc (United Kingdom) | 555,029 | 11,996 | |
CAE, Inc. (Canada) | 803,742 | 10,160 | |
Canadian National Railway Co. (Canada) | 181,272 | 14,173 | |
IMCD NV (Netherlands) | 139,645 | 10,021 | |
RELX plc (United Kingdom) | 1,584,499 | 33,876 | |
Rentokil Initial plc (United Kingdom) | 4,432,014 | 21,167 | |
Safran SA (France) | 214,507 | 19,005 | |
Techtronic Industries Co., Ltd. (Hong Kong) | 2,377,044 | 15,094 | |
Teleperformance (France) | 99,155 | 20,537 | |
Vinci SA (France) | 212,675 | 17,377 | |
Wolters Kluwer NV (Netherlands) | 367,148 | 26,035 | |
199,441 | |||
Information Technology—17.2% | |||
Adyen NV (Netherlands)(2) | 10,288 | 8,744 | |
Constellation Software, Inc. (Canada) | 32,500 | 29,537 | |
Halma plc (United Kingdom) | 291,357 | 6,843 | |
Keyence Corp. (Japan) | 52,680 | 16,937 |
Shares | Value | ||
Information Technology—continued | |||
Mastercard, Inc. Class A (United States) | 134,470 | $32,482 | |
SAP SE (Germany) | 284,259 | 31,737 | |
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 289,096 | 13,816 | |
Tata Consultancy Services Ltd. (India) | 564,403 | 13,578 | |
153,674 | |||
Materials—2.6% | |||
Air Liquide SA (France) | 180,120 | 22,992 | |
Total Common Stocks (Identified Cost $729,009) | 852,728 | ||
Total Long-Term Investments—95.6% (Identified Cost $729,009) | 852,728 | ||
Short-Term Investment—0.1% | |||
Money Market Mutual Fund—0.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.290%)(3) | 817,776 | 818 | |
Total Short-Term Investment (Identified Cost $818) | 818 |
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Value | ||
TOTAL INVESTMENTS—95.7% (Identified Cost $729,827) | $853,546 | |
Other assets and liabilities, net—4.3% | 38,219 | |
NET ASSETS—100.0% | $891,765 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2020, these securities amounted to a value of $19,162 or 2.1% of net assets. |
(2) | Non-income producing. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United Kingdom | 13% |
France | 13 |
Canada | 10 |
Netherlands | 9 |
Switzerland | 8 |
United States | 7 |
China | 7 |
Other | 33 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $852,728 | $242,506 | $610,222 | ||
Money Market Mutual Fund | 818 | 818 | — | ||
Total Investments | $853,546 | $243,324 | $610,222 |
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Assets | |
Investment in securities at value(1) | $853,546 |
Foreign currency at value(2) | 2,553 |
Cash | 40,340 |
Receivables | |
Fund shares sold | 3,539 |
Dividends | 598 |
Tax reclaims | 1,985 |
Securities lending income | 1 |
Prepaid Trustees’ retainer | 24 |
Prepaid expenses | 49 |
Other assets | 83 |
Total assets | 902,718 |
Liabilities | |
Payables | |
Fund shares repurchased | 5,153 |
Investment securities purchased | 4,626 |
Investment advisory fees | 622 |
Distribution and service fees | 60 |
Administration and accounting fees | 82 |
Transfer agent and sub-transfer agent fees and expenses | 193 |
Professional fees | 21 |
Trustee deferred compensation plan | 83 |
Interest expense and/or commitment fees | 2 |
Other accrued expenses | 111 |
Total liabilities | 10,953 |
Net Assets | $891,765 |
Net Assets Consist of: | |
Common stock $0.001 par value | $37 |
Capital paid in on shares of beneficial interest | 762,295 |
Accumulated earnings (loss) | 129,433 |
Net Assets | $891,765 |
Net Assets: | |
Class A | $145,524 |
Class C | $30,086 |
Class I | $653,388 |
Class R6 | $62,767 |
Shares Outstanding (unlimited number of shares authorized, $0.001 par value): | |
Class A | 5,949,348 |
Class C | 1,271,117 |
Class I | 26,760,533 |
Class R6 | 2,570,986 |
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Net Asset Value and Redemption Price Per Share: | |
Class A | $24.46 |
Class C | $23.67 |
Class I | $24.42 |
Class R6 | $24.41 |
Maximum Offering Price per Share (NAV/(1-5.75%*)): | |
Class A | $25.95 |
* Maximum sales charge | |
(1)Investment in securities at cost | $729,827 |
(2) Foreign currency at cost | $2,545 |
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Investment Income | |
Dividends | $4,693 |
Security lending, net of fees | 11 |
Foreign taxes withheld | (390) |
Total investment income | 4,314 |
Expenses | |
Investment advisory fees | 4,540 |
Distribution and service fees, Class A | 233 |
Distribution and service fees, Class C | 198 |
Administration and accounting fees | 561 |
Transfer agent fees and expenses | 237 |
Sub-transfer agent fees and expenses, Class A | 120 |
Sub-transfer agent fees and expenses, Class C | 16 |
Sub-transfer agent fees and expenses, Class I | 324 |
Custodian fees | 11 |
Printing fees and expenses | 38 |
Professional fees | 25 |
Interest expense and/or commitment fees | 4 |
Registration fees | 41 |
Trustees’ fees and expenses | 41 |
Miscellaneous expenses | 63 |
Total expenses | 6,452 |
Less net expenses reimbursed and/or waived by investment adviser(1) | (285) |
Less low balance account fees | (1) |
Net expenses | 6,166 |
Net investment income (loss) | (1,852) |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 30,253 |
Foreign currency transactions | (759) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | (168,557) |
Foreign currency transactions | 76 |
Net realized and unrealized gain (loss) on investments | (138,987) |
Net increase (decrease) in net assets resulting from operations | $(140,839) |
(1) | See Note 3D in the Notes to Financial Statements. |
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Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $(1,852) | $6,358 | |
Net realized gain (loss) | 29,494 | 71,201 | |
Net change in unrealized appreciation (depreciation) | (168,481) | (24,882) | |
Increase (decrease) in net assets resulting from operations | (140,839) | 52,677 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (13,501) | (32,698) | |
Class C | (2,849) | (11,388) | |
Class I | (57,692) | (145,852) | |
Class R6 | (5,387) | (3,798) | |
Total Dividends and Distributions to Shareholders | (79,429) | (193,736) | |
Change in Net Assets from Capital Transactions | |||
Shares sold and cross class conversions: | |||
Class A (519 and 1,512 shares, respectively) | 15,539 | 42,627 | |
Class C (34 and 107 shares, respectively) | 989 | 2,798 | |
Class I (4,580 and 6,586 shares, respectively) | 127,183 | 184,884 | |
Class R6 (290 and 758 shares, respectively) | 8,455 | 24,044 | |
Net assets from merger(1): | |||
Class R6 (— and 1,227 shares, respectively) | — | 34,204 | |
Reinvestment of distributions: | |||
Class A (402 and 1,117 shares, respectively) | 12,115 | 28,438 | |
Class C (89 and 434 shares, respectively) | 2,601 | 10,767 | |
Class I (1,843 and 5,494 shares, respectively) | 55,430 | 139,385 | |
Class R6 (158 and 127 shares, respectively) | 4,770 | 3,231 | |
Shares repurchased and cross class conversions: | |||
Class A ((1,087) and (2,631) shares, respectively) | (30,450) | (75,225) | |
Class C ((262) and (1,359) shares, respectively) | (7,367) | (37,018) | |
Class I ((4,695) and (15,432) shares, respectively) | (131,687) | (438,307) | |
Class R6 ((151) and (805) shares, respectively) | (4,396) | (25,427) | |
Increase (decrease) in net assets from capital transactions | 53,182 | (105,599) | |
Net increase (decrease) in net assets | (167,086) | (246,658) | |
Net Assets | |||
Beginning of period | 1,058,851 | 1,305,509 | |
End of Period | $891,765 | $1,058,851 |
(1) | See Note 12 in Notes to Financial Statements. |
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Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | |
Class A | |||||||
10/1/19 to 3/31/20(6) | $30.44 | (0.09) | (3.66) | (3.75) | (0.09) | (2.14) | (2.23) |
10/1/18 to 9/30/19 | 34.62 | 0.11 | 1.25 | 1.36 | (0.15) | (5.39) | (5.54) |
10/1/17 to 9/30/18 | 33.95 | 0.10 | 0.64 | 0.74 | (0.07) | — | (0.07) |
10/1/16 to 9/30/17 | 29.62 | 0.09 | 4.42 | 4.51 | (0.18) | — | (0.18) |
10/1/15 to 9/30/16 | 27.21 | 0.19 | 2.47 | 2.66 | (0.25) | — | (0.25) |
10/1/14 to 9/30/15 | 28.12 | 0.25 | (0.92) | (0.67) | (0.24) | — | (0.24) |
Class C | |||||||
10/1/19 to 3/31/20(6) | $29.54 | (0.18) | (3.55) | (3.73) | — | (2.14) | (2.14) |
10/1/18 to 9/30/19 | 33.83 | (0.10) | 1.23 | 1.13 | (0.03) | (5.39) | (5.42) |
10/1/17 to 9/30/18 | 33.34 | (0.14) | 0.63 | 0.49 | — | — | — |
10/1/16 to 9/30/17 | 29.23 | (0.11) | 4.33 | 4.22 | (0.11) | — | (0.11) |
10/1/15 to 9/30/16 | 26.95 | (0.02) | 2.42 | 2.40 | (0.12) | — | (0.12) |
10/1/14 to 9/30/15 | 27.88 | 0.04 | (0.91) | (0.87) | (0.06) | — | (0.06) |
Class I | |||||||
10/1/19 to 3/31/20(6) | $30.43 | (0.04) | (3.65) | (3.69) | (0.18) | (2.14) | (2.32) |
10/1/18 to 9/30/19 | 34.70 | 0.20 | 1.24 | 1.44 | (0.32) | (5.39) | (5.71) |
10/1/17 to 9/30/18 | 34.03 | 0.20 | 0.65 | 0.85 | (0.18) | — | (0.18) |
10/1/16 to 9/30/17 | 29.63 | 0.20 | 4.40 | 4.60 | (0.20) | — | (0.20) |
10/1/15 to 9/30/16 | 27.23 | 0.26 | 2.46 | 2.72 | (0.32) | — | (0.32) |
10/1/14 to 9/30/15 | 28.14 | 0.32 | (0.91) | (0.59) | (0.32) | — | (0.32) |
Class R6 | |||||||
10/1/19 to 3/31/20(6) | $30.44 | (0.02) | (3.66) | (3.68) | (0.21) | (2.14) | (2.35) |
10/1/18 to 9/30/19 | 34.72 | 0.29 | 1.18 | 1.47 | (0.36) | (5.39) | (5.75) |
10/1/17 to 9/30/18 | 34.06 | 0.23 | 0.64 | 0.87 | (0.21) | — | (0.21) |
10/1/16 to 9/30/17 | 29.63 | 0.24 | 4.39 | 4.63 | (0.20) | — | (0.20) |
10/1/15 to 9/30/16 | 27.24 | 0.33 | 2.42 | 2.75 | (0.36) | — | (0.36) |
11/12/14(10) to 9/30/15 | 28.66 | 0.36 | (1.45) | (1.09) | (0.33) | — | (0.33) |
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Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) |
(5.98) | $24.46 | (13.70) % | $145,524 | 1.39 % | 1.43 % | (0.58) % | 37 % |
(4.18) | 30.44 | 7.08 | 186,206 | 1.40 (7) | 1.44 | 0.38 | 64 |
0.67 | 34.62 | 2.17 | 211,755 | 1.43 | 1.43 | 0.27 | 39 |
4.33 | 33.95 | 15.41 (8) | 278,667 | 1.45 (8) | 1.46 | 0.28 (8) | 31 |
2.41 | 29.62 | 9.77 | 367,684 | 1.44 (9) | 1.45 | 0.68 | 25 |
(0.91) | 27.21 | (2.41) | 406,429 | 1.41 | 1.41 | 0.89 | 32 |
(5.87) | $23.67 | (14.00) % | $30,086 | 2.05 % | 2.12 % | (1.24) % | 37 % |
(4.29) | 29.54 | 6.40 | 41,638 | 2.07 (7) | 2.13 | (0.34) | 64 |
0.49 | 33.83 | 1.47 | 75,379 | 2.10 | 2.10 | (0.41) | 39 |
4.11 | 33.34 | 14.55 (8) | 93,166 | 2.19 (8) | 2.20 | (0.39) (8) | 31 |
2.28 | 29.23 | 8.94 | 112,180 | 2.19 (9) | 2.20 | (0.06) | 25 |
(0.93) | 26.95 | (3.13) | 117,568 | 2.17 | 2.17 | 0.15 | 32 |
(6.01) | $24.42 | (13.58) % | $653,388 | 1.07 % | 1.12 % | (0.26) % | 37 % |
(4.27) | 30.43 | 7.43 | 761,809 | 1.08 (7) | 1.13 | 0.68 | 64 |
0.67 | 34.70 | 2.48 | 984,802 | 1.12 | 1.12 | 0.57 | 39 |
4.40 | 34.03 | 15.69 (8) | 1,062,609 | 1.19 (8) | 1.20 | 0.64 (8) | 31 |
2.40 | 29.63 | 10.05 | 958,835 | 1.19 (9) | 1.20 | 0.90 | 25 |
(0.91) | 27.23 | (2.16) | 1,231,349 | 1.17 | 1.17 | 1.14 | 32 |
(6.03) | $24.41 | (13.54) % | $62,767 | 0.95 % | 1.04 % | (0.15) % | 37 % |
(4.28) | 30.44 | 7.57 | 69,198 | 0.96 (7) | 1.04 | 0.97 | 64 |
0.66 | 34.72 | 2.55 | 33,573 | 1.03 | 1.03 | 0.66 | 39 |
4.43 | 34.06 | 15.82 (8) | 19,370 | 1.08 (8) | 1.09 | 0.75 (8) | 31 |
2.39 | 29.63 | 10.16 | 6,587 | 1.09 (9) | 1.10 | 1.14 | 25 |
(1.42) | 27.24 | (3.84) | 4,502 | 1.07 | 1.07 | 1.44 | 32 (11) |
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Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Sales charges, where applicable, are not reflected in the total return calculation. |
(4) | Annualized for periods less than one year. |
(5) | The Fund will also indirectly bear its prorated share of expenses of any underlying funds in which it invests. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(8) | State Street Bank & Trust, custodian for the Fund through January 29, 2010, reimbursed the Fund for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses to Average Net Assets and increase the Ratio of Net Investment Income (Loss) to Average Net Assets by 0.01%. Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return by 0.01%. |
(9) | Net expense ratio includes extraordinary proxy expenses. |
(10) | Inception date. |
(11) | Portfolio turnover is represented of the Fund for the entire year ended September 2015. |
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A. | Security Valuation |
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
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B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as the Fund is notified. Interest income is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from REITs is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
The Fund is treated as a separate taxable entity. It is the Fund’s intention to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute |
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substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. | |
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of March 31, 2020, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 forward (with limited exceptions). | |
D. | Distributions to Shareholders |
Distributions are recorded by the Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by the Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expense to each fund or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that the Fund bears directly, the shareholders of the Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Fund does not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | Securities Lending |
The Fund may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities the Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of |
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fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by the Fund under a Master Securities Lending Agreement (“MSLA”) that permits the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
Effective March 13, 2020, the securities lending program was put on hold and all securities on loan were recalled. |
A. | Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Fund. The Adviser manages the Fund’s investment program and general operations of the Fund, including oversight of the Fund’s subadviser. | |
As compensation for its services to the Fund, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily net assets of the Fund: |
First $2 Billion | $2+ Billion through $4 Billion | $4+ Billion | ||
0.85 % | 0.80 % | 0.75 % |
B. | Subadviser |
Vontobel Asset Management, Inc. (the “Subadviser”) is the subadviser to the Fund. The Subadviser manages the investments of the Fund for which it is paid a fee by the Adviser. | |
C. | Expense Limitation |
The Adviser has contractually agreed to limit the Fund’s annual total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, the following percentages of the Fund’s average net asset values through March 31, 2021. Following the contractual period, the Adviser may discontinue this expense reimbursement arrangement at any time. The waivers and reimbursements are calculated daily and received monthly. |
Class A | Class C | Class I | Class R6 | |||
1.39 % | 2.05 % | 1.07 % | 0.95 % |
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D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. The Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending: |
Expiration | |||||
2022 | 2023 | Total | |||
Class A | $ 71 | $ 34 | $ 105 | ||
Class C | 32 | 14 | 46 | ||
Class I | 383 | 205 | 588 | ||
Class R6 | 34 | 32 | 66 | ||
E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of the Fund’s shares. VP Distributors has advised the Fund that for the six months (the “period”) ended March 31, 2020, it retained net commissions of $3 for Class A shares and CDSC of $-* for Class C shares. | |
In addition, the Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the following annual rates: 0.25% for Class A shares and 1.00% for Class C shares. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. | |
* Amount is less than $500. | |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as administrator and transfer agent to the Fund. | |
For the period ended March 31, 2020, the Fund incurred administration fees totaling $509 which are included in the Statement of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
For the period ended March 31, 2020, the Fund incurred transfer agent fees totaling $228 which are included in the Statement of Operations within the line items “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. |
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G. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statement of Assets and Liabilities at March 31, 2020. |
Purchases | Sales | |
$381,169 | $422,963 |
% of Shares Outstanding | Number of Accounts* | |
33% | 1 |
* | The shareholders are not affiliated with Virtus. |
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Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | |||
$-* | $1,500 | 2.25% | 3 |
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Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$ 733,192 | $ 187,312 | $ (66,958) | $ 120,354 |
No Expiration | Total | |||||
Short-Term | Long-Term | Short-Term | Long-Term | |||
$456 | $268 | $456 | $268 |
Merged Fund | Shares Outstanding | Acquiring Fund | Shares Converted | Merged Fund Net Asset Value of Converted Shares | ||||
Vontobel International Equity Institutional Fund | Class I Shares 2,898,624 | Vontobel Foreign Opportunities Fund . . . . . . . . . . | Class R6 Shares 1,227,250 | $34,204 |
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Merged Fund | Net Assets | Unrealized Appreciation (Depreciation) | Acquiring Fund | Net Assets | ||||
Vontobel International Equity Institutional Fund | $34,204 | $4,066 | Vontobel Foreign Opportunities Fund . . . . . . . . . . | $22,244 |
Net investment income (loss) | $6,402(a) |
Net realized and unrealized gain (loss) on investments | 45,798(b) |
Net increase (decrease) in net assets resulting from operations | $52,200 |
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Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
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please contact us at1-800-243-1574, orVirtus.com.
8025 | 05-20 |
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President, Virtus Funds
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Beginning Account Value October 1, 2019 | Ending Account Value March 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 814.30 | 1.58 % | $ 7.17 | |||
Class C | 1,000.00 | 811.70 | 2.27 | 10.28 | |||
Class I | 1,000.00 | 816.00 | 1.26 | 5.72 | |||
Class R6 | 1,000.00 | 818.00 | 0.98 | 4.45 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
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Beginning Account Value October 1, 2019 | Ending Account Value March 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,017.10 | 1.58 % | $ 7.97 | |||
Class C | 1,000.00 | 1,013.65 | 2.27 | 11.43 | |||
Class I | 1,000.00 | 1,018.70 | 1.26 | 6.36 | |||
Class R6 | 1,000.00 | 1,020.10 | 0.98 | 4.95 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
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March 31, 2020
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Consumer Staples | 23% |
Consumer Discretionary | 20 |
Financials | 20 |
Information Technology | 19 |
Communication Services | 14 |
Industrials | 2 |
Utilities | 1 |
Other | 1 |
Total | 100% |
Shares | Value | ||
Common Stocks—99.2% | |||
Communication Services—13.6% | |||
Autohome, Inc. ADR (China)(1) | 652,251 | $46,323 | |
NCSoft Corp. (South Korea) | 157,408 | 84,009 | |
NetEase, Inc. ADR (China) | 214,576 | 68,870 | |
Telekomunikasi Indonesia Persero Tbk PT (Indonesia) | 239,221,434 | 46,461 | |
Tencent Holdings Ltd. (China) | 7,731,396 | 382,145 | |
Tencent Music Entertainment Group ADR (China)(1) | 5,357,897 | 53,900 | |
Zee Entertainment Enterprises Ltd. (India) | 20,227,278 | 32,918 | |
714,626 | |||
Consumer Discretionary—20.1% | |||
adidas AG (Germany) | 419,089 | 93,049 | |
Alibaba Group Holding Ltd. Sponsored ADR (China)(1) | 2,001,073 | 389,169 | |
Baozun, Inc. Sponsored ADR (China)(1) | 969,383 | 27,085 |
Shares | Value | ||
Consumer Discretionary—continued | |||
Eicher Motors Ltd. (India) | 303,195 | $52,230 | |
Galaxy Entertainment Group Ltd. Class L (Hong Kong) | 13,929,215 | 73,363 | |
Lojas Renner S.A. (Brazil) | 10,128,369 | 65,514 | |
Naspers Ltd. Class N (South Africa) | 1,043,500 | 148,296 | |
Shenzhou International Group Holdings Ltd. (China) | 4,752,053 | 49,849 | |
Yum China Holdings, Inc. (China) | 3,674,151 | 156,629 | |
1,055,184 | |||
Consumer Staples—22.6% | |||
Ambev S.A. ADR (Brazil) | 46,514,702 | 106,984 | |
Anheuser-Busch InBev NV (Belgium) | 5,256,233 | 232,167 | |
CP ALL PCL (Thailand) | 29,933,776 | 55,351 | |
Fomento Economico Mexicano SAB de C.V. Sponsored ADR (Mexico) | 2,466,868 | 149,270 |
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Shares | Value | ||
Consumer Staples—continued | |||
Heineken NV (Netherlands) | 1,775,575 | $150,682 | |
LG Household & Health Care Ltd. (South Korea) | 66,148 | 60,591 | |
Unilever NV (Netherlands) | 4,477,180 | 220,059 | |
Vietnam Dairy Products JSC (Vietnam) | 6,714,729 | 25,645 | |
Wal-Mart de Mexico SAB de C.V. (Mexico) | 45,828,449 | 107,972 | |
Wuliangye Yibin Co., Ltd. Class A (China) | 4,850,217 | 78,021 | |
1,186,742 | |||
Financials—20.0% | |||
B3 SA - Brasil Bolsa Balcao (Brazil) | 9,308,174 | 63,827 | |
Bank Central Asia Tbk PT (Indonesia) | 43,174,080 | 72,745 | |
Bank Polska Kasa Opieki SA (Poland) | 2,415,216 | 32,370 | |
Bank Rakyat Persero Tbk PT (Indonesia) | 188,982,540 | 34,660 | |
Credicorp Ltd. (Peru) | 441,048 | 63,101 | |
HDFC Bank Ltd. (India) | 14,183,056 | 161,632 | |
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | 1,815,091 | 54,379 | |
Housing Development Finance Corp., Ltd. (India) | 5,498,296 | 118,677 | |
Itau Unibanco Holding SA Sponsored ADR (Brazil) | 19,272,736 | 86,535 | |
Kasikornbank PCL (Thailand) | 28,153,766 | 76,922 | |
Malayan Banking Bhd (Malaysia) | 2,906,640 | 5,015 | |
Public Bank Bhd (Malaysia) | 19,776,725 | 72,754 | |
Samsung Fire & Marine Insurance Co., Ltd. (South Korea) | 510,001 | 64,501 |
Shares | Value | ||
Financials—continued | |||
United Overseas Bank Ltd. (Singapore) | 8,838,590 | $121,266 | |
XP, Inc. Class A (Brazil)(1) | 952,877 | 18,381 | |
1,046,765 | |||
Industrials—1.9% | |||
Techtronic Industries Co., Ltd. (Hong Kong) | 15,482,185 | 98,311 | |
Information Technology—18.8% | |||
HCL Technologies Ltd. (India) | 20,248,793 | 116,802 | |
Largan Precision Co., Ltd. (Taiwan) | 430,929 | 54,413 | |
SK Hynix, Inc. (South Korea) | 3,313,660 | 224,017 | |
Sunny Optical Technology Group Co., Ltd. (China) | 1,908,261 | 25,242 | |
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) | 29,722,965 | 267,575 | |
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 1,650,304 | 78,868 | |
Tata Consultancy Services Ltd. (India) | 7,375,248 | 177,427 | |
Win Semiconductors Corp. (Taiwan) | 5,097,826 | 43,751 | |
988,095 | |||
Real Estate—0.7% | |||
Link REIT (Hong Kong) | 4,327,247 | 36,472 | |
Utilities—1.5% | |||
Equatorial Energia S.A. (Brazil) | 7,999,512 | 26,864 |
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Shares | Value | ||
Utilities—continued | |||
Power Grid Corp. of India Ltd. (India) | 23,654,035 | $49,689 | |
76,553 | |||
Total Common Stocks (Identified Cost $5,880,035) | 5,202,748 | ||
Total Long-Term Investments—99.2% (Identified Cost $5,880,035) | 5,202,748 | ||
TOTAL INVESTMENTS—99.2% (Identified Cost $5,880,035) | $5,202,748 | ||
Other assets and liabilities, net—0.8% | 42,017 | ||
NET ASSETS—100.0% | $5,244,765 |
Abbreviations: | |
ADR | American Depositary Receipt |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | Non-income producing. |
Country Weightings† | |
China | 25% |
India | 14 |
Taiwan | 9 |
South Korea | 8 |
Netherlands | 7 |
Brazil | 7 |
Hong Kong | 5 |
Other | 25 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $5,202,748 | $1,509,292 | $3,693,456 | ||
Total Investments | $5,202,748 | $1,509,292 | $3,693,456 |
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Assets | |
Investment in securities at value(1) | $5,202,748 |
Foreign currency at value(2) | 7,435 |
Cash | 4,683 |
Receivables | |
Investment securities sold | 43,062 |
Fund shares sold | 19,675 |
Dividends | 12,988 |
Tax reclaims | 2,198 |
Securities lending income | 23 |
Prepaid Trustees’ retainer | 156 |
Prepaid expenses | 129 |
Other assets | 521 |
Total assets | 5,293,618 |
Liabilities | |
Payables | |
Fund shares repurchased | 26,365 |
Investment securities purchased | 14,609 |
Investment advisory fees | 4,688 |
Distribution and service fees | 169 |
Administration and accounting fees | 507 |
Transfer agent and sub-transfer agent fees and expenses | 1,548 |
Professional fees | 2 |
Trustee deferred compensation plan | 521 |
Interest expense and/or commitment fees | 36 |
Other accrued expenses | 408 |
Total liabilities | 48,853 |
Net Assets | $5,244,765 |
Net Assets Consist of: | |
Common stock $0.001 par value | $596 |
Capital paid in on shares of beneficial interest | 6,131,545 |
Accumulated earnings (loss) | (887,376) |
Net Assets | $5,244,765 |
Net Assets: | |
Class A | $319,966 |
Class C | $98,078 |
Class I | $4,714,585 |
Class R6 | $112,136 |
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Shares Outstanding (unlimited number of shares authorized, no par value): | |
Class A | 37,537,403 |
Class C | 11,883,245 |
Class I | 534,250,166 |
Class R6 | 12,689,150 |
Net Asset Value and Redemption Price Per Share: | |
Class A | $8.52 |
Class C | $8.25 |
Class I | $8.82 |
Class R6 | $8.84 |
Maximum Offering Price per Share (NAV/(1-5.75%*)): | |
Class A | $9.04 |
* Maximum sales charge | |
(1)Investment in securities at cost | $5,880,035 |
(2) Foreign currency at cost | $7,463 |
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Investment Income | |
Dividends | $64,980 |
Interest | 9 |
Security lending, net of fees | 424 |
Foreign taxes withheld | (5,783) |
Total investment income | 59,630 |
Expenses | |
Investment advisory fees | 33,060 |
Distribution and service fees, Class A | 569 |
Distribution and service fees, Class C | 656 |
Administration and accounting fees | 3,603 |
Transfer agent fees and expenses | 1,487 |
Sub-transfer agent fees and expenses, Class A | 409 |
Sub-transfer agent fees and expenses, Class C | 81 |
Sub-transfer agent fees and expenses, Class I | 3,423 |
Custodian fees | 129 |
Printing fees and expenses | 249 |
Professional fees | 51 |
Interest expense and/or commitment fees | 47 |
Registration fees | 77 |
Trustees’ fees and expenses | 273 |
Miscellaneous expenses | 664 |
Total expenses | 44,778 |
Less net expenses reimbursed and/or waived by investment adviser(1) | (107) |
Less low balance account fees | —(2) |
Net expenses | 44,671 |
Net investment income (loss) | 14,959 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 5,669 |
Foreign currency transactions | (5,289) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | (1,240,197) |
Foreign currency transactions | (410) |
Net realized and unrealized gain (loss) on investments | (1,240,227) |
Net increase (decrease) in net assets resulting from operations | $(1,225,268) |
(1) | See Note 3D in the Notes to Financial Statements. |
(2) | Amount is less than $500. |
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Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $14,959 | $102,774 | |
Net realized gain (loss) | 380 | 36,527 | |
Net change in unrealized appreciation (depreciation) | (1,240,607) | 204,557 | |
Increase (decrease) in net assets resulting from operations | (1,225,268) | 343,858 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (8,478) | (16,597) | |
Class C | (1,441) | (4,721) | |
Class I | (133,209) | (209,847) | |
Class R6 | (2,709) | (3,906) | |
Total Dividends and Distributions to Shareholders | (145,837) | (235,071) | |
Change in Net Assets from Capital Transactions | |||
Shares sold and cross class conversions: | |||
Class A (4,047 and 13,820 shares, respectively) | 42,919 | 141,802 | |
Class C (330 and 1,150 shares, respectively) | 3,494 | 11,447 | |
Class I (53,909 and 155,904 shares, respectively) | 571,000 | 1,683,600 | |
Class R6 (3,620 and 3,183 shares, respectively) | 39,158 | 34,320 | |
Net assets from merger(1): | |||
Class R6 (— and 2,289 shares, respectively) | — | 24,973 | |
Reinvestment of distributions: | |||
Class A (623 and 1,476 shares, respectively) | 6,968 | 13,991 | |
Class C (123 and 479 shares, respectively) | 1,335 | 4,405 | |
Class I (9,993 and 18,775 shares, respectively) | 115,621 | 183,998 | |
Class R6 (191 and 346 shares, respectively) | 2,205 | 3,402 | |
Shares repurchased and cross class conversions: | |||
Class A ((12,172) and (22,963) shares, respectively) | (123,245) | (236,775) | |
Class C ((1,782) and (6,551) shares, respectively) | (17,663) | (65,681) | |
Class I ((94,181) and (204,994) shares, respectively) | (967,494) | (2,169,445) | |
Class R6 ((1,983) and (6,589) shares, respectively) | (21,508) | (69,215) | |
Increase (decrease) in net assets from capital transactions | (347,210) | (439,178) | |
Net increase (decrease) in net assets | (1,718,315) | (330,391) | |
Net Assets | |||
Beginning of period | 6,963,080 | 7,293,471 | |
End of Period | $5,244,765 | $6,963,080 |
(1) | See Note 11 in the Notes to Financial Statements. |
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Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | |
Class A | |||||||
10/1/19 to 3/31/20(6) | $10.65 | 0.01 | (1.94) | (1.93) | (0.16) | (0.04) | (0.20) |
10/1/18 to 9/30/19 | 10.44 | 0.12 | 0.42 | 0.54 | (0.06) | (0.27) | (0.33) |
10/1/17 to 9/30/18 | 11.11 | 0.06 | (0.71) | (0.65) | (0.02) | — | (0.02) |
10/1/16 to 9/30/17 | 9.90 | 0.05 | 1.21 | 1.26 | (0.05) | — | (0.05) |
1/1/16 to 9/30/16(7) | 8.68 | 0.03 | 1.19 | 1.22 | — | — | — |
1/1/15 to 12/31/15 | 9.58 | 0.07 | (0.91) | (0.84) | (0.06) | — | (0.06) |
1/1/14 to 12/31/14 | 9.26 | 0.07 | 0.42 | 0.49 | (0.06) | (0.11) | (0.17) |
Class C | |||||||
10/1/19 to 3/31/20(6) | $10.27 | (0.03) | (1.88) | (1.91) | (0.07) | (0.04) | (0.11) |
10/1/18 to 9/30/19 | 10.08 | 0.04 | 0.42 | 0.46 | — | (0.27) | (0.27) |
10/1/17 to 9/30/18 | 10.77 | (0.01) | (0.68) | (0.69) | — | — | — |
10/1/16 to 9/30/17 | 9.63 | (0.03) | 1.17 | 1.14 | — | — | — |
1/1/16 to 9/30/16(7) | 8.49 | (0.02) | 1.16 | 1.14 | — | — | — |
1/1/15 to 12/31/15 | 9.37 | — | (0.88) | (0.88) | — | — | — |
1/1/14 to 12/31/14 | 9.08 | (0.01) | 0.42 | 0.41 | (0.01) | (0.11) | (0.12) |
Class I | |||||||
10/1/19 to 3/31/20(6) | $11.03 | 0.03 | (2.00) | (1.97) | (0.20) | (0.04) | (0.24) |
10/1/18 to 9/30/19 | 10.82 | 0.17 | 0.42 | 0.59 | (0.11) | (0.27) | (0.38) |
10/1/17 to 9/30/18 | 11.49 | 0.11 | (0.73) | (0.62) | (0.05) | — | (0.05) |
10/1/16 to 9/30/17 | 10.24 | 0.07 | 1.26 | 1.33 | (0.08) | — | (0.08) |
1/1/16 to 9/30/16(7) | 8.96 | 0.04 | 1.24 | 1.28 | — | — | — |
1/1/15 to 12/31/15 | 9.89 | 0.10 | (0.95) | (0.85) | (0.08) | — | (0.08) |
1/1/14 to 12/31/14 | 9.55 | 0.09 | 0.45 | 0.54 | (0.09) | (0.11) | (0.20) |
Class R6 | |||||||
10/1/19 to 3/31/20(6) | $11.04 | 0.04 | (1.99) | (1.95) | (0.21) | (0.04) | (0.25) |
10/1/18 to 9/30/19 | 10.82 | 0.19 | 0.42 | 0.61 | (0.12) | (0.27) | (0.39) |
10/1/17 to 9/30/18 | 11.48 | 0.12 | (0.73) | (0.61) | (0.05) | — | (0.05) |
10/1/16 to 9/30/17 | 10.25 | 0.10 | 1.23 | 1.33 | (0.10) | — | (0.10) |
1/1/16 to 9/30/16(7) | 8.96 | 0.05 | 1.24 | 1.29 | — | — | — |
1/1/15 to 12/31/15 | 9.89 | 0.08 | (0.91) | (0.83) | (0.10) | — | (0.10) |
11/12/14(10) to 12/31/14 | 10.42 | (0.01) | (0.45) | (0.46) | (0.06) | (0.01) | (0.07) |
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Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) |
(2.13) | $8.52 | (18.57) % | $319,966 | 1.58 % | 1.58 % | 0.14 % | 27 % |
0.21 | 10.65 | 5.64 | 479,456 | 1.57 | 1.57 | 1.20 | 30 |
(0.67) | 10.44 | (5.83) | 550,117 | 1.58 | 1.58 | 0.54 | 38 |
1.21 | 11.11 | 12.81 | 706,974 | 1.60 | 1.61 | 0.46 | 27 |
1.22 | 9.90 | 14.06 | 1,082,242 | 1.59 (8) | 1.60 | 0.40 | 25 |
(0.90) | 8.68 | (8.77) | 745,947 | 1.56 | 1.56 | 0.73 | 27 |
0.32 | 9.58 | 5.23 | 770,941 | 1.55 | 1.55 | 0.71 | 28 |
(2.02) | $8.25 | (18.83) % | $98,078 | 2.27 % | 2.27 % | (0.55) % | 27 % |
0.19 | 10.27 | 4.93 | 135,668 | 2.25 | 2.25 | 0.41 | 30 |
(0.69) | 10.08 | (6.41) | 182,813 | 2.25 | 2.25 | (0.12) | 38 |
1.14 | 10.77 | 11.84 | 214,738 | 2.34 | 2.35 | (0.30) | 27 |
1.14 | 9.63 | 13.56 | 222,221 | 2.34 (8) | 2.35 | (0.31) | 25 |
(0.88) | 8.49 | (9.50) | 223,303 | 2.31 | 2.31 | (0.01) | 27 |
0.29 | 9.37 | 4.40 | 228,652 | 2.30 | 2.30 | (0.13) | 28 |
(2.21) | $8.82 | (18.40) % | $4,714,585 | 1.26 % | 1.26 % | 0.47 % | 27 % |
0.21 | 11.03 | 5.91 | 6,228,010 | 1.25 | 1.25 | 1.56 | 30 |
(0.67) | 10.82 | (5.46) | 6,434,732 | 1.23 | 1.23 | 0.91 | 38 |
1.25 | 11.49 | 13.10 | 7,198,678 | 1.33 | 1.34 | 0.72 | 27 |
1.28 | 10.24 | 14.29 | 6,214,272 | 1.33 (8) | 1.34 | 0.64 | 25 |
(0.93) | 8.96 | (8.55) | 8,726,303 | 1.31 | 1.32 | 0.99 | 27 |
0.34 | 9.89 | 5.54 | 7,572,633 | 1.30 | 1.35 | 0.85 | 28 |
(2.20) | $8.84 | (18.20) % | $112,136 | 0.98 % | 1.15 % | 0.75 % | 27 % |
0.22 | 11.04 | 6.11 | 119,946 | 1.03 (9) | 1.13 | 1.80 | 30 |
(0.66) | 10.82 | (5.34) | 125,809 | 1.15 | 1.15 | 1.01 | 38 |
1.23 | 11.48 | 13.15 | 126,422 | 1.20 | 1.21 | 0.92 | 27 |
1.29 | 10.25 | 14.40 | 45,197 | 1.21 (8) | 1.22 | 0.72 | 25 |
(0.93) | 8.96 | (8.44) | 34,379 | 1.21 | 1.21 | 0.90 | 27 |
(0.53) | 9.89 | (4.60) | 95 | 1.24 | 1.24 | (0.41) | 28 (11) |
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Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Sales charges, where applicable, are not reflected in the total return calculation. |
(4) | Annualized for periods less than one year. |
(5) | The Fund will also indirectly bear its prorated share of expenses of any underlying funds in which it invests. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | The Fund changed its fiscal year end to September 30 during the period. |
(8) | Net expense ratio includes extraordinary proxy expenses. |
(9) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(10) | Inception date. |
(11) | Portfolio turnover is representative of the Fund for the entire year ended December 31, 2014. |
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A. | Security Valuation |
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
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B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as the Fund is notified. Interest income is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from REITs is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
The Fund is treated as a separate taxable entity. It is the Fund’s intention to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute |
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substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. | |
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of March 31, 2020, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 forward (with limited exceptions). | |
D. | Distributions to Shareholders |
Distributions are recorded by the Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by the Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expense to each fund or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that the Fund bears directly, the shareholders of the Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Fund does not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | Securities Lending |
The Fund may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities the Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of |
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fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by the Fund under a Master Securities Lending Agreement (“MSLA”) that permits the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
Effective March 13, 2020, the securities lending program was put on hold and all securities on loan were recalled. |
A. | Investment Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Fund. The Adviser manages the Fund’s investment program and general operations of the Fund, including oversight of the Fund’s subadviser. | |
As compensation for its services to the Fund, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily net assets of the Fund: |
First $1 Billion | $1+ Billion | |
1.00 % | 0.95 % |
B. | Subadviser |
Vontobel Asset Management, Inc. (the “Subadviser”) is the subadviser to the Fund. The Subadviser manages the investments of the Fund for which it is paid a fee by the Adviser. | |
C. | Expense Limitation |
The Adviser has contractually agreed to limit the Fund’s annual total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, 0.98% of average daily net assets for Class R6 shares through March 31, 2021. Following the contractual period, the Adviser may discontinue this expense reimbursement arrangement at any time. The waivers and reimbursements are calculated daily and received monthly. | |
The exclusions include front-end or contingent deferred loads, taxes, leverage and borrowing expenses (such as commitment, amendment and renewal expenses on credit or redemption facilities), interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, unusual or infrequently occurring expenses (such as litigation), acquired fund fees and expenses, and dividend expenses, if any. |
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D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. The Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending: |
Expiration | |||||
2022 | 2023 | Total | |||
Class R6 | $ 118 | $ 107 | $ 225 | ||
E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of the Fund’s shares. VP Distributors has advised the Fund that for the six months (the “period”) ended March 31, 2020, it retained net commissions of $7 for Class A shares and CDSC of $35 for Class A and $3 for Class C shares. | |
In addition, the Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the following annual rates: 0.25% for Class A shares and 1.00% for Class C shares. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. | |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as administrator and transfer agent to the Fund. | |
For the period ended March 31, 2020, the Fund incurred administration fees totaling $3,294 which are included in the Statement of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
For the period ended March 31, 2020, the Fund incurred transfer agent fees totaling $1,476 which are included in the Statement of Operations within the line items “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. |
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Investments in such instruments are included in “Other assets” in the Statement of Assets and Liabilities at March 31, 2020. |
Purchases | Sales | |
$1,769,526 | $2,240,133 |
% of Shares Outstanding | Number of Accounts* | |
50% | 2 |
* | The shareholders are not affiliated with Virtus. |
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Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | |||
$30 | $30,494 | 2.06% | 17 |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$ 5,960,508 | $ 389,095 | $ (1,146,855) | $ (757,760) |
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No Expiration | Total | |||||
Short-Term | Long-Term | Short-Term | Long-Term | |||
$70,654 | $70,940 | $70,654 | $70,940 |
Merged Fund | Shares Outstanding | Acquiring Fund | Shares Converted | Merged Fund Net Asset Value of Converted Shares | ||||
Vontobel Global Emerging Markets Equity Institutional Fund | Class I Shares 2,394,040 | Vontobel Emerging Markets Opportunities Fund . . . . . . . | Class R6 Shares 2,288,639 | $24,973 |
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Merged Fund | Net Assets | Unrealized Appreciation (Depreciation) | Acquiring Fund | Net Assets | ||||
Vontobel Global Emerging Markets Equity Institutional Fund | $24,973 | 1,877 | Vontobel Emerging Markets Opportunities Fund . . . | $97,783 |
Net investment income (loss) | $102,795(a) |
Net realized and unrealized gain (loss) on investments | 242,422(b) |
Net increase (decrease) in net assets resulting from operations | $345,217 |
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Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
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please contact us at1-800-243-1574, orVirtus.com.
8005 | 05-20 |
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President, Virtus Funds
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Beginning Account Value October 1, 2019 | Ending Account Value March 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 765.50 | 1.37 % | $ 6.05 | |||
Class C | 1,000.00 | 762.70 | 2.11 | 9.30 | |||
Class I | 1,000.00 | 766.40 | 1.10 | 4.86 | |||
Class R6 | 1,000.00 | 767.70 | 0.79 | 3.49 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
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Beginning Account Value October 1, 2019 | Ending Account Value March 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,018.15 | 1.37 % | $ 6.91 | |||
Class C | 1,000.00 | 1,014.45 | 2.11 | 10.63 | |||
Class I | 1,000.00 | 1,019.50 | 1.10 | 5.55 | |||
Class R6 | 1,000.00 | 1,021.05 | 0.79 | 3.99 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
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Industrial | 17% |
Apartments | 15 |
Data Center | 14 |
Office | 11 |
Health Care | 10 |
Retail | 9 |
Specialty | 6 |
Other | 18 |
Total | 100% |
Shares | Value | ||
Common Stocks—97.3% | |||
Real Estate Investment Trusts—97.3% | |||
Data Centers—13.2% | |||
CyrusOne, Inc. | 243,032 | $15,007 | |
Equinix, Inc. | 64,001 | 39,973 | |
54,980 | |||
Health Care—9.8% | |||
Healthcare Trust of America, Inc. Class A | 576,800 | 14,005 | |
Healthpeak Properties, Inc. | 767,500 | 18,305 | |
Welltower, Inc. | 180,580 | 8,267 | |
40,577 | |||
Industrial/Office—27.1% | |||
Industrial—16.7% | |||
Americold Realty Trust | 372,988 | 12,697 | |
Duke Realty Corp. | 632,893 | 20,493 | |
Prologis, Inc. | 364,704 | 29,311 | |
Rexford Industrial Realty, Inc. | 167,400 | 6,865 | |
69,366 | |||
Shares | Value | ||
Office—10.4% | |||
Alexandria Real Estate Equities, Inc. | 141,045 | $19,332 | |
Cousins Properties, Inc. | 497,003 | 14,547 | |
Douglas Emmett, Inc. | 307,968 | 9,396 | |
43,275 | |||
Total Industrial/Office | 112,641 | ||
Lodging/Resorts—2.0% | |||
Host Hotels & Resorts, Inc. | 132,294 | 1,460 | |
RLJ Lodging Trust | 254,105 | 1,962 | |
Ryman Hospitality Properties, Inc. | 139,278 | 4,993 | |
8,415 | |||
Residential—24.5% | |||
Apartments—15.0% | |||
Apartment Investment & Management Co. Class A | 318,073 | 11,180 | |
AvalonBay Communities, Inc. | 141,815 | 20,871 | |
Equity Residential | 300,414 | 18,539 |
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Shares | Value | ||
Residential—continued | |||
Apartments—continued | |||
Essex Property Trust, Inc. | 19,204 | $4,229 | |
Mid-America Apartment Communities, Inc. | 73,100 | 7,532 | |
62,351 | |||
Manufactured Homes—4.5% | |||
Sun Communities, Inc. | 148,465 | 18,536 | |
Single Family Homes—5.0% | |||
American Homes 4 Rent Class A | 679,400 | 15,762 | |
Invitation Homes, Inc. | 241,060 | 5,151 | |
20,913 | |||
Total Residential | 101,800 | ||
Retail—9.2% | |||
Free Standing—3.9% | |||
Spirit Realty Capital, Inc. | 298,493 | 7,806 | |
STORE Capital Corp. | 470,485 | 8,525 | |
16,331 | |||
Regional Malls—1.4% | |||
Simon Property Group, Inc. | 106,241 | 5,828 | |
Shopping Centers—3.9% | |||
Brixmor Property Group, Inc. | 714,156 | 6,784 |
Shares | Value | ||
Shopping Centers—continued | |||
Regency Centers Corp. | 245,500 | $9,435 | |
16,219 | |||
Total Retail | 38,378 | ||
Self Storage—5.6% | |||
CubeSmart | 390,150 | 10,452 | |
Extra Space Storage, Inc. | 132,629 | 12,701 | |
23,153 | |||
Specialty—5.9% | |||
Crown Castle International Corp. | 99,450 | 14,360 | |
VICI Properties, Inc. | 614,700 | 10,229 | |
24,589 | |||
Total Common Stocks (Identified Cost $359,450) | 404,533 | ||
Total Long-Term Investments—97.3% (Identified Cost $359,450) | 404,533 | ||
TOTAL INVESTMENTS—97.3% (Identified Cost $359,450) | $404,533 | ||
Other assets and liabilities, net—2.7% | 11,280 | ||
NET ASSETS—100.0% | $415,813 |
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Total Value at March 31, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $404,533 | $404,533 | |
Total Investments | $404,533 | $404,533 |
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Assets | |
Investment in securities at value(1) | $404,533 |
Cash | 12,691 |
Receivables | |
Investment securities sold | 125 |
Fund shares sold | 689 |
Dividends | 1,847 |
Prepaid Trustees’ retainer | 12 |
Prepaid expenses | 56 |
Other assets | 40 |
Total assets | 419,993 |
Liabilities | |
Payables | |
Fund shares repurchased | 829 |
Investment securities purchased | 2,750 |
Investment advisory fees | 278 |
Distribution and service fees | 34 |
Administration and accounting fees | 39 |
Transfer agent and sub-transfer agent fees and expenses | 146 |
Professional fees | 13 |
Trustee deferred compensation plan | 40 |
Interest expense and/or commitment fees | 1 |
Other accrued expenses | 50 |
Total liabilities | 4,180 |
Net Assets | $415,813 |
Net Assets Consist of: | |
Capital paid in on shares of beneficial interest | $366,260 |
Accumulated earnings (loss) | 49,553 |
Net Assets | $415,813 |
Net Assets: | |
Class A | $115,272 |
Class C | $8,154 |
Class I | $263,285 |
Class R6 | $29,102 |
Shares Outstanding (unlimited number of shares authorized, no par value): | |
Class A | 6,902,244 |
Class C | 489,222 |
Class I | 15,815,358 |
Class R6 | 1,744,833 |
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Net Asset Value and Redemption Price Per Share: | |
Class A | $16.70 |
Class C | $16.67 |
Class I | $16.65 |
Class R6 | $16.68 |
Maximum Offering Price per Share (NAV/(1-5.75%*)): | |
Class A | $17.72 |
* Maximum sales charge | |
(1)Investment in securities at cost | $359,450 |
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Investment Income | |
Dividends | $8,021 |
Total investment income | 8,021 |
Expenses | |
Investment advisory fees | 2,079 |
Distribution and service fees, Class A | 200 |
Distribution and service fees, Class C | 57 |
Administration and accounting fees | 292 |
Transfer agent fees and expenses | 122 |
Sub-transfer agent fees and expenses, Class A | 129 |
Sub-transfer agent fees and expenses, Class C | 8 |
Sub-transfer agent fees and expenses, Class I | 235 |
Custodian fees | 1 |
Printing fees and expenses | 43 |
Professional fees | 16 |
Interest expense and/or commitment fees | 2 |
Registration fees | 53 |
Trustees’ fees and expenses | 23 |
Miscellaneous expenses | 30 |
Total expenses | 3,290 |
Less net expenses reimbursed and/or waived by investment adviser(1) | (32) |
Less low balance account fees | —(2) |
Net expenses | 3,258 |
Net investment income (loss) | 4,763 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 17,439 |
Net change in unrealized appreciation (depreciation) on: | |
Investments | (149,544) |
Net realized and unrealized gain (loss) on investments | (132,105) |
Net increase (decrease) in net assets resulting from operations | $(127,342) |
(1) | See Note 3D in the Notes to Financial Statements. |
(2) | Amount is less than $500. |
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Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $4,763 | $10,320 | |
Net realized gain (loss) | 17,439 | 100,046 | |
Net change in unrealized appreciation (depreciation) | (149,544) | (16,066) | |
Increase (decrease) in net assets resulting from operations | (127,342) | 94,300 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (27,659) | (28,231) | |
Class C | (1,930) | (3,510) | |
Class I | (60,774) | (59,954) | |
Class R6 | (6,696) | (4,621) | |
Total Dividends and Distributions to Shareholders | (97,059) | (96,316) | |
Change in Net Assets from Capital Transactions | |||
Shares sold and cross class conversions: | |||
Class A (604 and 1,575 shares, respectively) | 14,149 | 37,370 | |
Class C (37 and 51 shares, respectively) | 817 | 1,174 | |
Class I (2,223 and 3,585 shares, respectively) | 47,012 | 84,112 | |
Class R6 (300 and 610 shares, respectively) | 6,980 | 14,664 | |
Reinvestment of distributions: | |||
Class A (1,252 and 1,213 shares, respectively) | 26,621 | 26,465 | |
Class C (85 and 154 shares, respectively) | 1,809 | 3,333 | |
Class I (2,867 and 2,718 shares, respectively) | 60,653 | 59,275 | |
Class R6 (316 and 210 shares, respectively) | 6,687 | 4,600 | |
Shares repurchased and cross class conversions: | |||
Class A ((1,603) and (4,213) shares, respectively) | (36,260) | (102,877) | |
Class C ((102) and (734) shares, respectively) | (2,252) | (16,810) | |
Class I ((3,501) and (8,443) shares, respectively) | (78,506) | (207,408) | |
Class R6 ((351) and (322) shares, respectively) | (7,649) | (7,823) | |
Increase (decrease) in net assets from capital transactions | 40,061 | (103,925) | |
Net increase (decrease) in net assets | (184,340) | (105,941) | |
Net Assets | |||
Beginning of period | 600,153 | 706,094 | |
End of Period | $415,813 | $600,153 |
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Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | |
Class A | |||||||
10/1/19 to 3/31/20(6) | $26.33 | 0.17 | (5.42) | (5.25) | (0.17) | (4.21) | (4.38) |
10/1/18 to 9/30/19 | 26.76 | 0.37 | 3.34 | 3.71 | (0.42) | (3.72) | (4.14) |
10/1/17 to 9/30/18 | 30.43 | 0.31 | 0.75 | 1.06 | (0.30) | (4.43) | (4.73) |
10/1/16 to 9/30/17 | 36.87 | 0.38 | (0.48) | (0.10) | (0.40) | (5.94) | (6.34) |
10/1/15 to 9/30/16 | 38.45 | 0.47 | 4.80 | 5.27 | (0.48) | (6.37) | (6.85) |
10/1/14 to 9/30/15 | 36.65 | 0.51 | 3.76 | 4.27 | (0.53) | (1.94) | (2.47) |
Class C | |||||||
10/1/19 to 3/31/20(6) | $26.26 | 0.09 | (5.40) | (5.31) | (0.07) | (4.21) | (4.28) |
10/1/18 to 9/30/19 | 26.69 | 0.19 | 3.32 | 3.51 | (0.22) | (3.72) | (3.94) |
10/1/17 to 9/30/18 | 30.35 | 0.12 | 0.76 | 0.88 | (0.11) | (4.43) | (4.54) |
10/1/16 to 9/30/17 | 36.77 | 0.15 | (0.47) | (0.32) | (0.16) | (5.94) | (6.10) |
10/1/15 to 9/30/16 | 38.37 | 0.20 | 4.78 | 4.98 | (0.21) | (6.37) | (6.58) |
10/1/14 to 9/30/15 | 36.59 | 0.22 | 3.73 | 3.95 | (0.23) | (1.94) | (2.17) |
Class I | |||||||
10/1/19 to 3/31/20(6) | $26.28 | 0.21 | (5.43) | (5.22) | (0.20) | (4.21) | (4.41) |
10/1/18 to 9/30/19 | 26.71 | 0.44 | 3.34 | 3.78 | (0.49) | (3.72) | (4.21) |
10/1/17 to 9/30/18 | 30.39 | 0.40 | 0.73 | 1.13 | (0.38) | (4.43) | (4.81) |
10/1/16 to 9/30/17 | 36.83 | 0.46 | (0.48) | (0.02) | (0.48) | (5.94) | (6.42) |
10/1/15 to 9/30/16 | 38.42 | 0.56 | 4.80 | 5.36 | (0.58) | (6.37) | (6.95) |
10/1/14 to 9/30/15 | 36.62 | 0.62 | 3.75 | 4.37 | (0.63) | (1.94) | (2.57) |
Class R6 | |||||||
10/1/19 to 3/31/20(6) | $26.30 | 0.24 | (5.43) | (5.19) | (0.22) | (4.21) | (4.43) |
10/1/18 to 9/30/19 | 26.72 | 0.51 | 3.32 | 3.83 | (0.53) | (3.72) | (4.25) |
10/1/17 to 9/30/18 | 30.39 | 0.47 | 0.71 | 1.18 | (0.42) | (4.43) | (4.85) |
10/1/16 to 9/30/17 | 36.84 | 0.50 | (0.48) | 0.02 | (0.53) | (5.94) | (6.47) |
10/1/15 to 9/30/16 | 38.42 | 0.70 | 4.73 | 5.43 | (0.64) | (6.37) | (7.01) |
11/12/14(10) to 9/30/15 | 40.32 | 0.79 | (0.06) | 0.73 | (0.69) | (1.94) | (2.63) |
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Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) |
(9.63) | $16.70 | (23.45) % | $115,272 | 1.37 % | 1.37 % | 1.50 % | 19 % |
(0.43) | 26.33 | 17.33 | 175,112 | 1.38 | 1.38 | 1.50 | 30 |
(3.67) | 26.76 | 4.03 | 216,062 | 1.38 | 1.38 | 1.16 | 12 |
(6.44) | 30.43 | 0.63 (7) | 331,957 | 1.39 (7) | 1.39 | 1.21 (7) | 20 |
(1.58) | 36.87 | 15.58 | 530,135 | 1.39 (8) | 1.39 | 1.29 | 31 |
1.80 | 38.45 | 11.34 | 621,507 | 1.36 | 1.36 | 1.26 | 22 |
(9.59) | $16.67 | (23.73) % | $8,154 | 2.11 % | 2.11 % | 0.77 % | 19 % |
(0.43) | 26.26 | 16.49 | 12,325 | 2.09 | 2.09 | 0.78 | 30 |
(3.66) | 26.69 | 3.28 | 26,643 | 2.07 | 2.07 | 0.45 | 12 |
(6.42) | 30.35 | (0.09) (7) | 43,219 | 2.13 (7) | 2.13 | 0.48 (7) | 20 |
(1.60) | 36.77 | 14.70 | 67,216 | 2.15 (8) | 2.15 | 0.55 | 31 |
1.78 | 38.37 | 10.49 | 66,023 | 2.11 | 2.11 | 0.56 | 22 |
(9.63) | $16.65 | (23.36) % | $263,285 | 1.10 % | 1.10 % | 1.81 % | 19 % |
(0.43) | 26.28 | 17.73 | 373,801 | 1.09 | 1.09 | 1.81 | 30 |
(3.68) | 26.71 | 4.31 | 437,179 | 1.08 | 1.08 | 1.49 | 12 |
(6.44) | 30.39 | 0.90 (7) | 539,098 | 1.13 (7) | 1.13 | 1.49 (7) | 20 |
(1.59) | 36.83 | 15.85 | 619,818 | 1.14 (8) | 1.14 | 1.52 | 31 |
1.80 | 38.42 | 11.63 | 647,976 | 1.11 | 1.11 | 1.55 | 22 |
(9.62) | $16.68 | (23.23) % | $29,102 | 0.79 % | 0.96 % | 2.12 % | 19 % |
(0.42) | 26.30 | 17.94 | 38,915 | 0.87 (9) | 0.95 | 2.11 | 30 |
(3.67) | 26.72 | 4.50 | 26,210 | 0.93 (9) | 0.95 | 1.75 | 12 |
(6.45) | 30.39 | 1.06 (7) | 19,880 | 0.98 (7) | 0.98 | 1.62 (7) | 20 |
(1.58) | 36.84 | 16.06 | 21,604 | 0.98 (8) | 0.98 | 1.93 | 31 |
(1.90) | 38.42 | 1.54 | 1,647 | 0.94 | 0.94 | 2.30 | 22 (11) |
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Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Sales charges, where applicable, are not reflected in the total return calculation. |
(4) | Annualized for periods less than one year. |
(5) | The Fund will also indirectly bear its prorated share of expenses of any underlying funds in which it invests. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | State Street Bank & Trust, custodian for the Fund through January 29, 2010, reimbursed the Fund for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses to Average Net Assets and increase the Ratio of Net Investment Income (Loss) to Average Net Assets by 0.01%. Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return by 0.01%. |
(8) | Net expense ratio includes extraordinary proxy expenses. |
(9) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(10) | Inception date. |
(11) | Portfolio turnover is representative of the Fund for the entire year ended September 30, 2015. |
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A. | Security Valuation |
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
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B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as the Fund is notified. Interest income is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from REITs is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
The Fund is treated as a separate taxable entity. It is the Fund’s intention to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute |
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substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. | |
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of March 31, 2020, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 forward (with limited exceptions). | |
D. | Distributions to Shareholders |
Distributions are recorded by the Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by the Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expense to each fund or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that the Fund bears directly, the shareholders of the Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
F. | Securities Lending |
The Fund may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities the Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by the Fund under a Master Securities Lending Agreement (“MSLA”) that permits the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
Effective March 13, 2020, the securities lending program was put on hold and all securities on loan were recalled. |
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A. | Investment Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Fund. The Adviser manages the Fund’s investment program and general operations of the Fund, including oversight of the Fund’s subadviser. | |
As compensation for its services to the Fund, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily net assets of the Fund: |
First $1 Billion | $1+ Billion through $2 Billion | $2+ Billion | ||
0.75 % | 0.70 % | 0.65 % |
B. | Subadviser |
Duff & Phelps Investment Management Co. (the “Subadviser”), an indirect, wholly-owned subsidiary of Virtus, is the subadviser to the Fund. The Subadviser manages the investments of the Fund for which it is paid a fee by the Adviser. | |
C. | Expense Limitation |
The Adviser has contractually agreed to limit the Fund’s annual total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, 0.79% of average daily net assets for Class R6 shares through January 31, 2021. Following the contractual period, the Adviser may discontinue this expense reimbursement arrangement at any time. The waivers and reimbursements are calculated daily and received monthly. | |
The exclusions include front-end or contingent deferred loads, taxes, leverage and borrowing expenses (such as commitment, amendment and renewal expenses on credit or redemption facilities), interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, unusual or infrequently occurring expenses (such as litigation), acquired fund fees and expenses, and dividend expenses, if any. | |
D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. The Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time |
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of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending: |
Expiration | |||||||
2021 | 2022 | 2023 | Total | ||||
Class R6 | $ 4 | $ 26 | $ 32 | $ 62 | |||
E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of the Fund’s shares. VP Distributors has advised the Fund that for the six months (the “period”) ended March 31, 2020, it retained net commissions of $5 for Class A shares and CDSC of $-* for Class C shares. | |
In addition, the Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the following annual rates: 0.25% for Class A shares and 1.00% for Class C shares. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. | |
* Amount is less than $500. | |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as administrator and transfer agent to the Fund. | |
For the period ended March 31, 2020, the Fund incurred administration fees totaling $264 which are included in the Statement of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
For the period ended March 31, 2020, the Fund incurred transfer agent fees totaling $119 which are included in the Statement of Operations within the line items “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statement of Assets and Liabilities at March 31, 2020. |
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Purchases | Sales | |
$104,926 | $157,849 |
% of Shares Outstanding | Number of Accounts* | |
28% | 2 |
* | The shareholders are not affiliated with Virtus. |
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Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$ 365,383 | $ 96,979 | $ (57,829) | $ 39,150 |
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Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
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please contact us at1-800-243-1574, orVirtus.com.
8023 | 05-20 |
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President, Virtus Funds
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Beginning Account Value October 1, 2019 | Ending Account Value March 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 951.40 | 0.97 % | $ 4.73 | |||
Class C | 1,000.00 | 950.80 | 1.21 | 5.90 | |||
Class C1 | 1,000.00 | 948.30 | 1.71 | 8.33 | |||
Class I | 1,000.00 | 954.70 | 0.72 | 3.52 | |||
Class R6 | 1,000.00 | 955.00 | 0.55 | 2.69 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
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Beginning Account Value October 1, 2019 | Ending Account Value March 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,020.15 | 0.97 % | $ 4.90 | |||
Class C | 1,000.00 | 1,018.95 | 1.21 | 6.11 | |||
Class C1 | 1,000.00 | 1,016.45 | 1.71 | 8.62 | |||
Class I | 1,000.00 | 1,021.40 | 0.72 | 3.64 | |||
Class R6 | 1,000.00 | 1,022.25 | 0.55 | 2.78 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
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March 31, 2020
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Corporate Bonds and Notes | 30% | |
Financials | 11% | |
Energy | 3 | |
Utilities | 3 | |
All other Corporate Bonds and Notes | 13 | |
Mortgage-Backed Securities | 29 | |
Asset-Backed Securities | 24 | |
Leveraged Loans | 8 | |
Foreign Government Securities | 3 | |
Exchange-Traded Funds | 2 | |
U.S. Government Securities | 2 | |
Other | 2 | |
Total | 100% |
Par Value | Value | ||
U.S. Government Securities—2.1% | |||
U.S. Treasury Bill 0.000%, 8/13/20 | $ 17,300 | $17,293 | |
U.S. Treasury Notes | |||
1.750%, 6/15/22 | 12,560 | 12,982 | |
1.500%, 2/15/30 | 79,635 | 85,850 | |
Total U.S. Government Securities (Identified Cost $110,418) | 116,125 | ||
Municipal Bond—0.1% | |||
Virginia—0.1% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 4,500 | 3,888 | |
Total Municipal Bond (Identified Cost $4,214) | 3,888 |
Par Value | Value | ||
Foreign Government Securities—3.3% | |||
Arab Republic of Egypt 144A 5.875%, 6/11/25(1) | $6,740 | $6,045 | |
Bolivarian Republic of Venezuela | |||
RegS 7.000%, 12/1/18(2)(3) | 20,999 | 1,890 | |
RegS 7.750%, 10/13/19(2)(3)(4) | 9,851 | 887 | |
Federal Republic of Nigeria 144A 7.625%, 11/21/25(1) | 5,700 | 4,393 | |
Kingdom of Abu Dhabi 144A 2.125%, 9/30/24(1) | 6,800 | 6,705 | |
Kingdom of Saudi Arabia | |||
144A 4.000%, 4/17/25(1) | 8,025 | 8,333 | |
144A 3.250%, 10/26/26(1) | 6,500 | 6,483 |
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Par Value | Value | ||
Foreign Government Securities—continued | |||
Republic of Argentine 5.875%, 1/11/28 | $8,245 | $2,214 | |
Republic of Cote d’Ivoire 144A 6.375%, 3/3/28(1) | 6,050 | 5,541 | |
Republic of Ghana 144A 7.875%, 3/26/27(1) | 6,000 | 4,427 | |
Republic of Indonesia | |||
144A 4.750%,(1) | 5,800 | 6,138 | |
144A 3.375%, 4/15/23(1) | 18,000 | 17,971 | |
144A 5.875%, 1/15/24(1) | 15,230 | 16,528 | |
Republic of Kazakhstan 144A 5.125%, 7/21/25(1) | 1,830 | 1,968 | |
Republic of Panama 3.875%, | 15,600 | 16,809 | |
Republic of South Africa | |||
4.665%, 1/17/24 | 1,950 | 1,828 | |
5.875%, 9/16/25 | 5,860 | 5,621 | |
Republic of Turkey | |||
6.250%, 9/26/22 | 11,600 | 11,296 | |
6.350%, 8/10/24 | 6,550 | 6,205 | |
7.375%, 2/5/25 | 5,015 | 4,921 | |
Russian Federation | |||
144A 4.875%, 9/16/23(1) | 14,400 | 15,319 | |
RegS 4.750%, 5/27/26(3) | 6,400 | 6,790 | |
Saudi Government International Bond 144A 2.500%,(1) | 7,000 | 6,706 | |
Ukraine 144A 7.750%, 9/1/25(1) | 9,530 | 8,649 | |
United Mexican States Series M 6.500%, 6/9/22 | 250,769MXN | 10,592 | |
Total Foreign Government Securities (Identified Cost $221,156) | 184,259 |
Par Value | Value | ||
Mortgage-Backed Securities—27.9% | |||
Agency—2.0% | |||
Federal National Mortgage Association | |||
Pool #811451 5.000%, 6/1/20 | $4 | $4 | |
Pool #AD6058 4.000%, 8/1/25 | 2,793 | 2,940 | |
Pool #AO5149 3.000%, 6/1/27 | 316 | 330 | |
Pool #AS5927 3.000%, 10/1/30 | 11,996 | 12,590 | |
Pool #AZ4794 3.000%, 10/1/30 | 18,697 | 19,635 | |
Pool #890710 3.000%, 2/1/31 | 7,778 | 8,168 | |
Pool #254549 6.000%, 12/1/32 | 18 | 20 | |
Pool #695237 5.500%, 2/1/33 | 22 | 24 | |
Pool #773385 5.500%, 5/1/34 | 132 | 149 | |
Pool #725762 6.000%, 8/1/34 | 104 | 120 | |
Pool #806318 5.500%, 11/1/34 | 130 | 142 | |
Pool #806328 5.500%, 11/1/34 | 117 | 129 | |
Pool #800267 5.500%, 12/1/34 | 24 | 27 | |
Pool #808018 5.500%, 1/1/35 | 111 | 125 | |
Pool #941322 6.000%, 7/1/37 | 7 | 7 | |
Pool #889578 6.000%, 4/1/38 | 61 | 70 | |
Pool #AC6992 5.000%, 12/1/39 | 2,008 | 2,216 | |
Pool #AD3841 4.500%, 4/1/40 | 3,158 | 3,458 | |
Pool #AD4224 5.000%, 8/1/40 | 2,983 | 3,309 | |
Pool #AE4799 4.000%, 10/1/40 | 78 | 84 |
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Par Value | Value | ||
Agency—continued | |||
Pool #AH4009 4.000%, 3/1/41 | $2,880 | $3,116 | |
Pool #AI2472 4.500%, 5/1/41 | 2,407 | 2,636 | |
Pool #AS6515 4.000%, 1/1/46 | 7,625 | 8,245 | |
Pool #AS9393 4.000%, 4/1/47 | 4,540 | 4,875 | |
Pool #MA3058 4.000%, 7/1/47 | 22,402 | 24,066 | |
Pool #MA3692 3.500%, 7/1/49 | 15,817 | 16,709 | |
Government National Mortgage Association | |||
Pool #563381 6.500%, 11/15/31 | 15 | 17 | |
Pool #581072 6.500%, 2/15/32 | 1 | 1 | |
113,212 | |||
Non-Agency—25.9% | |||
Adjustable Rate Mortgage Trust 2005-1, 3A1 3.816%, 5/25/35(5) | 1,628 | 1,457 | |
Agate Bay Mortgage Trust 2016-3, A5 144A 3.500%, 8/25/46(1)(5) | 3,925 | 3,941 | |
Ajax Mortgage Loan Trust | |||
2017-B, A 144A 3.163%, 9/25/56(1)(5) | 7,384 | 7,487 | |
2019-D, A1 144A 2.956%, 9/25/65(1)(5) | 7,419 | 7,248 | |
2018-C, A 144A 4.360%, 9/25/65(1)(5) | 8,049 | 7,922 | |
American Homes 4 Rent Trust 2015-SFR1, A 144A 3.467%, 4/17/52(1) | 11,101 | 10,791 |
Par Value | Value | ||
Non-Agency—continued | |||
AMSR Trust 2020-SFR1, A 144A 1.819%, 4/17/37(1) | $8,635 | $8,006 | |
Angel Oak Mortgage Trust I LLC | |||
2018-3, A1 144A 3.649%, 9/25/48(1)(5) | 3,869 | 3,791 | |
2019-2, A1 144A 3.628%, 3/25/49(1)(5) | 6,106 | 6,149 | |
Angel Oak Mortgage Trust LLC | |||
2017-1, A3 144A 3.644%, 1/25/47(1)(5) | 169 | 167 | |
2017-3, A1 144A 2.708%, 11/25/47(1)(5) | 1,794 | 1,756 | |
2019-3, A1 144A 2.930%, 5/25/59(1)(5) | 7,246 | 6,967 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(1)(5) | 30,469 | 29,657 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(5) | 11,948 | 11,602 | |
2019-2, A1 144A 3.347%, 4/25/49(1)(5) | 9,167 | 8,711 | |
Ashford Hospitality Trust 2018-KEYS, B (1 month LIBOR + 1.450%) 144A 2.155%, 5/15/35(1)(5) | 11,745 | 9,241 | |
Aventura Mall Trust 2013-AVM, A 144A 3.743%, 12/5/32(1)(5) | 10,350 | 10,219 | |
Banc of America Funding Trust | |||
2004-B, 2A1 4.307%, 11/20/34(5) | 250 | 237 | |
2004-D, 5A1 3.783%, 1/25/35(5) | 2,099 | 1,818 | |
2005-1, 1A1 5.500%, 2/25/35 | 283 | 271 | |
2006-2, 3A1 6.000%, 3/25/36 | 1,183 | 1,108 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
Banc of America Mortgage Trust 2005-3, 1A15 5.500%, 4/25/35 | $657 | $632 | |
Bank of America (Merrill Lynch - Countrywide) Home Loan Mortgage Pass-Through-Trust | |||
2004-6, 1A2 4.536%, 5/25/34(5) | 588 | 512 | |
2004-4, A6 5.500%, 5/25/34 | 18 | 18 | |
Bank of America (Merrill Lynch) Investors Trust 2004-A4, A1 4.322%, 8/25/34(5) | 599 | 553 | |
Bayview Commercial Asset Trust 2006-2A, A2 (1 month LIBOR + 0.280%) 144A 1.227%, 7/25/36(1)(5) | 3,806 | 3,336 | |
Bayview Financial Acquisition Trust 2007-A, 1A2 6.205%, 5/28/37(5) | 89 | 89 | |
Bayview Koitere Fund Trust 2017-RT4, A 144A 3.500%, 7/28/57(1)(5) | 5,557 | 5,535 | |
Bayview Opportunity Master Fund IVa Trust | |||
2016-SPL1, B1 144A 4.250%, 4/28/55(1) | 8,108 | 7,738 | |
2017-RT1, A1 144A 3.000%, 3/28/57(1)(5) | 2,539 | 2,498 | |
2017-SPL5, B1 144A 4.000%, 6/28/57(1)(5) | 5,910 | 5,587 |
Par Value | Value | ||
Non-Agency—continued | |||
Bayview Opportunity Master Fund IVb Trust | |||
2016-SPL2, B1 144A 4.250%, 6/28/53(1)(5) | $5,822 | $5,737 | |
2017-SPL4, A 144A 3.500%, 1/28/55(1)(5) | 1,934 | 1,918 | |
BBCMS Mortgage Trust 2018-TALL, A (1 month LIBOR + 0.722%) 144A 1.427%, 3/15/37(1)(5) | 5,490 | 5,091 | |
BSPRT Issuer Ltd. 2019-FL5, A (1 month LIBOR + 1.150%) 144A 1.855%, 5/15/29(1)(5) | 5,780 | 5,213 | |
Bunker Hill Loan Depositary Trust 2019-2, A1 144A 2.879%, 7/25/49(1)(5) | 6,790 | 6,215 | |
BX Commercial Mortgage Trust | |||
2019-XL, C (1 month LIBOR + 1.250%) 144A 1.955%, 10/15/36(1)(5) | 7,447 | 6,758 | |
2020-BXLP, D (1 month LIBOR + 1.250%) 144A 1.955%, 12/15/36(1)(5) | 9,065 | 8,067 | |
BX Trust | |||
2018-GW, B (1 month LIBOR + 1.020%) 144A 1.725%, 5/15/35(1)(5) | 19,910 | 17,130 | |
2019-OC11, B 144A 3.605%, 12/9/41(1) | 5,000 | 4,323 | |
2019-OC11, D 144A 4.075%, 12/9/41(1)(5) | 5,615 | 4,404 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
BXMT 2020-FL2, A (1 month LIBOR + 0.090%) 144A 1.700%, 2/16/37(1)(5) | $12,250 | $10,924 | |
Chase Home Lending Mortgage Trust 2019-ATR1, A4 144A 4.000%, 4/25/49(1)(5) | 8,946 | 8,945 | |
CHC Commercial Mortgage Trust 2019-CHC, A (1 month LIBOR + 1.120%) 144A 1.825%, 6/15/34(1)(5) | 17,564 | 16,361 | |
Citigroup Commercial Mortgage Trust | |||
2019-SST2, A (1 month LIBOR + 0.920%) 144A 1.625%, 12/15/36(1)(5) | 7,195 | 6,902 | |
2015-GC27, A4 2.878%, 2/10/48 | 8,835 | 8,870 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2004-NCM2, 2CB2 6.750%, 8/25/34 | 6,752 | 6,845 | |
2014-A, A 144A 4.000%, 1/25/35(1)(5) | 3,735 | 3,770 | |
2015-PS1, A1 144A 3.750%, 9/25/42(1)(5) | 2,891 | 2,893 | |
2019-IMC1, A1 144A 2.720%, 7/25/49(1)(5) | 2,759 | 2,660 | |
2015-A, A1 144A 3.500%, 6/25/58(1)(5) | 997 | 997 | |
2018-RP1, A1 144A 3.000%, 9/25/64(1)(5) | 11,680 | 11,632 | |
2019-RP1, A1 144A 3.500%, 1/25/66(1)(5) | 12,597 | 12,762 | |
COLT Mortgage Loan Trust Funding LLC | |||
2018-2, A1 144A 3.470%, 7/27/48(1)(5) | 1,331 | 1,312 |
Par Value | Value | ||
Non-Agency—continued | |||
2018-3, A1 144A 3.692%, 10/26/48(1)(5) | $1,040 | $1,029 | |
2020-1, A1 144A 2.488%, 2/25/50(1)(5) | 15,530 | 15,021 | |
Commercial Mortgage Lease-Backed Certificates 2001-CMLB, A3 144A 7.471%, 6/20/31(1)(5) | 2,881 | 2,903 | |
CoreVest American Finance Trust | |||
2017-1, A 144A 2.968%, 10/15/49(1) | 3,230 | 3,179 | |
2020-1, A1 144A 1.832%, 3/15/50(1) | 17,605 | 16,941 | |
2018-2, A 144A 4.026%, 11/15/52(1) | 6,213 | 6,281 | |
Credit Suisse First Boston Mortgage Securities Corp. | |||
2003-27, 5A3 5.250%, 11/25/33 | 464 | 459 | |
2003-AR30, 5A1 3.958%, 1/25/34(5) | 2,144 | 2,183 | |
2004-8, 7A1 6.000%, 12/25/34 | 3,417 | 3,381 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 1.685%, 5/15/36(1)(5) | 27,050 | 25,424 | |
Credit Suisse Mortgage Capital Trust | |||
2013-HYB1, A16 144A 3.100%, 4/25/43(1)(5) | 1,058 | 1,037 | |
2014-IVR2, A2 144A 3.760%, 4/25/44(1)(5) | 6,770 | 6,685 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
2018-RPL8, A1 144A 4.125%, 7/25/58(1)(5) | $1,833 | $1,684 | |
Deephaven Residential Mortgage Trust | |||
2017-1A, A1 144A 2.725%, 12/26/46(1)(5) | 1,178 | 1,151 | |
2017-1A, A2 144A 2.928%, 12/26/46(1)(5) | 299 | 292 | |
2017-2A, A1 144A 2.453%, 6/25/47(1)(5) | 1,322 | 1,284 | |
2017-2A, A2 144A 2.606%, 6/25/47(1)(5) | 597 | 580 | |
2017-3A, A3 144A 2.813%, 10/25/47(1)(5) | 1,151 | 1,151 | |
2018-2A, A1 144A 3.479%, 4/25/58(1)(5) | 10,629 | 10,378 | |
2018-3A, A1 144A 3.789%, 8/25/58(1)(5) | 1,263 | 1,237 | |
2019-1A, A1 144A 3.743%, 1/25/59(1)(5) | 2,891 | 2,816 | |
Ellington Financial Mortgage Trust | |||
2018-1, A1FX 144A 4.140%, 10/25/58(1)(5) | 5,934 | 5,862 | |
2019-2, A3 144A 3.046%, 11/25/59(1)(5) | 6,572 | 6,313 | |
Exantas Capital Corp. 2020-RSO8, A (1 month LIBOR + 1.150%) 144A 2.850%, 3/15/35(1)(5) | 12,380 | 10,673 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(1)(5) | 8,366 | 8,306 | |
2018-1, A23 144A 3.500%, 11/25/57(1)(5) | 6,070 | 6,018 | |
2018-2, A41 144A 4.500%, 10/25/58(1)(5) | 6,313 | 6,332 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-H1, A1 144A 2.657%, 10/25/59(1)(5) | $9,867 | $9,767 | |
2020-H1, A1 144A 2.310%, 1/25/60(1)(5) | 13,125 | 12,653 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(1)(5) | 11,002 | 11,266 | |
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(1) | 12,721 | 12,612 | |
GS Mortgage Securities Trust 2020-GC45, AS 3.173%, 2/13/53 | 4,075 | 3,835 | |
GSAA Home Equity Trust 2005-1, AF4 5.619%, 11/25/34(5) | 22 | 21 | |
Hilton USA Trust 2016-SFP, B 144A 3.323%, 11/5/35(1) | 22,020 | 20,979 | |
Homeward Opportunities Fund I Trust | |||
2018-1, A1 144A 3.766%, 6/25/48(1)(5) | 7,540 | 7,282 | |
2018-2, A1 144A 3.985%, 11/25/58(1)(5) | 9,625 | 9,370 | |
2019-3, A1 144A 2.675%, 11/25/59(1)(5) | 19,926 | 18,959 | |
IMC Home Equity Loan Trust 1997-5, A9 7.310%, 11/20/28 | 1,332 | 1,291 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust 2004-10, 14A1 3.885%, 1/25/35(5) | $659 | $545 | |
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust | |||
2003-AR6, A1 4.678%, 6/25/33(5) | 306 | 285 | |
2003-AR4, 2A1 3.618%, 8/25/33(5) | 60 | 56 | |
2004-CB1, 2A 5.000%, 6/25/34 | 907 | 885 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
2020-MKST, C (1 month LIBOR + 1.250%) 144A 1.955%, 12/15/36(1)(5) | 9,310 | 8,521 | |
2011-C4, A4 144A 4.388%, 7/15/46(1) | 1,595 | 1,619 | |
2015-C31, AS 4.106%, 8/15/48 | 4,670 | 4,822 | |
2015-C28, B 3.986%, 10/15/48 | 11,010 | 10,590 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, AM 144A 3.350%, 6/25/29(1)(5) | 2,730 | 2,703 | |
2014-2, 2A2 144A 3.500%, 6/25/29(1)(5) | 4,423 | 4,401 | |
2014-5, B1 144A 2.959%, 10/25/29(1)(5) | 2,117 | 1,871 | |
2014-5, B2 144A 2.959%, 10/25/29(1)(5) | 997 | 879 | |
2006-A2, 4A1 4.670%, 8/25/34(5) | 514 | 493 | |
2005-A2, 4A1 3.683%, 4/25/35(5) | 394 | 339 | |
2006-A6, 3A3L 3.845%, 10/25/36(4)(5) | 622 | 490 |
Par Value | Value | ||
Non-Agency—continued | |||
2014-1, 2A12 144A 3.500%, 1/25/44(1)(5) | $3,186 | $3,155 | |
2015-1, AM1 144A 2.970%, 12/25/44(1)(5) | 3,918 | 3,490 | |
2016-SH1, M2 144A 3.750%, 4/25/45(1)(5) | 9,944 | 9,805 | |
2015-5, A2 144A 3.053%, 5/25/45(1)(5) | 4,884 | 4,863 | |
2016-SH2, M2 144A 3.750%, 12/25/45(1)(5) | 13,167 | 12,527 | |
2017-3, 2A2 144A 2.500%, 8/25/47(1)(5) | 7,215 | 7,198 | |
2017-5, A1 144A 3.147%, 10/26/48(1)(5) | 24,244 | 23,285 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%) 144A 1.505%, 5/15/36(1)(5) | 5,740 | 5,225 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(1)(5) | 18,755 | 16,402 | |
MASTR Alternative Loan Trust | |||
2003-8, 2A1 5.750%, 11/25/33 | 2,547 | 2,609 | |
2004-4, 6A1 5.500%, 4/25/34 | 1,456 | 1,489 | |
2004-7, 9A1 6.000%, 8/25/34 | 6,758 | 6,995 | |
2005-2, 2A1 6.000%, 1/25/35 | 1,933 | 1,898 | |
2005-2, 1A1 6.500%, 3/25/35 | 4,885 | 4,834 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 2.147%, 6/25/52(1)(4)(5) | 18,395 | 18,395 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.686%, 4/25/55(1)(5) | 7,930 | 6,909 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
2019-1A, A1A 144A 3.750%, 4/25/58(1)(5) | $11,253 | $11,610 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2013-C13, AS 4.266%, 11/15/46 | 1,735 | 1,777 | |
Morgan Stanley Capital Barclays Bank Trust 2016-MART, A 144A 2.200%, 9/13/31(1) | 14,805 | 13,823 | |
Morgan Stanley Capital I Trust 2017-CLS, A (1 month LIBOR + 0.700%) 144A 1.405%, 11/15/34(1)(5) | 11,154 | 10,559 | |
Morgan Stanley Mortgage Loan Trust 2004-2AR, 3A 4.037%, 2/25/34(5) | 516 | 476 | |
Morgan Stanley Residential Mortgage Loan Trust 2014-1A, B2 144A 3.017%, 6/25/44(1)(5) | 4,044 | 3,917 | |
Motel 6 Trust 2017-MTL6, A (1 month LIBOR + 0.920%) 144A 1.625%, 8/15/34(1)(5) | 6,810 | 6,262 | |
National City Mortgage Capital Trust 2008-1, 2A1 6.000%, 3/25/38 | 654 | 619 | |
New Residential Mortgage Loan Trust | |||
2016-2A, A1 144A 3.750%, 11/26/35(1)(5) | 9,362 | 9,639 | |
2018-NQM1,A1 144A 3.986%, 11/25/48(1)(5) | 4,977 | 4,946 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-NQM1, A1 144A 3.675%, 1/25/49(1)(5) | $2,472 | $2,438 | |
2014-1A, A 144A 3.750%, 1/25/54(1)(5) | 7,683 | 7,906 | |
2014-2A, A3 144A 3.750%, 5/25/54(1)(5) | 726 | 745 | |
2014-3A, AFX3 144A 3.750%, 11/25/54(1)(5) | 6,024 | 6,229 | |
2015-2A, A1 144A 3.750%, 8/25/55(1)(5) | 7,312 | 7,534 | |
2016-1A, A1 144A 3.750%, 3/25/56(1)(5) | 4,049 | 4,167 | |
2016-3A, A1 144A 3.750%, 9/25/56(1)(5) | 4,555 | 4,682 | |
2016-4A, A1 144A 3.750%, 11/25/56(1)(5) | 5,653 | 5,814 | |
2017-2A, A3 144A 4.000%, 3/25/57(1)(5) | 15,919 | 16,532 | |
2018-1A, A1A 144A 4.000%, 12/25/57(1)(5) | 15,309 | 15,826 | |
2018-2A, A1 144A 4.500%, 2/25/58(1)(5) | 14,988 | 15,634 | |
2020-1A, A1B 144A 3.500%, 10/25/59(1)(5) | 8,361 | 8,388 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%) 2.672%, 3/25/35(5) | 1,437 | 1,416 | |
OBX Trust | |||
2018-EXP2, 1A1 144A 4.000%, 11/25/48(1)(5) | 11,188 | 11,216 | |
2019-INV1, A3 144A 4.500%, 11/25/48(1)(5) | 6,878 | 6,929 | |
2018-1, A2 (1 month LIBOR + 0.650%) 144A 1.597%, 6/25/57(1)(5) | 7,451 | 6,951 | |
2019-EXP3, 1A8 144A 3.500%, 10/25/59(1)(5) | 6,451 | 6,372 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
One Market Plaza Trust 2017-1MKT, A 144A 3.614%, 2/10/32(1) | $10,700 | $10,383 | |
Pretium Mortgage Credit Partners I LLC 2019-NPL3, A1 144A 3.105%, 7/27/59(1)(5) | 11,880 | 10,307 | |
Progress Residential Trust | |||
2017-SFR1, B 144A 3.017%, 8/17/34(1) | 4,000 | 3,902 | |
2018-SFR1, A 144A 3.255%, 3/17/35(1) | 3,146 | 3,062 | |
2018-SFR1, B 144A 3.484%, 3/17/35(1) | 2,515 | 2,442 | |
2018-SFR2, B 144A 3.841%, 8/17/35(1) | 9,350 | 9,173 | |
2019-SFR3, B 144A 2.571%, 9/17/36(1) | 10,340 | 9,346 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(1)(5) | 3,549 | 3,565 | |
PRPM LLC | |||
2019-1A, A1 144A 4.500%, 1/25/24(1)(5) | 18,931 | 19,109 | |
2019-2A, A1 144A 3.967%, 4/25/24(1)(5) | 12,362 | 11,058 | |
2019-3A, A1 144A 3.351%, 7/25/24(1)(4)(5) | 5,814 | 5,738 | |
2019-GS1, A1 144A 3.500%, 10/25/24(1)(4)(5) | 4,349 | 4,324 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(1)(5) | 17,689 | 17,571 | |
RCO V Mortgage LLC | |||
2019-1, A1 144A 3.721%, 5/24/24(1)(5) | 15,459 | 14,697 | |
2019-2, A1 144A 3.475%, 11/25/24(1)(5) | 9,097 | 8,644 | |
Residential Asset Mortgage Products Trust | |||
2004-SL2, A3 7.000%, 10/25/31 | 879 | 877 |
Par Value | Value | ||
Non-Agency—continued | |||
2004-SL1, A8 6.500%, 11/25/31 | $1,235 | $1,202 | |
Residential Asset Securitization Trust | |||
2003-A11, A9 5.750%, 11/25/33 | 1,603 | 1,648 | |
2004-A1, A5 5.500%, 4/25/34 | 6,121 | 6,266 | |
Residential Mortgage Loan Trust | |||
2020-1, A1 144A 2.376%, 2/25/24(1)(5) | 8,829 | 8,446 | |
2019-1, A1 144A 3.936%, 10/25/58(1)(5) | 4,559 | 4,447 | |
2019-2, A1 144A 2.913%, 5/25/59(1)(5) | 10,080 | 10,051 | |
RMF Proprietary Issuance Trust 2019-1, A 144A 2.750%, 10/25/63(1)(5) | 14,648 | 13,822 | |
Seasoned Credit Risk Transfer Trust 2016-1, M1 144A 3.000%, 9/25/55(1)(5) | 6,500 | 6,033 | |
Sequoia Mortgage Trust 2013-8, B1 3.518%, 6/25/43(5) | 5,582 | 5,305 | |
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(1)(5) | 11,474 | 11,074 | |
Spruce Hill Mortgage Loan Trust | |||
2019-SH1, A1 144A 3.395%, 4/29/49(1)(5) | 3,868 | 3,632 | |
2020-SH1, A1 144A 2.521%, 1/28/50(1)(5) | 7,966 | 7,389 | |
Starwood Mortgage Residential Trust | |||
2018-IMC1, A1 144A 3.793%, 3/25/48(1)(5) | 2,346 | 2,285 | |
2019-IMC1, A1 144A 3.468%, 2/25/49(1)(5) | 18,830 | 18,737 | |
2020-1, A1 144A 2.275%, 2/25/50(1)(5) | 7,110 | 6,820 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
Starwood Waypoint Homes Trust 2017-1, A (1 month LIBOR + 0.950%) 144A 1.655%, 1/17/35(1)(5) | $12,805 | $11,731 | |
Structured Adjustable Rate Mortgage Loan Trust 2004-14, 7A 3.924%, 10/25/34(5) | 4,118 | 3,790 | |
Structured Asset Securities Corp. Mortgage-Pass-Through Certificates 2003-34A, 6A 4.150%, 11/25/33(5) | 1,294 | 1,113 | |
Sutherland Commercial Mortgage Loans 2017-SBC6, A 144A 3.192%, 5/25/37(1)(5) | 2,616 | 2,426 | |
Thornburg Mortgage Securities Trust 2004-2, A1 (1 month LIBOR + 0.620%) 1.567%, 6/25/44(5) | 3,052 | 2,679 | |
Towd Point Mortgage Trust | |||
2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 1.847%, 4/25/48(1)(5) | 19,184 | 18,609 | |
2015-1, A2 144A 3.250%, 10/25/53(1)(5) | 11,184 | 11,001 | |
2015-3, A1B 144A 3.000%, 3/25/54(1)(5) | 1,248 | 1,244 | |
2015-6, M1 144A 3.750%, 4/25/55(1)(5) | 11,010 | 10,497 | |
2015-5, A2 144A 3.500%, 5/25/55(1)(5) | 3,901 | 3,802 |
Par Value | Value | ||
Non-Agency—continued | |||
2017-1, M1 144A 3.750%, 10/25/56(1)(5) | $3,665 | $3,436 | |
2017-6, A2 144A 3.000%, 10/25/57(1)(5) | 7,235 | 6,631 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(1)(5) | 4,965 | 4,976 | |
2015-2, 1M1 144A 3.250%, 11/25/60(1)(5) | 8,448 | 7,854 | |
Tricon American Homes Trust | |||
2016-SFR1, C 144A 3.487%, 11/17/33(1) | 4,640 | 4,535 | |
2017-SFR1, A 144A 2.716%, 9/17/34(1) | 6,568 | 6,454 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(1) | 7,960 | 6,339 | |
UBS Commercial Mortgage Trust 2012-C1, D 144A 5.572%, 5/10/45(1)(5) | 7,206 | 6,709 | |
VCAT LLC 2019-NPL2, A1 144A 3.573%, 11/25/49(1)(5) | 12,171 | 12,007 | |
Velocity Commercial Capital Loan Trust | |||
2017-1, AFX 144A 3.000%, 5/25/47(1)(5) | 789 | 778 | |
2020-1, AFX 144A 2.610%, 2/25/50(1)(5) | 13,284 | 13,344 | |
Vericrest Opportunity Loan Trust | |||
2019-NPL2, A1 144A 3.967%, 2/25/49(1)(5) | 9,848 | 8,717 | |
2020-NPL2, A1A 144A 2.981%, 2/25/50(1)(5) | 14,701 | 12,669 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
Vericrest Opportunity Loan Trust LXXXIII LLC 2019-NPL9, A1A 144A 3.327%, 11/26/49(1)(5) | $6,702 | $5,929 | |
Vericrest Opportunity Loan Trust LXXXV LLC 2020-NPL1, A1A 144A 3.228%, 1/25/50(1)(5) | 8,442 | 7,437 | |
Verus Securitization Trust | |||
2017-1A, A1 144A 2.853%, 1/25/47(1)(5) | 1,463 | 1,428 | |
2017-2A, A1 144A 2.485%, 7/25/47(1)(5) | 5,082 | 4,928 | |
2018-1, A1 144A 2.929%, 2/25/48(1)(5) | 6,713 | 6,375 | |
2018-INV1, A3 144A 4.052%, 3/25/58(1)(5) | 2,471 | 2,363 | |
2018-2, A1 144A 3.677%, 6/1/58(1)(5) | 12,189 | 11,852 | |
2018-2, B1 144A 4.426%, 6/1/58(1)(5) | 4,975 | 4,449 | |
2018-3, A1 144A 4.108%, 10/25/58(1)(5) | 9,358 | 9,176 | |
2019-2, A1 144A 3.211%, 5/25/59(1)(5) | 11,344 | 11,107 | |
2019-INV2, A1 144A 2.913%, 7/25/59(1)(5) | 6,541 | 6,343 | |
2019-INV1, A1 144A 3.402%, 12/25/59(1)(5) | 12,214 | 11,700 | |
2020-1, A1 144A 2.417%, 1/25/60(1)(5) | 13,691 | 13,141 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 14,340 | 14,561 |
Par Value | Value | ||
Non-Agency—continued | |||
Wells Fargo Mortgage Backed Securities Trust 2004-U, A1 4.582%, 10/25/34(5) | $349 | $348 | |
1,455,226 | |||
Total Mortgage-Backed Securities (Identified Cost $1,627,659) | 1,568,438 | ||
Asset-Backed Securities—23.0% | |||
Auto Floor Plan—0.3% | |||
NextGear Floorplan Master Owner Trust | |||
2017-2A, A2 144A 2.560%, 10/17/22(1) | 12,410 | 11,967 | |
2018-1A, A2 144A 3.220%, 2/15/23(1) | 4,420 | 4,395 | |
16,362 | |||
Automobiles—11.8% | |||
ACC Trust | |||
2018-1, B 144A 4.820%, 5/20/21(1) | 6,382 | 6,382 | |
2019-1, A 144A 3.750%, 5/20/22(1) | 7,978 | 7,965 | |
2019-1, B 144A 4.470%, 10/20/22(1) | 3,355 | 3,359 | |
2019-2, A 144A 2.820%, 2/21/23(1) | 3,165 | 3,154 | |
2019-2, B 144A 3.630%, 8/21/23(1) | 6,000 | 5,933 |
Table of Contents
Par Value | Value | ||
Automobiles—continued | |||
American Credit Acceptance Receivables Trust | |||
2018-1, C 144A 3.550%, 4/10/24(1) | $4,367 | $4,359 | |
2018-3, C 144A 3.750%, 10/15/24(1) | 6,295 | 6,262 | |
2018-4, C 144A 3.970%, 1/13/25(1) | 2,400 | 2,313 | |
2019-1, C 144A 3.500%, 4/14/25(1) | 8,800 | 8,605 | |
2019-2, C 144A 3.170%, 6/12/25(1) | 12,600 | 11,720 | |
AmeriCredit Automobile Receivables Trust | |||
2017-1, C 2.710%, 8/18/22 | 5,000 | 4,965 | |
2018-1, D 3.820%, 3/18/24 | 8,090 | 7,841 | |
2019-1, C 3.360%, 2/18/25 | 8,800 | 8,853 | |
Avid Automobile Receivables Trust | |||
2018-1, A 144A 2.840%, 8/15/23(1) | 697 | 693 | |
2018-1, B 144A 3.850%, 7/15/24(1) | 4,000 | 3,973 | |
2019-1, C 144A 3.140%, 7/15/26(1) | 3,180 | 3,041 | |
Avis Budget Rental Car Funding LLC | |||
(AESOP) 2017-1A, A 144A 3.070%, 9/20/23(1) | 2,260 | 2,122 |
Par Value | Value | ||
Automobiles—continued | |||
(AESOP) 2020-1A, A 144A 2.330%, 8/20/26(1) | $8,025 | $7,065 | |
2019-3A, A 144A 2.360%, 3/20/26(1) | 8,205 | 7,186 | |
California Republic Auto Receivables Trust | |||
2016-1, B 3.430%, 2/15/22 | 4,615 | 4,615 | |
2017-1, B 2.910%, 12/15/22 | 7,000 | 6,982 | |
Capital Auto Receivables Asset Trust | |||
2017-1, C 144A 2.700%, 9/20/22(1) | 3,630 | 3,584 | |
2017-1, D 144A 3.150%, 2/20/25(1) | 1,980 | 1,954 | |
Carnow Auto Receivables Trust 2019-1A, D 144A 4.620%, 12/16/24(1) | 4,140 | 4,015 | |
Carvana Auto Receivables Trust | |||
2019-1A, D 144A 3.880%, 10/15/24(1) | 6,620 | 6,444 | |
2019-2A, D 144A 3.280%, 1/15/25(1) | 4,220 | 3,971 | |
2019-3A, C 144A 2.710%, 10/15/24(1) | 6,990 | 6,705 | |
2019-3A, D 144A 3.040%, 4/15/25(1)(4) | 1,840 | 1,558 | |
2020-N1A, D 144A 3.430%, 1/15/26(1) | 2,730 | 2,651 |
Table of Contents
Par Value | Value | ||
Automobiles—continued | |||
Centre Point Funding LLC 2012-2A, 1 144A 2.610%, 8/20/21(1) | $241 | $239 | |
CPS Auto Receivables Trust | |||
2018-C, D 144A 4.400%, 6/17/24(1) | 1,440 | 1,439 | |
2020-A, C 144A 2.540%, 12/15/25(1) | 4,200 | 4,144 | |
Credit Acceptance Auto Loan Trust | |||
2018-1A, A 144A 3.010%, 2/16/27(1) | 8,874 | 8,875 | |
2018-2A, B 144A 3.940%, 7/15/27(1) | 5,500 | 5,402 | |
2019-3A, B 144A 2.860%, 1/16/29(1) | 3,820 | 3,673 | |
2020-1A, B 144A 2.390%, 4/16/29(1) | 4,650 | 4,110 | |
Drive Auto Receivables Trust | |||
2.900%, 8/15/25 | 8,240 | 8,023 | |
2018-4, D 4.090%, 1/15/26 | 13,505 | 13,528 | |
2019-4, C 2.510%, 11/17/25 | 6,410 | 6,175 | |
DT Auto Owner Trust | |||
2017-1A, D 144A 3.550%, 11/15/22(1) | 5,616 | 5,601 | |
2018-1A, C 144A 3.470%, 12/15/23(1) | 6,102 | 6,081 | |
2018-3A, C 144A 3.790%, 7/15/24(1) | 8,910 | 8,753 | |
2019-1A, C 144A 3.610%, 11/15/24(1) | 3,900 | 3,876 |
Par Value | Value | ||
Automobiles—continued | |||
2019-2A, B 144A 2.990%, 4/17/23(1) | $2,840 | $2,811 | |
2019-2A, C 144A 3.180%, 2/18/25(1) | 3,655 | 3,608 | |
2019-4A, C 144A 2.730%, 7/15/25(1) | 13,370 | 13,060 | |
Exeter Automobile Receivables Trust | |||
2017-3A, B 144A 2.810%, 9/15/22(1) | 9,322 | 9,249 | |
2018-1A, C 144A 3.030%, 1/17/23(1) | 9,468 | 9,435 | |
2018-2A, C 144A 3.690%, 3/15/23(1) | 6,995 | 6,993 | |
2018-3A, C 144A 3.710%, 6/15/23(1) | 7,970 | 7,960 | |
2018-4A, D 144A 4.350%, 9/16/24(1) | 7,335 | 6,717 | |
2019-1A, D 144A 4.130%, 12/16/24(1) | 10,200 | 9,207 | |
2019-2A, C 144A 3.300%, 3/15/24(1) | 6,775 | 6,287 | |
2019-3A, C 144A 2.790%, 5/15/24(1) | 4,580 | 4,464 | |
2019-4A, C 144A 2.440%, 9/16/24(1) | 5,020 | 4,856 | |
2020-1A, D 144A 2.730%, 12/15/25(1) | 8,775 | 7,113 | |
First Investors Auto Owner Trust | |||
2017-1A, D 144A 3.600%, 4/17/23(1) | 2,057 | 2,050 |
Table of Contents
Par Value | Value | ||
Automobiles—continued | |||
2017-2A, B 144A 2.650%, 11/15/22(1) | $2,160 | $2,146 | |
2019-1A, C 144A 3.260%, 3/17/25(1) | 4,690 | 4,511 | |
Flagship Credit Auto Trust | |||
2015-2, C 144A 4.080%, 12/15/21(1) | 2,689 | 2,657 | |
2016-2, B 144A 3.840%, 9/15/22(1) | 1,246 | 1,245 | |
2016-3, D 144A 3.890%, 11/15/22(1) | 4,990 | 4,989 | |
2017-1, C 144A 3.220%, 5/15/23(1) | 7,500 | 7,471 | |
2017-3, C 144A 2.910%, 9/15/23(1) | 6,980 | 6,879 | |
2019-1, C 144A 3.600%, 2/18/25(1) | 3,160 | 3,131 | |
2019-2, C 144A 3.090%, 5/15/25(1) | 2,360 | 2,308 | |
2020-1, C 144A 2.240%, 1/15/26(1) | 12,300 | 11,464 | |
Foursight Capital Automobile Receivables Trust | |||
2017-1, B 144A 3.050%, 12/15/22(1) | 8,965 | 8,914 | |
2017-1, C 144A 3.470%, 12/15/22(1) | 4,458 | 4,432 | |
2018-1, C 144A 3.680%, 8/15/23(1) | 1,685 | 1,669 | |
2018-1, D 144A 4.190%, 11/15/23(1) | 1,630 | 1,626 |
Par Value | Value | ||
Automobiles—continued | |||
2018-2, D 144A 4.330%, 7/15/24(1) | $4,650 | $4,594 | |
GLS Auto Receivables Issuer Trust | |||
2019-2A, B 144A 3.320%, 3/15/24(1) | 8,380 | 7,831 | |
2019-3A, B 144A 2.720%, 6/17/24(1) | 3,495 | 3,447 | |
2019-4A, B 144A 2.780%, 9/16/24(1) | 8,600 | 8,296 | |
2019-4A, C 144A 3.060%, 8/15/25(1) | 11,530 | 10,996 | |
GLS Auto Receivables Trust | |||
2017-1A, C 144A 3.500%, 7/15/22(1) | 11,090 | 11,024 | |
2018-1A, A 144A 2.820%, 7/15/22(1) | 642 | 639 | |
2018-1A, B 144A 3.520%, 8/15/23(1) | 14,475 | 13,695 | |
2018-3A, B 144A 3.780%, 8/15/23(1) | 2,500 | 2,450 | |
Hertz Vehicle Financing II LP | |||
2015-3A, A 144A 2.670%, 9/25/21(1) | 27,702 | 27,392 | |
2016-4A, A 144A 2.650%, 7/25/22(1) | 12,335 | 11,937 | |
2019-1A, A 144A 3.710%, 3/25/23(1) | 12,000 | 11,647 | |
Hyundai Auto Receivables Trust 2017-B, B 2.230%, 2/15/23 | 3,560 | 3,588 |
Table of Contents
Par Value | Value | ||
Automobiles—continued | |||
OneMain Direct Auto Receivables Trust | |||
2017-2A, C 144A 2.820%, 7/15/24(1) | $6,220 | $6,188 | |
2018-1A, C 144A 3.850%, 10/14/25(1) | 11,840 | 11,711 | |
Prestige Auto Receivables Trust | |||
2017-1A, C 144A 2.810%, 1/17/23(1) | 8,355 | 8,278 | |
2018-1A, D 144A 4.140%, 10/15/24(1) | 3,785 | 3,744 | |
2019-1A, D 144A 3.010%, 8/15/25(1)(4) | 7,060 | 7,176 | |
Santander Drive Auto Receivables Trust | |||
2017-2, C 2.790%, 8/15/22 | 1,244 | 1,228 | |
2017-3, C 2.760%, 12/15/22 | 3,421 | 3,383 | |
2018-2, C 3.350%, 7/17/23 | 12,425 | 12,367 | |
Skopos Auto Receivables Trust | |||
2018-1A, B 144A 3.930%, 5/16/22(1) | 1,363 | 1,342 | |
2019-1A, C 144A 3.630%, 9/16/24(1) | 3,695 | 2,966 | |
TCF Auto Receivables Owner Trust 2016-PT1A, C 144A 3.210%, 1/17/23(1) | 10,900 | 10,820 | |
Tesla Auto Lease Trust | |||
2018-A, D 144A 3.300%, 5/20/20(1) | 612 | 609 | |
2018-B, B 144A 4.120%, 10/20/21(1) | 2,410 | 2,371 |
Par Value | Value | ||
Automobiles—continued | |||
2018-B, C 144A 4.360%, 10/20/21(1) | $3,250 | $3,182 | |
Tidewater Auto Receivables Trust | |||
2018-AA, B 144A 3.450%, 11/15/24(1) | 3,165 | 3,154 | |
2020-AA, C 144A 1.910%, 9/15/26(1) | 10,470 | 9,731 | |
Tricolor Auto Securitization Trust 2018-2A, B 144A 4.760%, 2/15/22(1) | 2,509 | 2,497 | |
United Auto Credit Securitization Trust | |||
2019-1, D 144A 3.470%, 8/12/24(1) | 15,480 | 14,224 | |
2019-1, E 144A 4.290%, 8/12/24(1) | 1,605 | 1,206 | |
US Auto Funding LLC 2019-1A, B 144A 3.990%, 12/15/22(1) | 9,370 | 8,627 | |
Veros Automobile Receivables Trust | |||
2018-1, B 144A 4.050%, 2/15/24(1) | 3,945 | 3,936 | |
2020-1, B 144A 2.190%, 6/16/25(1) | 13,745 | 13,225 | |
Westlake Automobile Receivables Trust | |||
2017-2A, C 144A 2.590%, 12/15/22(1) | 5,391 | 5,383 | |
2018-2A, D 144A 4.000%, 1/16/24(1) | 10,000 | 10,032 | |
2018-3A, C 144A 3.610%, 10/16/23(1) | 1,350 | 1,346 |
Table of Contents
Par Value | Value | ||
Automobiles—continued | |||
2018-3A, D 144A 4.000%, 10/16/23(1) | $10,900 | $10,889 | |
662,592 | |||
Consumer Loans—0.4% | |||
Consumer Loan Underlying Bond CLUB Credit Trust 2019-P2, B 144A 2.830%, 10/15/26(1) | 5,250 | 3,930 | |
Lendmark Funding Trust 2019-2A, A 144A 2.780%, 4/20/28(1) | 8,000 | 6,959 | |
Marlette Funding Trust 2019-4A, A 144A 2.390%, 12/17/29(1) | 6,108 | 5,890 | |
Prosper Marketplace Issuance Trust Series 2019-4A, A 144A 2.480%, 2/17/26(1) | 4,959 | 4,711 | |
Upstart Securitization Trust 2019-3, A 144A 2.684%, 1/21/30(1) | 2,907 | 2,887 | |
24,377 | |||
Credit Card—0.5% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(1) | 25,795 | 23,741 | |
Genesis Sales Finance Master Trust 2019-AA, A 144A 4.680%, 8/20/23(1) | 4,600 | 4,106 | |
27,847 | |||
Equipment—0.3% | |||
BCC Funding Corp. XVI LLC 2019-1A, B 144A 2.640%, 9/20/24(1) | 8,410 | 8,096 |
Par Value | Value | ||
Equipment—continued | |||
NMEF Funding LLC 2019-A, B 144A 3.060%, 8/17/26(1) | $5,620 | $5,501 | |
Pawnee Equipment Receivables Series LLC 2019-1, B 144A 2.520%, 10/15/24(1) | 3,635 | 3,542 | |
17,139 | |||
Other—9.4% | |||
Amur Equipment Finance Receivables V LLC 2018-1A, A2 144A 3.240%, 12/20/23(1) | 4,844 | 4,837 | |
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(1) | 7,115 | 7,105 | |
2019-A, A 144A 3.140%, 7/16/40(1) | 5,494 | 5,472 | |
2019-A, C 144A 4.010%, 7/16/40(1) | 8,680 | 8,628 | |
Avant Loans Funding Trust 2019-A, A 144A 3.480%, 7/15/22(1) | 2,319 | 2,256 | |
BCC Funding Corp. XVI LLC 2019-1A, D 144A 3.940%, 7/20/27(1) | 3,900 | 3,783 | |
BRE Grand Islander Timeshare Issuer LLC | |||
2017-1A, A 144A 2.940%, 5/25/29(1) | 4,799 | 4,687 | |
2019-A, A 144A 3.280%, 9/26/33(1) | 6,877 | 6,791 |
Table of Contents
Par Value | Value | ||
Other—continued | |||
Business Jet Securities LLC 2019-1, A 144A 4.212%, 7/15/34(1) | $13,939 | $10,315 | |
BXG Receivables Note Trust | |||
2012-A, A 144A 2.660%, 12/2/27(1) | 643 | 630 | |
2013-A, A 144A 3.010%, 12/4/28(1) | 2,007 | 1,944 | |
2015-A, A 144A 2.880%, 5/2/30(1) | 2,001 | 1,978 | |
2017-A, A 144A 2.950%, 10/4/32(1) | 4,949 | 4,821 | |
CCG Receivables Trust | |||
2019-1, B 144A 3.220%, 9/14/26(1) | 1,970 | 1,968 | |
2019-2, B 144A 2.550%, 3/15/27(1) | 5,405 | 5,294 | |
Conn’s Receivables Funding LLC 2018-A, B 144A 4.650%, 1/15/23(1) | 1,116 | 1,069 | |
Consumer Loan Underlying Bond CLUB Credit Trust 2019-P2, A 144A 2.470%, 10/15/26(1) | 4,656 | 4,386 | |
Consumer Loan Underlying Bond Credit Trust 2018-P2, A 144A 3.470%, 10/15/25(1) | 1,679 | 1,656 | |
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(1) | 7,150 | 6,879 |
Par Value | Value | ||
Other—continued | |||
Diamond Resorts Owner Trust | |||
2017-1A, A 144A 3.270%, 10/22/29(1) | $6,574 | $6,498 | |
2018-1, B 144A 4.190%, 1/21/31(1) | 3,438 | 3,418 | |
2019-1A, B 144A 3.530%, 2/20/32(1) | 6,634 | 6,303 | |
Drug Royalty III LP 1 | |||
2016-1A, A 144A 3.979%, 4/15/27(1)(4) | 847 | 846 | |
2017-1A, A1 (3 month LIBOR + 2.500%) 144A 4.331%, 4/15/27(1)(5) | 1,418 | 1,408 | |
Foundation Finance Trust | |||
2016-1A, A 144A 3.960%, 6/15/35(1) | 548 | 550 | |
2017-1A, A 144A 3.300%, 7/15/33(1) | 4,805 | 4,795 | |
2019-1A, A 144A 3.860%, 11/15/34(1) | 5,202 | 4,974 | |
FREED ABS Trust | |||
2018-2, B 144A 4.610%, 10/20/25(1) | 13,500 | 12,580 | |
2019-1, B 144A 3.870%, 6/18/26(1) | 4,030 | 3,470 | |
2019-2, B 144A 3.190%, 11/18/26(1) | 7,320 | 6,385 |
Table of Contents
Par Value | Value | ||
Other—continued | |||
Gold Key Resorts LLC 2014-A, A 144A 3.220%, 3/17/31(1) | $1,775 | $1,774 | |
Hardee’s Funding LLC 2018-1A, A2I 144A 4.250%, 6/20/48(1) | 20,483 | 19,659 | |
Hilton Grand Vacations Trust | |||
2014-AA, A 144A 1.770%, 11/25/26(1) | 2,232 | 2,214 | |
2017-AA, A 144A 2.660%, 12/26/28(1) | 2,898 | 2,845 | |
2018-AA, A 144A 3.540%, 2/25/32(1) | 5,010 | 4,994 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(1) | 15,230 | 13,495 | |
Kabbage Funding LLC 2019-1, A 144A 3.825%, 3/15/24(1) | 20,630 | 20,063 | |
Lendmark Funding Trust | |||
2018-2A, A 144A 4.230%, 4/20/27(1) | 8,445 | 7,902 | |
2019-1A, A 144A 3.000%, 12/20/27(1) | 8,835 | 7,958 | |
Mariner Finance Issuance Trust | |||
2018-AA, A 144A 4.200%, 11/20/30(1) | 10,000 | 9,348 | |
2019-AA, A 144A 2.960%, 7/20/32(1)(4) | 7,255 | 6,113 | |
Marlette Funding Trust | |||
2018-3A, A 144A 3.200%, 9/15/28(1) | 1,020 | 1,013 |
Par Value | Value | ||
Other—continued | |||
2019-2A, A 144A 3.130%, 7/16/29(1) | $4,647 | $4,460 | |
MVW LLC 2019-2A, A 144A 2.220%, 10/20/38(1) | 1,504 | 1,380 | |
MVW Owner Trust | |||
2015-1A, B 144A 2.960%, 12/20/32(1) | 388 | 382 | |
2016-1A, A 144A 2.250%, 12/20/33(1) | 1,825 | 1,778 | |
2017-1A, A 144A 2.420%, 12/20/34(1) | 1,635 | 1,592 | |
2019-1A, A 144A 2.890%, 11/20/36(1) | 6,931 | 6,471 | |
NMEF Funding 2019-A, C 144A 3.300%, 8/17/26(1) | 9,145 | 8,924 | |
Oasis LLC 2020-1A, A 144A 3.820%, 1/15/32(1) | 8,825 | 8,772 | |
Octane Receivables Trust 2019-1A, A 144A 3.160%, 9/20/23(1) | 13,400 | 13,317 | |
OneMain Financial Issuance Trust | |||
2017-1A, A1 144A 2.370%, 9/14/32(1) | 3,367 | 3,308 | |
2018-1A, A 144A 3.300%, 3/14/29(1) | 22,200 | 22,133 | |
Oportun Funding IX LLC 2018-B, A 144A 3.910%, 7/8/24(1) | 8,455 | 7,956 |
Table of Contents
Par Value | Value | ||
Other—continued | |||
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(1) | $8,745 | $8,268 | |
Orange Lake Timeshare Trust | |||
2014-AA, A 144A 2.290%, 7/9/29(1) | 723 | 718 | |
2015-AA, A 144A 2.880%, 9/8/27(1) | 1,908 | 1,887 | |
2018-A, A 144A 3.100%, 11/8/30(1) | 3,286 | 3,223 | |
2019-A, B 144A 3.360%, 4/9/38(1) | 9,960 | 9,735 | |
Prosper Marketplace Issuance Trust | |||
2018-2A, B 144A 3.960%, 10/15/24(1) | 17,400 | 16,888 | |
2019-3A, A 144A 3.190%, 7/15/25(1) | 3,864 | 3,709 | |
Regional Management Issuance Trust 2018-2, A 144A 4.560%, 1/18/28(1)(4) | 3,100 | 2,872 | |
Sierra Timeshare Conduit Receivables Funding LLC 2017-1A, A 144A 2.910%, 3/20/34(1) | 2,436 | 2,403 | |
Sierra Timeshare Receivables Funding LLC | |||
2016-1A, A 144A 3.080%, 3/21/33(1) | 1,382 | 1,374 |
Par Value | Value | ||
Other—continued | |||
2016-2A, A 144A 2.330%, 7/20/33(1) | $1,317 | $1,299 | |
2018-2A, A 144A 3.500%, 6/20/35(1) | 3,183 | 3,069 | |
2019-1A, B 144A 3.420%, 1/20/36(1) | 3,043 | 3,014 | |
2019-2A, B 144A 2.820%, 5/20/36(1) | 11,063 | 10,862 | |
Small Business Lending Trust | |||
2019-A, A 144A 2.850%, 7/15/26(1) | 1,567 | 1,547 | |
2020-A, A 144A 2.620%, 12/15/26(1)(4) | 4,087 | 4,048 | |
SoFi Consumer Loan Program LLC | |||
2016-3, A 144A 3.050%, 12/26/25(1) | 1,559 | 1,544 | |
2017-1, A 144A 3.280%, 1/26/26(1) | 2,805 | 2,755 | |
2017-3, A 144A 2.770%, 5/25/26(1) | 2,856 | 2,831 | |
2017-5, A2 144A 2.780%, 9/25/26(1) | 8,415 | 7,959 | |
2017-6, A2 144A 2.820%, 11/25/26(1) | 7,156 | 6,983 | |
SoFi Consumer Loan Program Trust | |||
2018-2, A2 144A 3.350%, 4/26/27(1) | 15,350 | 15,208 |
Table of Contents
Par Value | Value | ||
Other—continued | |||
2019-3, A 144A 2.900%, 5/25/28(1) | $4,105 | $3,977 | |
Springleaf Funding Trust 2016-AA, A 144A 2.900%, 11/15/29(1) | 1,174 | 1,164 | |
Taco Bell Funding LLC 2016-1A, A23 144A 4.970%, 5/25/46(1) | 7,080 | 6,771 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(1) | 17,779 | 16,551 | |
TRIP Rail Master Funding LLC 2017-1A, A1 144A 2.709%, 8/15/47(1) | 4,609 | 4,559 | |
Upgrade Master Pass-Thru Trust Series 2019-ST3, A 144A 3.750%, 11/15/25(1)(4) | 6,244 | 5,226 | |
Upgrade Receivables Trust 2019-1A, A 144A 3.480%, 3/15/25(1) | 1,239 | 1,228 | |
Upstart Pass-Through Trust 2020-ST1, A 144A 3.750%, 2/20/28(1)(4) | 7,666 | 6,245 | |
Upstart Securitization Trust | |||
2019-1, A 144A 3.450%, 4/20/26(1) | 224 | 223 | |
2019-1, B 144A 4.190%, 4/20/26(1) | 9,380 | 8,777 | |
2019-2, A 144A 2.897%, 9/20/29(1) | 5,940 | 5,502 | |
2019-2, B 144A 3.734%, 9/20/29(1) | 7,487 | 5,983 |
Par Value | Value | ||
Other—continued | |||
Volvo Financial Equipment LLC 2017-1A, B 144A 2.400%, 1/18/22(1) | $3,600 | $3,584 | |
VSE VOI Mortgage LLC | |||
2016-A, A 144A 2.540%, 7/20/33(1) | 2,484 | 2,436 | |
2017-A, A 144A 2.330%, 3/20/35(1) | 4,883 | 4,736 | |
Welk Resorts LLC | |||
2013-AA, A 144A 3.100%, 3/15/29(1) | 694 | 693 | |
2015-AA, A 144A 2.790%, 6/16/31(1) | 1,636 | 1,619 | |
2019-AA, B 144A 2.990%, 6/15/38(1) | 5,939 | 5,772 | |
Wendy’s Funding LLC 2018-1A, A2I 144A 3.573%, 3/15/48(1) | 9,262 | 8,453 | |
Westgate Resorts LLC | |||
2016-1A, A 144A 3.500%, 12/20/28(1) | 2,149 | 2,138 | |
2018-1A, A 144A 3.380%, 12/20/31(1) | 3,618 | 3,596 | |
525,006 | |||
Student Loan—0.3% | |||
Commonbond Student Loan Trust 2019-AGS, A1 144A 2.540%, 1/25/47(1) | 12,035 | 12,166 | |
Earnest Student Loan Program LLC 2017-A, A2 144A 2.650%, 1/25/41(1) | 1,931 | 1,924 |
Table of Contents
Par Value | Value | ||
Student Loan—continued | |||
Navient Private Education Loan Trust 2017-A, A2A 144A 2.880%, 12/16/58(1) | $2,898 | $2,918 | |
17,008 | |||
Unknown SOI_Bloomberg ABS Collateral Type—0.0% | |||
Towd Point Mortgage Trust 2019-MH1, A1 144A 3.000%, 11/25/58(1)(5) | 2,487 | 2,501 | |
Total Asset-Backed Securities (Identified Cost $1,346,820) | 1,292,832 | ||
Corporate Bonds and Notes—28.9% | |||
Communication Services—2.1% | |||
Altice France S.A. 144A 7.375%, 5/1/26(1) | 6,355 | 6,419 | |
AT&T, Inc. (3 month LIBOR + 0.890%) 2.594%, 2/15/23(5) | 8,918 | 8,416 | |
Clear Channel Worldwide Holdings, Inc. | |||
144A 9.250%, 2/15/24(1) | 3,690 | 3,173 | |
144A 5.125%, 8/15/27(1) | 3,265 | 3,057 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(1) | 4,545 | 3,693 | |
144A 6.625%, 8/15/27(1) | 4,370 | 2,922 | |
DISH DBS Corp. | |||
5.875%, 7/15/22 | 6,245 | 6,082 | |
5.000%, 3/15/23 | 6,445 | 6,188 | |
Front Range BidCo, Inc. 144A 4.000%, 3/1/27(1) | 350 | 335 |
Par Value | Value | ||
Communication Services—continued | |||
Frontier Communications Corp. | |||
8.500%, 4/15/20 | $3,200 | $848 | |
8.875%, 9/15/20(6) | 3,380 | 811 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 213 | 181 | |
Live Nation Entertainment, Inc. 144A 4.750%, 10/15/27(1) | 2,795 | 2,502 | |
Sirius XM Radio, Inc. 144A 4.625%, 7/15/24(1) | 3,565 | 3,618 | |
Sprint Corp. 7.875%, 9/15/23 | 11,690 | 12,887 | |
Sprint Spectrum Co. LLC | |||
144A 3.360%, 9/20/21(1) | 7,481 | 7,444 | |
144A 4.738%, 3/20/25(1) | 8,210 | 8,374 | |
Tencent Holdings Ltd. | |||
144A 2.985%, 1/19/23(1) | 7,050 | 7,189 | |
144A 3.280%, 4/11/24(1) | 18,933 | 19,606 | |
Verizon Communications, Inc. (3 month LIBOR + 1.100%) 2.792%, 5/15/25(5) | 16,061 | 14,640 | |
118,385 | |||
Consumer Discretionary—1.3% | |||
American Axle & Manufacturing, Inc. 6.250%, 4/1/25 | 6,440 | 5,313 | |
Aptiv Corp. 4.150%, 3/15/24 | 17,960 | 17,563 | |
Boyd Gaming Corp. 6.375%, 4/1/26 | 6,635 | 5,739 |
Table of Contents
Par Value | Value | ||
Consumer Discretionary—continued | |||
General Motors Financial Co., Inc. | |||
4.200%, 3/1/21 | $7,300 | $7,026 | |
3.550%, 4/9/21 | 2,847 | 2,728 | |
International Game Technology plc 144A 6.250%, 2/15/22(1) | 5,190 | 4,772 | |
MGM Growth Properties Operating Partnership LP 5.750%, 2/1/27 | 6,370 | 5,542 | |
QVC, Inc. 4.750%, 2/15/27 | 6,775 | 5,997 | |
Scientific Games International, Inc. | |||
144A 5.000%, 10/15/25(1) | 7,150 | 6,220 | |
144A 8.250%, 3/15/26(1) | 5,935 | 3,799 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 10,130 | 9,411 | |
74,110 | |||
Consumer Staples—0.7% | |||
Albertson’s Cos. LLC 5.750%, 3/15/25 | 6,390 | 6,382 | |
BAT CAPITAL Corp. 4.700% | 11,000 | 11,218 | |
Campbell Soup Co. 3.650%, 3/15/23 | 3,249 | 3,309 | |
Conagra Brands, Inc. 4.300%, 5/1/24 | 17,135 | 17,791 | |
38,700 | |||
Energy—3.2% | |||
Afren plc 144A 11.500%, 2/1/16(1)(2)(4) | 4,674 | 4 | |
Blue Racer Midstream LLC 144A 6.125%, 11/15/22(1) | 6,070 | 4,552 |
Par Value | Value | ||
Energy—continued | |||
Boardwalk Pipelines LP 4.950%, 12/15/24 | $12,645 | $10,241 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 4,327 | 768 | |
Cheniere Energy Partners LP 5.625%, 10/1/26 | 14,860 | 13,820 | |
CITGO Holding, Inc. 144A 9.250%, 8/1/24(1) | 780 | 636 | |
CITGO Petroleum Corp. Senior Secured Notes 144A 6.250%, 8/15/22(1) | 6,973 | 6,450 | |
CNOOC Finance 2013 Ltd. 3.000%, 5/9/23 | 6,930 | 7,066 | |
CNOOC Finance Property Ltd. 2.625%, 5/5/20 | 5,800 | 5,802 | |
Ecopetrol S.A. 5.875%, 9/18/23 | 6,795 | 6,642 | |
Energy Transfer Partners LP | |||
5.000%, 10/1/22 | 4,794 | 4,365 | |
4.500%, 11/1/23 | 10,760 | 9,747 | |
Kinder Morgan, Inc. 144A 5.625%, 11/15/23(1) | 20,300 | 21,208 | |
Lukoil International Finance BV 144A 4.563%, 4/24/23(1) | 6,700 | 6,774 | |
MPLX LP 3.375%, 3/15/23 | 15,635 | 14,455 | |
Ovintiv, Inc. 3.900%, 11/15/21 | 7,960 | 5,458 | |
Pertamina Persero PT 144A 4.300%, 5/20/23(1) | 6,000 | 5,970 | |
Petrobras Global Finance B.V. 5.299%, 1/27/25 | 16,620 | 15,831 |
Table of Contents
Par Value | Value | ||
Energy—continued | |||
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(2) | $9,545 | $573 | |
Petroleos Mexicanos 4.625%, 9/21/23 | 14,225 | 11,490 | |
Sabine Pass Liquefaction LLC | |||
5.625%, 2/1/21 | 8,000 | 7,870 | |
6.250%, 3/15/22 | 11,580 | 11,232 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(1) | 3,303 | 2,642 | |
Transocean, Inc. 144A 8.000%, 2/1/27(1) | 1,440 | 684 | |
USA Compression Partners LP 6.875%, 4/1/26 | 12,830 | 8,019 | |
182,299 | |||
Financials—10.4% | |||
AerCap Ireland Capital DAC 3.950%, 2/1/22 | 6,835 | 5,954 | |
Ares Capital Corp. | |||
3.250% | 5,975 | 4,743 | |
3.500%, 2/10/23 | 7,365 | 6,534 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(1) | 14,195 | 14,246 | |
Aviation Capital Group LLC 144A 3.875%, 5/1/23(1) | 18,262 | 17,064 | |
Banco BBVA Peru S.A. RegS 5.000%, 8/26/22(3) | 16,280 | 16,117 | |
Banco Bradesco SA 144A 3.200%, 1/27/25(1) | 8,055 | 7,356 | |
Banco Santander Chile 144A 2.700%, 1/10/25(1) | 9,500 | 9,101 |
Par Value | Value | ||
Financials—continued | |||
Bancolombia SA 3.000% | $3,250 | $2,912 | |
Bank of America Corp. | |||
4.200%, 8/26/24 | 10,473 | 11,132 | |
3.950%, 4/21/25 | 6,325 | 6,651 | |
(3 month LIBOR + 0.770%) 2.511%, 2/5/26(5) | 11,312 | 10,275 | |
(3 month LIBOR + 1.000%) 2.801%, 4/24/23(5) | 14,445 | 14,022 | |
Barclays plc 3.200%, 8/10/21 | 10,345 | 10,239 | |
Brookfield Finance, Inc. 3.900%, 1/25/28 | 9,490 | 9,745 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 6,325 | 5,972 | |
Capital One N.A. 2.950%, 7/23/21 | 14,425 | 14,465 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 6,370 | 6,143 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 24,642 | 25,523 | |
(3 month LIBOR + 1.430%) 3.010%, 9/1/23(5) | 7,115 | 6,955 | |
Corp Financiera de Desarrollo SA 144A 4.750%, 7/15/25(1) | 6,000 | 5,820 | |
Development Bank of Kazakhstan JSC 144A 8.950%, 5/4/23(1) | 3,330,000KZT | 6,529 | |
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(1) | 14,685 | 14,104 | |
Goldman Sachs Group, Inc. (The) | |||
4.250%, 10/21/25 | 24,315 | 25,563 | |
3.850%, 1/26/27 | 21,430 | 22,051 |
Table of Contents
Par Value | Value | ||
Financials—continued | |||
HSBC Holdings plc | |||
2.950%, 5/25/21 | $10,000 | $10,063 | |
(3 month LIBOR + 1.500%) 3.400%, 1/5/22(5) | 6,524 | 6,255 | |
Huntington Bancshares, Inc. 7.000%, 12/15/20 | 17,065 | 17,481 | |
ICAHN Enterprises LP | |||
4.750%, 9/15/24 | 12,395 | 11,372 | |
6.250%, 5/15/26 | 10,030 | 9,478 | |
Industrial & Commercial Bank of China Ltd. | |||
2.957%, 11/8/22 | 19,380 | 20,205 | |
(3 month LIBOR + 0.750%) 2.484%, 11/8/20(5) | 630 | 631 | |
JPMorgan Chase & Co. | |||
2.295%, 8/15/21 | 4,495 | 4,486 | |
3.875%, 9/10/24 | 9,490 | 10,021 | |
(3 month LIBOR + 0.900%) 2.694%, 4/25/23(5) | 18,055 | 17,414 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 7,000 | 5,530 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 3.859%, 4/20/67(5)(7) | 2,885 | 1,731 | |
Mizuho Financial Group, Inc. 3.922%, 9/11/24 | 5,000 | 5,274 | |
Morgan Stanley | |||
3.875%, 4/29/24 | 23,825 | 24,999 | |
(3 month LIBOR + 0.930%) 2.732%, 7/22/22(5) | 18,055 | 17,567 | |
Navient Corp. | |||
5.875%, 10/25/24 | 11,732 | 10,769 | |
5.000%, 3/15/27 | 3,365 | 2,893 | |
Prudential Financial, Inc. 5.625%, 6/15/43(7) | 13,774 | 12,952 |
Par Value | Value | ||
Financials—continued | |||
Santander Holdings USA, Inc. | |||
4.450%, 12/3/21 | $11,379 | $11,608 | |
3.700%, 3/28/22 | 5,808 | 5,749 | |
3.500%, 6/7/24 | 12,715 | 12,412 | |
SBA Tower Trust | |||
144A 3.156%, 10/8/20(1) | 6,050 | 6,041 | |
144A 3.168%, 4/11/22(1) | 18,490 | 18,386 | |
Springleaf Finance Corp. | |||
6.875%, 3/15/25 | 8,580 | 8,641 | |
7.125%, 3/15/26 | 2,695 | 2,638 | |
Synchrony Financial 4.375%, 3/19/24 | 12,785 | 12,661 | |
Toronto-Dominion Bank (The) 2.650%, 6/12/24 | 16,021 | 16,354 | |
Wells Fargo & Co. 3.750%, 1/24/24 | 11,825 | 12,519 | |
Wells Fargo Bank N.A. 3.550%, 8/14/23 | 9,555 | 10,013 | |
585,359 | |||
Health Care—1.4% | |||
Allergan Funding SCS 3.450%, 3/15/22 | 3,815 | 3,960 | |
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1) | 6,675 | 6,975 | |
Bausch Health Cos., Inc. 144A 5.750%, 8/15/27(1) | 745 | 767 | |
Community Health Systems, Inc. 144A 6.625%, 2/15/25(1) | 2,910 | 2,692 | |
CVS Health Corp. 3.625%, 4/1/27 | 4,526 | 4,638 | |
HCA, Inc. 5.375%, 2/1/25 | 7,250 | 7,377 | |
LifePoint Health, Inc. 144A 4.375%, 2/15/27(1) | 6,170 | 5,812 | |
Mylan NV 3.950%, 6/15/26 | 17,310 | 17,288 |
Table of Contents
Par Value | Value | ||
Health Care—continued | |||
Perrigo Finance Unlimited Co. 3.900%, 12/15/24 | $2,000 | $1,964 | |
Tenet Healthcare Corp. | |||
4.625%, 7/15/24 | 4,350 | 4,143 | |
144A 4.875%, 1/1/26(1) | 8,215 | 7,825 | |
Teva Pharmaceutical Finance Netherlands III B.V. 6.000%, 4/15/24 | 800 | 786 | |
Zimmer Biomet Holdings, Inc. 3.150%, 4/1/22 | 12,415 | 12,414 | |
76,641 | |||
Industrials—2.5% | |||
Alfa SAB de CV 144A 5.250%, 3/25/24(1) | 6,775 | 6,352 | |
America West Airlines Pass-Through-Trust 2001-1, G 7.100%, 4/2/21 | 9,422 | 9,416 | |
Avolon Holdings Funding Ltd. 144A 3.950%, 7/1/24(1) | 17,074 | 14,276 | |
Beacon Roofing Supply, Inc. | |||
144A 4.875%, 11/1/25(1) | 6,355 | 5,735 | |
144A 4.500%, 11/15/26(1) | 1,790 | 1,652 | |
Bombardier, Inc. 144A 8.750%, 12/1/21(1) | 8,392 | 6,965 | |
CNH Industrial N.V. 4.500%, 8/15/23 | 15,130 | 15,827 | |
Doric Nimrod Air Alpha Pass-Through-Trust 2013-1, A 144A 5.250%, 5/30/23(1) | 9,590 | 9,688 | |
Doric Nimrod Air Finance Alpha Pass-Through-Trust 2012-1, A 144A 5.125%, 11/30/22(1) | 6,682 | 6,781 |
Par Value | Value | ||
Industrials—continued | |||
Hawaiian Airlines Pass-Through Certificates 2013-1, B 4.950%, 1/15/22 | $5,306 | $5,048 | |
Navistar International Corp. 144A 6.625%, 11/1/25(1) | 6,040 | 5,028 | |
Norwegian Air Shuttle ASA Pass-Through-Trust 2016-1, A 144A 4.875%, 5/10/28(1) | 22,887 | 16,556 | |
Penske Truck Leasing Co., LP 144A 4.125%, 8/1/23(1) | 7,770 | 8,024 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60(7) | 16,811 | 15,956 | |
TransDigm, Inc. 144A 6.250%, 3/15/26(1) | 12,555 | 12,492 | |
139,796 | |||
Information Technology—1.8% | |||
Alibaba Group Holding Ltd. 3.600%, 11/28/24 | 12,500 | 13,193 | |
Broadcom Corp. 2.650%, 1/15/23 | 9,730 | 9,502 | |
Broadcom, Inc. 144A 3.625%, 10/15/24(1) | 16,180 | 15,882 | |
Dell International LLC 144A 5.450%, 6/15/23(1) | 6,380 | 6,547 | |
Hewlett Packard Enterprise Co. | |||
2.250%, 4/1/23 | 9,470 | 9,253 | |
(3 month LIBOR + 0.720%) 2.620%, 10/5/21(5) | 2,830 | 2,665 | |
Open Text Corp. 144A 3.875%, 2/15/28(1) | 12,720 | 11,957 | |
ViaSat, Inc. 144A 5.625%, 9/15/25(1) | 10,250 | 9,583 |
Table of Contents
Par Value | Value | ||
Information Technology—continued | |||
VMware, Inc. 2.950%, 8/21/22 | $22,120 | $22,175 | |
100,757 | |||
Materials—1.7% | |||
Anglo American Capital plc 144A 3.625%, 9/11/24(1) | 12,120 | 11,406 | |
Celanese US Holdings LLC 3.500%, 5/8/24 | 9,870 | 9,346 | |
Equate Petrochemical BV 144A 3.000%, 3/3/22(1) | 9,535 | 9,152 | |
Glencore Funding LLC 144A 4.125%, 5/30/23(1) | 17,615 | 16,230 | |
NOVA Chemicals Corp. 144A 5.000%, 5/1/25(1) | 7,820 | 6,569 | |
OCP SA | |||
144A 4.500%(1) | 10,000 | 9,438 | |
144A 5.625%, 4/25/24(1) | 3,065 | 3,038 | |
RegS 5.625%, 4/25/24(3) | 2,800 | 2,775 | |
Reynolds Group Issuer, Inc. 144A 7.000%, 7/15/24(1) | 5,065 | 5,147 | |
SABIC Capital II BV 144A 4.000%, 10/10/23(1) | 8,700 | 8,621 | |
Syngenta Finance NV | |||
144A 3.698%, 4/24/20(1) | 8,635 | 8,618 | |
144A 3.933%, 4/23/21(1) | 8,635 | 8,137 | |
98,477 | |||
Real Estate—1.2% | |||
GLP Capital LP | |||
5.250%, 6/1/25 | 13,175 | 12,187 | |
5.750%, 6/1/28 | 1,863 | 1,646 |
Par Value | Value | ||
Real Estate—continued | |||
5.300%, 1/15/29 | $2,731 | $2,335 | |
iStar, Inc. 4.250%, 8/1/25 | 9,325 | 7,669 | |
Office Properties Income Trust | |||
4.150%, 2/1/22 | 18,910 | 19,203 | |
4.000%, 7/15/22 | 7,345 | 7,182 | |
Service Properties Trust | |||
4.500%, 6/15/23 | 10,780 | 8,097 | |
4.350%, 10/1/24 | 9,585 | 7,037 | |
65,356 | |||
Utilities—2.6% | |||
CenterPoint Energy, Inc. 2.500%, 9/1/24 | 12,700 | 12,469 | |
Centrais Eletricas Brasileiras S.A. 144A 3.625%, 2/4/25(1) | 10,100 | 8,972 | |
DTE Energy Co. 2.529%, 10/1/24 | 15,896 | 15,452 | |
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(1) | 3,680 | 2,647 | |
Exelon Corp. | |||
2.850%, 6/15/20 | 18,845 | 18,843 | |
3.497%, 6/1/22 | 4,498 | 4,354 | |
NRG Energy, Inc. 144A 3.750%, 6/15/24(1) | 19,197 | 19,003 | |
PNM Resources, Inc. 3.250%, 3/9/21 | 11,070 | 11,140 | |
PSEG Power LLC 3.850%, 6/1/23 | 18,125 | 18,436 | |
TerraForm Power Operating LLC 144A 4.250%, 1/31/23(1) | 18,640 | 18,500 | |
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20(1)(4) | 5,925 | 7 |
Table of Contents
Par Value | Value | ||
Utilities—continued | |||
Toledo Edison Co. (The) 7.250%, 5/1/20 | $224 | $223 | |
Vistra Operations Co. LLC 144A 3.550%, 7/15/24(1) | 15,540 | 14,607 | |
144,653 | |||
Total Corporate Bonds and Notes (Identified Cost $1,734,624) | 1,624,533 | ||
Leveraged Loans—8.0% | |||
Aerospace—0.5% | |||
AI Convoy (Luxembourg) S.a.r.l. Tranche B (3 month LIBOR + 3.500%) 5.340%, 1/18/27 | 9,970 | 8,824 | |
American Airlines, Inc. 2018 (1 month LIBOR + 1.750%) 2.709%, 6/27/25 | 6,570 | 5,182 | |
Atlantic Aviation FBO, Inc. (1 month LIBOR + 3.750%) 4.740%, 12/6/25 | 2,306 | 2,191 | |
Kestrel Bidco, Inc. (1 month LIBOR + 3.000%) 4.000%, 12/11/26 | 4,259 | 3,237 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 3.239%, 5/30/25 | 3,278 | 2,975 | |
Tranche F (1 month LIBOR + 2.250%) 3.239%, 12/9/25 | 3,813 | 3,460 | |
25,869 | |||
Par Value | Value | ||
Consumer Non-Durables—0.2% | |||
Kronos Acquisition Holdings, Inc. Tranche B-3 (1 month LIBOR + 4.000%) 5.000%, 5/15/23 | $14,825 | $13,198 | |
Energy—0.0% | |||
Paragon Offshore Finance Co. (1 month PRIME + 0.000%) 3.250%, 7/16/21(2)(4) | 66 | — | |
Financial—0.6% | |||
Asurion LLC Tranche B-6 (1 month LIBOR + 3.000%) 3.989%, 11/3/23 | 6,816 | 6,475 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 3.989%, 6/16/25 | 9,653 | 7,791 | |
Delos Finance S.a.r.l. 2018 (3 month LIBOR + 1.750%) 3.200%, 10/6/23 | 5,774 | 5,183 | |
FinCo I LLC 2018 (1 month LIBOR + 2.000%) 2.989%, 12/27/22 | 3,775 | 3,614 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 3.680%, 6/28/23 | 9,153 | 8,146 | |
31,209 | |||
Table of Contents
Par Value | Value | ||
Food / Tobacco—0.4% | |||
Aramark Services, Inc. | |||
Tranche B-2 (1 month LIBOR + 1.750%) 2.739%, 3/28/24 | $3,575 | $3,396 | |
Tranche B-3 (1 month LIBOR + 1.750%) 2.739%, 3/11/25 | 1,909 | 1,775 | |
Tranche B-4 (1 month LIBOR + 1.750%) 2.739%, 1/15/27 | 3,490 | 3,228 | |
Chobani LLC Tranche B (1 month LIBOR + 3.500%) 4.500%, 10/10/23 | 6,226 | 5,526 | |
Hostess Brands LLC 2019, Tranche B (1 month LIBOR + 2.250%) 3.813%, 8/3/25 | 8,909 | 8,241 | |
22,166 | |||
Forest Prod / Containers—0.2% | |||
Berry Global, Inc. | |||
Tranche W (3 month LIBOR + 2.000%) 2.863%, 10/1/22 | 6,109 | 5,816 | |
Tranche X (3 month LIBOR + 2.000%) 2.863%, 1/19/24 | 1,013 | 944 | |
Tranche Y (3 month LIBOR + 2.000%) 2.863%, 7/1/26 | 2,531 | 2,392 | |
Reynolds Consumer Products LLC (3 month LIBOR + 1.750%) 3.501%, 2/4/27 | 2,325 | 2,178 |
Par Value | Value | ||
Forest Prod / Containers—continued | |||
Spectrum Holdings III Corp. First Lien (3 month LIBOR + 3.250%) 4.252%, 1/31/25 | $2,648 | $1,801 | |
13,131 | |||
Gaming / Leisure—0.8% | |||
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 3.739%, 12/23/24 | 9,036 | 7,265 | |
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 2.697%, 6/22/26 | 9,796 | 9,257 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24 | 8,912 | 6,043 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 4.246%, 8/14/24 | 4,232 | 3,399 | |
Seminole Tribe of Florida (1 month LIBOR + 1.750%) 2.739%, 7/8/24 | 10,562 | 9,611 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 3.240%, 2/8/27 | 3,169 | 2,686 |
Table of Contents
Par Value | Value | ||
Gaming / Leisure—continued | |||
UFC Holdings LLC Tranche B (1 month LIBOR + 3.250%) 4.250%, 4/29/26 | $5,431 | $4,725 | |
42,986 | |||
Healthcare—0.5% | |||
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 3.362%, 11/27/25 | 1,793 | 1,695 | |
(1 month LIBOR + 3.000%) 3.612%, 6/2/25 | 5,727 | 5,419 | |
Change Healthcare Holdings LLC (1 month LIBOR + 2.500%) 3.498%, 3/1/24 | 8,793 | 8,266 | |
Elanco Animal Health, Inc. Tranche B (3 month LIBOR + 1.750%) 0.000%, 2/4/27(8) | 980 | 926 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 4.739%, 10/10/25 | 6,370 | 3,217 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 3.200%, 6/11/25 | 7,655 | 7,272 | |
Select Medical Corp. Tranche B (1 month LIBOR + 2.500%) 3.430%, 3/6/25 | 1,548 | 1,463 | |
28,258 | |||
Par Value | Value | ||
Housing—0.2% | |||
CPG International LLC (3 month LIBOR + 3.750%) 5.933%, 5/6/24 | $11,819 | $9,802 | |
Information Technology—1.0% | |||
Applied Systems, Inc. First Lien (3 month LIBOR + 3.250%) 4.700%, 9/19/24 | 189 | 174 | |
Dell International LLC Tranche B-1 (1 month LIBOR + 2.000%) 2.990%, 9/19/25 | 7,579 | 7,204 | |
Kronos, Inc. | |||
2018 (3 month LIBOR + 3.000%) 4.763%, 11/1/23 | 13,932 | 12,646 | |
Second Lien (3 month LIBOR + 8.250%) 10.013%, 11/1/24 | 3,782 | 3,464 | |
MA Financeco LLC Tranche B-2 (1 month LIBOR + 2.250%) 3.239%, 11/19/21 | 14,380 | 13,481 | |
Presidio Holdings, Inc. (4 month LIBOR + 3.500%) 5.280%, 1/22/27 | 875 | 814 | |
Science Applications International Corp. Tranche B-2 (3 month LIBOR + 2.250%) 0.000%, 3/13/27(8) | 3,610 | 3,375 |
Table of Contents
Par Value | Value | ||
Information Technology—continued | |||
SS&C Technologies, Inc. | |||
Tranche B-3 (1 month LIBOR + 1.750%) 2.739%, 4/16/25 | $2,731 | $2,547 | |
Tranche B-4 (1 month LIBOR + 1.750%) 2.739%, 4/16/25 | 1,949 | 1,818 | |
Tranche B-5 (1 month LIBOR + 1.750%) 2.739%, 4/16/25 | 3,767 | 3,515 | |
Vertiv Group Corp. (1 month LIBOR + 3.000%) 4.581%, 3/2/27 | 11,265 | 9,688 | |
58,726 | |||
Manufacturing—0.3% | |||
CPI Acquisition, Inc. First Lien (3 month LIBOR + 4.500%) 6.381%, 8/17/22 | 9,500 | 5,917 | |
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 2.739%, 2/28/27 | 1,580 | 1,477 | |
NCR Corp. (1 month LIBOR + 2.500%) 3.490%, 8/28/26 | 2,427 | 2,184 | |
Titan Acquisition Ltd. (3 month LIBOR + 3.000%) 4.450%, 3/28/25 | 6,380 | 5,200 | |
14,778 | |||
Par Value | Value | ||
Media / Telecom - Broadcasting—0.3% | |||
Diamond Sports Group LLC (1 month LIBOR + 3.250%) 4.180%, 8/24/26 | $3,652 | $2,812 | |
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.750%) 4.331%, 9/18/26 | 8,425 | 7,810 | |
Sinclair Television Group, Inc. Tranche B (1 month LIBOR + 2.250%) 3.240%, 1/3/24 | 7,979 | 7,580 | |
18,202 | |||
Media / Telecom - Cable/Wireless Video—0.7% | |||
Charter Communications Operating LLC Tranche B2 (1 month LIBOR + 1.750%) 2.740%, 2/1/27 | 9,426 | 9,010 | |
CSC Holdings LLC | |||
2017 (1 month LIBOR + 2.250%) 2.862%, 7/17/25 | 4,412 | 4,199 | |
2018 (1 month LIBOR + 2.250%) 2.862%, 1/15/26 | 7,257 | 6,930 | |
2019 (1 month LIBOR + 2.500%) 3.112%, 4/15/27 | 3,966 | 3,781 |
Table of Contents
Par Value | Value | ||
Media / Telecom - Cable/Wireless Video—continued | |||
Telenet Financing USD LLC Tranche AR (1 month LIBOR + 2.000%) 2.705%, 4/30/28 | $13,135 | $11,966 | |
Ziggo Financing Partnership Tranche I (1 month LIBOR + 2.500%) 3.205%, 4/30/28 | 3,145 | 2,956 | |
38,842 | |||
Media / Telecom - Diversified Media—0.1% | |||
CDS US Intermediate Holdings, Inc. Tranche B (3 month LIBOR + 3.750%) 5.200%, 7/8/22 | 4,750 | 2,403 | |
Clear Channel Outdoor Holdings, Inc. Tranche B (1 month LIBOR + 3.500%) 4.489%, 8/21/26 | 6,438 | 5,408 | |
7,811 | |||
Media / Telecom - Telecommunications—0.9% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 3.239%, 3/15/27 | 11,122 | 10,323 | |
Consolidated Communications, Inc. 2016 (1 month LIBOR + 3.000%) 4.000%, 10/5/23 | 8,454 | 7,376 | |
Frontier Communications Corp. Tranche B-1 (3 month LIBOR + 3.750%) 5.350%, 6/17/24 | 11,417 | 10,802 |
Par Value | Value | ||
Media / Telecom - Telecommunications—continued | |||
Level 3 Financing, Inc. 2027, Tranche B (1 month LIBOR + 1.750%) 2.739%, 3/1/27 | $9,084 | $8,447 | |
Zayo Group Holdings, Inc. (1 month LIBOR + 3.000%) 3.989%, 3/9/27 | 13,030 | 12,248 | |
49,196 | |||
Media / Telecom - Wireless Communications—0.1% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 4.239%, 4/4/26 | 4,015 | 3,774 | |
Retail—0.1% | |||
Michaels Stores, Inc. 2018, Tranche B (1 month LIBOR + 2.500%) 3.534%, 1/30/23 | 7,050 | 5,851 | |
Service—0.5% | |||
GFL Environmental, Inc. 2018 (1 month LIBOR + 3.000%) 3.991%, 5/30/25 | 5,128 | 4,949 | |
Hoya Midco LLC First Lien (1 month LIBOR + 3.500%) 5.007%, 6/30/24 | 4,474 | 3,176 | |
Sedgwick Claims Management Services, Inc. 2019 (1 month LIBOR + 4.000%) 4.989%, 9/3/26 | 10,049 | 9,006 |
Table of Contents
Par Value | Value | ||
Service—continued | |||
TKC Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 4.750%, 2/1/23 | $5,950 | $4,743 | |
Trans Union LLC Tranche B-5 (1 month LIBOR + 1.750%) 2.739%, 11/16/26 | 8,547 | 8,158 | |
30,032 | |||
Transportation - Automotive—0.2% | |||
Genesee & Wyoming, Inc. (3 month LIBOR + 2.000%) 3.450%, 12/30/26 | 2,770 | 2,640 | |
Panther BF Aggregator 2 LP First Lien (1 month LIBOR + 3.500%) 4.441%, 4/30/26 | 6,915 | 6,293 | |
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) 3.989%, 10/1/25 | 6,044 | 4,140 | |
13,073 | |||
Utility—0.4% | |||
Brookfield WEC Holdings, Inc. (1 month LIBOR + 3.000%) 3.989%, 8/1/25 | 8,163 | 7,673 |
Par Value | Value | ||
Utility—continued | |||
Calpine Corp. 2019 (1 month LIBOR + 2.250%) 3.240%, 4/5/26 | $9,776 | $9,263 | |
Pacific Gas and Electric Co. (3 month LIBOR + 2.250%) 3.120%, 12/31/20 | 7,605 | 7,364 | |
24,300 | |||
Total Leveraged Loans (Identified Cost $509,204) | 451,204 |
Shares | ||
Preferred Stocks—0.4% | ||
Financials—0.4% | ||
Bank of New York Mellon Corp. (The) Series E, 4.950% | 12,070(9) | 10,501 |
Huntington Bancshares, Inc. Series E, 5.700% | 3,303(9) | 2,642 |
JPMorgan Chase & Co. Series Z, 5.300% | 3,985(9) | 3,736 |
JPMorgan Chase & Co. Series HH, 4.600% | 41,590(9) | 3,640 |
20,519 | ||
Total Preferred Stocks (Identified Cost $23,522) | 20,519 | |
Table of Contents
Shares | Value | ||
Common Stocks—0.0% | |||
Communication Services—0.0% | |||
Clear Channel Outdoor Holdings, Inc.(10) | 48,842 | $31 | |
Energy—0.0% | |||
Frontera Energy Corp. | 148,014 | 366 | |
Total Common Stocks (Identified Cost $2,826) | 397 | ||
Exchange-Traded Funds—2.1% | |||
Invesco Senior Loan ETF(11) | 2,101,024 | 42,987 | |
iShares iBoxx High Yield Corporate Bond ETF(11) | 1,005,871 | 77,522 | |
Total Exchange-Traded Funds (Identified Cost $124,480) | 120,509 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(4)(10) | 98,789 | 105 | |
Total Rights (Identified Cost $84) | 105 | ||
Warrant—0.0% | |||
Communication Services—0.0% | |||
iHeartMedia, Inc. | 20,771 | 132 | |
Total Warrant (Identified Cost $361) | 132 | ||
Total Long-Term Investments—95.8% (Identified Cost $5,705,368) | 5,382,941 |
Shares | Value | ||
Short-Term Investment—2.0% | |||
Money Market Mutual Fund—2.0% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.290%)(11) | 109,976,499 | $109,976 | |
Total Short-Term Investment (Identified Cost $109,976) | 109,976 | ||
TOTAL INVESTMENTS—97.8% (Identified Cost $5,815,344) | $5,492,917 | ||
Other assets and liabilities, net—2.2% | 124,899 | ||
NET ASSETS—100.0% | $5,617,816 |
Abbreviations: | |
DB | Deutsche Bank AG |
ETF | Exchange-Traded Fund |
GS | Goldman Sachs & Co. |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
MASTR | Morgan Stanley Structured Asset Security |
Foreign Currencies: | |
KZT | Kazakhstani Tenge |
MXN | Mexican Peso |
Table of Contents
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2020, these securities amounted to a value of $3,224,346 or 57.4% of net assets. |
(2) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(3) | Regulation S security. Security is offered and sold outside of the United States. Therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(4) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(5) | Variable rate security. Rate disclosed is as of March 31, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(6) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(7) | Interest payments may be deferred. |
(8) | This loan will settle after March 31, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(9) | Value shown as par value. |
(10) | Non-income producing. |
(11) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 88% |
Netherlands | 2 |
Canada | 2 |
Cayman Islands | 1 |
United Kingdom | 1 |
Indonesia | 1 |
Mexico | 1 |
Other | 4 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Table of Contents
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $1,292,832 | $— | $1,258,748 | $34,084 | |||
Corporate Bonds and Notes | 1,624,533 | — | 1,624,522 | 11(1) | |||
Foreign Government Securities | 184,259 | — | 183,372 | 887 | |||
Leveraged Loans | 451,204 | — | 451,204 | —(2) | |||
Mortgage-Backed Securities | 1,568,438 | — | 1,539,491 | 28,947 | |||
Municipal Bond | 3,888 | — | 3,888 | — | |||
U.S. Government Securities | 116,125 | — | 116,125 | — | |||
Equity Securities: | |||||||
Exchange-Traded Funds | 120,509 | 120,509 | — | — | |||
Common Stocks | 397 | 397 | — | — | |||
Preferred Stocks | 20,519 | — | 20,519 | — | |||
Rights | 105 | — | — | 105 | |||
Warrant | 132 | — | 132 | — | |||
Money Market Mutual Fund | 109,976 | 109,976 | — | — | |||
Total Investments | $5,492,917 | $230,882 | $5,198,001 | $64,034 |
(1) | Includes internally fair valued security. |
(2) | Includes internally fair valued securities currently priced at zero ($0). |
Table of Contents
Total | Asset- Backed Securities | Corporate Bonds And Notes | Foreign Government | Leveraged Loans | Mortgage- Backed Securities | Rights | Warrant | ||||||||
Investments in Securities | |||||||||||||||
Balance as of September 30, 2019: | $67,185 | $14,074 | $11(a)(b) | $— | $—(a) | $52,719 | $85 | $296 | |||||||
Accrued discount/(premium) | 6 | 6 | — | — | — | —(c) | — | — | |||||||
Realized gain (loss) | (183) | 24 | — | — | — | (207) | — | — | |||||||
Change in unrealized appreciation (depreciation)(d) | (4,409) | (1,682) | — | — | — | (2,583) | 20 | (164) | |||||||
Purchases | 17,532 | 12,887 | — | — | — | 4,645 | — | — | |||||||
Sales(e) | (23,685) | (8,232) | — | — | — | (15,453) | — | — | |||||||
Transfers into Level 3(f) | 24,122 | 17,007 | — | 887 | — | 6,228 | — | — | |||||||
Transfers from Level 3(f) | (16,534) | — | — | — | — | (16,402) | — | (132) | |||||||
Balance as of March 31, 2020 | $64,034 | $34,084 | $11(a)(b) | $887 | $—(a) | $28,947 | $105 | $— |
Table of Contents
Assets | |
Investment in securities at value(1) | $5,492,917 |
Foreign currency at value(2) | —(a) |
Cash | 218,439 |
Receivables | |
Investment securities sold | 4,070 |
Fund shares sold | 10,908 |
Dividends and interest | 28,293 |
Securities lending income | 157 |
Prepaid Trustees’ retainer | 137 |
Prepaid expenses | 174 |
Other assets | 544 |
Total assets | 5,755,639 |
Liabilities | |
Payables | |
Fund shares repurchased | 18,353 |
Investment securities purchased | 111,216 |
Dividend distributions | 1,673 |
Investment advisory fees | 2,436 |
Distribution and service fees | 525 |
Administration and accounting fees | 534 |
Transfer agent and sub-transfer agent fees and expenses | 960 |
Professional fees | 12 |
Trustee deferred compensation plan | 544 |
Interest expense and/or commitment fees | 11 |
Other accrued expenses | 262 |
Other payables | 1,297 |
Total liabilities | 137,823 |
Net Assets | $5,617,816 |
Net Assets Consist of: | |
Capital paid in on shares of beneficial interest | $6,149,671 |
Accumulated earnings (loss) | (531,855) |
Net Assets | $5,617,816 |
Net Assets: | |
Class A | $781,192 |
Class C | $463,619 |
Class C1 | $164,326 |
Class I | $4,197,538 |
Class R6 | $11,141 |
Table of Contents
Shares Outstanding (unlimited number of shares authorized, no par value): | |
Class A | 176,382,805 |
Class C | 103,244,613 |
Class C1 | 36,683,990 |
Class I | 946,307,626 |
Class R6 | 2,510,987 |
Net Asset Value and Redemption Price Per Share: | |
Class A | $4.43 |
Class C | $4.49 |
Class C1 | $4.48 |
Class I | $4.44 |
Class R6 | $4.44 |
Maximum Offering Price per Share (NAV/(1-2.25%*)): | |
Class A | $4.53 |
* Maximum sales charge | |
(1)Investment in securities at cost | $5,815,344 |
(2) Foreign currency at cost | $—(a) |
(a) | Amount is less than $500. |
Table of Contents
Investment Income | |
Dividends | $1,676 |
Interest | 112,560 |
Security lending, net of fees | 280 |
Foreign taxes withheld | (7) |
Total investment income | 114,509 |
Expenses | |
Investment advisory fees | 15,006 |
Distribution and service fees, Class A | 1,087 |
Distribution and service fees, Class C | 1,341 |
Distribution and service fees, Class C1 | 929 |
Administration and accounting fees | 3,309 |
Transfer agent fees and expenses | 1,363 |
Sub-transfer agent fees and expenses, Class A | 316 |
Sub-transfer agent fees and expenses, Class C | 165 |
Sub-transfer agent fees and expenses, Class C1 | 61 |
Sub-transfer agent fees and expenses, Class I | 1,647 |
Custodian fees | 11 |
Printing fees and expenses | 195 |
Professional fees | 45 |
Interest expense and/or commitment fees | 20 |
Registration fees | 114 |
Trustees’ fees and expenses | 249 |
Miscellaneous expenses | 201 |
Total expenses | 26,059 |
Less net expenses reimbursed and/or waived by investment adviser(1) | (5) |
Less low balance account fees | (1) |
Net expenses | 26,053 |
Net investment income (loss) | 88,456 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | (29,396) |
Foreign currency transactions | 3 |
Net change in unrealized appreciation (depreciation) on: | |
Investments | (362,753) |
Foreign currency transactions | (78) |
Net realized and unrealized gain (loss) on investments | (392,224) |
Net increase (decrease) in net assets resulting from operations | $(303,768) |
(1) | See Note 3D in the Notes to Financial Statements. |
Table of Contents
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $88,456 | $201,569 | |
Net realized gain (loss) | (29,393) | (72,024) | |
Net change in unrealized appreciation (depreciation) | (362,831) | 156,008 | |
Increase (decrease) in net assets resulting from operations | (303,768) | 285,553 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (11,747) | (21,847) | |
Class C | (6,509) | (18,208) | |
Class C1 | (1,789) | (4,893) | |
Class I | (69,795) | (136,183) | |
Class R6 | (155) | (160) | |
Return of Capital: | |||
Class A | — | (2,625) | |
Class C | — | (2,471) | |
Class C1 | — | (831) | |
Class I | — | (15,080) | |
Class R6 | — | (17) | |
Total Dividends and Distributions to Shareholders | (89,995) | (202,315) | |
Change in Net Assets from Capital Transactions | |||
Shares sold and cross class conversions: | |||
Class A (19,991 and 131,106 shares, respectively) | 94,080 | 608,263 | |
Class C (1 and 43,334 shares, respectively) | 3 | 203,366 | |
Class C1 (2,835 and 3,765 shares, respectively) | 13,494 | 17,803 | |
Class I (173,486 and 271,045 shares, respectively) | 816,748 | 1,266,053 | |
Class R6 (1,651 and 929 shares, respectively) | 7,779 | 4,325 | |
Reinvestment of distributions: | |||
Class A (2,225 and 4,600 shares, respectively) | 10,410 | 21,489 | |
Class C (1,359 and 4,348 shares, respectively) | 6,450 | 20,532 | |
Class C1 (240 and 839 shares, respectively) | 1,133 | 3,953 | |
Class I (13,044 and 28,436 shares, respectively) | 61,125 | 132,925 | |
Class R6 (22 and 25 shares, respectively) | 104 | 115 | |
Shares repurchased and cross class conversions: | |||
Class A ((36,336) and (98,212) shares, respectively) | (169,389) | (456,110) | |
Class C ((18,503) and (147,719) shares, respectively) | (87,356) | (694,497) | |
Class C1 ((7,318) and (28,461) shares, respectively) | (34,639) | (134,319) | |
Class I ((234,464) and (374,977) shares, respectively) | (1,077,409) | (1,744,061) | |
Class R6 ((519) and (277) shares, respectively) | (2,431) | (1,296) | |
Increase (decrease) in net assets from capital transactions | (359,898) | (751,459) | |
Net increase (decrease) in net assets | (753,661) | (668,221) | |
Net Assets | |||
Beginning of period | 6,371,477 | 7,039,698 | |
End of Period | $5,617,816 | $6,371,477 |
Table of Contents
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Total Distributions | |
Class A | |||||||
10/1/19 to 3/31/20(6) | $4.72 | 0.06 | (0.29) | (0.23) | (0.06) | — | (0.06) |
10/1/18 to 9/30/19 | 4.65 | 0.14 | 0.07 | 0.21 | (0.12) | (0.02) | (0.14) |
10/1/17 to 9/30/18 | 4.78 | 0.14 | (0.14) | — | (0.12) | (0.01) | (0.13) |
10/1/16 to 9/30/17 | 4.78 | 0.14 | — | 0.14 | (0.14) | — | (0.14) |
10/1/15 to 9/30/16 | 4.69 | 0.15 | 0.08 | 0.23 | (0.14) | — | (0.14) |
10/1/14 to 9/30/15 | 4.84 | 0.15 | (0.16) | (0.01) | (0.11) | (0.03) | (0.14) |
Class C | |||||||
10/1/19 to 3/31/20(6) | $4.78 | 0.06 | (0.29) | (0.23) | (0.06) | — | (0.06) |
10/1/18 to 9/30/19 | 4.71 | 0.13 | 0.07 | 0.20 | (0.11) | (0.02) | (0.13) |
10/1/17 to 9/30/18 | 4.84 | 0.13 | (0.14) | (0.01) | (0.11) | (0.01) | (0.12) |
10/1/16 to 9/30/17 | 4.84 | 0.13 | — | 0.13 | (0.13) | — | (0.13) |
10/1/15 to 9/30/16 | 4.75 | 0.14 | 0.07 | 0.21 | (0.12) | — | (0.12) |
10/1/14 to 9/30/15 | 4.89 | 0.14 | (0.15) | (0.01) | (0.10) | (0.03) | (0.13) |
Class C1 | |||||||
10/1/19 to 3/31/20(6) | $4.77 | 0.05 | (0.29) | (0.24) | (0.05) | — | (0.05) |
10/1/18 to 9/30/19 | 4.70 | 0.11 | 0.07 | 0.18 | (0.09) | (0.02) | (0.11) |
10/1/17 to 9/30/18 | 4.83 | 0.10 | (0.13) | (0.03) | (0.09) | (0.01) | (0.10) |
10/1/16 to 9/30/17 | 4.83 | 0.11 | — | 0.11 | (0.11) | — | (0.11) |
10/1/15 to 9/30/16 | 4.73 | 0.12 | 0.08 | 0.20 | (0.10) | — | (0.10) |
10/1/14 to 9/30/15 | 4.88 | 0.12 | (0.17) | (0.05) | (0.07) | (0.03) | (0.10) |
Class I | |||||||
10/1/19 to 3/31/20(6) | $4.72 | 0.07 | (0.28) | (0.21) | (0.07) | — | (0.07) |
10/1/18 to 9/30/19 | 4.66 | 0.15 | 0.06 | 0.21 | (0.13) | (0.02) | (0.15) |
10/1/17 to 9/30/18 | 4.79 | 0.15 | (0.14) | 0.01 | (0.13) | (0.01) | (0.14) |
10/1/16 to 9/30/17 | 4.78 | 0.16 | 0.01 | 0.17 | (0.16) | — | (0.16) |
10/1/15 to 9/30/16 | 4.69 | 0.16 | 0.08 | 0.24 | (0.15) | — | (0.15) |
10/1/14 to 9/30/15 | 4.84 | 0.16 | (0.16) | — | (0.12) | (0.03) | (0.15) |
Class R6 | |||||||
10/1/19 to 3/31/20(6) | $4.72 | 0.07 | (0.28) | (0.21) | (0.07) | — | (0.07) |
10/1/18 to 9/30/19 | 4.65 | 0.16 | 0.07 | 0.23 | (0.14) | (0.02) | (0.16) |
10/1/17 to 9/30/18 | 4.78 | 0.15 | (0.13) | 0.02 | (0.14) | (0.01) | (0.15) |
11/3/16(11) to 9/30/17 | 4.76 | 0.15 | 0.02 | 0.17 | (0.15) | — | (0.15) |
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Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) |
(0.29) | $4.43 | (4.86) % | $781,192 | 0.97 % (7) | 0.97 % | 2.65 % | 32 % |
0.07 | 4.72 | 4.62 | 898,392 | 0.97 (7) | 0.98 | 3.01 | 58 |
(0.13) | 4.65 | 0.05 | 711,425 | 0.97 (7) | 0.98 | 2.88 | 55 |
— | 4.78 | 3.07 (8) | 925,677 | 1.00 (7)(8) | 1.01 | 3.04 (8) | 69 |
0.09 | 4.78 | 4.90 | 1,307,484 | 1.00 (7)(9) | 1.01 | 3.19 | 53 |
(0.15) | 4.69 | (0.23) | 1,575,629 | 0.97 (7) | 0.97 | 3.15 | 37 |
(0.29) | $4.49 | (4.92) % | $463,619 | 1.21 % (7) | 1.21 % | 2.41 % | 32 % |
0.07 | 4.78 | 4.31 | 575,524 | 1.21 (7) | 1.21 | 2.78 | 58 |
(0.13) | 4.71 | (0.18) | 1,039,109 | 1.20 (7) | 1.21 | 2.66 | 55 |
— | 4.84 | 2.78 (8) | 1,266,378 | 1.25 (7)(8) | 1.25 | 2.80 (8) | 69 |
0.09 | 4.84 | 4.58 | 1,321,202 | 1.25 (7)(9) | 1.26 | 2.94 | 53 |
(0.14) | 4.75 | (0.27) | 1,460,120 | 1.22 (7) | 1.22 | 2.90 | 37 |
(0.29) | $4.48 | (5.17) % | $164,326 | 1.71 % (7) | 1.71 % | 1.90 % | 32 % |
0.07 | 4.77 | 3.80 | 195,185 | 1.71 (7) | 1.72 | 2.28 | 58 |
(0.13) | 4.70 | (0.68) | 304,444 | 1.70 (7) | 1.71 | 2.16 | 55 |
— | 4.83 | 2.28 (8) | 377,835 | 1.75 (7)(8) | 1.75 | 2.30 (8) | 69 |
0.10 | 4.83 | 4.29 | 489,924 | 1.75 (7)(9) | 1.76 | 2.44 | 53 |
(0.15) | 4.73 | (0.98) | 583,694 | 1.72 (7) | 1.72 | 2.40 | 37 |
(0.28) | $4.44 | (4.53) % | $4,197,538 | 0.72 % (7) | 0.72 % | 2.90 % | 32 % |
0.06 | 4.72 | 4.66 | 4,695,968 | 0.72 (7) | 0.72 | 3.26 | 58 |
(0.13) | 4.66 | 0.32 | 4,981,559 | 0.71 (7) | 0.71 | 3.16 | 55 |
0.01 | 4.79 | 3.54 (8) | 4,811,684 | 0.75 (7)(8) | 0.76 | 3.30 (8) | 69 |
0.09 | 4.78 | 5.16 | 4,033,610 | 0.75 (7)(9) | 0.76 | 3.44 | 53 |
(0.15) | 4.69 | 0.02 | 4,095,547 | 0.72 (7) | 0.72 | 3.40 | 37 |
(0.28) | $4.44 | (4.50) % | $11,141 | 0.55 % | 0.65 % | 3.06 % | 32 % |
0.07 | 4.72 | 4.96 | 6,408 | 0.55 | 0.65 | 3.42 | 58 |
(0.13) | 4.65 | 0.38 | 3,161 | 0.59 (10) | 0.65 | 3.29 | 55 |
0.02 | 4.78 | 3.54 (8) | 2,533 | 0.70 (8) | 0.71 | 3.05 (8) | 69 (12) |
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Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | Not annualized for periods less than one year. |
(4) | Annualized for periods less than one year. |
(5) | The Fund will also indirectly bear its prorated share of expenses of any underlying funds in which it invests. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | The share class is currently under its expense limitation. |
(8) | Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and the Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses and increase the Ratio of Net Investment Income (Loss) by 0.01%. Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return by 0.01%. |
(9) | Net expense ratio includes extraordinary proxy expenses. |
(10) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(11) | Inception date. |
(12) | Portfolio turnover is representative of the Fund for the entire period. |
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A. | Security Valuation |
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
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B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as the Fund is notified. Interest income is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from REITs is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
The Fund is treated as a separate taxable entity. It is the Fund’s intention to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. | |
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of March 31, 2020, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 forward (with limited exceptions). | |
D. | Distributions to Shareholders |
Distributions are recorded by the Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by the Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expense to each fund or an alternative allocation method can be more appropriately used. |
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In addition to the net annual operating expenses that the Fund bears directly, the shareholders of the Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Fund does not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | When-Issued Purchases and Forward Commitments (Delayed Delivery) |
The Fund may engage in when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by the Fund to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable the Fund to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. The Fund records when-issued and forward commitment securities on the trade date. The Fund maintains collateral for the securities purchased. Securities purchased on a when-issued or forward commitment basis begin earning interest on the settlement date. | |
H. | Leveraged Loans |
The Fund may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged loans are generally non-investment grade and often involve borrowers that are highly leveraged. The Fund may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the leveraged loan. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When the Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. |
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The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due. | |
The leveraged loans have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid. | |
I. | Securities Lending |
The Fund may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities the Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by the Fund under a Master Securities Lending Agreement (“MSLA”) that permits the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
Effective March 13, 2020, the securities lending program was put on hold and all securities on loan were recalled. |
A. | Investment Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Fund. The Adviser manages the Fund’s investment program and general operations of the Fund, including oversight of the Fund’s subadviser. |
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As compensation for its services to the Fund, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily net assets of the Fund: |
First $1 Billion | $1+ Billion through $2 Billion | $2+ Billion through $10 Billion | Over $10 Billion | |||
0.55 % | 0.50 % | 0.45 % | 0.425% |
B. | Subadviser |
Newfleet Asset Management, LLC (the “Subadviser”), an indirect, wholly-owned subsidiary of Virtus, is the subadviser to the Fund. The Subadviser manages the investments of the Fund for which it is paid a fee by the Adviser. | |
C. | Expense Limitation |
The Adviser has contractually agreed to limit the Fund’s annual total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, the following percentages of the Fund’s average net asset values through January 31, 2021. Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. The waivers and reimbursements are calculated daily and received monthly. |
Class A | Class C | Class C1 | Class I | Class R6 | ||||
1.10 %* | 1.35 %* | 1.85 %* | 0.85 %* | 0.55 % |
D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. The Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending: |
Expiration | |||||||
2021 | 2022 | 2023 | Total | ||||
Class R6 | $ 2 | $ 5 | $ 5 | $ 12 | |||
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E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of the Fund’s shares. VP Distributors has advised the Fund that for the six months (the “period”) ended March 31, 2020, it retained net commissions of $10 for Class A shares, and CDSC of $9, $—* and $4 for Class A shares, Class C shares, and Class I shares, respectively. | |
In addition, the Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the following annual rates: 0.25% for Class A shares, 0.50% for Class C shares, and 1.00% for Class C1 shares. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. | |
* Amount is less than $500. | |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as administrator and transfer agent to the Fund. | |
For the period ended March 31, 2020, the Fund incurred administration fees totaling $3,021 which are included in the Statement of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
For the period ended March 31, 2020, the Fund incurred transfer agent fees totaling $1,354 which are included in the Statement of Operations within the line items “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statement of Assets and Liabilities at March 31, 2020. |
Purchases | Sales | |
$1,682,295 | $2,189,208 |
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Purchases | Sales | |
$308,860 | $292,728 |
% of Shares Outstanding | Number of Accounts* | |
34% | 2 |
* | The shareholders are not affiliated with Virtus. |
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Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$ 5,820,867 | $ 18,498 | $ (346,448) | $ (327,950) |
No Expiration | Total | |||||
Short-Term | Long-Term | Short-Term | Long-Term | |||
$57,923 | $74,292 | $57,923 | $74,292 |
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Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
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please contact us at1-800-243-1574, orVirtus.com.
8024 | 05-20 |
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Virtus Duff & Phelps Global Infrastructure Fund* |
Virtus Duff & Phelps Global Real Estate Securities Fund* |
Virtus Duff & Phelps International Real Estate Securities Fund* |
Virtus Duff & Phelps Real Asset Fund *(f/k/a: Virtus Rampart Alternatives Diversifier Fund) |
Virtus Herzfeld Fund* |
Virtus Horizon Wealth Masters Fund* |
Virtus KAR Emerging Markets Small-Cap Fund* |
Virtus KAR International Small-Cap Fund* |
Virtus KAR International Small-Mid Cap Fund* |
Virtus Rampart Equity Trend Fund* |
Virtus Rampart Multi-Asset Trend Fund* |
Virtus Rampart Sector Trend Fund* |
Virtus Vontobel Global Opportunities Fund* |
Virtus Vontobel Greater European Opportunities Fund* |
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1 | ||
2 | ||
6 | ||
8 | ||
Fund | Schedule of Investments | |
10 | ||
11 | ||
13 | ||
15 | ||
16 | ||
17 | ||
19 | ||
21 | ||
23 | ||
25 | ||
26 | ||
27 | ||
28 | ||
Virtus Vontobel Greater European Opportunities Fund (“Vontobel Greater European Opportunities Fund”) | 30 | |
32 | ||
41 | ||
46 | ||
53 | ||
63 | ||
79 | ||
83 |
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President, Virtus Funds
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Beginning Account Value October 1, 2019 | Ending Account Value March 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Global Infrastructure Fund | ||||||||
Class A | $ 1,000.00 | $ 801.70 | 1.26 % | $ 5.68 | ||||
Class C | 1,000.00 | 799.00 | 2.02 | 9.08 | ||||
Class I | 1,000.00 | 802.90 | 1.03 | 4.64 | ||||
Class R6 | 1,000.00 | 803.50 | 0.85 | 3.83 | ||||
Duff & Phelps Global Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 779.70 | 1.40 | 6.23 | ||||
Class C | 1,000.00 | 776.80 | 2.15 | 9.55 | ||||
Class I | 1,000.00 | 780.90 | 1.15 | 5.12 | ||||
Class R6 | 1,000.00 | 782.20 | 0.89 | 3.97 | ||||
Duff & Phelps International Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 795.10 | 1.50 | 6.73 | ||||
Class C | 1,000.00 | 791.00 | 2.25 | 10.07 | ||||
Class I | 1,000.00 | 796.50 | 1.25 | 5.61 | ||||
Duff & Phelps Real Asset Fund | ||||||||
Class A | 1,000.00 | 798.10 | 0.77 | 3.46 | ||||
Class C | 1,000.00 | 795.30 | 1.57 | 7.05 | ||||
Class I | 1,000.00 | 799.40 | 0.52 | 2.34 | ||||
Herzfeld Fund | ||||||||
Class A | 1,000.00 | 768.60 | 1.60 | 7.07 | ||||
Class C | 1,000.00 | 765.50 | 2.35 | 10.37 | ||||
Class I | 1,000.00 | 769.20 | 1.35 | 5.97 | ||||
Horizon Wealth Masters Fund | ||||||||
Class A | 1,000.00 | 711.50 | 1.25 | 5.35 | ||||
Class C | 1,000.00 | 708.90 | 2.00 | 8.54 | ||||
Class I | 1,000.00 | 712.50 | 1.00 | 4.28 | ||||
KAR Emerging Markets Small-Cap Fund | ||||||||
Class A | 1,000.00 | 847.00 | 1.85 | 8.54 | ||||
Class C | 1,000.00 | 843.70 | 2.60 | 11.98 | ||||
Class I | 1,000.00 | 847.90 | 1.60 | 7.39 | ||||
Class R6 | 1,000.00 | 848.70 | 1.50 | 6.93 | ||||
KAR International Small-Cap Fund | ||||||||
Class A | 1,000.00 | 848.40 | 1.52 | 7.02 | ||||
Class C | 1,000.00 | 844.90 | 2.25 | 10.38 | ||||
Class I | 1,000.00 | 849.20 | 1.26 | 5.82 | ||||
Class R6 | 1,000.00 | 849.40 | 1.16 | 5.36 |
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Beginning Account Value October 1, 2019 | Ending Account Value March 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
KAR International Small-Mid Cap Fund** | ||||||||
Class A | $1,000.00 | $932.00 | 1.45% | $6.97 | ||||
Class C | 1,000.00 | 928.00 | 2.20 | 10.55 | ||||
Class I | 1,000.00 | 933.00 | 1.20 | 5.77 | ||||
Class R6 | 1,000.00 | 934.00 | 1.10 | 5.29 | ||||
Rampart Equity Trend Fund | ||||||||
Class A | 1,000.00 | 810.00 | 1.57 | 7.10 | ||||
Class C | 1,000.00 | 807.10 | 2.32 | 10.48 | ||||
Class I | 1,000.00 | 811.30 | 1.32 | 5.98 | ||||
Class R6 | 1,000.00 | 811.20 | 1.22 | 5.52 | ||||
Rampart Multi-Asset Trend Fund | ||||||||
Class A | 1,000.00 | 920.80 | 1.64 | 7.88 | ||||
Class C | 1,000.00 | 917.40 | 2.39 | 11.46 | ||||
Class I | 1,000.00 | 922.30 | 1.40 | 6.73 | ||||
Rampart Sector Trend Fund | ||||||||
Class A | 1,000.00 | 843.00 | 1.00 | 4.61 | ||||
Class C | 1,000.00 | 839.40 | 1.77 | 8.14 | ||||
Class I | 1,000.00 | 843.80 | 0.77 | 3.55 | ||||
Vontobel Global Opportunities Fund | ||||||||
Class A | 1,000.00 | 882.50 | 1.36 | 6.40 | ||||
Class C | 1,000.00 | 879.00 | 2.11 | 9.91 | ||||
Class I | 1,000.00 | 883.60 | 1.09 | 5.13 | ||||
Class R6 | 1,000.00 | 884.40 | 0.90 | 4.24 | ||||
Vontobel Greater European Opportunities Fund | ||||||||
Class A | 1,000.00 | 862.70 | 1.45 | 6.75 | ||||
Class C | 1,000.00 | 860.10 | 2.20 | 10.23 | ||||
Class I | 1,000.00 | 864.40 | 1.20 | 5.59 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
** | October 2, 2019, is the date the Fund started accruing expenses. Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
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Beginning Account Value October 1, 2019 | Ending Account Value March 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Global Infrastructure Fund | ||||||||
Class A | $ 1,000.00 | $ 1,018.70 | 1.26 % | $ 6.36 | ||||
Class C | 1,000.00 | 1,014.90 | 2.02 | 10.18 | ||||
Class I | 1,000.00 | 1,019.85 | 1.03 | 5.20 | ||||
Class R6 | 1,000.00 | 1,020.75 | 0.85 | 4.29 | ||||
Duff & Phelps Global Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 1,018.00 | 1.40 | 7.06 | ||||
Class C | 1,000.00 | 1,014.25 | 2.15 | 10.83 | ||||
Class I | 1,000.00 | 1,019.25 | 1.15 | 5.81 | ||||
Class R6 | 1,000.00 | 1,020.55 | 0.89 | 4.50 | ||||
Duff & Phelps International Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 1,017.50 | 1.50 | 7.57 | ||||
Class C | 1,000.00 | 1,013.75 | 2.25 | 11.33 | ||||
Class I | 1,000.00 | 1,018.75 | 1.25 | 6.31 | ||||
Duff & Phelps Real Asset Fund | ||||||||
Class A | 1,000.00 | 1,021.15 | 0.77 | 3.89 | ||||
Class C | 1,000.00 | 1,017.15 | 1.57 | 7.92 | ||||
Class I | 1,000.00 | 1,022.40 | 0.52 | 2.63 | ||||
Herzfeld Fund | ||||||||
Class A | 1,000.00 | 1,017.00 | 1.60 | 8.07 | ||||
Class C | 1,000.00 | 1,013.25 | 2.35 | 11.83 | ||||
Class I | 1,000.00 | 1,018.25 | 1.35 | 6.81 | ||||
Horizon Wealth Masters Fund | ||||||||
Class A | 1,000.00 | 1,018.75 | 1.25 | 6.31 | ||||
Class C | 1,000.00 | 1,015.00 | 2.00 | 10.08 | ||||
Class I | 1,000.00 | 1,020.00 | 1.00 | 5.05 | ||||
KAR Emerging Markets Small-Cap Fund | ||||||||
Class A | 1,000.00 | 1,015.75 | 1.85 | 9.32 | ||||
Class C | 1,000.00 | 1,012.00 | 2.60 | 13.08 | ||||
Class I | 1,000.00 | 1,017.00 | 1.60 | 8.07 | ||||
Class R6 | 1,000.00 | 1,017.50 | 1.50 | 7.57 | ||||
KAR International Small-Cap Fund | ||||||||
Class A | 1,000.00 | 1,017.40 | 1.52 | 7.67 | ||||
Class C | 1,000.00 | 1,013.75 | 2.25 | 11.33 | ||||
Class I | 1,000.00 | 1,018.70 | 1.26 | 6.36 | ||||
Class R6 | 1,000.00 | 1,019.20 | 1.16 | 5.86 | ||||
KAR International Small-Mid Cap Fund | ||||||||
Class A | 1,000.00 | 1,017.75 | 1.45 | 7.31 | ||||
Class C | 1,000.00 | 1,014.00 | 2.20 | 11.08 | ||||
Class I | 1,000.00 | 1,019.00 | 1.20 | 6.06 | ||||
Class R6 | 1,000.00 | 1,019.50 | 1.10 | 5.55 | ||||
Rampart Equity Trend Fund | ||||||||
Class A | 1,000.00 | 1,017.15 | 1.57 | 7.92 | ||||
Class C | 1,000.00 | 1,013.40 | 2.32 | 11.68 | ||||
Class I | 1,000.00 | 1,018.40 | 1.32 | 6.66 | ||||
Class R6 | 1,000.00 | 1,018.90 | 1.22 | 6.16 | ||||
Rampart Multi-Asset Trend Fund | ||||||||
Class A | 1,000.00 | 1,016.80 | 1.64 | 8.27 | ||||
Class C | 1,000.00 | 1,013.05 | 2.39 | 12.03 | ||||
Class I | 1,000.00 | 1,018.00 | 1.40 | 7.06 |
Table of Contents
Beginning Account Value October 1, 2019 | Ending Account Value March 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Rampart Sector Trend Fund | ||||||||
Class A | $1,000.00 | $1,020.00 | 1.00% | $5.05 | ||||
Class C | 1,000.00 | 1,016.15 | 1.77 | 8.92 | ||||
Class I | 1,000.00 | 1,021.15 | 0.77 | 3.89 | ||||
Vontobel Global Opportunities Fund | ||||||||
Class A | 1,000.00 | 1,018.20 | 1.36 | 6.86 | ||||
Class C | 1,000.00 | 1,014.45 | 2.11 | 10.63 | ||||
Class I | 1,000.00 | 1,019.55 | 1.09 | 5.50 | ||||
Class R6 | 1,000.00 | 1,020.50 | 0.90 | 4.55 | ||||
Vontobel Greater European Opportunities Fund | ||||||||
Class A | 1,000.00 | 1,017.75 | 1.45 | 7.31 | ||||
Class C | 1,000.00 | 1,014.00 | 2.20 | 11.08 | ||||
Class I | 1,000.00 | 1,019.00 | 1.20 | 6.06 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
Table of Contents
Table of Contents
Table of Contents
Utilities | 52% |
Industrials | 23 |
Real Estate | 11 |
Energy | 11 |
Communication Services | 3 |
Total | 100% |
Industrial/Office REITs | 28% |
Residential REITs | 20 |
Real Estate Operating Companies | 11 |
Retail REITs | 7 |
Health Care REITs | 6 |
Office REITs | 6 |
Data Centers REITs | 5 |
Other REITs | 17 |
Total | 100% |
Real Estate Operating Companies | 25% |
Industrial/Office REITs | 24 |
Office REITs | 13 |
Residential REITs | 11 |
Retail REITs | 7 |
Diversified Real Estate Activities REITs | 7 |
Specialized REITs | 6 |
Other (includes short-term investment) | 7 |
Total | 100% |
Affiliated Mutual Funds | 67% | |
Exchange-Traded Funds | 29 | |
Short-Term Investment | 4 | |
Total | 100% |
Fixed Income Funds | 53% |
Preferred Stocks | 18 |
Equity Funds | 12 |
International Equity Funds | 11 |
International Fixed Income Funds | 6 |
Total | 100% |
Consumer Discretionary | 24% |
Financials | 14 |
Communication Services | 13 |
Industrials | 13 |
Information Technology | 9 |
Real Estate | 8 |
Consumer Staples | 7 |
Other | 12 |
Total | 100% |
Industrials | 32% |
Communication Services | 24 |
Consumer Staples | 13 |
Information Technology | 9 |
Financials | 5 |
Consumer Discretionary | 3 |
Materials | 2 |
Other (includes short-term investment) | 12 |
Total | 100% |
Communication Services | 29% |
Industrials | 27 |
Financials | 13 |
Information Technology | 12 |
Consumer Staples | 6 |
Consumer Discretionary | 6 |
Health Care | 3 |
Other (includes short-term investment) | 4 |
Total | 100% |
Table of Contents
Communication Services | 29% |
Industrials | 26 |
Information Technology | 15 |
Financials | 12 |
Consumer Discretionary | 4 |
Materials | 3 |
Health Care | 2 |
Other (includes short-term investment) | 9 |
Total | 100% |
Short-Term Investment | 95% |
Consumer Staples | 2 |
Materials | 2 |
Health Care | 1 |
Total | 100% |
Short-Term Investment | 56% | |
Exchange-Traded Funds | 42 | |
Common Stocks | 2 | |
Total | 100% |
Short-Term Investment | 100% |
Total | 100% |
Information Technology | 23% |
Consumer Discretionary | 20 |
Consumer Staples | 20 |
Health Care | 13 |
Communication Services | 10 |
Financials | 6 |
Industrials | 5 |
Other | 3 |
Total | 100% |
Consumer Staples | 23% |
Industrials | 21 |
Health Care | 15 |
Consumer Discretionary | 15 |
Information Technology | 10 |
Financials | 8 |
Materials | 5 |
Other | 3 |
Total | 100% |
Table of Contents
Shares | Value | ||
Common Stocks—99.2% | |||
Communication Services—2.9% | |||
Cellnex Telecom SA 144A (Spain)(1) | 50,010 | $2,268 | |
Energy—10.7% | |||
Cheniere Energy, Inc. (United States)(2) | 32,162 | 1,078 | |
Enbridge, Inc. (Canada) | 87,464 | 2,544 | |
Kinder Morgan, Inc. (United States) | 86,494 | 1,204 | |
Pembina Pipeline Corp. (Canada) | 38,862 | 729 | |
TC Energy Corp. (Canada) | 42,405 | 1,879 | |
Williams Cos., Inc. (The) (United States) | 57,835 | 818 | |
8,252 | |||
Industrials—22.6% | |||
Aena SME SA 144A (Spain)(1) | 16,261 | 1,764 | |
Atlantia SpA (Italy)(2) | 95,348 | 1,185 | |
Auckland International Airport Ltd. (New Zealand) | 212,437 | 633 | |
Canadian Pacific Railway Ltd. (Canada) | 7,635 | 1,677 | |
Ferrovial SA (Spain) | 58,278 | 1,383 | |
Fraport AG Frankfurt Airport Services Worldwide (Germany)(2) | 15,335 | 617 | |
Norfolk Southern Corp. (United States) | 12,841 | 1,875 | |
Sydney Airport (Australia) | 316,428 | 1,093 | |
Transurban Group (Australia)(2) | 363,357 | 2,707 | |
Union Pacific Corp. (United States) | 19,219 | 2,711 | |
Vinci SA (France) | 22,463 | 1,835 | |
17,480 | |||
Real Estate—11.4% | |||
American Tower Corp. (United States) | 23,617 | 5,143 |
Shares | Value | ||
Real Estate—continued | |||
Crown Castle International Corp. (United States) | 25,425 | $3,671 | |
8,814 | |||
Utilities—51.6% | |||
Ameren Corp. (United States) | 19,248 | 1,402 | |
American Electric Power Co., Inc. (United States) | 30,826 | 2,465 | |
American Water Works Co., Inc. (United States) | 13,699 | 1,638 | |
Atmos Energy Corp. (United States) | 16,550 | 1,642 | |
CenterPoint Energy, Inc. (United States) | 57,100 | 882 | |
CMS Energy Corp. (United States) | 26,321 | 1,546 | |
Dominion Energy, Inc. (United States) | 49,464 | 3,571 | |
DTE Energy Co. (United States) | 11,254 | 1,069 | |
Edison International (United States) | 28,721 | 1,574 | |
Enel SpA (Italy) | 162,100 | 1,118 | |
Energias de Portugal SA (Portugal) | 328,095 | 1,320 | |
Essential Utilities, Inc. (United States) | 32,466 | 1,321 | |
Fortis, Inc. (Canada) | 47,445 | 1,830 | |
Iberdrola SA (Spain) | 142,133 | 1,390 | |
National Grid plc (United Kingdom) | 216,419 | 2,529 | |
Naturgy Energy Group SA (Spain) | 51,229 | 899 | |
NextEra Energy, Inc. (United States) | 23,926 | 5,757 | |
NiSource, Inc. (United States) | 52,986 | 1,323 | |
Orsted A/S 144A (Denmark)(1) | 19,401 | 1,899 | |
Public Service Enterprise Group, Inc. (United States) | 41,050 | 1,844 |
Shares | Value | ||
Utilities—continued | |||
Sempra Energy (United States) | 24,679 | $2,788 | |
39,807 | |||
Total Common Stocks (Identified Cost $79,604) | 76,621 | ||
Total Long-Term Investments—99.2% (Identified Cost $79,604) | 76,621 | ||
TOTAL INVESTMENTS—99.2% (Identified Cost $79,604) | $76,621 | ||
Other assets and liabilities, net—0.8% | 595 | ||
NET ASSETS—100.0% | $77,216 |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2020, these securities amounted to a value of $5,931 or 7.7% of net assets. |
(2) | Non-income producing. |
Country Weightings† | |
United States | 59% |
Canada | 11 |
Spain | 10 |
Australia | 5 |
United Kingdom | 3 |
Italy | 3 |
Denmark | 3 |
Other | 6 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $76,621 | $53,981 | $22,640 | ||
Total Investments | $76,621 | $53,981 | $22,640 |
Table of Contents
Shares | Value | ||
Common Stocks—98.0% | |||
Australia—2.4% | |||
Dexus | 501,339 | $2,778 | |
GPT Group (The) - In Specie(1)(2) | 13,566 | — | |
National Storage REIT | 2,393,333 | 2,322 | |
5,100 | |||
Belgium—1.8% | |||
Warehouses De Pauw CVA | 137,484 | 3,924 | |
Canada—4.1% | |||
Boardwalk Real Estate Investment Trust | 108,600 | 1,768 | |
Granite Real Estate Investment Trust | 119,829 | 4,950 | |
Summit Industrial Income REIT | 349,400 | 2,202 | |
8,920 | |||
France—1.0% | |||
Klepierre SA | 118,580 | 2,260 | |
Germany—4.6% | |||
Aroundtown SA | 377,480 | 1,889 | |
Deutsche Wohnen SE | 69,500 | 2,634 | |
Vonovia SE | 106,419 | 5,294 | |
9,817 | |||
Hong Kong—2.5% | |||
Link REIT | 292,504 | 2,466 | |
Swire Properties Ltd. | 1,008,000 | 2,816 | |
5,282 | |||
India—0.9% | |||
Ascendas India Trust | 2,260,800 | 1,902 | |
Ireland—0.9% | |||
Irish Residential Properties REIT plc | 1,421,000 | 1,924 | |
Japan—11.0% | |||
Invesco Office J-REIT, Inc. | 20,792 | 2,754 | |
Kenedix Office Investment Corp. | 397 | 2,102 | |
Kenedix Residential Next Investment Corp. | 1,890 | 2,957 | |
Mitsubishi Estate Co., Ltd. | 553,000 | 8,167 | |
Mitsui Fudosan Logistics Park, Inc. | 1,080 | 4,569 | |
Nippon Prologis REIT, Inc. | 1,183 | 2,977 | |
23,526 | |||
Norway—1.4% | |||
Entra ASA 144A(3) | 245,302 | 2,930 |
Shares | Value | ||
Singapore—0.7% | |||
Mapletree Industrial Trust | 900,100 | $1,529 | |
Spain—2.5% | |||
Inmobiliaria Colonial Socimi SA | 313,500 | 2,955 | |
Merlin Properties Socimi SA | 311,000 | 2,347 | |
5,302 | |||
Sweden—2.3% | |||
Catena AB | 73,000 | 2,119 | |
Kungsleden AB | 380,300 | 2,861 | |
4,980 | |||
United Kingdom—5.1% | |||
Derwent London plc | 38,310 | 1,547 | |
Safestore Holdings plc | 255,557 | 2,021 | |
Segro plc | 174,928 | 1,654 | |
UNITE Group plc (The) | 371,900 | 3,711 | |
Workspace Group plc | 211,800 | 1,987 | |
10,920 | |||
United States—56.8% | |||
Alexandria Real Estate Equities, Inc. | 43,865 | 6,012 | |
American Homes 4 Rent Class A | 147,550 | 3,423 | |
Americold Realty Trust | 115,711 | 3,939 | |
Apartment Investment & Management Co. Class A | 81,831 | 2,876 | |
AvalonBay Communities, Inc. | 42,465 | 6,250 | |
Brixmor Property Group, Inc. | 214,533 | 2,038 | |
Cousins Properties, Inc. | 123,100 | 3,603 | |
Crown Castle International Corp. | 36,150 | 5,220 | |
CubeSmart | 144,475 | 3,870 | |
CyrusOne, Inc. | 54,861 | 3,388 | |
Douglas Emmett, Inc. | 85,905 | 2,621 | |
Duke Realty Corp. | 198,596 | 6,431 | |
Equinix, Inc. | 11,950 | 7,464 | |
Equity Residential | 104,115 | 6,425 | |
Essex Property Trust, Inc. | 7,077 | 1,559 | |
Extra Space Storage, Inc. | 50,365 | 4,823 | |
Healthcare Trust of America, Inc. Class A | 150,600 | 3,657 | |
Healthpeak Properties, Inc. | 242,400 | 5,781 | |
Host Hotels & Resorts, Inc. | 64,806 | 715 | |
Invitation Homes, Inc. | 161,610 | 3,454 | |
Mid-America Apartment Communities, Inc. | 30,200 | 3,112 | |
Prologis, Inc. | 139,234 | 11,190 | |
Regency Centers Corp. | 45,950 | 1,766 | |
Rexford Industrial Realty, Inc. | 56,700 | 2,325 |
Shares | Value | ||
United States—continued | |||
RLJ Lodging Trust | 56,507 | $436 | |
Ryman Hospitality Properties, Inc. | 44,236 | 1,586 | |
Simon Property Group, Inc. | 31,631 | 1,735 | |
Spirit Realty Capital, Inc. | 98,616 | 2,579 | |
STORE Capital Corp. | 116,135 | 2,104 | |
Sun Communities, Inc. | 42,306 | 5,282 | |
VICI Properties, Inc. | 180,050 | 2,996 | |
Welltower, Inc. | 74,600 | 3,415 | |
122,075 | |||
Total Common Stocks (Identified Cost $231,070) | 210,391 | ||
Total Long-Term Investments—98.0% (Identified Cost $231,070) | 210,391 | ||
TOTAL INVESTMENTS—98.0% (Identified Cost $231,070) | $210,391 | ||
Other assets and liabilities, net—2.0% | 4,383 | ||
NET ASSETS—100.0% | $214,774 |
Abbreviation: | |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(2) | Non-income producing. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2020, these securities amounted to a value of $2,930 or 1.4% of net assets. |
Country Weightings† | |
United States | 58% |
Japan | 11 |
United Kingdom | 5 |
Germany | 5 |
Canada | 4 |
Spain | 3 |
Hong Kong | 3 |
Other | 11 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Table of Contents
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Equity Securities: | |||||||
Common Stocks | $210,391 | $130,996 | $79,395 | $—(1) | |||
Total Investments | $210,391 | $130,996 | $79,395 | $— |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Table of Contents
Shares | Value | ||
Common Stocks—97.6% | |||
Australia—5.8% | |||
Dexus | 216,718 | $1,201 | |
GPT Group (The) - In Specie(1)(2) | 588,920 | — | |
National Storage REIT | 1,083,504 | 1,051 | |
2,252 | |||
Belgium—4.6% | |||
Warehouses De Pauw CVA | 62,205 | 1,776 | |
Canada—7.5% | |||
Boardwalk Real Estate Investment Trust | 41,000 | 668 | |
Granite Real Estate Investment Trust | 33,876 | 1,399 | |
Summit Industrial Income REIT | 133,000 | 838 | |
2,905 | |||
China—1.7% | |||
GDS Holdings Ltd. ADR(2) | 11,700 | 678 | |
France—1.8% | |||
Klepierre SA | 36,331 | 692 | |
Germany—10.2% | |||
Aroundtown SA | 152,640 | 764 | |
Deutsche Wohnen SE | 26,800 | 1,016 | |
Vonovia SE | 43,374 | 2,157 | |
3,937 | |||
Hong Kong—10.5% | |||
Hysan Development Co., Ltd. | 168,000 | 543 | |
Link REIT | 232,441 | 1,959 | |
Swire Properties Ltd. | 562,000 | 1,570 | |
4,072 | |||
India—1.6% | |||
Ascendas India Trust | 754,100 | 634 | |
Ireland—2.1% | |||
Irish Residential Properties REIT plc | 604,000 | 818 | |
Japan—24.8% | |||
Ichigo Office REIT Investment Corp. | 555 | 385 | |
Invesco Office J-REIT, Inc. | 7,354 | 974 | |
Kenedix Office Investment Corp. | 200 | 1,059 | |
Kenedix Residential Next Investment Corp. | 891 | 1,394 | |
LaSalle Logiport REIT | 360 | 488 | |
Mitsubishi Estate Co., Ltd. | 169,700 | 2,506 |
Shares | Value | ||
Japan—continued | |||
Mitsui Fudosan Logistics Park, Inc. | 341 | $1,443 | |
Nippon Prologis REIT, Inc. | 544 | 1,369 | |
9,618 | |||
Norway—3.0% | |||
Entra ASA 144A(3) | 96,822 | 1,156 | |
Singapore—2.5% | |||
Mapletree Industrial Trust | 561,600 | 954 | |
Spain—5.3% | |||
Inmobiliaria Colonial Socimi SA | 111,500 | 1,051 | |
Merlin Properties Socimi SA | 131,800 | 995 | |
2,046 | |||
Sweden—4.1% | |||
Catena AB | 16,800 | 488 | |
Kungsleden AB | 147,700 | 1,111 | |
1,599 | |||
United Kingdom—12.1% | |||
Derwent London plc | 13,481 | 545 | |
Safestore Holdings plc | 131,326 | 1,038 | |
Segro plc | 106,368 | 1,005 | |
UNITE Group plc (The) | 119,400 | 1,192 | |
Workspace Group plc | 97,700 | 917 | |
4,697 | |||
Total Common Stocks (Identified Cost $39,431) | 37,834 | ||
Total Long-Term Investments—97.6% (Identified Cost $39,431) | 37,834 | ||
Short-Term Investment—0.3% | |||
Money Market Mutual Fund—0.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.290%)(4) | 126,236 | 126 | |
Total Short-Term Investment (Identified Cost $126) | 126 | ||
TOTAL INVESTMENTS—97.9% (Identified Cost $39,557) | $37,960 | ||
Other assets and liabilities, net—2.1% | 816 | ||
NET ASSETS—100.0% | $38,776 |
Abbreviations: | |
ADR | American Depositary Receipt |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(2) | Non-income producing. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2020, these securities amounted to a value of $1,156 or 3.0% of net assets. |
(4) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
Japan | 25% |
United Kingdom | 12 |
Hong Kong | 11 |
Germany | 10 |
Canada | 8 |
Australia | 6 |
Spain | 5 |
Other | 23 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Table of Contents
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Equity Securities: | |||||||
Common Stocks | $37,834 | $3,582 | $34,252 | $—(1) | |||
Money Market Mutual Fund | 126 | 126 | — | — | |||
Total Investments | $37,960 | $3,708 | $34,252 | $— |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Table of Contents
Shares | Value | ||
Affiliated Mutual Funds(1)—67.1% | |||
Equity Funds—55.4% | |||
Virtus Duff & Phelps Global Infrastructure Fund Class R6 | 534,873 | $6,686 | |
Virtus Duff & Phelps Global Real Estate Securities Fund Class R6 | 252,629 | 6,303 | |
Virtus Duff & Phelps Select MLP and Energy Fund Class I | 402,987 | 1,733 | |
14,722 | |||
Fixed Income Fund—11.7% | |||
Virtus Newfleet Senior Floating Rate Fund Class R6 | 407,427 | 3,125 | |
Total Affiliated Mutual Funds (Identified Cost $18,693) | 17,847 | ||
Exchange-Traded Funds(1)—28.3% | |||
Invesco DB Commodity Index Tracking Fund | 73,524 | 827 | |
Invesco DB Gold Fund | 55,000 | 2,563 | |
Schwab U.S. TIPS ETF | 42,500 | 2,444 |
Shares | Value | ||
SPDR S&P Global Natural Resources ETF | 55,000 | $1,702 | |
Total Exchange-Traded Funds (Identified Cost $8,291) | 7,536 | ||
Total Long-Term Investments—95.4% (Identified Cost $26,984) | 25,383 | ||
Short-Term Investment—4.4% | |||
Money Market Mutual Fund(1)—4.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.290%) | 1,160,248 | 1,160 | |
Total Short-Term Investment (Identified Cost $1,160) | 1,160 | ||
TOTAL INVESTMENTS—99.8% (Identified Cost $28,144) | $26,543 | ||
Other assets and liabilities, net—0.2% | 47 | ||
NET ASSETS—100.0% | $26,590 |
Abbreviations: | |
DB | Deutsche Bank AG |
ETF | Exchange-Traded Fund |
MLP | Master Limited Partnership |
SPDR | S&P Depositary Receipt |
TIPS | Treasury-Inflation Protected Securities |
Footnote Legend: | |
(1) | Shares of these funds are publicly offered, and the prospectus and annual reports of each are publicly available. |
Total Value at March 31, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Exchange-Traded Funds | $7,536 | $7,536 | |
Affiliated Mutual Funds | 17,847 | 17,847 | |
Money Market Mutual Fund | 1,160 | 1,160 | |
Total Investments | $26,543 | $26,543 |
Table of Contents
Shares | Value | ||
Closed End Funds(1)—80.4% | |||
Equity Funds—11.4% | |||
Cornerstone Strategic Value Fund, Inc. | 241,663 | $1,962 | |
Cornerstone Total Return Fund, Inc. | 131,630 | 1,048 | |
3,010 | |||
Fixed Income Funds—52.5% | |||
Advent Convertible and Income Fund | 26,693 | 284 | |
Apollo Tactical Income Fund, Inc. | 62,227 | 705 | |
BlackRock Debt Strategies Fund, Inc. | 40,261 | 340 | |
Eaton Vance Ltd. Duration Income Fund | 147,531 | 1,559 | |
Eaton Vance Short Duration Diversified Income Fund | 133,083 | 1,455 | |
Highland Income Fund | 343,124 | 2,927 | |
Nuveen Credit Strategies Income Fund | 236,943 | 1,343 | |
OFS Credit Co., Inc. | 59,680 | 395 | |
PGIM High Yield Bond Fund, Inc. | 139,515 | 1,616 | |
Pioneer Municipal High Income Advantage Trust | 39,748 | 405 | |
RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. | 57,260 | 733 | |
Vertical Capital Income Fund | 140,431 | 1,177 | |
Western Asset High Income Fund II, Inc. | 58,761 | 294 |
Shares | Value | ||
Fixed Income Funds—continued | |||
Western Asset Mortgage Opportunity Fund, Inc. | 44,251 | $566 | |
13,799 | |||
International Equity Funds—10.9% | |||
NexPoint Strategic Opportunities Fund | 346,725 | 2,864 | |
International Fixed Income Funds—5.6% | |||
BrandywineGLOBAL Global Income Opportunities Fund, Inc. | 90 | 1 | |
PGIM Global High Yield Fund, Inc. | 132,893 | 1,470 | |
1,471 | |||
Total Closed End Funds (Identified Cost $29,682) | 21,144 | ||
Preferred Stocks—17.8% | |||
Financials—17.8% | |||
Allied Capital Corp., 6.875% | 41,639 | 975 | |
Eagle Point Credit Co., Inc., 6.750% | 28,519 | 592 | |
Medallion Financial Corp., 9.000% | 66,421 | 1,422 | |
OFS Capital Corp., 6.375% | 1,899 | 36 | |
Oxford Lane Capital Corp., 6.750% | 42,951 | 795 | |
Oxford Lane Capital Corp., 6.250% | 696 | 12 |
Shares | Value | ||
Financials—continued | |||
Oxford Square Capital Corp., 6.500% | 8,000 | $146 | |
PennantPark Investment Corp. Series C, 5.500% | 1,100 | 20 | |
Prospect Capital Corp., 6.250% | 33,589 | 696 | |
4,694 | |||
Total Preferred Stocks (Identified Cost $4,125) | 4,694 | ||
Total Long-Term Investments—98.2% (Identified Cost $33,807) | 25,838 | ||
TOTAL INVESTMENTS—98.2% (Identified Cost $33,807) | $25,838 | ||
Other assets and liabilities, net—1.8% | 465 | ||
NET ASSETS—100.0% | $26,303 |
Footnote Legend: | |
(1) | Shares of these funds are publicly offered, and the prospectus and annual reports of each are publicly available. |
Total Value at March 31, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Closed End Funds | $21,144 | $21,144 | |
Preferred Stocks | 4,694 | 4,694 | |
Total Investments | $25,838 | $25,838 |
Table of Contents
Shares | Value | ||
Common Stocks—100.0% | |||
Communication Services—12.9% | |||
Alphabet, Inc. Class C(1) | 140 | $163 | |
AMC Networks, Inc. Class A(1) | 5,604 | 136 | |
Comcast Corp. Class A | 4,347 | 149 | |
Discovery, Inc. Class C(1) | 8,282 | 145 | |
DISH Network Corp. Class A(1) | 7,159 | 143 | |
Facebook, Inc. Class A(1) | 1,022 | 171 | |
Fox Corp. Class A | 6,854 | 162 | |
GCI Liberty, Inc. Class A(1) | 3,550 | 202 | |
IAC/InterActiveCorp(1) | 1,118 | 200 | |
Liberty Braves Group Class C(1) | 9,922 | 189 | |
Liberty Broadband Corp. Class C(1) | 1,627 | 180 | |
Liberty Formula One Class C(1) | 6,516 | 177 | |
Liberty Global plc Class C(1) | 9,416 | 148 | |
Liberty Latin America Ltd. Class C(1) | 16,455 | 169 | |
Liberty Sirius XM Group Class C(1) | 5,361 | 170 | |
Liberty TripAdvisor Holdings, Inc. Class A(1) | 123,854 | 223 | |
Lions Gate Entertainment Corp. Class B(1) | 24,846 | 139 | |
Madison Square Garden Co. (The) Class A(1) | 765 | 162 | |
MSG Networks, Inc. Class A(1) | 12,909 | 132 | |
News Corp. Class A | 16,169 | 145 | |
ViacomCBS, Inc. Class B | 12,379 | 173 | |
3,478 | |||
Consumer Discretionary—24.0% | |||
Amazon.com, Inc.(1) | 83 | 162 | |
American Eagle Outfitters, Inc. | 17,050 | 136 | |
AutoNation, Inc.(1) | 5,992 | 168 | |
Buckle, Inc. (The) | 9,453 | 130 | |
Carnival Corp. | 15,658 | 206 | |
Choice Hotels International, Inc. | 2,794 | 171 | |
Columbia Sportswear Co. | 2,465 | 172 | |
Designer Brands, Inc. Class A | 26,826 | 134 | |
Dick’s Sporting Goods, Inc. | 8,401 | 179 | |
Dillard’s, Inc. Class A | 3,504 | 129 | |
eBay, Inc. | 5,278 | 159 | |
Expedia Group, Inc. | 3,232 | 182 | |
Gap, Inc. (The) | 19,354 | 136 | |
Garmin Ltd. | 2,229 | 167 | |
Horton (D.R.), Inc. | 5,209 | 177 | |
Hyatt Hotels Corp. Class A | 3,930 | 188 | |
L Brands, Inc. | 14,556 | 168 | |
Lands’ End, Inc.(1) | 23,061 | 123 | |
Las Vegas Sands Corp. | 3,878 | 165 | |
Lennar Corp. Class A | 4,944 | 189 | |
Marriott International, Inc. Class A | 2,342 | 175 |
Shares | Value | ||
Consumer Discretionary—continued | |||
Marriott Vacations Worldwide Corp. | 3,783 | $210 | |
Mohawk Industries, Inc.(1) | 2,355 | 180 | |
Newell Brands, Inc. | 12,575 | 167 | |
Nordstrom, Inc. | 7,352 | 113 | |
Penn National Gaming, Inc.(1) | 25,685 | 325 | |
Penske Automotive Group, Inc. | 6,694 | 187 | |
Qurate Retail, Inc. Class A(1) | 35,036 | 214 | |
Ralph Lauren Corp. | 2,217 | 148 | |
Red Rock Resorts, Inc. Class A | 27,066 | 231 | |
Restaurant Brands International, Inc. | 5,215 | 209 | |
Tenneco, Inc. Class A | 48,270 | 174 | |
Tesla, Inc.(1) | 365 | 191 | |
Under Armour, Inc. Class C(1) | 19,550 | 158 | |
Urban Outfitters, Inc.(1) | 9,712 | 138 | |
Wendy’s Co. (The) | 14,647 | 218 | |
WW International, Inc.(1) | 10,426 | 176 | |
6,455 | |||
Consumer Staples—6.9% | |||
Boston Beer Co., Inc. (The) Class A(1) | 492 | 181 | |
Brown-Forman Corp. Class B | 2,775 | 154 | |
Constellation Brands, Inc. Class A | 1,271 | 182 | |
Estee Lauder Cos., Inc. (The) Class A | 999 | 159 | |
Hostess Brands, Inc.(1) | 15,242 | 163 | |
Lancaster Colony Corp. | 955 | 138 | |
Monster Beverage Corp.(1) | 2,882 | 162 | |
Nomad Foods Ltd.(1) | 9,879 | 184 | |
PriceSmart, Inc. | 3,355 | 176 | |
Spectrum Brands Holdings, Inc. | 5,781 | 210 | |
Tootsie Roll Industries, Inc. | 4,398 | 158 | |
1,867 | |||
Energy—4.4% | |||
Cheniere Energy, Inc.(1) | 4,928 | 165 | |
Continental Resources, Inc. | 17,190 | 131 | |
CVR Energy, Inc. | 7,876 | 130 | |
Exterran Corp.(1) | 31,387 | 151 | |
Hess Corp. | 5,044 | 168 | |
Par Pacific Holdings, Inc.(1) | 19,694 | 140 | |
RPC, Inc. | 62,478 | 129 | |
W&T Offshore, Inc.(1) | 95,976 | 163 | |
1,177 | |||
Financials—13.9% | |||
American Financial Group, Inc. | 2,972 | 208 | |
Berkley (W.R.) Corp. | 3,231 | 169 | |
Berkshire Hathaway, Inc. Class B(1) | 895 | 164 | |
BOK Financial Corp. | 3,924 | 167 | |
Brown & Brown, Inc. | 4,502 | 163 |
Shares | Value | ||
Financials—continued | |||
Charles Schwab Corp. (The) | 4,908 | $165 | |
Cohen & Steers, Inc. | 4,037 | 183 | |
Erie Indemnity Co. Class A | 971 | 144 | |
First Citizens BancShares, Inc. Class A | 495 | 165 | |
Franklin Resources, Inc. | 8,040 | 134 | |
Greenlight Capital Re Ltd. Class A(1) | 26,850 | 160 | |
Hilltop Holdings, Inc. | 11,904 | 180 | |
Interactive Brokers Group, Inc. Class A | 3,846 | 166 | |
Jefferies Financial Group, Inc. | 11,425 | 156 | |
Loews Corp. | 4,191 | 146 | |
Mercury General Corp. | 4,477 | 182 | |
Morningstar, Inc. | 1,422 | 165 | |
National General Holdings Corp. | 11,349 | 188 | |
PJT Partners, Inc. Class A | 5,657 | 245 | |
Raymond James Financial, Inc. | 2,339 | 148 | |
Third Point Reinsurance Ltd.(1) | 25,591 | 190 | |
Virtu Financial, Inc. Class A | 7,566 | 158 | |
3,746 | |||
Health Care—3.2% | |||
AquaBounty Technologies, Inc.(1) | 94,468 | 154 | |
Bruker Corp. | 4,365 | 156 | |
Danaher Corp. | 1,260 | 174 | |
NantKwest, Inc.(1) | 53,702 | 155 | |
Precigen, Inc.(1) | 61,120 | 208 | |
847 | |||
Industrials—12.7% | |||
Air Lease Corp. | 10,561 | 234 | |
Atlas Corp. | 23,688 | 182 | |
Cintas Corp. | 854 | 148 | |
Colfax Corp.(1) | 9,772 | 194 | |
Covanta Holding Corp. | 17,463 | 149 | |
FedEx Corp. | 1,402 | 170 | |
Fortive Corp. | 3,391 | 187 | |
Heartland Express, Inc. | 8,957 | 166 | |
Herc Holdings, Inc.(1) | 10,723 | 219 | |
Hertz Global Holdings, Inc.(1) | 37,657 | 233 | |
MasTec, Inc.(1) | 5,726 | 187 | |
MSC Industrial Direct Co., Inc. Class A | 3,098 | 170 | |
Navistar International Corp.(1) | 8,658 | 143 | |
Rollins, Inc. | 4,389 | 159 | |
Timken Co. (The) | 5,504 | 178 | |
W.W. Grainger, Inc. | 666 | 166 | |
Welbilt, Inc.(1) | 36,756 | 189 | |
Werner Enterprises, Inc. | 4,602 | 167 | |
XPO Logistics, Inc.(1) | 3,721 | 181 | |
3,422 | |||
Information Technology—8.6% | |||
Amkor Technology, Inc.(1) | 24,137 | 188 |
Table of Contents
Shares | Value | ||
Information Technology—continued | |||
Cloudera, Inc.(1) | 23,055 | $181 | |
Conduent, Inc.(1) | 83,691 | 205 | |
EchoStar Corp. Class A(1) | 5,248 | 168 | |
Intuit, Inc. | 723 | 166 | |
Oracle Corp. | 3,465 | 168 | |
Paychex, Inc. | 2,694 | 170 | |
Pegasystems, Inc. | 2,363 | 168 | |
RealPage, Inc.(1) | 3,502 | 185 | |
salesforce.com, Inc.(1) | 1,120 | 161 | |
SS&C Technologies Holdings, Inc. | 4,108 | 180 | |
TTEC Holdings, Inc. | 5,368 | 197 | |
Xerox Holdings Corp. | 8,954 | 170 | |
2,307 | |||
Materials—4.9% | |||
Element Solutions, Inc.(1) | 21,039 | 176 | |
LyondellBasell Industries NV Class A | 3,617 | 179 | |
NewMarket Corp. | 401 | 153 | |
Novagold Resources, Inc.(1) | 20,901 | 154 | |
Scotts Miracle-Gro Co. (The) | 1,744 | 179 | |
Silgan Holdings, Inc. | 5,914 | 172 | |
TimkenSteel Corp.(1) | 47,572 | 154 | |
Westlake Chemical Corp. | 4,216 | 161 | |
1,328 | |||
Real Estate—8.5% | |||
American Homes 4 Rent Class A | 7,525 | 175 | |
Colony Capital, Inc. | 106,971 | 187 |
Shares | Value | ||
Real Estate—continued | |||
Equity LifeStyle Properties, Inc. | 3,361 | $193 | |
Equity Residential | 2,581 | 159 | |
Gaming and Leisure Properties, Inc. | 8,903 | 247 | |
Host Hotels & Resorts, Inc. | 15,101 | 167 | |
Howard Hughes Corp. (The)(1) | 3,450 | 174 | |
JBG SMITH Properties | 5,453 | 174 | |
Marcus & Millichap, Inc.(1) | 5,765 | 156 | |
Seritage Growth Properties Class A | 18,378 | 167 | |
Simon Property Group, Inc. | 2,808 | 154 | |
Urban Edge Properties | 18,178 | 160 | |
Vornado Realty Trust | 4,740 | 172 | |
2,285 | |||
Total Common Stocks (Identified Cost $28,246) | 26,912 | ||
Total Long-Term Investments—100.0% (Identified Cost $28,246) | 26,912 | ||
TOTAL INVESTMENTS—100.0% (Identified Cost $28,246) | $26,912 | ||
Other assets and liabilities, net—0.0% | 1 | ||
NET ASSETS—100.0% | $26,913 |
Footnote Legend: | |
(1) | Non-income producing. |
Country Weightings† | |
United States | 93% |
Canada | 2 |
Bermuda | 1 |
Virgin Islands(British) | 1 |
Marshall Islands | 1 |
Netherlands | 1 |
Switzerland | 1 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Total Value at March 31, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $26,912 | $26,912 | |
Total Investments | $26,912 | $26,912 |
Table of Contents
Shares | Value | ||
Common Stocks—90.0% | |||
Communication Services—24.0% | |||
Addcn Technology Co., Ltd. (Taiwan) | 559,000 | $3,610 | |
Auto Trader Group plc (United Kingdom) | 752,750 | 4,068 | |
Autohome, Inc. ADR (China)(1) | 49,881 | 3,542 | |
carsales.com Ltd. (Australia) | 432,903 | 3,111 | |
Sarana Menara Nusantara Tbk PT (Indonesia) | 72,560,800 | 2,994 | |
Sea Ltd. ADR (Thailand)(1) | 118,800 | 5,264 | |
Wirtualna Polska Holding SA (Poland) | 186,490 | 2,414 | |
Wise Talent Information Technology Co., Ltd. (China)(1) | 276,400 | 553 | |
Yandex N.V. Class A (Russia)(1) | 72,900 | 2,482 | |
28,038 | |||
Consumer Discretionary—2.6% | |||
Union Auction PCL (Thailand) | 24,380,000 | 3,076 | |
Consumer Staples—12.9% | |||
Anhui Gujing Distillery Co., Ltd. Class B (China) | 386,300 | 3,029 | |
Carlsberg Brewery Malaysia Bhd (Malaysia) | 250,000 | 1,436 | |
Cia Cervecerias Unidas SA Sponsored ADR (Chile) | 131,053 | 1,754 | |
Heineken Malaysia Bhd (Malaysia) | 779,600 | 3,923 | |
Taisun International Holding Corp. (Taiwan) | 1,230,074 | 4,879 | |
15,021 | |||
Financials—5.0% | |||
Vostok New Ventures Ltd. SDR (Sweden)(1) | 1,087,147 | 5,791 | |
Health Care—1.8% | |||
Haw Par Corp., Ltd. (Singapore) | 294,000 | 2,123 |
Shares | Value | ||
Industrials—31.7% | |||
51job, Inc. ADR (China)(1) | 38,842 | $2,385 | |
HeadHunter Group plc ADR (Russia) | 430,800 | 6,880 | |
Kerry TJ Logistics Co., Ltd. (Taiwan) | 2,986,000 | 3,570 | |
Marel HF (Iceland) | 833,700 | 3,239 | |
NICE Information Service Co., Ltd. (South Korea) | 504,160 | 5,432 | |
S-1 Corp. (South Korea) | 67,244 | 4,438 | |
SaraminHR Co., Ltd. (South Korea) | 163,400 | 3,206 | |
Sporton International, Inc. (Taiwan) | 520,720 | 2,715 | |
Taiwan Secom Co., Ltd. (Taiwan) | 406,874 | 1,098 | |
Voltronic Power Technology Corp. (Taiwan) | 193,500 | 4,021 | |
36,984 | |||
Information Technology—9.4% | |||
Douzone Bizon Co., Ltd. (South Korea) | 22,892 | 1,510 | |
Humanica PCL Foreign Shares (Thailand) | 14,226,600 | 2,637 | |
TOTVS SA (Brazil) | 252,959 | 2,264 | |
Webcash Corp. (South Korea) | 146,935 | 4,626 | |
11,037 | |||
Materials—2.6% | |||
Corp. Moctezuma SAB de C.V. (Mexico) | 1,372,583 | 3,027 | |
Total Common Stocks (Identified Cost $112,614) | 105,097 | ||
Total Long-Term Investments—90.0% (Identified Cost $112,614) | 105,097 | ||
Shares | Value | ||
Short-Term Investment—9.8% | |||
Money Market Mutual Fund—9.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.290%)(2) | 11,464,992 | $11,465 | |
Total Short-Term Investment (Identified Cost $11,465) | 11,465 | ||
TOTAL INVESTMENTS—99.8% (Identified Cost $124,079) | $116,562 | ||
Other assets and liabilities, net—0.2% | 288 | ||
NET ASSETS—100.0% | $116,850 |
Abbreviations: | |
ADR | American Depositary Receipt |
SDR | Swedish Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
Taiwan | 17% |
South Korea | 16 |
United States | 10 |
Thailand | 9 |
China | 8 |
Russia | 8 |
Sweden | 5 |
Other | 27 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Table of Contents
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $105,097 | $33,864 | $71,233 | ||
Money Market Mutual Fund | 11,465 | 11,465 | — | ||
Total Investments | $116,562 | $45,329 | $71,233 |
Table of Contents
Shares | Value | ||
Common Stocks—97.3% | |||
Communication Services—28.4% | |||
Addcn Technology Co., Ltd. (Taiwan) | 2,497,000 | $16,125 | |
Adevinta ASA (Norway)(1) | 3,673,743 | 33,259 | |
Ascential plc (United Kingdom) | 13,356,562 | 40,598 | |
Auto Trader Group plc (United Kingdom) | 14,369,960 | 77,652 | |
carsales.com Ltd. (Australia) | 2,793,361 | 20,071 | |
CTS Eventim AG & Co. KGaA (Germany) | 389,600 | 17,827 | |
Karnov Group AB (Sweden)(1) | 9,090,198 | 47,297 | |
MarkLines Co., Ltd. (Japan) | 791,000 | 11,873 | |
Rightmove plc (United Kingdom) | 13,433,610 | 81,017 | |
Scout24 AG (Germany) | 1,232,469 | 73,676 | |
419,395 | |||
Consumer Discretionary—5.5% | |||
Goldlion Holdings Ltd. (Hong Kong) | 25,251,816 | 5,666 | |
Mercari, Inc. (Japan)(1) | 2,314,200 | 44,944 | |
Moneysupermarket.com Group plc (United Kingdom) | 8,202,127 | 30,480 | |
81,090 | |||
Consumer Staples—6.3% | |||
Anhui Gujing Distillery Co., Ltd. Class B (China) | 2,349,934 | 18,428 | |
Cia Cervecerias Unidas SA Sponsored ADR (Chile) | 2,771,843 | 37,087 | |
Heineken Malaysia Bhd (Malaysia) | 5,639,100 | 28,376 | |
Taisun International Holding Corp. (Taiwan) | 2,280,626 | 9,047 | |
92,938 | |||
Energy—2.3% | |||
Computer Modelling Group Ltd. (Canada) | 5,619,390 | 15,293 | |
Pason Systems, Inc. (Canada) | 4,288,523 | 19,046 | |
34,339 | |||
Financials—12.7% | |||
Euroz Ltd. (Australia) | 6,082,168 | 2,781 | |
Gruppo Mutuionline SpA (Italy) | 1,662,916 | 27,914 |
Shares | Value | ||
Financials—continued | |||
Mortgage Advice Bureau Holdings Ltd. (United Kingdom) | 6,611,087 | $43,151 | |
Numis Corp. plc (United Kingdom) | 5,334,820 | 13,624 | |
Sabre Insurance Group plc (United Kingdom) | 14,966,973 | 53,134 | |
Vostok New Ventures Ltd. SDR (Bermuda)(1) | 8,691,541 | 46,299 | |
186,903 | |||
Health Care—2.9% | |||
Haw Par Corp., Ltd. (Singapore) | 5,881,019 | 42,461 | |
Industrials—26.3% | |||
AIT Corp. (Japan) | 918,500 | 6,207 | |
Asiakastieto Group Oyj (Finland) | 1,058,191 | 29,739 | |
en-japan, Inc. (Japan) | 125,200 | 2,326 | |
Golden Friends Corp. (Taiwan) | 4,158,000 | 7,682 | |
Haitian International Holdings Ltd. (Hong Kong) | 20,126,000 | 37,330 | |
HeadHunter Group plc ADR (Russia) | 5,323,919 | 85,023 | |
Howden Joinery Group plc (United Kingdom) | 4,674,700 | 29,407 | |
Hy-Lok Corp. (South Korea) | 566,397 | 4,756 | |
JOST Werke AG (Germany) | 651,634 | 15,712 | |
Kerry TJ Logistics Co., Ltd. (Taiwan) | 15,556,000 | 18,599 | |
Lumax International Corp., Ltd. (Taiwan) | 7,818,259 | 14,176 | |
Marel HF (Iceland) | 12,883,556 | 50,049 | |
Rotork plc (United Kingdom) | 7,060,300 | 18,680 | |
S-1 Corp. (South Korea) | 154,024 | 10,164 | |
SJR in Scandinavia AB Class B (Sweden) | 432,148 | 740 | |
VAT Group AG (Switzerland) | 175,870 | 23,979 | |
Voltronic Power Technology Corp. (Taiwan) | 1,660,000 | 34,498 | |
389,067 | |||
Information Technology—11.5% | |||
Alten SA (France) | 500,153 | 35,199 | |
Bouvet ASA (Norway) | 1,066,570 | 33,471 | |
Douzone Bizon Co., Ltd. (South Korea) | 242,545 | 16,006 | |
e-Credible Co., Ltd. (South Korea) | 307,062 | 4,322 | |
FDM Group Holdings plc (United Kingdom) | 2,599,590 | 23,596 |
Shares | Value | ||
Information Technology—continued | |||
Fortnox AB (Sweden) | 1,017,524 | $16,869 | |
Rakus Co., Ltd. (Japan) | 213,900 | 3,169 | |
SimCorp A/S (Denmark) | 391,883 | 32,674 | |
Webstep AS (Norway) | 3,119,279 | 4,734 | |
170,040 | |||
Materials—1.4% | |||
Corp. Moctezuma SAB de C.V. (Mexico) | 9,325,218 | 20,563 | |
Total Common Stocks (Identified Cost $1,684,074) | 1,436,796 | ||
Total Long-Term Investments—97.3% (Identified Cost $1,684,074) | 1,436,796 | ||
Short-Term Investment—1.0% | |||
Money Market Mutual Fund—1.0% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.290%)(2) | 13,905,601 | 13,906 | |
Total Short-Term Investment (Identified Cost $13,906) | 13,906 | ||
TOTAL INVESTMENTS—98.3% (Identified Cost $1,697,980) | $1,450,702 | ||
Other assets and liabilities, net—1.7% | 25,727 | ||
NET ASSETS—100.0% | $1,476,429 |
Abbreviations: | |
ADR | American Depositary Receipt |
SDR | Swedish Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United Kingdom | 28% |
Germany | 7 |
Taiwan | 7 |
Russia | 6 |
Norway | 5 |
Japan | 5 |
Sweden | 5 |
Other | 37 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Table of Contents
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $1,436,796 | $193,881 | $1,242,915 | ||
Money Market Mutual Fund | 13,906 | 13,906 | — | ||
Total Investments | $1,450,702 | $207,787 | $1,242,915 |
Table of Contents
Shares | Value | ||
Common Stocks—93.8% | |||
Communication Services—29.1% | |||
Adevinta ASA (Norway)(1) | 31,678 | $287 | |
Ascential plc (United Kingdom) | 62,587 | 190 | |
Auto Trader Group plc (United Kingdom) | 85,580 | 462 | |
carsales.com Ltd. (Australia) | 16,152 | 116 | |
CTS Eventim AG & Co. KGaA (Germany) | 6,177 | 283 | |
Karnov Group AB (Sweden)(1) | 52,174 | 271 | |
MarkLines Co., Ltd. (Japan) | 2,100 | 32 | |
Rightmove plc (United Kingdom) | 79,929 | 482 | |
Scout24 AG (Germany) | 6,575 | 393 | |
Yandex N.V. Class A (Russia)(1) | 4,479 | 153 | |
2,669 | |||
Consumer Discretionary—3.5% | |||
Mercari, Inc. (Japan)(1) | 11,100 | 215 | |
Union Auction PCL (Thailand) | 791,000 | 100 | |
315 | |||
Consumer Staples—1.4% | |||
Cia Cervecerias Unidas SA Sponsored ADR (Chile) | 9,776 | 131 | |
Energy—1.3% | |||
Pason Systems, Inc. (Canada) | 25,899 | 115 | |
Financials—11.7% | |||
Gruppo Mutuionline SpA (Italy) | 16,700 | 280 | |
Mortgage Advice Bureau Holdings Ltd. (United Kingdom) | 46,533 | 304 | |
Sabre Insurance Group plc (United Kingdom) | 58,551 | 208 | |
Vostok New Ventures Ltd. SDR (Bermuda)(1) | 52,937 | 282 | |
1,074 | |||
Health Care—1.8% | |||
Haw Par Corp., Ltd. (Singapore) | 23,000 | 166 | |
Industrials—26.2% | |||
51job, Inc. ADR (China)(1) | 3,059 | 188 |
Shares | Value | ||
Industrials—continued | |||
Asiakastieto Group Oyj (Finland) | 3,385 | $95 | |
DSV PANALPINA A/S (Denmark) | 1,640 | 149 | |
en-japan, Inc. (Japan) | 200 | 4 | |
Haitian International Holdings Ltd. (Hong Kong) | 70,000 | 130 | |
HeadHunter Group plc ADR (Russia) | 32,002 | 511 | |
JOST Werke AG (Germany) | 2,181 | 53 | |
Knorr-Bremse AG (Germany) | 1,870 | 165 | |
Marel HF (Iceland) | 50,477 | 196 | |
MTU Aero Engines AG (Germany) | 791 | 114 | |
Rotork plc (United Kingdom) | 40,194 | 106 | |
S-1 Corp. (South Korea) | 1,804 | 119 | |
Simplybiz Group plc (The) (United Kingdom) | 95,937 | 173 | |
VAT Group AG (Switzerland) | 1,119 | 153 | |
Voltronic Power Technology Corp. (Taiwan) | 12,000 | 249 | |
2,405 | |||
Information Technology—15.4% | |||
Admicom Oyj (Finland) | 1,420 | 104 | |
Alten SA (France) | 3,515 | 247 | |
Bouvet ASA (Norway) | 5,188 | 163 | |
FDM Group Holdings plc (United Kingdom) | 15,911 | 145 | |
Fortnox AB (Sweden) | 8,636 | 143 | |
Freee KK (Japan)(1) | 5,300 | 170 | |
SimCorp A/S (Denmark) | 2,913 | 243 | |
Webcash Corp. (South Korea) | 6,355 | 200 | |
1,415 | |||
Materials—3.4% | |||
Chr. Hansen Holding A/S (Denmark) | 2,321 | 171 | |
Corp. Moctezuma SAB de C.V. (Mexico) | 63,122 | 139 | |
310 | |||
Total Common Stocks (Identified Cost $8,611) | 8,600 | ||
Total Long-Term Investments—93.8% (Identified Cost $8,611) | 8,600 | ||
Shares | Value | ||
Short-Term Investment—6.4% | |||
Money Market Mutual Fund—6.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.290%)(2) | 591,752 | $592 | |
Total Short-Term Investment (Identified Cost $592) | 592 | ||
TOTAL INVESTMENTS—100.2% (Identified Cost $9,203) | $9,192 | ||
Other assets and liabilities, net—(0.2)% | (20) | ||
NET ASSETS—100.0% | $9,172 |
Abbreviations: | |
ADR | American Depositary Receipt |
SDR | Swedish Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United Kingdom | 23% |
Germany | 11 |
Russia | 7 |
United States | 6 |
Denmark | 6 |
Norway | 5 |
Japan | 5 |
Other | 37 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Table of Contents
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $8,600 | $1,480 | $7,120 | ||
Money Market Mutual Fund | 592 | 592 | — | ||
Total Investments | $9,192 | $2,072 | $7,120 |
Table of Contents
Shares | Value | ||
Common Stocks—4.9% | |||
Consumer Staples—1.7% | |||
Kroger Co. (The) | 117,292 | $3,533 | |
Health Care—1.6% | |||
AbbVie, Inc. | 9,727 | 741 | |
Alexion Pharmaceuticals, Inc.(1) | 1,467 | 132 | |
Amgen, Inc. | 4,049 | 821 | |
Biogen, Inc.(1) | 1,191 | 377 | |
Gilead Sciences, Inc. | 8,491 | 635 | |
Incyte Corp.(1) | 1,195 | 87 | |
Regeneron Pharmaceuticals, Inc.(1) | 529 | 258 | |
Vertex Pharmaceuticals, Inc.(1) | 1,686 | 401 | |
3,452 | |||
Shares | Value | ||
Materials—1.6% | |||
Newmont Corp. | 77,538 | $3,511 | |
Total Common Stocks (Identified Cost $10,057) | 10,496 | ||
Total Long-Term Investments—4.9% (Identified Cost $10,057) | 10,496 | ||
Short-Term Investment—92.3% | |||
Money Market Mutual Fund—92.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.290%)(2) | 197,064,019 | 197,064 | |
Total Short-Term Investment (Identified Cost $197,064) | 197,064 | ||
TOTAL INVESTMENTS—97.2% (Identified Cost $207,121) | $207,560 | ||
Other assets and liabilities, net—2.8% | 5,897 | ||
NET ASSETS—100.0% | $213,457 |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at March 31, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $10,496 | $10,496 | |
Money Market Mutual Fund | 197,064 | 197,064 | |
Total Investments | $207,560 | $207,560 |
Table of Contents
Shares | Value | ||
Common Stocks—1.7% | |||
Consumer Staples—0.6% | |||
Kroger Co. (The) | 7,845 | $236 | |
Health Care—0.6% | |||
AbbVie, Inc. | 650 | 49 | |
Alexion Pharmaceuticals, Inc.(1) | 98 | 9 | |
Amgen, Inc. | 271 | 55 | |
Biogen, Inc.(1) | 80 | 25 | |
Gilead Sciences, Inc. | 570 | 43 | |
Incyte Corp.(1) | 80 | 6 | |
Regeneron Pharmaceuticals, Inc.(1) | 35 | 17 | |
Vertex Pharmaceuticals, Inc.(1) | 113 | 27 | |
231 | |||
Materials—0.5% | |||
Newmont Corp. | 5,052 | 229 | |
Total Common Stocks (Identified Cost $669) | 696 | ||
Exchange-Traded Funds(2)—40.0% | |||
Invesco DB Gold Fund | 27,765 | 1,294 | |
Invesco DB US Dollar Index Bullish Fund | 49,098 | 1,317 | |
iShares 1-3 Year Treasury Bond ETF | 82,537 | 7,154 |
Shares | Value | ||
iShares 20+ Year Treasury Bond ETF | 28,841 | $4,758 | |
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF | 14,464 | 1,325 | |
Total Exchange-Traded Funds (Identified Cost $14,957) | 15,848 | ||
Total Long-Term Investments—41.7% (Identified Cost $15,626) | 16,544 | ||
Short-Term Investment—53.4% | |||
Money Market Mutual Fund—53.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.290%)(2) | 21,149,589 | 21,150 | |
Total Short-Term Investment (Identified Cost $21,150) | 21,150 | ||
TOTAL INVESTMENTS—95.1% (Identified Cost $36,776) | $37,694 | ||
Other assets and liabilities, net—4.9% | 1,945 | ||
NET ASSETS—100.0% | $39,639 |
Abbreviations: | |
DB | Deutsche Bank AG |
ETF | Exchange-Traded Fund |
SPDR | S&P Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of these funds are publicly offered, and the prospectus and annual reports of each are publicly available. |
Total Value at March 31, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $696 | $696 | |
Exchange-Traded Funds | 15,848 | 15,848 | |
Money Market Mutual Fund | 21,150 | 21,150 | |
Total Investments | $37,694 | $37,694 |
Table of Contents
Shares | Value | ||
Short-Term Investment—95.4% | |||
Money Market Mutual Fund—95.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.290%)(1) | 144,096,815 | $144,097 | |
Total Short-Term Investment (Identified Cost $144,097) | 144,097 | ||
TOTAL INVESTMENTS—95.4% (Identified Cost $144,097) | $144,097 | ||
Other assets and liabilities, net—4.6% | 7,005 | ||
NET ASSETS—100.0% | $151,102 |
Footnote Legend: | |
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at March 31, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Money Market Mutual Fund | $144,097 | $144,097 | |
Total Investments | $144,097 | $144,097 |
Table of Contents
Shares | Value | ||
Common Stocks—97.2% | |||
Communication Services—9.5% | |||
Alphabet, Inc. Class C (United States)(1) | 6,220 | $7,233 | |
Comcast Corp. Class A (United States) | 171,715 | 5,903 | |
Tencent Holdings Ltd. (China) | 149,684 | 7,398 | |
Walt Disney Co. (The) (United States) | 60,834 | 5,877 | |
26,411 | |||
Consumer Discretionary—19.2% | |||
adidas AG (Germany) | 13,522 | 3,002 | |
Alibaba Group Holding Ltd. Sponsored ADR (China)(1) | 43,335 | 8,428 | |
Amazon.com, Inc. (United States)(1) | 6,139 | 11,969 | |
Booking Holdings, Inc. (Netherlands)(1) | 4,430 | 5,960 | |
EssilorLuxottica SA (France) | 32,204 | 3,410 | |
Flutter Entertainment plc (Ireland) | 42,779 | 3,848 | |
LVMH Moet Hennessy Louis Vuitton SE (France) | 10,196 | 3,740 | |
NIKE, Inc. Class B (United States) | 42,856 | 3,546 | |
O’Reilly Automotive, Inc. (United States)(1) | 11,596 | 3,491 | |
Ross Stores, Inc. (United States) | 30,151 | 2,622 | |
Starbucks Corp. (United States) | 52,864 | 3,475 | |
53,491 | |||
Consumer Staples—19.1% | |||
Alimentation Couche-Tard, Inc. Class B (Canada) | 305,724 | 7,201 | |
Anheuser-Busch InBev NV (Belgium) | 113,376 | 5,008 | |
Coca-Cola Co. (The) (United States) | 147,208 | 6,514 | |
Heineken NV (Netherlands) | 64,356 | 5,461 | |
Nestle S.A. Registered Shares (Switzerland) | 95,000 | 9,725 | |
PepsiCo, Inc. (United States) | 46,842 | 5,626 | |
Unilever NV (Netherlands) | 215,397 | 10,587 |
Shares | Value | ||
Consumer Staples—continued | |||
Wal-Mart de Mexico SAB de C.V. (Mexico) | 1,356,515 | $3,196 | |
53,318 | |||
Financials—5.8% | |||
Berkshire Hathaway, Inc. Class B (United States)(1) | 26,380 | 4,823 | |
CME Group, Inc. (United States) | 14,705 | 2,543 | |
HDFC Bank Ltd. (India) | 407,073 | 4,639 | |
Housing Development Finance Corp., Ltd. (India) | 191,937 | 4,143 | |
16,148 | |||
Health Care—12.9% | |||
Becton, Dickinson & Co. (United States) | 24,192 | 5,559 | |
Boston Scientific Corp. (United States)(1) | 164,405 | 5,364 | |
Intuitive Surgical, Inc. (United States)(1) | 6,353 | 3,146 | |
Johnson & Johnson (United States) | 51,354 | 6,734 | |
Medtronic plc (United States) | 84,449 | 7,616 | |
UnitedHealth Group, Inc. (United States) | 31,083 | 7,751 | |
36,170 | |||
Industrials—5.3% | |||
RELX plc (United Kingdom) | 190,707 | 4,077 | |
Safran SA (France) | 68,318 | 6,053 | |
Teleperformance (France) | 15,549 | 3,221 | |
Wolters Kluwer NV (Netherlands) | 18,756 | 1,330 | |
14,681 | |||
Information Technology—22.3% | |||
Adobe, Inc. (United States)(1) | 9,372 | 2,982 | |
Mastercard, Inc. Class A (United States) | 42,276 | 10,212 | |
Microsoft Corp. (United States) | 86,428 | 13,631 | |
PayPal Holdings, Inc. (United States)(1) | 44,103 | 4,222 | |
SAP SE (Germany) | 82,606 | 9,223 | |
Synopsys, Inc. (United States)(1) | 26,016 | 3,351 |
Shares | Value | ||
Information Technology—continued | |||
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 59,714 | $2,854 | |
Tata Consultancy Services Ltd. (India) | 250,434 | 6,025 | |
Visa, Inc. Class A (United States) | 60,794 | 9,795 | |
62,295 | |||
Materials—2.5% | |||
Air Liquide SA (France) | 22,405 | 2,860 | |
Sherwin-Williams Co. (The) (United States) | 9,079 | 4,172 | |
7,032 | |||
Real Estate—0.6% | |||
American Tower Corp. (United States) | 7,881 | 1,716 | |
Total Common Stocks (Identified Cost $223,033) | 271,262 | ||
Total Long-Term Investments—97.2% (Identified Cost $223,033) | 271,262 | ||
TOTAL INVESTMENTS—97.2% (Identified Cost $223,033) | $271,262 | ||
Other assets and liabilities, net—2.8% | 7,926 | ||
NET ASSETS—100.0% | $279,188 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
Country Weightings† | |
United States | 55% |
Netherlands | 9 |
France | 7 |
China | 6 |
India | 5 |
Germany | 5 |
Switzerland | 4 |
Other | 9 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Table of Contents
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $271,262 | $177,512 | $93,750 | ||
Total Investments | $271,262 | $177,512 | $93,750 |
Table of Contents
Shares | Value | ||
Preferred Stock—3.4% | |||
Health Care—3.4% | |||
Grifols SA (Preference Shares), Class B, 0.000% (Spain) | 6,005 | $118 | |
Total Preferred Stock (Identified Cost $99) | 118 | ||
Common Stocks—92.1% | |||
Communication Services—2.8% | |||
Cellnex Telecom SA 144A (Spain)(1) | 2,153 | 98 | |
Consumer Discretionary—13.9% | |||
adidas AG (Germany) | 286 | 64 | |
Booking Holdings, Inc. (Netherlands)(2) | 37 | 50 | |
Brunello Cucinelli S.p.A (Italy) | 255 | 8 | |
EssilorLuxottica SA (France) | 728 | 77 | |
Ferrari NV (Italy) | 178 | 27 | |
Flutter Entertainment plc (Ireland) | 735 | 66 | |
Hermes International (France) | 18 | 12 | |
Industria de Diseno Textil SA (Spain) | 1,297 | 34 | |
La Francaise des Jeux SAEM 144A (France)(1)(2) | 1,540 | 39 | |
LVMH Moet Hennessy Louis Vuitton SE (France) | 145 | 53 | |
Prosus NV (Netherlands)(2) | 796 | 56 | |
486 | |||
Consumer Staples—22.1% | |||
Anheuser-Busch InBev NV (Belgium) | 1,439 | 64 | |
Diageo plc (United Kingdom) | 1,799 | 57 | |
Heineken NV (Netherlands) | 794 | 67 | |
L’Oreal SA (France) | 140 | 36 | |
Nestle S.A. Registered Shares (Switzerland) | 1,989 | 204 | |
Pernod Ricard SA (France) | 299 | 42 | |
Philip Morris International, Inc. (United States) | 1,414 | 103 | |
Reckitt Benckiser Group plc (United Kingdom) | 406 | 31 |
Shares | Value | ||
Consumer Staples—continued | |||
Unilever NV (Netherlands) | 3,431 | $169 | |
773 | |||
Financials—7.5% | |||
Bankinter SA (Spain) | 4,258 | 15 | |
Groupe Bruxelles Lambert SA (Belgium) | 428 | 34 | |
KBC Group NV (Belgium) | 516 | 23 | |
London Stock Exchange Group plc (United Kingdom) | 1,403 | 126 | |
Pargesa Holding SA (Switzerland) | 436 | 29 | |
Svenska Handelsbanken AB Class A (Sweden)(2) | 2,207 | 18 | |
UBS Group AG Registered Shares (Switzerland) | 1,987 | 18 | |
263 | |||
Health Care—10.7% | |||
Alcon, Inc. (Switzerland)(2) | 2,068 | 106 | |
Coloplast A/S Class B (Denmark) | 274 | 40 | |
Eurofins Scientific SE (Luxembourg) | 129 | 63 | |
Lonza Group AG (Switzerland) | 126 | 52 | |
Medtronic plc (United States) | 1,281 | 115 | |
376 | |||
Industrials—20.4% | |||
Ashtead Group plc (United Kingdom) | 2,640 | 57 | |
DCC plc (Ireland) | 1,133 | 71 | |
IMCD NV (Netherlands) | 559 | 40 | |
Kingspan Group plc (Ireland) | 776 | 42 | |
RELX plc (United Kingdom) | 5,015 | 107 | |
Rentokil Initial plc (United Kingdom) | 17,538 | 84 | |
Safran SA (France) | 590 | 52 | |
Teleperformance (France) | 520 | 108 | |
Vinci SA (France) | 635 | 52 | |
Wolters Kluwer NV (Netherlands) | 1,460 | 103 | |
716 | |||
Information Technology—9.7% | |||
Accenture plc Class A (United States) | 797 | 130 |
Shares | Value | ||
Information Technology—continued | |||
Adyen NV (Netherlands)(2) | 31 | $26 | |
Amadeus IT Group SA (Spain) | 681 | 32 | |
Halma plc (United Kingdom) | 757 | 18 | |
SAP SE (Germany) | 1,210 | 135 | |
341 | |||
Materials—5.0% | |||
Air Liquide SA (France) | 720 | 92 | |
Sika AG Registered Shares (Switzerland) | 506 | 83 | |
175 | |||
Total Common Stocks (Identified Cost $2,534) | 3,228 | ||
Total Long-Term Investments—95.5% (Identified Cost $2,633) | 3,346 | ||
TOTAL INVESTMENTS—95.5% (Identified Cost $2,633) | $3,346 | ||
Other assets and liabilities, net—4.5% | 159 | ||
NET ASSETS—100.0% | $3,505 |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2020, these securities amounted to a value of $137 or 3.9% of net assets. |
(2) | Non-income producing. |
Country Weightings† | |
France | 17% |
Netherlands | 15 |
Switzerland | 15 |
United Kingdom | 14 |
United States | 10 |
Spain | 9 |
Germany | 6 |
Other | 14 |
Total | 100% |
† % of total investments as of March 31, 2020. |
Table of Contents
Total Value at March 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $3,228 | $424 | $2,804 | ||
Preferred Stock | 118 | — | 118 | ||
Total Investments | $3,346 | $424 | $2,922 |
Table of Contents
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | Duff & Phelps International Real Estate Securities Fund | |||
Assets | |||||
Investment in securities at value(1) | $76,621 | $210,391 | $37,960 | ||
Foreign currency at value(2) | —(a) | —(a) | —(a) | ||
Cash | 1,391 | 3,835 | 969 | ||
Receivables | |||||
Investment securities sold | 1,172 | — | — | ||
Fund shares sold | 31 | 1,057 | 77 | ||
Dividends | 85 | 844 | 113 | ||
Tax reclaims | 30 | 52 | 20 | ||
Prepaid Trustees’ retainer | 3 | 6 | 2 | ||
Prepaid expenses | 31 | 49 | 18 | ||
Other assets | 8 | 21 | 4 | ||
Total assets | 79,372 | 216,255 | 39,163 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 73 | 738 | 8 | ||
Investment securities purchased | 1,964 | 461 | 312 | ||
Investment advisory fees | 48 | 142 | 30 | ||
Distribution and service fees | 16 | 11 | 1 | ||
Administration and accounting fees | 9 | 21 | 5 | ||
Transfer agent and sub-transfer agent fees and expenses | 15 | 62 | 7 | ||
Professional fees | 16 | 16 | 19 | ||
Trustee deferred compensation plan | 8 | 21 | 4 | ||
Interest expense and/or commitment fees | 1 | — | 1 | ||
Other accrued expenses | 6 | 9 | —(a) | ||
Total liabilities | 2,156 | 1,481 | 387 | ||
Net Assets | $77,216 | $214,774 | $38,776 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $81,591 | $243,175 | $48,108 | ||
Accumulated earnings (loss) | (4,375) | (28,401) | (9,332) | ||
Net Assets | $77,216 | $214,774 | $38,776 | ||
Net Assets: | |||||
Class A | $27,831 | $18,919 | $2,190 | ||
Class C | $10,465 | $6,893 | $586 | ||
Class I | $29,702 | $166,621 | $36,000 | ||
Class R6 | $9,218 | $22,341 | $— | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 2,227,537 | 740,023 | 374,660 | ||
Class C | 839,931 | 283,737 | 100,733 | ||
Class I | 2,376,783 | 6,699,816 | 6,179,399 | ||
Class R6 | 737,467 | 895,617 | — | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $12.49 | $25.56 | $5.85 | ||
Class C | $12.46 | $24.29 | $5.81 | ||
Class I | $12.50 | $24.87 | $5.83 | ||
Class R6 | $12.50 | $24.95 | $— |
Table of Contents
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | Duff & Phelps International Real Estate Securities Fund | |||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $13.25 | $27.12 | $6.21 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1)Investment in securities at cost | $79,604 | $231,070 | $39,557 | ||
(2) Foreign currency at cost | $—(a) | $—(a) | $—(a) |
(a) | Amount is less than $500. |
Table of Contents
Duff & Phelps Real Asset Fund | Herzfeld Fund | Horizon Wealth Masters Fund | |||
Assets | |||||
Investment in securities at value(1) | $8,696 | $25,838 | $26,912 | ||
Investment in affiliated funds at value(2) | 17,847 | — | — | ||
Cash | —(a) | — | 106 | ||
Receivables | |||||
Investment securities sold | — | 2,418 | 3,989 | ||
Fund shares sold | 8 | 46 | —(a) | ||
Dividends | 20 | 311 | 42 | ||
Securities lending income | — | — | —(a) | ||
Prepaid Trustees’ retainer | 1 | 1 | 1 | ||
Prepaid expenses | 68 | 17 | 18 | ||
Other assets | 3 | 3 | 3 | ||
Total assets | 26,643 | 28,634 | 31,071 | ||
Liabilities | |||||
Due to custodian | — | 177 | — | ||
Payables | |||||
Fund shares repurchased | 14 | 136 | 346 | ||
Investment securities purchased | 19 | 59 | 3,755 | ||
Redemption facility (See Note 10) | — | 1,900 | — | ||
Investment advisory fees | — | 24 | 11 | ||
Distribution and service fees | 4 | 9 | 11 | ||
Administration and accounting fees | 3 | 4 | 3 | ||
Transfer agent and sub-transfer agent fees and expenses | 7 | 7 | 8 | ||
Professional fees | — | 9 | 15 | ||
Trustee deferred compensation plan | 3 | 3 | 3 | ||
Interest expense and/or commitment fees | —(a) | —(a) | —(a) | ||
Other accrued expenses | 3 | 3 | 6 | ||
Total liabilities | 53 | 2,331 | 4,158 | ||
Net Assets | $26,590 | $26,303 | $26,913 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $54,991 | $34,892 | $29,405 | ||
Accumulated earnings (loss) | (28,401) | (8,589) | (2,492) | ||
Net Assets | $26,590 | $26,303 | $26,913 | ||
Net Assets: | |||||
Class A | $11,626 | $3,312 | $7,261 | ||
Class C | $1,064 | $8,175 | $9,280 | ||
Class I | $13,900 | $14,816 | $10,372 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 1,318,995 | 401,065 | 655,803 | ||
Class C | 119,199 | 993,534 | 877,134 | ||
Class I | 1,582,806 | 1,793,977 | 930,288 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $8.81 | $8.26 | $11.07 | ||
Class C | $8.93 | $8.23 | $10.58 | ||
Class I | $8.78 | $8.26 | $11.15 |
Table of Contents
Duff & Phelps Real Asset Fund | Herzfeld Fund | Horizon Wealth Masters Fund | |||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $9.35 | $8.76 | $11.75 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1)Investment in unaffiliated securities at cost | $9,451 | $33,807 | $28,246 | ||
(2) Investment in affiliated funds at cost | $18,693 | $— | $— |
(a) | Amount is less than $500. |
Table of Contents
KAR Emerging Markets Small-Cap Fund | KAR International Small-Cap Fund | KAR International Small-Mid Cap Fund | |||
Assets | |||||
Investment in securities at value(1) | $116,562 | $1,450,702 | $9,192 | ||
Cash | 188 | 21,176 | — | ||
Receivables | |||||
Investment securities sold | — | 3,980 | 16 | ||
Fund shares sold | 1,655 | 10,591 | 10 | ||
Receivable from adviser | — | — | 7 | ||
Dividends | 699 | 4,801 | 25 | ||
Tax reclaims | 4 | 139 | 1 | ||
Prepaid Trustees’ retainer | 3 | 50 | — | ||
Prepaid expenses | 45 | 181 | — | ||
Other assets | 11 | 143 | 1 | ||
Total assets | 119,167 | 1,491,763 | 9,252 | ||
Liabilities | |||||
Due to custodian | 11 | 7 | —(a) | ||
Payables | |||||
Fund shares repurchased | 1,301 | 12,918 | 54 | ||
Investment securities purchased | 835 | 397 | 5 | ||
Investment advisory fees | 118 | 1,327 | — | ||
Distribution and service fees | 6 | 44 | —(a) | ||
Administration and accounting fees | 11 | 142 | 1 | ||
Transfer agent and sub-transfer agent fees and expenses | 23 | 296 | —(a) | ||
Professional fees | — | — | 3 | ||
Trustee deferred compensation plan | 11 | 143 | 1 | ||
Interest expense and/or commitment fees | — | —(a) | — | ||
Other accrued expenses | 1 | 60 | 16 | ||
Total liabilities | 2,317 | 15,334 | 80 | ||
Net Assets | $116,850 | $1,476,429 | $9,172 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $134,827 | $1,793,324 | $9,209 | ||
Accumulated earnings (loss) | (17,977) | (316,895) | (37) | ||
Net Assets | $116,850 | $1,476,429 | $9,172 | ||
Net Assets: | |||||
Class A | $20,942 | $80,217 | $97 | ||
Class C | $768 | $30,501 | $105 | ||
Class I | $95,056 | $1,308,041 | $6,448 | ||
Class R6 | $84 | $57,670 | $2,522 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 2,082,219 | 5,678,321 | 10,464 | ||
Class C | 76,778 | 2,192,858 | 11,354 | ||
Class I | 9,412,362 | 92,214,693 | 690,888 | ||
Class R6 | 8,326 | 4,063,098 | 270,104 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $10.06 | $14.13 | $9.32 | ||
Class C | $10.01 | $13.91 | $9.28 | ||
Class I | $10.10 | $14.18 | $9.33 | ||
Class R6 | $10.10 | $14.19 | $9.34 |
Table of Contents
KAR Emerging Markets Small-Cap Fund | KAR International Small-Cap Fund | KAR International Small-Mid Cap Fund | |||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $10.67 | $14.99 | $9.89 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1)Investment in securities at cost | $124,079 | $1,697,980 | $9,203 |
(a) | Amount is less than $500. |
Table of Contents
Rampart Equity Trend Fund | Rampart Multi-Asset Trend Fund | Rampart Sector Trend Fund | |||
Assets | |||||
Investment in securities at value(1) | $207,560 | $37,694 | $144,097 | ||
Cash | 13,411 | 2,215 | 7,270 | ||
Receivables | |||||
Investment securities sold | 9 | 552 | 1 | ||
Fund shares sold | 58 | 6 | 75 | ||
Dividends | 89 | 8 | 133 | ||
Prepaid Trustees’ retainer | 6 | 1 | 4 | ||
Prepaid expenses | 32 | 28 | 22 | ||
Other assets | 21 | 4 | 15 | ||
Total assets | 221,186 | 40,508 | 151,617 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 350 | 25 | 306 | ||
Investment securities purchased | 6,936 | 752 | — | ||
Investment advisory fees | 201 | 29 | 64 | ||
Distribution and service fees | 98 | 21 | 50 | ||
Administration and accounting fees | 21 | 4 | 15 | ||
Transfer agent and sub-transfer agent fees and expenses | 59 | 10 | 31 | ||
Professional fees | 15 | 15 | 15 | ||
Trustee deferred compensation plan | 21 | 4 | 15 | ||
Interest expense and/or commitment fees | 1 | —(a) | —(a) | ||
Other accrued expenses | 27 | 9 | 19 | ||
Total liabilities | 7,729 | 869 | 515 | ||
Net Assets | $213,457 | $39,639 | $151,102 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $659,404 | $60,054 | $171,063 | ||
Accumulated earnings (loss) | (445,947) | (20,415) | (19,961) | ||
Net Assets | $213,457 | $39,639 | $151,102 | ||
Net Assets: | |||||
Class A | $80,565 | $10,943 | $73,262 | ||
Class C | $83,324 | $21,390 | $34,196 | ||
Class I | $48,962 | $7,306 | $43,644 | ||
Class R6 | $606 | $— | $— | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 6,559,182 | 1,040,112 | 6,433,070 | ||
Class C | 7,164,205 | 2,115,255 | 3,042,236 | ||
Class I | 3,927,528 | 690,029 | 3,842,024 | ||
Class R6 | 48,278 | — | — | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $12.28 | $10.52 | $11.39 | ||
Class C | $11.63 | $10.11 | $11.24 | ||
Class I | $12.47 | $10.59 | $11.36 | ||
Class R6 | $12.55 | $— | $— | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $13.03 | $11.16 | $12.08 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1)Investment in securities at cost | $207,121 | $36,776 | $144,097 |
(a) | Amount is less than $500. |
Table of Contents
Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||
Assets | |||
Investment in securities at value(1) | $271,262 | $3,346 | |
Foreign currency at value(2) | 764 | —(a) | |
Cash | 2,157 | 121 | |
Receivables | |||
Investment securities sold | 7,247 | 11 | |
Fund shares sold | 3,025 | — | |
Receivable from adviser | — | 5 | |
Dividends | 212 | 3 | |
Tax reclaims | 224 | 40 | |
Securities lending income | — | —(a) | |
Prepaid Trustees’ retainer | 8 | —(a) | |
Prepaid expenses | 43 | 27 | |
Other assets | 26 | —(a) | |
Total assets | 284,968 | 3,553 | |
Liabilities | |||
Payables | |||
Fund shares repurchased | 1,039 | 21 | |
Investment securities purchased | 4,349 | 5 | |
Investment advisory fees | 190 | — | |
Distribution and service fees | 39 | 1 | |
Administration and accounting fees | 26 | 1 | |
Transfer agent and sub-transfer agent fees and expenses | 33 | —(a) | |
Professional fees | 18 | 18 | |
Trustee deferred compensation plan | 26 | —(a) | |
Interest expense and/or commitment fees | 2 | —(a) | |
Other accrued expenses | 58 | 2 | |
Total liabilities | 5,780 | 48 | |
Net Assets | $279,188 | $3,505 | |
Net Assets Consist of: | |||
Capital paid in on shares of beneficial interest | $225,791 | $2,609 | |
Accumulated earnings (loss) | 53,397 | 896 | |
Net Assets | $279,188 | $3,505 | |
Net Assets: | |||
Class A | $86,727 | $1,132 | |
Class C | $22,378 | $416 | |
Class I | $105,929 | $1,957 | |
Class R6 | $64,154 | $— | |
Shares Outstanding (unlimited number of shares authorized, no par value): | |||
Class A | 6,122,342 | 128,144 | |
Class C | 1,918,524 | 48,544 | |
Class I | 7,474,488 | 222,001 | |
Class R6 | 4,518,880 | — | |
Net Asset Value and Redemption Price Per Share: | |||
Class A | $14.17 | $8.83 | |
Class C | $11.66 | $8.56 | |
Class I | $14.17 | $8.82 | |
Class R6 | $14.20 | $— |
Table of Contents
Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||
Class A | $15.03 | $9.37 | |
Maximum Sales Charge - Class A | 5.75% | 5.75% | |
(1)Investment in securities at cost | $223,033 | $2,633 | |
(2) Foreign currency at cost | $764 | $—(a) |
(a) | Amount is less than $500. |
Table of Contents
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | Duff & Phelps International Real Estate Securities Fund | |||
Investment Income | |||||
Dividends | $1,401 | $3,562 | $687 | ||
Foreign taxes withheld | (81) | (170) | (80) | ||
Total investment income | 1,320 | 3,392 | 607 | ||
Expenses | |||||
Investment advisory fees | 348 | 1,070 | 276 | ||
Distribution and service fees, Class A | 46 | 27 | 3 | ||
Distribution and service fees, Class C | 70 | 46 | 4 | ||
Administration and accounting fees | 60 | 135 | 32 | ||
Transfer agent fees and expenses | 24 | 55 | 12 | ||
Sub-transfer agent fees and expenses, Class A | 14 | 125 | 1 | ||
Sub-transfer agent fees and expenses, Class C | 6 | 5 | —(1) | ||
Sub-transfer agent fees and expenses, Class I | 22 | 109 | 24 | ||
Custodian fees | —(1) | 2 | 1 | ||
Printing fees and expenses | 7 | 14 | 4 | ||
Professional fees | 13 | 15 | 14 | ||
Interest expense and/or commitment fees | 1 | 1 | 1 | ||
Registration fees | 37 | 36 | 23 | ||
Trustees’ fees and expenses | 4 | 9 | 2 | ||
Miscellaneous expenses | 6 | 11 | 3 | ||
Total expenses | 658 | 1,660 | 400 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (4) | (147) | (48) | ||
Less low balance account fees | —(1) | —(1) | — | ||
Net expenses | 654 | 1,513 | 352 | ||
Net investment income (loss) | 666 | 1,879 | 255 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | (347) | (162) | (2,962) | ||
Foreign currency transactions | (10) | (16) | (8) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (24,143) | (65,670) | (8,809) | ||
Foreign currency transactions | 1 | 6 | 2 | ||
Net realized and unrealized gain (loss) on investments | (24,499) | (65,842) | (11,777) | ||
Net increase (decrease) in net assets resulting from operations | $(23,833) | $(63,963) | $(11,522) |
(1) | Amount is less than $500. |
(2) | See Note 3D in the Notes to Financial Statements. |
Table of Contents
Duff & Phelps Real Asset Fund | Herzfeld Fund | Horizon Wealth Masters Fund | |||
Investment Income | |||||
Dividends | $616 | $1,358 | $343 | ||
Dividends from affiliated funds | 639 | — | — | ||
Security lending, net of fees | — | 27 | 22 | ||
Foreign taxes withheld | — | — | (1) | ||
Total investment income | 1,255 | 1,385 | 364 | ||
Expenses | |||||
Investment advisory fees | — | 223 | 185 | ||
Distribution and service fees, Class A | 19 | 6 | 14 | ||
Distribution and service fees, Class C | 8 | 67 | 71 | ||
Administration and accounting fees | 24 | 27 | 27 | ||
Transfer agent fees and expenses | 9 | 10 | 10 | ||
Sub-transfer agent fees and expenses, Class A | 8 | 2 | 5 | ||
Sub-transfer agent fees and expenses, Class C | 1 | 6 | 7 | ||
Sub-transfer agent fees and expenses, Class I | 10 | 7 | 9 | ||
Custodian fees | —(1) | —(1) | 3 | ||
Printing fees and expenses | 3 | 3 | 4 | ||
Professional fees | 18 | 8 | 11 | ||
Interest expense and/or commitment fees | —(1) | —(1) | —(1) | ||
Registration fees | 23 | 23 | 23 | ||
Trustees’ fees and expenses | 2 | 2 | 2 | ||
Miscellaneous expenses | 3 | 4 | 4 | ||
Total expenses | 128 | 388 | 375 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | — | (14) | (72) | ||
Less low balance account fees | —(1) | — | —(1) | ||
Net expenses | 128 | 374 | 303 | ||
Net investment income (loss) | 1,127 | 1,011 | 61 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Unaffiliated investments | (1,055) | (155) | 2,616 | ||
Affiliated funds | 1,553 | — | — | ||
Capital gain received from investments in affiliated funds | 775 | — | — | ||
Capital gain received from investments in underlying funds | — | 258 | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Unaffiliated investments | (1,634) | (10,084) | (14,245) | ||
Affiliated funds | (8,060) | — | — | ||
Net realized and unrealized gain (loss) on investments | (8,421) | (9,981) | (11,629) | ||
Net increase (decrease) in net assets resulting from operations | $(7,294) | $(8,970) | $(11,568) |
(1) | Amount is less than $500. |
(2) | See Note 3D in the Notes to Financial Statements. |
Table of Contents
KAR Emerging Markets Small-Cap Fund | KAR International Small-Cap Fund | KAR International Small-Mid Cap Fund(1) | |||
Investment Income | |||||
Dividends | $1,157 | $12,553 | $44 | ||
Foreign taxes withheld | (139) | (1,145) | (5) | ||
Total investment income | 1,018 | 11,408 | 39 | ||
Expenses | |||||
Investment advisory fees | 756 | 8,691 | 17 | ||
Distribution and service fees, Class A | 35 | 100 | —(2) | ||
Distribution and service fees, Class C | 4 | 195 | 1 | ||
Administration and accounting fees | 70 | 931 | 6 | ||
Transfer agent fees and expenses | 27 | 381 | 1 | ||
Sub-transfer agent fees and expenses, Class A | 18 | 44 | — | ||
Sub-transfer agent fees and expenses, Class C | — | 17 | — | ||
Sub-transfer agent fees and expenses, Class I | 56 | 758 | — | ||
Custodian fees | 3 | 14 | 1 | ||
Printing fees and expenses | 11 | 84 | 16 | ||
Professional fees | 17 | 25 | 20 | ||
Interest expense and/or commitment fees | — | 3 | — | ||
Registration fees | 53 | 82 | 22 | ||
Trustees’ fees and expenses | 4 | 58 | 1 | ||
Miscellaneous expenses | 10 | 59 | 2 | ||
Total expenses | 1,064 | 11,442 | 87 | ||
Less net expenses reimbursed and/or waived by investment adviser(3) | (16) | — | (66) | ||
Net expenses | 1,048 | 11,442 | 21 | ||
Net investment income (loss) | (30) | (34) | 18 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | (5,293) | (12,129) | (36) | ||
Foreign currency transactions | (209) | (283) | (8) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (15,838) | (296,655) | (11) | ||
Foreign currency transactions | (19) | 15 | —(2) | ||
Net realized and unrealized gain (loss) on investments | (21,359) | (309,052) | (55) | ||
Net increase (decrease) in net assets resulting from operations | $(21,389) | $(309,086) | $(37) |
(1) | Inception date October 1, 2019. |
(2) | Amount is less than $500. |
(3) | See Note 3D in the Notes to Financial Statements. |
Table of Contents
Rampart Equity Trend Fund | Rampart Multi-Asset Trend Fund | Rampart Sector Trend Fund | |||
Investment Income | |||||
Dividends | $2,426 | $595 | $2,019 | ||
Total investment income | 2,426 | 595 | 2,019 | ||
Expenses | |||||
Investment advisory fees | 1,465 | 235 | 446 | ||
Distribution and service fees, Class A | 133 | 16 | 122 | ||
Distribution and service fees, Class C | 584 | 128 | 237 | ||
Administration and accounting fees | 156 | 29 | 107 | ||
Transfer agent fees and expenses | 83 | 13 | 48 | ||
Sub-transfer agent fees and expenses, Class A | 46 | 5 | 29 | ||
Sub-transfer agent fees and expenses, Class C | 52 | 11 | 18 | ||
Sub-transfer agent fees and expenses, Class I | 32 | 5 | 22 | ||
Custodian fees | 4 | 4 | 4 | ||
Printing fees and expenses | 18 | 4 | 11 | ||
Professional fees | 13 | 11 | 13 | ||
Interest expense and/or commitment fees | 1 | —(1) | 1 | ||
Registration fees | 30 | 23 | 26 | ||
Trustees’ fees and expenses | 12 | 2 | 8 | ||
Miscellaneous expenses | 21 | 6 | 18 | ||
Total expenses | 2,650 | 492 | 1,110 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | — | (21) | — | ||
Less low balance account fees | —(1) | — | —(1) | ||
Net expenses | 2,650 | 471 | 1,110 | ||
Net investment income (loss) | (224) | 124 | 909 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | (12,955) | (177) | (8,515) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (37,676) | (3,342) | (21,002) | ||
Net realized and unrealized gain (loss) on investments | (50,631) | (3,519) | (29,517) | ||
Net increase (decrease) in net assets resulting from operations | $(50,855) | $(3,395) | $(28,608) |
(1) | Amount is less than $500. |
(2) | See Note 3D in the Notes to Financial Statements. |
Table of Contents
Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||
Investment Income | |||
Dividends | $1,748 | $20 | |
Security lending, net of fees | —(1) | —(1) | |
Foreign taxes withheld | (76) | (2) | |
Total investment income | 1,672 | 18 | |
Expenses | |||
Investment advisory fees | 1,417 | 18 | |
Distribution and service fees, Class A | 128 | 2 | |
Distribution and service fees, Class C | 140 | 3 | |
Administration and accounting fees | 178 | 6 | |
Transfer agent fees and expenses | 78 | —(1) | |
Sub-transfer agent fees and expenses, Class A | 26 | 1 | |
Sub-transfer agent fees and expenses, Class C | 10 | —(1) | |
Sub-transfer agent fees and expenses, Class I | 59 | 1 | |
Custodian fees | 2 | 1 | |
Printing fees and expenses | 16 | 1 | |
Professional fees | 16 | 14 | |
Interest expense and/or commitment fees | 3 | —(1) | |
Registration fees | 39 | 22 | |
Trustees’ fees and expenses | 12 | —(1) | |
Miscellaneous expenses | 30 | 2 | |
Total expenses | 2,154 | 71 | |
Less net expenses reimbursed and/or waived by investment adviser(2) | (119) | (42) | |
Less low balance account fees | (2) | — | |
Net expenses | 2,033 | 29 | |
Net investment income (loss) | (361) | (11) | |
Net Realized and Unrealized Gain (Loss) on Investments | |||
Net realized gain (loss) from: | |||
Investments | 8,730 | 252 | |
Foreign currency transactions | (71) | (1) | |
Net change in unrealized appreciation (depreciation) on: | |||
Investments | (47,785) | (828) | |
Foreign currency transactions | 6 | 1 | |
Net realized and unrealized gain (loss) on investments | (39,120) | (576) | |
Net increase (decrease) in net assets resulting from operations | $(39,481) | $(587) |
(1) | Amount is less than $500. |
(2) | See Note 3D in the Notes to Financial Statements. |
Table of Contents
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | ||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $666 | $1,588 | $1,879 | $3,661 | |||
Net realized gain (loss) | (357) | 3,244 | (178) | 6,956 | |||
Net change in unrealized appreciation (depreciation) | (24,142) | 11,187 | (65,664) | 22,130 | |||
Increase (decrease) in net assets resulting from operations | (23,833) | 16,019 | (63,963) | 32,747 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (1,516) | (1,763) | (1,296) | (245) | |||
Class C | (533) | (815) | (598) | (192) | |||
Class I | (1,838) | (1,856) | (15,782) | (4,838) | |||
Class R6 | (429) | (506) | (223) | (62) | |||
Total Dividends and Distributions to Shareholders | (4,316) | (4,940) | (17,899) | (5,337) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (855) | 1,297 | 3,981 | (554) | |||
Class C | (1,354) | (4,772) | 105 | (1,321) | |||
Class I | (6,941) | 15,215 | 25,664 | 37,767 | |||
Class R6 | 2,411 | (3,202) | 26,259 | (3,984) | |||
Increase (decrease) in net assets from capital transactions | (6,739) | 8,538 | 56,009 | 31,908 | |||
Net increase (decrease) in net assets | (34,888) | 19,617 | (25,853) | 59,318 | |||
Net Assets | |||||||
Beginning of period | 112,104 | 92,487 | 240,627 | 181,309 | |||
End of Period | $77,216 | $112,104 | $214,774 | $240,627 |
Table of Contents
Duff & Phelps International Real Estate Securities Fund | Duff & Phelps Real Asset Fund | ||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $255 | $926 | $1,127 | $791 | |||
Net realized gain (loss) | (2,970) | 1,840 | 1,273 | 673 | |||
Net change in unrealized appreciation (depreciation) | (8,807) | 2,363 | (9,694) | (1,387) | |||
Increase (decrease) in net assets resulting from operations | (11,522) | 5,129 | (7,294) | 77 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (194) | (70) | (481) | (216) | |||
Class C | (58) | (28) | (16) | (73) | |||
Class I | (4,068) | (1,620) | (823) | (601) | |||
Total Dividends and Distributions to Shareholders | (4,320) | (1,718) | (1,320) | (890) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 679 | 18 | (755) | 5,493 | |||
Class C | 62 | (261) | (751) | (7,376) | |||
Class I | (237) | 7,864 | (2,331) | 1,216 | |||
Increase (decrease) in net assets from capital transactions | 504 | 7,621 | (3,837) | (667) | |||
Net increase (decrease) in net assets | (15,338) | 11,032 | (12,451) | (1,480) | |||
Net Assets | |||||||
Beginning of period | 54,114 | 43,082 | 39,041 | 40,521 | |||
End of Period | $38,776 | $54,114 | $26,590 | $39,041 |
Table of Contents
Herzfeld Fund | Horizon Wealth Masters Fund | ||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $1,011 | $1,341 | $61 | $189 | |||
Net realized gain (loss) | 103 | (277) | 2,616 | 2,379 | |||
Net change in unrealized appreciation (depreciation) | (10,084) | (1,880) | (14,245) | (7,204) | |||
Decrease in net assets resulting from operations | (8,970) | (816) | (11,568) | (4,636) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (134) | (548) | (581) | (1,150) | |||
Class C | (309) | (1,673) | (740) | (1,290) | |||
Class I | (736) | (3,605) | (1,019) | (1,724) | |||
Return of Capital: | |||||||
Class A | — | (30) | — | — | |||
Class C | — | (92) | — | — | |||
Class I | — | (179) | — | — | |||
Total Dividends and Distributions to Shareholders | (1,179) | (6,127) | (2,340) | (4,164) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (445) | (580) | (2,510) | (3,268) | |||
Class C | (4,246) | (1,744) | (1,165) | (2,611) | |||
Class I | (9,281) | (2,608) | (4,809) | (4,486) | |||
Increase (decrease) in net assets from capital transactions | (13,972) | (4,932) | (8,484) | (10,365) | |||
Net increase (decrease) in net assets | (24,121) | (11,875) | (22,392) | (19,165) | |||
Net Assets | |||||||
Beginning of period | 50,424 | 62,299 | 49,305 | 68,470 | |||
End of Period | $26,303 | $50,424 | $26,913 | $49,305 |
Table of Contents
KAR Emerging Markets Small-Cap Fund | KAR International Small-Cap Fund | ||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $(30) | $2,130 | $(34) | $35,060 | |||
Net realized gain (loss) | (5,502) | (4,213) | (12,412) | (54,104) | |||
Net increase from payment by affiliates | — | — | — | 19 | |||
Net change in unrealized appreciation (depreciation) | (15,857) | 7,448 | (296,640) | 27,936 | |||
Increase (decrease) in net assets resulting from operations | (21,389) | 5,365 | (309,086) | 8,911 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (540) | (30) | (1,433) | (477) | |||
Class C | (12) | — | (432) | (225) | |||
Class I | (2,019) | (172) | (33,317) | (10,947) | |||
Class R6 | (2) | — | (943) | (400) | |||
Total Dividends and Distributions to Shareholders | (2,573) | (202) | (36,125) | (12,049) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (1,439) | 21,148 | 23,324 | 23,261 | |||
Class C | 193 | 366 | (237) | 1,790 | |||
Class I | 28,043 | 53,589 | 248,135 | 598,708 | |||
Class R6 | 3 | 100 | 28,832 | (28,632) | |||
Increase (decrease) in net assets from capital transactions | 26,800 | 75,203 | 300,054 | 595,127 | |||
Net increase (decrease) in net assets | 2,838 | 80,366 | (45,157) | 591,989 | |||
Net Assets | |||||||
Beginning of period | 114,012 | 33,646 | 1,521,586 | 929,597 | |||
End of Period | $116,850 | $114,012 | $1,476,429 | $1,521,586 |
Table of Contents
KAR International Small-Mid Cap Fund | Rampart Equity Trend Fund | ||||
From Inception October 01, 2019 to March 31, 2020(1) (Unaudited) | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | |||
Increase (Decrease) in Net Assets Resulting from Operations | |||||
Net investment income (loss) | $18 | $(224) | $(426) | ||
Net realized gain (loss) | (44) | (12,955) | 48,622 | ||
Net change in unrealized appreciation (depreciation) | (11) | (37,676) | (71,222) | ||
Decrease in net assets resulting from operations | (37) | (50,855) | (23,026) | ||
Change in Net Assets from Capital Transactions (See Note 5): | |||||
Class A | 110 | (9,412) | 3,272 | ||
Class C | 115 | (24,875) | (77,294) | ||
Class I | 6,283 | (12,931) | (31,631) | ||
Class R6 | 2,701 | 148 | — | ||
Increase (decrease) in net assets from capital transactions | 9,209 | (47,070) | (105,653) | ||
Net increase (decrease) in net assets | 9,172 | (97,925) | (128,679) | ||
Net Assets | |||||
Beginning of period | — | 311,382 | 440,061 | ||
End of Period | $9,172 | $213,457 | $311,382 |
(1) | Inception date October 1, 2019. |
Table of Contents
Rampart Multi-Asset Trend Fund | Rampart Sector Trend Fund | ||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $124 | $44 | $909 | $2,269 | |||
Net realized gain (loss) | (177) | 2,697 | (8,515) | 14,546 | |||
Net change in unrealized appreciation (depreciation) | (3,342) | (2,016) | (21,002) | (19,111) | |||
Increase (decrease) in net assets resulting from operations | (3,395) | 725 | (28,608) | (2,296) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (86) | (44) | (1,185) | (859) | |||
Class C | (71) | — | (110) | (63) | |||
Class I | (71) | (92) | (745) | (778) | |||
Total Dividends and Distributions to Shareholders | (228) | (136) | (2,040) | (1,700) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (502) | (2,564) | (9,510) | 2,723 | |||
Class C | (4,664) | (11,924) | (10,808) | (33,744) | |||
Class I | (1,374) | (5,959) | (1,435) | (5,247) | |||
Increase (decrease) in net assets from capital transactions | (6,540) | (20,447) | (21,753) | (36,268) | |||
Net increase (decrease) in net assets | (10,163) | (19,858) | (52,401) | (40,264) | |||
Net Assets | |||||||
Beginning of period | 49,802 | 69,660 | 203,503 | 243,767 | |||
End of Period | $39,639 | $49,802 | $151,102 | $203,503 |
Table of Contents
Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $(361) | $581 | $(11) | $34 | |||
Net realized gain (loss) | 8,659 | 5,335 | 251 | 520 | |||
Net change in unrealized appreciation (depreciation) | (47,779) | 19,056 | (827) | (689) | |||
Increase (decrease) in net assets resulting from operations | (39,481) | 24,972 | (587) | (135) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (2,055) | (9,904) | (172) | (723) | |||
Class C | (674) | (3,484) | (68) | (365) | |||
Class I | (3,014) | (7,873) | (268) | (594) | |||
Class R6 | (1,610) | (42) | — | — | |||
Total Dividends and Distributions to Shareholders | (7,353) | (21,303) | (508) | (1,682) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 451 | (3,343) | 129 | (1,107) | |||
Class C | (1,888) | (2,189) | (38) | (800) | |||
Class I | 1,558 | 42,310 | 272 | 225 | |||
Class R6 | 7,759 | 60,096 | — | — | |||
Increase (decrease) in net assets from capital transactions | 7,880 | 96,874 | 363 | (1,682) | |||
Net increase (decrease) in net assets | (38,954) | 100,543 | (732) | (3,499) | |||
Net Assets | |||||||
Beginning of period | 318,142 | 217,599 | 4,237 | 7,736 | |||
End of Period | $279,188 | $318,142 | $3,505 | $4,237 |
Table of Contents
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Duff & Phelps Global Infrastructure Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $16.26 | 0.09 | — | (3.19) | (3.10) | (0.15) | — | (0.52) | (0.67) | — | (3.77) | $12.49 | (19.83) % | $27,831 | 1.26 % | 1.26 % | 1.18 % | 25 % | |
10/1/18 to 9/30/19 | 14.45 | 0.25 | — | 2.38 | 2.63 | (0.27) | — | (0.55) | (0.82) | — | 1.81 | 16.26 | 19.13 | 37,533 | 1.26 | 1.26 | 1.69 | 30 | |
10/1/17 to 9/30/18 | 15.00 | 0.28 | — | (0.39) | (0.11) | (0.29) | — | (0.15) | (0.44) | — | (0.55) | 14.45 | (0.75) | 32,466 | 1.25 | 1.25 | 1.91 | 36 | |
10/1/16 to 9/30/17 | 14.22 | 0.29 | — | 1.15 | 1.44 | (0.28) | — | (0.38) | (0.66) | — | 0.78 | 15.00 | 10.70 (7) | 37,401 | 1.29 (7) | 1.30 | 2.04 (7) | 56 | |
10/1/15 to 9/30/16 | 13.62 | 0.29 | — | 1.54 | 1.83 | (0.33) | — | (0.90) | (1.23) | — | 0.60 | 14.22 | 14.79 | 51,148 | 1.34 (8) | 1.34 | 2.16 | 17 | |
10/1/14 to 9/30/15 | 15.38 | 0.36 | — | (1.60) | (1.24) | (0.39) | — | (0.13) | (0.52) | — | (1.76) | 13.62 | (8.27) | 60,744 | 1.22 | 1.22 | 2.38 | 27 | |
Class C | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $16.20 | 0.03 | — | (3.17) | (3.14) | (0.08) | — | (0.52) | (0.60) | — | (3.74) | $12.46 | (20.10) % | $10,465 | 2.02 % | 2.02 % | 0.43 % | 25 % | |
10/1/18 to 9/30/19 | 14.39 | 0.14 | — | 2.37 | 2.51 | (0.15) | — | (0.55) | (0.70) | — | 1.81 | 16.20 | 18.32 | 15,046 | 2.01 | 2.01 | 0.97 | 30 | |
10/1/17 to 9/30/18 | 14.94 | 0.17 | — | (0.39) | (0.22) | (0.18) | — | (0.15) | (0.33) | — | (0.55) | 14.39 | (1.54) | 17,972 | 2.00 | 2.00 | 1.16 | 36 | |
10/1/16 to 9/30/17 | 14.17 | 0.18 | — | 1.14 | 1.32 | (0.17) | — | (0.38) | (0.55) | — | 0.77 | 14.94 | 9.84 (7) | 25,144 | 2.04 (7) | 2.05 | 1.30 (7) | 56 | |
10/1/15 to 9/30/16 | 13.57 | 0.19 | — | 1.53 | 1.72 | (0.22) | — | (0.90) | (1.12) | — | 0.60 | 14.17 | 13.94 | 29,616 | 2.08 (8) | 2.08 | 1.42 | 17 | |
10/1/14 to 9/30/15 | 15.33 | 0.25 | — | (1.59) | (1.34) | (0.29) | — | (0.13) | (0.42) | — | (1.76) | 13.57 | (8.94) | 41,039 | 1.97 | 1.97 | 1.66 | 27 | |
Class I | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $16.27 | 0.12 | — | (3.21) | (3.09) | (0.16) | — | (0.52) | (0.68) | — | (3.77) | $12.50 | (19.71) % | $29,702 | 1.03 % | 1.03 % | 1.49 % | 25 % | |
10/1/18 to 9/30/19 | 14.45 | 0.29 | — | 2.39 | 2.68 | (0.31) | — | (0.55) | (0.86) | — | 1.82 | 16.27 | 19.50 | 50,089 | 1.02 | 1.02 | 1.94 | 30 | |
10/1/17 to 9/30/18 | 15.00 | 0.31 | — | (0.38) | (0.07) | (0.33) | — | (0.15) | (0.48) | — | (0.55) | 14.45 | (0.52) | 30,488 | 1.01 | 1.01 | 2.12 | 36 | |
10/1/16 to 9/30/17 | 14.23 | 0.33 | — | 1.14 | 1.47 | (0.32) | — | (0.38) | (0.70) | — | 0.77 | 15.00 | 10.92 (7) | 56,361 | 1.04 (7) | 1.04 | 2.29 (7) | 56 | |
10/1/15 to 9/30/16 | 13.63 | 0.32 | — | 1.54 | 1.86 | (0.36) | — | (0.90) | (1.26) | — | 0.60 | 14.23 | 15.07 | 41,056 | 1.08 (8) | 1.08 | 2.37 | 17 | |
10/1/14 to 9/30/15 | 15.38 | 0.39 | — | (1.58) | (1.19) | (0.43) | — | (0.13) | (0.56) | — | (1.75) | 13.63 | (7.98) | 50,522 | 0.97 | 0.97 | 2.61 | 27 | |
Class R6 | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $16.27 | 0.12 | — | (3.20) | (3.08) | (0.17) | — | (0.52) | (0.69) | — | (3.77) | $12.50 | (19.65) % | $9,218 | 0.85 % | 0.94 % | 1.49 % | 25 % | |
10/1/18 to 9/30/19 | 14.45 | 0.30 | — | 2.39 | 2.69 | (0.32) | — | (0.55) | (0.87) | — | 1.82 | 16.27 | 19.60 | 9,436 | 0.91 (9) | 0.93 | 2.02 | 30 | |
1/30/18(10) to 9/30/18 | 15.06 | 0.23 | — | (0.60) | (0.37) | (0.24) | — | — | (0.24) | — | (0.61) | 14.45 | (2.44) | 11,561 | 0.93 | 0.93 | 2.41 | 36 (11) | |
Duff & Phelps Global Real Estate Securities Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $34.82 | 0.21 | — | (7.40) | (7.19) | (1.29) | — | (0.78) | (2.07) | — | (9.26) | $25.56 | (22.03) % | $18,919 | 1.40 % | 2.46 % | 1.28 % | 16 % | |
10/1/18 to 9/30/19 | 30.30 | 0.51 | — | 4.46 | 4.97 | (0.44) | — | (0.01) | (0.45) | — | 4.52 | 34.82 | 16.72 | 21,612 | 1.40 | 2.61 | 1.63 | 31 | |
10/1/17 to 9/30/18 | 28.64 | 0.74 | — | 1.38 | 2.12 | (0.40) | — | (0.06) | (0.46) | — | 1.66 | 30.30 | 7.48 | 19,470 | 1.40 | 2.51 | 2.53 | 41 | |
10/1/16 to 9/30/17 | 28.97 | 0.39 | — | 0.07 | 0.46 | (0.72) | — | (0.07) | (0.79) | — | (0.33) | 28.64 | 1.82 | 23,626 | 1.40 | 1.68 | 1.41 | 36 | |
10/1/15 to 9/30/16 | 26.19 | 0.40 | — | 3.12 | 3.52 | (0.33) | — | (0.41) | (0.74) | — | 2.78 | 28.97 | 13.75 | 68,087 | 1.41 (8) | 1.54 | 1.45 | 22 | |
10/1/14 to 9/30/15 | 25.18 | 0.66 | — | 1.08 | 1.74 | (0.64) | — | (0.09) | (0.73) | — | 1.01 | 26.19 | 6.83 | 36,315 | 1.40 | 1.50 | 2.45 | 27 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Duff & Phelps Global Real Estate Securities Fund (Continued) | |||||||||||||||||||
Class C | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $33.42 | 0.08 | — | (7.03) | (6.95) | (1.40) | — | (0.78) | (2.18) | — | (9.13) | $24.29 | (22.32) % | $6,893 | 2.15 % | 2.18 % | 0.51 % | 16 % | |
10/1/18 to 9/30/19 | 29.50 | 0.25 | — | 4.29 | 4.54 | (0.61) | — | (0.01) | (0.62) | — | 3.92 | 33.42 | 15.84 | 9,399 | 2.15 | 2.20 | 0.84 | 31 | |
10/1/17 to 9/30/18 | 28.12 | 0.50 | — | 1.36 | 1.86 | (0.42) | — | (0.06) | (0.48) | — | 1.38 | 29.50 | 6.68 | 9,580 | 2.15 | 2.21 | 1.73 | 41 | |
10/1/16 to 9/30/17 | 28.41 | 0.23 | — | 0.02 | 0.25 | (0.47) | — | (0.07) | (0.54) | — | (0.29) | 28.12 | 1.06 | 10,771 | 2.15 | 2.31 | 0.86 | 36 | |
10/1/15 to 9/30/16 | 25.71 | 0.20 | — | 3.06 | 3.26 | (0.15) | — | (0.41) | (0.56) | — | 2.70 | 28.41 | 12.89 | 13,560 | 2.16 (8) | 2.29 | 0.73 | 22 | |
10/1/14 to 9/30/15 | 24.77 | 0.45 | — | 1.07 | 1.52 | (0.49) | — | (0.09) | (0.58) | — | 0.94 | 25.71 | 6.07 | 8,421 | 2.15 | 2.26 | 1.68 | 27 | |
Class I | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $34.33 | 0.25 | — | (7.18) | (6.93) | (1.75) | — | (0.78) | (2.53) | — | (9.46) | $24.87 | (21.91) % | $166,621 | 1.15 % | 1.17 % | 1.52 % | 16 % | |
10/1/18 to 9/30/19 | 30.33 | 0.59 | — | 4.35 | 4.94 | (0.93) | — | (0.01) | (0.94) | — | 4.00 | 34.33 | 17.01 | 206,723 | 1.15 | 1.19 | 1.90 | 31 | |
10/1/17 to 9/30/18 | 28.77 | 0.80 | — | 1.39 | 2.19 | (0.57) | — | (0.06) | (0.63) | — | 1.56 | 30.33 | 7.70 | 145,648 | 1.15 | 1.19 | 2.72 | 41 | |
10/1/16 to 9/30/17 | 29.19 | 0.54 | — | (0.02) | 0.52 | (0.87) | — | (0.07) | (0.94) | — | (0.42) | 28.77 | 2.02 | 154,704 | 1.15 | 1.31 | 1.93 | 36 | |
10/1/15 to 9/30/16 | 26.37 | 0.51 | — | 3.11 | 3.62 | (0.39) | — | (0.41) | (0.80) | — | 2.82 | 29.19 | 14.06 | 114,428 | 1.16 (8) | 1.29 | 1.79 | 22 | |
10/1/14 to 9/30/15 | 25.33 | 0.73 | — | 1.10 | 1.83 | (0.70) | — | (0.09) | (0.79) | — | 1.04 | 26.37 | 7.11 | 32,659 | 1.15 | 1.25 | 2.69 | 27 | |
Class R6 | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $34.41 | 0.38 | — | (7.28) | (6.90) | (1.78) | — | (0.78) | (2.56) | — | (9.46) | $24.95 | (21.78) % | $22,341 | 0.89 % | 1.07 % | 2.58 % | 16 % | |
10/1/18 to 9/30/19 | 30.37 | 0.54 | — | 4.47 | 5.01 | (0.96) | — | (0.01) | (0.97) | — | 4.04 | 34.41 | 17.23 | 2,893 | 0.94 (9) | 1.08 | 1.75 | 31 | |
10/1/17 to 9/30/18 | 28.79 | 0.86 | — | 1.38 | 2.24 | (0.60) | — | (0.06) | (0.66) | — | 1.58 | 30.37 | 7.90 | 6,611 | 1.00 (9) | 1.09 | 2.92 | 41 | |
11/3/16(10) to 9/30/17 | 26.78 | 0.50 | — | 2.47 | 2.97 | (0.89) | — | (0.07) | (0.96) | — | 2.01 | 28.79 | 11.39 | 7,791 | 1.04 | 1.12 | 1.92 | 36 (11) | |
Duff & Phelps International Real Estate Securities Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $7.96 | 0.03 | — | (1.51) | (1.48) | (0.63) | — | — | (0.63) | — | (2.11) | $5.85 | (20.49) % | $2,190 | 1.50 % | 1.69 % | 0.73 % | 22 % | |
10/1/18 to 9/30/19 | 7.41 | 0.14 | — | 0.68 | 0.82 | (0.27) | — | — | (0.27) | — | 0.55 | 7.96 | 11.65 | 2,318 | 1.50 | 1.71 | 1.87 | 34 | |
10/1/17 to 9/30/18 | 6.93 | 0.30 | — | 0.30 | 0.60 | (0.12) | — | — | (0.12) | — | 0.48 | 7.41 | 8.72 | 2,145 | 1.50 | 1.85 | 4.07 | 38 | |
10/1/16 to 9/30/17 | 7.25 | 0.13 | — | (0.01) | 0.12 | (0.44) | — | — | (0.44) | — | (0.32) | 6.93 | 2.53 | 2,506 | 1.50 | 1.99 | 1.94 | 24 | |
10/1/15 to 9/30/16 | 6.63 | 0.11 | — | 0.58 | 0.69 | (0.07) | — | — | (0.07) | — | 0.62 | 7.25 | 10.47 | 8,680 | 1.51 (8) | 1.91 | 1.60 | 26 | |
10/1/14 to 9/30/15 | 7.03 | 0.28 | — | (0.21) | 0.07 | (0.47) | — | — | (0.47) | — | (0.40) | 6.63 | 0.94 | 12,415 | 1.50 | 1.78 | 4.09 | 27 | |
Class C | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $7.92 | — (12) | — | (1.51) | (1.51) | (0.60) | — | — | (0.60) | — | (2.11) | $5.81 | (20.90) % | $586 | 2.25 % | 2.43 % | (0.05) % | 22 % | |
10/1/18 to 9/30/19 | 7.38 | 0.08 | — | 0.68 | 0.76 | (0.22) | — | — | (0.22) | — | 0.54 | 7.92 | 10.84 | 736 | 2.25 | 2.44 | 1.06 | 34 | |
10/1/17 to 9/30/18 | 6.89 | 0.25 | — | 0.30 | 0.55 | (0.06) | — | — | (0.06) | — | 0.49 | 7.38 | 7.97 | 945 | 2.25 | 2.59 | 3.35 | 38 | |
10/1/16 to 9/30/17 | 7.21 | 0.09 | — | (0.02) | 0.07 | (0.39) | — | — | (0.39) | — | (0.32) | 6.89 | 1.72 | 957 | 2.25 | 2.73 | 1.32 | 24 | |
10/1/15 to 9/30/16 | 6.59 | 0.07 | — | 0.57 | 0.64 | (0.02) | — | — | (0.02) | — | 0.62 | 7.21 | 9.69 | 2,006 | 2.26 (8) | 2.68 | 0.97 | 26 | |
10/1/14 to 9/30/15 | 6.97 | 0.23 | — | (0.20) | 0.03 | (0.41) | — | — | (0.41) | — | (0.38) | 6.59 | 0.29 | 2,226 | 2.25 | 2.52 | 3.36 | 27 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Duff & Phelps International Real Estate Securities Fund (Continued) | |||||||||||||||||||
Class I | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $7.93 | 0.04 | — | (1.50) | (1.46) | (0.64) | — | — | (0.64) | — | (2.10) | $5.83 | (20.35) % | $36,000 | 1.25 % | 1.43 % | 0.94 % | 22 % | |
10/1/18 to 9/30/19 | 7.40 | 0.16 | — | 0.67 | 0.83 | (0.30) | — | — | (0.30) | — | 0.53 | 7.93 | 11.84 | 51,060 | 1.25 | 1.44 | 2.10 | 34 | |
10/1/17 to 9/30/18 | 6.94 | 0.28 | — | 0.34 | 0.62 | (0.16) | — | — | (0.16) | — | 0.46 | 7.40 | 9.03 | 39,992 | 1.25 | 1.53 | 3.74 | 38 | |
10/1/16 to 9/30/17 | 7.26 | 0.16 | — | (0.03) | 0.13 | (0.45) | — | — | (0.45) | — | (0.32) | 6.94 | 2.79 | 21,573 | 1.25 | 1.72 | 2.45 | 24 | |
10/1/15 to 9/30/16 | 6.64 | 0.14 | — | 0.56 | 0.70 | (0.08) | — | — | (0.08) | — | 0.62 | 7.26 | 10.72 | 24,348 | 1.26 (8) | 1.68 | 1.98 | 26 | |
10/1/14 to 9/30/15 | 7.03 | 0.30 | — | (0.20) | 0.10 | (0.49) | — | — | (0.49) | — | (0.39) | 6.64 | 1.31 | 24,999 | 1.25 | 1.52 | 4.36 | 27 | |
Duff & Phelps Real Asset Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.38 | 0.29 | 0.22 | (2.73) | (2.22) | (0.35) | — | — | (0.35) | — | (2.57) | $8.81 | (20.19) % | $11,626 | 0.77 % (8) | 0.78 % | 5.17 % | 61 % | |
10/1/18 to 9/30/19 | 11.63 | 0.14 | 0.16 | (0.31) | (0.01) | (0.24) | — | — | (0.24) | — | (0.25) | 11.38 | 0.18 | 15,897 | 0.76 | 0.76 | 1.25 | 13 | |
10/1/17 to 9/30/18 | 11.05 | 0.12 | 0.13 | 0.44 | 0.69 | (0.11) | — | — | (0.11) | — | 0.58 | 11.63 | 6.25 | 10,348 | 0.71 | 0.71 | 1.06 | 17 | |
10/1/16 to 9/30/17 | 10.89 | 0.18 | 0.22 | (0.04) | 0.36 | (0.20) | — | — | (0.20) | — | 0.16 | 11.05 | 3.34 | 11,118 | 0.74 | 0.74 | 1.65 | 4 | |
10/1/15 to 9/30/16 | 9.99 | 0.08 | 0.31 | 0.58 | 0.97 | (0.07) | — | — | (0.07) | — | 0.90 | 10.89 | 9.74 | 19,171 | 0.74 (8) | 0.74 | 0.80 | 56 | |
10/1/14 to 9/30/15 | 11.31 | 0.19 | 0.09 | (1.39) | (1.11) | (0.21) | — | — | (0.21) | — | (1.32) | 9.99 | (10.02) | 25,377 | 0.64 | 0.64 | 1.77 | 46 | |
Class C | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.32 | 0.24 | 0.22 | (2.75) | (2.29) | (0.10) | — | — | (0.10) | — | (2.39) | $8.93 | (20.47) % | $1,064 | 1.57 % (8) | 1.57 % | 4.22 % | 61 % | |
10/1/18 to 9/30/19 | 11.50 | 0.27 | 0.16 | (0.52) | (0.09) | (0.09) | — | — | (0.09) | — | (0.18) | 11.32 | (0.65) | 2,126 | 1.50 | 1.50 | 2.44 | 13 | |
10/1/17 to 9/30/18 | 10.97 | 0.04 | 0.14 | 0.41 | 0.59 | (0.06) | — | — | (0.06) | — | 0.53 | 11.50 | 5.40 | 9,948 | 1.46 | 1.46 | 0.39 | 17 | |
10/1/16 to 9/30/17 | 10.73 | 0.09 | 0.19 | — | 0.28 | (0.04) | — | — | (0.04) | — | 0.24 | 10.97 | 2.65 | 13,354 | 1.50 | 1.50 | 0.80 | 4 | |
10/1/15 to 9/30/16 | 9.90 | — (12) | 0.31 | 0.56 | 0.87 | (0.04) | — | — | (0.04) | — | 0.83 | 10.73 | 8.86 | 19,611 | 1.49 (8) | 1.49 | 0.04 | 56 | |
10/1/14 to 9/30/15 | 11.21 | 0.11 | 0.09 | (1.39) | (1.19) | (0.12) | — | — | (0.12) | — | (1.31) | 9.90 | (10.66) | 25,637 | 1.39 | 1.39 | 1.02 | 46 | |
Class I | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.35 | 0.36 | 0.22 | (2.77) | (2.19) | (0.38) | — | — | (0.38) | — | (2.57) | $8.78 | (20.06) % | $13,900 | 0.52 % (8) | 0.52 % | 6.41 % | 61 % | |
10/1/18 to 9/30/19 | 11.62 | 0.25 | 0.16 | (0.39) | 0.02 | (0.29) | — | — | (0.29) | — | (0.27) | 11.35 | 0.44 | 21,018 | 0.51 | 0.51 | 2.26 | 13 | |
10/1/17 to 9/30/18 | 11.03 | 0.16 | 0.13 | 0.42 | 0.71 | (0.12) | — | — | (0.12) | — | 0.59 | 11.62 | 6.49 | 20,225 | 0.45 | 0.45 | 1.43 | 17 | |
10/1/16 to 9/30/17 | 10.89 | 0.19 | 0.16 | 0.04 | 0.39 | (0.25) | — | — | (0.25) | — | 0.14 | 11.03 | 3.69 | 19,910 | 0.49 | 0.49 | 1.73 | 4 | |
10/1/15 to 9/30/16 | 9.98 | 0.11 | 0.31 | 0.56 | 0.98 | (0.07) | — | — | (0.07) | — | 0.91 | 10.89 | 9.94 | 19,777 | 0.49 (8) | 0.49 | 1.04 | 56 | |
10/1/14 to 9/30/15 | 11.30 | 0.22 | 0.09 | (1.39) | (1.08) | (0.24) | — | — | (0.24) | — | (1.32) | 9.98 | (9.77) | 30,543 | 0.39 | 0.39 | 1.99 | 46 | |
Herzfeld Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.14 | 0.23 | 0.06 | (2.84) | (2.55) | (0.33) | — | — | (0.33) | — | (2.88) | $8.26 | (23.14) % | $3,312 | 1.60 % | 1.68 % | 4.19 % | 49 % | |
10/1/18 to 9/30/19 | 12.64 | 0.29 | 0.28 | (0.78) | (0.21) | (0.36) | (0.06) | (0.87) | (1.29) | — | (1.50) | 11.14 | (0.37) | 4,956 | 1.60 | 1.63 | 2.55 | 61 | |
10/1/17 to 9/30/18 | 12.15 | 0.26 | 0.31 | 0.28 | 0.85 | (0.29) | — | (0.07) | (0.36) | — | 0.49 | 12.64 | 7.06 | 6,198 | 1.60 | 1.62 | 2.11 | 69 | |
10/1/16 to 9/30/17 | 10.92 | 0.27 | 0.22 | 1.10 | 1.59 | (0.36) | — | — | (0.36) | — | 1.23 | 12.15 | 14.78 | 8,146 | 1.59 | 1.67 | 2.39 | 44 | |
10/1/15 to 9/30/16 | 9.91 | 0.34 | — | 1.20 | 1.54 | (0.43) | — | (0.10) | (0.53) | — | 1.01 | 10.92 | 16.04 | 11,060 | 1.61 (8) | 1.74 | 3.33 | 53 | |
10/1/14 to 9/30/15 | 11.37 | 0.35 | — | (1.12) | (0.77) | (0.37) | — | (0.32) | (0.69) | — | (1.46) | 9.91 | (7.17) | 8,324 | 1.60 | 1.73 | 3.20 | 57 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Herzfeld Fund (Continued) | |||||||||||||||||||
Class C | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.09 | 0.23 | 0.06 | (2.86) | (2.57) | (0.29) | — | — | (0.29) | — | (2.86) | $8.23 | (23.45) % | $8,175 | 2.35 % | 2.44 % | 4.13 % | 49 % | |
10/1/18 to 9/30/19 | 12.59 | 0.20 | 0.28 | (0.78) | (0.30) | (0.27) | (0.06) | (0.87) | (1.20) | — | (1.50) | 11.09 | (1.14) | 15,347 | 2.35 | 2.40 | 1.80 | 61 | |
10/1/17 to 9/30/18 | 12.10 | 0.16 | 0.29 | 0.31 | 0.76 | (0.20) | — | (0.07) | (0.27) | — | 0.49 | 12.59 | 6.31 | 19,231 | 2.35 | 2.36 | 1.32 | 69 | |
10/1/16 to 9/30/17 | 10.88 | 0.18 | 0.19 | 1.13 | 1.50 | (0.28) | — | — | (0.28) | — | 1.22 | 12.10 | 13.94 | 19,147 | 2.34 | 2.42 | 1.58 | 44 | |
10/1/15 to 9/30/16 | 9.87 | 0.27 | — | 1.19 | 1.46 | (0.35) | — | (0.10) | (0.45) | — | 1.01 | 10.88 | 15.22 | 15,568 | 2.36 (8) | 2.49 | 2.61 | 53 | |
10/1/14 to 9/30/15 | 11.34 | 0.26 | — | (1.11) | (0.85) | (0.30) | — | (0.32) | (0.62) | — | (1.47) | 9.87 | (7.94) | 14,761 | 2.35 | 2.48 | 2.39 | 57 | |
Class I | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.15 | 0.27 | 0.06 | (2.87) | (2.54) | (0.35) | — | — | (0.35) | — | (2.89) | $8.26 | (23.08) % | $14,816 | 1.35 % | 1.40 % | 4.81 % | 49 % | |
10/1/18 to 9/30/19 | 12.66 | 0.31 | 0.29 | (0.79) | (0.19) | (0.39) | (0.06) | (0.87) | (1.32) | — | (1.51) | 11.15 | (0.16) | 30,121 | 1.35 | 1.37 | 2.78 | 61 | |
10/1/17 to 9/30/18 | 12.17 | 0.29 | 0.29 | 0.31 | 0.89 | (0.33) | — | (0.07) | (0.40) | — | 0.49 | 12.66 | 7.38 | 36,870 | 1.33 | 1.35 | 2.32 | 69 | |
10/1/16 to 9/30/17 | 10.94 | 0.30 | 0.18 | 1.14 | 1.62 | (0.39) | — | — | (0.39) | — | 1.23 | 12.17 | 15.07 | 36,645 | 1.35 | 1.41 | 2.64 | 44 | |
10/1/15 to 9/30/16 | 9.92 | 0.37 | — | 1.21 | 1.58 | (0.46) | — | (0.10) | (0.56) | — | 1.02 | 10.94 | 16.40 | 20,511 | 1.36 (8) | 1.49 | 3.59 | 53 | |
10/1/14 to 9/30/15 | 11.39 | 0.37 | — | (1.12) | (0.75) | (0.40) | — | (0.32) | (0.72) | — | (1.47) | 9.92 | (7.01) | 15,148 | 1.35 | 1.47 | 3.39 | 57 | |
Horizon Wealth Masters Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $16.37 | 0.03 | — | (4.46) | (4.43) | (0.05) | — | (0.82) | (0.87) | — | (5.30) | $11.07 | (28.85) % | $7,261 | 1.25 % | 1.58 % | 0.41 % | 15 % | |
10/1/18 to 9/30/19 | 18.80 | 0.07 | — | (1.33) | (1.26) | — | — | (1.17) | (1.17) | — | (2.43) | 16.37 | (5.83) | 13,275 | 1.25 | 1.52 | 0.46 | 25 | |
10/1/17 to 9/30/18 | 17.07 | (0.01) | — | 1.89 | 1.88 | — | — | (0.15) | (0.15) | — | 1.73 | 18.80 | 11.04 | 18,883 | 1.30 (9) | 1.47 | (0.05) | 27 | |
10/1/16 to 9/30/17 | 14.60 | 0.05 | — | 2.52 | 2.57 | (0.10) | — | — | (0.10) | — | 2.47 | 17.07 | 17.67 | 20,639 | 1.45 | 1.52 | 0.32 | 30 | |
10/1/15 to 9/30/16 | 13.25 | 0.07 | — | 1.55 | 1.62 | (0.03) | — | (0.24) | (0.27) | — | 1.35 | 14.60 | 12.44 | 33,204 | 1.46 (8) | 1.54 | 0.53 | 30 | |
10/1/14 to 9/30/15 | 14.50 | 0.05 | — | (0.98) | (0.93) | (0.05) | — | (0.27) | (0.32) | — | (1.25) | 13.25 | (6.74) | 54,109 | 1.45 | 1.46 | 0.36 | 51 | |
Class C | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $15.69 | (0.03) | — | (4.26) | (4.29) | — | — | (0.82) | (0.82) | — | (5.11) | $10.58 | (29.11) % | $9,280 | 2.00 % | 2.33 % | (0.33) % | 15 % | |
10/1/18 to 9/30/19 | 18.21 | (0.04) | — | (1.31) | (1.35) | — | — | (1.17) | (1.17) | — | (2.52) | 15.69 | (6.55) | 15,134 | 2.00 | 2.28 | (0.29) | 25 | |
10/1/17 to 9/30/18 | 16.65 | (0.14) | — | 1.85 | 1.71 | — | — | (0.15) | (0.15) | — | 1.56 | 18.21 | 10.29 | 20,484 | 2.05 (9) | 2.23 | (0.80) | 27 | |
10/1/16 to 9/30/17 | 14.26 | (0.07) | — | 2.46 | 2.39 | — | — | — | — | — | 2.39 | 16.65 | 16.76 | 21,533 | 2.20 | 2.27 | (0.48) | 30 | |
10/1/15 to 9/30/16 | 13.02 | (0.03) | — | 1.51 | 1.48 | — | — | (0.24) | (0.24) | — | 1.24 | 14.26 | 11.56 | 24,816 | 2.21 (8) | 2.29 | (0.22) | 30 | |
10/1/14 to 9/30/15 | 14.32 | (0.06) | — | (0.97) | (1.03) | — | — | (0.27) | (0.27) | — | (1.30) | 13.02 | (7.41) | 34,171 | 2.20 | 2.21 | (0.39) | 51 | |
Class I | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $16.51 | 0.05 | — | (4.48) | (4.43) | (0.11) | — | (0.82) | (0.93) | — | (5.36) | $11.15 | (28.75) % | $10,372 | 1.00 % | 1.33 % | 0.67 % | 15 % | |
10/1/18 to 9/30/19 | 18.91 | 0.12 | — | (1.35) | (1.23) | — | — | (1.17) | (1.17) | — | (2.40) | 16.51 | (5.62) | 20,896 | 1.00 | 1.27 | 0.72 | 25 | |
10/1/17 to 9/30/18 | 17.12 | 0.04 | — | 1.90 | 1.94 | — | — | (0.15) | (0.15) | — | 1.79 | 18.91 | 11.36 | 29,103 | 1.05 (9) | 1.22 | 0.20 | 27 | |
10/1/16 to 9/30/17 | 14.66 | 0.07 | — | 2.55 | 2.62 | (0.16) | — | — | (0.16) | — | 2.46 | 17.12 | 17.97 | 30,426 | 1.20 | 1.26 | 0.46 | 30 | |
10/1/15 to 9/30/16 | 13.30 | 0.08 | — | 1.58 | 1.66 | (0.06) | — | (0.24) | (0.30) | — | 1.36 | 14.66 | 12.75 | 20,134 | 1.21 (8) | 1.29 | 0.61 | 30 | |
10/1/14 to 9/30/15 | 14.56 | 0.09 | — | (1.00) | (0.91) | (0.08) | — | (0.27) | (0.35) | — | (1.26) | 13.30 | (6.53) | 32,495 | 1.20 | 1.21 | 0.62 | 51 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
KAR Emerging Markets Small-Cap Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $12.10 | (0.02) | — | (1.79) | (1.81) | (0.23) | — | — | (0.23) | — | (2.04) | $10.06 | (15.30) % | $20,942 | 1.85 % | 1.89 % | (0.32) % | 31 % | |
10/1/18 to 9/30/19 | 11.66 | 0.32 | — | 0.15 | 0.47 | (0.03) | — | — | (0.03) | — | 0.44 | 12.10 | 4.10 | 27,479 | 1.86 | 1.90 | 2.70 | 44 | |
10/1/17 to 9/30/18 | 10.95 | 0.10 | — | 0.68 | 0.78 | (0.07) | — | — | (0.07) | — | 0.71 | 11.66 | 7.10 | 4,658 | 1.85 | 2.23 | 0.83 | 24 | |
10/1/16 to 9/30/17 | 9.29 | 0.15 | — | 1.68 | 1.83 | (0.17) | — | — | (0.17) | — | 1.66 | 10.95 | 20.12 | 1,647 | 1.84 | 2.97 | 1.47 | 28 | |
10/1/15 to 9/30/16 | 7.85 | 0.18 | — | 1.41 | 1.59 | (0.15) | — | — | (0.15) | — | 1.44 | 9.29 | 20.66 | 382 | 1.86 (8) | 3.77 | 2.18 | 34 | |
10/1/14 to 9/30/15 | 10.32 | 0.16 | — | (2.28) | (2.12) | (0.12) | — | (0.23) | (0.35) | — | (2.47) | 7.85 | (21.20) | 332 | 1.85 | 3.62 | 1.73 | 35 | |
Class C | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $12.03 | (0.06) | — | (1.79) | (1.85) | (0.17) | — | — | (0.17) | — | (2.02) | $10.01 | (15.63) % | $768 | 2.60 % | 2.61 % | (0.94) % | 31 % | |
10/1/18 to 9/30/19 | 11.65 | 0.17 | — | 0.21 | 0.38 | — | — | — | — | — | 0.38 | 12.03 | 3.26 | 736 | 2.61 | 2.62 | 1.47 | 44 | |
10/1/17 to 9/30/18 | 10.96 | 0.01 | — | 0.68 | 0.69 | — | — | — | — | — | 0.69 | 11.65 | 6.30 | 358 | 2.60 | 2.90 | 0.08 | 24 | |
10/1/16 to 9/30/17 | 9.31 | 0.08 | — | 1.69 | 1.77 | (0.12) | — | — | (0.12) | — | 1.65 | 10.96 | 19.31 | 317 | 2.59 | 3.73 | 0.78 | 28 | |
10/1/15 to 9/30/16 | 7.80 | 0.12 | — | 1.41 | 1.53 | (0.02) | — | — | (0.02) | — | 1.51 | 9.31 | 19.62 | 117 | 2.61 (8) | 4.51 | 1.39 | 34 | |
10/1/14 to 9/30/15 | 10.26 | 0.07 | — | (2.24) | (2.17) | (0.06) | — | (0.23) | (0.29) | — | (2.46) | 7.80 | (21.68) | 128 | 2.60 | 4.34 | 0.76 | 35 | |
Class I | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $12.16 | — (12) | — | (1.80) | (1.80) | (0.26) | — | — | (0.26) | — | (2.06) | $10.10 | (15.21) % | $95,056 | 1.60 % | 1.62 % | 0.04 % | 31 % | |
10/1/18 to 9/30/19 | 11.70 | 0.34 | — | 0.16 | 0.50 | (0.04) | — | — | (0.04) | — | 0.46 | 12.16 | 4.33 | 85,699 | 1.61 | 1.67 | 2.85 | 44 | |
10/1/17 to 9/30/18 | 10.99 | 0.14 | — | 0.67 | 0.81 | (0.10) | — | — | (0.10) | — | 0.71 | 11.70 | 7.36 | 28,630 | 1.60 | 1.93 | 1.16 | 24 | |
10/1/16 to 9/30/17 | 9.31 | 0.16 | — | 1.70 | 1.86 | (0.18) | — | — | (0.18) | — | 1.68 | 10.99 | 20.42 | 8,673 | 1.59 | 2.75 | 1.60 | 28 | |
10/1/15 to 9/30/16 | 7.88 | 0.20 | — | 1.41 | 1.61 | (0.18) | — | — | (0.18) | — | 1.43 | 9.31 | 20.82 | 4,420 | 1.61 (8) | 3.53 | 2.44 | 34 | |
10/1/14 to 9/30/15 | 10.34 | 0.18 | — | (2.28) | (2.10) | (0.13) | — | (0.23) | (0.36) | — | (2.46) | 7.88 | (20.96) | 3,871 | 1.60 | 3.35 | 1.87 | 35 | |
Class R6 | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $12.16 | — (12) | — | (1.79) | (1.79) | (0.27) | — | — | (0.27) | — | (2.06) | $10.10 | (15.13) % | $84 | 1.50 % | 1.51 % | 0.07 % | 31 % | |
8/1/19(10) to 9/30/19 | 12.36 | 0.03 | — | (0.23) | (0.20) | — | — | — | — | — | (0.20) | 12.16 | (1.62) | 98 | 1.51 (8) | 1.62 | 1.44 | 44 (11) | |
KAR International Small-Cap Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $16.95 | (0.01) | — | (2.48) | (2.49) | (0.33) | — | — | (0.33) | — | (2.82) | $14.13 | (15.16) % | $80,217 | 1.52 % (13) | 1.52 % | (0.16) % | 16 % | |
10/1/18 to 9/30/19 | 17.15 | 0.44 | — | (0.47) | (0.03) | (0.06) | — | (0.11) | (0.17) | — (12) | (0.20) | 16.95 | (0.05) (14) | 70,958 | 1.55 (13) | 1.55 | 2.66 | 30 | |
10/1/17 to 9/30/18 | 16.22 | 0.16 | — | 1.01 | 1.17 | (0.08) | — | (0.16) | (0.24) | — | 0.93 | 17.15 | 7.31 | 47,909 | 1.60 | 1.56 | 0.92 | 21 | |
10/1/16 to 9/30/17 | 13.01 | 0.16 | — | 3.34 | 3.50 | (0.29) | — | — | (0.29) | — | 3.21 | 16.22 | 27.42 | 18,479 | 1.60 | 1.66 | 1.07 | 27 | |
10/1/15 to 9/30/16 | 10.85 | 0.21 | — | 2.38 | 2.59 | (0.20) | — | (0.23) | (0.43) | — | 2.16 | 13.01 | 24.58 | 1,985 | 1.61 (8) | 1.87 | 1.80 | 40 | |
10/1/14 to 9/30/15 | 13.70 | 0.17 | — | (1.83) | (1.66) | (0.23) | — | (0.96) | (1.19) | — | (2.85) | 10.85 | (12.58) | 1,916 | 1.60 | 1.74 | 1.41 | 64 | |
Class C | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $16.64 | (0.09) | — | (2.44) | (2.53) | (0.20) | — | — | (0.20) | — | (2.73) | $13.91 | (15.51) % | $30,501 | 2.25 % (13) | 2.25 % | (0.99) % | 16 % | |
10/1/18 to 9/30/19 | 16.89 | 0.32 | — | (0.46) | (0.14) | — | — | (0.11) | (0.11) | — (12) | (0.25) | 16.64 | (0.78) (14) | 37,210 | 2.29 (13) | 2.29 | 1.93 | 30 | |
10/1/17 to 9/30/18 | 16.04 | 0.03 | — | 1.02 | 1.05 | (0.04) | — | (0.16) | (0.20) | — | 0.85 | 16.89 | 6.60 | 35,966 | 2.31 (13) | 2.27 | 0.18 | 21 | |
10/1/16 to 9/30/17 | 12.92 | 0.06 | — | 3.29 | 3.35 | (0.23) | — | — | (0.23) | — | 3.12 | 16.04 | 26.41 | 13,442 | 2.35 | 2.41 | 0.38 | 27 | |
10/1/15 to 9/30/16 | 10.72 | 0.12 | — | 2.37 | 2.49 | (0.06) | — | (0.23) | (0.29) | — | 2.20 | 12.92 | 23.76 | 1,465 | 2.36 (8) | 2.63 | 1.02 | 40 | |
10/1/14 to 9/30/15 | 13.63 | 0.08 | — | (1.82) | (1.74) | (0.21) | — | (0.96) | (1.17) | — | (2.91) | 10.72 | (13.28) | 1,464 | 2.35 | 2.49 | 0.65 | 64 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
KAR International Small-Cap Fund (Continued) | |||||||||||||||||||
Class I | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $17.03 | — (12) | — | (2.48) | (2.48) | (0.37) | — | — | (0.37) | — | (2.85) | $14.18 | (15.08) % | $1,308,041 | 1.26 % (13) | 1.26 % | 0.02 % | 16 % | |
10/1/18 to 9/30/19 | 17.24 | 0.50 | — | (0.49) | 0.01 | (0.11) | — | (0.11) | (0.22) | — (12) | (0.21) | 17.03 | 0.18 (14) | 1,372,552 | 1.30 (13) | 1.30 | 2.96 | 30 | |
10/1/17 to 9/30/18 | 16.28 | 0.21 | — | 1.01 | 1.22 | (0.10) | — | (0.16) | (0.26) | — | 0.96 | 17.24 | 7.58 | 773,571 | 1.35 | 1.29 | 1.20 | 21 | |
10/1/16 to 9/30/17 | 13.04 | 0.20 | — | 3.35 | 3.55 | (0.31) | — | — | (0.31) | — | 3.24 | 16.28 | 27.73 | 176,216 | 1.35 | 1.42 | 1.33 | 27 | |
10/1/15 to 9/30/16 | 10.89 | 0.23 | — | 2.40 | 2.63 | (0.25) | — | (0.23) | (0.48) | — | 2.15 | 13.04 | 24.94 | 40,424 | 1.36 (8) | 1.62 | 1.95 | 40 | |
10/1/14 to 9/30/15 | 13.74 | 0.21 | — | (1.85) | (1.64) | (0.25) | — | (0.96) | (1.21) | — | (2.85) | 10.89 | (12.43) | 40,512 | 1.35 | 1.49 | 1.70 | 64 | |
Class R6 | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $17.05 | 0.03 | — | (2.50) | (2.47) | (0.39) | — | — | (0.39) | — | (2.86) | $14.19 | (15.06) % | $57,670 | 1.16 % (13) | 1.16 % | 0.36 % | 16 % | |
10/1/18 to 9/30/19 | 17.26 | 0.43 | — | (0.41) | 0.02 | (0.12) | — | (0.11) | (0.23) | — (12) | (0.21) | 17.05 | 0.24 (14) | 40,866 | 1.19 (13) | 1.19 | 2.60 | 30 | |
10/1/17 to 9/30/18 | 16.28 | 0.18 | — | 1.07 | 1.25 | (0.11) | — | (0.16) | (0.27) | — | 0.98 | 17.26 | 7.74 | 72,151 | 1.21 (13) | 1.20 | 1.06 | 21 | |
10/1/16 to 9/30/17 | 13.03 | 0.26 | — | 3.30 | 3.56 | (0.31) | — | — | (0.31) | — | 3.25 | 16.28 | 27.82 | 36,941 | 1.24 | 1.28 | 1.66 | 27 | |
10/1/15 to 9/30/16 | 10.89 | 0.25 | — | 2.39 | 2.64 | (0.27) | — | (0.23) | (0.50) | — | 2.14 | 13.03 | 25.06 | 112 | 1.27 (8) | 1.52 | 2.19 | 40 | |
11/12/14(10) to 9/30/15 | 13.43 | 0.22 | — | (1.55) | (1.33) | (0.25) | — | (0.96) | (1.21) | — | (2.54) | 10.89 | (10.41) | 90 | 1.27 | 1.41 | 2.02 | 64 (11) | |
KAR International Small-Mid Cap Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/19(10) to 3/31/20(6) | $10.00 | (0.01) | — | (0.67) | (0.68) | — | — | — | — | — | (0.68) | $9.32 | (6.80) % | $97 | 1.45 % | 4.89 % | (0.16) % | 30 % (11) | |
Class C | |||||||||||||||||||
10/1/19(10) to 3/31/20(6) | $10.00 | (0.05) | — | (0.67) | (0.72) | — | — | — | — | — | (0.72) | $9.28 | (7.20) % | $105 | 2.20 % | 5.64 % | (0.90) % | 30 % (11) | |
Class I | |||||||||||||||||||
10/1/19(10) to 3/31/20(6) | $10.00 | 0.20 | — | (0.87) | (0.67) | — | — | — | — | — | (0.67) | $9.33 | (6.70) % | $6,448 | 1.20 % | 4.61 % | 4.47 % | 30 % (11) | |
Class R6 | |||||||||||||||||||
10/1/19(10) to 3/31/20(6) | $10.00 | 0.01 | — | (0.67) | (0.66) | — | — | — | — | — | (0.66) | $9.34 | (6.60) % | $2,522 | 1.10 % | 4.63 % | 0.20 % | 30 % (11) | |
Rampart Equity Trend Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $15.16 | 0.01 | — | (2.89) | (2.88) | — | — | — | — | — | (2.88) | $12.28 | (19.00) % | $80,565 | 1.57 % (13) | 1.57 % | 0.09 % | 32 % | |
10/1/18 to 9/30/19 | 15.79 | 0.03 | — | (0.66) | (0.63) | — | — | — | — | — | (0.63) | 15.16 | (3.99) | 108,998 | 1.56 (13) | 1.56 | 0.19 | 228 | |
10/1/17 to 9/30/18 | 13.60 | 0.01 | — | 2.18 | 2.19 | — | — | — | — | — | 2.19 | 15.79 | 16.10 | 109,943 | 1.56 (13) | 1.56 | 0.08 | 57 | |
10/1/16 to 9/30/17 | 12.23 | 0.03 | — | 1.34 | 1.37 | — | — | — | — | — | 1.37 | 13.60 | 11.20 | 134,267 | 1.51 (9) | 1.60 | 0.23 | 92 | |
10/1/15 to 9/30/16 | 12.14 | (0.01) | — | 0.10 | 0.09 | — | — | — | — | — | 0.09 | 12.23 | 0.74 | 245,109 | 1.50 (8)(9) | 1.58 | (0.05) | 229 | |
10/1/14 to 9/30/15 | 17.39 | (0.03) | — | (1.79) | (1.82) | (0.01) | — | (3.42) | (3.43) | — | (5.25) | 12.14 | (12.79) | 520,337 | 1.60 (13) | 1.60 | (0.22) | 674 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Rampart Equity Trend Fund (Continued) | |||||||||||||||||||
Class C | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $14.41 | (0.05) | — | (2.73) | (2.78) | — | — | — | — | — | (2.78) | $11.63 | (19.29) % | $83,324 | 2.32 % (13) | 2.32 % | (0.66) % | 32 % | |
10/1/18 to 9/30/19 | 15.12 | (0.08) | — | (0.63) | (0.71) | — | — | — | — | — | (0.71) | 14.41 | (4.70) | 128,143 | 2.30 (13) | 2.30 | (0.57) | 228 | |
10/1/17 to 9/30/18 | 13.11 | (0.09) | —��� | 2.10 | 2.01 | — | — | — | — | — | 2.01 | 15.12 | 15.33 | 218,543 | 2.29 (13) | 2.29 | (0.65) | 57 | |
10/1/16 to 9/30/17 | 11.88 | (0.06) | — | 1.29 | 1.23 | — | — | — | — | — | 1.23 | 13.11 | 10.35 | 257,078 | 2.21 (9) | 2.35 | (0.47) | 92 | |
10/1/15 to 9/30/16 | 11.87 | (0.08) | — | 0.09 | 0.01 | — | — | — | — | — | 0.01 | 11.88 | 0.08 | 423,675 | 2.16 (8)(9) | 2.33 | (0.69) | 229 | |
10/1/14 to 9/30/15 | 17.16 | (0.13) | — | (1.76) | (1.89) | — | — | (3.40) | (3.40) | — | (5.29) | 11.87 | (13.45) | 746,390 | 2.36 (13) | 2.36 | (0.97) | 674 | |
Class I | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $15.37 | 0.03 | — | (2.93) | (2.90) | — | — | — | — | — | (2.90) | $12.47 | (18.87) % | $48,962 | 1.32 % (13) | 1.32 % | 0.33 % | 32 % | |
10/1/18 to 9/30/19 | 15.97 | 0.06 | — | (0.66) | (0.60) | — | — | — | — | — | (0.60) | 15.37 | (3.76) | 73,639 | 1.31 (13) | 1.31 | 0.42 | 228 | |
10/1/17 to 9/30/18 | 13.71 | 0.05 | — | 2.21 | 2.26 | — | — | — | — | — | 2.26 | 15.97 | 16.48 | 110,950 | 1.30 (13) | 1.30 | 0.34 | 57 | |
10/1/16 to 9/30/17 | 12.31 | 0.06 | — | 1.34 | 1.40 | — | — | — | — | — | 1.40 | 13.71 | 11.37 | 148,047 | 1.29 (9) | 1.35 | 0.45 | 92 | |
10/1/15 to 9/30/16 | 12.19 | 0.02 | — | 0.10 | 0.12 | — | — | — | — | — | 0.12 | 12.31 | 0.98 | 282,818 | 1.29 (8)(9) | 1.33 | 0.16 | 229 | |
10/1/14 to 9/30/15 | 17.42 | 0.01 | — | (1.80) | (1.79) | (0.02) | — | (3.42) | (3.44) | — | (5.23) | 12.19 | (12.57) | 594,460 | 1.35 (13) | 1.35 | 0.04 | 674 | |
Class R6 | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $15.47 | 0.04 | — | (2.96) | (2.92) | — | — | — | — | — | (2.92) | $12.55 | (18.88) % | $606 | 1.22 % (13) | 1.22 % | 0.45 % | 32 % | |
10/1/18 to 9/30/19 | 16.05 | 0.08 | — | (0.66) | (0.58) | — | — | — | — | — | (0.58) | 15.47 | (3.61) | 602 | 1.21 (13) | 1.21 | 0.53 | 228 | |
10/1/17 to 9/30/18 | 13.77 | 0.08 | — | 2.20 | 2.28 | — | — | — | — | — | 2.28 | 16.05 | 16.56 | 625 | 1.20 (13) | 1.20 | 0.50 | 57 | |
10/1/16 to 9/30/17 | 12.34 | 0.08 | — | 1.35 | 1.43 | — | — | — | — | — | 1.43 | 13.77 | 11.59 | 203 | 1.16 (9) | 1.23 | 0.58 | 92 | |
10/1/15 to 9/30/16 | 12.20 | 0.06 | — | 0.08 | 0.14 | — | — | — | — | — | 0.14 | 12.34 | 1.15 | 182 | 1.10 (8)(9) | 1.25 | 0.49 | 229 | |
11/12/14(10) to 9/30/15 | 17.20 | 0.01 | — | (1.57) | (1.56) | (0.02) | — | (3.42) | (3.44) | — | (5.00) | 12.20 | (11.39) | 89 | 1.28 (13) | 1.28 | 0.10 | 674 (11) | |
Rampart Multi-Asset Trend Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.50 | 0.05 | — | (0.95) | (0.90) | (0.08) | — | — | (0.08) | — | (0.98) | $10.52 | (7.92) % | $10,943 | 1.64 % (9) | 1.73 % | 0.90 % | 62 % | |
10/1/18 to 9/30/19 | 11.24 | 0.05 | — | 0.25 | 0.30 | (0.04) | — | — | (0.04) | — | 0.26 | 11.50 | 2.65 | 12,441 | 1.68 (13) | 1.68 | 0.45 | 233 | |
10/1/17 to 9/30/18 | 10.84 | 0.07 | — | 0.33 | 0.40 | — | — | — | — | — | 0.40 | 11.24 | 3.69 | 14,744 | 1.63 (13) | 1.63 | 0.67 | 117 | |
10/1/16 to 9/30/17 | 10.31 | 0.05 | — | 0.48 | 0.53 | — | — | — | — | — | 0.53 | 10.84 | 5.14 | 18,160 | 1.65 (13) | 1.65 | 0.52 | 167 | |
10/1/15 to 9/30/16 | 9.94 | (0.01) | — | 0.39 | 0.38 | (0.01) | — | — | (0.01) | — | 0.37 | 10.31 | 3.82 | 29,798 | 1.61 (8)(13) | 1.61 | (0.07) | 223 | |
10/1/14 to 9/30/15 | 11.85 | (0.02) | — | (0.92) | (0.94) | (0.04) | — | (0.93) | (0.97) | — | (1.91) | 9.94 | (8.58) | 55,214 | 1.62 (13) | 1.62 | (0.15) | 519 | |
Class C | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.05 | 0.01 | — | (0.92) | (0.91) | (0.03) | — | — | (0.03) | — | (0.94) | $10.11 | (8.26) % | $21,390 | 2.39 % (9) | 2.47 % | 0.13 % | 62 % | |
10/1/18 to 9/30/19 | 10.84 | (0.03) | — | 0.24 | 0.21 | — | — | — | — | — | 0.21 | 11.05 | 1.94 | 28,019 | 2.42 (13) | 2.42 | (0.29) | 233 | |
10/1/17 to 9/30/18 | 10.53 | (0.01) | — | 0.32 | 0.31 | — | — | — | — | — | 0.31 | 10.84 | 2.94 | 39,671 | 2.36 (13) | 2.36 | (0.08) | 117 | |
10/1/16 to 9/30/17 | 10.10 | (0.02) | — | 0.45 | 0.43 | — | — | — | — | — | 0.43 | 10.53 | 4.26 | 51,105 | 2.39 (13) | 2.39 | (0.23) | 167 | |
10/1/15 to 9/30/16 | 9.80 | (0.08) | — | 0.38 | 0.30 | — | — | — | — | — | 0.30 | 10.10 | 3.06 | 80,962 | 2.36 (8)(13) | 2.36 | (0.80) | 223 | |
10/1/14 to 9/30/15 | 11.73 | (0.09) | — | (0.91) | (1.00) | — | — | (0.93) | (0.93) | — | (1.93) | 9.80 | (9.23) | 139,223 | 2.36 (13) | 2.37 | (0.89) | 519 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Rampart Multi-Asset Trend Fund (Continued) | |||||||||||||||||||
Class I | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.57 | 0.07 | — | (0.96) | (0.89) | (0.09) | — | — | (0.09) | — | (0.98) | $10.59 | (7.77) % | $7,306 | 1.40 % (9) | 1.50 % | 1.16 % | 62 % | |
10/1/18 to 9/30/19 | 11.33 | 0.07 | — | 0.26 | 0.33 | (0.09) | — | — | (0.09) | — | 0.24 | 11.57 | 2.92 | 9,342 | 1.44 (13) | 1.44 | 0.68 | 233 | |
10/1/17 to 9/30/18 | 10.90 | 0.10 | — | 0.33 | 0.43 | — | — | — | — | — | 0.43 | 11.33 | 3.94 | 15,245 | 1.39 (13) | 1.39 | 0.90 | 117 | |
10/1/16 to 9/30/17 | 10.34 | 0.08 | — | 0.48 | 0.56 | — | — | — | — | — | 0.56 | 10.90 | 5.42 | 17,443 | 1.40 (13) | 1.40 | 0.76 | 167 | |
10/1/15 to 9/30/16 | 9.99 | 0.02 | — | 0.38 | 0.40 | (0.05) | — | — | (0.05) | — | 0.35 | 10.34 | 3.97 | 28,522 | 1.36 (8)(13) | 1.36 | 0.16 | 223 | |
10/1/14 to 9/30/15 | 11.88 | 0.01 | — | (0.91) | (0.90) | (0.06) | — | (0.93) | (0.99) | — | (1.89) | 9.99 | (8.36) | 73,528 | 1.36 (13) | 1.36 | 0.11 | 519 | |
Rampart Sector Trend Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $13.67 | 0.07 | — | (2.18) | (2.11) | (0.17) | — | — | (0.17) | — | (2.28) | $11.39 | (15.70) % | $73,262 | 1.00 % | 1.00 % | 1.04 % | 77 % | |
10/1/18 to 9/30/19 | 13.74 | 0.15 | — | (0.10) | 0.05 | (0.12) | — | — | (0.12) | — | (0.07) | 13.67 | 0.52 | 98,647 | 0.99 | 0.99 | 1.20 | 347 | |
10/1/17 to 9/30/18 | 12.20 | 0.10 | — | 1.56 | 1.66 | (0.12) | — | — | (0.12) | — | 1.54 | 13.74 | 13.64 | 95,318 | 0.98 | 0.98 | 0.76 | 324 | |
10/1/16 to 9/30/17 | 11.29 | 0.11 | — | 0.94 | 1.05 | (0.14) | — | — | (0.14) | — | 0.91 | 12.20 | 9.46 (7) | 99,321 | 1.03 (7) | 1.03 | 0.98 (7) | 259 | |
10/1/15 to 9/30/16 | 11.00 | 0.11 | — | 0.26 | 0.37 | (0.08) | — | — | (0.08) | — | 0.29 | 11.29 | 3.36 | 131,389 | 1.05 (8) | 1.05 | 1.00 | 337 | |
10/1/14 to 9/30/15 | 15.21 | 0.05 | — | (0.71) | (0.66) | (0.05) | — | (3.50) | (3.55) | — | (4.21) | 11.00 | (6.19) | 156,759 | 0.98 | 0.98 | 0.39 | 576 | |
Class C | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $13.42 | 0.02 | — | (2.17) | (2.15) | (0.03) | — | — | (0.03) | — | (2.18) | $11.24 | (16.06) % | $34,196 | 1.77 % | 1.77 % | 0.26 % | 77 % | |
10/1/18 to 9/30/19 | 13.47 | 0.05 | — | (0.09) | (0.04) | (0.01) | — | — | (0.01) | — | (0.05) | 13.42 | (0.29) | 51,461 | 1.75 | 1.75 | 0.43 | 347 | |
10/1/17 to 9/30/18 | 11.94 | — (12) | — | 1.53 | 1.53 | — (12) | — | — | — | — | 1.53 | 13.47 | 12.84 | 88,354 | 1.74 | 1.74 | (0.01) | 324 | |
10/1/16 to 9/30/17 | 11.04 | 0.02 | — | 0.93 | 0.95 | (0.05) | — | — | (0.05) | — | 0.90 | 11.94 | 8.68 (7) | 105,603 | 1.78 (7) | 1.78 | 0.22 (7) | 259 | |
10/1/15 to 9/30/16 | 10.76 | 0.03 | — | 0.25 | 0.28 | — | — | — | — | — | 0.28 | 11.04 | 2.60 | 167,265 | 1.80 (8) | 1.80 | 0.24 | 337 | |
10/1/14 to 9/30/15 | 15.02 | (0.04) | — | (0.69) | (0.73) | (0.02) | — | (3.51) | (3.53) | — | (4.26) | 10.76 | (6.86) | 206,556 | 1.74 | 1.74 | (0.34) | 576 | |
Class I | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $13.65 | 0.09 | — | (2.18) | (2.09) | (0.20) | — | — | (0.20) | — | (2.29) | $11.36 | (15.62) % | $43,644 | 0.77 % | 0.77 % | 1.27 % | 77 % | |
10/1/18 to 9/30/19 | 13.73 | 0.18 | — | (0.10) | 0.08 | (0.16) | — | — | (0.16) | — | (0.08) | 13.65 | 0.72 | 53,395 | 0.76 | 0.76 | 1.44 | 347 | |
10/1/17 to 9/30/18 | 12.19 | 0.13 | — | 1.56 | 1.69 | (0.15) | — | — | (0.15) | — | 1.54 | 13.73 | 13.94 | 60,095 | 0.74 | 0.74 | 0.99 | 324 | |
10/1/16 to 9/30/17 | 11.28 | 0.14 | — | 0.94 | 1.08 | (0.17) | — | — | (0.17) | — | 0.91 | 12.19 | 9.77 (7) | 72,187 | 0.78 (7) | 0.78 | 1.22 (7) | 259 | |
10/1/15 to 9/30/16 | 11.02 | 0.13 | — | 0.27 | 0.40 | (0.14) | — | — | (0.14) | — | 0.26 | 11.28 | 3.65 | 102,905 | 0.80 (8) | 0.80 | 1.21 | 337 | |
10/1/14 to 9/30/15 | 15.21 | 0.08 | — | (0.71) | (0.63) | (0.05) | — | (3.51) | (3.56) | — | (4.19) | 11.02 | (5.90) | 169,977 | 0.73 | 0.73 | 0.65 | 576 | |
Vontobel Global Opportunities Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $16.37 | (0.03) | — | (1.83) | (1.86) | — | — | (0.34) | (0.34) | — | (2.20) | $14.17 | (11.75) % | $86,727 | 1.36 % | 1.39 % | (0.36) % | 36 % | |
10/1/18 to 9/30/19 | 17.02 | 0.02 | — | 0.97 | 0.99 | — (12) | — | (1.64) | (1.64) | — | (0.65) | 16.37 | 7.62 | 99,951 | 1.37 (9) | 1.40 | 0.11 | 35 | |
10/1/17 to 9/30/18 | 16.22 | 0.02 | — | 1.68 | 1.70 | — (12) | — | (0.90) | (0.90) | — | 0.80 | 17.02 | 10.80 | 104,081 | 1.40 (13) | 1.40 | 0.12 | 38 | |
10/1/16 to 9/30/17 | 13.69 | 0.02 | — | 2.64 | 2.66 | (0.05) | — | (0.08) | (0.13) | — | 2.53 | 16.22 | 19.54 (7) | 113,151 | 1.45 (7) | 1.46 | 0.05 (7) | 37 | |
10/1/15 to 9/30/16 | 12.32 | 0.05 | — | 1.35 | 1.40 | (0.03) | — | — | (0.03) | — | 1.37 | 13.69 | 11.38 | 105,967 | 1.47 (8) | 1.48 | 0.37 | 29 | |
10/1/14 to 9/30/15 | 12.12 | 0.05 | — | 0.21 | 0.26 | (0.06) | — | — | (0.06) | — | 0.20 | 12.32 | 2.15 | 87,769 | 1.45 | 1.45 | 0.42 | 40 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Vontobel Global Opportunities Fund (Continued) | |||||||||||||||||||
Class C | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $13.58 | (0.08) | — | (1.50) | (1.58) | — | — | (0.34) | (0.34) | — | (1.92) | $11.66 | (12.10) % | $22,378 | 2.11 % | 2.13 % | (1.11) % | 36 % | |
10/1/18 to 9/30/19 | 14.51 | (0.08) | — | 0.79 | 0.71 | — | — | (1.64) | (1.64) | — | (0.93) | 13.58 | 6.89 | 28,147 | 2.12 (9) | 2.16 | (0.64) | 35 | |
10/1/17 to 9/30/18 | 14.06 | (0.09) | — | 1.44 | 1.35 | — | — | (0.90) | (0.90) | — | 0.45 | 14.51 | 9.92 | 32,003 | 2.16 (13) | 2.16 | (0.61) | 38 | |
10/1/16 to 9/30/17 | 11.93 | (0.08) | — | 2.29 | 2.21 | — | — | (0.08) | (0.08) | — | 2.13 | 14.06 | 18.61 (7) | 30,065 | 2.21 (7) | 2.22 | (0.68) (7) | 37 | |
10/1/15 to 9/30/16 | 10.79 | (0.04) | — | 1.18 | 1.14 | — | — | — | — | — | 1.14 | 11.93 | 10.57 | 23,070 | 2.23 (8) | 2.24 | (0.34) | 29 | |
10/1/14 to 9/30/15 | 10.66 | (0.01) | — | 0.16 | 0.15 | (0.02) | — | — | (0.02) | — | 0.13 | 10.79 | 1.42 | 14,431 | 2.21 | 2.21 | (0.13) | 40 | |
Class I | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $16.39 | (0.01) | — | (1.83) | (1.84) | (0.04) | — | (0.34) | (0.38) | — | (2.22) | $14.17 | (11.64) % | $105,929 | 1.09 % | 1.16 % | (0.09) % | 36 % | |
10/1/18 to 9/30/19 | 17.02 | 0.06 | — | 0.99 | 1.05 | (0.04) | — | (1.64) | (1.68) | — | (0.63) | 16.39 | 7.98 | 124,340 | 1.10 (9) | 1.17 | 0.41 | 35 | |
10/1/17 to 9/30/18 | 16.23 | 0.07 | — | 1.67 | 1.74 | (0.05) | — | (0.90) | (0.95) | — | 0.79 | 17.02 | 11.07 | 81,090 | 1.16 (13) | 1.16 | 0.43 | 38 | |
10/1/16 to 9/30/17 | 13.69 | 0.06 | — | 2.63 | 2.69 | (0.07) | — | (0.08) | (0.15) | — | 2.54 | 16.23 | 19.83 (7) | 76,222 | 1.20 (7) | 1.21 | 0.38 (7) | 37 | |
10/1/15 to 9/30/16 | 12.32 | 0.08 | — | 1.35 | 1.43 | (0.06) | — | — | (0.06) | — | 1.37 | 13.69 | 11.65 | 48,155 | 1.23 (8) | 1.23 | 0.64 | 29 | |
10/1/14 to 9/30/15 | 12.11 | 0.08 | — | 0.21 | 0.29 | (0.08) | — | — | (0.08) | — | 0.21 | 12.32 | 2.37 | 38,104 | 1.20 | 1.20 | 0.67 | 40 | |
Class R6 | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $16.42 | 0.01 | — | (1.84) | (1.83) | (0.05) | — | (0.34) | (0.39) | — | (2.22) | $14.20 | (11.56) % | $64,154 | 0.90 % | 1.07 % | 0.11 % | 36 % | |
10/1/18 to 9/30/19 | 17.03 | 0.13 | — | 0.94 | 1.07 | (0.04) | — | (1.64) | (1.68) | — | (0.61) | 16.42 | 8.19 | 65,704 | 0.90 (9) | 1.08 | 0.80 | 35 | |
1/30/18(10) to 9/30/18 | 17.27 | 0.06 | — | (0.30) | (0.24) | — | — | — | — | — | (0.24) | 17.03 | 1.39 | 425 | 1.11 (13) | 1.11 | 0.56 | 38 (11) | |
Vontobel Greater European Opportunities Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.55 | (0.03) | — | (1.31) | (1.34) | (0.06) | — | (1.32) | (1.38) | — | (2.72) | $8.83 | (13.73) % | $1,132 | 1.45 % | 3.41 % | (0.60) % | 26 % | |
10/1/18 to 9/30/19 | 15.62 | 0.07 | — | (0.38) | (0.31) | (0.14) | — | (3.62) | (3.76) | — | (4.07) | 11.55 | 2.14 | 1,378 | 1.45 | 2.99 | 0.62 | 16 | |
10/1/17 to 9/30/18 | 17.62 | 0.13 | — | (0.16) | (0.03) | (0.24) | — | (1.73) | (1.97) | — | (2.00) | 15.62 | (0.49) | 3,283 | 1.45 | 2.20 | 0.77 | 22 | |
10/1/16 to 9/30/17 | 15.86 | 0.04 | — | 1.96 | 2.00 | (0.24) | — | — | (0.24) | — | 1.76 | 17.62 | 12.89 | 4,224 | 1.44 | 1.90 | 0.26 | 42 | |
10/1/15 to 9/30/16 | 15.20 | 0.17 | — | 0.59 | 0.76 | (0.10) | — | — | (0.10) | — | 0.66 | 15.86 | 4.99 | 11,364 | 1.46 (8) | 1.82 | 1.06 | 49 | |
10/1/14 to 9/30/15 | 15.32 | 0.16 | — | 0.01 | 0.17 | (0.10) | — | (0.19) | (0.29) | — | (0.12) | 15.20 | 1.19 | 13,306 | 1.45 | 1.89 | 1.02 | 35 | |
Class C | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.21 | (0.07) | — | (1.26) | (1.33) | — | — | (1.32) | (1.32) | — | (2.65) | $8.56 | (13.99) % | $416 | 2.20 % | 4.24 % | (1.34) % | 26 % | |
10/1/18 to 9/30/19 | 15.22 | (0.04) | — | (0.35) | (0.39) | — | — | (3.62) | (3.62) | — | (4.01) | 11.21 | 1.34 | 579 | 2.20 | 3.73 | (0.32) | 16 | |
10/1/17 to 9/30/18 | 17.22 | 0.01 | — | (0.15) | (0.14) | (0.13) | — | (1.73) | (1.86) | — | (2.00) | 15.22 | (1.17) | 1,827 | 2.20 | 2.92 | 0.07 | 22 | |
10/1/16 to 9/30/17 | 15.58 | (0.02) | — | 1.86 | 1.84 | (0.20) | — | — | (0.20) | — | 1.64 | 17.22 | 12.06 | 2,208 | 2.19 | 2.66 | (0.10) | 42 | |
10/1/15 to 9/30/16 | 14.95 | 0.04 | — | 0.59 | 0.63 | — | — | — | — | — | 0.63 | 15.58 | 4.21 | 2,292 | 2.23 (8) | 2.58 | 0.26 | 49 | |
10/1/14 to 9/30/15 | 15.08 | 0.05 | — | 0.01 | 0.06 | — (12) | — | (0.19) | (0.19) | — | (0.13) | 14.95 | 0.43 | 1,564 | 2.20 | 2.64 | 0.34 | 35 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Vontobel Greater European Opportunities Fund (Continued) | |||||||||||||||||||
Class I | |||||||||||||||||||
10/1/19 to 3/31/20(6) | $11.55 | (0.02) | — | (1.29) | (1.31) | (0.10) | — | (1.32) | (1.42) | — | (2.73) | $8.82 | (13.56) % | $1,957 | 1.20 % | 3.26 % | (0.33) % | 26 % | |
10/1/18 to 9/30/19 | 15.65 | 0.12 | — | (0.41) | (0.29) | (0.19) | — | (3.62) | (3.81) | — | (4.10) | 11.55 | 2.36 | 2,280 | 1.20 | 2.72 | 1.00 | 16 | |
10/1/17 to 9/30/18 | 17.65 | 0.12 | — | (0.10) | 0.02 | (0.29) | — | (1.73) | (2.02) | — | (2.00) | 15.65 | (0.19) | 2,626 | 1.20 | 1.89 | 0.75 | 22 | |
10/1/16 to 9/30/17 | 15.91 | 0.17 | — | 1.87 | 2.04 | (0.30) | — | — | (0.30) | — | 1.74 | 17.65 | 13.21 | 9,822 | 1.19 | 1.67 | 1.02 | 42 | |
10/1/15 to 9/30/16 | 15.26 | 0.25 | — | 0.54 | 0.79 | (0.14) | — | — | (0.14) | — | 0.65 | 15.91 | 5.22 | 8,893 | 1.22 (8) | 1.56 | 1.57 | 49 | |
10/1/14 to 9/30/15 | 15.38 | 0.24 | — | (0.02) | 0.22 | (0.15) | — | (0.19) | (0.34) | — | (0.12) | 15.26 | 1.47 | 5,751 | 1.20 | 1.63 | 1.55 | 35 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Sales charges, where applicable, are not reflected in the total return calculation. |
(4) | Annualized for periods less than one year. |
(5) | The Funds will also indirectly bear their prorated share of expenses of any underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses and increase the Ratio of Net Investment Income (Loss) as follows: Duff & Phelps Global Infrastructure Fund No Impact (Class A), No Impact (Class C), No Impact (Class I) Rampart Sector Trend No Impact (Class A), No Impact (Class C), No Impact (Class I) Vontobel Global Opportunities Fund 0.06% (Class A), 0.05% (Class C), 0.05% (Class I) Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return as follows: Duff & Phelps Global Infrastructure Fund No Impact (Class A), No Impact (Class C), No Impact (Class I) Rampart Sector Trend No Impact (Class A), No Impact (Class C), No Impact (Class I) Vontobel Global Opportunities Fund 0.06% (Class A), 0.05% (Class C), 0.05% (Class I) |
(8) | Net expense ratio includes extraordinary proxy expenses. |
(9) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(10) | Inception date. |
(11) | Portfolio turnover is representative of the Fund for the entire period. |
(12) | Amount is less than $0.005 per share. |
(13) | The share class is currently under its expense limitation. |
(14) | Payment from affiliate had no impact on total return. |
Table of Contents
Fund | Investment objective(s) | |
Duff & Phelps Global Infrastructure Fund | Capital appreciation and current income. | |
Duff & Phelps Global Real Estate Securities Fund | Long-term capital appreciation, with a secondary investment objective of income. | |
Duff & Phelps International Real Estate Securities Fund | Long-term capital appreciation, with a secondary investment objective of income. | |
Duff & Phelps Real Asset Fund | Long-term capital appreciation. | |
Herzfeld Fund | Capital appreciation and current income. | |
Horizon Wealth Masters Fund | Capital appreciation. | |
KAR Emerging Markets Small-Cap Fund | Capital appreciation. | |
KAR International Small-Cap Fund | Capital appreciation. | |
KAR International Small-Mid Cap Fund | Capital appreciation. | |
Rampart Equity Trend Fund | Long-term capital appreciation. | |
Rampart Multi-Asset Trend Fund | Capital appreciation. In pursuing this objective, the Fund maintains an emphasis on preservation of capital. | |
Rampart Sector Trend Fund | Long-term capital appreciation. | |
Vontobel Global Opportunities Fund | Capital appreciation. | |
Vontobel Greater European Opportunities Fund | Long-term capital appreciation. |
Table of Contents
A. | Security Valuation |
Each Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Funds’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Fund is notified. Interest income is recorded on the accrual basis. Each Fund amortizes premiums and accretes discounts using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from REITs is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. |
Table of Contents
C. | Income Taxes |
Each Fund is treated as a separate taxable entity. It is the intention of each Fund to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. | |
Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of March 31, 2020, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 forward (with limited exceptions). | |
D. | Distributions to Shareholders |
Distributions are recorded by each Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expense to each Fund or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that a Fund bears directly, the shareholders of a Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | Securities Lending |
The Funds may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities a Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by each Fund under Master Securities Lending Agreements (“MSLA”) which permit the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
Effective March 13, 2020, the securities lending program was put on hold and all securities on loan were recalled. |
A. | Investment Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Funds. The Adviser manages the Funds’ investment programs and general operations of the Funds, including oversight of the Funds’ subadvisers. | |
As compensation for its services to the Funds, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily net assets (except as otherwise noted) of the following Funds: |
First $2 Billion | $2+ Billion through $4 Billion | Over $4 Billion | |||
Rampart Multi-Asset Trend Fund | 1.00 % | 0.95 % | 0.90 % |
Table of Contents
First $1 Billion | $1+ Billion | ||
Herzfeld Fund | 1.00 % | 0.95 % | |
Horizon Wealth Masters Fund | 0.85 | 0.80 | |
KAR Emerging Markets Small-Cap Fund | 1.20 | 1.15 | |
KAR International Small-Cap Fund | 1.00 | 0.95 | |
KAR International Small-Mid Cap Fund | 0.90 | 0.85 | |
Rampart Equity Trend Fund | 1.00 | 0.95 | |
Rampart Sector Trend Fund | 0.45 | 0.40 | |
Vontobel Greater European Opportunities Fund | 0.85 | 0.80 |
First $1 Billion | $1+ Billion through $2 Billion | $2+ Billion | |||
Duff & Phelps Global Infrastructure Fund | 0.65 % | 0.60 % | 0.55 % | ||
Duff & Phelps Global Real Estate Securities Fund | 0.85 | 0.80 | 0.75 | ||
Duff & Phelps International Real Estate Securities Fund | 1.00 | 0.95 | 0.90 | ||
Vontobel Global Opportunities Fund | 0.85 | 0.80 | 0.75 |
B. | Subadvisers |
The subadvisers manage the investments of each Fund for which they are paid a fee by the Adviser. A list of the subadvisers and the Funds they serve as of the end of the period is as follows: |
Fund | Subadviser | |
Duff & Phelps Global Infrastructure Fund | DPIM(1) | |
Duff & Phelps Global Real Estate Securities Fund | DPIM(1) | |
Duff & Phelps International Real Estate Securities Fund | DPIM(1) | |
Duff & Phelps Real Asset Fund | DPIM(2) | |
Herzfeld Fund | Thomas J. Herzfeld Advisors, Inc. | |
Horizon Wealth Masters Fund | Horizon Kinetics Asset Management, LLC | |
KAR Emerging Markets Small-Cap Fund | KAR(3) | |
KAR International Small-Cap Fund | KAR(3) | |
KAR International Small-Mid Cap Fund | KAR(3) | |
Rampart Equity Trend Fund | Rampart(4) | |
Rampart Multi-Asset Trend Fund | Rampart(4) | |
Rampart Sector Trend Fund | Rampart(4) | |
Vontobel Global Opportunities Fund | Vontobel(5) | |
Vontobel Greater European Opportunities Fund | Vontobel(5) |
(1) | Duff & Phelps Investment Management Co. (“DPIM”), an indirect, wholly-owned subsidiary of Virtus. |
(2) | Effective February 28, 2020, DPIM is the subadviser to the Fund. Prior to February 28, 2020, Rampart Investment Management Company, LLC (“Rampart”), an indirect, wholly-owned subsidiary of Virtus, was the subadviser to the Fund. |
(3) | Kayne Anderson Rudnick Investment Management, LLC (“KAR”), an indirect, wholly-owned subsidiary of Virtus. |
(4) | Rampart. |
(5) | Vontobel Asset Management, Inc. (“Vontobel”). |
C. | Expense Limitations |
The Adviser has contractually agreed to limit certain Funds’ annual total operating expenses subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily net assets through January 31, 2021 (excepted as noted). Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. The waivers and reimbursements are accrued daily and received monthly. |
Fund | Class A | Class C | Class I | Class R6 | ||||
Duff & Phelps Global Infrastructure Fund | N/A % | N/A % | N/A % | 0.85 % | ||||
Duff & Phelps Global Real Estate Securities Fund | 1.40 | 2.15 | 1.15 | 0.89 | ||||
Duff & Phelps International Real Estate Securities Fund | 1.50 | 2.25 | 1.25 | N/A |
Table of Contents
Fund | Class A | Class C | Class I | Class R6 | ||||
Herzfeld Fund | 1.60 % | 2.35 % | 1.35 % | N/A % | ||||
Horizon Wealth Masters Fund | 1.25 | 2.00 | 1.00 | N/A | ||||
KAR Emerging Markets Small-Cap Fund | 1.85 | 2.60 | 1.60 | 1.50 | ||||
KAR International Small-Cap Fund* | 1.60 | 2.35 | 1.35 | 1.24 | ||||
KAR International Small-Mid Cap Fund | 1.45 | 2.20 | 1.20 | 1.10 | ||||
Rampart Equity Trend Fund* | 1.60 | 2.35 | 1.35 | 1.26 | ||||
Rampart Multi-Asset Trend Fund** | 1.60 | 2.35 | 1.35 | N/A | ||||
Vontobel Global Opportunities Fund | 1.36 | 2.11 | 1.09 | 0.90 | ||||
Vontobel Greater European Opportunities Fund | 1.45 | 2.20 | 1.20 | N/A |
* | Each share class is currently below its expense cap. |
** | Effective December 1, 2019. For the period October 1, 2019 through November 30, 2019, the expense caps were as follows for Class A shares, Class C shares, and Class I shares, respectively: 1.75%, 2.50%, and 1.50%. |
D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending: |
Expiration | ||||||||||
Fund | 2020 | 2021 | 2022 | 2023 | Total | |||||
Duff & Phelps Global Infrastructure Fund | ||||||||||
Class R6 | $ — | $ — | $ 2 | $ 4 | $ 6 | |||||
Duff & Phelps Global Real Estate Securities Fund | ||||||||||
Class A | 77 | 235 | 226 | 117 | 655 | |||||
Class C | 11 | 7 | 5 | 2 | 25 | |||||
Class I | 137 | 66 | 71 | 22 | 296 | |||||
Class R6 | 1 | 7 | 4 | 6 | 18 | |||||
Duff & Phelps International Real Estate Securities Fund | ||||||||||
Class A | �� | 8 | 9 | 4 | 2 | 23 | ||||
Class C | 3 | 4 | 2 | 1 | 10 | |||||
Class I | 48 | 93 | 81 | 45 | 267 | |||||
Herzfeld Fund | ||||||||||
Class A | 2 | 3 | 2 | 2 | 9 | |||||
Class C | 4 | 3 | 8 | 6 | 21 | |||||
Class I | 7 | 1 | 5 | 6 | 19 | |||||
Horizon Wealth Masters Fund | ||||||||||
Class A | 6 | 34 | 42 | 18 | 100 | |||||
Class C | 7 | 38 | 48 | 24 | 117 | |||||
Class I | 10 | 51 | 63 | 30 | 154 | |||||
KAR Emerging Markets Small-Cap Fund | ||||||||||
Class A | 6 | 8 | 12 | 5 | 31 | |||||
Class C | 1 | 1 | —(1) | —(1) | 2 | |||||
Class I | 36 | 56 | 40 | 11 | 143 | |||||
Class R6 | — | — | —(1) | —(1) | —(1) | |||||
KAR International Small-Mid Cap Fund | ||||||||||
Class A | — | — | — | 2 | 2 | |||||
Class C | — | — | — | 2 | 2 | |||||
Class I | — | — | — | 11 | 11 | |||||
Class R6 | — | — | — | 51 | 51 |
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Expiration | ||||||||||
Fund | 2020 | 2021 | 2022 | 2023 | Total | |||||
Rampart Equity Trend Fund | ||||||||||
Class A | $5 | $— | $— | $— | $5 | |||||
Class C | 10 | — | — | — | 10 | |||||
Class I | 6 | — | — | — | 6 | |||||
Rampart Multi-Asset Trend Fund | ||||||||||
Class A | — | — | — | 6 | 6 | |||||
Class C | — | — | — | 11 | 11 | |||||
Class I | — | — | — | 4 | 4 | |||||
Vontobel Global Opportunities Fund | ||||||||||
Class A | — | — | 34 | 14 | 48 | |||||
Class C | — | — | 12 | 2 | 14 | |||||
Class I | — | — | 66 | 45 | 111 | |||||
Class R6 | — | — | 55 | 58 | 113 | |||||
Vontobel Greater European Opportunities Fund | ||||||||||
Class A | 10 | 30 | 34 | 14 | 88 | |||||
Class C | 5 | 15 | 14 | 5 | 39 | |||||
Class I | 36 | 30 | 35 | 23 | 124 |
(1) | Amount is less than $500. |
Fund | Class A | Class C | Class I | Class R6 | Total | |||||
KAR Emerging Markets Small-Cap Fund | $—(1) | $—(1) | $— | $—(1) | $—(1) | |||||
Vontobel Global Opportunities Fund | — | —(1) | — | — | —(1) | |||||
(1) Amount is less than $500. |
E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of each Fund’s shares. VP Distributors has advised the Funds that for the fiscal year (the “period”) ended March 31, 2020, it retained net commissions of $41 of Class A shares and CDSC of $1 and $9 for Class A shares and Class C shares, respectively. | |
In addition, each Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the annual rates of 0.25%(1) for Class A shares and 1.00%(1)(2) for Class C shares. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. |
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F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Funds. | |
For the period ended March 31, 2020, the Funds incurred administration fees totaling $1,585 which are included in the Statements of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
For the period ended March 31, 2020, the Funds incurred transfer agent fees totaling $710 which are included in the Statements of Operations within the line item “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | Investments in Affiliates |
A summary of the Duff & Phelps Real Asset Fund’s total long-term and short-term purchases and sales of the respective shares of the affiliated underlying funds(1) during the period ended March 31, 2020, is as follows: |
Value, beginning of period | Purchases(2) | Sales Proceeds | Net realized gain (loss) on affiliated fund | Net change in unrealized appreciation (depreciation) on affiliated fund | Value, end of period | Shares | Dividend Income | Distributions of Realized Gains | |||||||||
Affiliated Mutual Funds—67.1%(3) | |||||||||||||||||
Virtus Duff & Phelps Global Infrastructure Fund Class R6 | $6,476 | $2,940 | $835 | $66 | $(1,961) | $6,686 | 534,873 | $80 | $217 | ||||||||
Virtus Duff & Phelps Global Real Estate Securities Fund Class I | 3,811 | 595 | 2,908 | 44 | (1,542) | — | — | 204 | 91 | ||||||||
Virtus Duff & Phelps Global Real Estate Securities Fund Class R6 | — | 6,298 | — | — | 5 | 6,303 | 252,629 | — | — | ||||||||
Virtus Duff & Phelps International Real Estate Securities Fund Class I | 3,930 | 675 | 3,859 | 1,037 | (1,783) | — | — | 344 | — | ||||||||
Virtus Duff & Phelps Real Estate Securities Fund Class I | 2,710 | 677 | 2,858 | 579 | (1,108) | — | — | 11 | 467 | ||||||||
Virtus Duff & Phelps Select MLP and Energy Fund Class I | — | 2,833 | — | — | (1,100) | 1,733 | 402,987 | — | — | ||||||||
Virtus Newfleet Senior Floating Rate Fund Class I | 3,447 | 353 | 3,501 | 2 | (301) | — | — | — | — | ||||||||
Virtus Newfleet Senior Floating Rate Fund Class R6 | — | 4,750 | 1,180 | (175) | (270) | 3,125 | 407,427 | — | — | ||||||||
Total | $20,374 | $19,121 | $15,141 | $1,553 | $(8,060) | $17,847 | $639 | $775 |
H. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statements of Assets and Liabilities at March 31, 2020. |
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Purchases | Sales | ||
Duff & Phelps Global Infrastructure Fund | $25,738 | $34,719 | |
Duff & Phelps Global Real Estate Securities Fund | 81,492 | 40,018 | |
Duff & Phelps International Real Estate Securities Fund | 11,705 | 14,204 | |
Duff & Phelps Real Asset Fund | 22,462 | 26,232 | |
Herzfeld Fund | 20,698 | 33,085 | |
Horizon Wealth Masters Fund | 6,608 | 17,436 | |
KAR Emerging Markets Small-Cap Fund | 57,565 | 35,001 | |
KAR International Small-Cap Fund | 622,168 | 248,195 | |
KAR International Small-Mid Cap Fund | 9,767 | 1,120 | |
Rampart Equity Trend Fund | 80,586 | 326,511 | |
Rampart Multi-Asset Trend Fund | 26,561 | 55,736 | |
Rampart Sector Trend Fund | 131,593 | 303,429 | |
Vontobel Global Opportunities Fund | 121,940 | 116,121 | |
Vontobel Greater European Opportunities Fund | 1,017 | 1,115 |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | ||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 106 | $1,684 | 494 | $7,590 | 253 | $7,941 | 295 | $9,202 | |||||||
Reinvestment of distributions | 96 | 1,460 | 121 | 1,699 | 30 | 1,000 | 6 | 180 | |||||||
Shares repurchased and cross class conversions | (283) | (3,999) | (554) | (7,992) | (164) | (4,960) | (323) | (9,936) | |||||||
Net Increase / (Decrease) | (81) | $(855) | 61 | $1,297 | 119 | $3,981 | (22) | $(554) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 30 | $484 | 77 | $1,149 | 17 | $559 | 28 | $867 | |||||||
Reinvestment of distributions | 32 | 493 | 55 | 760 | 19 | 591 | 7 | 189 | |||||||
Shares repurchased and cross class conversions | (151) | (2,331) | (452) | (6,681) | (34) | (1,045) | (79) | (2,377) | |||||||
Net Increase / (Decrease) | (89) | $(1,354) | (320) | $(4,772) | 2 | $105 | (44) | $(1,321) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 973 | $15,711 | 1,517 | $23,388 | 1,835 | $59,627 | 2,559 | $79,502 | |||||||
Reinvestment of distributions | 118 | 1,803 | 127 | 1,809 | 477 | 15,409 | 168 | 4,704 | |||||||
Shares repurchased and cross class conversions | (1,794) | (24,455) | (674) | (9,982) | (1,634) | (49,372) | (1,507) | (46,439) | |||||||
Net Increase / (Decrease) | (703) | $(6,941) | 970 | $15,215 | 678 | $25,664 | 1,220 | $37,767 |
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Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | ||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 194 | $3,032 | 56 | $822 | 831 | $26,912 | 86 | $2,587 | |||||||
Reinvestment of distributions | 28 | 424 | 35 | 500 | 5 | 161 | 2 | 45 | |||||||
Shares repurchased and cross class conversions | (65) | (1,045) | (311) | (4,524) | (24) | (814) | (221) | (6,616) | |||||||
Net Increase / (Decrease) | 157 | $2,411 | (220) | $(3,202) | 812 | $26,259 | (133) | $(3,984) |
Duff & Phelps International Real Estate Securities Fund | Duff & Phelps Real Asset Fund | ||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 120 | $923 | 58 | $434 | 92 | $1,017 | 700 | $7,659 | |||||||
Reinvestment of distributions | 24 | 185 | 10 | 67 | 38 | 438 | 18 | 184 | |||||||
Shares repurchased and cross class conversions | (61) | (429) | (66) | (483) | (208) | (2,210) | (211) | (2,350) | |||||||
Net Increase / (Decrease) | 83 | $679 | 2 | $18 | (78) | $(755) | 507 | $5,493 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 7 | $51 | 2 | $18 | 1 | $13 | 4 | $47 | |||||||
Reinvestment of distributions | 7 | 56 | 4 | 27 | 1 | 14 | 7 | 70 | |||||||
Shares repurchased and cross class conversions | (6) | (45) | (41) | (306) | (71) | (778) | (688) | (7,493) | |||||||
Net Increase / (Decrease) | 8 | $62 | (35) | $(261) | (69) | $(751) | (677) | $(7,376) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 1,504 | $11,244 | 1,990 | $15,105 | 543 | $6,138 | 723 | $7,978 | |||||||
Reinvestment of distributions | 529 | 4,066 | 238 | 1,620 | 54 | 621 | 58 | 590 | |||||||
Shares repurchased and cross class conversions | (2,290) | (15,547) | (1,196) | (8,861) | (867) | (9,090) | (670) | (7,352) | |||||||
Net Increase / (Decrease) | (257) | $(237) | 1,032 | $7,864 | (270) | $(2,331) | 111 | $1,216 |
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Herzfeld Fund | Horizon Wealth Masters Fund | ||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 49 | $527 | 131 | $1,458 | 39 | $587 | 100 | $1,582 | |||||||
Reinvestment of distributions | 14 | 132 | 57 | 575 | 33 | 555 | 77 | 1,107 | |||||||
Shares repurchased and cross class conversions | (107) | (1,104) | (233) | (2,613) | (227) | (3,652) | (370) | (5,957) | |||||||
Net Increase / (Decrease) | (44) | $(445) | (45) | $(580) | (155) | $(2,510) | (193) | $(3,268) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 40 | $441 | 277 | $3,100 | 21 | $314 | 33 | $493 | |||||||
Reinvestment of distributions | 33 | 306 | 176 | 1,759 | 39 | 624 | 80 | 1,107 | |||||||
Shares repurchased and cross class conversions | (463) | (4,993) | (596) | (6,603) | (148) | (2,103) | (273) | (4,211) | |||||||
Net Increase / (Decrease) | (390) | $(4,246) | (143) | $(1,744) | (88) | $(1,165) | (160) | $(2,611) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 144 | $1,537 | 679 | $7,714 | 49 | $792 | 120 | $1,924 | |||||||
Reinvestment of distributions | 78 | 734 | 373 | 3,778 | 59 | 999 | 118 | 1,713 | |||||||
Shares repurchased and cross class conversions | (1,130) | (11,552) | (1,263) | (14,100) | (444) | (6,600) | (512) | (8,123) | |||||||
Net Increase / (Decrease) | (908) | $(9,281) | (211) | $(2,608) | (336) | $(4,809) | (274) | $(4,486) |
KAR Emerging Markets Small-Cap Fund | KAR International Small-Cap Fund | ||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 482 | $5,872 | 3,674 | $42,412 | 2,733 | $44,138 | 3,708 | $61,363 | |||||||
Reinvestment of distributions | 40 | 495 | 3 | 29 | 76 | 1,419 | 31 | 475 | |||||||
Shares repurchased and cross class conversions | (711) | (7,806) | (1,805) | (21,293) | (1,316) | (22,233) | (2,346) | (38,577) | |||||||
Net Increase / (Decrease) | (189) | $(1,439) | 1,872 | $21,148 | 1,493 | $23,324 | 1,393 | $23,261 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 16 | $190 | 48 | $568 | 238 | $4,330 | 831 | $13,399 | |||||||
Reinvestment of distributions | 1 | 12 | — | — | 23 | 427 | 15 | 224 | |||||||
Shares repurchased and cross class conversions | (1) | (9) | (18) | (202) | (305) | (4,994) | (739) | (11,833) | |||||||
Net Increase / (Decrease) | 16 | $193 | 30 | $366 | (44) | $(237) | 107 | $1,790 | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 5,616 | $66,634 | 9,490 | $111,996 | 33,463 | $597,242 | 60,562 | $1,005,248 | |||||||
Reinvestment of distributions | 159 | 1,996 | 14 | 156 | 1,672 | 31,331 | 718 | 10,919 | |||||||
Shares repurchased and cross class conversions | (3,412) | (40,587) | (4,902) | (58,563) | (23,494) | (380,438) | (25,568) | (417,459) | |||||||
Net Increase / (Decrease) | 2,363 | $28,043 | 4,602 | $53,589 | 11,641 | $248,135 | 35,712 | $598,708 |
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KAR Emerging Markets Small-Cap Fund | KAR International Small-Cap Fund | ||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | —(1) | $3 | 8 | $100 | 1,761 | $30,492 | 795 | $13,619 | |||||||
Reinvestment of distributions | —(1) | —(2) | — | — | 50 | 944 | 26 | 398 | |||||||
Shares repurchased and cross class conversions | — (3) | — (4) | — | — | (144) | (2,604) | (2,606) | (42,649) | |||||||
Net Increase / (Decrease) | — | $3 | 8 | $100 | 1,667 | $28,832 | (1,785) | $(28,632) |
(1) | Amount is less than 500 shares. |
(2) | Amount is less than $500. |
(3) | Amount is less than (500) shares. |
(4) | Amount is less than ($500). |
KAR International Small-Mid Cap Fund | Rampart Equity Trend Fund | ||||||||||
From Inception October 01, 2019 to March 31, 2020 (Unaudited) | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | |||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||
Class A | |||||||||||
Shares sold and cross class conversions | 11 | $121 | 414 | $6,330 | 2,103 | $30,695 | |||||
Shares repurchased and cross class conversions | (1) | (11) | (1,044) | (15,742) | (1,875) | (27,423) | |||||
Net Increase / (Decrease) | 10 | $110 | (630) | $(9,412) | 228 | $3,272 | |||||
Class C | |||||||||||
Shares sold and cross class conversions | 11 | $115 | 33 | $484 | 109 | $1,517 | |||||
Shares repurchased and cross class conversions | — | — | (1,762) | (25,359) | (5,669) | (78,811) | |||||
Net Increase / (Decrease) | 11 | $115 | (1,729) | $(24,875) | (5,560) | $(77,294) | |||||
Class I | |||||||||||
Shares sold and cross class conversions | 698 | $6,345 | 171 | $2,672 | 499 | $7,385 | |||||
Shares repurchased and cross class conversions | (7) | (62) | (1,035) | (15,603) | (2,655) | (39,016) | |||||
Net Increase / (Decrease) | 691 | $6,283 | (864) | $(12,931) | (2,156) | $(31,631) | |||||
Class R6 | |||||||||||
Shares sold and cross class conversions | 270 | $2,701 | 9 | $148 | — | $— | |||||
Net Increase / (Decrease) | 270 | $2,701 | 9 | $148 | — | $— |
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Rampart Multi-Asset Trend Fund | Rampart Sector Trend Fund | ||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 82 | $951 | 116 | $1,287 | 514 | $6,886 | 1,867 | $23,407 | |||||||
Reinvestment of distributions | 7 | 83 | 4 | 42 | 67 | 958 | 56 | 662 | |||||||
Shares repurchased and cross class conversions | (131) | (1,536) | (350) | (3,893) | (1,364) | (17,354) | (1,643) | (21,346) | |||||||
Net Increase / (Decrease) | (42) | $(502) | (230) | $(2,564) | (783) | $(9,510) | 280 | $2,723 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 19 | $211 | 75 | $790 | 23 | $310 | 164 | $2,057 | |||||||
Reinvestment of distributions | 6 | 68 | — | — | 7 | 97 | 5 | 57 | |||||||
Shares repurchased and cross class conversions | (446) | (4,943) | (1,198) | (12,714) | (822) | (11,215) | (2,896) | (35,858) | |||||||
Net Increase / (Decrease) | (421) | $(4,664) | (1,123) | $(11,924) | (792) | $(10,808) | (2,727) | $(33,744) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 35 | $409 | 103 | $1,150 | 492 | $6,240 | 1,179 | $15,765 | |||||||
Reinvestment of distributions | 6 | 68 | 8 | 89 | 51 | 736 | 65 | 769 | |||||||
Shares repurchased and cross class conversions | (159) | (1,851) | (650) | (7,198) | (613) | (8,411) | (1,709) | (21,781) | |||||||
Net Increase / (Decrease) | (118) | $(1,374) | (539) | $(5,959) | (70) | $(1,435) | (465) | $(5,247) |
Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 515 | $8,353 | 2,000 | $28,958 | 24 | $283 | 16 | $198 | |||||||
Reinvestment of distributions | 108 | 1,870 | 656 | 9,077 | 16 | 169 | 73 | 720 | |||||||
Shares repurchased and cross class conversions | (608) | (9,772) | (2,665) | (41,378) | (31) | (323) | (180) | (2,025) | |||||||
Net Increase / (Decrease) | 15 | $451 | (9) | $(3,343) | 9 | $129 | (91) | $(1,107) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 182 | $2,496 | 426 | $5,263 | 4 | $40 | 1 | $13 | |||||||
Reinvestment of distributions | 44 | 629 | 283 | 3,269 | 7 | 68 | 38 | 363 | |||||||
Shares repurchased and cross class conversions | (380) | (5,013) | (842) | (10,721) | (14) | (146) | (107) | (1,176) | |||||||
Net Increase / (Decrease) | (154) | $(1,888) | (133) | $(2,189) | (3) | $(38) | (68) | $(800) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 2,436 | $39,715 | 4,465 | $67,974 | 52 | $549 | 101 | $1,128 | |||||||
Reinvestment of distributions | 168 | 2,900 | 543 | 7,501 | 25 | 268 | 60 | 594 | |||||||
Shares repurchased and cross class conversions | (2,715) | (41,057) | (2,186) | (33,165) | (53) | (545) | (132) | (1,497) | |||||||
Net Increase / (Decrease) | (111) | $1,558 | 2,822 | $42,310 | 24 | $272 | 29 | $225 |
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Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 671 | $10,172 | 570 | $9,095 | — | $— | — | $— | |||||||
Shares issued-merger (See Note 12) | — | — | 3,524 | 52,884 | — | — | — | — | |||||||
Reinvestment of distributions | 89 | 1,540 | 2 | 32 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (244) | (3,953) | (119) | (1,915) | — | — | — | — | |||||||
Net Increase / (Decrease) | 516 | $7,759 | 3,977 | $60,096 | — | $— | — | $— |
% of Shares Outstanding | Number of Accounts | ||
Duff & Phelps Global Real Estate Securities Fund | 39% | 3 | |
Duff & Phelps International Real Estate Securities Fund | 84 | 3 | |
Duff & Phelps Real Asset Fund | 22 | 2 | |
Herzfeld Fund | 46 | 3 | |
Horizon Wealth Masters Fund | 12 | 1 | |
KAR Emerging Markets Small-Cap Fund | 63 | 4 | |
KAR International Small-Cap Fund | 53 | 4 | |
KAR International Small-Mid Cap Fund | 92 | 2* | |
Rampart Equity Trend Fund | 22 | 2 | |
Rampart Multi-Asset Trend Fund | 22 | 1 | |
Rampart Sector Trend Fund | 11 | 1 | |
Vontobel Greater European Opportunities Fund | 40 | 3 |
* | Includes affiliated shareholder account(s). |
Fund | Sector | Percentage of Total Investments | ||
Duff & Phelps Global Infrastructure Fund | Utilities | 52% | ||
Duff & Phelps Global Real Estate Securities Fund | Industrial/Office REITS | 28 | ||
Duff & Phelps International Real Estate Securities Fund | Real Estate Operating Companies | 25 | ||
KAR Emerging Markets Small-Cap Fund | Industrials | 32 |
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Fund | Sector | Percentage of Total Investments | ||
KAR International Small-Cap Fund | Communication Services | 29 | ||
KAR International Small-Cap Fund | Industrials | 27 | ||
KAR International Small-Mid Cap Fund | Communication Services | 27 | ||
KAR International Small-Mid Cap Fund | Industrials | 26 |
Fund | Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | ||||
Duff & Phelps Global Infrastructure Fund | $1 | $2,397 | 1.99% | 10 | ||||
Duff & Phelps International Real Estate Securities Fund | 1 | 2,400 | 2.08 | 6 | ||||
Herzfeld Fund | —(1) | 578 | 2.14 | 9 | ||||
Vontobel Global Opportunities Fund | 2 | 4,481 | 2.20 | 8 |
(1) | Amount is less than $500. |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Duff & Phelps Global Infrastructure Fund | $ 80,440 | $ 8,289 | $ (12,108) | $ (3,819) | ||||
Duff & Phelps Global Real Estate Securities Fund | 238,212 | 14,072 | (41,893) | (27,821) | ||||
Duff & Phelps International Real Estate Securities Fund | 43,623 | 915 | (6,578) | (5,663) | ||||
Duff & Phelps Real Asset Fund | 54,121 | 525 | (28,103) | (27,578) | ||||
Herzfeld Fund | 34,294 | 342 | (8,798) | (8,456) | ||||
Horizon Wealth Masters Fund | 31,730 | 2,091 | (6,909) | (4,818) | ||||
KAR Emerging Markets Small-Cap Fund | 126,027 | 3,847 | (13,312) | (9,465) | ||||
KAR International Small-Cap Fund | 1,701,867 | 42,739 | (293,904) | (251,165) | ||||
KAR International Small-Mid Cap Fund | 9,221 | 369 | (398) | (29) |
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Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Rampart Equity Trend Fund | $207,182 | $382 | $(4) | $378 | ||||
Rampart Multi-Asset Trend Fund | 36,818 | 876 | (—)(1) | 876 | ||||
Rampart Sector Trend Fund | 144,097 | — | — | — | ||||
Vontobel Global Opportunities Fund | 226,431 | 61,529 | (16,698) | 44,831 | ||||
Vontobel Greater European Opportunities Fund | 2,674 | 865 | (193) | 672 |
(1) | Amount is less than ($500). |
No Expiration | Total | ||||||
Short-Term | Long-Term | Short-Term | Long-Term | ||||
Duff & Phelps International Real Estate Securities Fund | $320 | $— | $320 | $— | |||
Duff & Phelps Real Asset Fund | — | —(1) | — | —(1) | |||
Herzfeld Fund | 160 | 50 | 160 | 50 | |||
KAR Emerging Markets Small-Cap Fund | — | 94 | — | 94 | |||
KAR International Small-Cap Fund | 828 | 147 | 828 | 147 | |||
Rampart Equity Trend Fund | 422,036 | — | 422,036 | — | |||
Rampart Multi-Asset Trend Fund | 20,734 | — | 20,734 | — | |||
Rampart Sector Trend Fund | 1,528 | — | 1,528 | — |
(1) | Amount is less than $500. |
Late Year Ordinary Losses Deferred | Capital Loss Deferred | ||
Duff & Phelps Global Infrastructure Fund | $ — | $ 442 | |
Duff & Phelps Real Asset Fund | — | 206 | |
Herzfeld Fund | — | 295 | |
KAR Emerging Markets Small-Cap Fund | — | 3,708 | |
KAR International Small-Cap Fund | — | 52,302 | |
Rampart Equity Trend Fund | 100 | 6,587 | |
Rampart Sector Trend Fund | — | 8,842 |
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Merged Fund | Shares Outstanding | Acquiring Fund | Shares Converted | Merged Fund Net Assets Value of Converted Shares | ||||||
Vontobel Global Equity Institutional Fund | Class I Shares 3,976,178 | Vontobel Global Opportunities Fund | Class R6 Shares 3,523,715 | $52,884 |
Merged Fund | Net Assets | Unrealized Appreciation (Depreciation) | Acquiring Fund | Net Assets | ||||
Vontobel Global Equity Institutional Fund | $52,884 | $9,853 | Vontobel Global Opportunities Fund | $447 |
Net investment income (loss) | $655(a) |
Net realized and unrealized gain (loss) on investments | 23,777(b) |
Net increase (decrease) in net assets resulting from operations | $24,432 |
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VIRTUS OPPORTUNITIES TRUST
Proposal 1. | |||
Number of Eligible Votes: |
FOR | AGAINST | ABSTAIN | |||
To approve a Subadvisory Agreement by and among the Virtus Opportunities Trust, Virtus Investment Advisers, Inc. (“VIA”), and Duff & Phelps Investment Management Co. | 17,501,801.21 | 704,103.65 | 1,901,964.96 |
Proposal 2. | |||
Number of Eligible Votes: |
FOR | AGAINST | ABSTAIN | |||
To approve a proposal to permit VIA to Hire and Replace Subadvisers and to Modify Subadvisory Agreements without Shareholder Approval, and to Permit the Fund to Disclose Advisory and Subadvisory Fee Information in an Aggregated Manner. | 16,915,250.31 | 1,252,711.62 | 1,939,907.89 |
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(Unaudited)
and the Virtus Opportunities Trust Statutory Prospectus,
each dated January 28, 2020, as supplemented
1 Year | 5 Year | Since Inception (9/5/12) | |
Class I | |||
Return Before Taxes | 18.57% | 6.70% | 7.50% |
Return After Taxes on Distributions | 17.17% | 4.79% | 5.64% |
Return After Taxes on Distributions and Sale of Fund | 11.13% | 4.53% | 5.22% |
Class A | |||
Return Before Taxes | 11.45% | 5.18% | 6.37% |
Class C | |||
Return Before Taxes | 17.32% | 5.64% | 6.43% |
MSCI All-Country World Index (net) (reflects no deduction for fees, expenses or taxes) | 26.60% | 8.41% | 10.24% |
Bloomberg Barclays U.S. Aggregate Bond Index (reflects no deduction for fees, expenses or taxes) | 8.72% | 3.05% | 2.65% |
Herzfeld Composite Benchmark (reflects no deduction for fees, expenses or taxes) | 19.41% | 6.43% | 7.31% |
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Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
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please contact us at1-800-243-1574, orVirtus.com.
8638 | 05-20 |
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Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of RegulationS-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR240.14a-101)), or this Item.
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Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule30a-3(b) under the 1940 Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.13a-15(b) or240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities forClosed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a) | (1) | Not applicable. | ||
(a) | (2) | Certifications pursuant to Rule30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | ||
(a) | (3) | Not applicable. | ||
(a) | (4) | Not applicable. | ||
(b) | Certifications pursuant to Rule30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Virtus Opportunities Trust | |
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President | ||
(principal executive officer) |
Date 6/5/2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President | ||
(principal executive officer) |
Date 6/5/2020
By (Signature and Title)* | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer | ||
(principal financial officer) |
Date 6/5/2020
* | Print the name and title of each signing officer under his or her signature. |