UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-07455
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: September 30, 2020
Form N-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 Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-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.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
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 |
1 | ||
2 | ||
4 | ||
Fund | Fund Summary | Schedule of Investments |
6 | 24 | |
9 | 34 | |
12 | 39 | |
Virtus Newfleet Multi-Sector Intermediate Bond Fund (“Newfleet Multi-Sector Intermediate Bond Fund”) | 15 | 51 |
18 | 65 | |
21 | 73 | |
78 | ||
82 | ||
84 | ||
87 | ||
92 | ||
104 | ||
105 | ||
106 | ||
107 |
President, Virtus Funds
Beginning Account Value April 1, 2020 | Ending Account Value September 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Newfleet Core Plus Bond Fund | ||||||||
Class A | $ 1,000.00 | $ 1,088.40 | 0.80 % | $ 4.18 | ||||
Class C | 1,000.00 | 1,083.30 | 1.55 | 8.07 | ||||
Class I | 1,000.00 | 1,089.40 | 0.55 | 2.87 | ||||
Class R6 | 1,000.00 | 1,090.00 | 0.43 | 2.25 | ||||
Newfleet High Yield Fund | ||||||||
Class A | 1,000.00 | 1,165.60 | 1.00 | 5.41 | ||||
Class C | 1,000.00 | 1,160.70 | 1.75 | 9.45 | ||||
Class I | 1,000.00 | 1,166.60 | 0.75 | 4.06 | ||||
Class R6 | 1,000.00 | 1,164.10 | 0.69 | 3.73 | ||||
Newfleet Low Duration Core Plus Bond Fund | ||||||||
Class A | 1,000.00 | 1,065.90 | 0.75 | 3.87 | ||||
Class C | 1,000.00 | 1,061.90 | 1.50 | 7.73 | ||||
Class I | 1,000.00 | �� | 1,066.20 | 0.50 | 2.58 | |||
Class R6 | 1,000.00 | 1,067.60 | 0.43 | 2.22 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||
Class A | 1,000.00 | 1,131.70 | 0.99 | 5.28 | ||||
Class C | 1,000.00 | 1,128.40 | 1.74 | 9.26 | ||||
Class I | 1,000.00 | 1,133.70 | 0.74 | 3.95 | ||||
Class R6 | 1,000.00 | 1,134.50 | 0.60 | 3.20 | ||||
Newfleet Senior Floating Rate Fund | ||||||||
Class A | 1,000.00 | 1,137.60 | 1.12 | 5.99 | ||||
Class C | 1,000.00 | 1,133.70 | 1.81 | 9.65 | ||||
Class I | 1,000.00 | 1,139.60 | 0.81 | 4.33 | ||||
Class R6 | 1,000.00 | 1,139.40 | 0.62 | 3.32 | ||||
Newfleet Tax-Exempt Bond Fund | ||||||||
Class A | 1,000.00 | 1,034.90 | 0.85 | 4.32 | ||||
Class C | 1,000.00 | 1,031.10 | 1.60 | 8.12 | ||||
Class I | 1,000.00 | 1,036.20 | 0.60 | 3.05 |
* | 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. |
Beginning Account Value April 1, 2020 | Ending Account Value September 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Newfleet Core Plus Bond Fund | ||||||||
Class A | $ 1,000.00 | $ 1,021.00 | 0.80 % | $ 4.04 | ||||
Class C | 1,000.00 | 1,017.25 | 1.55 | 7.82 | ||||
Class I | 1,000.00 | 1,022.25 | 0.55 | 2.78 | ||||
Class R6 | 1,000.00 | 1,022.85 | 0.43 | 2.17 | ||||
Newfleet High Yield Fund | ||||||||
Class A | 1,000.00 | 1,020.00 | 1.00 | 5.05 | ||||
Class C | 1,000.00 | 1,016.25 | 1.75 | 8.82 | ||||
Class I | 1,000.00 | 1,021.25 | 0.75 | 3.79 | ||||
Class R6 | 1,000.00 | 1,021.55 | 0.69 | 3.49 | ||||
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 | 1,019.40 | 1.12 | 5.65 | ||||
Class C | 1,000.00 | 1,015.95 | 1.81 | 9.12 | ||||
Class I | 1,000.00 | 1,020.95 | 0.81 | 4.09 | ||||
Class R6 | 1,000.00 | 1,021.90 | 0.62 | 3.13 | ||||
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. |
September 30, 2020
Ticker Symbols: | |
Class A: SAVAX | |
Class C: SAVCK | |
Class I: SAVYX | |
Class R6: VBFRX |
Newfleet Asset Management, LLC
■ | The Fund is diversified and has an investment objective of high total return from both current income and capital appreciation. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned 5.66%, Class C shares at NAV returned 4.85%, Class I shares at NAV returned 5.87%, and Class R6 shares at NAV returned 6.00%. For the same period, the Bloomberg Barclays U.S. Aggregate Bond Index, which serves as both the Fund’s broad-based and style-specific benchmark index appropriate for comparison, returned 6.98%. |
Corporate Bonds and Notes | 39% | |
Financials | 14% | |
Industrials | 4 | |
Consumer Discretionary | 3 | |
All other Corporate Bonds and Notes | 18 | |
Mortgage-Backed Securities | 25 | |
U.S. Government Securities | 14 | |
Asset-Backed Securities | 10 | |
Leveraged Loans | 6 | |
Municipal Bonds | 3 | |
Preferred Stocks | 1 | |
Other (includes short-term investment) | 2 | |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 5.66 % | 4.61 % | 4.05 % | — % | — | |||||||
Class A shares at POP3,4 | 1.70 | 3.81 | 3.66 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 4.85 | 3.82 | 3.28 | — | — | |||||||
Class I shares at NAV2 | 5.87 | 4.86 | 4.32 | — | — | |||||||
Class R6 shares at NAV2 | 6.00 | — | — | 4.84 | 11/3/16 | |||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.98 | 4.18 | 3.64 | 4.21 5 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 1.11%, Net 0.80%; Class C shares: Gross 1.85%, Net 1.55%; Class I shares: Gross 0.82%, Net 0.55%; Class R6 shares: Gross 0.77%, Net 0.43%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 3.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: PHCHX | |
Class C: PGHCX | |
Class I: PHCIX | |
Class R6: VRHYX |
Newfleet Asset Management, LLC
■ | The Fund is diversified and has a primary investment objective of high current income and a secondary objective of capital growth. There is no guarantee that the Fund will meet its objectives. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned 2.88%, Class C shares at NAV returned 2.33%, Class I shares at NAV returned 3.40%, and Class R6 shares at NAV returned 3.20%. For the same period, the Bloomberg Barclays U.S. High-Yield 2% Issuer Capped Bond Index, which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned 3.20%. |
• | Hillenbrand is an industrial equipment manufacturer that was downgraded to high yield in April 2020. The Fund added to the name after the downgrade, when the company approached the market with a new issue at a much higher yield than prior issuances. While Hillenbrand has exposure to cyclical end markets, the business also has more stable lines and is highly cash generative. The bond performed well post-issuance as the market rebounded and investors became more comfortable with Hillenbrand’s business fundamentals. |
• | Endo International is a pharmaceutical company that was struggling with weak pricing for generic pharmaceuticals and was facing expensive opioid |
• | Sprint is a wireless carrier that was acquired by financially stronger T-Mobile. Sprint bonds rallied on news that T-Mobile had secured regulatory approval for the acquisition. It also benefited from the flight to quality bonds seen during the COVID-19 selloff. |
• | Hearthside Foods is a contract foods manufacturer that serves consumer packaged goods (CPG) companies. The Fund added to its position following weak results on the expectation that the operating issues were likely non-recurring and fixable. We also expected that favorable secular trends such as increased outsourcing by CPG firms and the emergence of asset-light brands would continue. The following quarters saw Hearthside post better results, and management materially improved disclosure of the results with more granular data. The bonds’ prices rallied on the improved results and more transparency from management. |
• | M/I Homes is a homebuilder focused on the midwestern and southern markets. Homebuilders saw strong results as the U.S. housing market rallied with the decline in mortgage rates and increased demand for homes as people looked to move out of urban areas. The M/I Homes bonds held by the Fund rallied in this environment. |
• | Denbury Resources is an oil producer with assets in the U.S., which is focused on enhanced oil production, that is, using steam or CO2 injections to produce oil. Denbury’s results were heavily impacted by the decline in oil prices as a result of the OPEC price war, as well as the COVID-19-related shutdowns. With a significant debt load and near-term maturities, Denbury filed for bankruptcy during the year. The weak oil price environment hurt recovery values for the secured bonds the Fund owned. |
• | Transocean owns offshore rigs focused on deep-water and harsh environment locations. The market for these rigs had been oversupplied, leading to continued weak day rates and a difficult environment for securing long-term contracts. An |
• | Neiman Marcus is a luxury retailer that had been struggling with an over-levered balance sheet and physical retail headwinds since it was acquired by a private equity consortium. The limited margin for error, combined with a weak online presence and the COVID-19-related shutdowns this spring, led Neiman Marcus to file for bankruptcy. Neiman Marcus’s bonds traded sharply lower during the year as recovery prospects dimmed. |
• | Diamond SportsGroup operates Regional Sports Networks, which were acquired by Sinclair Broadcasting Group from Disney. The acquisition was funded with a significant amount of debt. The company’s financial performance was dramatically impacted by the shutdown and delay of many professional events in 2020. In addition, Diamond has contracts with cable and satellite companies to carry its channels, and these must be renewed. The uncertainty around the long-term impact of COVID-19 made these negotiations more difficult and shifted the balance of power to the cable and satellite companies. The weak financial performance plus worsening outlook led to the bonds trading lower. |
• | Frontier Communications is a telecommunications firm offering wireline services such as voice, internet, and video to residential and business customers. Years of weak operating performance due to competition with cable and declining demand for voice services, as well as several debt-funded acquisitions, left Frontier over-levered and needing to restructure. The Fund owned short-dated bonds that were expected to be refinanced prior to a restructuring event. However, Frontier filed for bankruptcy prior to the bonds’ maturity date and, as a result, the bonds traded lower. |
Corporate Bonds and Notes | 93% | |
Communication Services | 16% | |
Consumer Discretionary | 16 | |
Industrials | 12 | |
All other Corporate Bonds and Notes | 49 | |
Leveraged Loans | 7 | |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 2.88 % | 5.62 % | 5.51 % | — % | — | |||||||
Class A shares at POP3,4 | -0.97 | 4.81 | 5.11 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 2.33 | 4.81 | 4.72 | — | — | |||||||
Class I shares at NAV2 | 3.40 | 5.93 | — | 5.23 | 8/8/12 | |||||||
Class R6 shares at NAV2 | 3.20 | — | — | 4.98 | 11/3/16 | |||||||
Bloomberg Barclays U.S. High-Yield 2% Issuer Capped Bond Index | 3.20 | 6.78 | 6.46 | — 5 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 1.37%, Net 1.01%; Class C shares: Gross 2.12%, Net 1.76%; Class I shares: Gross 1.16%, Net 0.76%; Class R6 shares: Gross 1.05%, Net 0.70%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 3.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index returned 5.68% for the inception date of Class I shares and 5.56% for the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: HIMXZX | |
Class C: PCMZX | |
Class I: HIBIX | |
Class R6: VLDRX |
Newfleet Asset Management, LLC
■ | The Fund is diversified and has an investment objective 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. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned 3.21%, Class C shares at NAV returned 2.44%, Class I shares at NAV returned 3.46%, and Class R6 shares at NAV returned 3.54%. For the same period, the Newfleet Low Duration Core Plus Linked Benchmark, returned 4.82%, and the ICE BofA Merrill Lynch 1-5 Year Corporate & Government Bond Index, returned 4.82%. |
Asset-Backed Securities | 33% | |
Mortgage-Backed Securities | 30 | |
Corporate Bonds and Notes | 20 | |
Financials | 7% | |
Information Technology | 2 | |
Utilities | 2 | |
All other Corporate Bonds and Notes | 9 | |
U.S. Government Securities | 8 | |
Leveraged Loans | 5 | |
Short-Term Investment | 2 | |
Other | 2 | |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 3.21 % | 2.52 % | 2.54 % | — % | — | |||||||
Class A shares at POP3,4 | 0.88 | 2.06 | 2.30 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 2.44 | 1.76 | 1.77 | — | — | |||||||
Class I shares at NAV2 | 3.46 | 2.78 | 2.79 | — | — | |||||||
Class R6 shares at NAV2 | 3.54 | — | — | 4.84 | 12/19/18 | |||||||
Newfleet Low Duration Core Plus Linked Benchmark | 4.82 | 2.67 | 2.55 | 5.49 5 | — | |||||||
ICE BofA Merrill Lynch 1-5 Year Corporate & Government Bond Index | 4.82 | 2.60 | 2.14 | 5.49 5 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 0.92%, Net 0.75%; Class C shares: Gross 1.67%, Net 1.50%; Class I shares: Gross 0.68%, Net 0.50%; Class R6 shares: Gross 0.62%, Net 0.43%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 2.25% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: NAMFX | |
Class C: NCMFX | |
Class I: VMFIX | |
Class R6: VMFRX |
Newfleet Asset Management, LLC
■ | The Fund is diversified and has an investment objective of maximizing current income while preserving capital. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned 2.86%, Class C shares at NAV returned 2.16%, Class I shares at NAV returned 3.19%, and Class R6 shares at NAV returned 3.28%. For the same period, the Bloomberg Barclays U.S. Aggregate Bond Index, which serves as both the Fund’s broad-based and style-specific fixed income index, returned 6.98%. |
Corporate Bonds and Notes | 51% | |
Financials | 8% | |
Energy | 7 | |
Industrials | 6 | |
All other Corporate Bonds and Notes | 30 | |
Mortgage-Backed Securities | 15 | |
Leveraged Loans | 11 | |
Foreign Government Securities | 9 | |
Asset-Backed Securities | 9 | |
Preferred Stocks | 2 | |
Other (includes short-term investment) | 3 | |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 2.86 % | 4.93 % | 4.62 % | — % | — | |||||||
Class A shares at POP3,4 | -1.00 | 4.13 | 4.22 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 2.16 | 4.14 | 3.84 | — | — | |||||||
Class I shares at NAV2 | 3.19 | 5.19 | 4.89 | — | ||||||||
Class R6 shares at NAV2 | 3.28 | 5.29 | — | 3.88 | 11/12/14 | |||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.98 | 4.18 | 3.64 | 3.89 5 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 1.10%, Net 0.99%; Class C shares: Gross 1.85%, Net 1.74%; Class I shares: Gross 0.85%, Net 0.74%; Class R6 shares: Gross 0.78%, Net 0.60%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 3.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: PSFRX | |
Class C: PFSRX | |
Class I: PSFIX | |
Class R6: VRSFX |
Newfleet Asset Management, LLC
■ | The Fund is diversified and has an investment objective of high total return from both current income and capital appreciation. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned -1.66%, Class C shares at NAV returned -2.36%, Class I shares at NAV returned -1.39%, and Class R6 shares at NAV returned -1.45%†. For the same period, the Credit Suisse Leveraged Loan Index, which serves as both the Fund’s broad-based and style-specific index, returned 0.84%. |
Leveraged Loans | 93% | |
Healthcare | 13% | |
Service | 10 | |
Forest Prod / Containers | 7 | |
Food / Tobacco | 6 | |
Manufacturing | 6 | |
Gaming / Leisure | 5 | |
Information Technology | 5 | |
All other Leveraged Loans | 41 | |
Corporate Bonds and Notes | 5 | |
Other (includes short-term investment) | 2 | |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | -1.66 % | 2.59 % | 3.34 % | — % | — | |||||||
Class A shares at POP3,4 | -4.37 | 2.02 | 3.05 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | -2.36 | 1.83 | 2.57 | — | — | |||||||
Class I shares at NAV2 | -1.39 | 2.85 | 3.59 | — | — | |||||||
Class R6 shares at NAV2 | -1.45 5 | — | — | 2.47 | 11/3/16 | |||||||
Credit Suisse Leveraged Loan Index | 0.84 | 4.03 | 4.44 | 3.65 6 | — | |||||||
Fund Expense Ratios7: Class A shares: Gross 1.12%, Net 1.11%; Class C shares: Gross 1.92%, Net 1.86%; Class I shares: Gross 0.92%, Net 0.86%; Class R6 shares: Gross 0.85%, Net 0.72%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 2.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
6 | The since inception index return is from the inception date of Class R6 shares. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: HXBZX | |
Class C: PXCZX | |
Class I: HXBIX |
Newfleet Asset Management, LLC
■ | The Fund is diversified and has an investment objective of providing a high level of current income that is exempt from federal income tax. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned 3.17%, Class C shares at NAV returned 2.40%, and Class I shares at NAV returned 3.43%. For the same period, the Bloomberg Barclays U.S. Aggregate Bond Index, a broad-based fixed income index, returned 6.98%, and the Tax-Exempt Bond Fund Linked Benchmark, which is the Fund’s style-specific benchmark appropriate for comparison, returned 3.81%. |
Texas | 13% |
Illinois | 13 |
Florida | 12 |
New Jersey | 7 |
Colorado | 6 |
Arizona | 5 |
District of Columbia | 5 |
Other (includes short-term investment) | 39 |
Total | 100% |
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 3.17% | 2.95% | 3.26% | |||||
Class A shares at POP3,4 | 0.33 | 2.38 | 2.98 | |||||
Class C shares at NAV2 and with CDSC4 | 2.40 | 2.18 | 2.48 | |||||
Class I shares at NAV2 | 3.43 | 3.21 | 3.52 | |||||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.98 | 4.18 | 3.64 | |||||
Tax-Exempt Bond Fund Linked Benchmark | 3.81 | 3.48 | 3.71 | |||||
Fund Expense Ratios5: Class A shares: Gross 1.00%, Net 0.86%; Class C shares: Gross 1.74%, Net 1.61%; Class I shares: Gross 0.79%, Net 0.61%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 2.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
September 30, 2020
Par Value | Value | ||
U.S. Government Securities—14.4% | |||
U.S. Treasury Bonds | |||
2.500%, 2/15/46 | $1,115 | $ 1,377 | |
3.000%, 8/15/48 | 4,100 | 5,588 | |
2.000%, 2/15/50 | 975 | 1,103 | |
U.S. Treasury Notes | |||
2.250%, 3/31/21 | 1,705 | 1,723 | |
0.125%, 5/31/22 | 825 | 825 | |
2.875%, 8/15/28 | 1,460 | 1,723 | |
2.625%, 2/15/29 | 585 | 683 | |
1.500%, 2/15/30 | 2,155 | 2,324 | |
Total U.S. Government Securities (Identified Cost $13,256) | 15,346 | ||
Municipal Bonds—3.2% | |||
California—1.0% | |||
State of California, Build America Bonds Taxable 7.600%, 11/1/40 | 520 | 937 | |
University of California, Series B-A, Taxable 4.428%, 5/15/48 | 140 | 159 | |
1,096 | |||
Georgia—0.3% | |||
Rockdale County Water & Sewerage Authority Revenue Taxable (CNTY GTD Insured) 3.060%, 7/1/24 | 255 | 270 | |
Idaho—0.2% | |||
Idaho Health Facilities Authority Saint Luke’s Health System Revenue Taxable 5.020%, 3/1/48 | 170 | 222 | |
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 30 | 32 | |
Massachusetts—0.4% | |||
Massachusetts Bay Transportation Authority Revenue, Series A-1, Taxable 5.250%, 7/1/32 | 255 | 367 | |
Oregon—0.3% | |||
Clackamas & Washington Counties School District No. 3 Series B (SCH BD GTY Insured) 5.000%, 6/15/32 | 255 | 344 |
Par Value | Value | ||
Texas—0.7% | |||
City of San Antonio, General Obligation Taxable 1.963%, 2/1/33 | $ 255 | $ 262 | |
Klein Independent School District (PSF-GTD Insured) 5.000%, 8/1/32 | 195 | 264 | |
State of Texas, General Obligation Taxable 3.211%, 4/1/44 | 80 | 86 | |
Texas Transportation Commission State Highway Fund Revenue Taxable 4.000%, 10/1/33 | 80 | 101 | |
713 | |||
Virginia—0.3% | |||
City of Bristol, General Obligation Taxable 4.210%, 1/1/42 | 285 | 308 | |
Total Municipal Bonds (Identified Cost $3,047) | 3,352 | ||
Foreign Government Securities—0.9% | |||
Kingdom of Saudi Arabia 144A 3.250%, 10/22/30(1) | 200 | 217 | |
Republic of South Africa 4.850%, 9/27/27 | 210 | 207 | |
Republic of Turkey 7.375%, 2/5/25 | 280 | 289 | |
State of Qatar 144A 4.400%, 4/16/50(1) | 200 | 258 | |
Total Foreign Government Securities (Identified Cost $986) | 971 | ||
Mortgage-Backed Securities—25.0% | |||
Agency—3.0% | |||
Federal National Mortgage Association | |||
Pool #323702 6.000%, 5/1/29 | 11 | 13 | |
Pool #535371 6.500%, 5/1/30 | 1 | 1 | |
Pool #590108 7.000%, 7/1/31 | 5 | 5 | |
Pool #880117 5.500%, 4/1/36 | 24 | 27 | |
Pool #938574 5.500%, 9/1/36 | 75 | 88 | |
Pool #909092 6.000%, 9/1/37 | 12 | 15 | |
Pool #909220 6.000%, 8/1/38 | 116 | 136 | |
Pool #986067 6.000%, 8/1/38 | 4 | 4 |
Par Value | Value | ||
Agency—continued | |||
Pool #AA7001 5.000%, 6/1/39 | $ 320 | $ 369 | |
Pool #CA4128 3.000%, 9/1/49 | 187 | 196 | |
Pool#MA3803 3.500%, 10/1/49 | 197 | 208 | |
Pool #CA4978 3.000%, 1/1/50 | 680 | 712 | |
Pool#MA3905 3.000%, 1/1/50 | 1,308 | 1,369 | |
Government National Mortgage Association I Pool #443000 6.500%, 9/15/28 | 14 | 16 | |
3,159 | |||
Non-Agency—22.0% | |||
Ajax Mortgage Loan Trust 2019-D, A1 144A 2.956%, 9/25/65(1)(2) | 298 | 302 | |
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(1) | 195 | 211 | |
2015-SFR1, A 144A 3.467%, 4/17/52(1) | 203 | 216 | |
2015-SFR2, C 144A 4.691%, 10/17/52(1) | 125 | 138 | |
AMSR Trust | |||
2020-SFR1, A 144A 1.819%, 4/17/37(1) | 110 | 112 | |
2020-SFR1, B 144A 2.120%, 4/17/37(1) | 255 | 259 | |
2020-SFR2, C 144A 2.533%, 7/17/37(1) | 100 | 102 | |
2020-SFR2, D 144A 3.282%, 7/17/37(1) | 100 | 104 | |
Angel Oak Mortgage Trust I LLC 2019-2, A1 144A 3.628%, 3/25/49(1)(2) | 167 | 171 | |
Angel Oak Mortgage Trust LLC 2019-3, A1 144A 2.930%, 5/25/59(1)(2) | 148 | 150 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(1)(2) | 225 | 229 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(2) | 107 | 111 | |
2019-2, A1 144A 3.347%, 4/25/49(1)(2) | 109 | 112 | |
Banc of America Funding Trust | |||
2004-B, 2A1 4.308%, 11/20/34(2) | 27 | 29 | |
2005-1, 1A1 5.500%, 2/25/35 | 47 | 49 | |
Banc of America Mortgage Trust 2005-3, 1A15 5.500%, 4/25/35 | 31 | 32 |
Par Value | Value | ||
Non-Agency—continued | |||
Bayview Opportunity Master Fund IVa Trust | |||
2016-SPL1, B1 144A 4.250%, 4/28/55(1) | $ 160 | $ 167 | |
2017-SPL5, B1 144A 4.000%, 6/28/57(1)(2) | 100 | 106 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(1)(2) | 100 | 105 | |
BX Commercial Mortgage Trust 2019-XL, C (1 month LIBOR + 1.250%) 144A 1.402%, 10/15/36(1)(2) | 161 | 161 | |
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(1)(2) | 245 | 238 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(1) | 205 | 207 | |
CHL Mortgage Pass-Through Trust 2004-6, 1A2 3.459%, 5/25/34(2) | 81 | 80 | |
Citigroup Commercial Mortgage Trust | |||
2019-SST2, A (1 month LIBOR + 0.920%) 144A 1.072%, 12/15/36(1)(2) | 200 | 196 | |
2015-GC27, A4 2.878%, 2/10/48 | 245 | 258 | |
Citigroup Mortgage Loan Trust, Inc. 2019-IMC1, A1 144A 2.720%, 7/25/49(1)(2) | 151 | 153 | |
COLT Mortgage Loan Trust Funding LLC | |||
2019-3, A1 144A 2.764%, 8/25/49(1)(2) | 174 | 176 | |
2020-1, A1 144A 2.488%, 2/25/50(1)(2) | 80 | 81 | |
COMM Mortgage Trust 2020-CBM, B 144A 3.099%, 2/10/37(1) | 210 | 206 | |
CoreVest American Finance Trust | |||
2018-2, A 144A 4.026%, 11/15/52(1) | 115 | 124 | |
2019-3, C 144A 3.265%, 10/15/52(1) | 220 | 222 | |
2020-1, A1 144A 1.832%, 3/15/50(1) | 272 | 275 | |
2020-3, A 144A 1.358%, 8/15/53(1) | 210 | 210 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 1.132%, 5/15/36(1)(2) | 370 | 370 |
Par Value | Value | ||
Non-Agency—continued | |||
Credit Suisse Mortgage Capital Trust | |||
2020-RPL4, A1 144A 2.000%, 1/25/60(1) | $ 265 | $ 273 | |
2020-NQM1, A1 144A 1.208%, 5/25/65(1)(2) | 160 | 160 | |
Ellington Financial Mortgage Trust | |||
2018-1, A1FX 144A 4.140%, 10/25/58(1)(2) | 236 | 242 | |
2019-2, A3 144A 3.046%, 11/25/59(1)(2) | 79 | 81 | |
Exantas Capital Corp. 2020-RSO8, A (1 month LIBOR + 1.150%) 144A 1.301%, 3/15/35(1)(2) | 265 | 261 | |
Flagstar Mortgage Trust 2017-1, 1A3 144A 3.500%, 3/25/47(1)(2) | 211 | 217 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(1)(2) | 41 | 42 | |
2018-1, A23 144A 3.500%, 11/25/57(1)(2) | 38 | 39 | |
2018-2, A41 144A 4.500%, 10/25/58(1)(2) | 102 | 104 | |
2019-H1, A1 144A 2.657%, 10/25/59(1)(2) | 172 | 175 | |
2020-H1, A1 144A 2.310%, 1/25/60(1)(2) | 311 | 317 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(1)(2) | 120 | 121 | |
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(1) | 255 | 257 | |
GS Mortgage Securities Trust 2020-GC45, AS 3.173%, 2/13/53(2) | 245 | 273 | |
Homeward Opportunities Fund I Trust | |||
2018-2, A1 144A 3.985%, 11/25/58(1)(2) | 271 | 281 | |
2019-1, A1 144A 3.454%, 1/25/59(1)(2) | 121 | 123 | |
JPMorgan Chase (WaMu) Mortgage Pass-Through Certificates 2003-S11, 3A5 5.950%, 11/25/33 | 48 | 49 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C31, AS 4.106%, 8/15/48 | 215 | 239 | |
JPMorgan Chase Mortgage Trust | |||
2016-SH1, M2 144A 3.750%, 4/25/45(1)(2) | 140 | 142 |
Par Value | Value | ||
Non-Agency—continued | |||
2016-SH2, M2 144A 3.750%, 12/25/45(1)(2) | $ 262 | $ 270 | |
2017-3, 2A2 144A 2.500%, 8/25/47(1)(2) | 73 | 75 | |
2017-5, A1 144A 3.128%, 10/26/48(1)(2) | 148 | 151 | |
JPMorgan Mortgage Trust 2017-1, A2 144A 3.500%, 1/25/47(1)(2) | 195 | 200 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%) 144A 0.952%, 5/15/36(1)(2) | 215 | 215 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(1)(2) | 195 | 198 | |
MASTR Specialized Loan Trust 2005-3, A2 144A 5.704%, 11/25/35(1)(2) | 19 | 19 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 1.348%, 6/25/52(1)(2) | 85 | 85 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.645%, 4/25/55(1)(2) | 100 | 106 | |
2019-1A, A1A 144A 3.750%, 4/25/58(1)(2) | 317 | 340 | |
Mill City Mortgage Loan Trust 2019-1, M2 144A 3.500%, 10/25/69(1)(2) | 155 | 168 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust | |||
2013-C13, AS 4.266%, 11/15/46 | 360 | 390 | |
2015-C22, AS 3.561%, 4/15/48 | 310 | 335 | |
New Residential Mortgage Loan Trust | |||
2014-1A, A 144A 3.750%, 1/25/54(1)(2) | 102 | 110 | |
2015-2A, A1 144A 3.750%, 8/25/55(1)(2) | 78 | 84 | |
2016-1A, A1 144A 3.750%, 3/25/56(1)(2) | 63 | 68 | |
2016-4A, B1A 144A 4.500%, 11/25/56(1)(2) | 154 | 171 | |
2017-2A, A3 144A 4.000%, 3/25/57(1)(2) | 144 | 156 | |
2018-1A, A1A 144A 4.000%, 12/25/57(1)(2) | 185 | 200 | |
2018-2A, A1 144A 4.500%, 2/25/58(1)(2) | 246 | 268 | |
2019-NQM4, A1 144A 2.492%, 9/25/59(1)(2) | 208 | 212 | |
2020-1A, A1B 144A 3.500%, 10/25/59(1)(2) | 296 | 316 |
Par Value | Value | ||
Non-Agency—continued | |||
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%) 1.873%, 3/25/35(2) | $ 54 | $ 55 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(1)(2) | 97 | 101 | |
2018-EXP2, 1A1 144A 4.000%, 7/25/58(1)(2) | 192 | 195 | |
Preston Ridge Partners Mortgage LLC | |||
2019-1A, A1 144A 4.500%, 1/25/24(1)(2) | 348 | 351 | |
2020-2, A1 144A 3.671%, 8/25/25(1)(2) | 143 | 143 | |
2020-3, A1 144A 2.857%, 9/25/25(1) | 200 | 200 | |
Pretium Mortgage Credit Partners I LLC 2019-NPL3, A1 144A 3.105%, 7/27/59(1)(2) | 58 | 58 | |
Progress Residential Trust | |||
2018-SFR2, B 144A 3.841%, 8/17/35(1) | 100 | 102 | |
2019-SFR2, A 144A 3.147%, 5/17/36(1) | 333 | 344 | |
2019-SFR3, B 144A 2.571%, 9/17/36(1) | 235 | 240 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(1)(2) | 387 | 400 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(1)(2) | 499 | 514 | |
RCO V Mortgage LLC 2019-2, A1 144A 3.475%, 11/25/24(1)(2) | 288 | 288 | |
Residential Mortgage Loan Trust | |||
2019-1, A1 144A 3.936%, 10/25/58(1)(2) | 48 | 48 | |
2019-2, A1 144A 2.913%, 5/25/59(1)(2) | 206 | 209 | |
SBA Tower Trust 144A 1.884%, 1/15/26(1) | 205 | 209 | |
Sequoia Mortgage Trust 2013-8, B1 3.514%, 6/25/43(2) | 78 | 80 | |
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(1)(2) | 287 | 291 | |
Starwood Mortgage Residential Trust 2019-IMC1, A1 144A 3.468%, 2/25/49(1)(2) | 200 | 205 | |
Towd Point Mortgage Trust | |||
2015-5, A2 144A 3.500%, 5/25/55(1)(2) | 220 | 228 | |
2016-3, M1 144A 3.500%, 4/25/56(1)(2) | 525 | 553 | |
2017-1, M1 144A 3.750%, 10/25/56(1)(2) | 100 | 109 |
Par Value | Value | ||
Non-Agency—continued | |||
2017-4, A2 144A 3.000%, 6/25/57(1)(2) | $ 335 | $ 361 | |
2017-6, A2 144A 3.000%, 10/25/57(1)(2) | 310 | 329 | |
2018-6, A2 144A 3.750%, 3/25/58(1)(2) | 600 | 668 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(1)(2) | 28 | 28 | |
2019-1, A1 144A 3.750%, 3/25/58(1)(2) | 247 | 268 | |
2019-2, A2 144A 3.750%, 12/25/58(1)(2) | 190 | 207 | |
2015-2, 1M1 144A 3.250%, 11/25/60(1)(2) | 165 | 174 | |
Towd Point Trust 2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 1.048%, 4/25/48(1)(2) | 543 | 541 | |
Tricon American Homes Trust | |||
2017-SFR1, A 144A 2.716%, 9/17/34(1) | 197 | 201 | |
2019-SFR1, C 144A 3.149%, 3/17/38(1) | 190 | 198 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(1) | 200 | 204 | |
VCAT LLC | |||
2019-NPL2, A1 144A 3.573%, 11/25/49(1)(2) | 274 | 273 | |
2020-NPL1, A1 144A 3.671%, 8/25/50(1)(2) | 103 | 103 | |
Vericrest Opportunity Loan Trust | |||
2019-NPL2, A1 144A 3.967%, 2/25/49(1)(2) | 82 | 82 | |
2020-NPL2, A1A 144A 2.981%, 2/25/50(1)(2) | 237 | 237 | |
Vericrest Opportunity Loan Trust LXXXV LLC 2020-NPL1, A1A 144A 3.228%, 1/25/50(1)(2) | 336 | 337 | |
Verus Securitization Trust | |||
2018-2, B1 144A 4.426%, 6/1/58(1)(2) | 240 | 249 | |
2018-3, A1 144A 4.108%, 10/25/58(1)(2) | 68 | 70 | |
2019-INV2, A1 144A 2.913%, 7/25/59(1)(2) | 298 | 304 | |
2019-INV1, A1 144A 3.402%, 12/25/59(1)(2) | 94 | 96 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 100 | 103 |
Par Value | Value | ||
Non-Agency—continued | |||
Wells Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(1)(2) | $ 262 | $ 270 | |
23,421 | |||
Total Mortgage-Backed Securities (Identified Cost $25,976) | 26,580 | ||
Asset-Backed Securities—9.9% | |||
Automobiles—5.0% | |||
ACC Trust 2019-1, A 144A 3.750%, 5/20/22(1) | 92 | 93 | |
American Credit Acceptance Receivables Trust | |||
2018-4, C 144A 3.970%, 1/13/25(1) | 184 | 186 | |
2019-2, C 144A 3.170%, 6/12/25(1) | 220 | 224 | |
Avis Budget Rental Car Funding LLC | |||
(AESOP) 2016-1A, A 144A 2.990%, 6/20/22(1) | 200 | 202 | |
(AESOP) 2019-3A, A 144A 2.360%, 3/20/26(1) | 270 | 276 | |
Capital Auto Receivables Asset Trust 2017-1, C 144A 2.700%, 9/20/22(1) | 185 | 188 | |
Carvana Auto Receivables Trust | |||
2019-1A, D 144A 3.880%, 10/15/24(1) | 225 | 233 | |
2019-3A, D 144A 3.040%, 4/15/25(1) | 240 | 245 | |
Drive Auto Receivables Trust 2019-4, C 2.510%, 11/17/25 | 240 | 245 | |
DT Auto Owner Trust | |||
2019-2A, B 144A 2.990%, 4/17/23(1) | 215 | 218 | |
2019-2A, C 144A 3.180%, 2/18/25(1) | 295 | 302 | |
Exeter Automobile Receivables Trust | |||
2018-3A, C 144A 3.710%, 6/15/23(1) | 198 | 200 | |
2019-2A, C 144A 3.300%, 3/15/24(1) | 225 | 231 | |
2019-4A, C 144A 2.440%, 9/16/24(1) | 285 | 291 | |
Flagship Credit Auto Trust | |||
2019-2, C 144A 3.090%, 5/15/25(1) | 260 | 270 | |
2020-3, C 144A 1.730%, 9/15/26(1) | 260 | 265 |
Par Value | Value | ||
Automobiles—continued | |||
GLS Auto Receivables Issuer Trust 2019-2A, B 144A 3.320%, 3/15/24(1) | $ 260 | $ 268 | |
GLS Auto Receivables Trust 2018-3A, C 144A 4.180%, 7/15/24(1) | 240 | 250 | |
Hertz Vehicle Financing II LP 2019-1A, A 144A 3.710%, 3/25/23(1) | 63 | 63 | |
OneMain Direct Auto Receivables Trust 2018-1A, C 144A 3.850%, 10/14/25(1) | 145 | 149 | |
Prestige Auto Receivables Trust 2017-1A, C 144A 2.810%, 1/17/23(1) | 207 | 209 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(1) | 240 | 244 | |
United Auto Credit Securitization Trust 2019-1, D 144A 3.470%, 8/12/24(1) | 215 | 219 | |
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(1) | 270 | 271 | |
5,342 | |||
Credit Card—0.7% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(1) | 410 | 410 | |
Genesis Private Label Amortizing Trust 2020-1, B 144A 2.830%, 7/20/30(1) | 305 | 307 | |
717 | |||
Other—4.0% | |||
Aqua Finance Trust 2017-A, A 144A 3.720%, 11/15/35(1) | 84 | 84 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(1) | 260 | 267 | |
Bankers Healthcare Group Securitization Trust 2020-A, A 144A 2.470%, 9/17/31(1) | 242 | 242 | |
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(1) | 180 | 186 | |
Diamond Resorts Owner Trust 2017-1A, A 144A 3.270%, 10/22/29(1) | 48 | 49 | |
Foundation Finance Trust 2019-1A, A 144A 3.860%, 11/15/34(1) | 128 | 132 |
Par Value | Value | ||
Other—continued | |||
FREED ABS Trust 2020-3FP, A 144A 2.400%, 9/20/27(1) | $ 223 | $ 223 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(1) | 245 | 261 | |
Lendmark Funding Trust 2019-1A, A 144A 3.000%, 12/20/27(1) | 270 | 267 | |
MVW LLC | |||
2019-2A, A 144A 2.220%, 10/20/38(1) | 227 | 231 | |
2020-1A, A 144A 1.740%, 10/20/37(1) | 198 | 201 | |
MVW Owner Trust 2019-1A, A 144A 2.890%, 11/20/36(1) | 182 | 187 | |
NMEF Funding LLC 2019-A, C 144A 3.300%, 8/17/26(1) | 200 | 203 | |
Oasis LLC 2020-1A, A 144A 3.820%, 1/15/32(1) | 159 | 160 | |
Octane Receivables Trust | |||
2019-1A, A 144A 3.160%, 9/20/23(1) | 136 | 135 | |
2020-1A, A 144A 1.710%, 2/20/25(1) | 320 | 320 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(1) | 180 | 185 | |
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(1) | 250 | 251 | |
Orange Lake Timeshare Trust 2019-A, B 144A 3.360%, 4/9/38(1) | 169 | 171 | |
Small Business Lending Trust 2019-A, A 144A 2.850%, 7/15/26(1) | 93 | 91 | |
SoFi Consumer Loan Program LLC 2017-1, A 144A 3.280%, 1/26/26(1) | 3 | 4 | |
Taco Bell Funding LLC 2016-1A, A23 144A 4.970%, 5/25/46(1) | 237 | 255 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(1) | 174 | 181 | |
4,286 | |||
Student Loan—0.2% | |||
Commonbond Student Loan Trust 2019-AGS, A1 144A 2.540%, 1/25/47(1) | 217 | 224 | |
Total Asset-Backed Securities (Identified Cost $10,397) | 10,569 | ||
Par Value | Value | ||
Corporate Bonds and Notes—38.3% | |||
Communication Services—2.1% | |||
ANGI Group LLC 144A 3.875%, 8/15/28(1) | $ 105 | $ 104 | |
Cable Onda S.A. 144A 4.500%, 1/30/30(1) | 200 | 208 | |
Consolidated Communications, Inc. 144A 6.500%, 10/1/28(1) | 160 | 163 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(1) | 100 | 71 | |
144A 6.625%, 8/15/27(1) | 55 | 29 | |
DISH DBS Corp. 5.000%, 3/15/23 | 95 | 97 | |
Frontier Communications Corp. 144A 8.500%, 4/1/26(1) | 70 | 71 | |
Level 3 Financing, Inc. 144A 4.250%, 7/1/28(1) | 225 | 228 | |
Meredith Corp. 6.875%, 2/1/26 | 90 | 75 | |
Radiate Holdco LLC 144A 4.500%, 9/15/26(1) | 35 | 35 | |
Sprint Spectrum Co. LLC 144A 4.738%, 3/20/25(1) | 200 | 216 | |
Telesat Canada 144A 6.500%, 10/15/27(1) | 85 | 86 | |
Tencent Holdings Ltd. 144A 3.975%, 4/11/29(1) | 255 | 290 | |
T-Mobile USA, Inc. 144A 3.875%, 4/15/30(1) | 300 | 341 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(1) | 55 | 57 | |
Virgin Media Finance plc 144A 5.000%, 7/15/30(1) | 200 | 199 | |
2,270 | |||
Consumer Discretionary—3.5% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 145 | 140 | |
American Builders & Contractors Supply Co., Inc. 144A 4.000%, 1/15/28(1) | 200 | 203 | |
Aramark Services, Inc. 144A 6.375%, 5/1/25(1) | 100 | 104 | |
Block Financial LLC 3.875%, 8/15/30 | 245 | 246 | |
Caesars Entertainment, Inc. 144A 6.250%, 7/1/25(1) | 50 | 52 | |
Dana, Inc. 5.375%, 11/15/27 | 190 | 195 | |
Ford Motor Co. 9.000%, 4/22/25 | 206 | 236 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(1) | $ 95 | $ 80 | |
General Motors Co. 6.800%, 10/1/27 | 150 | 182 | |
General Motors Financial Co., Inc. 3.450%, 4/10/22 | 30 | 31 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(1) | 195 | 207 | |
Lear Corp. 3.800%, 9/15/27 | 250 | 264 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 190 | 196 | |
Marriott Ownership Resorts, Inc. 4.750%, 1/15/28 | 165 | 156 | |
Nissan Motor Co. Ltd. 144A 4.810%, 9/17/30(1) | 200 | 201 | |
PulteGroup, Inc. 6.375%, 5/15/33 | 120 | 151 | |
QVC, Inc. | |||
4.375%, 3/15/23 | 145 | 151 | |
4.750%, 2/15/27 | 75 | 77 | |
Scientific Games International, Inc. | |||
144A 5.000%, 10/15/25(1) | 130 | 131 | |
144A 8.250%, 3/15/26(1) | 70 | 73 | |
144A 7.000%, 5/15/28(1) | 35 | 35 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 150 | 162 | |
Under Armour, Inc. 3.250%, 6/15/26 | 100 | 94 | |
VF Corp. 2.400%, 4/23/25 | 152 | 161 | |
Weekley Homes LLC 144A 4.875%, 9/15/28(1) | 170 | 172 | |
3,700 | |||
Consumer Staples—1.2% | |||
Albertsons Cos., Inc. | |||
144A 3.250%, 3/15/26(1) | 105 | 104 | |
144A 4.875%, 2/15/30(1) | 115 | 120 | |
Anheuser-Busch InBev Worldwide, Inc. | |||
4.000%, 4/13/28 | 200 | 231 | |
4.750%, 1/23/29 | 52 | 63 | |
Bacardi Ltd. 144A 4.700%, 5/15/28(1) | 170 | 198 | |
BAT Capital Corp. 4.906%, 4/2/30 | 240 | 283 | |
Conagra Brands, Inc. 4.300%, 5/1/24 | 270 | 301 | |
1,300 | |||
Energy—3.0% | |||
Aker BP ASA 144A 2.875%, 1/15/26(1) | 265 | 262 | |
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(1) | 120 | 85 |
Par Value | Value | ||
Energy—continued | |||
Boardwalk Pipelines LP 4.950%, 12/15/24 | $ 185 | $ 203 | |
Cheniere Energy, Inc. 144A 4.625%, 10/15/28(1) | 80 | 82 | |
CrownRock LP 144A 5.625%, 10/15/25(1) | 115 | 108 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(1) | 25 | 26 | |
144A 6.500%, 7/1/27(1) | 30 | 32 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 210 | 230 | |
Kinder Morgan Energy Partners LP 7.500%, 11/15/40 | 320 | 431 | |
MPLX LP 4.250%, 12/1/27 | 205 | 230 | |
Parsley Energy LLC 144A 4.125%, 2/15/28(1) | 205 | 193 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 150 | 116 | |
Pertamina Persero PT 144A 6.450%, 5/30/44(1) | 300 | 389 | |
Petroleos Mexicanos 144A 7.690%, 1/23/50(1) | 190 | 157 | |
Petronas Capital Ltd. 144A 3.500%, 4/21/30(1) | 200 | 223 | |
Sabine Pass Liquefaction LLC | |||
6.250%, 3/15/22 | 140 | 149 | |
4.200%, 3/15/28 | 80 | 87 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 185 | 190 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(1) | 39 | 25 | |
3,218 | |||
Financials—12.5% | |||
AerCap Ireland Capital DAC 3.650%, 7/21/27 | 150 | 137 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53(3) | 200 | 208 | |
Apollo Management Holdings LP 144A 4.000%, 5/30/24(1) | 215 | 238 | |
Ares Finance Co. LLC 144A 4.000%, 10/8/24(1) | 270 | 289 | |
Athene Global Funding 144A 2.450%, 8/20/27(1) | 265 | 272 | |
Bank of America Corp. | |||
3.004%, 12/20/23 | 285 | 299 | |
4.200%, 8/26/24 | 448 | 499 | |
(3 month LIBOR + 0.770%) 1.019%, 2/5/26(2) | 225 | 224 | |
Bank of Montreal 3.803%, 12/15/32 | 338 | 377 | |
Bank of New York Mellon Corp. (The) Series G 4.700% (4) | 240 | 255 | |
BBVA Bancomer S.A. 144A 5.125%, 1/18/33(1) | 200 | 192 |
Par Value | Value | ||
Financials—continued | |||
Brighthouse Financial, Inc. | |||
3.700%, 6/22/27 | $ 67 | $ 70 | |
5.625%, 5/15/30 | 163 | 190 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 200 | 212 | |
Brookfield Finance, Inc. 4.250%, 6/2/26 | 370 | 424 | |
Capital One Financial Corp. | |||
4.200%, 10/29/25 | 200 | 222 | |
3.750%, 7/28/26 | 225 | 245 | |
Charles Schwab Corp. (The) Series G 5.375% (4) | 225 | 244 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 190 | 204 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 371 | 409 | |
(3 month LIBOR + 1.250%) 1.475%, 7/1/26(2) | 600 | 609 | |
Discover Bank 4.682%, 8/9/28 | 500 | 524 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 225 | 246 | |
Goldman Sachs Group, Inc. (The) 5.750%, 1/24/22 | 305 | 326 | |
ICAHN Enterprises LP 6.250%, 5/15/26 | 225 | 235 | |
Jefferies Financial Group, Inc. 5.500%, 10/18/23 | 170 | 187 | |
Jefferies Group LLC | |||
5.125%, 1/20/23 | 39 | 42 | |
4.850%, 1/15/27 | 115 | 131 | |
JPMorgan Chase & Co. 2.956%, 5/13/31 | 495 | 529 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 150 | 130 | |
Liberty Mutual Group, Inc. | |||
144A 4.250%, 6/15/23(1) | 65 | 71 | |
144A 4.569%, 2/1/29(1) | 210 | 254 | |
MetLife, Inc. Series G 3.850% (3)(4)(5) | 280 | 279 | |
Morgan Stanley | |||
3.125%, 7/27/26 | 410 | 453 | |
6.375%, 7/24/42 | 215 | 334 | |
OneMain Finance Corp. | |||
6.875%, 3/15/25 | 110 | 122 | |
7.125%, 3/15/26 | 40 | 45 | |
5.375%, 11/15/29 | 15 | 16 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 85 | 89 | |
5.625%, 6/15/43(3) | 270 | 287 | |
Santander Holdings USA, Inc. | |||
3.700%, 3/28/22 | 169 | 175 | |
3.500%, 6/7/24 | 180 | 193 | |
4.400%, 7/13/27 | 80 | 88 |
Par Value | Value | ||
Financials—continued | |||
Societe Generale S.A. 144A 4.750%, 11/24/25(1) | $ 200 | $ 219 | |
Synchrony Financial 3.950%, 12/1/27 | 285 | 307 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 90 | 93 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | 270 | 303 | |
Trinity Acquisition plc 4.400%, 3/15/26 | 90 | 104 | |
UBS AG 7.625%, 8/17/22 | 500 | 557 | |
Voya Financial, Inc. 5.650%, 5/15/53 | 195 | 200 | |
Wells Fargo & Co. | |||
2.393%, 6/2/28 | 540 | 563 | |
Series S 5.900%(3)(4) | 155 | 158 | |
Zions Bancorp NA 3.250%, 10/29/29 | 250 | 250 | |
13,329 | |||
Health Care—2.2% | |||
Anthem, Inc. 2.875%, 9/15/29 | 185 | 200 | |
Bausch Health Cos., Inc. 144A 5.750%, 8/15/27(1) | 70 | 74 | |
Centene Corp. 4.625%, 12/15/29 | 80 | 86 | |
DaVita, Inc. 144A 3.750%, 2/15/31(1) | 125 | 120 | |
HCA, Inc. | |||
5.125%, 6/15/39 | 90 | 109 | |
5.250%, 6/15/49 | 140 | 170 | |
Jaguar Holding Co. II 144A 5.000%, 6/15/28(1) | 80 | 84 | |
LifePoint Health, Inc. 144A 4.375%, 2/15/27(1) | 75 | 75 | |
Mylan NV 3.950%, 6/15/26 | 230 | 258 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(1) | 65 | 68 | |
Perrigo Finance Unlimited Co. 4.375%, 3/15/26 | 200 | 224 | |
Royalty Pharma plc | |||
144A 2.200%, 9/2/30(1) | 198 | 197 | |
144A 3.550%, 9/2/50(1) | 120 | 116 | |
Tenet Healthcare Corp. | |||
144A 7.500%, 4/1/25(1) | 25 | 27 | |
144A 5.125%, 11/1/27(1) | 63 | 65 | |
Teva Pharmaceutical Finance Netherlands III B.V. 3.150%, 10/1/26 | 170 | 150 |
Par Value | Value | ||
Health Care—continued | |||
Universal Health Services, Inc. 144A 2.650%, 10/15/30(1) | $ 273 | $ 272 | |
2,295 | |||
Industrials—4.1% | |||
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(1) | 280 | 291 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(1) | 200 | 179 | |
Avolon Holdings Funding Ltd. | |||
144A 3.950%, 7/1/24(1) | 37 | 35 | |
144A 4.375%, 5/1/26(1) | 215 | 204 | |
Boeing Co. (The) | |||
5.150%, 5/1/30 | 140 | 157 | |
3.750%, 2/1/50 | 80 | 73 | |
5.930%, 5/1/60 | 64 | 79 | |
DP World plc 144A 6.850%, 7/2/37(1) | 140 | 175 | |
Flowserve Corp. 3.500%, 10/1/30 | 335 | 332 | |
GFL Environmental, Inc. 144A 3.750%, 8/1/25(1) | 170 | 170 | |
Hillenbrand, Inc. 5.000%, 9/15/26 | 235 | 255 | |
Howmet Aerospace, Inc. 6.875%, 5/1/25 | 90 | 99 | |
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42(1) | 215 | 288 | |
Oshkosh Corp. | |||
4.600%, 5/15/28 | 216 | 247 | |
3.100%, 3/1/30 | 72 | 76 | |
Quanta Services, Inc. 2.900%, 10/1/30 | 345 | 352 | |
Signature Aviation US Holdings, Inc. 144A 4.000%, 3/1/28(1) | 195 | 181 | |
Spirit AeroSystems, Inc. 144A 5.500%, 1/15/25(1) | 215 | 216 | |
Standard Industries, Inc. 144A 4.375%, 7/15/30(1) | 265 | 272 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60(3) | 203 | 211 | |
TransDigm, Inc. 5.500%, 11/15/27 | 155 | 149 | |
Transurban Finance Co. Pty Ltd. 144A 2.450%, 3/16/31(1) | 275 | 281 | |
4,322 | |||
Par Value | Value | ||
Information Technology—2.7% | |||
Broadcom, Inc. 4.150%, 11/15/30 | $ 255 | $ 286 | |
Citrix Systems, Inc. 3.300%, 3/1/30 | 365 | 390 | |
Dell International LLC 144A 8.100%, 7/15/36(1) | 95 | 125 | |
Flex Ltd. 3.750%, 2/1/26 | 191 | 209 | |
Hewlett Packard Enterprise Co. 4.900%, 10/15/25 | 255 | 292 | |
HP, Inc. 3.400%, 6/17/30 | 320 | 343 | |
Microchip Technology, Inc. 144A 4.250%, 9/1/25(1) | 210 | 218 | |
Motorola Solutions, Inc. | |||
4.600%, 2/23/28 | 166 | 193 | |
4.600%, 5/23/29 | 85 | 100 | |
NCR Corp. 144A 5.250%, 10/1/30(1) | 20 | 20 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(1) | 205 | 208 | |
VMware, Inc. | |||
2.950%, 8/21/22 | 109 | 113 | |
3.900%, 8/21/27 | 235 | 262 | |
Xerox Holdings Corp. 144A 5.500%, 8/15/28(1) | 155 | 153 | |
2,912 | |||
Materials—2.1% | |||
Ardagh Packaging Finance plc 144A 4.125%, 8/15/26(1) | 200 | 203 | |
Avient Corp. 144A 5.750%, 5/15/25(1) | 200 | 212 | |
Celanese US Holdings LLC 3.500%, 5/8/24 | 240 | 258 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(1) | 155 | 158 | |
Glencore Funding LLC 144A 1.625%, 9/1/25(1) | 275 | 272 | |
Inversiones CMPC S.A. 144A 3.850%, 1/13/30(1) | 290 | 317 | |
Novelis Corp. 144A 4.750%, 1/30/30(1) | 100 | 97 | |
Nutrition & Biosciences, Inc. | |||
144A 2.300%, 11/1/30(1) | 215 | 216 | |
144A 3.468%, 12/1/50(1) | 31 | 31 | |
Olin Corp. 5.625%, 8/1/29 | 225 | 222 |
Par Value | Value | ||
Materials—continued | |||
Teck Resources Ltd. 6.125%, 10/1/35 | $ 215 | $ 257 | |
2,243 | |||
Real Estate—2.9% | |||
American Campus Communities Operating Partnership LP 3.875%, 1/30/31 | 285 | 311 | |
Corporate Office Properties LP 3.600%, 5/15/23 | 295 | 309 | |
EPR Properties 4.750%, 12/15/26 | 275 | 263 | |
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(1) | 190 | 187 | |
GLP Capital LP 5.750%, 6/1/28 | 231 | 264 | |
Healthcare Trust of America Holdings LP | |||
3.750%, 7/1/27 | 215 | 239 | |
3.100%, 2/15/30 | 150 | 161 | |
Iron Mountain, Inc. 144A 4.875%, 9/15/29(1) | 190 | 193 | |
iStar, Inc. 4.250%, 8/1/25 | 190 | 177 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 80 | 84 | |
4.625%, 8/1/29 | 45 | 47 | |
Office Properties Income Trust 4.500%, 2/1/25 | 215 | 218 | |
Retail Opportunity Investments Partnership LP 4.000%, 12/15/24 | 155 | 155 | |
Service Properties Trust 4.950%, 2/15/27 | 245 | 218 | |
Spirit Realty LP 3.200%, 2/15/31 | 275 | 268 | |
3,094 | |||
Utilities—2.0% | |||
American Electric Power Co., Inc. 2.300%, 3/1/30 | 285 | 293 | |
CenterPoint Energy, Inc. 3.850%, 2/1/24 | 95 | 104 | |
DPL, Inc. 4.350%, 4/15/29 | 263 | 281 | |
Edison International 4.125%, 3/15/28 | 265 | 272 | |
Exelon Corp. 3.497%, 6/1/22 | 135 | 141 |
Par Value | Value | ||
Utilities—continued | |||
Pennsylvania Electric Co. 144A 3.600%, 6/1/29(1) | $ 240 | $ 270 | |
Southern Power Co. 4.150%, 12/1/25 | 255 | 292 | |
Talen Energy Supply LLC 144A 6.625%, 1/15/28(1) | 105 | 102 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(1) | 110 | 120 | |
Vistra Operations Co. LLC 144A 4.300%, 7/15/29(1) | 230 | 251 | |
2,126 | |||
Total Corporate Bonds and Notes (Identified Cost $38,757) | 40,809 | ||
Leveraged Loans(2)—5.8% | |||
Aerospace—0.7% | |||
AI Convoy (Luxembourg) S.a.r.l. Tranche B (6 month LIBOR + 3.500%) 4.650%, 1/18/27 | 159 | 158 | |
American Airlines, Inc. 2018 (1 month LIBOR + 1.750%) 1.895%, 6/27/25 | 193 | 117 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/20/27 | 210 | 213 | |
TransDigm, Inc. Tranche E (1 month LIBOR + 2.250%) 2.397%, 5/30/25 | 231 | 218 | |
706 | |||
Chemicals—0.2% | |||
H.B. Fuller Co. Tranche B (1 month LIBOR + 2.000%) 2.156%, 10/21/24 | 94 | 92 | |
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 2.147%, 4/1/24 | 134 | 130 | |
222 | |||
Consumer Non-Durables—0.1% | |||
Kronos Acquisition Holdings, Inc. Tranche B-3 (1 month LIBOR + 4.000%) 5.000%, 5/15/23 | 128 | 127 |
Par Value | Value | ||
Energy—0.1% | |||
Buckeye Partners LP (1 month LIBOR + 2.750%) 2.897%, 11/1/26 | $ 45 | $ 44 | |
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 5.000%) 6.000%, 3/27/24 | 76 | 72 | |
116 | |||
Financial—0.0% | |||
Ryan Specialty Group LLC (1 month LIBOR + 3.250%) 4.000%, 9/1/27 | 25 | 25 | |
Food / Tobacco—0.1% | |||
Aramark Services, Inc. Tranche B-4 (1 month LIBOR + 1.750%) 1.897%, 1/15/27 | 45 | 43 | |
CHG PPC Parent LLC First Lien (1 month LIBOR + 2.750%) 2.897%, 3/31/25 | 68 | 65 | |
108 | |||
Forest Prod / Containers—0.4% | |||
Berry Global, Inc. Tranche Y (1 month LIBOR + 2.000%) 2.156%, 7/1/26 | 223 | 217 | |
Graham Packaging Co., Inc. (1 month LIBOR + 3.750%) 4.500%, 8/4/27 | 210 | 208 | |
Reynolds Consumer Products LLC (1 month LIBOR + 1.750%) 1.897%, 2/4/27 | 29 | 28 | |
453 | |||
Gaming / Leisure—0.3% | |||
Aristocrat Technologies, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/19/24 | 25 | 25 | |
Pug LLC Tranche B (1 month LIBOR + 3.500%) 3.647%, 2/12/27 | 119 | 105 | |
Seminole Tribe of Florida (1 month LIBOR + 1.750%) 1.897%, 7/8/24 | 141 | 138 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.500%, 2/8/27 | $ 70 | $ 66 | |
334 | |||
Healthcare—0.7% | |||
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 2.901%, 11/27/25 | 28 | 27 | |
(1 month LIBOR + 3.000%) 3.151%, 6/2/25 | 16 | 15 | |
Catalent Pharma Solutions, Inc. Tranche B-2 (1 month LIBOR + 2.250%) 3.250%, 5/18/26 | 99 | 99 | |
CHG Healthcare Services, Inc. (3 month LIBOR + 3.000%) 4.000%, 6/7/23 | 117 | 115 | |
Greatbatch Ltd. Tranche B (1 month LIBOR + 2.500%) 0.000%, 10/27/22(6) | 215 | 214 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 1.970%, 6/11/25 | 127 | 125 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 3.897%, 11/17/25 | 178 | 173 | |
768 | |||
Housing—0.3% | |||
CPG International LLC (3 month LIBOR + 3.750%) 4.750%, 5/6/24 | 75 | 75 | |
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 2.145%, 11/21/24 | 226 | 223 | |
298 | |||
Information Technology—0.4% | |||
Applied Systems, Inc. First Lien (3 month LIBOR + 3.250%) 0.000%, 9/19/24(6) | 105 | 104 | |
Boxer Parent Co., Inc. (1 month LIBOR + 4.250%) 4.397%, 10/2/25 | 213 | 206 | |
Sophia LP (3 month LIBOR + 3.750%) 0.000%, 10/7/27(6) | 25 | 25 |
Par Value | Value | ||
Information Technology—continued | |||
Ultimate Software Group, Inc. (The) 2020 (3 month LIBOR + 4.000%) 4.750%, 5/4/26 | $ 85 | $ 85 | |
420 | |||
Manufacturing—0.2% | |||
Gardner Denver, Inc. Tranche A (1 month LIBOR + 2.750%) 2.897%, 3/1/27 | 20 | 20 | |
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 1.897%, 2/28/27 | 20 | 19 | |
Star US Bidco LLC (1 month LIBOR + 4.250%) 5.250%, 3/17/27 | 120 | 113 | |
152 | |||
Media / Telecom - Broadcasting—0.1% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.750%) 2.905%, 9/18/26 | 139 | 136 | |
Media / Telecom - Cable/Wireless Video—0.2% | |||
CSC Holdings LLC 2018 (1 month LIBOR + 2.250%) 2.402%, 1/15/26 | 148 | 143 | |
Radiate Holdco LLC Tranche B (3 month LIBOR + 3.500%) 0.000%, 9/25/26(6) | 26 | 26 | |
Virgin Media Bristol LLC Tranche B (3 month LIBOR + 3.250%) 0.000%, 1/31/29(6) | 35 | 34 | |
203 | |||
Media / Telecom - Diversified Media—0.2% | |||
UPC Broadband Holding B.V. | |||
Tranche B-1 (3 month LIBOR + 3.500%) 0.000%, 1/31/29(6) | 85 | 82 | |
Tranche B-2 (3 month LIBOR + 3.500%) 0.000%, 1/31/29(6) | 80 | 78 | |
160 | |||
Media / Telecom - Telecommunications—0.3% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.397%, 3/15/27 | 65 | 62 |
Par Value | Value | ||
Media / Telecom - Telecommunications—continued | |||
Consolidated Communications, Inc. | |||
(3 month LIBOR + 4.750%) 0.000%, 10/2/27(6) | $ 70 | $ 69 | |
2016 (1 month LIBOR + 3.000%) 4.000%, 10/5/23 | 84 | 83 | |
Zayo Group Holdings, Inc. (1 month LIBOR + 3.000%) 3.147%, 3/9/27 | 154 | 150 | |
364 | |||
Media / Telecom - Wireless Communications—0.4% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 3.397%, 4/4/26 | 54 | 53 | |
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 1.900%, 4/11/25 | 206 | 201 | |
T-Mobile USA, Inc. (1 month LIBOR + 3.000%) 3.147%, 4/1/27 | 145 | 144 | |
398 | |||
Service—0.5% | |||
Asplundh Tree Expert LLC (3 month LIBOR + 2.500%) 2.655%, 9/4/27 | 45 | 45 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 3.750%) 3.895%, 2/6/26 | 169 | 167 | |
Sedgwick Claims Management Services, Inc. (1 month LIBOR + 3.250%) 3.397%, 12/31/25 | 217 | 209 | |
TKC Holdings, Inc. First Lien (3 month LIBOR + 3.750%) 4.750%, 2/1/23 | 110 | 103 | |
524 | |||
Transportation - Automotive—0.2% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23 | 128 | 109 |
Par Value | Value | ||
Transportation - Automotive—continued | |||
Navistar, Inc. Tranche B (1 month LIBOR + 3.500%) 3.660%, 11/6/24 | $ 93 | $ 92 | |
201 | |||
Utility—0.4% | |||
APLP Holdings LP 2020, Tranche B (3 month LIBOR + 2.500%) 3.500%, 4/14/25 | 107 | 107 | |
Brookfield WEC Holdings, Inc. (1 month LIBOR + 3.000%) 3.750%, 8/1/25 | 212 | 206 | |
Calpine Corp. 2019 (1 month LIBOR + 2.250%) 2.400%, 4/5/26 | 148 | 144 | |
457 | |||
Total Leveraged Loans (Identified Cost $6,339) | 6,172 | ||
Shares | ||
Preferred Stocks—1.3% | ||
Financials—1.1% | ||
Discover Financial Services Series D, 6.125%(3) | 85 (7) | 90 |
Fifth Third Bancorp Series L, 4.500%(3) | 220 (7) | 222 |
JPMorgan Chase & Co. Series HH, 4.600% | 86 (7) | 84 |
KeyCorp Series D, 5.000%(5) | 140 (7) | 141 |
MetLife, Inc. Series D, 5.875% | 88 (7) | 96 |
PNC Financial Services Group, Inc. (The) Series R, 4.850% | 80 (7) | 80 |
PNC Financial Services Group, Inc. (The) Series S, 5.000% | 220 (7) | 232 |
Shares | Value | ||
Financials—continued | |||
Truist Financial Corp. Series Q, 5.100%(3) | 250 (7) | $ 270 | |
1,215 | |||
Industrials—0.2% | |||
General Electric Co. Series D, 5.000% | 231 (7) | 184 | |
Total Preferred Stocks (Identified Cost $1,380) | 1,399 | ||
Total Long-Term Investments—98.8% (Identified Cost $100,138) | 105,198 | ||
Short-Term Investment—0.7% | |||
Money Market Mutual Fund—0.7% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.025%)(8) | 750,258 | 750 | |
Total Short-Term Investment (Identified Cost $750) | 750 | ||
TOTAL INVESTMENTS—99.5% (Identified Cost $100,888) | $105,948 | ||
Other assets and liabilities, net—0.5% | 579 | ||
NET ASSETS—100.0% | $106,527 |
Abbreviations: | |
ABS | Asset-Backed Securities |
BAM | Build America Municipal Insured |
CNTY GTD | County Guarantee Program |
DB | Deutsche Bank AG |
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 |
PSF-GTD | Permanent School Fund Guarantee Program |
SCH BD GTY | School Bond Guaranty |
WaMu | Washington Mutual |
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 September 30, 2020, these securities amounted to a value of $46,220 or 43.4% of net assets. |
(2) | Variable rate security. Rate disclosed is as of September 30, 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) | Interest payments may be deferred. |
(4) | No contractual maturity date. |
(5) | Interest may be forfeited. |
(6) | This loan will settle after September 30, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(7) | Value shown as par value. |
(8) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
United States | 90% |
Canada | 2 |
Netherlands | 2 |
Switzerland | 1 |
Cayman Islands | 1 |
Indonesia | 1 |
Other | 3 |
Total | 100% |
† % of total investments as of September 30, 2020. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Asset-Backed Securities | $ 10,569 | $ — | $ 10,569 | ||
Corporate Bonds and Notes | 40,809 | — | 40,809 | ||
Foreign Government Securities | 971 | — | 971 | ||
Leveraged Loans | 6,172 | — | 6,172 | ||
Mortgage-Backed Securities | 26,580 | — | 26,580 | ||
Municipal Bonds | 3,352 | — | 3,352 | ||
U.S. Government Securities | 15,346 | — | 15,346 | ||
Equity Securities: | |||||
Preferred Stocks | 1,399 | — | 1,399 | ||
Money Market Mutual Fund | 750 | 750 | — | ||
Total Investments | $105,948 | $750 | $105,198 |
Total | Mortgage-Backed Securities | ||
Investments in Securities | |||
Balance as of September 30, 2019: | $ 547 | $ 547 | |
Accrued discount/(premium) | — (a) | — (a) | |
Change in unrealized appreciation (depreciation)(b) | 4 | 4 | |
Sales (c) | (56) | (56) | |
Transfers from Level 3(d) | (495) | (495) | |
Balance as of September 30, 2020 | $ — | $ — |
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 | $ 183 | |
Total Mortgage-Backed Security (Identified Cost $180) | 183 | ||
Corporate Bonds and Notes—90.3% | |||
Communication Services—15.7% | |||
Altice France Holding S.A. 144A 6.000%, 2/15/28(1) | 400 | 381 | |
Altice France S.A. 144A 7.375%, 5/1/26(1) | 340 | 356 | |
ANGI Group LLC 144A 3.875%, 8/15/28(1) | 310 | 307 | |
CCO Holdings LLC | |||
144A 5.125%, 5/1/27(1) | 350 | 368 | |
144A 4.750%, 3/1/30(1) | 325 | 344 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(1) | 265 | 273 | |
Clear Channel Worldwide Holdings, Inc. | |||
9.250%, 2/15/24 | 163 | 158 | |
144A 5.125%, 8/15/27(1) | 100 | 96 | |
Consolidated Communications, Inc. | |||
6.500%, 10/1/22 | 340 | 340 | |
144A 6.500%, 10/1/28(1) | 355 | 362 | |
CSC Holdings LLC 144A 5.750%, 1/15/30(1) | 600 | 638 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(1) | 105 | 74 | |
144A 6.625%, 8/15/27(1) | 280 | 146 | |
DISH DBS Corp. | |||
5.875%, 7/15/22 | 95 | 99 | |
5.000%, 3/15/23 | 210 | 214 | |
7.750%, 7/1/26 | 160 | 176 | |
Frontier Communications Corp. 144A 8.500%, 4/1/26(1) | 100 | 101 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 272 | 268 | |
Level 3 Financing, Inc. | |||
144A 4.250%, 7/1/28(1) | 75 | 76 | |
144A 3.625%, 1/15/29(1) | 305 | 301 | |
Live Nation Entertainment, Inc. | |||
144A 5.625%, 3/15/26(1) | 290 | 280 | |
144A 4.750%, 10/15/27(1) | 105 | 98 | |
McGraw-Hill Global Education Holdings LLC Senior Unsecured Notes 144A 7.875%, 5/15/24(1) | 210 | 113 | |
Meredith Corp. 6.875%, 2/1/26 | 330 | 275 |
Par Value | Value | ||
Communication Services—continued | |||
Northwest Fiber LLC 144A 10.750%, 6/1/28(1) | $265 | $ 289 | |
Outfront Media Capital LLC 144A 6.250%, 6/15/25(1) | 265 | 273 | |
Radiate Holdco LLC | |||
144A 4.500%, 9/15/26(1) | 140 | 140 | |
144A 6.500%, 9/15/28(1) | 235 | 241 | |
Sprint Corp. 7.875%, 9/15/23 | 520 | 596 | |
Telesat Canada 144A 6.500%, 10/15/27(1) | 575 | 579 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(1) | 195 | 203 | |
Twitter, Inc. 144A 3.875%, 12/15/27(1) | 300 | 313 | |
Univision Communications, Inc. | |||
144A 5.125%, 2/15/25(1) | 325 | 308 | |
144A 9.500%, 5/1/25(1) | 85 | 91 | |
Virgin Media Finance plc 144A 5.000%, 7/15/30(1) | 250 | 249 | |
9,126 | |||
Consumer Discretionary—15.1% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 410 | 397 | |
Aramark Services, Inc. 144A 6.375%, 5/1/25(1) | 260 | 271 | |
Caesars Entertainment, Inc. | |||
144A 6.250%, 7/1/25(1) | 135 | 141 | |
144A 8.125%, 7/1/27(1) | 105 | 111 | |
Carnival Corp. 144A 11.500%, 4/1/23(1) | 55 | 62 | |
Carvana Co. | |||
144A 5.625%, 10/1/25(1) | 235 | 232 | |
144A 5.875%, 10/1/28(1) | 235 | 232 | |
Clarios Global LP 144A 8.500%, 5/15/27(1) | 255 | 265 | |
Dana, Inc. 5.375%, 11/15/27 | 317 | 325 | |
Diamond Resorts International, Inc. 144A 10.750%, 9/1/24(1) | 250 | 222 | |
Downstream Development Authority of the Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23(1) | 115 | 106 | |
Ford Motor Co. | |||
9.000%, 4/22/25 | 108 | 124 | |
9.625%, 4/22/30 | 69 | 89 | |
Ford Motor Credit Co. LLC | |||
5.125%, 6/16/25 | 285 | 294 | |
4.125%, 8/17/27 | 200 | 194 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(1) | 315 | 266 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Golden Nugget, Inc. 144A 8.750%, 10/1/25(1) | $145 | $ 114 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(1) | 235 | 249 | |
International Game Technology plc 144A 6.250%, 1/15/27(1) | 200 | 214 | |
KAR Auction Services, Inc. 144A 5.125%, 6/1/25(1) | 440 | 440 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 590 | 608 | |
Marriott Ownership Resorts, Inc. 4.750%, 1/15/28 | 465 | 441 | |
MGM Growth Properties Operating Partnership LP | |||
5.750%, 2/1/27 | 155 | 167 | |
4.500%, 1/15/28 | 120 | 122 | |
Nissan Motor Co. Ltd. 144A 4.810%, 9/17/30(1) | 400 | 401 | |
PulteGroup, Inc. 7.875%, 6/15/32 | 180 | 247 | |
QVC, Inc. 4.750%, 2/15/27 | 150 | 154 | |
Royal Caribbean Cruises Ltd. 144A 9.125%, 6/15/23(1) | 80 | 85 | |
Scientific Games International, Inc. | |||
144A 5.000%, 10/15/25(1) | 250 | 252 | |
144A 8.250%, 3/15/26(1) | 120 | 126 | |
144A 7.000%, 5/15/28(1) | 160 | 160 | |
Station Casinos LLC 144A 4.500%, 2/15/28(1) | 335 | 310 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 345 | 373 | |
Vista Outdoor, Inc. 5.875%, 10/1/23 | 185 | 185 | |
Weekley Homes LLC 144A 4.875%, 9/15/28(1) | 545 | 550 | |
Wynn Macau Ltd. 144A 5.625%, 8/26/28(1) | 300 | 291 | |
8,820 | |||
Consumer Staples—3.4% | |||
Albertsons Cos., Inc. 144A 4.625%, 1/15/27(1) | 585 | 598 | |
Chobani LLC 144A 7.500%, 4/15/25(1) | 315 | 326 | |
Dole Food Co., Inc. 144A 7.250%, 6/15/25(1) | 325 | 323 | |
H-Food Holdings LLC 144A 8.500%, 6/1/26(1) | 270 | 264 | |
Kronos Acquisition Holdings, Inc. 144A 9.000%, 8/15/23(1) | 195 | 198 |
Par Value | Value | ||
Consumer Staples—continued | |||
Prestige Brands, Inc. 144A 6.375%, 3/1/24(1) | $255 | $ 261 | |
1,970 | |||
Energy—8.9% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(1) | 285 | 202 | |
American Midstream Partners LP 144A 9.500%, 12/15/21(1) | 175 | 174 | |
Antero Midstream Partners LP 144A 5.750%, 1/15/28(1) | 340 | 280 | |
Apache Corp. 4.625%, 11/15/25 | 290 | 276 | |
Blue Racer Midstream LLC 144A 6.125%, 11/15/22(1) | 165 | 161 | |
BP Capital Markets plc 4.875% (3)(4) | 285 | 305 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 141 | 40 | |
Cheniere Energy Partners LP | |||
5.625%, 10/1/26 | 160 | 166 | |
4.500%, 10/1/29 | 235 | 241 | |
Cheniere Energy, Inc. 144A 4.625%, 10/15/28(1) | 175 | 180 | |
CITGO Holding, Inc. 144A 9.250%, 8/1/24(1) | 140 | 133 | |
Continental Resources, Inc. 4.375%, 1/15/28 | 330 | 285 | |
CrownRock LP 144A 5.625%, 10/15/25(1) | 260 | 245 | |
CSI Compressco LP 7.250%, 8/15/22 | 205 | 145 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(1) | 75 | 77 | |
144A 6.500%, 7/1/27(1) | 90 | 95 | |
Geopark Ltd. 144A 6.500%, 9/21/24(1) | 215 | 203 | |
MEG Energy Corp. 144A 7.125%, 2/1/27(1) | 300 | 269 | |
Mesquite Energy, Inc. 144A 7.250%, 2/15/23(1) | 115 | 1 | |
NuStar Logistics LP 6.375%, 10/1/30 | 110 | 114 | |
Occidental Petroleum Corp. | |||
2.700%, 8/15/22 | 83 | 78 | |
5.875%, 9/1/25 | 130 | 119 | |
3.500%, 8/15/29 | 160 | 123 | |
6.625%, 9/1/30 | 135 | 125 | |
Parsley Energy LLC 144A 4.125%, 2/15/28(1) | 315 | 296 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 300 | 233 | |
Targa Resources Partners LP | |||
5.875%, 4/15/26 | 285 | 293 |
Par Value | Value | ||
Energy—continued | |||
144A 4.875%, 2/1/31(1) | $120 | $ 116 | |
Transocean, Inc. 144A 11.500%, 1/30/27(1) | 143 | 57 | |
USA Compression Partners LP 6.875%, 4/1/26 | 170 | 168 | |
5,200 | |||
Financials—6.1% | |||
Acrisure LLC | |||
144A 8.125%, 2/15/24(1) | 95 | 99 | |
144A 7.000%, 11/15/25(1) | 240 | 236 | |
AerCap Ireland Capital DAC 6.500%, 7/15/25 | 190 | 205 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 305 | 328 | |
FirstCash, Inc. 144A 4.625%, 9/1/28(1) | 250 | 256 | |
ICAHN Enterprises LP | |||
6.250%, 5/15/26 | 220 | 229 | |
5.250%, 5/15/27 | 265 | 276 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 305 | 264 | |
Navient Corp. 5.875%, 10/25/24 | 185 | 184 | |
NMI Holdings, Inc. 144A 7.375%, 6/1/25(1) | 135 | 144 | |
OneMain Finance Corp. | |||
6.875%, 3/15/25 | 370 | 411 | |
7.125%, 3/15/26 | 85 | 95 | |
5.375%, 11/15/29 | 45 | 47 | |
Park Intermediate Holdings LLC 144A 5.875%, 10/1/28(1) | 10 | 10 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 310 | 319 | |
Voya Financial, Inc. 5.650%, 5/15/53 | 440 | 452 | |
3,555 | |||
Health Care—10.8% | |||
Acadia Healthcare Co., Inc. 144A 5.000%, 4/15/29(1) | 10 | 10 | |
Advanz Pharma Corp., Ltd. 8.000%, 9/6/24 | 41 | 40 | |
Avantor Funding, Inc. 144A 4.625%, 7/15/28(1) | 70 | 73 | |
Avantor, Inc. 144A 6.000%, 10/1/24(1) | 130 | 136 | |
Bausch Health Americas, Inc. | |||
144A 9.250%, 4/1/26(1) | 135 | 149 | |
144A 8.500%, 1/31/27(1) | 270 | 297 | |
Bausch Health Cos., Inc. 144A 7.000%, 1/15/28(1) | 190 | 201 |
Par Value | Value | ||
Health Care—continued | |||
Change Healthcare Holdings LLC 144A 5.750%, 3/1/25(1) | $260 | $ 263 | |
Community Health Systems, Inc. 144A 6.625%, 2/15/25(1) | 280 | 271 | |
DaVita, Inc. 144A 3.750%, 2/15/31(1) | 330 | 318 | |
Encompass Health Corp. | |||
4.500%, 2/1/28 | 260 | 261 | |
4.750%, 2/1/30 | 45 | 46 | |
Endo Dac 144A 9.500%, 7/31/27(1) | 50 | 52 | |
HCA, Inc. | |||
5.375%, 2/1/25 | 330 | 361 | |
5.625%, 9/1/28 | 315 | 360 | |
Jaguar Holding Co. II 144A 5.000%, 6/15/28(1) | 215 | 224 | |
LifePoint Health, Inc. | |||
144A 6.750%, 4/15/25(1) | 5 | 5 | |
144A 4.375%, 2/15/27(1) | 290 | 290 | |
Ortho-Clinical Diagnostics, Inc. | |||
144A 7.375%, 6/1/25(1) | 140 | 142 | |
144A 7.250%, 2/1/28(1) | 135 | 140 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(1) | 256 | 268 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1) | 440 | 458 | |
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(1) | 180 | 179 | |
144A 10.000%, 4/15/27(1) | 130 | 139 | |
Tenet Healthcare Corp. | |||
8.125%, 4/1/22 | 85 | 95 | |
7.000%, 8/1/25 | 180 | 185 | |
144A 7.500%, 4/1/25(1) | 80 | 86 | |
144A 4.875%, 1/1/26(1) | 180 | 183 | |
144A 6.250%, 2/1/27(1) | 130 | 134 | |
144A 5.125%, 11/1/27(1) | 60 | 62 | |
Teva Pharmaceutical Finance Netherlands III B.V. 3.150%, 10/1/26 | 405 | 358 | |
West Street Merger Sub, Inc. 144A 6.375%, 9/1/25(1) | 470 | 479 | |
6,265 | |||
Industrials—12.0% | |||
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(1) | 380 | 405 | |
American Airlines, Inc. 144A 11.750%, 7/15/25(1) | 530 | 512 | |
Boeing Co. (The) | |||
3.750%, 2/1/50 | 325 | 297 | |
5.930%, 5/1/60 | 231 | 285 |
Par Value | Value | ||
Industrials—continued | |||
Bombardier, Inc. | |||
144A 8.750%, 12/1/21(1) | $125 | $ 127 | |
144A 7.500%, 12/1/24(1) | 155 | 119 | |
144A 7.875%, 4/15/27(1) | 70 | 53 | |
Cornerstone Building Brands, Inc. 144A 6.125%, 1/15/29(1) | 380 | 384 | |
Fortress Transportation & Infrastructure Investors LLC | |||
144A 6.750%, 3/15/22(1) | 175 | 172 | |
144A 6.500%, 10/1/25(1) | 220 | 216 | |
144A 9.750%, 8/1/27(1) | 40 | 43 | |
GFL Environmental, Inc. | |||
144A 7.000%, 6/1/26(1) | 99 | 104 | |
144A 8.500%, 5/1/27(1) | 72 | 78 | |
Hillenbrand, Inc. 5.000%, 9/15/26 | 460 | 499 | |
Howmet Aerospace, Inc. 6.875%, 5/1/25 | 180 | 199 | |
Norwegian Air Shuttle ASA Pass-Through Trust 2016-1, A 144A 4.875%, 5/10/28(1) | 580 | 513 | |
Signature Aviation US Holdings, Inc. 144A 4.000%, 3/1/28(1) | 595 | 553 | |
Spirit AeroSystems, Inc. | |||
3.950%, 6/15/23 | 165 | 147 | |
144A 5.500%, 1/15/25(1) | 290 | 291 | |
Standard Industries, Inc. 144A 4.375%, 7/15/30(1) | 570 | 584 | |
Titan Acquisition Ltd. 144A 7.750%, 4/15/26(1) | 295 | 294 | |
TransDigm, Inc. | |||
144A 6.250%, 3/15/26(1) | 115 | 121 | |
5.500%, 11/15/27 | 450 | 433 | |
Uber Technologies, Inc. 144A 7.500%, 5/15/25(1) | 270 | 288 | |
WESCO Distribution, Inc. 144A 7.250%, 6/15/28(1) | 265 | 290 | |
7,007 | |||
Information Technology—4.5% | |||
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(1) | 170 | 180 | |
Black Knight InfoServ LLC 144A 3.625%, 9/1/28(1) | 325 | 328 | |
Dun & Bradstreet Corp. (The) 144A 10.250%, 2/15/27(1) | 84 | 95 | |
Microchip Technology, Inc. 144A 4.250%, 9/1/25(1) | 280 | 290 |
Par Value | Value | ||
Information Technology—continued | |||
NCR Corp. | |||
144A 5.000%, 10/1/28(1) | $ 30 | $ 30 | |
144A 5.250%, 10/1/30(1) | 30 | 30 | |
Open Text Holdings, Inc. 144A 4.125%, 2/15/30(1) | 305 | 314 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(1) | 435 | 442 | |
SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1) | 300 | 319 | |
ViaSat, Inc. 144A 5.625%, 9/15/25(1) | 305 | 299 | |
Xerox Holdings Corp. 144A 5.500%, 8/15/28(1) | 295 | 290 | |
2,617 | |||
Materials—9.6% | |||
ARD Finance S.A. PIK Interest Capitalization 144A 6.500%, 6/30/27(1)(5) | 595 | 592 | |
Atotech Alpha 3 B.V. 144A 6.250%, 2/1/25(1) | 280 | 284 | |
Cleveland-Cliffs, Inc. | |||
144A 6.750%, 3/15/26(1) | 85 | 87 | |
144A 7.000%, 3/15/27(1) | 170 | 145 | |
Hecla Mining Co. 7.250%, 2/15/28 | 305 | 331 | |
INEOS Group Holdings S.A. 144A 5.625%, 8/1/24(1) | 315 | 318 | |
Kaiser Aluminum Corp. | |||
144A 6.500%, 5/1/25(1) | 45 | 46 | |
144A 4.625%, 3/1/28(1) | 305 | 284 | |
Kraton Polymers LLC 144A 7.000%, 4/15/25(1) | 262 | 267 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(1) | 460 | 433 | |
Novelis Corp. 144A 4.750%, 1/30/30(1) | 300 | 293 | |
Olin Corp. 5.625%, 8/1/29 | 320 | 315 | |
Reynolds Group Issuer, Inc. | |||
144A 7.000%, 7/15/24(1) | 135 | 138 | |
RegS 7.000%, 7/15/24(6) | 92 | 94 | |
Schweitzer-Mauduit International, Inc. 144A 6.875%, 10/1/26(1) | 250 | 264 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 265 | 317 | |
TPC Group, Inc. 144A 10.500%, 8/1/24(1) | 270 | 227 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(1) | 150 | 159 | |
144A 6.625%, 11/1/25(1) | 265 | 261 |
Par Value | Value | ||
Materials—continued | |||
Tronox, Inc. 144A 6.500%, 5/1/25(1) | $255 | $ 265 | |
United States Steel Corp. | |||
6.250%, 3/15/26 | 235 | 159 | |
144A 12.000%, 6/1/25(1) | 270 | 287 | |
5,566 | |||
Real Estate—2.9% | |||
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(1) | 640 | 628 | |
Iron Mountain, Inc. 144A 4.875%, 9/15/29(1) | 315 | 320 | |
iStar, Inc. 4.250%, 8/1/25 | 290 | 271 | |
Service Properties Trust 7.500%, 9/15/25 | 170 | 181 | |
Uniti Group, Inc. 144A 7.125%, 12/15/24(1) | 300 | 290 | |
1,690 | |||
Utilities—1.3% | |||
Ferrellgas Partners LP 8.625%, 6/15/20(7) | 140 | 28 | |
PG&E Corp. 5.250%, 7/1/30 | 295 | 285 | |
Talen Energy Supply LLC 144A 6.625%, 1/15/28(1) | 205 | 199 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(1) | 240 | 263 | |
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20(1)(8) | 500 | — | |
775 | |||
Total Corporate Bonds and Notes (Identified Cost $53,057) | 52,591 | ||
Leveraged Loans(2)—6.2% | |||
Aerospace—0.7% | |||
DynCorp International, Inc. Tranche B, First Lien (1 month LIBOR + 6.000%) 7.000%, 8/18/25 | 90 | 89 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/20/27 | 295 | 300 | |
389 | |||
Consumer Non-Durables—0.7% | |||
Diamond (BC) B.V. (3 month LIBOR + 3.000%) 3.261%, 9/6/24 | 185 | 173 |
Par Value | Value | ||
Consumer Non-Durables—continued | |||
Kronos Acquisition Holdings, Inc. Tranche B-3 (1 month LIBOR + 4.000%) 5.000%, 5/15/23 | $ 85 | $ 84 | |
Parfums Holding Co., Inc. First Lien (3 month LIBOR + 4.000%) 4.256%, 6/30/24 | 168 | 164 | |
421 | |||
Energy—0.6% | |||
California Resources Corp. | |||
2016 (1 month LIBOR + 10.375%) 11.375%, 12/31/21(7) | 155 | 3 | |
2017 (1 month LIBOR + 4.750%) 5.750%, 12/31/22(7) | 55 | 20 | |
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 5.000%) 6.000%, 3/27/24 | 85 | 80 | |
Fieldwood Energy LLC First Lien (3 month LIBOR + 5.250%) 6.250%, 4/11/22(9) | 245 | 62 | |
Traverse Midstream Partners LLC (1 month LIBOR + 4.000%) 5.000%, 9/27/24 | 204 | 187 | |
352 | |||
Financial—0.2% | |||
Asurion LLC Tranche B-2, Second Lien (1 month LIBOR + 6.500%) 6.647%, 8/4/25 | 121 | 121 | |
Food / Tobacco—0.2% | |||
Milk Specialties Co. (1 month LIBOR + 4.000%) 5.000%, 8/16/23 | 142 | 137 | |
Forest Prod / Containers—0.5% | |||
Klockner Pentaplast of America, Inc. (3 month LIBOR + 4.250%) 5.250%, 6/30/22 | 302 | 293 | |
Gaming / Leisure—0.3% | |||
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24 | 184 | 161 |
Par Value | Value | ||
Healthcare—1.2% | |||
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 3.897%, 10/10/25 | $134 | $ 96 | |
One Call Corp. First Lien (3 month LIBOR + 5.250%) 6.250%, 11/27/22 | 493 | 430 | |
Viant Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 3.897%, 7/2/25 | 158 | 146 | |
672 | |||
Information Technology—0.0% | |||
Ultimate Software Group, Inc. (The) Second Lien (3 month LIBOR + 6.750%) 7.500%, 5/3/27 | 15 | 15 | |
Manufacturing—0.4% | |||
U.S. Farathane LLC Tranche B-4 (3 month LIBOR + 3.500%) 4.500%, 12/23/21 | 302 | 260 | |
Media / Telecom - Cable/Wireless Video—0.4% | |||
Intelsat Jackson Holdings S.A. | |||
(3 month LIBOR + 4.550%) 5.050%, 7/14/21 | 15 | 15 | |
(3 month LIBOR + 4.550%) 5.050%, 7/14/21(10) | 15 | 15 | |
Tranche B-5 (6 month LIBOR + 8.00%) 8.625%, 1/2/24(9) | 186 | 187 | |
217 | |||
Service—0.6% | |||
Carlisle Food Service Products, Inc. First Lien (1 month LIBOR + 3.000%) 4.000%, 3/20/25 | 79 | 70 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 3.750%) 3.895%, 2/6/26 | 149 | 148 | |
TKC Holdings, Inc. First Lien (3 month LIBOR + 3.750%) 4.750%, 2/1/23 | 153 | 143 | |
361 | |||
Par Value | Value | ||
Transportation - Automotive—0.4% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23 | $256 | $ 219 | |
Total Leveraged Loans (Identified Cost $4,117) | 3,618 | ||
Shares | ||
Preferred Stock—0.4% | ||
Financials—0.4% | ||
Citigroup, Inc. Series T, 6.250%(11) | 190 (12) | 211 |
Total Preferred Stock (Identified Cost $192) | 211 | |
Common Stocks—0.2% | ||
Communication Services—0.0% | ||
Clear Channel Outdoor Holdings, Inc.(13) | 7,282 | 7 |
Consumer Discretionary—0.0% | ||
MYT Holding LLC Class B(13) | 33,022 | 4 |
Neiman Marcus Group, Inc.(13) | 116 | 12 |
16 | ||
Energy—0.2% | ||
Denbury, Inc.(13) | 5,320 | 93 |
Frontera Energy Corp. | 1,088 | 2 |
95 | ||
Total Common Stocks (Identified Cost $357) | 118 | |
Rights—0.0% | ||
Utilities—0.0% | ||
Vistra Energy Corp.(13) | 8,563 | 9 |
Total Rights (Identified Cost $7) | 9 | |
Shares | Value | ||
Warrant—0.0% | |||
Communication Services—0.0% | |||
iHeartMedia, Inc.(8) | 3,097 | $ 25 | |
Total Warrant (Identified Cost $54) | 25 | ||
Total Long-Term Investments—97.4% (Identified Cost $57,964) | 56,755 | ||
TOTAL INVESTMENTS—97.4% (Identified Cost $57,964) | $56,755 | ||
Other assets and liabilities, net—2.6% | 1,497 | ||
NET ASSETS—100.0% | $58,252 |
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 September 30, 2020, these securities amounted to a value of $36,452 or 62.6% of net assets. |
(2) | Variable rate security. Rate disclosed is as of September 30, 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) | Interest payments may be deferred. |
(4) | No contractual maturity date. |
(5) | 100% of the income received was in cash. |
(6) | 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. |
(7) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(8) | 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. |
(9) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(10) | Represents unfunded portion of security and commitment fee earned on this portion. |
(11) | Interest may be forfeited. |
(12) | Value shown as par value. |
(13) | Non-income producing. |
Country Weightings (Unaudited)† | |
United States | 84% |
Canada | 5 |
Luxembourg | 3 |
Netherlands | 3 |
United Kingdom | 1 |
Norway | 1 |
Japan | 1 |
Other | 2 |
Total | 100% |
† % of total investments as of September 30, 2020. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $52,591 | $ — | $52,591 | $— (1) | |||
Leveraged Loans | 3,618 | — | 3,618 | — | |||
Mortgage-Backed Security | 183 | — | 183 | — | |||
Equity Securities: | |||||||
Common Stocks | 118 | 102 | 16 | — | |||
Preferred Stock | 211 | — | 211 | — | |||
Rights | 9 | — | 9 | — | |||
Warrant | 25 | — | — | 25 | |||
Total Investments | $56,755 | $102 | $56,628 | $25 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Par Value | Value | ||
U.S. Government Securities—7.8% | |||
U.S. Treasury Notes | |||
2.250%, 3/31/21 | $16,050 | $ 16,219 | |
1.125%, 8/31/21 | 2,520 | 2,542 | |
0.125%, 5/31/22 | 2,525 | 2,524 | |
1.750%, 6/15/22 | 17,980 | 18,472 | |
Total U.S. Government Securities (Identified Cost $39,457) | 39,757 | ||
Foreign Government Securities—1.0% | |||
Republic of Indonesia | |||
144A 5.875%, 1/15/24(1) | 755 | 869 | |
144A 4.125%, 1/15/25(1) | 435 | 485 | |
Republic of Kazakhstan 144A 5.125%, 7/21/25(1) | 570 | 659 | |
Republic of South Africa | |||
5.875%, 9/16/25 | 265 | 283 | |
4.850%, 9/27/27 | 975 | 961 | |
Republic of Turkey 7.375%, 2/5/25 | 790 | 816 | |
Saudi Government International Bond 144A 4.000%, 4/17/25(1) | 425 | 472 | |
State of Qatar Government International Bond 144A 3.400%, 4/16/25(1) | 300 | 329 | |
Total Foreign Government Securities (Identified Cost $4,760) | 4,874 | ||
Mortgage-Backed Securities—30.9% | |||
Agency—1.0% | |||
Federal National Mortgage Association | |||
Pool #AD6058 4.000%, 8/1/25 | 26 | 28 | |
Pool #AO5149 3.000%, 6/1/27 | 88 | 92 | |
Pool #AL7532 3.000%, 11/1/27 | 362 | 381 | |
Pool #AS5730 3.000%, 9/1/30 | 782 | 822 | |
Pool #AS5927 3.000%, 10/1/30 | 333 | 349 | |
Pool #MA0908 4.000%, 11/1/31 | 194 | 212 | |
Pool #AC3654 5.000%, 10/1/39 | 135 | 155 | |
Pool #AD3841 4.500%, 4/1/40 | 50 | 56 | |
Pool #MA3663 3.500%, 5/1/49 | 770 | 811 | |
Pool #CA4978 3.000%, 1/1/50 | 1,985 | 2,081 |
Par Value | Value | ||
Agency—continued | |||
Federal National Mortgage Association REMIC 1997-70, PE (P.O.) 0.000%, 4/25/22 | $ —(2) | $ —(2) | |
Government National Mortgage Association | |||
Pool #345039 7.000%, 9/15/23 | 1 | 1 | |
Pool #780023 7.000%, 9/15/24 | 2 | 2 | |
4,990 | |||
Non-Agency—29.9% | |||
Ajax Mortgage Loan Trust | |||
2017-B, A 144A 3.163%, 9/25/56(1)(3) | 708 | 706 | |
2019-D, A1 144A 2.956%, 9/25/65(1)(3) | 908 | 919 | |
2018-C, A 144A 4.360%, 9/25/65(1)(3) | 733 | 745 | |
American Homes 4 Rent Trust 2015-SFR1, A 144A 3.467%, 4/17/52(1) | 180 | 192 | |
AMSR Trust | |||
2020-SFR1, A 144A 1.819%, 4/17/37(1) | 939 | 957 | |
2020-SFR1, B 144A 2.120%, 4/17/37(1) | 940 | 953 | |
2020-SFR3, B 144A 1.806%, 9/17/37(1) | 2,400 | 2,400 | |
Angel Oak Mortgage Trust I LLC 2018-3, A1 144A 3.649%, 9/25/48(1)(3) | 1,369 | 1,397 | |
Angel Oak Mortgage Trust LLC | |||
2017-3, A1 144A 2.708%, 11/25/47(1)(3) | 60 | 60 | |
2019-3, A1 144A 2.930%, 5/25/59(1)(3) | 2,561 | 2,593 | |
2020-6, A1 144A 1.261%, 5/25/65(1)(3) | 613 | 613 | |
2020-4, A1 144A 1.469%, 6/25/65(1)(3) | 2,174 | 2,182 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(1)(3) | 1,226 | 1,251 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(3) | 1,642 | 1,694 | |
2019-2, A1 144A 3.347%, 4/25/49(1)(3) | 1,193 | 1,227 | |
Banc of America Funding Trust | |||
2004-B, 2A1 4.308%, 11/20/34(3) | 18 | 19 | |
2005-1, 1A1 5.500%, 2/25/35 | 80 | 83 | |
2006-2, 3A1 6.000%, 3/25/36 | 17 | 17 | |
Bayview Koitere Fund Trust 2017-RT4, A 144A 3.500%, 7/28/57(1)(3) | 174 | 180 |
Par Value | Value | ||
Non-Agency—continued | |||
Bayview Opportunity Master Fund IVa Trust 2017-RT1, A1 144A 3.000%, 3/28/57(1)(3) | $ 409 | $ 419 | |
Bayview Opportunity Master Fund IVb Trust 2017-SPL4, A 144A 3.500%, 1/28/55(1)(3) | 320 | 327 | |
Bunker Hill Loan Depositary Trust 2019-2, A1 144A 2.879%, 7/25/49(1)(3) | 1,395 | 1,432 | |
BX Commercial Mortgage Trust | |||
2019-XL, C (1 month LIBOR + 1.250%) 144A 1.402%, 10/15/36(1)(3) | 983 | 980 | |
2020-BXLP, D (1 month LIBOR + 1.250%) 144A 1.402%, 12/15/36(1)(3) | 480 | 475 | |
BX Trust 2018-GW, B (1 month LIBOR + 1.020%) 144A 1.172%, 5/15/35(1)(3) | 1,265 | 1,198 | |
Centex Home Equity Loan Trust 2004-D, AF5 5.850%, 9/25/34(3) | 86 | 88 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(1) | 945 | 956 | |
Citigroup Commercial Mortgage Trust | |||
2019-SST2, A (1 month LIBOR + 0.920%) 144A 1.072%, 12/15/36(1)(3) | 1,200 | 1,179 | |
2015-GC27, A4 2.878%, 2/10/48 | 1,200 | 1,263 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2004-NCM2, 2CB2 6.750%, 8/25/34 | 94 | 104 | |
2014-A, A 144A 4.000%, 1/25/35(1)(3) | 183 | 192 | |
2015-PS1, A1 144A 3.750%, 9/25/42(1)(3) | 115 | 118 | |
2019-IMC1, A1 144A 2.720%, 7/25/49(1)(3) | 1,486 | 1,511 | |
2015-A, A1 144A 3.500%, 6/25/58(1)(3) | 198 | 204 | |
2019-RP1, A1 144A 3.500%, 1/25/66(1)(3) | 1,512 | 1,616 | |
COLT Mortgage Loan Trust Funding LLC | |||
2019-3, A1 144A 2.764%, 8/25/49(1)(3) | 180 | 182 | |
2020-1, A1 144A 2.488%, 2/25/50(1)(3) | 1,173 | 1,186 | |
COMM Mortgage Trust 2020-CBM, B 144A 3.099%, 2/10/37(1) | 1,035 | 1,016 |
Par Value | Value | ||
Non-Agency—continued | |||
CoreVest American Finance Trust | |||
2017-1, A 144A 2.968%, 10/15/49(1) | $ 1,480 | $ 1,509 | |
2018-2, A 144A 4.026%, 11/15/52(1) | 985 | 1,058 | |
2020-1, A1 144A 1.832%, 3/15/50(1) | 1,262 | 1,275 | |
Credit Suisse First Boston Mortgage Securities Corp. | |||
2003-27, 5A3 5.250%, 11/25/33 | 8 | 8 | |
2003-AR30, 5A1 3.562%, 1/25/34(3) | 99 | 100 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 1.132%, 5/15/36(1)(3) | 1,455 | 1,453 | |
Credit Suisse Mortgage Capital Trust | |||
2013-HYB1, A16 144A 2.946%, 4/25/43(1)(3) | 180 | 184 | |
2014-IVR2, A2 144A 3.695%, 4/25/44(1)(3) | 363 | 381 | |
2018-RPL8, A1 144A 4.125%, 7/25/58(1)(3) | 1,264 | 1,269 | |
2020-RPL4, A1 144A 2.000%, 1/25/60(1) | 1,270 | 1,311 | |
2020-NQM1, A1 144A 1.208%, 5/25/65(1)(3) | 1,570 | 1,570 | |
Deephaven Residential Mortgage Trust | |||
2017-1A, A1 144A 2.725%, 12/26/46(1)(3) | 49 | 49 | |
2017-1A, A2 144A 2.928%, 12/26/46(1)(3) | 79 | 79 | |
2017-2A, A1 144A 2.453%, 6/25/47(1)(3) | 644 | 646 | |
2017-3A, A3 144A 2.813%, 10/25/47(1)(3) | 99 | 100 | |
2018-2A, A1 144A 3.479%, 4/25/58(1)(3) | 2,687 | 2,737 | |
2018-3A, A1 144A 3.789%, 8/25/58(1)(3) | 874 | 877 | |
2019-1A, A1 144A 3.743%, 1/25/59(1)(3) | 461 | 466 | |
Ellington Financial Mortgage Trust | |||
2018-1, A1FX 144A 4.140%, 10/25/58(1)(3) | 1,017 | 1,043 | |
2019-2, A3 144A 3.046%, 11/25/59(1)(3) | 942 | 958 | |
2020-1, A1 144A 2.006%, 5/25/65(1)(3) | 1,113 | 1,126 | |
Exantas Capital Corp. 2020-RSO8, A (1 month LIBOR + 1.150%) 144A 1.301%, 3/15/35(1)(3) | 1,280 | 1,263 |
Par Value | Value | ||
Non-Agency—continued | |||
FirstKey Homes Trust 2020-SFR1, B 144A 1.740%, 9/17/25(1) | $ 585 | $ 585 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(1)(3) | 403 | 414 | |
2018-1, A23 144A 3.500%, 11/25/57(1)(3) | 281 | 289 | |
2018-2, A41 144A 4.500%, 10/25/58(1)(3) | 270 | 276 | |
2019-H1, A1 144A 2.657%, 10/25/59(1)(3) | 847 | 864 | |
2020-H1, A1 144A 2.310%, 1/25/60(1)(3) | 2,770 | 2,823 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(1)(3) | 2,014 | 2,045 | |
GS Mortgage Securities Trust 2020-GC45, AS 3.173%, 2/13/53(3) | 1,225 | 1,366 | |
GSR Mortgage Loan Trust 2003-3F, 1A6 6.000%, 4/25/33 | 192 | 200 | |
Hilton USA Trust 2016-SFP, B 144A 3.323%, 11/5/35(1) | 1,070 | 1,069 | |
Homeward Opportunities Fund I Trust | |||
2018-1, A1 144A 3.766%, 6/25/48(1)(3) | 972 | 975 | |
2018-2, A1 144A 3.985%, 11/25/58(1)(3) | 1,397 | 1,447 | |
2019-1, A1 144A 3.454%, 1/25/59(1)(3) | 1,278 | 1,300 | |
2019-3, A1 144A 2.675%, 11/25/59(1)(3) | 1,791 | 1,816 | |
IMC Home Equity Loan Trust 1997-5, A9 7.310%, 11/20/28 | 54 | 54 | |
JP Morgan Chase Mortgage Trust 2005-A5, 1A2 2.870%, 8/25/35(3) | 245 | 249 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2011-C4, A4 144A 4.388%, 7/15/46(1) | 84 | 85 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, AM 144A 3.348%, 6/25/29(1)(3) | 708 | 717 | |
2014-2, 2A2 144A 3.500%, 6/25/29(1)(3) | 497 | 507 | |
2006-A2, 4A1 3.076%, 8/25/34(3) | 44 | 45 | |
2014-1, 2A12 144A 3.500%, 1/25/44(1)(3) | 392 | 407 | |
2015-1, AM1 144A 2.146%, 12/25/44(1)(3) | 156 | 158 |
Par Value | Value | ||
Non-Agency—continued | |||
2016-SH1, M2 144A 3.750%, 4/25/45(1)(3) | $ 353 | $ 357 | |
2015-5, A2 144A 2.633%, 5/25/45(1)(3) | 835 | 860 | |
2016-SH2, M2 144A 3.750%, 12/25/45(1)(3) | 582 | 600 | |
2017-3, 2A2 144A 2.500%, 8/25/47(1)(3) | 580 | 594 | |
2017-5, A1 144A 3.128%, 10/26/48(1)(3) | 1,535 | 1,565 | |
JPMorgan Chase WaMu Mortgage Pass-Through Certificates Trust 2003-AR6, A1 3.108%, 6/25/33(3) | 108 | 108 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%) 144A 0.952%, 5/15/36(1)(3) | 1,040 | 1,040 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(1)(3) | 1,195 | 1,213 | |
MASTR Alternative Loan Trust | |||
2003-8, 2A1 5.750%, 11/25/33 | 50 | 52 | |
2004-4, 6A1 5.500%, 4/25/34 | 80 | 83 | |
2004-7, 9A1 6.000%, 8/25/34 | 67 | 70 | |
2005-2, 2A1 6.000%, 1/25/35 | 274 | 294 | |
MASTR Specialized Loan Trust 2005-3, A2 144A 5.704%, 11/25/35(1)(3) | 64 | 64 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 1.348%, 6/25/52(1)(3) | 1,040 | 1,038 | |
MetLife Securitization Trust 2019-1A, A1A 144A 3.750%, 4/25/58(1)(3) | 1,051 | 1,127 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2013-C13, AS 4.266%, 11/15/46 | 1,515 | 1,639 | |
Morgan Stanley Capital Barclays Bank Trust 2016-MART, A 144A 2.200%, 9/13/31(1) | 1,660 | 1,655 | |
Morgan Stanley Capital I Trust 2017-CLS, A (1 month LIBOR + 0.700%) 144A 0.852%, 11/15/34(1)(3) | 1,080 | 1,077 | |
Morgan Stanley Residential Mortgage Loan Trust 2014-1A, B2 144A 2.709%, 6/25/44(1)(3) | 343 | 354 |
Par Value | Value | ||
Non-Agency—continued | |||
National City Mortgage Capital Trust 2008-1, 2A1 6.000%, 3/25/38 | $ 75 | $ 77 | |
New Residential Mortgage Loan Trust | |||
2016-2A, A1 144A 3.750%, 11/26/35(1)(3) | 1,416 | 1,529 | |
2018-NQM1, A1 144A 3.986%, 11/25/48(1)(3) | 615 | 631 | |
2019-NQM1, A1 144A 3.675%, 1/25/49(1)(3) | 1,236 | 1,259 | |
2014-1A, A 144A 3.750%, 1/25/54(1)(3) | 892 | 961 | |
2014-2A, A3 144A 3.750%, 5/25/54(1)(3) | 85 | 92 | |
2014-3A, AFX3 144A 3.750%, 11/25/54(1)(3) | 2,049 | 2,192 | |
2015-2A, A1 144A 3.750%, 8/25/55(1)(3) | 1,032 | 1,116 | |
2016-1A, A1 144A 3.750%, 3/25/56(1)(3) | 594 | 637 | |
2016-3A, A1 144A 3.750%, 9/25/56(1)(3) | 599 | 644 | |
2016-4A, A1 144A 3.750%, 11/25/56(1)(3) | 2,535 | 2,725 | |
2017-2A, A3 144A 4.000%, 3/25/57(1)(3) | 1,109 | 1,200 | |
2018-1A, A1A 144A 4.000%, 12/25/57(1)(3) | 1,928 | 2,081 | |
2019-NQM4, A1 144A 2.492%, 9/25/59(1)(3) | 1,124 | 1,144 | |
2020-NPL2, A1 144A 3.228%, 8/25/60(1)(3) | 293 | 293 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%) 1.873%, 3/25/35(3) | 459 | 462 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(1)(3) | 288 | 300 | |
2018-1, A2 (1 month LIBOR + 0.650%) 144A 0.798%, 6/25/57(1)(3) | 243 | 243 | |
2018-EXP2, 1A1 144A 4.000%, 7/25/58(1)(3) | 836 | 850 | |
2019-EXP3, 1A8 144A 3.500%, 10/25/59(1)(3) | 776 | 796 | |
Preston Ridge Partners Mortgage LLC | |||
2019-1A, A1 144A 4.500%, 1/25/24(1)(3) | 1,347 | 1,357 | |
2020-3, A1 144A 2.857%, 9/25/25(1) | 498 | 498 | |
Pretium Mortgage Credit Partners I LLC 2019-NPL3, A1 144A 3.105%, 7/27/59(1)(3) | 939 | 940 | |
Progress Residential Trust | |||
2020-SFR3, A 144A 1.294%, 10/17/27(1) | 345 | 345 |
Par Value | Value | ||
Non-Agency—continued | |||
2017-SFR1, B 144A 3.017%, 8/17/34(1) | $ 690 | $ 698 | |
2018-SFR2, B 144A 3.841%, 8/17/35(1) | 1,750 | 1,786 | |
2019-SFR2, A 144A 3.147%, 5/17/36(1) | 1,213 | 1,253 | |
2019-SFR3, B 144A 2.571%, 9/17/36(1) | 685 | 698 | |
2020-SFR2, A 144A 2.078%, 6/17/37(1) | 1,500 | 1,531 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(1)(3) | 435 | 450 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(1)(3) | 1,234 | 1,272 | |
RCO V Mortgage LLC 2019-2, A1 144A 3.475%, 11/25/24(1)(3) | 1,252 | 1,249 | |
Residential Mortgage Loan Trust | |||
2020-1, A1 144A 2.376%, 2/25/24(1)(3) | 868 | 880 | |
2019-1, A1 144A 3.936%, 10/25/58(1)(3) | 662 | 671 | |
2019-2, A1 144A 2.913%, 5/25/59(1)(3) | 387 | 394 | |
SBA Tower Trust 144A 1.884%, 1/15/26(1) | 710 | 726 | |
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(1)(3) | 1,845 | 1,865 | |
Spruce Hill Mortgage Loan Trust | |||
2019-SH1, A1 144A 3.395%, 4/29/49(1)(3) | 1,634 | 1,652 | |
2020-SH1, A1 144A 2.521%, 1/28/50(1)(3) | 839 | 848 | |
Starwood Mortgage Residential Trust | |||
2018-IMC1, A1 144A 3.793%, 3/25/48(1)(3) | 1,601 | 1,610 | |
2019-IMC1, A1 144A 3.468%, 2/25/49(1)(3) | 1,196 | 1,226 | |
2020-1, A1 144A 2.275%, 2/25/50(1)(3) | 878 | 894 | |
Starwood Waypoint Homes Trust 2017-1, A (1 month LIBOR + 0.950%) 144A 1.102%, 1/17/35(1)(3) | 879 | 878 | |
Structured Adjustable Rate Mortgage Loan Trust 2004-14, 7A 3.087%, 10/25/34(3) | 99 | 100 | |
Structured Asset Securities Corp. Mortgage-Pass-Through Certificates 2003-34A, 6A 3.462%, 11/25/33(3) | 182 | 175 |
Par Value | Value | ||
Non-Agency—continued | |||
Towd Point Mortgage Trust | |||
2015-3, A1B 144A 3.000%, 3/25/54(1)(3) | $ 87 | $ 88 | |
2015-5, A2 144A 3.500%, 5/25/55(1)(3) | 275 | 285 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(1)(3) | 475 | 480 | |
2019-1, A1 144A 3.750%, 3/25/58(1)(3) | 582 | 631 | |
Towd Point Trust 2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 1.048%, 4/25/48(1)(3) | 1,828 | 1,821 | |
Tricon American Homes Trust 2017-SFR1, A 144A 2.716%, 9/17/34(1) | 2,485 | 2,529 | |
VCAT LLC 2019-NPL2, A1 144A 3.573%, 11/25/49(1)(3) | 825 | 823 | |
Velocity Commercial Capital Loan Trust 2017-1, AFX 144A 3.000%, 5/25/47(1)(3) | 19 | 19 | |
Vericrest Opportunity Loan Trust | |||
2019-NPL2, A1 144A 3.967%, 2/25/49(1)(3) | 489 | 489 | |
2020-NPL2, A1A 144A 2.981%, 2/25/50(1)(3) | 842 | 842 | |
Vericrest Opportunity Loan Trust LXXXIII LLC 2019-NPL9, A1A 144A 3.327%, 11/26/49(1)(3) | 1,163 | 1,166 | |
Vericrest Opportunity Loan Trust LXXXV LLC 2020-NPL1, A1A 144A 3.228%, 1/25/50(1)(3) | 1,337 | 1,340 | |
Verus Securitization Trust | |||
2017-1A, A1 144A 2.853%, 1/25/47(1)(3) | 46 | 46 | |
2018-INV1, A3 144A 4.052%, 3/25/58(1)(3) | 317 | 318 | |
2018-2, A1 144A 3.677%, 6/1/58(1)(3) | 2,786 | 2,825 | |
2018-2, B1 144A 4.426%, 6/1/58(1)(3) | 445 | 462 | |
2019-2, A1 144A 3.211%, 5/25/59(1)(3) | 3,042 | 3,110 | |
2019-INV2, A1 144A 2.913%, 7/25/59(1)(3) | 603 | 616 | |
2019-INV1, A1 144A 3.402%, 12/25/59(1)(3) | 623 | 640 | |
2020-1, A1 144A 2.417%, 1/25/60(1)(3) | 2,282 | 2,331 | |
2020-4, A1 144A 1.502%, 5/25/65(1)(3) | 3,244 | 3,256 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 485 | 498 |
Par Value | Value | ||
Non-Agency—continued | |||
Wells Fargo Mortgage Backed Securities Trust | |||
2004-K, 1A2 3.011%, 7/25/34(3) | $ 78 | $ 77 | |
2004-U, A1 3.664%, 10/25/34(3) | 27 | 26 | |
2020-4, A1 144A 3.000%, 7/25/50(1)(3) | 896 | 926 | |
152,449 | |||
Total Mortgage-Backed Securities (Identified Cost $154,898) | 157,439 | ||
Asset-Backed Securities—33.2% | |||
Auto Floor Plan—0.2% | |||
NextGear Floorplan Master Owner Trust 2017-2A, A2 144A 2.560%, 10/17/22(1) | 920 | 921 | |
Automobiles—19.5% | |||
ACC Trust | |||
2019-1, A 144A 3.750%, 5/20/22(1) | 426 | 429 | |
2019-2, A 144A 2.820%, 2/21/23(1) | 741 | 745 | |
2020-A, A 144A 6.000%, 3/20/23(1) | 1,394 | 1,433 | |
American Credit Acceptance Receivables Trust | |||
2018-3, C 144A 3.750%, 10/15/24(1) | 610 | 615 | |
2018-4, C 144A 3.970%, 1/13/25(1) | 1,046 | 1,061 | |
2019-1, C 144A 3.500%, 4/14/25(1) | 1,200 | 1,227 | |
2019-2, C 144A 3.170%, 6/12/25(1) | 1,040 | 1,058 | |
AmeriCredit Automobile Receivables Trust | |||
2017-1, C 2.710%, 8/18/22 | 829 | 836 | |
2018-1, D 3.820%, 3/18/24 | 975 | 1,026 | |
2019-1, C 3.360%, 2/18/25 | 1,200 | 1,266 | |
Avid Automobile Receivables Trust 2018-1, A 144A 2.840%, 8/15/23(1) | 46 | 46 | |
Avis Budget Rental Car Funding LLC | |||
(AESOP) 2016-1A, A 144A 2.990%, 6/20/22(1) | 800 | 806 | |
(AESOP) 2017-1A, A 144A 3.070%, 9/20/23(1) | 1,110 | 1,136 |
Par Value | Value | ||
Automobiles—continued | |||
(AESOP) 2019-3A, A 144A 2.360%, 3/20/26(1) | $ 1,270 | $ 1,297 | |
(AESOP) 2020-1A, A 144A 2.330%, 8/20/26(1) | 1,475 | 1,519 | |
Capital Auto Receivables Asset Trust 2017-1, C 144A 2.700%, 9/20/22(1) | 920 | 934 | |
CarMax Auto Owner Trust | |||
2017-1, B 2.540%, 9/15/22 | 900 | 906 | |
2019-1, C 3.740%, 1/15/25 | 1,175 | 1,219 | |
CarNow Auto Receivables Trust | |||
2019-1A, A 144A 2.720%, 11/15/22(1) | 483 | 486 | |
2020-1A, B 144A 2.710%, 7/17/23(1) | 1,420 | 1,432 | |
Carvana Auto Receivables Trust | |||
2019-1A, D 144A 3.880%, 10/15/24(1) | 1,195 | 1,236 | |
2019-1A, E 144A 5.640%, 1/15/26(1) | 980 | 1,020 | |
2019-2A, D 144A 3.280%, 1/15/25(1) | 470 | 482 | |
2019-3A, C 144A 2.710%, 10/15/24(1) | 1,580 | 1,621 | |
2019-3A, D 144A 3.040%, 4/15/25(1) | 1,445 | 1,478 | |
2020-N1A, D 144A 3.430%, 1/15/26(1) | 1,270 | 1,318 | |
CPS Auto Receivables Trust | |||
2018-C, D 144A 4.400%, 6/17/24(1) | 905 | 937 | |
2018-D, D 144A 4.340%, 9/16/24(1) | 1,450 | 1,505 | |
2020-A, C 144A 2.540%, 12/15/25(1) | 1,225 | 1,248 | |
2020-B, C 144A 3.300%, 4/15/26(1) | 1,330 | 1,379 | |
2020-C, C 144A 1.710%, 8/17/26(1) | 1,265 | 1,267 | |
Credit Acceptance Auto Loan Trust | |||
2018-1A, A 144A 3.010%, 2/16/27(1) | 518 | 520 | |
2019-1A, A 144A 3.330%, 2/15/28(1) | 1,385 | 1,419 | |
2019-3A, B 144A 2.860%, 1/16/29(1) | 1,180 | 1,228 | |
Drive Auto Receivables Trust | |||
2018-4, D 4.090%, 1/15/26 | 220 | 230 | |
2019-3, C 2.900%, 8/15/25 | 1,255 | 1,295 |
Par Value | Value | ||
Automobiles—continued | |||
2019-4, C 2.510%, 11/17/25 | $ 1,120 | $ 1,146 | |
DT Auto Owner Trust | |||
2018-1A, C 144A 3.470%, 12/15/23(1) | 139 | 140 | |
2019-1A, C 144A 3.610%, 11/15/24(1) | 800 | 821 | |
2019-2A, B 144A 2.990%, 4/17/23(1) | 1,040 | 1,053 | |
2019-2A, C 144A 3.180%, 2/18/25(1) | 1,040 | 1,064 | |
2019-4A, C 144A 2.730%, 7/15/25(1) | 1,390 | 1,428 | |
2020-2A, C 144A 3.280%, 3/16/26(1) | 1,335 | 1,399 | |
Exeter Automobile Receivables Trust | |||
2017-3A, B 144A 2.810%, 9/15/22(1) | 136 | 136 | |
2018-2A, C 144A 3.690%, 3/15/23(1) | 523 | 527 | |
2018-3A, C 144A 3.710%, 6/15/23(1) | 1,065 | 1,078 | |
2018-4A, D 144A 4.350%, 9/16/24(1) | 1,365 | 1,432 | |
2019-3A, C 144A 2.790%, 5/15/24(1) | 1,060 | 1,083 | |
2019-4A, C 144A 2.440%, 9/16/24(1) | 1,370 | 1,399 | |
2020-1A, D 144A 2.730%, 12/15/25(1) | 1,225 | 1,257 | |
FHF Trust 2020-1A, A 144A 2.590%, 12/15/23(1) | 1,985 | 1,993 | |
First Investors Auto Owner Trust | |||
2016-2A, C 144A 2.530%, 7/15/22(1) | 715 | 717 | |
2017-1A, D 144A 3.600%, 4/17/23(1) | 880 | 895 | |
2018-1A, D 144A 4.110%, 6/17/24(1) | 1,175 | 1,215 | |
2019-1A, C 144A 3.260%, 3/17/25(1) | 1,240 | 1,285 | |
Flagship Credit Auto Trust | |||
2016-3, D 144A 3.890%, 11/15/22(1) | 1,635 | 1,664 | |
2019-2, C 144A 3.090%, 5/15/25(1) | 1,250 | 1,301 | |
2020-1, C 144A 2.240%, 1/15/26(1) | 1,490 | 1,523 | |
2020-3, C 144A 1.730%, 9/15/26(1) | 1,205 | 1,228 | |
Foursight Capital Automobile Receivables Trust 2017-1, B 144A 3.050%, 12/15/22(1) | 648 | 652 | |
GLS Auto Receivables Issuer Trust | |||
2019-1A, B 144A 3.650%, 12/16/24(1) | 1,250 | 1,277 |
Par Value | Value | ||
Automobiles—continued | |||
2019-2A, B 144A 3.320%, 3/15/24(1) | $ 1,240 | $ 1,276 | |
2019-3A, B 144A 2.720%, 6/17/24(1) | 1,285 | 1,316 | |
2019-4A, B 144A 2.780%, 9/16/24(1) | 1,400 | 1,439 | |
2019-4A, C 144A 3.060%, 8/15/25(1) | 1,255 | 1,286 | |
2020-1A, B 144A 2.430%, 11/15/24(1) | 1,810 | 1,846 | |
2020-2A, B 144A 3.160%, 6/16/25(1) | 1,385 | 1,447 | |
GLS Auto Receivables Trust | |||
2017-1A, C 144A 3.500%, 7/15/22(1) | 410 | 412 | |
2018-1A, A 144A 2.820%, 7/15/22(1) | 78 | 78 | |
2018-3A, C 144A 4.180%, 7/15/24(1) | 1,790 | 1,865 | |
GM Financial Consumer Automobile 2017-1A, B 144A 2.300%, 6/16/23(1) | 915 | 919 | |
Hertz Vehicle Financing II LP | |||
2015-3A, A 144A 2.670%, 9/25/21(1) | 353 | 354 | |
2016-4A, A 144A 2.650%, 7/25/22(1) | 804 | 805 | |
2018-1A, A 144A 3.290%, 2/25/24(1) | 203 | 203 | |
2019-1A, A 144A 3.710%, 3/25/23(1) | 379 | 380 | |
OneMain Direct Auto Receivables Trust 2018-1A, C 144A 3.850%, 10/14/25(1) | 1,130 | 1,160 | |
Santander Drive Auto Receivables Trust 2018-2, C 3.350%, 7/17/23 | 750 | 759 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(1) | 1,115 | 1,132 | |
Tesla Auto Lease Trust | |||
2018-B, B 144A 4.120%, 10/20/21(1) | 925 | 946 | |
2020-A, C 144A 1.680%, 2/20/24(1) | 1,205 | 1,217 | |
Tidewater Auto Receivables Trust 2020-AA, C 144A 1.910%, 9/15/26(1) | 1,530 | 1,547 | |
Tricolor Auto Securitization Trust 2018-2A, B 144A 4.760%, 2/15/22(1) | 438 | 440 | |
United Auto Credit Securitization Trust | |||
2019-1, D 144A 3.470%, 8/12/24(1) | 1,035 | 1,056 | |
2019-1, E 144A 4.290%, 8/12/24(1) | 1,500 | 1,526 |
Par Value | Value | ||
Automobiles—continued | |||
2020-1, C 144A 2.150%, 2/10/25(1) | $ 1,410 | $ 1,428 | |
US Auto Funding LLC 2019-1A, B 144A 3.990%, 12/15/22(1) | 825 | 836 | |
USASF Receivables LLC 2020-1A, B 144A 3.220%, 5/15/24(1) | 1,220 | 1,233 | |
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(1) | 1,270 | 1,274 | |
Westlake Automobile Receivables Trust | |||
2018-2A, D 144A 4.000%, 1/16/24(1) | 1,285 | 1,314 | |
2018-3A, C 144A 3.610%, 10/16/23(1) | 1,348 | 1,367 | |
2018-3A, D 144A 4.000%, 10/16/23(1) | 1,435 | 1,481 | |
2020-2A, C 144A 2.010%, 7/15/25(1) | 1,645 | 1,669 | |
99,384 | |||
Consumer Loans—0.7% | |||
LL ABS Trust 2020-1A, A 144A 2.330%, 1/17/28(1) | 1,270 | 1,270 | |
Marlette Funding Trust 2019-4A, A 144A 2.390%, 12/17/29(1) | 759 | 766 | |
Prosper Marketplace Issuance Trust Series 2019-4A, A 144A 2.480%, 2/17/26(1) | 570 | 573 | |
Upstart Securitization Trust 2019-3, A 144A 2.684%, 1/21/30(1) | 851 | 858 | |
3,467 | |||
Credit Card—0.6% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(1) | 1,720 | 1,720 | |
Genesis Private Label Amortizing Trust 2020-1, B 144A 2.830%, 7/20/30(1) | 1,380 | 1,387 | |
3,107 | |||
Equipment—1.4% | |||
BCC Funding Corp. XVI LLC 2019-1A, B 144A 2.640%, 9/20/24(1) | 1,370 | 1,379 | |
CLI Funding VI LLC 2020-1A, A 144A 2.080%, 9/18/45(1) | 1,480 | 1,479 | |
NMEF Funding LLC | |||
2019-A, A 144A 2.730%, 8/17/26(1) | 655 | 658 |
Par Value | Value | ||
Equipment—continued | |||
2019-A, B 144A 3.060%, 8/17/26(1) | $ 1,205 | $ 1,219 | |
Pawnee Equipment Receivables Series LLC | |||
2019-1, B 144A 2.520%, 10/15/24(1) | 1,365 | 1,364 | |
2020-1, A 144A 1.370%, 11/17/25(1) | 1,270 | 1,268 | |
7,367 | |||
Other—10.3% | |||
Amur Equipment Finance Receivables V LLC 2018-1A, A2 144A 3.240%, 12/20/23(1) | 319 | 321 | |
Amur Equipment Finance Receivables VI LLC 2018-2A, A2 144A 3.890%, 7/20/22(1) | 591 | 601 | |
Amur Equipment Finance Receivables VIII LLC 2020-1A, B 144A 2.500%, 3/20/26(1) | 1,770 | 1,793 | |
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(1) | 351 | 352 | |
2019-A, A 144A 3.140%, 7/16/40(1) | 1,132 | 1,158 | |
2019-A, C 144A 4.010%, 7/16/40(1) | 1,450 | 1,461 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(1) | 1,195 | 1,229 | |
Avant Loans Funding Trust 2019-A, A 144A 3.480%, 7/15/22(1) | 53 | 53 | |
Bankers Healthcare Group Securitization Trust 2020-A, A 144A 2.470%, 9/17/31(1) | 1,108 | 1,108 | |
BRE Grand Islander Timeshare Issuer LLC | |||
2017-1A, A 144A 2.940%, 5/25/29(1) | 334 | 339 | |
2019-A, A 144A 3.280%, 9/26/33(1) | 897 | 920 | |
BXG Receivables Note Trust | |||
2012-A, A 144A 2.660%, 12/2/27(1) | 8 | 8 | |
2013-A, A 144A 3.010%, 12/4/28(1) | 406 | 411 | |
2015-A, A 144A 2.880%, 5/2/30(1) | 124 | 125 | |
CCG Receivables Trust | |||
2018-1, A2 144A 2.500%, 6/16/25(1) | 414 | 415 | |
2019-2, B 144A 2.550%, 3/15/27(1) | 1,185 | 1,208 |
Par Value | Value | ||
Other—continued | |||
Conn’s Receivables Funding LLC 2018-A, B 144A 4.650%, 1/15/23(1) | $ 67 | $ 67 | |
Consumer Loan Underlying Bond CLUB Credit Trust 2019-P2, A 144A 2.470%, 10/15/26(1) | 462 | 464 | |
Consumer Loan Underlying Bond Credit Trust 2018-P2, A 144A 3.470%, 10/15/25(1) | 82 | 83 | |
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(1) | 1,119 | 1,153 | |
Diamond Resorts Owner Trust | |||
2017-1A, A 144A 3.270%, 10/22/29(1) | 660 | 670 | |
2019-1A, B 144A 3.530%, 2/20/32(1) | 848 | 857 | |
Foundation Finance Trust | |||
2017-1A, A 144A 3.300%, 7/15/33(1) | 516 | 524 | |
2019-1A, A 144A 3.860%, 11/15/34(1) | 1,675 | 1,728 | |
FREED ABS Trust | |||
2019-2, B 144A 3.190%, 11/18/26(1) | 1,370 | 1,360 | |
2020-3FP, A 144A 2.400%, 9/20/27(1) | 1,023 | 1,026 | |
Gold Key Resorts LLC 2014-A, A 144A 3.220%, 3/17/31(1) | 69 | 69 | |
GreatAmerica Leasing Receivables Funding LLC 2017-1, A4 144A 2.360%, 1/20/23(1) | 253 | 254 | |
Hardee’s Funding LLC 2018-1A, A2I 144A 4.250%, 6/20/48(1) | 1,357 | 1,364 | |
Hilton Grand Vacations Trust | |||
2017-AA, A 144A 2.660%, 12/26/28(1) | 302 | 308 | |
2018-AA, A 144A 3.540%, 2/25/32(1) | 685 | 717 | |
2020-AA, A 144A 2.740%, 2/25/39(1) | 911 | 942 | |
HIN Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(1) | 1,500 | 1,505 | |
Kabbage Funding LLC 2019-1, A 144A 3.825%, 3/15/24(1) | 51 | 51 |
Par Value | Value | ||
Other—continued | |||
Lendmark Funding Trust 2018-2A, A 144A 4.230%, 4/20/27(1) | $ 1,425 | $ 1,462 | |
Mariner Finance Issuance Trust 2019-AA, A 144A 2.960%, 7/20/32(1) | 1,045 | 1,063 | |
Marlette Funding Trust 2019-2A, A 144A 3.130%, 7/16/29(1) | 439 | 444 | |
MVW LLC | |||
2019-2A, A 144A 2.220%, 10/20/38(1) | 1,082 | 1,104 | |
2020-1A, A 144A 1.740%, 10/20/37(1) | 1,374 | 1,389 | |
MVW Owner Trust | |||
2015-1A, B 144A 2.960%, 12/20/32(1) | 87 | 87 | |
2016-1A, A 144A 2.250%, 12/20/33(1) | 429 | 430 | |
2019-1A, A 144A 2.890%, 11/20/36(1) | 876 | 901 | |
Oasis LLC 2020-1A, A 144A 3.820%, 1/15/32(1) | 770 | 773 | |
Octane Receivables Trust 2019-1A, A 144A 3.160%, 9/20/23(1) | 676 | 675 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(1) | 1,895 | 1,946 | |
Oportun Funding IX LLC 2018-B, A 144A 3.910%, 7/8/24(1) | 905 | 920 | |
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(1) | 1,195 | 1,198 | |
Orange Lake Timeshare Trust | |||
2015-AA, A 144A 2.880%, 9/8/27(1) | 89 | 90 | |
2018-A, A 144A 3.100%, 11/8/30(1) | 137 | 141 | |
2019-A, B 144A 3.360%, 4/9/38(1) | 797 | 807 | |
Prosper Marketplace Issuance Trust 2018-2A, B 144A 3.960%, 10/15/24(1) | 225 | 225 | |
Sierra Timeshare Receivables Funding LLC | |||
2016-1A, A 144A 3.080%, 3/21/33(1) | 92 | 92 | |
2016-2A, A 144A 2.330%, 7/20/33(1) | 120 | 120 | |
2017-1A, A 144A 2.910%, 3/20/34(1) | 314 | 320 |
Par Value | Value | ||
Other—continued | |||
2018-2A, A 144A 3.500%, 6/20/35(1) | $ 320 | $ 333 | |
2019-1A, B 144A 3.420%, 1/20/36(1) | 568 | 583 | |
2019-2A, B 144A 2.820%, 5/20/36(1) | 589 | 597 | |
2020-2A, B 144A 2.320%, 7/20/37(1) | 1,146 | 1,146 | |
Small Business Lending Trust | |||
2019-A, A 144A 2.850%, 7/15/26(1) | 513 | 504 | |
2020-A, A 144A 2.620%, 12/15/26(1) | 738 | 732 | |
SoFi Consumer Loan Program LLC | |||
2017-1, A 144A 3.280%, 1/26/26(1) | 38 | 38 | |
2017-5, A2 144A 2.780%, 9/25/26(1) | 189 | 191 | |
2017-6, A2 144A 2.820%, 11/25/26(1) | 246 | 248 | |
SoFi Consumer Loan Program Trust 2018-2, A2 144A 3.350%, 4/26/27(1) | 652 | 655 | |
Taco Bell Funding LLC 2016-1A, A23 144A 4.970%, 5/25/46(1) | 1,161 | 1,250 | |
Towd Point Mortgage Trust 2019-MH1, A1 144A 3.000%, 11/25/58(1)(3) | 971 | 995 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(1) | 1,193 | 1,243 | |
TRIP Rail Master Funding LLC 2017-1A, A1 144A 2.709%, 8/15/47(1) | 485 | 485 | |
Upstart Pass-Through Trust 2020-ST1, A 144A 3.750%, 2/20/28(1) | 802 | 800 | |
Upstart Securitization Trust 2019-2, A 144A 2.897%, 9/20/29(1) | 545 | 550 | |
VSE VOI Mortgage LLC | |||
2016-A, A 144A 2.540%, 7/20/33(1) | 371 | 373 | |
2017-A, A 144A 2.330%, 3/20/35(1) | 360 | 365 | |
Welk Resorts LLC | |||
2013-AA, A 144A 3.100%, 3/15/29(1) | 22 | 22 | |
2015-AA, A 144A 2.790%, 6/16/31(1) | 607 | 609 |
Par Value | Value | ||
Other—continued | |||
Westgate Resorts LLC | |||
2018-1A, A 144A 3.380%, 12/20/31(1) | $ 726 | $ 735 | |
2020-1A, A 144A 2.713%, 3/20/34(1) | 1,366 | 1,389 | |
52,674 | |||
Student Loan—0.5% | |||
Commonbond Student Loan Trust | |||
2017-AGS, A1 144A 2.550%, 5/25/41(1) | 279 | 286 | |
2019-AGS, A1 144A 2.540%, 1/25/47(1) | 1,056 | 1,094 | |
Earnest Student Loan Program LLC 2017-A, A2 144A 2.650%, 1/25/41(1) | 200 | 202 | |
Navient Private Education Loan Trust 2017-A, A2A 144A 2.880%, 12/16/58(1) | 701 | 712 | |
SoFi Professional Loan Program LLC 2016-A, A2 144A 2.760%, 12/26/36(1) | 127 | 128 | |
2,422 | |||
Total Asset-Backed Securities (Identified Cost $166,567) | 169,342 | ||
Corporate Bonds and Notes—20.1% | |||
Communication Services—0.9% | |||
AT&T, Inc. (3 month LIBOR + 0.890%) 1.155%, 2/15/23(3) | 475 | 479 | |
Diamond Sports Group LLC 144A 5.375%, 8/15/26(1) | 470 | 333 | |
Level 3 Financing, Inc. 144A 4.625%, 9/15/27(1) | 490 | 504 | |
Sprint Spectrum Co. LLC 144A 3.360%, 9/20/21(1) | 600 | 607 | |
Tencent Holdings Ltd. 144A 3.280%, 4/11/24(1) | 467 | 498 | |
T-Mobile USA, Inc. 144A 1.500%, 2/15/26(1) | 475 | 476 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(1) | 245 | 255 |
Par Value | Value | ||
Communication Services—continued | |||
Verizon Communications, Inc. (3 month LIBOR + 1.100%) 1.380%, 5/15/25(3) | $ 1,226 | $ 1,252 | |
4,404 | |||
Consumer Discretionary—1.3% | |||
Daimler Finance North America LLC 144A 2.200%, 10/30/21(1) | 1,195 | 1,214 | |
Ford Motor Co. 9.000%, 4/22/25 | 891 | 1,022 | |
General Motors Financial Co., Inc. | |||
3.700%, 11/24/20 | 670 | 671 | |
3.200%, 7/6/21 | 975 | 990 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(1) | 905 | 959 | |
MGM Growth Properties Operating Partnership LP 144A 4.625%, 6/15/25(1) | 170 | 173 | |
Nissan Motor Co. Ltd. 144A 4.345%, 9/17/27(1) | 1,010 | 1,014 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 175 | 189 | |
VF Corp. 2.400%, 4/23/25 | 536 | 569 | |
6,801 | |||
Consumer Staples—0.9% | |||
Altria Group, Inc. 3.800%, 2/14/24 | 1,031 | 1,127 | |
BAT Capital Corp. 2.259%, 3/25/28 | 1,240 | 1,243 | |
Conagra Brands, Inc. 4.300%, 5/1/24 | 1,090 | 1,216 | |
Kraft Heinz Foods Co. 144A 3.875%, 5/15/27(1) | 820 | 873 | |
4,459 | |||
Energy—1.7% | |||
Aker BP ASA 144A 2.875%, 1/15/26(1) | 755 | 747 | |
Boardwalk Pipelines LP 4.950%, 12/15/24 | 630 | 692 | |
BP Capital Markets plc 4.875% (4)(5) | 700 | 749 | |
CNOOC Finance 2013 Ltd. 3.000%, 5/9/23 | 870 | 912 | |
Energy Transfer Operating LP 4.250%, 3/15/23 | 380 | 395 | |
Energy Transfer Partners LP 4.500%, 11/1/23 | 310 | 329 |
Par Value | Value | ||
Energy—continued | |||
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(1) | $ 125 | $ 129 | |
144A 6.500%, 7/1/27(1) | 140 | 148 | |
Kinder Morgan, Inc. 3.150%, 1/15/23 | 1,005 | 1,055 | |
MPLX LP 1.750%, 3/1/26 | 1,203 | 1,200 | |
Petroleos Mexicanos 4.625%, 9/21/23 | 855 | 848 | |
Sabine Pass Liquefaction LLC 6.250%, 3/15/22 | 1,475 | 1,565 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(1) | 211 | 136 | |
8,905 | |||
Financials—7.1% | |||
Ares Capital Corp. 3.500%, 2/10/23 | 740 | 760 | |
Athene Global Funding 144A 2.450%, 8/20/27(1) | 1,215 | 1,248 | |
Banco BBVA Peru S.A. RegS 5.000%, 8/26/22(6) | 520 | 555 | |
Banco Santander Chile 144A 2.700%, 1/10/25(1) | 950 | 1,001 | |
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 144A 5.375%, 4/17/25(1) | 490 | 545 | |
Bank of America Corp. | |||
4.200%, 8/26/24 | 2,155 | 2,399 | |
3.950%, 4/21/25 | 420 | 466 | |
(3 month LIBOR + 0.770%) 1.019%, 2/5/26(3) | 705 | 702 | |
Brookfield Finance, Inc. 3.900%, 1/25/28 | 1,190 | 1,325 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 710 | 772 | |
Charles Schwab Corp. (The) Series G 5.375% (5) | 675 | 731 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 450 | 483 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 715 | 788 | |
(3 month LIBOR + 1.250%) 1.475%, 7/1/26(3) | 1,080 | 1,097 |
Par Value | Value | ||
Financials—continued | |||
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(1) | $ 935 | $ 947 | |
Goldman Sachs Group, Inc. (The) | |||
2.350%, 11/15/21 | 350 | 351 | |
3.000%, 4/26/22 | 1,375 | 1,395 | |
(3 month LIBOR + 1.170%) 1.450%, 5/15/26(3) | 475 | 480 | |
(3 month LIBOR + 1.750%) 1.997%, 10/28/27(3) | 2,015 | 2,099 | |
Huntington Bancshares, Inc. 7.000%, 12/15/20 | 245 | 248 | |
ICAHN Enterprises LP 6.250%, 5/15/26 | 1,060 | 1,105 | |
Industrial & Commercial Bank of China Ltd. (3 month LIBOR + 0.750%) 0.993%, 11/8/20(3) | 370 | 370 | |
JPMorgan Chase & Co. (3 month LIBOR + 0.900%) 1.145%, 4/25/23(3) | 945 | 953 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 740 | 640 | |
Lincoln National Corp. | |||
4.200%, 3/15/22 | 470 | 497 | |
(3 month LIBOR + 2.040%) 2.312%, 4/20/67(3)(4) | 75 | 52 | |
Metropolitan Life Global Funding I 144A 2.500%, 12/3/20(1) | 650 | 652 | |
Mizuho Financial Group, Inc. 2.273%, 9/13/21 | 565 | 575 | |
Morgan Stanley | |||
4.100%, 5/22/23 | 730 | 789 | |
3.875%, 4/29/24 | 655 | 722 | |
(3 month LIBOR + 0.930%) 1.188%, 7/22/22(3) | 725 | 728 | |
Navient Corp. 5.875%, 10/25/24 | 470 | 467 | |
Prudential Financial, Inc. 5.625%, 6/15/43(4) | 1,168 | 1,240 | |
Santander Holdings USA, Inc. | |||
4.450%, 12/3/21 | 932 | 969 | |
3.700%, 3/28/22 | 735 | 762 | |
3.500%, 6/7/24 | 840 | 901 | |
Synchrony Financial 4.375%, 3/19/24 | 1,220 | 1,320 | |
Toronto-Dominion Bank (The) 2.650%, 6/12/24 | 723 | 773 | |
Turkiye Is Bankasi AS 144A 5.500%, 4/21/22(1) | 800 | 786 |
Par Value | Value | ||
Financials—continued | |||
UBS Group Funding Switzerland AG 144A 2.650%, 2/1/22(1) | $ 400 | $ 411 | |
Wells Fargo & Co. | |||
1.654%, 6/2/24 | 925 | 942 | |
4.100%, 6/3/26 | 660 | 743 | |
(3 month LIBOR + 1.230%) 1.491%, 10/31/23(3) | 1,175 | 1,190 | |
35,979 | |||
Health Care—1.1% | |||
AbbVie, Inc. | |||
2.300%, 5/14/21 | 495 | 500 | |
2.850%, 5/14/23 | 495 | 521 | |
CVS Health Corp. (3 month LIBOR + 0.720%) 0.962%, 3/9/21(3) | 265 | 266 | |
HCA, Inc. 5.375%, 2/1/25 | 570 | 624 | |
Mylan NV 3.950%, 6/15/26 | 955 | 1,073 | |
Perrigo Finance Unlimited Co. 3.900%, 12/15/24 | 945 | 1,022 | |
Royalty Pharma plc | |||
144A 1.200%, 9/2/25(1) | 190 | 189 | |
144A 1.750%, 9/2/27(1) | 1,035 | 1,034 | |
Tenet Healthcare Corp. | |||
4.625%, 7/15/24 | 550 | 551 | |
144A 7.500%, 4/1/25(1) | 70 | 75 | |
5,855 | |||
Industrials—1.5% | |||
Aviation Capital Group LLC 144A 3.875%, 5/1/23(1) | 1,058 | 1,047 | |
Avolon Holdings Funding Ltd. 144A 3.950%, 7/1/24(1) | 1,257 | 1,194 | |
Boeing Co. (The) | |||
2.350%, 10/30/21 | 450 | 456 | |
4.875%, 5/1/25 | 335 | 365 | |
5.040%, 5/1/27 | 507 | 557 | |
CNH Industrial N.V. 4.500%, 8/15/23 | 1,314 | 1,427 | |
GFL Environmental, Inc. 144A 3.750%, 8/1/25(1) | 775 | 773 | |
Howmet Aerospace, Inc. 6.875%, 5/1/25 | 255 | 282 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60(4) | 1,287 | 1,338 | |
7,439 | |||
Information Technology—2.1% | |||
Broadcom, Inc. 3.150%, 11/15/25 | 1,135 | 1,224 | |
Dell International LLC 144A 4.000%, 7/15/24(1) | 395 | 427 |
Par Value | Value | ||
Information Technology—continued | |||
Flex Ltd. 3.750%, 2/1/26 | $ 892 | $ 974 | |
Hewlett Packard Enterprise Co. | |||
2.250%, 4/1/23 | 660 | 681 | |
4.900%, 10/15/25 | 385 | 441 | |
(3 month LIBOR + 0.720%) 1.024%, 10/5/21(3) | 145 | 145 | |
HP, Inc. | |||
2.200%, 6/17/25 | 396 | 415 | |
3.000%, 6/17/27 | 720 | 778 | |
Leidos, Inc. 144A 3.625%, 5/15/25(1) | 933 | 1,035 | |
Microchip Technology, Inc. 144A 2.670%, 9/1/23(1) | 1,165 | 1,206 | |
Open Text Corp. 144A 3.875%, 2/15/28(1) | 1,000 | 1,011 | |
VMware, Inc. | |||
2.950%, 8/21/22 | 1,295 | 1,348 | |
4.500%, 5/15/25 | 440 | 498 | |
Xerox Holdings Corp. 144A 5.000%, 8/15/25(1) | 515 | 509 | |
10,692 | |||
Materials—0.8% | |||
Ardagh Packaging Finance plc 144A 4.125%, 8/15/26(1) | 925 | 938 | |
DuPont de Nemours, Inc. | |||
3.766%, 11/15/20 | 146 | 146 | |
(3 month LIBOR + 0.710%) 0.990%, 11/15/20(3) | 243 | 243 | |
Glencore Funding LLC 144A 1.625%, 9/1/25(1) | 1,275 | 1,261 | |
Nutrition & Biosciences, Inc. | |||
144A 1.230%, 10/1/25(1) | 643 | 642 | |
144A 1.832%, 10/15/27(1) | 693 | 696 | |
Syngenta Finance NV 144A 3.933%, 4/23/21(1) | 365 | 370 | |
4,296 | |||
Real Estate—0.7% | |||
GLP Capital LP 5.250%, 6/1/25 | 640 | 695 | |
iStar, Inc. 4.250%, 8/1/25 | 965 | 900 | |
Office Properties Income Trust 4.150%, 2/1/22 | 915 | 922 | |
Service Properties Trust | |||
4.500%, 6/15/23 | 420 | 412 | |
4.650%, 3/15/24 | 430 | 400 |
Par Value | Value | ||
Real Estate—continued | |||
4.350%, 10/1/24 | $ 455 | $ 412 | |
3,741 | |||
Utilities—2.0% | |||
Avangrid, Inc. 3.200%, 4/15/25 | 716 | 788 | |
CenterPoint Energy, Inc. 3.850%, 2/1/24 | 1,260 | 1,380 | |
DPL, Inc. 144A 4.125%, 7/1/25(1) | 605 | 633 | |
DTE Energy Co. 2.529%, 10/1/24 | 1,074 | 1,141 | |
Exelon Corp. 3.497%, 6/1/22 | 864 | 904 | |
NRG Energy, Inc. 144A 3.750%, 6/15/24(1) | 1,516 | 1,618 | |
PNM Resources, Inc. 3.250%, 3/9/21 | 810 | 819 | |
Southern Co. (The) 2.950%, 7/1/23 | 920 | 978 | |
TerraForm Power Operating LLC 144A 4.250%, 1/31/23(1) | 735 | 753 | |
Vistra Operations Co. LLC 144A 3.550%, 7/15/24(1) | 1,040 | 1,108 | |
10,122 | |||
Total Corporate Bonds and Notes (Identified Cost $99,782) | 102,693 | ||
Leveraged Loans(3)—4.7% | |||
Aerospace—0.4% | |||
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/20/27 | 890 | 904 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 2.397%, 5/30/25 | 227 | 214 | |
Tranche F (1 month LIBOR + 2.250%) 2.397%, 12/9/25 | 717 | 676 | |
1,794 | |||
Chemicals—0.2% | |||
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 0.000%, 4/1/24(7) | 1,067 | 1,035 | |
Energy—0.0% | |||
Paragon Offshore Finance Co. (3 month PRIME + 0.000%) 3.250%, 7/16/21(8)(9) | 1 | — |
Par Value | Value | ||
Financial—0.2% | |||
Financial & Risk US Holdings, Inc. (1 month LIBOR + 3.250%) 0.000%, 10/1/25(7) | $ 1,017 | $ 1,006 | |
Food / Tobacco—0.2% | |||
Aramark Services, Inc. | |||
Tranche B-2 (1 month LIBOR + 1.750%) 1.897%, 3/28/24 | 212 | 203 | |
Tranche B-3 (1 month LIBOR + 1.750%) 1.897%, 3/11/25 | 345 | 329 | |
Tranche B-4 (1 month LIBOR + 1.750%) 1.897%, 1/15/27 | 214 | 204 | |
736 | |||
Forest Prod / Containers—0.2% | |||
Berry Global, Inc. Tranche Y (1 month LIBOR + 2.000%) 2.156%, 7/1/26 | 721 | 698 | |
Reynolds Consumer Products LLC (1 month LIBOR + 1.750%) 1.897%, 2/4/27 | 138 | 137 | |
835 | |||
Gaming / Leisure—0.4% | |||
Aristocrat Technologies, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/19/24 | 120 | 119 | |
Boyd Gaming Corp. Tranche B (weekly LIBOR + 2.250%) 2.356%, 9/15/23 | 505 | 491 | |
CityCenter Holdings LLC (1 month LIBOR + 2.250%) 3.000%, 4/18/24 | 602 | 577 | |
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 1.898%, 6/22/26 | 578 | 557 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.500%, 2/8/27 | 353 | 336 | |
2,080 | |||
Healthcare—0.9% | |||
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 2.901%, 11/27/25 | 164 | 160 | |
(1 month LIBOR + 3.000%) 3.151%, 6/2/25 | 370 | 362 |
Par Value | Value | ||
Healthcare—continued | |||
Elanco Animal Health, Inc. (1 month LIBOR + 1.750%) 1.905%, 8/1/27 | $ 88 | $ 85 | |
Greatbatch Ltd. Tranche B (1 month LIBOR + 2.500%) 0.000%, 10/27/22(7) | 845 | 842 | |
HCA, Inc. Tranche B-13 (1 month LIBOR + 1.750%) 1.897%, 3/18/26 | 1,761 | 1,752 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 1.970%, 6/11/25 | 522 | 514 | |
Jaguar Holding Co. II 2018 (1 month LIBOR + 2.500%) 0.000%, 8/18/22(7) | 1,012 | 1,008 | |
4,723 | |||
Information Technology—0.4% | |||
Dell International LLC Tranche B-1 (1 month LIBOR + 2.000%) 0.000%, 9/19/25(7) | 1,020 | 1,015 | |
Science Applications International Corp. Tranche B2 (1 month LIBOR + 2.250%) 2.397%, 3/13/27 | 791 | 780 | |
SS&C Technologies, Inc. Tranche B-5 (1 month LIBOR + 1.750%) 1.897%, 4/16/25 | 458 | 443 | |
2,238 | |||
Manufacturing—0.1% | |||
Gardner Denver, Inc. Tranche A (1 month LIBOR + 2.750%) 2.897%, 3/1/27 | 35 | 34 | |
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 1.897%, 2/28/27 | 453 | 437 | |
NCR Corp. (1 month LIBOR + 2.500%) 2.650%, 8/28/26 | 245 | 239 | |
710 | |||
Media / Telecom - Broadcasting—0.1% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.750%) 2.905%, 9/18/26 | 644 | 629 |
Par Value | Value | ||
Media / Telecom - Cable/Wireless Video—0.5% | |||
Charter Communications Operating LLC Tranche B2 (1 month LIBOR + 1.750%) 1.900%, 2/1/27 | $ 814 | $ 795 | |
CSC Holdings LLC | |||
2018 (1 month LIBOR + 2.250%) 2.402%, 1/15/26 | 734 | 708 | |
2019 (1 month LIBOR + 2.500%) 2.652%, 4/15/27 | 278 | 269 | |
Virgin Media Bristol LLC Tranche B (3 month LIBOR + 3.250%) 0.000%, 1/31/29(7) | 925 | 908 | |
2,680 | |||
Media / Telecom - Diversified Media—0.2% | |||
UPC Broadband Holding B.V. | |||
Tranche B-1 (3 month LIBOR + 3.500%) 0.000%, 1/31/29(7) | 520 | 504 | |
Tranche B-2 (3 month LIBOR + 3.500%) 0.000%, 1/31/29(7) | 525 | 509 | |
1,013 | |||
Media / Telecom - Telecommunications—0.3% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.397%, 3/15/27 | 838 | 804 | |
Level 3 Financing, Inc. 2027, Tranche B (1 month LIBOR + 1.750%) 1.897%, 3/1/27 | 441 | 426 | |
1,230 | |||
Media / Telecom - Wireless Communications—0.4% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 3.397%, 4/4/26 | 327 | 318 |
Par Value | Value | ||
Media / Telecom - Wireless Communications—continued | |||
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 1.900%, 4/11/25 | $ 396 | $ 385 | |
T-Mobile USA, Inc. (1 month LIBOR + 3.000%) 3.147%, 4/1/27 | 1,376 | 1,374 | |
2,077 | |||
Service—0.2% | |||
Asplundh Tree Expert LLC (3 month LIBOR + 2.500%) 2.655%, 9/4/27 | 210 | 210 | |
Trans Union LLC Tranche B-5 (1 month LIBOR + 1.750%) 1.897%, 11/16/26 | 762 | 742 | |
952 | |||
Transportation - Automotive—0.0% | |||
Genesee & Wyoming, Inc. (3 month LIBOR + 2.000%) 2.220%, 12/30/26 | 154 | 152 | |
Total Leveraged Loans (Identified Cost $24,296) | 23,890 | ||
Shares | ||
Preferred Stocks—0.8% | ||
Financials—0.8% | ||
Bank of New York Mellon Corp. (The) Series E, 3.647%(3) | 1,380 (10) | 1,353 |
Citigroup, Inc. Series T, 6.250%(11) | 1,020 (10) | 1,133 |
JPMorgan Chase & Co. Series Z, 4.051%(3) | 1,155 (10) | 1,143 |
JPMorgan Chase & Co. Series HH, 4.600% | 531 (10) | 520 |
4,149 | ||
Total Preferred Stocks (Identified Cost $4,103) | 4,149 | |
Shares | Value | ||
Exchange-Traded Fund—0.3% | |||
iShares iBoxx $ Investment Grade Corporate Bond ETF(12) | 12,940 | $ 1,743 | |
Total Exchange-Traded Fund (Identified Cost $1,678) | 1,743 | ||
Total Long-Term Investments—98.8% (Identified Cost $495,541) | 503,887 | ||
Short-Term Investment—2.5% | |||
Money Market Mutual Fund—2.5% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.025%)(12) | 12,915,182 | 12,915 | |
Total Short-Term Investment (Identified Cost $12,915) | 12,915 | ||
TOTAL INVESTMENTS—101.3% (Identified Cost $508,456) | $516,802 | ||
Other assets and liabilities, net—(1.3)% | (6,836) | ||
NET ASSETS—100.0% | $509,966 |
Abbreviations: | |
ABS | Asset-Backed Securities |
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 |
WaMu | Washington Mutual |
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 September 30, 2020, these securities amounted to a value of $339,963 or 66.7% of net assets. |
(2) | Amount is less than $500. |
(3) | Variable rate security. Rate disclosed is as of September 30, 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) | Interest payments may be deferred. |
(5) | No contractual maturity date. |
(6) | 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. |
(7) | This loan will settle after September 30, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(8) | 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. |
(9) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(10) | Value shown as par value. |
(11) | Interest may be forfeited. |
(12) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
United States | 96% |
Netherlands | 2 |
Canada | 1 |
Other | 1 |
Total | 100% |
† % of total investments as of September 30, 2020. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $169,342 | $ — | $169,342 | $— | |||
Corporate Bonds and Notes | 102,693 | — | 102,693 | — | |||
Foreign Government Securities | 4,874 | — | 4,874 | — | |||
Leveraged Loans | 23,890 | — | 23,890 | — (1) | |||
Mortgage-Backed Securities | 157,439 | — | 157,439 | — | |||
U.S. Government Securities | 39,757 | — | 39,757 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 4,149 | — | 4,149 | — | |||
Exchange-Traded Fund | 1,743 | 1,743 | — | — | |||
Money Market Mutual Fund | 12,915 | 12,915 | — | — | |||
Total Investments | $516,802 | $14,658 | $502,144 | $— |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | 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) | 23 | 23 | — (b) | ||
Sales (d) | (306) | (306) | — | ||
Transfers from Level 3(e) | (3,395) | (3,395) | — | ||
Balance as of September 30, 2020 | $ —(a) | $ — | $— (a) |
September 30, 2020
Par Value | Value | ||
U.S. Government Securities—1.7% | |||
U.S. Treasury Bond 2.875%, 5/15/49 | $ 410 | $ 549 | |
U.S. Treasury Notes | |||
0.250%, 5/31/25 | 2,045 | 2,045 | |
1.500%, 2/15/30 | 4,075 | 4,395 | |
Total U.S. Government Securities (Identified Cost $6,989) | 6,989 | ||
Municipal Bonds—0.1% | |||
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 100 | 106 | |
Michigan—0.0% | |||
Tobacco Settlement Finance Authority Revenue Taxable Series A 7.309%, 6/1/34 | 125 | 128 | |
Virginia—0.1% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 305 | 315 | |
Total Municipal Bonds (Identified Cost $528) | 549 | ||
Foreign Government Securities—9.5% | |||
Abu Dhabi Government International Bond 144A 3.125%, 4/16/30(1) | 400 | 447 | |
Dominican Republic | |||
144A 6.875%, 1/29/26(1) | 395 | 439 | |
144A 5.950%, 1/25/27(1) | 615 | 660 | |
144A 5.875%, 1/30/60(1) | 395 | 373 | |
Federative Republic of Brazil | |||
3.875%, 6/12/30 | 440 | 440 | |
4.750%, 1/14/50 | 490 | 476 | |
Kingdom of Morocco 144A 5.500%, 12/11/42(1) | 410 | 508 | |
Kingdom of Saudi Arabia | |||
144A 3.625%, 3/4/28(1) | 1,445 | 1,601 | |
144A 3.250%, 10/22/30(1) | 1,565 | 1,700 | |
144A 4.500%, 10/26/46(1) | 1,425 | 1,710 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Republic of Angola 144A 8.250%, 5/9/28(1) | $ 390 | $ 310 | |
Republic of Colombia | |||
3.000%, 1/30/30 | 220 | 224 | |
3.125%, 4/15/31 | 325 | 333 | |
4.125%, 5/15/51 | 730 | 758 | |
Republic of Egypt | |||
144A 7.600%, 3/1/29(1) | 1,435 | 1,470 | |
144A 8.500%, 1/31/47(1) | 745 | 720 | |
144A 8.875%, 5/29/50(1) | 300 | 297 | |
Republic of Ghana 144A 8.125%, 3/26/32(1) | 1,075 | 940 | |
Republic of Indonesia | |||
2.850%, 2/14/30 | 1,980 | 2,079 | |
4.200%, 10/15/50 | 1,530 | 1,767 | |
144A 4.350%, 1/8/27(1) | 1,055 | 1,209 | |
Republic of Kenya 144A 8.000%, 5/22/32(1) | 625 | 616 | |
Republic of Nigeria 144A 7.875%, 2/16/32(1) | 835 | 796 | |
Republic of Panama | |||
3.160%, 1/23/30 | 280 | 304 | |
4.300%, 4/29/53 | 475 | 584 | |
3.870%, 7/23/60 | 815 | 933 | |
Republic of Peruvian 2.783%, 1/23/31 | 505 | 546 | |
Republic of Philippines 3.700%, 3/1/41 | 765 | 883 | |
Republic of South Africa | |||
4.850%, 9/27/27 | 680 | 670 | |
5.875%, 6/22/30 | 480 | 490 | |
5.650%, 9/27/47 | 510 | 432 | |
Republic of Turkey | |||
4.875%, 10/9/26 | 915 | 837 | |
7.625%, 4/26/29 | 1,870 | 1,924 | |
5.250%, 3/13/30 | 370 | 329 | |
Republic of Venezuela | |||
9.375%, 1/13/34(2) | 920 | 69 | |
RegS 7.650%, 4/21/25(2)(3) | 1,500 | 112 | |
Republica Oriental del Uruguay | |||
4.375%, 1/23/31 | 165 | 196 | |
5.100%, 6/18/50 | 665 | 892 | |
Russian Federation | |||
RegS 4.375%, 3/21/29(3) | 2,000 | 2,295 | |
RegS 5.250%, 6/23/47(3) | 400 | 530 | |
State of Israel 2.750%, 7/3/30 | 680 | 750 | |
State of Qatar | |||
144A 3.750%, 4/16/30(1) | 1,025 | 1,188 | |
144A 4.400%, 4/16/50(1) | 430 | 553 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Ukraine Government | |||
144A 7.750%, 9/1/25(1) | $ 1,220 | $ 1,221 | |
144A 7.253%, 3/15/33(1) | 650 | 597 | |
United Mexican States | |||
4.500%, 1/31/50 | 2,460 | 2,595 | |
Series M 6.500%, 6/9/22 | 16,410 MXN | 767 | |
Total Foreign Government Securities (Identified Cost $41,086) | 39,570 | ||
Mortgage-Backed Securities—14.9% | |||
Agency—0.3% | |||
Federal National Mortgage Association | |||
Pool #MA3663 3.500%, 5/1/49 | 407 | 429 | |
Pool #CA4978 3.000%, 1/1/50 | 603 | 632 | |
1,061 | |||
Non-Agency—14.6% | |||
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(1) | 915 | 991 | |
2015-SFR1, A 144A 3.467%, 4/17/52(1) | 631 | 674 | |
2015-SFR2, C 144A 4.691%, 10/17/52(1) | 1,011 | 1,114 | |
AMSR Trust | |||
2020-SFR2, D 144A 3.282%, 7/17/37(1) | 660 | 686 | |
2020-SFR3, B 144A 1.806%, 9/17/37(1) | 2,000 | 2,000 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(1)(4) | 1,394 | 1,422 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(4) | 351 | 362 | |
2019-2, A1 144A 3.347%, 4/25/49(1)(4) | 338 | 348 | |
Banc of America Funding Trust | |||
2005-1, 1A1 5.500%, 2/25/35 | 217 | 224 | |
2006-2, 3A1 6.000%, 3/25/36 | 102 | 102 | |
Bayview Opportunity Master Fund IVa Trust | |||
2016-SPL1, B1 144A 4.250%, 4/28/55(1) | 625 | 653 | |
2017-SPL5, B1 144A 4.000%, 6/28/57(1)(4) | 1,000 | 1,056 |
Par Value | Value | ||
Non-Agency—continued | |||
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(1)(4) | $ 445 | $ 467 | |
Bunker Hill Loan Depositary Trust 2019-2, A1 144A 2.879%, 7/25/49(1)(4) | 272 | 279 | |
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(1)(4) | 972 | 942 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(1) | 735 | 743 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2019-IMC1, A1 144A 2.720%, 7/25/49(1)(4) | 487 | 495 | |
2015-A, A1 144A 3.500%, 6/25/58(1)(4) | 117 | 120 | |
2019-RP1, A1 144A 3.500%, 1/25/66(1)(4) | 710 | 759 | |
CoreVest American Finance Trust | |||
2019-3, C 144A 3.265%, 10/15/52(1) | 250 | 252 | |
2020-3, A 144A 1.358%, 8/15/53(1) | 830 | 829 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 1.132%, 5/15/36(1)(4) | 675 | 674 | |
Credit Suisse Mortgage Capital Trust | |||
2014-IVR2, A2 144A 3.695%, 4/25/44(1)(4) | 145 | 153 | |
2018-RPL8, A1 144A 4.125%, 7/25/58(1)(4) | 1,722 | 1,729 | |
2020-RPL4, A1 144A 2.000%, 1/25/60(1) | 1,035 | 1,068 | |
Deephaven Residential Mortgage Trust | |||
2017-1A, A2 144A 2.928%, 12/26/46(1)(4) | 50 | 50 | |
2017-2A, A2 144A 2.606%, 6/25/47(1)(4) | 49 | 49 | |
Ellington Financial Mortgage Trust 2019-2, A3 144A 3.046%, 11/25/59(1)(4) | 147 | 150 | |
FirstKey Homes Trust 2020-SFR1, B 144A 1.740%, 9/17/25(1) | 605 | 604 | |
Galton Funding Mortgage Trust | |||
2018-1, A23 144A 3.500%, 11/25/57(1)(4) | 246 | 253 | |
2018-2, A41 144A 4.500%, 10/25/58(1)(4) | 210 | 215 |
Par Value | Value | ||
Non-Agency—continued | |||
2020-H1, A1 144A 2.310%, 1/25/60(1)(4) | $1,013 | $1,032 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(1)(4) | 359 | 364 | |
Homeward Opportunities Fund I Trust | |||
2018-1, A1 144A 3.766%, 6/25/48(1)(4) | 266 | 267 | |
2019-3, A1 144A 2.675%, 11/25/59(1)(4) | 1,891 | 1,918 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C31, AS 4.106%, 8/15/48 | 665 | 739 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(1)(4) | 109 | 111 | |
2014-5, B2 144A 2.946%, 10/25/29(1)(4) | 238 | 237 | |
2016-SH1, M2 144A 3.750%, 4/25/45(1)(4) | 345 | 349 | |
2016-SH2, M2 144A 3.750%, 12/25/45(1)(4) | 656 | 677 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(1)(4) | 775 | 787 | |
MASTR Alternative Loan Trust | |||
2005-5, 2A3 5.500%, 7/25/25 | 353 | 353 | |
2005-2, 2A1 6.000%, 1/25/35 | 255 | 274 | |
MASTR Specialized Loan Trust 2005-3, A2 144A 5.704%, 11/25/35(1)(4) | 51 | 51 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 1.348%, 6/25/52(1)(4) | 400 | 399 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.645%, 4/25/55(1)(4) | 425 | 450 | |
2019-1A, A1A 144A 3.750%, 4/25/58(1)(4) | 590 | 633 | |
Mill City Mortgage Loan Trust 2019-1, M2 144A 3.500%, 10/25/69(1)(4) | 779 | 848 | |
New Residential Mortgage Loan Trust | |||
2017-2A, A3 144A 4.000%, 3/25/57(1)(4) | 482 | 522 | |
2018-2A, A1 144A 4.500%, 2/25/58(1)(4) | 75 | 82 | |
2020-NPL2, A1 144A 3.228%, 8/25/60(1)(4) | 279 | 279 |
Par Value | Value | ||
Non-Agency—continued | |||
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(1)(4) | $ 383 | $ 399 | |
2018-EXP2, 1A1 144A 4.000%, 7/25/58(1)(4) | 695 | 707 | |
2019-EXP3, 1A8 144A 3.500%, 10/25/59(1)(4) | 523 | 537 | |
Preston Ridge Partners Mortgage LLC | |||
2019-1A, A1 144A 4.500%, 1/25/24(1)(4) | 680 | 685 | |
2020-2, A1 144A 3.671%, 8/25/25(1)(4) | 1,072 | 1,072 | |
2020-3, A1 144A 2.857%, 9/25/25(1) | 785 | 785 | |
Pretium Mortgage Credit Partners I LLC 2019-NPL3, A1 144A 3.105%, 7/27/59(1)(4) | 367 | 367 | |
Progress Residential Trust | |||
2017-SFR1, B 144A 3.017%, 8/17/34(1) | 940 | 951 | |
2018-SFR1, B 144A 3.484%, 3/17/35(1) | 980 | 989 | |
2018-SFR2, B 144A 3.841%, 8/17/35(1) | 1,380 | 1,409 | |
2019-SFR2, A 144A 3.147%, 5/17/36(1) | 1,059 | 1,093 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(1)(4) | 1,154 | 1,189 | |
RCO V Mortgage LLC 2019-2, A1 144A 3.475%, 11/25/24(1)(4) | 348 | 348 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(1)(4) | 642 | 653 | |
Sequoia Mortgage Trust 2013-8, B1 3.514%, 6/25/43(4) | 525 | 537 | |
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(1)(4) | 273 | 276 | |
Starwood Mortgage Residential Trust 2019-IMC1, A1 144A 3.468%, 2/25/49(1)(4) | 582 | 597 | |
Towd Point Mortgage Trust | |||
2016-1, M1 144A 3.500%, 2/25/55(1)(4) | 380 | 406 | |
2015-5, A2 144A 3.500%, 5/25/55(1)(4) | 690 | 716 | |
2017-1, M1 144A 3.750%, 10/25/56(1)(4) | 450 | 491 | |
2017-4, A2 144A 3.000%, 6/25/57(1)(4) | 570 | 614 | |
2017-6, A2 144A 3.000%, 10/25/57(1)(4) | 485 | 515 | |
2018-6, A1B 144A 3.750%, 3/25/58(1)(4) | 2,700 | 2,976 |
Par Value | Value | ||
Non-Agency—continued | |||
2018-6, A2 144A 3.750%, 3/25/58(1)(4) | $1,925 | $ 2,143 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(1)(4) | 109 | 110 | |
2019-2, A2 144A 3.750%, 12/25/58(1)(4) | 905 | 988 | |
2015-2, 1M1 144A 3.250%, 11/25/60(1)(4) | 710 | 747 | |
Towd Point Trust 2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 1.048%, 4/25/48(1)(4) | 1,212 | 1,207 | |
Tricon American Homes Trust 2019-SFR1, C 144A 3.149%, 3/17/38(1) | 610 | 637 | |
TVC Mortgage Trust 2020-RTL1, M 144A 5.193%, 9/25/24(1)(4) | 1,405 | 1,238 | |
UBS Commercial Mortgage Trust 2012-C1, D 144A 5.755%, 5/10/45(1)(4) | 1,259 | 926 | |
VCAT LLC | |||
2019-NPL2, A1 144A 3.573%, 11/25/49(1)(4) | 622 | 620 | |
2020-NPL1, A1 144A 3.671%, 8/25/50(1)(4) | 800 | 799 | |
Vericrest Opportunity Loan Trust | |||
2019-NPL2, A1 144A 3.967%, 2/25/49(1)(4) | 314 | 314 | |
2020-NPL2, A1A 144A 2.981%, 2/25/50(1)(4) | 248 | 248 | |
Verus Securitization Trust | |||
2018-2, B1 144A 4.426%, 6/1/58(1)(4) | 760 | 789 | |
2019-INV1, A1 144A 3.402%, 12/25/59(1)(4) | 411 | 421 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 665 | 683 | |
Wells Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(1)(4) | 673 | 695 | |
60,712 | |||
Total Mortgage-Backed Securities (Identified Cost $60,627) | 61,773 | ||
Asset-Backed Securities—8.8% | |||
Automobiles—5.3% | |||
ACC Trust 2019-1, B 144A 4.470%, 10/20/22(1) | 640 | 641 | |
American Credit Acceptance Receivables Trust | |||
2018-1, C 144A 3.550%, 4/10/24(1) | 114 | 115 |
Par Value | Value | ||
Automobiles—continued | |||
2018-4, C 144A 3.970%, 1/13/25(1) | $ 745 | $ 755 | |
Avid Automobile Receivables Trust 2019-1, C 144A 3.140%, 7/15/26(1) | 930 | 953 | |
Avis Budget Rental Car Funding AESOP LLC 2018-1A, A 144A 3.700%, 9/20/24(1) | 1,335 | 1,402 | |
CIG Auto Receivables Trust 2020-1A, E 144A 4.430%, 2/12/27(1) | 1,040 | 1,040 | |
Exeter Automobile Receivables Trust | |||
2018-4A, D 144A 4.350%, 9/16/24(1) | 865 | 908 | |
2019-1A, D 144A 4.130%, 12/16/24(1) | 1,415 | 1,479 | |
GLS Auto Receivables Issuer Trust | |||
2019-4A, B 144A 2.780%, 9/16/24(1) | 1,340 | 1,377 | |
2019-4A, C 144A 3.060%, 8/15/25(1) | 1,475 | 1,511 | |
2019-4A, D 144A 4.090%, 8/17/26(1) | 750 | 761 | |
2020-3A, E 144A 4.310%, 7/15/27(1) | 1,180 | 1,215 | |
GLS Auto Receivables Trust | |||
2017-1A, C 144A 3.500%, 7/15/22(1) | 863 | 868 | |
2018-1A, B 144A 3.520%, 8/15/23(1) | 1,155 | 1,173 | |
2018-3A, C 144A 4.180%, 7/15/24(1) | 1,015 | 1,057 | |
Hertz Vehicle Financing II LP 2018-1A, A 144A 3.290%, 2/25/24(1) | 663 | 665 | |
OneMain Direct Auto Receivables Trust 2018-1A, C 144A 3.850%, 10/14/25(1) | 660 | 677 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(1) | 710 | 731 | |
United Auto Credit Securitization Trust 2019-1, E 144A 4.290%, 8/12/24(1) | 670 | 682 | |
USASF Receivables LLC | |||
2020-1A, B 144A 3.220%, 5/15/24(1) | 615 | 621 | |
2020-1A, C 144A 5.940%, 8/15/24(1) | 815 | 828 | |
Veros Automobile Receivables Trust | |||
2018-1, B 144A 4.050%, 2/15/24(1) | 347 | 348 |
Par Value | Value | ||
Automobiles—continued | |||
2020-1, B 144A 2.190%, 6/16/25(1) | $ 810 | $ 813 | |
Westlake Automobile Receivables Trust 2018-3A, D 144A 4.000%, 10/16/23(1) | 1,360 | 1,404 | |
22,024 | |||
Credit Card—0.3% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(1) | 820 | 820 | |
Genesis Private Label Amortizing Trust 2020-1, B 144A 2.830%, 7/20/30(1) | 470 | 472 | |
1,292 | |||
Equipment—0.1% | |||
NMEF Funding LLC 2019-A, A 144A 2.730%, 8/17/26(1) | 535 | 537 | |
Other—3.1% | |||
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(1) | 450 | 452 | |
2019-A, C 144A 4.010%, 7/16/40(1) | 915 | 922 | |
2020-AA, D 144A 7.150%, 7/17/46(1) | 815 | 833 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(1) | 940 | 967 | |
BCC Funding Corp. XVI LLC 2019-1A, D 144A 3.940%, 7/20/27(1) | 930 | 939 | |
Business Jet Securities LLC 2019-1, A 144A 4.212%, 7/15/34(1) | 377 | 377 | |
FREED ABS Trust | |||
2019-1, B 144A 3.870%, 6/18/26(1) | 665 | 666 | |
2019-2, B 144A 3.190%, 11/18/26(1) | 775 | 769 | |
Hardee’s Funding LLC 2018-1A, A2I 144A 4.250%, 6/20/48(1) | 892 | 896 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(1) | 785 | 835 | |
Kabbage Funding LLC 2019-1, A 144A 3.825%, 3/15/24(1) | 42 | 42 | |
Mariner Finance Issuance Trust 2020-AA, A 144A 2.190%, 8/21/34(1) | 1,010 | 1,013 |
Par Value | Value | ||
Other—continued | |||
Oasis LLC 2020-1A, A 144A 3.820%, 1/15/32(1) | $ 505 | $ 507 | |
Octane Receivables Trust | |||
2019-1A, A 144A 3.160%, 9/20/23(1) | 438 | 437 | |
2020-1A, B 144A 1.980%, 6/20/25(1) | 1,290 | 1,290 | |
Planet Fitness Master Issuer LLC 2018-1A, A2II 144A 4.666%, 9/5/48(1) | 1,000 | 1,000 | |
Prosper Marketplace Issuance Trust 2018-2A, B 144A 3.960%, 10/15/24(1) | 144 | 144 | |
Regional Management Issuance Trust 2018-2, A 144A 4.560%, 1/18/28(1) | 655 | 663 | |
12,752 | |||
Total Asset-Backed Securities (Identified Cost $35,556) | 36,605 | ||
Corporate Bonds and Notes—50.5% | |||
Communication Services—6.0% | |||
Altice France Holding S.A. 144A 6.000%, 2/15/28(1) | 705 | 672 | |
Altice France S.A. 144A 7.375%, 5/1/26(1) | 330 | 346 | |
ANGI Group LLC 144A 3.875%, 8/15/28(1) | 635 | 629 | |
Baidu, Inc. 3.425%, 4/7/30 | 1,060 | 1,166 | |
Cable Onda S.A. 144A 4.500%, 1/30/30(1) | 790 | 822 | |
CCO Holdings LLC | |||
144A 4.750%, 3/1/30(1) | 610 | 646 | |
144A 4.500%, 8/15/30(1) | 585 | 614 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(1) | 773 | 796 | |
Clear Channel Worldwide Holdings, Inc. | |||
9.250%, 2/15/24 | 171 | 166 | |
144A 5.125%, 8/15/27(1) | 250 | 240 | |
Consolidated Communications, Inc. | |||
6.500%, 10/1/22 | 650 | 650 | |
144A 6.500%, 10/1/28(1) | 875 | 893 | |
CSC Holdings LLC | |||
144A 5.750%, 1/15/30(1) | 725 | 770 | |
144A 4.125%, 12/1/30(1) | 550 | 561 |
Par Value | Value | ||
Communication Services—continued | |||
144A 4.625%, 12/1/30(1) | $ 500 | $ 502 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(1) | 320 | 226 | |
144A 6.625%, 8/15/27(1) | 620 | 322 | |
DISH DBS Corp. | |||
5.875%, 7/15/22 | 300 | 312 | |
5.000%, 3/15/23 | 305 | 311 | |
7.750%, 7/1/26 | 450 | 495 | |
Frontier Communications Corp. 144A 8.500%, 4/1/26(1) | 245 | 247 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 426 | 420 | |
Level 3 Financing, Inc. | |||
144A 4.250%, 7/1/28(1) | 650 | 660 | |
144A 3.625%, 1/15/29(1) | 250 | 247 | |
Live Nation Entertainment, Inc. | |||
144A 5.625%, 3/15/26(1) | 370 | 357 | |
144A 4.750%, 10/15/27(1) | 580 | 543 | |
McGraw-Hill Global Education Holdings LLC Senior Unsecured Notes 144A 7.875%, 5/15/24(1) | 513 | 276 | |
Meredith Corp. 6.875%, 2/1/26 | 436 | 364 | |
Nexstar Broadcasting, Inc. 144A 4.750%, 11/1/28(1) | 610 | 622 | |
Northwest Fiber LLC 144A 10.750%, 6/1/28(1) | 340 | 371 | |
Outfront Media Capital LLC 144A 6.250%, 6/15/25(1) | 845 | 870 | |
Radiate Holdco LLC | |||
144A 4.500%, 9/15/26(1) | 140 | 140 | |
144A 6.500%, 9/15/28(1) | 485 | 497 | |
Sprint Corp. 7.875%, 9/15/23 | 560 | 642 | |
Sprint Spectrum Co. LLC 144A 5.152%, 3/20/28(1) | 750 | 883 | |
Telesat Canada 144A 6.500%, 10/15/27(1) | 1,445 | 1,455 | |
Tencent Holdings Ltd. 144A 3.975%, 4/11/29(1) | 1,220 | 1,386 | |
T-Mobile USA, Inc. 144A 2.550%, 2/15/31(1) | 708 | 734 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(1) | 315 | 328 |
Par Value | Value | ||
Communication Services—continued | |||
Twitter, Inc. 144A 3.875%, 12/15/27(1) | $ 990 | $ 1,034 | |
Univision Communications, Inc. | |||
144A 5.125%, 2/15/25(1) | 760 | 720 | |
144A 6.625%, 6/1/27(1) | 190 | 185 | |
Virgin Media Finance plc 144A 5.000%, 7/15/30(1) | 955 | 950 | |
25,070 | |||
Consumer Discretionary—6.3% | |||
Alibaba Group Holding Ltd. 3.400%, 12/6/27 | 1,045 | 1,171 | |
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 625 | 605 | |
American Builders & Contractors Supply Co., Inc. 144A 4.000%, 1/15/28(1) | 860 | 874 | |
Aramark Services, Inc. 144A 6.375%, 5/1/25(1) | 845 | 880 | |
Block Financial LLC 3.875%, 8/15/30 | 1,140 | 1,145 | |
Boyd Gaming Corp. 6.375%, 4/1/26 | 175 | 182 | |
Caesars Entertainment, Inc. | |||
144A 6.250%, 7/1/25(1) | 215 | 224 | |
144A 8.125%, 7/1/27(1) | 210 | 223 | |
Caesars Resort Collection LLC 144A 5.750%, 7/1/25(1) | 25 | 26 | |
Carnival Corp. 144A 11.500%, 4/1/23(1) | 120 | 135 | |
Carvana Co. | |||
144A 5.625%, 10/1/25(1) | 485 | 478 | |
144A 5.875%, 10/1/28(1) | 485 | 479 | |
Clarios Global LP 144A 8.500%, 5/15/27(1) | 445 | 462 | |
Cooper-Standard Automotive, Inc. 144A 13.000%, 6/1/24(1) | 545 | 583 | |
Dana, Inc. 5.375%, 11/15/27 | 823 | 844 | |
Downstream Development Authority of the Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23(1) | 451 | 415 | |
Expedia Group, Inc. | |||
144A 6.250%, 5/1/25(1) | 800 | 882 | |
144A 7.000%, 5/1/25(1) | 65 | 70 | |
Ford Motor Co. 9.000%, 4/22/25 | 674 | 773 | |
Ford Motor Credit Co. LLC | |||
5.125%, 6/16/25 | 280 | 289 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
4.125%, 8/17/27 | $ 485 | $ 472 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(1) | 746 | 630 | |
General Motors Co. 6.800%, 10/1/27 | 635 | 772 | |
Golden Nugget, Inc. 144A 8.750%, 10/1/25(1) | 375 | 296 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(1) | 850 | 901 | |
International Game Technology plc 144A 5.250%, 1/15/29(1) | 200 | 202 | |
KAR Auction Services, Inc. 144A 5.125%, 6/1/25(1) | 750 | 750 | |
Lear Corp. 3.800%, 9/15/27 | 835 | 881 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 1,130 | 1,164 | |
Marriott Ownership Resorts, Inc. 4.750%, 1/15/28 | 845 | 801 | |
MGM Growth Properties Operating Partnership LP | |||
5.750%, 2/1/27 | 380 | 409 | |
4.500%, 1/15/28 | 130 | 132 | |
144A 4.625%, 6/15/25(1) | 105 | 107 | |
Nissan Motor Co. Ltd. 144A 4.810%, 9/17/30(1) | 1,035 | 1,038 | |
PulteGroup, Inc. 7.875%, 6/15/32 | 525 | 722 | |
QVC, Inc. 4.750%, 2/15/27 | 200 | 205 | |
Royal Caribbean Cruises Ltd. 144A 9.125%, 6/15/23(1) | 120 | 127 | |
Scientific Games International, Inc. | |||
144A 8.250%, 3/15/26(1) | 570 | 597 | |
144A 7.000%, 5/15/28(1) | 175 | 175 | |
Station Casinos LLC 144A 4.500%, 2/15/28(1) | 475 | 439 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 825 | 891 | |
Under Armour, Inc. 3.250%, 6/15/26 | 640 | 603 | |
VF Corp. 2.950%, 4/23/30 | 855 | 930 | |
Vista Outdoor, Inc. 5.875%, 10/1/23 | 616 | 618 | |
Weekley Homes LLC 144A 4.875%, 9/15/28(1) | 940 | 949 | |
Wynn Macau Ltd. 144A 5.625%, 8/26/28(1) | 650 | 630 | |
26,181 | |||
Par Value | Value | ||
Consumer Staples—1.7% | |||
Albertsons Cos., Inc. | |||
144A 3.250%, 3/15/26(1) | $ 430 | $ 427 | |
144A 4.625%, 1/15/27(1) | 745 | 762 | |
Altria Group, Inc. 4.800%, 2/14/29 | 1,130 | 1,340 | |
Anheuser-Busch InBev Worldwide, Inc. 4.750%, 1/23/29 | 840 | 1,021 | |
Bacardi Ltd. 144A 4.700%, 5/15/28(1) | 780 | 906 | |
BAT Capital Corp. 4.906%, 4/2/30 | 630 | 743 | |
Chobani LLC 144A 7.500%, 4/15/25(1) | 785 | 811 | |
Kraft Heinz Foods Co. 144A 3.875%, 5/15/27(1) | 615 | 655 | |
Kronos Acquisition Holdings, Inc. 144A 9.000%, 8/15/23(1) | 434 | 440 | |
7,105 | |||
Energy—6.7% | |||
Afren plc 144A 11.500%, 2/1/16(1)(2)(5) | 463 | — (6) | |
Aker BP ASA 144A 2.875%, 1/15/26(1) | 825 | 817 | |
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(1) | 660 | 469 | |
Antero Midstream Partners LP 144A 5.750%, 1/15/28(1) | 740 | 609 | |
Apache Corp. 4.625%, 11/15/25 | 620 | 591 | |
Blue Racer Midstream LLC 144A 6.625%, 7/15/26(1) | 750 | 660 | |
BP Capital Markets plc 4.875% (7)(8) | 1,075 | 1,150 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 290 | 83 | |
CGG SA PIK Interest Capitalization, (3 month LIBOR + 4.000%) 144A 5.000%, 2/21/24(1)(9) | 6 | 6 | |
Cheniere Energy Partners LP 5.625%, 10/1/26 | 332 | 345 | |
Cheniere Energy, Inc. 144A 4.625%, 10/15/28(1) | 395 | 405 | |
CITGO Holding, Inc. 144A 9.250%, 8/1/24(1) | 250 | 238 | |
CITGO Petroleum Corp. 144A 7.000%, 6/15/25(1) | 530 | 523 | |
Concho Resources, Inc. 2.400%, 2/15/31 | 1,240 | 1,185 |
Par Value | Value | ||
Energy—continued | |||
Continental Resources, Inc. 4.375%, 1/15/28 | $ 685 | $ 592 | |
CrownRock LP 144A 5.625%, 10/15/25(1) | 670 | 631 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(1) | 190 | 196 | |
144A 6.500%, 7/1/27(1) | 220 | 233 | |
Geopark Ltd. 144A 6.500%, 9/21/24(1) | 395 | 372 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 900 | 986 | |
KazMunayGas National Co., JSC | |||
144A 4.750%, 4/19/27(1) | 1,705 | 1,897 | |
144A 6.375%, 10/24/48(1) | 470 | 599 | |
Kinder Morgan, Inc. 7.750%, 1/15/32 | 805 | 1,119 | |
MEG Energy Corp. 144A 7.125%, 2/1/27(1) | 485 | 435 | |
Mesquite Energy, Inc. 144A 7.250%, 2/15/23(1) | 375 | 2 | |
NuStar Logistics LP 6.375%, 10/1/30 | 230 | 239 | |
Occidental Petroleum Corp. | |||
2.700%, 8/15/22 | 174 | 163 | |
5.875%, 9/1/25 | 410 | 376 | |
3.500%, 8/15/29 | 340 | 261 | |
6.625%, 9/1/30 | 400 | 369 | |
Odebrecht Oil & Gas Finance Ltd. 144A 0.000% (1)(5)(8) | 124 | — (6) | |
Parsley Energy LLC 144A 4.125%, 2/15/28(1) | 840 | 790 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 635 | 493 | |
Pertamina Persero PT 144A 6.450%, 5/30/44(1) | 1,015 | 1,315 | |
Petrobras Global Finance B.V. 5.600%, 1/3/31 | 1,930 | 2,062 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(2) | 1,580 | 40 | |
Petroleos Mexicanos | |||
6.875%, 8/4/26 | 930 | 892 | |
144A 5.950%, 1/28/31(1) | 1,545 | 1,285 | |
6.375%, 1/23/45 | 610 | 457 | |
6.350%, 2/12/48 | 480 | 359 | |
Petronas Capital Ltd. 144A 3.500%, 4/21/30(1) | 965 | 1,078 | |
Plains All American Pipeline LP 3.800%, 9/15/30 | 870 | 843 |
Par Value | Value | ||
Energy—continued | |||
Sabine Pass Liquefaction LLC 4.200%, 3/15/28 | $ 505 | $ 548 | |
Sinopec Group Overseas Development 2017 Ltd. 144A 3.625%, 4/12/27(1) | 700 | 775 | |
Targa Resources Partners LP | |||
5.875%, 4/15/26 | 623 | 640 | |
144A 4.875%, 2/1/31(1) | 210 | 203 | |
Transocean, Inc. 144A 11.500%, 1/30/27(1) | 31 | 12 | |
USA Compression Partners LP 6.875%, 4/1/26 | 400 | 397 | |
27,740 | |||
Financials—7.8% | |||
Acrisure LLC | |||
144A 8.125%, 2/15/24(1) | 255 | 267 | |
144A 7.000%, 11/15/25(1) | 780 | 766 | |
AerCap Ireland Capital DAC 3.650%, 7/21/27 | 975 | 893 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53(7) | 845 | 878 | |
Athene Global Funding 144A 2.450%, 8/20/27(1) | 1,215 | 1,248 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(1) | 725 | 817 | |
Banco de Bogota S.A. 144A 6.250%, 5/12/26(1) | 530 | 575 | |
Bank of America Corp. 3.419%, 12/20/28 | 840 | 936 | |
Bank of Montreal 3.803%, 12/15/32 | 529 | 589 | |
Bank of New York Mellon Corp. (The) Series G 4.700% (8) | 795 | 843 | |
BBVA Bancomer S.A. 144A 5.125%, 1/18/33(1) | 890 | 857 | |
Brighthouse Financial, Inc. | |||
3.700%, 6/22/27 | 240 | 249 | |
5.625%, 5/15/30 | 663 | 773 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 785 | 832 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 1,030 | 1,120 | |
Charles Schwab Corp. (The) Series G 5.375% (8) | 885 | 959 |
Par Value | Value | ||
Financials—continued | |||
Citadel LP 144A 4.875%, 1/15/27(1) | $ 605 | $ 650 | |
Citigroup, Inc. 3.980%, 3/20/30 | 840 | 968 | |
Discover Bank 4.682%, 8/9/28 | 865 | 907 | |
Doric Nimrod Air Alpha Pass-Through-Trust 2013-1, A 144A 5.250%, 5/30/23(1) | 470 | 420 | |
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(1) | 645 | 653 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 845 | 925 | |
FirstCash, Inc. 144A 4.625%, 9/1/28(1) | 510 | 521 | |
Goldman Sachs Group, Inc. (The) 3.850%, 1/26/27 | 875 | 983 | |
ICAHN Enterprises LP 6.250%, 5/15/26 | 765 | 797 | |
Intercorp Peru Ltd. 144A 3.875%, 8/15/29(1) | 740 | 734 | |
Jefferies Group LLC 4.850%, 1/15/27 | 360 | 409 | |
JPMorgan Chase & Co. | |||
4.005%, 4/23/29 | 840 | 972 | |
2.956%, 5/13/31 | 1,715 | 1,833 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 355 | 307 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 2.312%, 4/20/67(4)(7) | 300 | 208 | |
MetLife, Inc. Series G 3.850% (7)(8)(10) | 875 | 872 | |
Navient Corp. | |||
6.750%, 6/25/25 | 611 | 619 | |
5.000%, 3/15/27 | 200 | 188 | |
NMI Holdings, Inc. 144A 7.375%, 6/1/25(1) | 300 | 321 | |
OneMain Finance Corp. | |||
7.125%, 3/15/26 | 670 | 749 | |
5.375%, 11/15/29 | 60 | 62 | |
Park Intermediate Holdings LLC 144A 5.875%, 10/1/28(1) | 20 | 20 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 485 | 511 | |
5.625%, 6/15/43(7) | 450 | 478 | |
Santander Holdings USA, Inc. | |||
3.500%, 6/7/24 | 270 | 290 | |
4.400%, 7/13/27 | 700 | 771 |
Par Value | Value | ||
Financials—continued | |||
Synchrony Financial 3.950%, 12/1/27 | $ 850 | $ 914 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 437 | 450 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | 910 | 1,022 | |
Voya Financial, Inc. 5.650%, 5/15/53 | 615 | 632 | |
Wells Fargo & Co. Series S 5.900% (7)(8) | 640 | 654 | |
32,442 | |||
Health Care—3.9% | |||
Acadia Healthcare Co., Inc. 144A 5.000%, 4/15/29(1) | 25 | 25 | |
Advanz Pharma Corp., Ltd. 8.000%, 9/6/24 | 104 | 102 | |
Avantor Funding, Inc. 144A 4.625%, 7/15/28(1) | 70 | 73 | |
Avantor, Inc. 144A 6.000%, 10/1/24(1) | 302 | 316 | |
Bausch Health Americas, Inc. | |||
144A 9.250%, 4/1/26(1) | 190 | 209 | |
144A 8.500%, 1/31/27(1) | 315 | 346 | |
Bausch Health Cos., Inc. 144A 7.000%, 1/15/28(1) | 455 | 481 | |
Centene Corp. 4.625%, 12/15/29 | 325 | 351 | |
Change Healthcare Holdings LLC 144A 5.750%, 3/1/25(1) | 615 | 623 | |
Community Health Systems, Inc. 144A 6.625%, 2/15/25(1) | 375 | 363 | |
DaVita, Inc. 144A 3.750%, 2/15/31(1) | 580 | 559 | |
Encompass Health Corp. | |||
4.500%, 2/1/28 | 870 | 874 | |
4.750%, 2/1/30 | 115 | 117 | |
HCA, Inc. | |||
5.375%, 2/1/25 | 319 | 349 | |
5.625%, 9/1/28 | 397 | 454 | |
Herbalife Nutrition Ltd. 144A 7.875%, 9/1/25(1) | 1,050 | 1,127 | |
Jaguar Holding Co. II 144A 5.000%, 6/15/28(1) | 340 | 355 | |
LifePoint Health, Inc. | |||
144A 6.750%, 4/15/25(1) | 320 | 337 | |
144A 4.375%, 2/15/27(1) | 305 | 305 |
Par Value | Value | ||
Health Care—continued | |||
Ortho-Clinical Diagnostics, Inc. | |||
144A 7.375%, 6/1/25(1) | $ 370 | $ 376 | |
144A 7.250%, 2/1/28(1) | 110 | 114 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(1) | 335 | 351 | |
Perrigo Finance Unlimited Co. 4.375%, 3/15/26 | 935 | 1,045 | |
Royalty Pharma plc | |||
144A 2.200%, 9/2/30(1) | 842 | 837 | |
144A 3.550%, 9/2/50(1) | 462 | 446 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1) | 520 | 541 | |
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(1) | 670 | 667 | |
144A 10.000%, 4/15/27(1) | 290 | 309 | |
Tenet Healthcare Corp. | |||
8.125%, 4/1/22 | 155 | 172 | |
144A 7.500%, 4/1/25(1) | 65 | 70 | |
144A 5.125%, 11/1/27(1) | 735 | 756 | |
Teva Pharmaceutical Finance Netherlands III B.V. 3.150%, 10/1/26 | 850 | 750 | |
Teva Pharmaceutical Finance Netherlands III BV 7.125%, 1/31/25 | 200 | 210 | |
Universal Health Services, Inc. 144A 2.650%, 10/15/30(1) | 1,258 | 1,252 | |
West Street Merger Sub, Inc. 144A 6.375%, 9/1/25(1) | 927 | 945 | |
16,207 | |||
Industrials—6.4% | |||
Alaska Airlines Pass-Through-Trust 144A 4.800%, 8/15/27(1) | 905 | 948 | |
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(1) | 990 | 1,054 | |
American Airlines, Inc. 144A 11.750%, 7/15/25(1) | 1,035 | 999 | |
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(1) | 870 | 905 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(1) | 1,005 | 900 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(1) | 807 | 765 |
Par Value | Value | ||
Industrials—continued | |||
Boeing Co. (The) | |||
5.150%, 5/1/30 | $ 550 | $ 616 | |
3.750%, 2/1/50 | 450 | 412 | |
5.930%, 5/1/60 | 220 | 272 | |
Bombardier, Inc. | |||
144A 8.750%, 12/1/21(1) | 435 | 441 | |
144A 7.500%, 12/1/24(1) | 505 | 388 | |
144A 7.500%, 3/15/25(1) | 280 | 210 | |
Cornerstone Building Brands, Inc. 144A 6.125%, 1/15/29(1) | 810 | 818 | |
CoStar Group, Inc. 144A 2.800%, 7/15/30(1) | 1,115 | 1,155 | |
DP World plc 144A 6.850%, 7/2/37(1) | 730 | 911 | |
Flowserve Corp. 3.500%, 10/1/30 | 1,310 | 1,298 | |
Fortress Transportation & Infrastructure Investors LLC 144A 9.750%, 8/1/27(1) | 105 | 112 | |
GFL Environmental, Inc. | |||
144A 7.000%, 6/1/26(1) | 269 | 284 | |
144A 8.500%, 5/1/27(1) | 153 | 166 | |
Hawaiian Airlines Pass-Through Certificates 2013-1, B 4.950%, 1/15/22 | 731 | 659 | |
Hillenbrand, Inc. 5.000%, 9/15/26 | 1,175 | 1,275 | |
Howmet Aerospace, Inc. 6.875%, 5/1/25 | 365 | 403 | |
Norwegian Air Shuttle ASA Pass-Through Trust 2016-1, A 144A 4.875%, 5/10/28(1) | 838 | 742 | |
Oshkosh Corp. | |||
4.600%, 5/15/28 | 977 | 1,115 | |
3.100%, 3/1/30 | 222 | 235 | |
Quanta Services, Inc. 2.900%, 10/1/30 | 1,345 | 1,373 | |
Signature Aviation US Holdings, Inc. 144A 4.000%, 3/1/28(1) | 775 | 721 | |
Spirit AeroSystems, Inc. | |||
3.950%, 6/15/23 | 520 | 462 | |
144A 5.500%, 1/15/25(1) | 625 | 628 | |
Standard Industries, Inc. 144A 4.375%, 7/15/30(1) | 1,110 | 1,138 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60(7) | 841 | 874 | |
Titan Acquisition Ltd. 144A 7.750%, 4/15/26(1) | 638 | 635 |
Par Value | Value | ||
Industrials—continued | |||
TransDigm, Inc. | |||
144A 6.250%, 3/15/26(1) | $ 290 | $ 304 | |
5.500%, 11/15/27 | 640 | 615 | |
Transurban Finance Co. Pty Ltd. 144A 2.450%, 3/16/31(1) | 1,065 | 1,086 | |
Uber Technologies, Inc. 144A 7.500%, 5/15/25(1) | 835 | 890 | |
WESCO Distribution, Inc. 144A 7.250%, 6/15/28(1) | 505 | 553 | |
26,362 | |||
Information Technology—2.8% | |||
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(1) | 493 | 521 | |
Black Knight InfoServ LLC 144A 3.625%, 9/1/28(1) | 680 | 687 | |
Broadcom, Inc. 4.150%, 11/15/30 | 890 | 999 | |
Citrix Systems, Inc. 3.300%, 3/1/30 | 1,145 | 1,222 | |
Dell International LLC 144A 8.100%, 7/15/36(1) | 295 | 388 | |
Flex Ltd. 3.750%, 2/1/26 | 660 | 721 | |
HP, Inc. 3.400%, 6/17/30 | 1,120 | 1,200 | |
Microchip Technology, Inc. 144A 4.250%, 9/1/25(1) | 870 | 903 | |
Motorola Solutions, Inc. | |||
4.600%, 2/23/28 | 521 | 608 | |
4.600%, 5/23/29 | 270 | 318 | |
NCR Corp. 144A 5.250%, 10/1/30(1) | 100 | 100 | |
Open Text Holdings, Inc. 144A 4.125%, 2/15/30(1) | 710 | 730 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(1) | 995 | 1,010 | |
ViaSat, Inc. 144A 5.625%, 9/15/25(1) | 830 | 813 | |
VMware, Inc. | |||
3.900%, 8/21/27 | 381 | 425 | |
4.700%, 5/15/30 | 365 | 432 | |
Xerox Holdings Corp. 144A 5.500%, 8/15/28(1) | 700 | 690 | |
11,767 | |||
Par Value | Value | ||
Materials—3.9% | |||
ARD Finance S.A. PIK Interest Capitalization 144A 6.500%, 6/30/27(1)(11) | $ 780 | $ 776 | |
Ardagh Packaging Finance plc 144A 5.250%, 8/15/27(1) | 335 | 341 | |
Avient Corp. 144A 5.750%, 5/15/25(1) | 848 | 899 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(1) | 680 | 692 | |
Equate Petrochemical BV 144A 4.250%, 11/3/26(1) | 765 | 802 | |
Hecla Mining Co. 7.250%, 2/15/28 | 845 | 916 | |
INEOS Group Holdings S.A. 144A 5.625%, 8/1/24(1) | 335 | 339 | |
Inversiones CMPC S.A. 144A 3.850%, 1/13/30(1) | 960 | 1,050 | |
Kaiser Aluminum Corp. | |||
144A 6.500%, 5/1/25(1) | 95 | 98 | |
144A 4.625%, 3/1/28(1) | 480 | 448 | |
Kraton Polymers LLC 144A 7.000%, 4/15/25(1) | 716 | 730 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(1) | 1,085 | 1,021 | |
Novelis Corp. 144A 4.750%, 1/30/30(1) | 920 | 898 | |
Nutrition & Biosciences, Inc. | |||
144A 2.300%, 11/1/30(1) | 830 | 835 | |
144A 3.468%, 12/1/50(1) | 118 | 118 | |
Olin Corp. 5.625%, 8/1/29 | 690 | 680 | |
Reynolds Group Issuer, Inc. 144A 7.000%, 7/15/24(1) | 597 | 608 | |
Schweitzer-Mauduit International, Inc. 144A 6.875%, 10/1/26(1) | 595 | 628 | |
Syngenta Finance N.V. 144A 4.441%, 4/24/23(1) | 315 | 333 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 870 | 1,039 | |
TPC Group, Inc. 144A 10.500%, 8/1/24(1) | 285 | 239 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(1) | 730 | 775 | |
144A 6.625%, 11/1/25(1) | 446 | 439 |
Par Value | Value | ||
Materials—continued | |||
Tronox, Inc. 144A 6.500%, 5/1/25(1) | $ 810 | $ 842 | |
United States Steel Corp. 144A 12.000%, 6/1/25(1) | 685 | 729 | |
16,275 | |||
Real Estate—2.6% | |||
American Campus Communities Operating Partnership LP 3.875%, 1/30/31 | 995 | 1,086 | |
EPR Properties 4.750%, 12/15/26 | 815 | 780 | |
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(1) | 770 | 756 | |
GLP Capital LP | |||
5.250%, 6/1/25 | 600 | 651 | |
5.750%, 6/1/28 | 229 | 261 | |
5.300%, 1/15/29 | 336 | 374 | |
Healthcare Trust of America Holdings LP 3.100%, 2/15/30 | 665 | 715 | |
Iron Mountain, Inc. | |||
144A 4.875%, 9/15/29(1) | 775 | 789 | |
144A 5.250%, 7/15/30(1) | 360 | 375 | |
iStar, Inc. 4.250%, 8/1/25 | 770 | 718 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 302 | 315 | |
4.625%, 8/1/29 | 145 | 151 | |
Office Properties Income Trust 4.500%, 2/1/25 | 900 | 910 | |
Service Properties Trust | |||
7.500%, 9/15/25 | 110 | 117 | |
4.950%, 2/15/27 | 900 | 801 | |
Spirit Realty LP 3.200%, 2/15/31 | 1,060 | 1,034 | |
Uniti Group LP | |||
8.250%, 10/15/23 | 515 | 507 | |
144A 7.875%, 2/15/25(1) | 345 | 366 | |
10,706 | |||
Utilities—2.4% | |||
American Electric Power Co., Inc. 2.300%, 3/1/30 | 868 | 894 | |
CMS Energy Corp. 4.750%, 6/1/50 | 860 | 911 | |
Dominion Energy, Inc. 3.375%, 4/1/30 | 840 | 946 | |
DPL, Inc. 4.350%, 4/15/29 | 733 | 782 |
Par Value | Value | ||
Utilities—continued | |||
Edison International 4.125%, 3/15/28 | $1,040 | $ 1,066 | |
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(1) | 300 | 273 | |
Ferrellgas Partners LP 8.625%, 6/15/20(2) | 135 | 27 | |
National Fuel Gas Co. 5.500%, 1/15/26 | 715 | 780 | |
Perusahaan Listrik Negara PT 144A 4.125%, 5/15/27(1) | 1,000 | 1,078 | |
PG&E Corp. 5.250%, 7/1/30 | 495 | 479 | |
Talen Energy Supply LLC | |||
144A 7.250%, 5/15/27(1) | 145 | 145 | |
144A 6.625%, 1/15/28(1) | 560 | 543 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(1) | 581 | 636 | |
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20(1)(5) | 375 | — | |
Vistra Operations Co. LLC 144A 3.700%, 1/30/27(1) | 1,130 | 1,188 | |
9,748 | |||
Total Corporate Bonds and Notes (Identified Cost $206,424) | 209,603 | ||
Leveraged Loans(4)—10.7% | |||
Aerospace—0.5% | |||
AI Convoy (Luxembourg) S.a.r.l. Tranche B (6 month LIBOR + 3.500%) 4.650%, 1/18/27 | 647 | 642 | |
DynCorp International, Inc. Tranche B, First Lien (1 month LIBOR + 6.000%) 7.000%, 8/18/25 | 323 | 320 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/20/27 | 695 | 706 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 2.397%, 5/30/25 | 214 | 203 |
Par Value | Value | ||
Aerospace—continued | |||
Tranche F (1 month LIBOR + 2.250%) 2.397%, 12/9/25 | $140 | $ 132 | |
2,003 | |||
Chemicals—0.2% | |||
H.B. Fuller Co. Tranche B (1 month LIBOR + 2.000%) 2.156%, 10/21/24 | 500 | 493 | |
Innophos Holdings, Inc. (1 month LIBOR + 3.500%) 3.897%, 2/4/27 | 398 | 394 | |
887 | |||
Consumer Non-Durables—0.7% | |||
American Greetings Corp. (1 month LIBOR + 4.500%) 5.500%, 4/6/24 | 414 | 405 | |
Diamond (BC) B.V. | |||
(3 month LIBOR + 3.000%) 3.261%, 9/6/24 | 810 | 755 | |
(3 month LIBOR + 5.000%) 6.000%, 9/6/24 | 300 | 299 | |
Kronos Acquisition Holdings, Inc. Tranche B-3 (1 month LIBOR + 4.000%) 5.000%, 5/15/23 | 508 | 505 | |
Parfums Holding Co., Inc. First Lien (3 month LIBOR + 4.000%) 4.256%, 6/30/24 | 418 | 408 | |
Rodan & Fields LLC (1 month LIBOR + 4.000%) 4.152%, 6/16/25 | 699 | 475 | |
2,847 | |||
Energy—0.4% | |||
California Resources Corp. 2016 (1 month LIBOR + 10.375%) 11.375%, 12/31/21(2) | 420 | 8 | |
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 5.000%) 6.000%, 3/27/24 | 323 | 306 | |
Fieldwood Energy LLC First Lien (3 month LIBOR + 5.250%) 6.250%, 4/11/22(12) | 880 | 223 |
Par Value | Value | ||
Energy—continued | |||
Hamilton Projects Acquiror LLC (3 month LIBOR + 4.750%) 5.750%, 6/17/27 | $484 | $ 482 | |
Traverse Midstream Partners LLC (1 month LIBOR + 4.000%) 5.000%, 9/27/24 | 652 | 597 | |
1,616 | |||
Financial—0.4% | |||
Asurion LLC Tranche B-2, Second Lien (1 month LIBOR + 6.500%) 6.647%, 8/4/25 | 525 | 525 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 3.147%, 6/16/25 | 373 | 351 | |
Deerfield Dakota Holding LLC First Lien (1 month LIBOR + 3.750%) 4.750%, 4/9/27 | 384 | 381 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 2.904%, 6/28/23 | 511 | 498 | |
Ryan Specialty Group LLC (1 month LIBOR + 3.250%) 4.000%, 9/1/27 | 105 | 104 | |
1,859 | |||
Food / Tobacco—0.8% | |||
Chobani LLC Tranche B (1 month LIBOR + 3.500%) 4.500%, 10/10/23 | 475 | 469 | |
Dole Food Co., Inc. Tranche B (1 month LIBOR + 2.750%) 3.750%, 4/6/24 | 462 | 455 | |
Froneri US, Inc. Tranche B-2 (1 month LIBOR + 2.250%) 2.397%, 1/29/27 | 733 | 703 | |
H-Food Holdings LLC (1 month LIBOR + 3.688%) 3.834%, 5/23/25 | 700 | 678 | |
Milk Specialties Co. (1 month LIBOR + 4.000%) 5.000%, 8/16/23 | 284 | 274 |
Par Value | Value | ||
Food / Tobacco—continued | |||
Shearer’s Foods LLC First Lien (3 month LIBOR + 4.000%) 4.750%, 9/23/27 | $676 | $ 671 | |
3,250 | |||
Forest Prod / Containers—0.3% | |||
BWay Holding Co. (3 month LIBOR + 3.250%) 3.523%, 4/3/24 | 317 | 297 | |
Klockner Pentaplast of America, Inc. (3 month LIBOR + 4.250%) 0.000%, 6/30/22(13) | 828 | 802 | |
Spectrum Holdings III Corp. First Lien (3 month LIBOR + 3.250%) 4.273%, 1/31/25 | 275 | 249 | |
1,348 | |||
Gaming / Leisure—0.8% | |||
Affinity Gaming LLC (3 month LIBOR + 3.250%) 4.250%, 7/3/23 | 498 | 444 | |
Aristocrat Technologies, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/19/24 | 110 | 109 | |
Carnival Corp. (1 month LIBOR + 7.500%) 8.500%, 6/30/25 | 145 | 146 | |
Everi Payments, Inc. | |||
(1 month LIBOR + 10.500%) 11.500%, 5/9/24 | 45 | 45 | |
Tranche B (1 month LIBOR + 2.750%) 3.750%, 5/9/24 | 255 | 246 | |
Landry’s Finance Acquisition Co. 2020 (3 month LIBOR + 12.000%) 13.000%, 10/6/23 | 45 | 51 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24 | 511 | 447 | |
Pug LLC Tranche B (1 month LIBOR + 3.500%) 3.647%, 2/12/27 | 645 | 567 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 3.471%, 8/14/24 | $331 | $ 311 | |
Stars Group Holdings B.V. (3 month LIBOR + 3.500%) 3.720%, 7/10/25 | 291 | 290 | |
UFC Holdings LLC Tranche B (3 month LIBOR + 3.250%) 4.250%, 4/29/26 | 622 | 610 | |
3,266 | |||
Healthcare—1.7% | |||
Accelerated Health Systems LLC (1 month LIBOR + 3.500%) 3.651%, 10/31/25 | 398 | 386 | |
Agiliti Health, Inc. (1 month LIBOR + 3.000%) 3.188%, 1/4/26 | 113 | 110 | |
AHP Health Partners, Inc. (1 month LIBOR + 4.500%) 5.500%, 6/30/25 | 483 | 482 | |
ASP Navigate Acquisition Corp. First Lien (3 month LIBOR + 4.500%) 0.000%, 9/24/27(13) | 355 | 351 | |
Bausch Health Cos., Inc. (1 month LIBOR + 2.750%) 2.901%, 11/27/25 | 184 | 179 | |
CHG Healthcare Services, Inc. (3 month LIBOR + 3.000%) 4.000%, 6/7/23 | 557 | 547 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 3.897%, 10/10/25 | 285 | 205 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 3.897%, 11/17/25 | 650 | 631 | |
Milano Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 0.000%, 10/1/27(13) | 810 | 800 | |
Navicure, Inc. | |||
(1 month LIBOR + 4.000%) 4.147%, 10/22/26 | 254 | 248 |
Par Value | Value | ||
Healthcare—continued | |||
Tranche B (1 month LIBOR + 4.000%) 4.750%, 10/22/26 | $220 | $ 218 | |
One Call Corp. First Lien (3 month LIBOR + 5.250%) 6.250%, 11/27/22 | 707 | 617 | |
Ortho-Clinical Diagnostics, Inc. (1 month LIBOR + 3.250%) 3.406%, 6/30/25 | 334 | 319 | |
Packaging Coordinators Midco, Inc. First Lien (3 month LIBOR + 3.750%) 0.000%, 9/25/27(13) | 155 | 154 | |
Phoenix Guarantor, Inc. Tranche B-1 (1 month LIBOR + 3.250%) 3.401%, 3/5/26 | 740 | 720 | |
Sotera Health Holdings LLC First Lien (3 month LIBOR + 4.500%) 5.500%, 12/11/26 | 468 | 465 | |
Surgery Center Holdings, Inc. 2020 (1 month LIBOR + 8.000%) 9.000%, 9/30/24 | 75 | 75 | |
Viant Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 3.897%, 7/2/25 | 665 | 612 | |
7,119 | |||
Housing—0.1% | |||
CPG International LLC (3 month LIBOR + 3.750%) 4.750%, 5/6/24 | 325 | 324 | |
LEB Holdings (USA), Inc. (3 month LIBOR + 4.000%) 0.000%, 9/25/27(13) | 105 | 104 | |
428 | |||
Information Technology—1.1% | |||
Applied Systems, Inc. Second Lien (3 month LIBOR + 7.000%) 8.000%, 9/19/25 | 305 | 308 | |
Aston Finco S.a.r.l. First Lien (1 month LIBOR + 4.250%) 4.401%, 10/9/26 | 274 | 268 |
Par Value | Value | ||
Information Technology—continued | |||
Boxer Parent Co., Inc. (1 month LIBOR + 4.250%) 4.397%, 10/2/25 | $614 | $ 595 | |
Epicor Software Corp. Tranche B (1 month LIBOR + 4.250%) 5.250%, 7/30/27 | 820 | 818 | |
Hyland Software, Inc. 2018 (3 month LIBOR + 3.250%) 0.000%, 7/1/24(13) | 269 | 268 | |
Redstone Holdco 2 LP (3 month LIBOR + 5.000%) 6.000%, 9/1/27 | 315 | 313 | |
Sophia LP (3 month LIBOR + 3.750%) 0.000%, 10/7/27(13) | 500 | 496 | |
SS&C Technologies, Inc. | |||
Tranche B-3 (1 month LIBOR + 1.750%) 1.897%, 4/16/25 | 183 | 177 | |
Tranche B-4 (1 month LIBOR + 1.750%) 1.897%, 4/16/25 | 129 | 125 | |
Ultimate Software Group, Inc. (The) | |||
2020 (3 month LIBOR + 4.000%) 4.750%, 5/4/26 | 745 | 742 | |
Second Lien (3 month LIBOR + 6.750%) 7.500%, 5/3/27 | 25 | 25 | |
Vertiv Group Corp. (1 month LIBOR + 3.000%) 3.157%, 3/2/27 | 343 | 338 | |
4,473 | |||
Manufacturing—0.5% | |||
CPI Acquisition, Inc. First Lien (3 month LIBOR + 4.500%) 5.500%, 8/17/22 | 604 | 525 | |
Filtration Group Corp. (1 month LIBOR + 3.000%) 3.147%, 3/31/25 | 518 | 507 | |
Star US Bidco LLC (1 month LIBOR + 4.250%) 5.250%, 3/17/27 | 394 | 374 |
Par Value | Value | ||
Manufacturing—continued | |||
U.S. Farathane LLC Tranche B-4 (3 month LIBOR + 3.500%) 4.500%, 12/23/21 | $883 | $ 761 | |
2,167 | |||
Media / Telecom - Broadcasting—0.0% | |||
Diamond Sports Group LLC (1 month LIBOR + 3.250%) 3.400%, 8/24/26 | 277 | 214 | |
Media / Telecom - Cable/Wireless Video—0.1% | |||
Intelsat Jackson Holdings S.A. | |||
(3 month LIBOR + 4.550%) 5.050%, 7/14/21 | 39 | 40 | |
(3 month LIBOR + 4.550%) 5.050%, 7/14/21(14) | 39 | 40 | |
Tranche B-5 (6 month LIBOR + 8.00%) 8.625%, 1/2/24(12) | 318 | 321 | |
Radiate Holdco LLC Tranche B (3 month LIBOR + 3.500%) 0.000%, 9/25/26(13) | 103 | 100 | |
501 | |||
Media / Telecom - Diversified Media—0.2% | |||
UPC Broadband Holding B.V. | |||
Tranche B-1 (3 month LIBOR + 3.500%) 0.000%, 1/31/29(13) | 400 | 387 | |
Tranche B-2 (3 month LIBOR + 3.500%) 0.000%, 1/31/29(13) | 400 | 388 | |
775 | |||
Media / Telecom - Telecommunications—0.4% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.397%, 3/15/27 | 218 | 210 | |
Consolidated Communications, Inc. | |||
(3 month LIBOR + 4.750%) 0.000%, 10/2/27(13) | 375 | 371 | |
2016 (1 month LIBOR + 3.000%) 4.000%, 10/5/23 | 343 | 339 | |
Frontier Communications Corp. Tranche B-1 (3 month PRIME + 2.750%) 6.000%, 6/17/24 | 310 | 304 |
Par Value | Value | ||
Media / Telecom - Telecommunications—continued | |||
Northwest Fiber LLC Tranche B, First Lien (1 month LIBOR + 5.500%) 5.656%, 4/30/27 | $135 | $ 134 | |
Numericable U.S. LLC Tranche B-12 (1 month LIBOR + 3.688%) 3.840%, 1/31/26 | 289 | 277 | |
1,635 | |||
Media / Telecom - Wireless Communications—0.3% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 3.397%, 4/4/26 | 227 | 221 | |
T-Mobile USA, Inc. (1 month LIBOR + 3.000%) 3.147%, 4/1/27 | 843 | 842 | |
1,063 | |||
Retail—0.2% | |||
Leslie’s Poolmart, Inc. Tranche B-2 (1 month LIBOR + 3.500%) 3.647%, 8/16/23 | 533 | 521 | |
Michaels Stores, Inc. 2020, Tranche B (3 month LIBOR + 3.500%) 0.000%, 10/1/27(13) | 252 | 246 | |
Neiman Marcus Group Ltd. LLC (3 month LIBOR + 0.000%) 0.000%, 10/25/23(2) | 328 | 52 | |
819 | |||
Service—1.3% | |||
Cardtronics USA, Inc. (1 month LIBOR + 4.000%) 5.000%, 6/29/27 | 504 | 501 | |
Carlisle Food Service Products, Inc. First Lien (1 month LIBOR + 3.000%) 4.000%, 3/20/25 | 488 | 432 | |
CSC SW Holdco, Inc. Tranche B-1 (3 month LIBOR + 3.250%) 4.250%, 11/14/22 | 623 | 610 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 3.750%) 3.895%, 2/6/26 | 741 | 733 |
Par Value | Value | ||
Service—continued | |||
GFL Environmental, Inc. 2018 (3 month LIBOR + 3.000%) 4.000%, 5/30/25 | $453 | $ 450 | |
Hoya Midco LLC First Lien (6 month LIBOR + 3.500%) 4.500%, 6/30/24 | 198 | 169 | |
Pearl Intermediate Parent LLC First Lien (1 month LIBOR + 2.750%) 2.897%, 2/14/25 | 600 | 580 | |
PetVet Care Centers LLC 2020, First Lien (1 month LIBOR + 4.250%) 5.250%, 2/14/25 | 135 | 134 | |
Pi US Mergerco, Inc. Tranche B-1 (3 month LIBOR + 3.500%) 4.500%, 1/3/25 | 650 | 626 | |
Sedgwick Claims Management Services, Inc. | |||
2019 (1 month LIBOR + 4.000%) 4.147%, 9/3/26 | 773 | 760 | |
2020 (1 month LIBOR + 4.250%) 5.250%, 9/3/26 | 170 | 168 | |
TKC Holdings, Inc. First Lien (3 month LIBOR + 3.750%) 4.750%, 2/1/23 | 320 | 300 | |
5,463 | |||
Transportation - Automotive—0.3% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23 | 871 | 743 | |
Panther BF Aggregator 2 LP First Lien (1 month LIBOR + 3.500%) 3.647%, 4/30/26 | 342 | 332 | |
1,075 | |||
Utility—0.4% | |||
APLP Holdings LP 2020, Tranche B (3 month LIBOR + 2.500%) 3.500%, 4/14/25 | 338 | 337 | |
Brookfield WEC Holdings, Inc. (1 month LIBOR + 3.000%) 3.750%, 8/1/25 | 693 | 675 | |
Calpine Corp. 2019 (1 month LIBOR + 2.250%) 2.400%, 4/5/26 | 385 | 374 |
Par Value | Value | ||
Utility—continued | |||
PG&E Corp. (3 month LIBOR + 4.500%) 5.500%, 6/23/25 | $150 | $ 146 | |
1,532 | |||
Total Leveraged Loans (Identified Cost $46,472) | 44,340 | ||
Shares | ||
Preferred Stocks—1.8% | ||
Financials—1.7% | ||
Citigroup, Inc. Series P, 5.950% | 530 (15) | 555 |
Discover Financial Services Series D, 6.125%(7) | 360 (15) | 381 |
Fifth Third Bancorp Series L, 4.500%(7) | 940 (15) | 946 |
Huntington Bancshares, Inc. Series E, 5.700% | 353 (15) | 330 |
JPMorgan Chase & Co. Series HH, 4.600% | 347 (15) | 340 |
KeyCorp Series D, 5.000%(10) | 1,090 (15) | 1,100 |
MetLife, Inc. Series D, 5.875% | 478 (15) | 520 |
PNC Financial Services Group, Inc. (The) Series S, 5.000% | 775 (15) | 818 |
Truist Financial Corp. Series Q, 5.100%(7) | 880 (15) | 951 |
Zions Bancorp NA, 6.950% | 38,525 | 1,062 |
7,003 | ||
Industrials—0.1% | ||
General Electric Co. Series D, 5.000% | 730 (15) | 582 |
Total Preferred Stocks (Identified Cost $7,420) | 7,585 | |
Common Stocks—0.1% | ||
Communication Services—0.0% | ||
Clear Channel Outdoor Holdings, Inc.(16) | 11,677 | 11 |
Consumer Discretionary—0.0% | ||
Mark IV Industries | 446 | 2 |
Shares | Value | ||
Consumer Discretionary—continued | |||
MYT Holding LLC Class B(16) | 42,571 | $ 5 | |
Neiman Marcus Group, Inc.(16) | 150 | 16 | |
23 | |||
Energy—0.1% | |||
Denbury, Inc.(16) | 7,502 | 132 | |
Frontera Energy Corp. | 6,656 | 11 | |
143 | |||
Total Common Stocks (Identified Cost $583) | 177 | ||
Exchange-Traded Fund—1.0% | |||
iShares iBoxx $ Investment Grade Corporate Bond ETF(17) | 29,547 | 3,980 | |
Total Exchange-Traded Fund (Identified Cost $3,971) | 3,980 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(16) | 6,252 | 7 | |
Total Rights (Identified Cost $5) | 7 | ||
Warrant—0.0% | |||
Communication Services—0.0% | |||
iHeartMedia, Inc.(5) | 4,966 | 39 | |
Total Warrant (Identified Cost $86) | 39 | ||
Total Long-Term Investments—99.1% (Identified Cost $409,747) | 411,217 | ||
Shares | Value | ||
Short-Term Investment—0.4% | |||
Money Market Mutual Fund—0.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.025%)(17) | 1,721,370 | $ 1,721 | |
Total Short-Term Investment (Identified Cost $1,721) | 1,721 | ||
TOTAL INVESTMENTS—99.5% (Identified Cost $411,468) | $412,938 | ||
Other assets and liabilities, net—0.5% | 2,164 | ||
NET ASSETS—100.0% | $415,102 |
Abbreviations: | |
ABS | Asset-Backed Securities |
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 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 September 30, 2020, these securities amounted to a value of $224,790 or 54.2% 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) | Variable rate security. Rate disclosed is as of September 30, 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) | Amount is less than $500. |
(7) | Interest payments may be deferred. |
(8) | No contractual maturity date. |
(9) | 100% of the income received was in PIK. |
(10) | Interest may be forfeited. |
(11) | 100% of the income received was in cash. |
(12) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(13) | This loan will settle after September 30, 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) | Non-income producing. |
(17) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Foreign Currencies: | |
MXN | Mexican Peso |
Country Weightings (Unaudited)† | |
United States | 78% |
Canada | 2 |
Indonesia | 2 |
Mexico | 2 |
Netherlands | 2 |
Cayman Islands | 1 |
Saudi Arabia | 1 |
Other | 12 |
Total | 100% |
† % of total investments as of September 30, 2020. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $ 36,605 | $ — | $ 36,605 | $— | |||
Corporate Bonds and Notes | 209,603 | — | 209,603 | — (1)(2) | |||
Foreign Government Securities | 39,570 | — | 39,570 | — | |||
Leveraged Loans | 44,340 | — | 44,340 | — | |||
Mortgage-Backed Securities | 61,773 | — | 61,773 | — | |||
Municipal Bonds | 549 | — | 549 | — | |||
U.S. Government Securities | 6,989 | — | 6,989 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 7,585 | 1,062 | 6,523 | — | |||
Common Stocks | 177 | 154 | 23 | — | |||
Rights | 7 | — | 7 | — | |||
Warrant | 39 | — | — | 39 | |||
Exchange-Traded Fund | 3,980 | 3,980 | — | — | |||
Money Market Mutual Fund | 1,721 | 1,721 | — | — | |||
Total Investments | $412,938 | $6,917 | $405,982 | $39 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
(2) | Amount is less than $500. |
Total | Asset-Backed Securities | Corporate Bonds and Notes | Mortgage-Backed Securities | Common Stocks | Right | Warrant | |||||||
Investments in Securities | |||||||||||||
Balance as of September 30, 2019: | $ 2,725 | $ 753 | $— (a)(b) | $ 1,883 | $12 | $ 6 | $ 71 | ||||||
Accrued discount/(premium) | — (a) | — | — | — (a) | — | — | — | ||||||
Realized gain (loss) | (9) | — | — | (9) | — | — | — | ||||||
Change in unrealized appreciation (depreciation)(c) | (37) | — | — (a) | 3 | (9) | 1 | (32) | ||||||
Sales (d) | (1,444) | (753) | — | (691) | — | — | — | ||||||
Transfers from Level 3(e) | (1,196) | — | — | (1,186) | (3) | (7) | — | ||||||
Balance as of September 30, 2020 | $ 39 | $ — | $— (a)(b) | $ — | $— | $— | $ 39 |
Par Value | Value | ||
Corporate Bonds and Notes—5.2% | |||
Communication Services—1.1% | |||
Clear Channel Worldwide Holdings, Inc. 144A 5.125%, 8/15/27(1) | $ 130 | $ 125 | |
Diamond Sports Group LLC 144A 5.375%, 8/15/26(1) | 445 | 315 | |
DISH DBS Corp. 5.875%, 7/15/22 | 575 | 598 | |
iHeartCommunications, Inc. | |||
6.375%, 5/1/26 | 258 | 268 | |
8.375%, 5/1/27 | 467 | 460 | |
Level 3 Financing, Inc. 144A 4.250%, 7/1/28(1) | 55 | 56 | |
Radiate Holdco LLC 144A 4.500%, 9/15/26(1) | 280 | 280 | |
2,102 | |||
Consumer Discretionary—0.2% | |||
Caesars Entertainment, Inc. 144A 6.250%, 7/1/25(1) | 95 | 99 | |
Carnival Corp. 144A 11.500%, 4/1/23(1) | 50 | 56 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(1) | 250 | 265 | |
MGM Growth Properties Operating Partnership LP 144A 4.625%, 6/15/25(1) | 70 | 71 | |
491 | |||
Consumer Staples—0.4% | |||
Dole Food Co., Inc. 144A 7.250%, 6/15/25(1) | 855 | 851 | |
Financials—0.9% | |||
Acrisure LLC 144A 8.125%, 2/15/24(1) | 220 | 230 | |
ICAHN Enterprises LP 4.750%, 9/15/24 | 550 | 557 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 225 | 195 | |
OneMain Finance Corp. 6.125%, 5/15/22 | 745 | 773 | |
1,755 | |||
Health Care—1.2% | |||
Community Health Systems, Inc. 144A 6.625%, 2/15/25(1) | 430 | 416 | |
Jaguar Holding Co. II 144A 4.625%, 6/15/25(1) | 170 | 175 | |
LifePoint Health, Inc. | |||
144A 6.750%, 4/15/25(1) | 10 | 11 | |
144A 4.375%, 2/15/27(1) | 260 | 260 |
Par Value | Value | ||
Health Care—continued | |||
One Call Corp. PIK Interest Capitalization 144A 11.500%, 7/1/24(1)(2) | $1,645 | $ 1,481 | |
Tenet Healthcare Corp. 144A 7.500%, 4/1/25(1) | 55 | 59 | |
2,402 | |||
Industrials—0.5% | |||
Boeing Co. (The) 4.875%, 5/1/25 | 198 | 216 | |
Howmet Aerospace, Inc. 6.875%, 5/1/25 | 135 | 149 | |
Spirit AeroSystems, Inc. 3.950%, 6/15/23 | 230 | 205 | |
TransDigm, Inc. 144A 8.000%, 12/15/25(1) | 435 | 473 | |
1,043 | |||
Materials—0.5% | |||
Ardagh Packaging Finance plc | |||
144A 4.125%, 8/15/26(1) | 590 | 598 | |
144A 5.250%, 8/15/27(1) | 200 | 204 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(1) | 95 | 97 | |
899 | |||
Real Estate—0.4% | |||
iStar, Inc. 4.250%, 8/1/25 | 875 | 816 | |
Utilities—0.0% | |||
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20(1)(3) | 9,165 | — | |
Total Corporate Bonds and Notes (Identified Cost $10,483) | 10,359 | ||
Leveraged Loans(4)—96.9% | |||
Aerospace—3.1% | |||
AI Convoy (Luxembourg) S.a.r.l. Tranche B (6 month LIBOR + 3.500%) 4.650%, 1/18/27 | 836 | 830 | |
American Airlines, Inc. 2018 (1 month LIBOR + 1.750%) 1.895%, 6/27/25 | 842 | 511 | |
Atlantic Aviation FBO, Inc. (3 month LIBOR + 3.750%) 3.900%, 12/6/25 | 653 | 636 | |
DynCorp International, Inc. Tranche B, First Lien (1 month LIBOR + 6.000%) 7.000%, 8/18/25 | 603 | 598 |
Par Value | Value | ||
Aerospace—continued | |||
Kestrel Bidco, Inc. (3 month LIBOR + 3.000%) 4.000%, 12/11/26 | $ 837 | $ 723 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/20/27 | 1,075 | 1,092 | |
Spirit AeroSystems, Inc. (3 month LIBOR + 5.250%) 0.000%, 1/30/25(5) | 105 | 105 | |
TransDigm, Inc. Tranche F (1 month LIBOR + 2.250%) 2.397%, 12/9/25 | 1,786 | 1,685 | |
6,180 | |||
Chemicals—3.5% | |||
Ascend Performance Materials Operations LLC (3 month LIBOR + 5.250%) 6.250%, 8/27/26 | 460 | 458 | |
Element Solutions, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.156%, 2/2/26 | 997 | 974 | |
H.B. Fuller Co. Tranche B (1 month LIBOR + 2.000%) 2.156%, 10/21/24 | 1,101 | 1,085 | |
Hexion, Inc. Tranche B (3 month LIBOR + 3.500%) 3.800%, 7/1/26 | 698 | 686 | |
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 2.147%, 4/1/24 | 2,116 | 2,052 | |
Innophos Holdings, Inc. (1 month LIBOR + 3.500%) 3.897%, 2/4/27 | 866 | 857 | |
Starfruit Finco B.V. (1 month LIBOR + 3.000%) 3.151%, 10/1/25 | 846 | 818 | |
6,930 | |||
Consumer Durables—1.1% | |||
Plantronics, Inc. Tranche B (1 month LIBOR + 2.500%) 2.647%, 7/2/25 | 750 | 703 | |
Serta Simmons Bedding LLC First Lien (3 month LIBOR + 3.500%) 4.500%, 11/8/23 | 1,654 | 579 |
Par Value | Value | ||
Consumer Durables—continued | |||
Zodiac Pool Solutions LLC Tranche B1 (1 month LIBOR + 2.000%) 2.147%, 7/2/25 | $ 841 | $ 818 | |
2,100 | |||
Consumer Non-Durables—3.5% | |||
Diamond (BC) B.V. | |||
(3 month LIBOR + 3.000%) 3.261%, 9/6/24 | 1,399 | 1,304 | |
(3 month LIBOR + 5.000%) 6.000%, 9/6/24 | 220 | 219 | |
Isagenix International LLC (3 month LIBOR + 5.750%) 6.750%, 6/16/25 | 1,448 | 731 | |
Kronos Acquisition Holdings, Inc. Tranche B-3 (1 month LIBOR + 4.000%) 5.000%, 5/15/23 | 1,469 | 1,458 | |
Libbey Glass, Inc. (1 month LIBOR + 3.750%) 5.750%, 4/9/21(6) | 1,315 | 206 | |
Parfums Holding Co., Inc. First Lien (3 month LIBOR + 4.000%) 4.256%, 6/30/24 | 1,171 | 1,144 | |
Rodan & Fields LLC (1 month LIBOR + 4.000%) 4.152%, 6/16/25 | 1,103 | 749 | |
ZEP, Inc. First Lien (6 month LIBOR + 4.000%) 5.000%, 8/12/24 | 1,188 | 1,111 | |
6,922 | |||
Energy—1.6% | |||
California Resources Corp. 2017 (1 month LIBOR + 4.750%) 5.750%, 12/31/22(6) | 1,000 | 360 | |
CITGO Holding, Inc. (3 month LIBOR + 7.000%) 8.000%, 8/1/23 | 312 | 292 | |
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 5.000%) 6.000%, 3/27/24 | 677 | 640 | |
Fieldwood Energy LLC First Lien (3 month LIBOR + 5.250%) 6.250%, 4/11/22(7) | 733 | 185 | |
Gavilan Resources LLC Second Lien (3 month PRIME + 7.000%) 10.250%, 3/1/24(3)(6) | 790 | 2 |
Par Value | Value | ||
Energy—continued | |||
Hamilton Projects Acquiror LLC (3 month LIBOR + 4.750%) 5.750%, 6/17/27 | $ 628 | $ 626 | |
Medallion Midland Acquisition LLC (1 month LIBOR + 3.250%) 4.250%, 10/30/24 | 632 | 594 | |
Paragon Offshore Finance Co. (3 month PRIME + 0.000%) 3.250%, 7/16/21(3)(6) | 11 | — | |
Traverse Midstream Partners LLC (1 month LIBOR + 4.000%) 5.000%, 9/27/24 | 632 | 579 | |
3,278 | |||
Financial—3.0% | |||
Asurion LLC | |||
Tranche B-2, Second Lien (1 month LIBOR + 6.500%) 6.647%, 8/4/25 | 836 | 837 | |
Tranche B-4 (1 month LIBOR + 3.000%) 3.147%, 8/4/22 | 944 | 932 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 3.147%, 6/16/25 | 722 | 679 | |
Deerfield Dakota Holding LLC First Lien (1 month LIBOR + 3.750%) 4.750%, 4/9/27 | 973 | 965 | |
Financial & Risk US Holdings, Inc. (1 month LIBOR + 3.250%) 3.397%, 10/1/25 | 2,056 | 2,034 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 2.904%, 6/28/23 | 337 | 328 | |
Ryan Specialty Group LLC (1 month LIBOR + 3.250%) 4.000%, 9/1/27 | 105 | 104 | |
5,879 | |||
Food / Tobacco—6.5% | |||
Aramark Services, Inc. Tranche B-2 (1 month LIBOR + 1.750%) 1.897%, 3/28/24 | 850 | 815 | |
CHG PPC Parent LLC First Lien (1 month LIBOR + 2.750%) 2.897%, 3/31/25 | 769 | 738 | |
Chobani LLC Tranche B (1 month LIBOR + 3.500%) 4.500%, 10/10/23 | 1,362 | 1,344 |
Par Value | Value | ||
Food / Tobacco—continued | |||
Dole Food Co., Inc. Tranche B (1 month LIBOR + 2.750%) 3.750%, 4/6/24 | $1,073 | $ 1,056 | |
Froneri US, Inc. Tranche B-2 (1 month LIBOR + 2.250%) 2.397%, 1/29/27 | 943 | 904 | |
H-Food Holdings LLC (1 month LIBOR + 3.688%) 4.147%, 5/23/25 | 1,596 | 1,547 | |
Hostess Brands LLC 2019, Tranche B (1 month LIBOR + 2.250%) 3.000%, 8/3/25 | 1,333 | 1,309 | |
JBS USA Lux S.A. (1 month LIBOR + 2.000%) 2.147%, 5/1/26 | 1,099 | 1,068 | |
Milk Specialties Co. (1 month LIBOR + 4.000%) 5.000%, 8/16/23 | 1,124 | 1,086 | |
Shearer’s Foods LLC First Lien (3 month LIBOR + 4.000%) 4.750%, 9/23/27 | 1,613 | 1,600 | |
Sigma Bidco B.V. Tranche B-2 (6 month LIBOR + 3.000%) 3.369%, 7/2/25 | 1,367 | 1,328 | |
12,795 | |||
Forest Prod / Containers—7.0% | |||
Anchor Glass Container Corp. | |||
2017, First Lien (1 month LIBOR + 2.750%) 3.750%, 12/7/23 | 970 | 740 | |
Second Lien (1 month LIBOR + 7.750%) 8.750%, 12/7/24 | 808 | 307 | |
Berlin Packaging LLC First Lien (1 month LIBOR + 3.000%) 3.161%, 11/7/25 | 1,055 | 1,022 | |
Berry Global, Inc. | |||
Tranche W (1 month LIBOR + 2.000%) 2.156%, 10/1/22 | 514 | 509 | |
Tranche X (1 month LIBOR + 2.000%) 2.156%, 1/19/24 | 265 | 261 | |
Tranche Y (1 month LIBOR + 2.000%) 2.156%, 7/1/26 | 1,297 | 1,257 | |
BWay Holding Co. (3 month LIBOR + 3.250%) 3.523%, 4/3/24 | 1,268 | 1,188 | |
Graham Packaging Co., Inc. (1 month LIBOR + 3.750%) 4.500%, 8/4/27 | 680 | 675 |
Par Value | Value | ||
Forest Prod / Containers—continued | |||
Klockner Pentaplast of America, Inc. (3 month LIBOR + 4.250%) 5.250%, 6/30/22 | $1,554 | $ 1,506 | |
Reynolds Consumer Products LLC (1 month LIBOR + 1.750%) 1.897%, 2/4/27 | 644 | 635 | |
Reynolds Group Holdings, Inc. | |||
(1 month LIBOR + 2.750%) 3.979%, 2/6/23 | 1,201 | 1,185 | |
Tranche B-2 (3 month LIBOR + 3.250%) 0.000%, 2/16/26(5) | 1,635 | 1,604 | |
Spectrum Holdings III Corp. First Lien (3 month LIBOR + 3.250%) 4.273%, 1/31/25 | 1,154 | 1,042 | |
Tricorbraun Holdings, Inc. First Lien (3 month LIBOR + 3.750%) 4.750%, 11/30/23 | 939 | 927 | |
Trident TPI Holdings, Inc. Tranche B-1 (3 month LIBOR + 3.000%) 4.000%, 10/17/24 | 1,050 | 1,023 | |
13,881 | |||
Gaming / Leisure—5.1% | |||
Affinity Gaming LLC (3 month LIBOR + 3.250%) 4.250%, 7/3/23 | 989 | 882 | |
Aristocrat Technologies, Inc. | |||
(3 month LIBOR + 3.750%) 4.750%, 10/19/24 | 120 | 119 | |
Tranche B-3 (3 month LIBOR + 1.750%) 2.021%, 10/19/24 | 1,074 | 1,043 | |
Caesars Resort Collection LLC Tranche B-1 (1 month LIBOR + 4.500%) 4.688%, 7/21/25 | 1,160 | 1,121 | |
Carnival Corp. (1 month LIBOR + 7.500%) 8.500%, 6/30/25 | 160 | 161 | |
CityCenter Holdings LLC (1 month LIBOR + 2.250%) 3.000%, 4/18/24 | 1,091 | 1,045 | |
Everi Payments, Inc. Tranche B (1 month LIBOR + 2.750%) 3.750%, 5/9/24 | 1,220 | 1,176 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
Golden Nugget LLC (2 month LIBOR + 2.500%) 3.250%, 10/4/23 | $ 907 | $ 806 | |
Landry’s Finance Acquisition Co. 2020 (3 month LIBOR + 12.000%) 13.000%, 10/6/23 | 30 | 34 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24 | 448 | 391 | |
Pug LLC Tranche B (1 month LIBOR + 3.500%) 3.647%, 2/12/27 | 893 | 785 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 3.471%, 8/14/24 | 897 | 842 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.500%, 2/8/27 | 574 | 548 | |
UFC Holdings LLC Tranche B (3 month LIBOR + 3.250%) 4.250%, 4/29/26 | 1,195 | 1,172 | |
10,125 | |||
Healthcare—13.9% | |||
AHP Health Partners, Inc. (1 month LIBOR + 4.500%) 5.500%, 6/30/25 | 1,183 | 1,180 | |
ASP Navigate Acquisition Corp. First Lien (3 month LIBOR + 4.500%) 0.000%, 9/24/27(5) | 440 | 435 | |
Avantor Funding, Inc. 2020, Tranche B3 (1 month LIBOR + 2.250%) 3.250%, 11/21/24 | 585 | 577 | |
Azalea TopCo, Inc. First Lien (3 month LIBOR + 3.500%) 3.761%, 7/27/26 | 609 | 585 | |
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 2.901%, 11/27/25 | 468 | 456 | |
(1 month LIBOR + 3.000%) 3.151%, 6/2/25 | 1,368 | 1,339 | |
Catalent Pharma Solutions, Inc. Tranche B-2 (1 month LIBOR + 2.250%) 3.250%, 5/18/26 | 695 | 690 |
Par Value | Value | ||
Healthcare—continued | |||
CHG Healthcare Services, Inc. (3 month LIBOR + 3.000%) 4.000%, 6/7/23 | $ 934 | $ 917 | |
Concordia International Corp. (1 month LIBOR + 5.500%) 6.500%, 9/6/24 | 720 | 698 | |
CPI Holdco LLC First Lien (1 month LIBOR + 4.250%) 4.397%, 11/4/26 | 453 | 449 | |
Elanco Animal Health, Inc. (1 month LIBOR + 1.750%) 1.905%, 8/1/27 | 996 | 967 | |
Endo Luxembourg Finance Co. S.a.r.l. (3 month LIBOR + 4.250%) 5.000%, 4/29/24 | 856 | 813 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 3.897%, 10/10/25 | 1,443 | 1,038 | |
eResearch Technology, Inc. First Lien (1 month LIBOR + 4.500%) 5.500%, 2/4/27 | 898 | 893 | |
Gentiva Health Services, Inc. Tranche B (1 month LIBOR + 3.250%) 3.438%, 7/2/25 | 638 | 625 | |
Greatbatch Ltd. Tranche B (1 month LIBOR + 2.500%) 3.500%, 10/27/22 | 457 | 456 | |
Heartland Dental LLC (1 month LIBOR + 3.500%) 3.647%, 4/30/25 | 773 | 709 | |
IQVIA, Inc. | |||
Tranche B-1 (1 month LIBOR + 1.750%) 1.897%, 3/7/24 | 913 | 898 | |
Tranche B-2 (1 month LIBOR + 1.750%) 1.897%, 1/17/25 | 102 | 100 | |
Tranche B-3 (3 month LIBOR + 1.750%) 1.970%, 6/11/25 | 1,030 | 1,015 | |
Jaguar Holding Co. II 2018 (1 month LIBOR + 2.500%) 3.500%, 8/18/22 | 1,885 | 1,877 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 3.897%, 11/17/25 | 1,545 | 1,499 |
Par Value | Value | ||
Healthcare—continued | |||
Milano Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 0.000%, 10/1/27(5) | $ 910 | $ 899 | |
National Mentor Holdings, Inc. | |||
First Lien (1 month LIBOR + 4.250%) 4.400%, 3/9/26 | 610 | 600 | |
Tranche C, First Lien (1 month LIBOR + 4.250%) 4.400%, 3/9/26 | 28 | 27 | |
Navicure, Inc. | |||
(1 month LIBOR + 4.000%) 4.147%, 10/22/26 | 637 | 622 | |
Tranche B (1 month LIBOR + 4.000%) 4.750%, 10/22/26 | 170 | 168 | |
Ortho-Clinical Diagnostics, Inc. (1 month LIBOR + 3.250%) 3.406%, 6/30/25 | 964 | 921 | |
Packaging Coordinators Midco, Inc. First Lien (3 month LIBOR + 3.750%) 0.000%, 9/25/27(5) | 225 | 224 | |
Parexel International Corp. (1 month LIBOR + 2.750%) 2.897%, 9/27/24 | 1,197 | 1,147 | |
Phoenix Guarantor, Inc. Tranche B-1 (1 month LIBOR + 3.250%) 3.401%, 3/5/26 | 306 | 298 | |
Select Medical Corp. Tranche B (6 month LIBOR + 2.500%) 2.780%, 3/6/25 | 633 | 615 | |
Sotera Health Holdings LLC First Lien (3 month LIBOR + 4.500%) 5.500%, 12/11/26 | 866 | 861 | |
Surgery Center Holdings, Inc. | |||
(1 month LIBOR + 3.250%) 4.250%, 9/2/24 | 1,146 | 1,078 | |
2020 (1 month LIBOR + 8.000%) 9.000%, 9/30/24 | 60 | 60 | |
Viant Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 3.897%, 7/2/25 | 1,129 | 1,039 | |
Zelis Cost Management Buyer, Inc. (1 month LIBOR + 4.750%) 4.897%, 9/30/26 | 675 | 669 | |
27,444 | |||
Par Value | Value | ||
Housing—2.7% | |||
American Builders & Contractors Supply Co., Inc. (1 month LIBOR + 2.000%) 2.147%, 1/15/27 | $1,527 | $ 1,483 | |
CPG International LLC (3 month LIBOR + 3.750%) 4.750%, 5/6/24 | 1,152 | 1,148 | |
LEB Holdings (USA), Inc. (3 month LIBOR + 4.000%) 0.000%, 9/25/27(5) | 205 | 203 | |
Quikrete Holdings, Inc. First Lien (1 month LIBOR + 2.500%) 2.647%, 2/1/27 | 1,153 | 1,121 | |
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 2.145%, 11/21/24 | 1,487 | 1,469 | |
5,424 | |||
Information Technology—5.0% | |||
Applied Systems, Inc. | |||
First Lien (3 month LIBOR + 3.250%) 4.250%, 9/19/24 | 658 | 653 | |
Second Lien (3 month LIBOR + 7.000%) 8.000%, 9/19/25 | 773 | 781 | |
Aston Finco S.a.r.l. First Lien (1 month LIBOR + 4.250%) 4.401%, 10/9/26 | 502 | 492 | |
Boxer Parent Co., Inc. (1 month LIBOR + 4.250%) 4.397%, 10/2/25 | 1,270 | 1,230 | |
Dell International LLC Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 9/19/25 | 1,608 | 1,599 | |
Epicor Software Corp. Tranche B (1 month LIBOR + 4.250%) 5.250%, 7/30/27 | 990 | 988 | |
Hyland Software, Inc. 2018 (3 month LIBOR + 3.250%) 0.000%, 7/1/24(5) | 484 | 481 | |
Science Applications International Corp. Tranche B2 (1 month LIBOR + 2.250%) 2.397%, 3/13/27 | 415 | 409 | |
Sophia LP (3 month LIBOR + 3.750%) 0.000%, 10/7/27(5) | 555 | 551 | |
Ultimate Software Group, Inc. (The) | |||
2020 (3 month LIBOR + 4.000%) 4.750%, 5/4/26 | 1,660 | 1,654 |
Par Value | Value | ||
Information Technology—continued | |||
Second Lien (3 month LIBOR + 6.750%) 7.500%, 5/3/27 | $ 40 | $ 41 | |
Vertiv Group Corp. (1 month LIBOR + 3.000%) 3.157%, 3/2/27 | 1,055 | 1,037 | |
9,916 | |||
Manufacturing—5.8% | |||
CIRCOR International, Inc. (1 month LIBOR + 3.250%) 4.250%, 12/11/24 | 961 | 940 | |
CPI Acquisition, Inc. First Lien (3 month LIBOR + 4.500%) 5.500%, 8/17/22 | 1,147 | 997 | |
Filtration Group Corp. (1 month LIBOR + 3.000%) 3.147%, 3/31/25 | 1,502 | 1,471 | |
Gardner Denver, Inc. | |||
Tranche A (1 month LIBOR + 2.750%) 2.897%, 3/1/27 | 55 | 54 | |
Tranche B-1 (1 month LIBOR + 1.750%) 1.897%, 3/1/27 | 827 | 798 | |
Gates Global LLC Tranche B-2 (1 month LIBOR + 2.750%) 3.750%, 4/1/24 | 1,047 | 1,030 | |
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 1.897%, 2/28/27 | 363 | 350 | |
NCR Corp. (1 month LIBOR + 2.500%) 2.650%, 8/28/26 | 946 | 921 | |
NN, Inc. | |||
2017 (1 month LIBOR + 5.750%) 5.897%, 10/19/22 | 348 | 343 | |
Tranche B (1 month LIBOR + 5.750%) 6.500%, 10/19/22 | 610 | 602 | |
RBS Global, Inc. 2019, Tranche B (1 month LIBOR + 1.750%) 1.897%, 8/21/24 | 716 | 710 | |
Star US Bidco LLC (1 month LIBOR + 4.250%) 5.250%, 3/17/27 | 958 | 908 | |
Titan Acquisition Ltd. (3 month LIBOR + 3.000%) 3.361%, 3/28/25 | 1,088 | 1,025 | |
U.S. Farathane LLC Tranche B-4 (3 month LIBOR + 3.500%) 4.500%, 12/23/21 | 1,114 | 961 |
Par Value | Value | ||
Manufacturing—continued | |||
Vertical Midco Gmbh Tranche B (6 month LIBOR + 4.250%) 4.567%, 7/30/27 | $ 350 | $ 347 | |
11,457 | |||
Media / Telecom - Broadcasting—3.2% | |||
Diamond Sports Group LLC (1 month LIBOR + 3.250%) 3.400%, 8/24/26 | 705 | 544 | |
iHeartCommunications, Inc. (1 month LIBOR + 3.000%) 3.147%, 5/1/26 | 1,414 | 1,339 | |
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.750%) 2.905%, 9/18/26 | 1,245 | 1,217 | |
Sinclair Television Group, Inc. Tranche B (1 month LIBOR + 2.500%) 2.400%, 1/3/24 | 1,197 | 1,163 | |
Univision Communications, Inc. 2017 (1 month LIBOR + 2.750%) 3.750%, 3/15/24 | 2,139 | 2,054 | |
6,317 | |||
Media / Telecom - Cable/Wireless Video—3.4% | |||
Charter Communications Operating LLC Tranche B2 (1 month LIBOR + 1.750%) 1.900%, 2/1/27 | 2,343 | 2,287 | |
CSC Holdings LLC | |||
2017 (1 month LIBOR + 2.250%) 2.402%, 7/17/25 | 1,601 | 1,546 | |
2018 (1 month LIBOR + 2.250%) 2.402%, 1/15/26 | 1,005 | 969 | |
Intelsat Jackson Holdings S.A. | |||
(3 month LIBOR + 4.550%) 5.050%, 7/14/21 | 58 | 59 | |
(3 month LIBOR + 4.550%) 5.050%, 7/14/21(8) | 58 | 59 | |
Tranche B-5 (6 month LIBOR + 8.00%) 8.625%, 1/2/24(7) | 691 | 697 | |
Radiate Holdco LLC Tranche B (3 month LIBOR + 3.500%) 0.000%, 9/25/26(5) | 131 | 129 |
Par Value | Value | ||
Media / Telecom - Cable/Wireless Video—continued | |||
Virgin Media Bristol LLC | |||
Tranche B (3 month LIBOR + 3.250%) 0.000%, 1/31/29(5) | $ 315 | $ 309 | |
Tranche N (1 month LIBOR + 2.500%) 2.652%, 1/31/28 | 620 | 601 | |
6,656 | |||
Media / Telecom - Diversified Media—2.7% | |||
CDS US Intermediate Holdings, Inc. Tranche B (3 month LIBOR + 5.500%) 6.500%, 7/8/22(6) | 1,223 | 588 | |
Clear Channel Outdoor Holdings, Inc. Tranche B (3 month LIBOR + 3.500%) 3.761%, 8/21/26 | 865 | 786 | |
Fort Dearborn Holding Co., Inc. First Lien (1 month LIBOR + 4.000%) 5.195%, 10/19/23 | 1,305 | 1,266 | |
McGraw-Hill Global Education Holdings LLC Tranche B, First Lien (3 month LIBOR + 4.000%) 5.000%, 5/4/22 | 1,246 | 1,040 | |
Meredith Corp. Tranche B-2 (1 month LIBOR + 2.500%) 2.647%, 1/31/25 | 689 | 662 | |
UPC Broadband Holding B.V. | |||
Tranche B-1 (3 month LIBOR + 3.500%) 0.000%, 1/31/29(5) | 550 | 533 | |
Tranche B-2 (3 month LIBOR + 3.500%) 0.000%, 1/31/29(5) | 550 | 533 | |
5,408 | |||
Media / Telecom - Telecommunications—4.8% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.397%, 3/15/27 | 898 | 861 | |
Consolidated Communications, Inc. | |||
(3 month LIBOR + 4.750%) 0.000%, 10/2/27(5) | 905 | 895 | |
2016 (1 month LIBOR + 3.000%) 4.000%, 10/5/23 | 1,384 | 1,367 |
Par Value | Value | ||
Media / Telecom - Telecommunications—continued | |||
Frontier Communications Corp. Tranche B-1 (3 month PRIME + 2.750%) 6.000%, 6/17/24 | $ 524 | $ 514 | |
Level 3 Financing, Inc. 2027, Tranche B (1 month LIBOR + 1.750%) 1.897%, 3/1/27 | 2,124 | 2,056 | |
Northwest Fiber LLC Tranche B, First Lien (1 month LIBOR + 5.500%) 5.656%, 4/30/27 | 194 | 194 | |
Numericable U.S. LLC | |||
Tranche B-11 (1 month LIBOR + 2.750%) 2.897%, 7/31/25 | 983 | 937 | |
Tranche B-12 (1 month LIBOR + 3.688%) 3.840%, 1/31/26 | 537 | 516 | |
Tranche B-13 (1 month LIBOR + 4.000%) 4.152%, 8/14/26 | 639 | 619 | |
West Corp. | |||
Tranche B (1 month LIBOR + 4.000%) 5.000%, 10/10/24 | 500 | 453 | |
Tranche B-1 (1 month LIBOR + 3.500%) 4.500%, 10/10/24 | 455 | 410 | |
Zayo Group Holdings, Inc. (1 month LIBOR + 3.000%) 3.147%, 3/9/27 | 642 | 622 | |
9,444 | |||
Media / Telecom - Wireless Communications—1.3% | |||
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 1.900%, 4/11/25 | 1,383 | 1,345 | |
T-Mobile USA, Inc. (1 month LIBOR + 3.000%) 3.147%, 4/1/27 | 1,282 | 1,280 | |
2,625 | |||
Metals / Minerals—0.4% | |||
Covia Holdings Corp. (3 month PRIME + 5.000%) 8.250%, 6/2/25(7) | 971 | 707 | |
Retail—2.2% | |||
ASHCO LLC (3 month LIBOR + 5.000%) 5.750%, 9/25/24 | 1,076 | 1,064 |
Par Value | Value | ||
Retail—continued | |||
Harbor Freight Tools USA, Inc. 2018 (1 month LIBOR + 2.500%) 3.250%, 8/18/23 | $ 883 | $ 869 | |
Leslie’s Poolmart, Inc. Tranche B-2 (1 month LIBOR + 3.500%) 3.647%, 8/16/23 | 757 | 741 | |
Michaels Stores, Inc. 2018, Tranche B (1 month LIBOR + 2.500%) 3.500%, 1/30/23 | 1,440 | 1,431 | |
Neiman Marcus Group Ltd. LLC (3 month LIBOR + 0.000%) 0.000%, 10/25/23(6) | 1,448 | 232 | |
4,337 | |||
Service—10.8% | |||
Advantage Sales & Marketing, Inc. First Lien (1 month LIBOR + 3.250%) 4.250%, 7/23/21 | 545 | 535 | |
AlixPartners LLP 2017 (1 month LIBOR + 2.500%) 2.647%, 4/4/24 | 1,543 | 1,503 | |
Asplundh Tree Expert LLC (3 month LIBOR + 2.500%) 2.655%, 9/4/27 | 405 | 404 | |
Cardtronics USA, Inc. (1 month LIBOR + 4.000%) 5.000%, 6/29/27 | 663 | 660 | |
Carlisle Food Service Products, Inc. First Lien (1 month LIBOR + 3.000%) 4.000%, 3/20/25 | 616 | 545 | |
CSC SW Holdco, Inc. Tranche B-1 (3 month LIBOR + 3.250%) 4.250%, 11/14/22 | 713 | 698 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 3.750%) 3.895%, 2/6/26 | 990 | 979 | |
GFL Environmental, Inc. 2018 (3 month LIBOR + 3.000%) 4.000%, 5/30/25 | 1,276 | 1,268 | |
Hoya Midco LLC First Lien (6 month LIBOR + 3.500%) 4.500%, 6/30/24 | 736 | 629 |
Par Value | Value | ||
Service—continued | |||
Patriot Container Corp. First Lien (1 month LIBOR + 3.500%) 4.500%, 3/20/25 | $ 940 | $ 919 | |
Pearl Intermediate Parent LLC First Lien (1 month LIBOR + 2.750%) 2.897%, 2/14/25 | 1,543 | 1,490 | |
PetVet Care Centers LLC 2020, First Lien (1 month LIBOR + 4.250%) 5.250%, 2/14/25 | 105 | 104 | |
Pi US Mergerco, Inc. Tranche B-1 (3 month LIBOR + 3.500%) 4.500%, 1/3/25 | 1,268 | 1,220 | |
Sedgwick Claims Management Services, Inc. (1 month LIBOR + 3.250%) 3.397%, 12/31/25 | 2,102 | 2,024 | |
St. George’s University Scholastic Services LLC (1 month LIBOR + 3.250%) 3.400%, 7/17/25 | 1,003 | 981 | |
Tempo Acquisition LLC (1 month LIBOR + 3.250%) 3.750%, | 880 | 853 | |
TKC Holdings, Inc. First Lien (3 month LIBOR + 3.750%) 4.750%, 2/1/23 | 889 | 833 | |
Trans Union LLC Tranche B-5 (1 month LIBOR + 1.750%) 1.897%, 11/16/26 | 1,654 | 1,610 | |
TRC Cos, Inc. 2019 (1 month LIBOR + 5.000%) 6.000%, 6/21/24 | 995 | 971 | |
Tunnel Hill Partners LP (1 month LIBOR + 3.500%) 3.647%, 2/6/26 | 795 | 763 | |
Uber Technologies, Inc. 2018 (3 month LIBOR + 3.500%) 0.000%, 7/13/23(5) | 1,047 | 1,028 | |
WEX, Inc. Tranche B-3 (1 month LIBOR + 2.250%) 2.397%, 5/15/26 | 1,451 | 1,399 | |
21,416 | |||
Par Value | Value | ||
Transportation - Automotive—3.9% | |||
Accuride Corp. 2017 (3 month LIBOR + 5.250%) 6.250%, 11/17/23 | $1,098 | $ 846 | |
American Axle & Manufacturing, Inc. Tranche B (3 month LIBOR + 2.250%) 3.000%, 4/6/24 | 1,565 | 1,490 | |
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23 | 959 | 818 | |
DexKo Global, Inc. Tranche B (1 month LIBOR + 3.500%) 4.500%, 7/24/24 | 609 | 594 | |
Navistar, Inc. Tranche B (1 month LIBOR + 3.500%) 3.660%, 11/6/24 | 1,081 | 1,070 | |
Panther BF Aggregator 2 LP First Lien (1 month LIBOR + 3.500%) 3.647%, 4/30/26 | 951 | 925 | |
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) 3.147%, 10/1/25 | 1,275 | 1,147 | |
TI Group Automotive Systems LLC First Lien (3 month LIBOR + 3.750%) 4.500%, 12/16/24 | 794 | 791 | |
7,681 | |||
Utility—2.4% | |||
APLP Holdings LP 2020, Tranche B (3 month LIBOR + 2.500%) 3.500%, 4/14/25 | 683 | 681 | |
Brookfield WEC Holdings, Inc. (1 month LIBOR + 3.000%) 3.750%, 8/1/25 | 1,926 | 1,876 | |
Calpine Construction Finance Co. LP Tranche B (1 month LIBOR + 2.000%) 2.147%, 1/15/25 | 968 | 936 | |
Calpine Corp. Tranche B-10 (1 month LIBOR + 2.000%) 2.147%, 8/12/26 | 448 | 434 |
Par Value | Value | ||
Utility—continued | |||
Lightstone Holdco LLC | |||
2018, Tranche B (3 month LIBOR + 3.750%) 4.750%, 1/30/24 | $ 777 | $ 669 | |
2018, Tranche C (3 month LIBOR + 3.750%) 4.750%, 1/30/24 | 44 | 38 | |
PG&E Corp. (3 month LIBOR + 4.500%) 5.500%, 6/23/25 | 195 | 190 | |
4,824 | |||
Total Leveraged Loans (Identified Cost $205,338) | 191,746 | ||
Shares | ||
Common Stocks—0.2% | ||
Communication Services—0.2% | ||
Clear Channel Outdoor Holdings, Inc.(9) | 107,177 | 107 |
iHeartMedia, Inc. Class A(9) | 45,578 | 370 |
477 | ||
Total Common Stocks (Identified Cost $1,292) | 477 | |
Rights—0.1% | ||
Utilities—0.1% | ||
Vistra Energy Corp.(9) | 152,810 | 167 |
Total Rights (Identified Cost $129) | 167 | |
Total Long-Term Investments—102.4% (Identified Cost $217,242) | 202,749 | |
Shares | Value | ||
Short-Term Investment—1.7% | |||
Money Market Mutual Fund—1.7% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.025%)(10) | 3,385,405 | $ 3,385 | |
Total Short-Term Investment (Identified Cost $3,385) | 3,385 | ||
TOTAL INVESTMENTS—104.1% (Identified Cost $220,627) | $206,134 (11) | ||
Other assets and liabilities, net—(4.1)% | (8,202) | ||
NET ASSETS—100.0% | $197,932 |
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 September 30, 2020, these securities amounted to a value of $6,317 or 3.2% 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 September 30, 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) | This loan will settle after September 30, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(6) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(7) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(8) | Represents unfunded portion of security and commitment fee earned on this portion. |
(9) | Non-income producing. |
(10) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(11) | All or a portion of the portfolio segregated as collateral for borrowings. |
Country Weightings (Unaudited)† | |
United States | 92% |
Canada | 3 |
Luxembourg | 2 |
France | 1 |
Netherlands | 1 |
Australia | 1 |
Total | 100% |
† % of total investments as of September 30, 2020. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $ 10,359 | $ — | $ 10,359 | $— (1) | |||
Leveraged Loans | 191,746 | — | 191,744 | 2 (1) | |||
Equity Securities: | |||||||
Rights | 167 | — | 167 | — | |||
Common Stocks | 477 | 477 | — | — | |||
Money Market Mutual Fund | 3,385 | 3,385 | — | — | |||
Total Investments | $206,134 | $3,862 | $202,270 | $ 2 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Par Value | Value | ||
Municipal Bonds(1)—97.2% | |||
Alabama—2.0% | |||
Black Belt Energy Gas District, Natural Gas Purchase Revenue, Mandatory Put 12/1/23, 4.000%, 12/1/48(2) | $ 635 | $ 694 | |
Pell City Special Care Facilities Financing Authority, Noland Health Services Revenue, | |||
4.000%, 12/1/25 | 500 | 518 | |
5.000%, 12/1/25 | 1,000 | 1,047 | |
2,259 | |||
Arizona—4.6% | |||
Arizona Board of Regents, Arizona State University System Revenue, | |||
5.000%, 7/1/36 | 1,000 | 1,200 | |
5.000%, 7/1/37 | 360 | 430 | |
Arizona Department of Transportation, State Highway Fund Revenue, 5.000%, 7/1/36 | 500 | 609 | |
Arizona State Health Facilities Authority, Scottsdale Lincoln Hospital Revenue, 5.000%, 12/1/24 | 565 | 667 | |
Northern Arizona University, Stimular Plan for Economic and Educational Development Revenue, | |||
5.000%, 8/1/24 | 1,115 | 1,224 | |
5.000%, 8/1/25 | 1,000 | 1,096 | |
5,226 | |||
Arkansas—0.5% | |||
University of Arkansas, Facility Revenue, 5.000%, 11/1/33 | 505 | 616 | |
California—3.1% | |||
California Municipal Finance Authority, Bowles Hall Foundation Revenue, | |||
4.000%, 6/1/21 | 100 | 101 | |
4.500%, 6/1/23 | 225 | 237 | |
4.500%, 6/1/24 | 150 | 161 | |
California State Health Facilities Financing Authority, Providence St. Joseph Health, 4.000%, 10/1/36 | 275 | 308 |
Par Value | Value | ||
California—continued | |||
California State Municipal Finance Authority, Community Medical Centers, 5.000%, 2/1/27 | $ 400 | $ 463 | |
Golden State Tobacco Securitization Corp., Tobacco Settlement Revenue, 5.000%, 6/1/47 | 800 | 825 | |
Inglewood Redevelopment Agency Successor Agency, Subordinate Lien Merged Redevelopment Project, Tax Allocation Revenue, (BAM Insured) 5.000%, 5/1/32 | 545 | 663 | |
Santa Clarita Community College District, General Obligation, 3.000%, 8/1/44 | 500 | 532 | |
Temecula Valley Unified School District Financing Authority, Special Tax Revenue, (BAM Insured) 5.000%, 9/1/25 | 175 | 207 | |
3,497 | |||
Colorado—5.9% | |||
Denver Convention Center Hotel Authority Revenue, Senior Lien, 5.000%, 12/1/27 | 400 | 435 | |
Public Authority For Colorado Energy, Natural Gas Purchase Revenue, | |||
6.125%, 11/15/23 | 1,785 | 1,943 | |
6.250%, 11/15/28 | 2,250 | 2,880 | |
Regional Transportation District, Sales Tax Revenue, Fastracks Project, 5.000%, 11/1/32 | 1,195 | 1,454 | |
6,712 | |||
Connecticut—2.7% | |||
Connecticut Housing Finance Authority, Mortgage Revenue, (GNMA / FNMA / FHLMC Insured) 3.200%, 11/15/33 | 445 | 478 | |
Connecticut State Health & Educational Facilities Authority Revenue, 4.000%, 7/1/40 | 725 | 824 |
Par Value | Value | ||
Connecticut—continued | |||
Connecticut State Higher Education Supplement Loan Authority, Chesla Loan Program Revenue, 3.000%, 11/15/35 | $ 200 | $ 201 | |
Connecticut, State of, | |||
General Obligation, 5.000%, 9/15/34 | 750 | 943 | |
Special Tax Revenue, 3.125%, 5/1/40 | 610 | 648 | |
3,094 | |||
District of Columbia—4.4% | |||
Metropolitan Washington Airports Authority, Dulles Toll Road Revenue, Second Lien, (AGC Insured) 6.500%, 10/1/41 | 4,000 | 5,023 | |
Florida—12.2% | |||
Brevard County Health Facilities Authority, Health First Revenue, 5.000%, 4/1/21 | 115 | 117 | |
Brevard County School Board, Certificates of Participation, 5.000%, 7/1/32 | 1,000 | 1,233 | |
Broward County School Board, Certificates of Participation, 5.000%, 7/1/32 | 300 | 360 | |
Central Florida Expressway Authority, Senior Lien Toll Revenue, 4.000%, 7/1/30 | 230 | 262 | |
Florida, State of, General Obligation, 5.000%, 7/1/31 | 4,000 | 5,271 | |
Miami Beach Redevelopment Agency, | |||
Tax Increment Revenue, 5.000%, 2/1/32 | 320 | 365 | |
Tax Increment Revenue, (AGM Insured) 5.000%, 2/1/31 | 40 | 46 | |
Miami-Dade County Educational Facilities Authority, University of Miami Revenue, 5.000%, 4/1/30 | 200 | 228 | |
Miami-Dade County School Board, Certificates of Participation, 5.000%, 2/1/34 | 1,700 | 2,031 |
Par Value | Value | ||
Florida—continued | |||
Seminole County School Board, Certificates of Participation, 5.000%, 7/1/29 | $1,935 | $ 2,384 | |
South Florida Water Management District, Certificates of Participation, 5.000%, 10/1/35 | 750 | 891 | |
Tallahassee, City of, Health Facilities Revenue, Tallahassee Memorial Healthcare, 5.000%, 12/1/36 | 500 | 564 | |
13,752 | |||
Georgia—0.6% | |||
Atlanta Water & Wastewater Revenue, 5.000%, 11/1/31 | 550 | 657 | |
Idaho—1.6% | |||
Idaho Health Facilities Authority, St. Luke’s Health System Revenue, 5.000%, 3/1/37 | 235 | 287 | |
Idaho Housing & Finance Association, Federal Highway Grant Anticipation Revenue, 4.500%, 7/15/29 | 1,500 | 1,540 | |
1,827 | |||
Illinois—12.4% | |||
Chicago, City of, | |||
Sales Tax Revenue, (Pre-Refunded 1/1/22 @ 100) 5.250%, 1/1/38 | 25 | 27 | |
Waterworks Revenue, Second Lien, 5.000%, 11/1/22 | 500 | 542 | |
Waterworks Revenue, Second Lien, 5.000%, 11/1/30 | 500 | 598 | |
Waterworks Revenue, Second Lien, (AGM Insured) 5.000%, 11/1/31 | 500 | 603 | |
Waterworks Revenue, Second Lien, (AGM Insured) 5.250%, 11/1/32 | 350 | 426 |
Par Value | Value | ||
Illinois—continued | |||
Cook County School District No. 78 Rosemont, General Obligation, (AGM Insured) 5.000%, 12/1/38 | $1,000 | $ 1,252 | |
Illinois Finance Authority, Rush University Medical Center Revenue, 5.000%, 11/15/21 | 250 | 262 | |
Illinois State Toll Highway Authority, Toll Highway Revenue, Senior Lien, 5.000%, 1/1/32 | 1,000 | 1,212 | |
Illinois, State of, General Obligation, | |||
5.000%, 4/1/22 | 815 | 848 | |
5.000%, 2/1/26 | 1,490 | 1,577 | |
5.000%, 2/1/27 | 1,250 | 1,373 | |
Metropolitan Pier & Exposition Authority, McCormick Place Expansion Project Revenue, (AGM Insured) 0.000%, 6/15/26 | 1,000 | 896 | |
Railsplitter Tobacco Settlement Authority, Tobacco Settlement Revenue, 5.000%, 6/1/27 | 450 | 547 | |
Sales Tax Securitization Corp., Chicago Sales Tax Revenue, Sales Tax Revenue, 5.000%, 1/1/30 | 1,500 | 1,799 | |
University of Illinois, Auxiliary Facilities System Revenue, | |||
5.500%, 4/1/31 | 1,540 | 1,569 | |
5.125%, 4/1/36 | 500 | 508 | |
14,039 | |||
Indiana—2.6% | |||
Indiana Finance Authority, | |||
Indiana University Health Center Revenue, 5.000%, 12/1/22 | 800 | 877 | |
Parkview Health System, 5.000%, 11/1/43 | 1,700 | 2,073 | |
2,950 | |||
Maine—2.3% | |||
Portland, City of, General Airport Revenue, | |||
5.000%, 7/1/26 | 1,000 | 1,100 |
Par Value | Value | ||
Maine—continued | |||
5.000%, 7/1/29 | $ 580 | $ 636 | |
5.000%, 7/1/30 | 770 | 843 | |
2,579 | |||
Maryland—1.5% | |||
Maryland Health & Higher Educational Facilities Authority, Medstar Health System Revenue, | |||
5.000%, 8/15/26 | 800 | 948 | |
5.000%, 5/15/42 | 600 | 700 | |
1,648 | |||
Massachusetts—0.5% | |||
Massachusetts Port Authority, Transportation Revenue, 5.000%, 7/1/31 | 500 | 612 | |
Michigan—2.3% | |||
Michigan Finance Authority, Beaumont Health Credit Group Revenue, 5.000%, 8/1/27 | 1,250 | 1,438 | |
Michigan State Building Authority, Facilities Program Lease Revenue, | |||
5.000%, 4/15/25 | 500 | 604 | |
4.000%, 10/15/36 | 500 | 563 | |
2,605 | |||
Mississippi—1.0% | |||
Mississippi, State of, General Obligation, 4.000%, 10/1/39 | 1,000 | 1,191 | |
New Jersey—6.5% | |||
Camden County Improvement Authority Healthcare Redevelopment Project, Cooper Health System Revenue, 5.000%, 2/15/22 | 950 | 1,001 | |
New Jersey Economic Development Authority, Cigarette Tax Revenue, (AGM Insured) 5.000%, 6/15/22 | 3,000 | 3,132 |
Par Value | Value | ||
New Jersey—continued | |||
New Jersey Housing & Mortgage Finance Agency, Mortgage Revenue, (Pre-Refunded 10/1/21 @ 100) 4.375%, 4/1/28 | $1,630 | $ 1,696 | |
New Jersey Turnpike Authority, Toll Revenue, 4.000%, 1/1/35 | 240 | 274 | |
Tobacco Settlement Financing Corp., Tobacco Settlement Revenue, | |||
5.000%, 6/1/31 | 250 | 309 | |
5.000%, 6/1/32 | 250 | 307 | |
5.000%, 6/1/33 | 250 | 305 | |
5.000%, 6/1/34 | 250 | 305 | |
7,329 | |||
New York—2.4% | |||
Buffalo & Erie County Industrial Land Development Corp., Catholic Health System Revenue, 5.000%, 7/1/23 | 550 | 607 | |
Dutchess County Local Development Corp., The Culinary Institute of America Revenue, 5.000%, 7/1/33 | 180 | 201 | |
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 | 470 | |
New York State Dormitory Authority, | |||
New York University Hospitals Center Revenue, 5.000%, 7/1/33 | 150 | 176 | |
Orange Regional Medical Center Revenue, 5.000%, 12/1/23(3) | 300 | 334 | |
New York Transportation Development Corp., American Airlines JFK Project Revenue, 5.000%, 8/1/26 | 250 | 251 | |
TSASC, Inc., Tobacco Settlement Revenue, 5.000%, 6/1/34 | 190 | 224 | |
2,725 | |||
Par Value | Value | ||
Ohio—2.2% | |||
Buckeye Tobacco Settlement Financing Authority, Tobacco Settlement Revenue, 4.000%, 6/1/48 | $ 500 | $ 546 | |
New Albany Community Authority, Community Facilities Revenue, 5.000%, 10/1/24 | 1,250 | 1,363 | |
Northeast Ohio Regional Sewer District Revenue, 3.000%, 11/15/40 | 500 | 550 | |
2,459 | |||
Oregon—2.5% | |||
Oregon State Housing & Community, Mortgage Revenue, Residential Finance Program Revenue, 4.500%, 1/1/49 | 415 | 458 | |
Oregon, State of, General Obligation, 5.000%, 5/1/33 | 1,095 | 1,338 | |
Washington & Multnomah Counties, Beaverton School District No. 48J, General Obligation, (SCH BD GTY Insured) 5.000%, 6/15/36 | 800 | 994 | |
2,790 | |||
Pennsylvania—3.6% | |||
Butler County Hospital Authority, Butler Health System Revenue, 5.000%, 7/1/30 | 250 | 284 | |
Delaware River Joint Toll Bridge Commission, Bridge System Revenue, 5.000%, 7/1/34 | 250 | 310 | |
Pennsylvania Turnpike Commission, Turnpike Revenue Subordinate Lien, | |||
(Pre-Refunded 12/1/20 @ 100) 6.000%, 12/1/34 | 250 | 252 | |
(Pre-Refunded 12/1/20 @ 100) 6.000%, 12/1/34 | 265 | 267 | |
Toll Highway Revenue, 6.375%, 12/1/38 | 2,000 | 2,580 | |
Philadelphia, City of, Water & Wastewater Revenue, 5.000%, 10/1/42 | 300 | 363 | |
4,056 | |||
Par Value | Value | ||
South Carolina—0.3% | |||
South Carolina Association of Governmental Organizations Educational Facilities Corp., for Pickens School District Lease Revenue, 5.000%, 12/1/24 | $ 290 | $ 340 | |
Tennessee—2.2% | |||
Chattanooga-Hamilton County Hospital Authority, Erlanger Health System Revenue, 5.000%, 10/1/26 | 1,000 | 1,119 | |
Tennessee Housing Development Agency, Residential Finance Program Revenue, 2.300%, 1/1/21 | 60 | 60 | |
Tennessee State School Bond Authority, Higher Education Program Revenue, (ST HGR ED INTERCEPT PROG Insured) 5.000%, 11/1/34 | 1,000 | 1,258 | |
2,437 | |||
Texas—13.1% | |||
Hidalgo County Drain District No. 1, General Obligation, 5.000%, 9/1/28 | 1,000 | 1,209 | |
Lamar Consolidated Independent School District, General Obligation, (PSF-GTD Insured) 5.000%, 2/15/34 | 1,000 | 1,228 | |
North Texas Tollway Authority, Special Project System Revenue, (Pre-Refunded 9/1/31 @ 100) 0.000%, 9/1/43 | 2,835 | 3,876 | |
Southmost Regional Water Authority, Desalination Plant Project Revenue, | |||
(AGM Insured) 5.000%, 9/1/23 | 460 | 498 | |
(AGM Insured) 5.000%, 9/1/25 | 1,015 | 1,097 | |
Texas Municipal Gas Acquisition and Supply Corp. I, Gas Supply Revenue, Senior Lien, 6.250%, 12/15/26 | 1,385 | 1,634 |
Par Value | Value | ||
Texas—continued | |||
Texas Municipal Gas Acquisition and Supply Corp. II, Gas Supply Revenue, 0.855%, 9/15/27(2) | $2,400 | $ 2,379 | |
Texas Water Development Board Revenue, 5.000%, 8/1/29 | 1,020 | 1,368 | |
Upper Trinity Regional Water District Authority, Regional Treated Supply System Revenue, (BAM Insured) 5.000%, 8/1/24 | 1,340 | 1,574 | |
14,863 | |||
Vermont—0.3% | |||
Vermont Educational & Health Buildings Financing Agency, University of Vermont Health Network Revenue, 5.000%, 12/1/35 | 300 | 350 | |
Virginia—0.5% | |||
Virginia College Building Authority, Marymount University Revenue, | |||
5.000%, 7/1/21(3) | 400 | 404 | |
5.000%, 7/1/22(3) | 195 | 200 | |
604 | |||
Washington—1.8% | |||
King County Sewer Revenue, 5.000%, 7/1/36 | 1,630 | 1,986 | |
West Virginia—0.3% | |||
Monongalia County Building Commission, Monongalia Health System Revenue, 5.000%, 7/1/23 | 300 | 325 |
Par Value | Value | ||
Wisconsin—1.3% | |||
Public Finance Authority, | |||
Renown Regional Medical Center Revenue, 5.000%, 6/1/33 | $1,000 | $ 1,176 | |
Waste Management, Inc. Revenue, 2.875%, 5/1/27 | 250 | 266 | |
1,442 | |||
Total Municipal Bonds (Identified Cost $101,273) | 109,993 |
Shares | ||
Exchange-Traded Fund—0.3% | ||
VanEck Vectors High Yield Muni ETF(4) | 6,000 | 359 |
Total Exchange-Traded Fund (Identified Cost $330) | 359 | |
Total Long-Term Investments—97.5% (Identified Cost $101,603) | 110,352 | |
TOTAL INVESTMENTS—97.5% (Identified Cost $101,603) | $110,352 | |
Other assets and liabilities, net—2.5% | 2,795 | |
NET ASSETS—100.0% | $113,147 |
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”) |
PSF-GTD | Permanent School Fund Guarantee Program |
SCH BD GTY | School Bond Guaranty |
Footnote Legend: | |
(1) | At September 30, 2020, 18.4% 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 September 30, 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) | 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 September 30, 2020, these securities amounted to a value of $938 or 0.8% of net assets. |
(4) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Municipal Bonds | $109,993 | $ — | $109,993 | ||
Exchange-Traded Fund | 359 | 359 | — | ||
Total Investments | $110,352 | $359 | $109,993 |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | Newfleet Low Duration Core Plus Bond Fund | |||
Assets | |||||
Investment in securities at value(1) | $ 105,948 | $ 56,755 | $ 516,802 | ||
Cash | 2,045 | 1,652 | 2,149 | ||
Receivables | |||||
Investment securities sold | 342 | 567 | 381 | ||
Fund shares sold | 69 | 10 | 2,044 | ||
Dividends and interest | 609 | 801 | 1,586 | ||
Prepaid Trustees’ retainer | 2 | 1 | 10 | ||
Prepaid expenses | 23 | 21 | 31 | ||
Other assets | 11 | 6 | 54 | ||
Total assets | 109,049 | 59,813 | 523,057 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 71 | 57 | 673 | ||
Investment securities purchased | 2,341 | 1,397 | 11,955 | ||
Dividend distributions | 8 | 22 | 93 | ||
Investment advisory fees | 13 | 12 | 111 | ||
Distribution and service fees | 12 | 11 | 34 | ||
Administration and accounting fees | 10 | 6 | 44 | ||
Transfer agent and sub-transfer agent fees and expenses | 16 | 10 | 71 | ||
Professional fees | 31 | 31 | 30 | ||
Trustee deferred compensation plan | 11 | 6 | 54 | ||
Interest expense and/or commitment fees | — (a) | — (a) | 1 | ||
Other accrued expenses | 9 | 9 | 25 | ||
Total liabilities | 2,522 | 1,561 | 13,091 | ||
Net Assets | $ 106,527 | $ 58,252 | $ 509,966 | ||
Net Assets Consist of: | |||||
Common stock $0.001 par value | $ — | $ — | $ 47 | ||
Capital paid in on shares of beneficial interest | 101,884 | 64,422 | 505,226 | ||
Accumulated earnings (loss) | 4,643 | (6,170) | 4,693 | ||
Net Assets | $ 106,527 | $ 58,252 | $ 509,966 | ||
Net Assets: | |||||
Class A | $ 37,507 | $ 45,234 | $ 87,690 | ||
Class C | $ 4,676 | $ 2,542 | $ 20,105 | ||
Class I | $ 63,222 | $ 9,319 | $ 401,784 | ||
Class R6 | $ 1,122 | $ 1,157 | $ 387 | ||
Shares Outstanding (unlimited number of shares authorized, no par value):(2) | |||||
Class A | 3,165,524 | 11,311,359 | 8,004,030 | ||
Class C | 404,046 | 647,001 | 1,835,105 | ||
Class I | 5,249,950 | 2,326,379 | 36,681,592 | ||
Class R6 | 93,119 | 288,988 | 35,334 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $ 11.85 | $ 4.00 | $ 10.96 | ||
Class C | $ 11.57 | $ 3.93 | $ 10.96 | ||
Class I | $ 12.04 | $ 4.01 | $ 10.95 | ||
Class R6 | $ 12.05 | $ 4.00 | $ 10.96 |
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 | $ 12.31 | $ 4.16 | $ 11.21 | ||
Maximum Sales Charge - Class A | 3.75% | 3.75% | 2.25% | ||
(1) Investment in securities at cost | $ 100,888 | $ 57,964 | $ 508,456 | ||
(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. |
Newfleet Multi-Sector Intermediate Bond Fund | Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | |||
Assets | |||||
Investment in securities at value(1) | $ 412,938 | $ 206,134 | $ 110,352 | ||
Cash | 9,766 | 3,532 | 1,567 | ||
Receivables | |||||
Investment securities sold | 1,591 | 1,556 | — | ||
Fund shares sold | 691 | 146 | 64 | ||
Dividends and interest | 3,568 | 593 | 1,412 | ||
Prepaid Trustees’ retainer | 8 | 4 | 2 | ||
Prepaid expenses | 41 | 23 | 17 | ||
Other assets | 45 | 21 | 12 | ||
Total assets | 428,648 | 212,009 | 113,426 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 347 | 485 | 123 | ||
Investment securities purchased | 12,274 | 10,146 | — | ||
Borrowings (See Note 10) | — | 3,000 | — | ||
Dividend distributions | 524 | 181 | 32 | ||
Investment advisory fees | 170 | 77 | 27 | ||
Distribution and service fees | 42 | 35 | 14 | ||
Administration and accounting fees | 36 | 18 | 10 | ||
Transfer agent and sub-transfer agent fees and expenses | 51 | 29 | 27 | ||
Professional fees | 38 | 38 | 28 | ||
Trustee deferred compensation plan | 45 | 21 | 12 | ||
Interest expense and/or commitment fees | — (a) | 32 | — (a) | ||
Other accrued expenses | 19 | 15 | 6 | ||
Total liabilities | 13,546 | 14,077 | 279 | ||
Net Assets | $ 415,102 | $ 197,932 | $ 113,147 | ||
Net Assets Consist of: | |||||
Common stock $0.001 par value | $ — | $ — | $ 10 | ||
Capital paid in on shares of beneficial interest | 434,017 | 275,564 | 103,698 | ||
Accumulated earnings (loss) | (18,915) | (77,632) | 9,439 | ||
Net Assets | $ 415,102 | $ 197,932 | $ 113,147 | ||
Net Assets: | |||||
Class A | $ 78,378 | $ 57,743 | $ 37,078 | ||
Class C | $ 30,872 | $ 27,287 | $ 8,145 | ||
Class I | $ 299,784 | $ 110,156 | $ 67,924 | ||
Class R6 | $ 6,068 | $ 2,746 | $ — | ||
Shares Outstanding (unlimited number of shares authorized, no par value):(2) | |||||
Class A | 7,793,669 | 6,730,163 | 3,238,609 | ||
Class C | 3,036,724 | 3,177,622 | 711,420 | ||
Class I | 29,841,478 | 12,857,086 | 5,933,086 | ||
Class R6 | 601,940 | 320,567 | — | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $ 10.06 | $ 8.58 | $ 11.45 | ||
Class C | $ 10.17 | $ 8.59 | $ 11.45 | ||
Class I | $ 10.05 | $ 8.57 | $ 11.45 | ||
Class R6 | $ 10.08 | $ 8.57 | $ — |
Newfleet Multi-Sector Intermediate Bond Fund | Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | |||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $ 10.45 | $ 8.82 | $ 11.77 | ||
Maximum Sales Charge - Class A | 3.75% | 2.75% | 2.75% | ||
(1) Investment in securities at cost | $ 411,468 | $ 220,627 | $ 101,603 | ||
(2) 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. |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | Newfleet Low Duration Core Plus Bond Fund | |||
Investment Income | |||||
Dividends | $ 32 | $ 25 | $ 196 | ||
Interest | 3,424 | 3,594 | 14,091 | ||
Security lending, net of fees | 1 | 19 | 2 | ||
Total investment income | 3,457 | 3,638 | 14,289 | ||
Expenses | |||||
Investment advisory fees | 456 | 373 | 1,910 | ||
Distribution and service fees, Class A | 90 | 114 | 205 | ||
Distribution and service fees, Class C | 43 | 22 | 210 | ||
Administration and accounting fees | 114 | 68 | 506 | ||
Transfer agent fees and expenses | 53 | 40 | 212 | ||
Sub-transfer agent fees and expenses, Class A | 19 | 19 | 42 | ||
Sub-transfer agent fees and expenses, Class C | 3 | 1 | 13 | ||
Sub-transfer agent fees and expenses, Class I | 36 | 11 | 264 | ||
Custodian fees | 3 | — | 5 | ||
Printing fees and expenses | 9 | 7 | 34 | ||
Professional fees | 33 | 33 | 38 | ||
Interest expense and/or commitment fees | 1 | — (1) | 3 | ||
Registration fees | 58 | 55 | 90 | ||
Trustees’ fees and expenses | 9 | 5 | 40 | ||
Miscellaneous expenses | 27 | 35 | 48 | ||
Total expenses | 954 | 783 | 3,620 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (255) | (216) | (815) | ||
Less low balance account fees | (1) | (3) | — (1) | ||
Net expenses | 698 | 564 | 2,805 | ||
Net investment income (loss) | 2,759 | 3,074 | 11,484 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 1,537 | (532) | (642) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 1,003 | (832) | 2,787 | ||
Net realized and unrealized gain (loss) on investments | 2,540 | (1,364) | 2,145 | ||
Net increase (decrease) in net assets resulting from operations | $5,299 | $ 1,710 | $13,629 |
(1) | Amount is less than $500. |
(2) | See Note 3D in Notes to Financial Statements. |
Newfleet Multi-Sector Intermediate Bond Fund | Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | |||
Investment Income | |||||
Dividends | $ 421 | $ 111 | $ 49 | ||
Interest | 15,966 | 13,944 | 3,697 | ||
Security lending, net of fees | 61 | — | — | ||
Total investment income | 16,448 | 14,055 | 3,746 | ||
Expenses | |||||
Investment advisory fees | 1,869 | 1,181 | 550 | ||
Distribution and service fees, Class A | 200 | 244 | 93 | ||
Distribution and service fees, Class C | 358 | 376 | 95 | ||
Administration and accounting fees | 363 | 282 | 135 | ||
Transfer agent fees and expenses | 152 | 117 | 56 | ||
Sub-transfer agent fees and expenses, Class A | 50 | 25 | 19 | ||
Sub-transfer agent fees and expenses, Class C | 24 | 26 | 4 | ||
Sub-transfer agent fees and expenses, Class I | 159 | 87 | 67 | ||
Custodian fees | 3 | 3 | — (1) | ||
Printing fees and expenses | 25 | 14 | 9 | ||
Professional fees | 42 | 48 | 29 | ||
Interest expense and/or commitment fees | 2 | 464 | 1 | ||
Registration fees | 79 | 70 | 46 | ||
Trustees’ fees and expenses | 27 | 26 | 11 | ||
Miscellaneous expenses | 34 | 23 | 16 | ||
Total expenses | 3,387 | 2,986 | 1,131 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (320) | (95) | (209) | ||
Less low balance account fees | — (1) | — (1) | — (1) | ||
Net expenses | 3,067 | 2,891 | 922 | ||
Net investment income (loss) | 13,381 | 11,164 | 2,824 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 435 | (21,951) | 1,031 | ||
Foreign currency transactions | (258) | — | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 57 | (1,499) | (322) | ||
Foreign currency transactions | 1 | — | — | ||
Net realized and unrealized gain (loss) on investments | 235 | (23,450) | 709 | ||
Net increase (decrease) in net assets resulting from operations | $13,616 | $(12,286) | $3,533 |
(1) | Amount is less than $500. |
(2) | See Note 3D in Notes to Financial Statements. |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | ||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 2,759 | $ 2,539 | $ 3,074 | $ 3,389 | |||
Net realized gain (loss) | 1,537 | (30) | (532) | (634) | |||
Net change in unrealized appreciation (depreciation) | 1,003 | 5,088 | (832) | (17) | |||
Increase (decrease) in net assets resulting from operations | 5,299 | 7,597 | 1,710 | 2,738 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (936) | (1,119) | (2,421) | (2,829) | |||
Class C | (79) | (112) | (101) | (116) | |||
Class I | (1,709) | (1,285) | (481) | (377) | |||
Class R6 | (28) | (23) | (53) | (66) | |||
Total Dividends and Distributions to Shareholders | (2,752) | (2,539) | (3,056) | (3,388) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 218 | 110 | (3,447) | (1,570) | |||
Class C | 883 | (1,679) | 389 | (984) | |||
Class I | 7,773 | 24,047 | 1,601 | (623) | |||
Class R6 | 64 | 569 | 324 | (3,512) | |||
Increase (decrease) in net assets from capital transactions | 8,938 | 23,047 | (1,133) | (6,689) | |||
Net increase (decrease) in net assets | 11,485 | 28,105 | (2,479) | (7,339) | |||
Net Assets | |||||||
Beginning of period | 95,042 | 66,937 | 60,731 | 68,070 | |||
End of Period | $ 106,527 | $ 95,042 | $ 58,252 | $ 60,731 |
Newfleet Low Duration Core Plus Bond Fund | Newfleet Multi-Sector Intermediate Bond Fund | ||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 11,484 | $ 11,333 | $ 13,381 | $ 11,966 | |||
Net realized gain (loss) | (642) | (392) | 177 | (6,416) | |||
Net increase from payment by affiliate | — | — | — | 6 | |||
Net change in unrealized appreciation (depreciation) | 2,787 | 8,918 | 58 | 10,661 | |||
Increase (decrease) in net assets resulting from operations | 13,629 | 19,859 | 13,616 | 16,217 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (1,836) | (2,152) | (3,033) | (2,890) | |||
Class C | (313) | (445) | (1,082) | (1,427) | |||
Class I | (9,305) | (8,732) | (8,980) | (6,137) | |||
Class R6 | (9) | (4) | (214) | (217) | |||
Return of Capital: | |||||||
Class A | — | — | — | (379) | |||
Class C | — | — | — | (232) | |||
Class I | — | — | — | (744) | |||
Class R6 | — | — | — | (27) | |||
Total Dividends and Distributions to Shareholders | (11,463) | (11,333) | (13,309) | (12,053) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 5,929 | 4,937 | (5,766) | 11,432 | |||
Class C | (835) | (2,555) | (8,312) | (14,751) | |||
Class I | 47,610 | 81,041 | 119,448 | 13,121 | |||
Class R6 | 101 | 278 | 1,136 | (10,775) | |||
Increase (decrease) in net assets from capital transactions | 52,805 | 83,701 | 106,506 | (973) | |||
Net increase (decrease) in net assets | 54,971 | 92,227 | 106,813 | 3,191 | |||
Net Assets | |||||||
Beginning of period | 454,995 | 362,768 | 308,289 | 305,098 | |||
End of Period | $ 509,966 | $ 454,995 | $ 415,102 | $ 308,289 |
Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | ||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 11,164 | $ 20,985 | $ 2,824 | $ 3,573 | |||
Net realized gain (loss) | (21,951) | (8,908) | 1,031 | (86) | |||
Net change in unrealized appreciation (depreciation) | (1,499) | (7,994) | (322) | 6,600 | |||
Increase (decrease) in net assets resulting from operations | (12,286) | 4,083 | 3,533 | 10,087 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (4,504) | (8,440) | (799) | (1,126) | |||
Class C | (1,388) | (2,767) | (136) | (332) | |||
Class I | (5,837) | (10,029) | (1,835) | (2,973) | |||
Class R6 | (89) | (9) | — | — | |||
Total Dividends and Distributions to Shareholders | (11,818) | (21,245) | (2,770) | (4,431) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (98,504) | (21,646) | (1,607) | 632 | |||
Class C | (16,903) | (29,121) | (3,084) | (4,620) | |||
Class I | (39,041) | (61,367) | (17,081) | (21,504) | |||
Class R6 | 2,917 | 117 | — | — | |||
Increase (decrease) in net assets from capital transactions | (151,531) | (112,017) | (21,772) | (25,492) | |||
Net increase (decrease) in net assets | (175,635) | (129,179) | (21,009) | (19,836) | |||
Net Assets | |||||||
Beginning of period | 373,567 | 502,746 | 134,156 | 153,992 | |||
End of Period | $ 197,932 | $ 373,567 | $ 113,147 | $ 134,156 |
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 9/30/20 | $11.51 | 0.30 | 0.34 | 0.64 | (0.30) | — | — | (0.30) | — | 0.34 | $11.85 | 5.66 % | $ 37,507 | 0.81 % (6) | 1.07 % | 2.61 % | 65 % | |
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 (7) | 39,536 | 0.84 (7) | 1.17 | 3.26 (7) | 56 | |
10/1/15 to 9/30/16 | 11.02 | 0.36 | 0.33 | 0.69 | (0.33) | — | — | (0.33) | — (8) | 0.36 | 11.38 | 6.38 (9) | 44,136 | 0.86 (10) | 1.18 | 3.28 | 64 | |
Class C | ||||||||||||||||||
10/1/19 to 9/30/20 | $11.24 | 0.21 | 0.33 | 0.54 | (0.21) | — | — | (0.21) | — | 0.33 | $11.57 | 4.85 % | $ 4,676 | 1.56 % (6) | 1.82 % | 1.84 % | 65 % | |
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 (7) | 6,671 | 1.59 (7) | 1.92 | 2.51 (7) | 56 | |
10/1/15 to 9/30/16 | 10.78 | 0.27 | 0.32 | 0.59 | (0.25) | — | — | (0.25) | — (8) | 0.34 | 11.12 | 5.54 (9) | 9,409 | 1.61 (10) | 1.93 | 2.52 | 64 | |
Class I | ||||||||||||||||||
10/1/19 to 9/30/20 | $11.70 | 0.33 | 0.34 | 0.67 | (0.33) | — | — | (0.33) | — | 0.34 | $12.04 | 5.87 % | $ 63,222 | 0.56 % (6) | 0.80 % | 2.85 % | 65 % | |
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 (7) | 26,597 | 0.59 (7) | 0.92 | 3.52 (7) | 56 | |
10/1/15 to 9/30/16 | 11.19 | 0.40 | 0.33 | 0.73 | (0.36) | — | — | (0.36) | — (8) | 0.37 | 11.56 | 6.63 (9) | 24,236 | 0.61 (10) | 0.93 | 3.51 | 64 | |
Class R6 | ||||||||||||||||||
10/1/19 to 9/30/20 | $11.71 | 0.35 | 0.34 | 0.69 | (0.35) | — | — | (0.35) | — | 0.34 | $12.05 | 6.00 % | $ 1,122 | 0.44 % (6) | 0.74 % | 2.99 % | 65 % | |
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 (6) | 0.79 | 3.59 | 49 | |
11/3/16 (11) to 9/30/17 | 11.45 | 0.38 | 0.03 | 0.41 | (0.36) | — | — | (0.36) | — | 0.05 | 11.50 | 3.66 (7) | 463 | 0.53 (7) | 0.88 | 3.33 (7) | 56 (12) | |
Newfleet High Yield Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 9/30/20 | $ 4.10 | 0.21 | (0.10) | 0.11 | (0.21) | — | — | (0.21) | — | (0.10) | $ 4.00 | 2.88 % | $ 45,234 | 1.00 % | 1.37 % | 5.31 % | 88 % | |
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 (7) | 56,694 | 1.00 (6)(7) | 1.41 | 5.36 (7) | 71 | |
10/1/15 to 9/30/16 | 3.98 | 0.21 | 0.20 | 0.41 | (0.21) | — | — | (0.21) | — (8) | 0.20 | 4.18 | 10.59 (9) | 64,338 | 1.15 (10) | 1.42 | 5.15 | 81 | |
Class C | ||||||||||||||||||
10/1/19 to 9/30/20 | $ 4.02 | 0.18 | (0.09) | 0.09 | (0.18) | — | — | (0.18) | — | (0.09) | $ 3.93 | 2.33 % | $ 2,542 | 1.75 % | 2.11 % | 4.55 % | 88 % | |
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 (7) | 3,593 | 1.75 (6)(7) | 2.17 | 4.61 (7) | 71 | |
10/1/15 to 9/30/16 | 3.92 | 0.17 | 0.20 | 0.37 | (0.18) | — | — | (0.18) | — (8) | 0.19 | 4.11 | 9.68 (9) | 4,231 | 1.90 (10) | 2.17 | 4.40 | 81 | |
Class I | ||||||||||||||||||
10/1/19 to 9/30/20 | $ 4.10 | 0.22 | (0.09) | 0.13 | (0.22) | — | — | (0.22) | — | (0.09) | $ 4.01 | 3.40 % | $ 9,319 | 0.75 % | 1.17 % | 5.54 % | 88 % | |
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 (7) | 6,577 | 0.75 (6)(7) | 1.17 | 5.62 (7) | 71 | |
10/1/15 to 9/30/16 | 3.98 | 0.21 | 0.21 | 0.42 | (0.22) | — | — | (0.22) | — (8) | 0.20 | 4.18 | 10.86 (9) | 7,954 | 0.90 (10) | 1.16 | 5.38 | 81 |
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 R6 | ||||||||||||||||||
10/1/19 to 9/30/20 | $ 4.10 | 0.22 | (0.10) | 0.12 | (0.22) | — | — | (0.22) | — | (0.10) | $ 4.00 | 3.20 % | $ 1,157 | 0.69 % | 1.05 % | 5.58 % | 88 % | |
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 (11) to 9/30/17 | 4.14 | 0.22 | 0.10 | 0.32 | (0.21) | — | — | (0.21) | — | 0.11 | 4.25 | 7.93 (7) | 5,253 | 0.69 (6)(7) | 1.15 | 5.66 (7) | 71 | |
Newfleet Low Duration Core Plus Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 9/30/20 | $10.86 | 0.24 | 0.10 | 0.34 | (0.24) | — | — | (0.24) | — | 0.10 | $10.96 | 3.21 % | $ 87,690 | 0.75 % | 0.91 % | 2.24 % | 57 % | |
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(13) | 10.70 | 0.15 | 0.20 | 0.35 | (0.15) | — | — | (0.15) | — | 0.20 | 10.90 | 3.25 | 102,049 | 0.76 (10) | 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) | — (8) | (0.12) | 10.70 | 0.89 (9) | 85,666 | 0.75 | 1.12 | 1.77 | 56 | |
Class C | ||||||||||||||||||
10/1/19 to 9/30/20 | $10.86 | 0.16 | 0.10 | 0.26 | (0.16) | — | — | (0.16) | — | 0.10 | $10.96 | 2.44 % | $ 20,105 | 1.50 % | 1.67 % | 1.50 % | 57 % | |
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(13) | 10.70 | 0.09 | 0.19 | 0.28 | (0.08) | — | — | (0.08) | — | 0.20 | 10.90 | 2.67 | 46,642 | 1.51 (10) | 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) | — (8) | (0.12) | 10.70 | 0.13 (9) | 44,621 | 1.50 | 1.86 | 1.02 | 56 | |
Class I | ||||||||||||||||||
10/1/19 to 9/30/20 | $10.85 | 0.27 | 0.10 | 0.37 | (0.27) | — | — | (0.27) | — | 0.10 | $10.95 | 3.46 % | $401,784 | 0.50 % | 0.67 % | 2.49 % | 57 % | |
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(13) | 10.70 | 0.17 | 0.20 | 0.37 | (0.17) | — | — | (0.17) | — | 0.20 | 10.90 | 3.44 | 251,630 | 0.52 (10) | 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) | — (8) | (0.11) | 10.70 | 1.24 (9) | 150,977 | 0.50 | 0.88 | 2.03 | 56 | |
Class R6 | ||||||||||||||||||
10/1/19 to 9/30/20 | $10.86 | 0.28 | 0.10 | 0.38 | (0.28) | — | — | (0.28) | — | 0.10 | $10.96 | 3.54 % | $ 387 | 0.43 % | 0.61 % | 2.56 % | 57 % | |
12/19/18 (11) 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 (12) | |
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 9/30/20 | $10.16 | 0.39 | (0.11) | 0.28 | (0.38) | — | — | (0.38) | — | (0.10) | $10.06 | 2.86 % | $ 78,378 | 0.99 % | 1.09 % | 3.87 % | 95 % | |
10/1/18 to 9/30/19 | 9.97 | 0.43 | 0.19 | 0.62 | (0.38) | (0.05) | — | (0.43) | — (8) | 0.19 | 10.16 | 6.43 (9) | 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 (7) | 87,144 | 1.01 (6)(7) | 1.13 | 4.55 (7) | 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 (10) | 1.15 | 4.80 | 60 |
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 (Continued) | ||||||||||||||||||
Class C | ||||||||||||||||||
10/1/19 to 9/30/20 | $10.26 | 0.31 | (0.10) | 0.21 | (0.30) | — | — | (0.30) | — | (0.09) | $10.17 | 2.16 % | $ 30,872 | 1.74 % | 1.83 % | 3.12 % | 95 % | |
10/1/18 to 9/30/19 | 10.07 | 0.36 | 0.19 | 0.55 | (0.31) | (0.05) | — | (0.36) | — (8) | 0.19 | 10.26 | 5.57 (9) | 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 (7) | 63,919 | 1.77 (6)(7) | 1.88 | 3.80 (7) | 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 (10) | 1.90 | 4.04 | 60 | |
Class I | ||||||||||||||||||
10/1/19 to 9/30/20 | $10.15 | 0.41 | (0.10) | 0.31 | (0.41) | — | — | (0.41) | — | (0.10) | $10.05 | 3.19 % | $299,784 | 0.74 % | 0.83 % | 4.09 % | 95 % | |
10/1/18 to 9/30/19 | 9.98 | 0.46 | 0.18 | 0.64 | (0.42) | (0.05) | — | (0.47) | — (8) | 0.17 | 10.15 | 6.57 (9) | 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 (7) | 205,821 | 0.75 (6)(7) | 0.88 | 4.83 (7) | 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 (10) | 0.90 | 5.04 | 60 | |
Class R6 | ||||||||||||||||||
10/1/19 to 9/30/20 | $10.17 | 0.42 | (0.10) | 0.32 | (0.41) | — | — | (0.41) | — | (0.09) | $10.08 | 3.28 % | $ 6,068 | 0.60 % | 0.76 % | 4.25 % | 95 % | |
10/1/18 to 9/30/19 | 9.98 | 0.46 | 0.20 | 0.66 | (0.42) | (0.05) | — | (0.47) | — (8) | 0.19 | 10.17 | 6.77 (9) | 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 (7) | 19,410 | 0.67 (6)(7) | 0.82 | 4.79 (7) | 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 (10) | 0.83 | 5.12 | 60 | |
Newfleet Senior Floating Rate Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 9/30/20 | $ 9.11 | 0.38 | (0.54) | (0.16) | (0.37) | — | — | (0.37) | — | (0.53) | $ 8.58 | (1.66) % | $ 57,743 | 1.12 % (14) | 1.13 % | 4.31 % | 40 % | |
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 (14) | 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 (6) | 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 (10)(15) | 1.24 | 3.67 | 48 | |
Class C | ||||||||||||||||||
10/1/19 to 9/30/20 | $ 9.12 | 0.30 | (0.52) | (0.22) | (0.31) | — | — | (0.31) | — | (0.53) | $ 8.59 | (2.36) % | $ 27,287 | 1.86 % (14) | 1.92 % | 3.47 % | 40 % | |
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 (14) | 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 (6) | 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 (10) | 1.99 | 2.92 | 48 | |
Class I | ||||||||||||||||||
10/1/19 to 9/30/20 | $ 9.10 | 0.39 | (0.52) | (0.13) | (0.40) | — | — | (0.40) | — | (0.53) | $ 8.57 | (1.39) % | $110,156 | 0.86 % (14) | 0.91 % | 4.45 % | 40 % | |
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 (14) | 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 (6) | 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 (10) | 0.98 | 3.91 | 48 |
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 R6 | ||||||||||||||||||
10/1/19 to 9/30/20 | $ 9.11 | 0.37 | (0.50) | (0.13) | (0.41) | — | — | (0.41) | — | (0.54) | $ 8.57 | (1.33) % | $ 2,746 | 0.70 % (14) | 0.82 % | 4.51 % | 40 % | |
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 (14) | 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 (6) | 0.86 | 4.70 | 37 | |
11/3/16 (11) 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 (6) | 0.86 | 3.76 | 95 (12) | |
Newfleet Tax-Exempt Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 9/30/20 | $11.34 | 0.25 | 0.11 | 0.36 | (0.25) | — | — | (0.25) | — | 0.11 | $11.45 | 3.17 % | $ 37,078 | 0.85 % | 1.01 % | 2.21 % | 6 % | |
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 (7) | 46,657 | 0.85 (7) | 1.03 | 2.78 (7) | 9 | |
1/1/16 to 9/30/16(13) | 11.43 | 0.22 | 0.12 | 0.34 | (0.22) | — | — | (0.22) | — | 0.12 | 11.55 | 3.00 | 69,711 | 0.87 (10) | 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 | |
Class C | ||||||||||||||||||
10/1/19 to 9/30/20 | $11.34 | 0.17 | 0.10 | 0.27 | (0.16) | — | — | (0.16) | — | 0.11 | $11.45 | 2.40 % | $ 8,145 | 1.60 % | 1.74 % | 1.47 % | 6 % | |
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) (7) | 20,832 | 1.60 (7) | 1.78 | 2.03 (7) | 9 | |
1/1/16 to 9/30/16(13) | 11.43 | 0.15 | 0.13 | 0.28 | (0.16) | — | — | (0.16) | — | 0.12 | 11.55 | 2.42 | 26,833 | 1.61 (10) | 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 | |
Class I | ||||||||||||||||||
10/1/19 to 9/30/20 | $11.34 | 0.28 | 0.10 | 0.38 | (0.27) | — | — | (0.27) | — | 0.11 | $11.45 | 3.43 % | $ 67,924 | 0.60 % | 0.78 % | 2.46���% | 6 % | |
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 (7) | 100,062 | 0.60 (7) | 0.79 | 3.04 (7) | 9 | |
1/1/16 to 9/30/16(13) | 11.43 | 0.24 | 0.12 | 0.36 | (0.24) | — | — | (0.24) | — | 0.12 | 11.55 | 3.19 | 104,679 | 0.62 (10) | 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 |
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) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(7) | 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) |
(8) | Amount is less than $0.005 per share. |
(9) | Payment from affiliate had no impact on total return. |
(10) | Net expense ratio includes extraordinary proxy expenses. |
(11) | Inception date. |
(12) | Portfolio turnover is representative of the Fund for the entire period. |
(13) | The Fund changed its fiscal year end to September 30, during the period. |
(14) | Ratios of total expenses excluding interest expense on borrowings for year ended September 30, 2020 and 2019, were 0.94% (Class A), 1.69% (Class C), 0.69% (Class I) and 0.55% (Class R6). |
(15) | The share class is currently under its expense limitation. |
September 30, 2020
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). |
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. | |
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 September 30, 2020, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2017 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. | |
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. |
Unfunded Loan Commitment | |||||||
Borrower | Newfleet High Yield Fund | Newfleet Multi-Sector Intermediate Bond Fund | Newfleet Senior Floating Rate Fund | ||||
Intelsat Jackson Holdings S.A. (3 month LIBOR + 4.550%) 5.050%, 7/14/21 | $15 | $40 | $59 |
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 * |
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 cap for Class A, Class C, Class I and Class R6 were as follows: 0.85%,1.60%, 0.60% and 0.48%, respectively. |
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 | 2021 | 2022 | 2023 | Total | ||||
Newfleet Core Plus Bond Fund | ||||||||
Class A | $ 98 | $ 89 | $ 94 | $ 281 | ||||
Class C | 21 | 12 | 11 | 44 | ||||
Class I | 68 | 84 | 147 | 299 | ||||
Class R6 | 1 | 2 | 3 | 6 | ||||
Newfleet High Yield Fund | ||||||||
Class A | 180 | 182 | 169 | 531 | ||||
Class C | 21 | 8 | 8 | 37 | ||||
Class I | 24 | 26 | 36 | 86 | ||||
Class R6 | 15 | 4 | 3 | 22 | ||||
Newfleet Low Duration Core Plus Bond Fund | ||||||||
Class A | 274 | 158 | 133 | 565 | ||||
Class C | 87 | 46 | 35 | 168 | ||||
Class I | 842 | 612 | 646 | 2,100 | ||||
Class R6 | — | — (1) | 1 | 1 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||
Class A | 86 | 85 | 76 | 247 | ||||
Class C | 53 | 50 | 33 | 136 | ||||
Class I | 176 | 168 | 203 | 547 | ||||
Class R6 | 23 | 9 | 8 | 40 | ||||
Newfleet Senior Floating Rate Fund | ||||||||
Class A | 52 | 25 | 18 | 95 | ||||
Class C | 59 | 40 | 21 | 120 | ||||
Class I | 143 | 111 | 68 | 322 | ||||
Class R6 | 1 | — (1) | 3 | 4 | ||||
Newfleet Tax-Exempt Bond Fund | ||||||||
Class A | 59 | 53 | 57 | 169 | ||||
Class C | 22 | 18 | 14 | 54 | ||||
Class I | 137 | 160 | 138 | 435 |
(1) | Amount is less than $500. |
Fund | Class A | Class C | Class I | Total | ||||
Newfleet Senior Floating Rate Fund | $ 8 | $ 1 | $ 6 | $ 15 |
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 September 30, 2020, it retained net commissions of $19 for Class A shares and CDSC of $9, $-(1), and $-(1) for Class C shares, Class I shares, and Class R6 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 September 30, 2020, the Funds incurred administration fees totaling $1,301 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 September 30, 2020, the Funds incurred transfer agent fees totaling $583 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 September 30, 2020. |
Purchases | Sales | ||
Newfleet Core Plus Bond Fund | $ 57,318 | $ 54,469 | |
Newfleet High Yield Fund | 49,001 | 50,309 | |
Newfleet Low Duration Core Plus Bond Fund | 286,893 | 253,385 | |
Newfleet Multi-Sector Intermediate Bond Fund | 397,918 | 289,278 | |
Newfleet Senior Floating Rate Fund | 110,295 | 268,034 | |
Newfleet Tax-Exempt Bond Fund | 6,814 | 26,788 |
Purchases | Sales | ||
Newfleet Core Plus Bond Fund | $16,366 | $ 9,590 | |
Newfleet Low Duration Core Plus Bond Fund | 21,545 | 9,877 | |
Newfleet Multi-Sector Intermediate Bond Fund | 30,310 | 31,391 |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | ||||||||||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 379 | $ 4,391 | 453 | $ 5,012 | 505 | $ 1,995 | 445 | $ 1,779 | |||||||
Reinvestment of distributions | 72 | 830 | 88 | 982 | 533 | 2,107 | 611 | 2,471 | |||||||
Shares repurchased and cross class conversions | (434) | (5,003) | (530) | (5,884) | (1,909) | (7,549) | (1,438) | (5,820) | |||||||
Net Increase / (Decrease) | 17 | $ 218 | 11 | $ 110 | (871) | $ (3,447) | (382) | $ (1,570) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 296 | $ 3,363 | 165 | $ 1,770 | 272 | $ 1,038 | 113 | $ 448 | |||||||
Reinvestment of distributions | 7 | 76 | 10 | 108 | 26 | 100 | 29 | 113 | |||||||
Shares repurchased and cross class conversions | (230) | (2,556) | (332) | (3,557) | (200) | (749) | (395) | (1,545) | |||||||
Net Increase / (Decrease) | 73 | $ 883 | (157) | $ (1,679) | 98 | $ 389 | (253) | $ (984) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 2,331 | $ 27,455 | 2,593 | $ 29,141 | 1,354 | $ 5,388 | 882 | $ 3,588 | |||||||
Reinvestment of distributions | 144 | 1,700 | 113 | 1,281 | 121 | 480 | 91 | 369 | |||||||
Shares repurchased and cross class conversions | (1,843) | (21,382) | (572) | (6,375) | (1,052) | (4,267) | (1,140) | (4,580) | |||||||
Net Increase / (Decrease) | 632 | $ 7,773 | 2,134 | $ 24,047 | 423 | $ 1,601 | (167) | $ (623) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 60 | $ 712 | 62 | $ 707 | 164 | $ 625 | 32 | $ 127 | |||||||
Reinvestment of distributions | 2 | 25 | 2 | 20 | 12 | 47 | 14 | 57 | |||||||
Shares repurchased and cross class conversions | (57) | (673) | (14) | (158) | (89) | (348) | (909) | (3,696) | |||||||
Net Increase / (Decrease) | 5 | $ 64 | 50 | $ 569 | 87 | $ 324 | (863) | $ (3,512) |
Newfleet Low Duration Core Plus Bond Fund | Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 3,156 | $ 34,300 | 3,909 | $ 41,644 | 1,689 | $ 16,867 | 2,942 | $ 29,318 | |||||||
Reinvestment of distributions | 147 | 1,585 | 170 | 1,818 | 266 | 2,642 | 289 | 2,878 | |||||||
Shares repurchased and cross class conversions | (2,795) | (29,956) | (3,606) | (38,525) | (2,633) | (25,275) | (2,100) | (20,764) | |||||||
Net Increase / (Decrease) | 508 | $ 5,929 | 473 | $ 4,937 | (678) | $ (5,766) | 1,131 | $ 11,432 |
Newfleet Low Duration Core Plus Bond Fund | Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 855 | $ 9,220 | 1,286 | $ 13,665 | 796 | $ 8,032 | 991 | $ 9,890 | |||||||
Reinvestment of distributions | 25 | 267 | 35 | 378 | 88 | 882 | 136 | 1,370 | |||||||
Shares repurchased and cross class conversions | (956) | (10,322) | (1,555) | (16,598) | (1,724) | (17,226) | (2,593) | (26,011) | |||||||
Net Increase / (Decrease) | (76) | $ (835) | (234) | $ (2,555) | (840) | $ (8,312) | (1,466) | $ (14,751) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 20,700 | $ 223,570 | 19,386 | $ 207,470 | 20,726 | $ 200,606 | 8,464 | $ 84,699 | |||||||
Reinvestment of distributions | 787 | 8,507 | 743 | 7,981 | 544 | 5,397 | 483 | 4,810 | |||||||
Shares repurchased and cross class conversions | (17,292) | (184,467) | (12,589) | (134,410) | (8,918) | (86,555) | (7,723) | (76,388) | |||||||
Net Increase / (Decrease) | 4,195 | $ 47,610 | 7,540 | $ 81,041 | 12,352 | $ 119,448 | 1,224 | $ 13,121 | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 9 | $ 95 | 26 | $ 276 | 230 | $ 2,255 | 174 | $ 1,749 | |||||||
Reinvestment of distributions | 1 | 7 | — (1) | 2 | 17 | 169 | 21 | 206 | |||||||
Shares repurchased and cross class conversions | (—) (1) | (1) | — | — | (127) | (1,288) | (1,291) | (12,730) | |||||||
Net Increase / (Decrease) | 10 | $ 101 | 26 | $ 278 | 120 | $ 1,136 | (1,096) | $ (10,775) |
(1) | Amount is less than 500 shares. |
Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | ||||||||||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 3,363 | $ 28,888 | 2,876 | $ 26,470 | 349 | $ 3,963 | 621 | $ 6,917 | |||||||
Reinvestment of distributions | 477 | 4,209 | 878 | 8,031 | 58 | 656 | 85 | 937 | |||||||
Shares repurchased and cross class conversions | (15,504) | (131,601) | (6,191) | (56,147) | (551) | (6,226) | (652) | (7,222) | |||||||
Net Increase / (Decrease) | (11,664) | $ (98,504) | (2,437) | $ (21,646) | (144) | $ (1,607) | 54 | $ 632 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 207 | $ 1,818 | 442 | $ 4,083 | 143 | $ 1,644 | 178 | $ 1,968 | |||||||
Reinvestment of distributions | 136 | 1,174 | 262 | 2,398 | 11 | 124 | 27 | 296 | |||||||
Shares repurchased and cross class conversions | (2,322) | (19,895) | (3,885) | (35,602) | (429) | (4,852) | (618) | (6,884) | |||||||
Net Increase / (Decrease) | (1,979) | $ (16,903) | (3,181) | $ (29,121) | (275) | $ (3,084) | (413) | $ (4,620) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 5,589 | $ 48,418 | 8,633 | $ 79,413 | 827 | $ 9,363 | 1,025 | $ 11,335 | |||||||
Reinvestment of distributions | 396 | 3,427 | 665 | 6,076 | 125 | 1,425 | 204 | 2,260 | |||||||
Shares repurchased and cross class conversions | (10,563) | (90,886) | (16,120) | (146,856) | (2,476) | (27,869) | (3,191) | (35,099) | |||||||
Net Increase / (Decrease) | (4,578) | $ (39,041) | (6,822) | $ (61,367) | (1,524) | $ (17,081) | (1,962) | $ (21,504) |
Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | ||||||||||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 579 | $ 5,154 | 13 | $ 114 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | 10 | 84 | — (1) | 3 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (292) | (2,321) | (—) (1) | (—) (2) | — | — | — | — | |||||||
Net Increase / (Decrease) | 297 | $ 2,917 | 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 | 37% | 2 | |
Newfleet High Yield Fund | 10 | 1 | |
Newfleet Low Duration Core Plus Bond Fund | 30 | 1 | |
Newfleet Multi-Sector Intermediate Bond Fund | 36 | 1 | |
Newfleet Senior Floating Rate Fund | 24 | 1 |
* | None of the accounts are affiliated. |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Newfleet Core Plus Bond Fund | $ 100,976 | $ 5,814 | $ (842) | $ 4,972 | ||||
Newfleet High Yield Fund | 57,949 | 1,585 | (2,779) | (1,194) | ||||
Newfleet Low Duration Core Plus Bond Fund | 508,457 | 9,815 | (1,470) | 8,345 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | 411,663 | 13,165 | (11,890) | 1,275 | ||||
Newfleet Senior Floating Rate Fund | 220,831 | 644 | (15,341) | (14,697) | ||||
Newfleet Tax-Exempt Bond Fund | 102,011 | 8,417 | (76) | 8,341 |
Short-Term | Long-Term | ||
Newfleet Core Plus Bond Fund | $ — | $ 477 | |
Newfleet High Yield Fund | 978 | 3,876 | |
Newfleet Low Duration Core Plus Bond Fund | 1,672 | 1,513 | |
Newfleet Multi-Sector Intermediate Bond Fund | 2,875 | 17,276 | |
Newfleet Senior Floating Rate Fund | 3,415 | 39,749 |
Fund | |
Newfleet Core Plus Bond Fund | $ 1,431 |
Newfleet Low Duration Core Plus Bond Fund | 136 |
Newfleet Multi-Sector Intermediate Bond Fund | 297 |
Capital Loss Deferred | Capital Loss Recognized | ||
Newfleet Core Plus Bond Fund | $ — | $ (103) | |
Newfleet High Yield Fund | 457 | (698) | |
Newfleet Low Duration Core Plus Bond Fund | 745 | (328) | |
Newfleet Multi-Sector Intermediate Bond Fund | — | (4,622) | |
Newfleet Senior Floating Rate Fund | 19,778 | (9,330) | |
Newfleet Tax-Exempt Bond Fund | — | (145) |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Undistributed Tax-Exempt Income | |||
Newfleet Core Plus Bond Fund | $157 | $ — | $ — | ||
Newfleet High Yield Fund | 343 | — | — | ||
Newfleet Low Duration Core Plus Bond Fund | 324 | — | — | ||
Newfleet Senior Floating Rate Fund | 53 | — | — | ||
Newfleet Tax-Exempt Bond Fund | — | 880 | 234 |
Ordinary Income | Long-Term Capital Gains | Tax-Exempt Distributions | Return of Capital | Total | |||||
Newfleet Core Plus Bond Fund | |||||||||
9/30/20 | $ 2,752 | $ — | $ — | $ — | $ 2,752 | ||||
9/30/19 | 2,539 | — | — | — | 2,539 | ||||
Newfleet High Yield Fund | |||||||||
9/30/20 | 3,056 | — | — | — | 3,056 | ||||
9/30/19 | 3,388 | — | — | — | 3,388 | ||||
Newfleet Low Duration Core Plus Bond Fund | |||||||||
9/30/20 | 11,463 | — | — | — | 11,463 | ||||
9/30/19 | 11,333 | — | — | — | 11,333 |
Ordinary Income | Long-Term Capital Gains | Tax-Exempt Distributions | Return of Capital | Total | |||||
Newfleet Multi-Sector Intermediate Bond Fund | |||||||||
9/30/20 | $13,309 | $ — | $ — | $ — | $13,309 | ||||
9/30/19 | 10,672 | — | — | 1,381 | 12,053 | ||||
Newfleet Senior Floating Rate Fund | |||||||||
9/30/20 | 11,818 | — | — | — | 11,818 | ||||
9/30/19 | 21,245 | — | — | — | 21,245 | ||||
Newfleet Tax-Exempt Bond Fund | |||||||||
9/30/20 | 3 | — | 2,767 | — | 2,770 | ||||
9/30/19 | 5 | 858 | 3,568 | — | 4,431 |
Capital Paid in on Shares of Beneficial Interest | Total Distributable Earnings (Accumulated Losses) | ||
Newfleet Core Plus Bond Fund | $ — (1) | $ —(1) | |
Newfleet High Yield Fund | — (1) | — (1) | |
Newfleet Low Duration Core Plus Bond Fund | — (1) | — (1) | |
Newfleet Multi-Sector Intermediate Bond Fund | (169) | 169 | |
Newfleet Senior Floating Rate Fund | — (1) | — (1) | |
Newfleet Tax-Exempt Bond Fund | — (1) | — (1) |
(1) | Amount is less than $500. |
Intermediate Bond Fund, Virtus Newfleet Senior Floating Rate Fund and Virtus Newfleet Tax-Exempt Bond Fund (six of the Funds
constituting Virtus Opportunities Trust, hereafter collectively referred to as the “Funds”) as of September 30, 2020, the related
statements of operations for the year ended September 30, 2020, the statements of changes in net assets for each of the two years in the period ended September 30, 2020, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2020, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2020 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our
procedures included confirmation of securities owned as of September 30, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
Philadelphia, Pennsylvania
began serving as auditor.
QDI | DRD | LTCG | |||
Newfleet Tax-Exempt Bond Fund | —% | — % | $ 880 |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Brown, Thomas J. YOB: 1945 Served Since: 2016 68 Portfolios | Retired. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). |
Burke, Donald C. YOB: 1960 Served Since: 2016 72 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; and Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 68 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Director (1999 to 2019) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Mallin, John R. YOB: 1950 Served Since: 2016 68 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm) Real Property Practice Group; Member (since 2014), Counselors of Real Estate. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). |
McClellan, Hassell H. YOB: 1945 Served Since: 2015 68 Portfolios | Retired. Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee since 2015), Virtus Mutual Fund Family (54 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 68 Portfolios | Retired (since 2013). Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013), Vice President Global Finance Transformation (2007 to 2009), Vice President and Controller (1999 to 2007), The Coca-Cola Company. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Director (since 2019), Global Payments Inc.; Trustee (since 2017), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (2014 to 2019), Total System Services, Inc.; Member (since 2011) and Chair (2014 to 2016), Georgia State University, Robinson College of Business Board of Advisors; and Trustee (2005 to 2017), RidgeWorth Funds. |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
McLoughlin, Philip YOB: 1946 Served Since: 1999 72 Portfolios | Retired. | Director and Chairman (since 2016), Virtus Total Return Fund Inc.; Director and Chairman (2016 to 2019), the former Virtus Total Return Fund Inc.; Director and Chairman (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (1991 to 2019) and Chairman (2010 to 2019), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (54 portfolios). |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 72 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (54 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2000 68 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). | Director (since 2016), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (54 portfolios). |
Segerson, Richard E. YOB: 1946 Served Since: 2000 68 Portfolios | Retired. Managing Director (1998 to 2013), Northway Management Company. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (54 portfolios). |
Walton, R. Keith YOB: 1964 Served Since: 2020 68 Portfolios | Venture and Operating Partner (since 2020), Plexo Capital, LLC; Venture Partner (since 2019) and Senior Adviser (2018 to 2019), Plexo, LLC; Senior Adviser (2018 to 2019), Vatic Labs, LLC; Executive Vice President, Strategy (2017 to 2019), Zero Mass Water, LLC; Vice President, Strategy (2013 to 2017), Arizona State University; Partner (since 2006), Global Infrastructure Partners. | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Director (since 2017), certain funds advised by Bessemer Investment Management LLC; Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (2006 to 2019), Systematica Investments Limited Funds; Director (2006 to 2017), BlueCrest Capital Management Funds; Trustee (2014 to 2017), AZ Service; Director (since 2004), Virtus Total Return Fund Inc.; and Director (2004 to 2019), the former Virtus Total Return Fund Inc. |
Zino, Brian T. YOB: 1952 Served Since: 2020 68 Portfolios | Retired. Various roles (1982 to 2008), J. & W. Seligman & Co. Incorporated, including President (1994 to 2008). | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2014), Virtus Total Return Fund Inc.; Director (2014 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2011), Bentley University; Director (1986 to 2008) and President (1994 to 2008), J&W Seligman Co. Inc.; Director (1998 to 2009), Chairman (2002 to 2004) and Vice Chairman (2000 to 2002), ICI Mutual Insurance Company; Member, Board of Governors of ICI (1998 to 2008). |
Name, Year of Birth, Length of Time Served and Number of Funds Overseen | Principal Occupation(s) During Past 5 Years | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee |
Aylward, George R.* Trustee and President YOB: 1964 Served Since: 2006 70 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries, and various senior officer positions with Virtus affiliates (since 2005). | Chairman and Trustee (since 2015), Virtus ETF Trust II (2 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (5 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (54 portfolios); Director, President and Chief Executive Officer (since 2006), Virtus Total Return Fund Inc.; and Director, President and Chief Executive Officer (2006 to 2019), the former Virtus Total Return Fund Inc. |
Name, Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Moyer, William R. YOB: 1944 Served Since: 2020 68 Portfolios | Private investor (since 2004); Financial and Operations Principal (2006 to 2017), Newcastle Distributors LLC (broker dealer). | Advisory Board Member (since 2020), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Advisory Board Member (since 2020) and Director (2016 to 2019), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Advisory Board Member (since 2020) and Director (2014 to 2019), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Advisory Board Member (since 2020) and Trustee (2011 to 2019), Virtus Global Multi-Sector Income Fund; Advisory Board Member (since 2020) and Trustee (2013 to 2016), Virtus Alternative Solutions Trust (3 portfolios). |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter J. YOB: 1970 | Senior Vice President (since 2017), and Vice President (2008 to 2016). | Senior Vice President, Product Development (since 2017), Vice President, Product Development (2008 to 2016), and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2013 to 2016), Virtus Alternative Solutions Trust; Senior Vice President (since 2017) and Vice President (2016 to 2017), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; and Senior Vice President (2017 to 2019) and Vice President (2016 to 2017), the former Virtus Total Return Fund Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2011 to 2013); Chief Financial Officer and Treasurer (since 2006). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), and various officer positons (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc.; Executive Vice President (2016 to 2019), Senior Vice President (2013 to 2016), Vice President (2012 to 2013), Treasurer and Chief Financial Officer (since 2010), the former Virtus Total Return Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Utility and Infrastructure Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. |
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2013); Vice President (2005 to 2013); Chief Legal Officer, Counsel and Secretary (since 2005). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), and various officer positions (since 2005), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), and Assistant Secretary (2013 to 2014 and since 2017), Virtus Total Return Fund Inc.; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013) and Assistant Secretary (2013 to 2014 and 2017 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President (2013 to 2014), Vice President (2011 to 2013), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. |
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017); Vice President (2011 to 2017); and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), and various officer positions (since 2003), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc.; Senior Vice President (2017 to 2019), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President (since 2018), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Senior Vice President (2018 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013); Senior Vice President (2008 to 2013). | Executive Vice President, Product Development (since 2009), and various senior officer positions (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust; Executive Vice President (since 2017), Virtus Total Return Fund Inc.; and Executive Vice President (2017 to 2019), the former Virtus Total Return Fund Inc. |
Accounting Firm
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.
please contact us at 1-800-243-1574, or Virtus.com.
8639 | 11-20 |
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 |
Virtus FORT Trend Fund *(f/k/a: Virtus Rampart Equity Trend Fund) |
Virtus KAR Emerging Markets Small-Cap Fund |
Virtus KAR International Small-Cap Fund |
Virtus KAR International Small-Mid Cap Fund |
Virtus Rampart Multi-Asset Trend Fund |
Virtus Rampart Sector Trend Fund |
Virtus Vontobel Global Opportunities Fund |
Virtus Vontobel Greater European Opportunities Fund* |
1 | ||
2 | ||
5 | ||
Fund | Fund Summary | Schedule of Investments |
10 | 46 | |
13 | 47 | |
16 | 49 | |
19 | 51 | |
22 | 52 | |
25 | 54 | |
28 | 56 | |
31 | 58 | |
34 | 60 | |
37 | 63 | |
40 | 66 | |
Virtus Vontobel Greater European Opportunities Fund (“Vontobel Greater European Opportunities Fund”) | 43 | 68 |
70 | ||
78 | ||
82 | ||
88 | ||
96 | ||
116 | ||
117 | ||
118 | ||
119 | ||
120 | ||
123 |
President, Virtus Funds
Beginning Account Value April 1, 2020 | Ending Account Value September 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Global Infrastructure Fund | ||||||||
Class A | $ 1,000.00 | $ 1,171.10 | 1.29 % | $ 7.00 | ||||
Class C | 1,000.00 | 1,166.10 | 2.04 | 11.05 | ||||
Class I | 1,000.00 | 1,171.40 | 1.06 | 5.75 | ||||
Class R6 | 1,000.00 | 1,172.90 | 0.85 | 4.62 | ||||
Duff & Phelps Global Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 1,154.10 | 1.40 | 7.54 | ||||
Class C | 1,000.00 | 1,149.90 | 2.15 | 11.56 | ||||
Class I | 1,000.00 | 1,155.20 | 1.15 | 6.20 | ||||
Class R6 | 1,000.00 | 1,156.70 | 0.89 | 4.80 | ||||
Duff & Phelps International Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 1,160.70 | 1.50 | 8.10 | ||||
Class C | 1,000.00 | 1,158.30 | 2.25 | 12.14 | ||||
Class I | 1,000.00 | 1,163.00 | 1.25 | 6.76 | ||||
Duff & Phelps Real Asset Fund | ||||||||
Class A | 1,000.00 | 1,146.40 | 1.38 | 7.41 | ||||
Class C | 1,000.00 | 1,141.10 | 2.09 | 11.19 | ||||
Class I | 1,000.00 | 1,146.90 | 1.11 | 5.96 | ||||
FORT Trend Fund | ||||||||
Class A | 1,000.00 | 1,184.90 | 1.59 | 8.68 | ||||
Class C | 1,000.00 | 1,180.60 | 2.34 | 12.76 | ||||
Class I | 1,000.00 | 1,186.00 | 1.33 | 7.27 | ||||
Class R6 | 1,000.00 | 1,187.30 | 1.25 | 6.84 | ||||
KAR Emerging Markets Small-Cap Fund | ||||||||
Class A | 1,000.00 | 1,484.10 | 1.85 | 11.49 | ||||
Class C | 1,000.00 | 1,478.50 | 2.60 | 16.11 | ||||
Class I | 1,000.00 | 1,486.10 | 1.60 | 9.94 | ||||
Class R6 | 1,000.00 | 1,486.10 | 1.50 | 9.32 | ||||
KAR International Small-Cap Fund | ||||||||
Class A | 1,000.00 | 1,355.30 | 1.59 | 9.36 | ||||
Class C | 1,000.00 | 1,350.10 | 2.29 | 13.45 | ||||
Class I | 1,000.00 | 1,357.50 | 1.30 | 7.66 | ||||
Class R6 | 1,000.00 | 1,358.00 | 1.19 | 7.02 |
Beginning Account Value April 1, 2020 | Ending Account Value September 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
KAR International Small-Mid Cap Fund | ||||||||
Class A | $1,000.00 | $1,387.30 | 1.45% | $ 8.65 | ||||
Class C | 1,000.00 | 1,382.50 | 2.20 | 13.10 | ||||
Class I | 1,000.00 | 1,389.10 | 1.20 | 7.17 | ||||
Class R6 | 1,000.00 | 1,388.70 | 1.10 | 6.57 | ||||
Rampart Multi-Asset Trend Fund | ||||||||
Class A | 1,000.00 | 1,082.70 | 1.64 | 8.54 | ||||
Class C | 1,000.00 | 1,079.10 | 2.38 | 12.37 | ||||
Class I | 1,000.00 | 1,084.00 | 1.38 | 7.19 | ||||
Rampart Sector Trend Fund | ||||||||
Class A | 1,000.00 | 1,156.30 | 1.06 | 5.71 | ||||
Class C | 1,000.00 | 1,152.10 | 1.81 | 9.74 | ||||
Class I | 1,000.00 | 1,157.60 | 0.82 | 4.42 | ||||
Vontobel Global Opportunities Fund | ||||||||
Class A | 1,000.00 | 1,314.70 | 1.36 | 7.87 | ||||
Class C | 1,000.00 | 1,310.50 | 2.11 | 12.19 | ||||
Class I | 1,000.00 | 1,317.60 | 1.09 | 6.32 | ||||
Class R6 | 1,000.00 | 1,318.30 | 0.90 | 5.22 | ||||
Vontobel Greater European Opportunities Fund | ||||||||
Class A | 1,000.00 | 1,272.90 | 1.45 | 8.24 | ||||
Class C | 1,000.00 | 1,267.50 | 2.20 | 12.47 | ||||
Class I | 1,000.00 | 1,273.20 | 1.20 | 6.82 |
* | 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. |
Beginning Account Value April 1, 2020 | Ending Account Value September 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Global Infrastructure Fund | ||||||||
Class A | $ 1,000.00 | $ 1,018.55 | 1.29 % | $ 6.51 | ||||
Class C | 1,000.00 | 1,014.80 | 2.04 | 10.28 | ||||
Class I | 1,000.00 | 1,019.70 | 1.06 | 5.35 | ||||
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 |
Beginning Account Value April 1, 2020 | Ending Account Value September 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Real Asset Fund | ||||||||
Class A | $1,000.00 | $1,018.10 | 1.38% | $ 6.96 | ||||
Class C | 1,000.00 | 1,014.55 | 2.09 | 10.53 | ||||
Class I | 1,000.00 | 1,019.45 | 1.11 | 5.60 | ||||
FORT Trend Fund | ||||||||
Class A | 1,000.00 | 1,017.05 | 1.59 | 8.02 | ||||
Class C | 1,000.00 | 1,013.30 | 2.34 | 11.78 | ||||
Class I | 1,000.00 | 1,018.35 | 1.33 | 6.71 | ||||
Class R6 | 1,000.00 | 1,018.75 | 1.25 | 6.31 | ||||
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 | 1,017.05 | 1.59 | 8.02 | ||||
Class C | 1,000.00 | 1,013.55 | 2.29 | 11.53 | ||||
Class I | 1,000.00 | 1,018.50 | 1.30 | 6.56 | ||||
Class R6 | 1,000.00 | 1,019.05 | 1.19 | 6.01 | ||||
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 Multi-Asset Trend Fund | ||||||||
Class A | 1,000.00 | 1,016.80 | 1.64 | 8.27 | ||||
Class C | 1,000.00 | 1,013.10 | 2.38 | 11.98 | ||||
Class I | 1,000.00 | 1,018.10 | 1.38 | 6.96 | ||||
Rampart Sector Trend Fund | ||||||||
Class A | 1,000.00 | 1,019.70 | 1.06 | 5.35 | ||||
Class C | 1,000.00 | 1,015.95 | 1.81 | 9.12 | ||||
Class I | 1,000.00 | 1,020.90 | 0.82 | 4.14 | ||||
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. |
September 30, 2020
September 30, 2020
September 30, 2020
September 30, 2020
Ticker Symbols: | |
Class A: PGUAX | |
Class C: PGUCX | |
Class I: PGIUX | |
Class R6: VGIRX |
Duff & Phelps Investment Management Co.
■ | The Fund is diversified and has investment objectives of both capital appreciation and current income. There is no guarantee that the Fund will meet its objectives. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned -6.11%, Class C shares at NAV returned -6.83%, Class I shares at NAV returned -5.94%, and Class R6 shares at NAV returned -5.75%. For the same period, the FTSE Developed Core Infrastructure 50/50 Index (net), a broad-based equity index, returned -8.04%, and the Global Infrastructure Linked Benchmark, the Fund’s style-specific benchmark appropriate for comparison, returned -8.04%. |
Utilities | 48% |
Industrials | 28 |
Real Estate | 11 |
Energy | 10 |
Communication Services | 3 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | -6.11 % | 7.12 % | 7.74 % | — % | — | |||||||
Class A shares at POP3,4 | -11.51 | 5.86 | 7.11 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | -6.83 | 6.32 | 6.94 | — | — | |||||||
Class I shares at NAV2 | -5.94 | 7.37 | 8.00 | — | — | |||||||
Class R6 shares at NAV2 | -5.75 | — | — | 3.94 | 1/30/18 | |||||||
FTSE Developed Core Infrastructure 50/50 Index (net) | -8.04 | 6.74 | 8.06 | 2.67 5 | — | |||||||
Global Infrastructure Linked Benchmark | -8.04 | 6.54 | 6.56 | 2.67 5 | — | |||||||
Fund Expense Ratios6: Class A shares: 1.26%; Class C shares: 2.01%; Class I shares: 1.02%; Class R6 shares: Gross 0.93%, Net 0.85%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: VGSAX | |
Class C: VGSCX | |
Class I: VGISX | |
Class R6: VRGEX |
Duff & Phelps Investment Management Co.
■ | The Fund is diversified and has a primary investment objective of long-term capital appreciation, with a secondary investment objective of income. There is no guarantee that the Fund will meet its objectives. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned -10.01%, Class C shares at NAV returned -10.67%, Class I shares at NAV returned -9.79%, and Class R6 shares at NAV returned -9.52%. For the same period, the FTSE EPRA NAREIT Developed Index (net), which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned -18.29%. |
Industrial/Office REITs | 24% |
Residential REITs | 19 |
Real Estate Operating Companies | 12 |
Retail REITs | 9 |
Office REITs | 6 |
Health Care REITs | 5 |
Diversified REITs | 5 |
Other REITs | 20 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | -10.01 % | 5.50 % | 7.62 % | — % | — | |||||||
Class A shares at POP3,4 | -15.18 | 4.26 | 6.99 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | -10.67 | 4.71 | 6.82 | — | — | |||||||
Class I shares at NAV2 | -9.79 | 5.76 | 7.89 | — | — | |||||||
Class R6 shares at NAV2 | -9.52 | — | — | 6.40 | 11/3/16 | |||||||
FTSE EPRA NAREIT Developed Index (net) | -18.29 | 2.03 | 4.75 | 1.11 5 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 2.61%, Net 1.40%; Class C shares: Gross 2.20%, Net 2.15%; Class I shares: Gross 1.19%, Net 1.15%; Class R6 shares: Gross 1.08%, Net 0.89%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: PXRAX | |
Class C: PXRCX | |
Class I: PXRIX |
Duff & Phelps Investment Management Co.
■ | The Fund is diversified and has a primary investment objective of long-term capital appreciation, with a secondary investment objective of income. There is no guarantee that the Fund will meet its objectives. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned -7.72%, Class C shares at NAV returned -8.37%, and Class I shares at NAV returned -7.37%. For the same period, the FTSE EPRA NAREIT Developed ex-U.S. Index (net), which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned -13.92%. |
Real Estate Operating Companies | 27% |
Industrial/Office REITs | 18 |
Office REITs | 16 |
Residential REITs | 11 |
Retail REITs | 8 |
Diversified Real Estate Activities REITs | 7 |
Diversified REITs | 6 |
Other REITs | 7 |
Total | 100% |
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | -7.72% | 4.88% | 6.05% | |||||
Class A shares at POP3,4 | -13.02 | 3.64 | 5.42 | |||||
Class C shares at NAV2 and with CDSC4 | -8.37 | 4.12 | 5.26 | |||||
Class I shares at NAV2 | -7.37 | 5.15 | 6.32 | |||||
FTSE EPRA NAREIT Developed ex-U.S. Index (net) | -13.92 | 2.54 | 3.70 | |||||
Fund Expense Ratios5: Class A shares: Gross 1.71%, Net 1.50%; Class C shares: Gross 2.44%, Net 2.25%; Class I shares: Gross 1.44%, Net 1.25%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: PDPAX | |
Class C: PDPCX | |
Class I: VADIX |
Duff & Phelps Investment Management Co.
■ | The Fund is non-diversified and has an investment objective of long-term capital appreciation. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned -8.50%, Class C shares at NAV returned -9.25%†, and Class I shares at NAV returned -8.32%. For the same period, the MSCI All Country World Index (net) which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned 10.44%. |
Affiliated Mutual Funds | 70% | |
Exchange-Traded Funds | 28 | |
Short-Term Investment | 2 | |
Total | 100% |
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | -8.50% | 2.01% | 1.66% | |||||
Class A shares at POP3,4 | -13.76 | 0.81 | 1.06 | |||||
Class C shares at NAV2 and with CDSC4 | -9.25 5 | 1.23 | 0.89 | |||||
Class I shares at NAV2 | -8.32 | 2.25 | 1.91 | |||||
Alternatives Diversifier Composite Benchmark6 | -10.28 | 0.88 | 1.46 | |||||
MSCI All Country World Index (net)6 | 10.44 | 10.30 | 8.55 | |||||
S&P 500® Index6 | 15.15 | 14.15 | 13.74 | |||||
Fund Expense Ratios7: Class A shares: 1.41%; Class C shares: 2.15%; Class I shares: 1.16%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
6 | The Fund changed its primary benchmark during the year to the MSCI All Country World Index (net). The Fund’s new subadviser believes the MSCI All Country World Index (net) better reflects the markets and securities in which the Fund is invested than the Fund’s previous benchmark, the S&P 500® Index. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: VAPAX | |
Class C: VAPCX | |
Class I: VAPIX | |
Class R6: VRPAX |
FORT Investment Management LP
■ | The Fund is diversified and has an investment objective of long-term capital appreciation. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned -4.02%, Class C shares at NAV returned -4.72%, Class I shares at NAV returned -3.77%, and Class R6 shares at NAV returned -3.68%. For the same period, the ICE BofA 3-month U.S. Treasury Bill Index, which serves as both the broad-based equity index and the style-specific index, returned 1.10%. |
Short-Term Investments | 100% | |
Money Market Mutual Fund | 6% | |
U.S. Government Securities | 94 | |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | -4.02 % | 3.69 % | 5.54 % | — % | — | |||||||
Class A shares at POP3,4 | -9.54 | 2.47 | 4.91 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | -4.72 | 2.95 | 4.77 | — | — | |||||||
Class I shares at NAV2 | -3.77 | 3.94 | 5.80 | — | — | |||||||
Class R6 shares at NAV2 | -3.68 | 4.08 | — | 1.35 | 11/12/14 | |||||||
S&P 500® Index5 | 15.15 | 14.15 | 13.74 | 11.11 6 | — | |||||||
ICE BofA 3-month U.S. Treasury Bill Index5 | 1.10 | 1.20 | 0.64 | 1.09 6 | — | |||||||
Fund Expense Ratios7: Class A shares: 1.56%; Class C shares: 2.30%; Class I shares: 1.31%; Class R6 shares: 1.21%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The Fund changed its primary benchmark during the year to the ICE BofA 3-month U.S. Treasury Bill Index. The Fund’s new subadviser believes the ICE BofA 3-month U.S. Treasury Bill Index better reflects the markets and securities in which the Fund is invested than the Fund’s previous benchmark, the S&P 500® Index. |
6 | The since inception index return is from the inception date of Class R6 shares. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: VAESX | |
Class C: VCESX | |
Class I: VIESX | |
Class R6: VRESX |
Kayne Anderson Rudnick Investment Management, LLC
■ | The Fund is non-diversified and has an investment objective of capital appreciation. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned 25.70%, Class C shares at NAV returned 24.75%, Class I shares at NAV returned 26.01%, and Class R6 shares at NAV returned 26.13%. For the same period, the MSCI Emerging Markets Small Cap Index (net), which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned 6.89%. |
• | Sea outperformed materially during the period as the company continued to report strong results and rapid growth in size. Because Sea is an internet-based business, it was relatively less impacted by the virus-led lockdowns. |
• | WebCash outperformed as the company reported solid results with continued growth in the number of new customers. |
• | Other top contributors included NICE Information Service, IndiaMART, and Voltronic Power Technology. |
• | Distell underperformed because it operates in many African countries that were hard-hit by lower oil prices, and faced economic challenges and wild |
• | Compania Cervecerias Unidas (CCU) underperformed for several reasons. First, the closure of restaurants and bars negatively impacted sales. Second, margins were pressured by inflation in Argentina and the weakening Chilean peso and Argentine peso relative to the U.S. dollar. Finally, AmBev threatened the company’s market share in Chile by signing a distribution agreement with Coca-Cola bottler Andina. Our initial thesis was premised on the company possessing a defensible market share and the ability to offset inflation with higher prices. With both of these in doubt, we sold our shares during the fiscal year. |
• | Other top detractors included PT ACE Hardware Indonesia, Corporacion Moctezuma, and Haw Par. |
Industrials | 33% |
Communication Services | 22 |
Information Technology | 14 |
Consumer Staples | 11 |
Consumer Discretionary | 7 |
Financials | 5 |
Health Care | 2 |
Other (includes short-term investment) | 6 |
Total | 100% |
1 Year | 5 Years | Since inception | Inception date | |||||||
Class A shares at NAV2 | 25.70 % | 15.22 % | 7.71 % | 12/17/13 | ||||||
Class A shares at POP3,4 | 18.47 | 13.87 | 6.77 | 12/17/13 | ||||||
Class C shares at NAV2 and with CDSC4 | 24.75 | 14.34 | 6.90 | 12/17/13 | ||||||
Class I shares at NAV2 | 26.01 | 15.48 | 7.96 | 12/17/13 | ||||||
Class R6 shares at NAV2 | 26.13 | — | 20.31 | 8/1/19 | ||||||
MSCI Emerging Markets Small Cap Index (net) | 6.89 | 4.60 | — 5 | — | ||||||
Fund Expense Ratios6: Class A shares: Gross 1.91%, Net 1.87%; Class C shares: Gross 2.63%, Net 2.62%; Class I shares: Gross 1.68%, Net 1.62%; Class R6 shares: Gross 1.63%, Net 1.52%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index returned 3.96% from the inception date of Class R6 shares and 2.22% from the inception date of Class A shares, Class C shares, and Class I shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: VISAX | |
Class C: VCISX | |
Class I: VIISX | |
Class R6: VRISX |
Kayne Anderson Rudnick Investment Management, LLC
■ | The Fund is non-diversified and has an investment objective of capital appreciation. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned 14.98%, Class C shares at NAV returned 14.07%, Class I shares at NAV returned 15.28%, and Class R6 shares at NAV returned 15.35%. For the same period, the MSCI World ex USA Small Cap Index (net), which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned 6.97%. |
• | Mercari’s e-commerce activity increased substantially following the onset of the global pandemic. |
• | Bouvet had strong underlying results during the fiscal year. In addition, it was announced in May that the company would be added to the Oslo Bors Benchmark Index. The stock rallied significantly following this announcement. |
• | Other top contributors included Scout24, Voltronic Power Technology, and SimCorp. |
• | The stock price of Pason Systems suffered, along with those of other energy-related stocks, as an unfavorable balance between supply and demand weighed on oil prices. The company’s competitive position and balance sheet remain strong, and we believe the current valuation is attractive. Therefore, |
• | We concluded that En-Japan’s competitive position was not as strong as we originally believed, and exited our position in the first half of the fiscal year. |
• | Other top detractors included Haw Par, Ascential, and Compania Cervecerias Unidas (CCU). |
Industrials | 29% |
Communication Services | 21 |
Information Technology | 14 |
Financials | 13 |
Consumer Staples | 6 |
Health Care | 4 |
Consumer Discretionary | 4 |
Other (includes short-term investment) | 9 |
Total | 100% |
1 Year | 5 Years | Since inception | Inception date | |||||||
Class A shares at NAV2 | 14.98 % | 14.38 % | 11.63 % | 9/5/12 | ||||||
Class A shares at POP3,4 | 8.37 | 13.03 | 10.81 | 9/5/12 | ||||||
Class C shares at NAV2 and with CDSC4 | 14.07 | 13.55 | 10.80 | 9/5/12 | ||||||
Class I shares at NAV2 | 15.28 | 14.67 | 11.91 | 9/5/12 | ||||||
Class R6 shares at NAV2 | 15.35 | 14.79 | 10.34 | 11/12/14 | ||||||
MSCI World ex USA Small Cap Index (net) | 6.97 | 6.80 | — 5 | — | ||||||
Fund Expense Ratios6: Class A shares: 1.55%; Class C shares: 2.29%; Class I shares: 1.30%; Class R6 shares: 1.19%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index returned 5.11% from the inception date of Class R6 shares and 6.96% from the inception date of Class A shares, Class C shares, and Class I shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: VKIAX | |
Class C: VKICX | |
Class I: VKIIX | |
Class R6: VKIRX |
Kayne Anderson Rudnick Investment Management, LLC
■ | The Fund is non-diversified and has an investment objective of capital appreciation. There is no guarantee that the Fund will meet its objective. |
■ | From October 1, 2019 (inception date) through September 30, 2020, the Fund’s Class A shares at NAV returned 29.30%*, Class C shares at NAV returned 28.30%*, Class I shares at NAV returned 29.60%*, and Class R6 shares at NAV returned 29.70%*. For the same period, the MSCI ACWI ex USA SMID Cap Index (net), the Fund’s broad-based and style-specific index appropriate for comparison, returned 5.11%*. |
• | Mercari’s e-commerce activity increased substantially following the onset of the global pandemic. |
• | Adevinta owns a number of leading online classified ad platforms around the world. During the period, Adevinta announced an agreement to buy eBay Classifieds Group, which led to a sharp increase in the company’s share price. |
• | Other top contributors included Voltronic Power Technology, Freee K.K., and Scout24. |
• | The stock price of Pason Systems suffered, along with those of other energy-related stocks, as an unfavorable balance between supply and demand weighed on oil prices. The company’s competitive position and balance sheet remain strong, and we believe the current valuation is attractive. Therefore, we continued to hold it as of the end of the Fund’s fiscal year. |
• | We concluded that En-Japan’s competitive position was not as strong as we originally believed, and exited our position in the first half of the fiscal year. |
• | Other top detractors included Ascential, Haw Par, and CAE. |
Industrials | 29% |
Communication Services | 24 |
Information Technology | 18 |
Financials | 9 |
Consumer Discretionary | 6 |
Health Care | 3 |
Energy | 2 |
Other (includes short-term investment) | 9 |
Total | 100% |
Since inception | Inception date | |||||
Class A shares at NAV2 | 29.30 % | 10/1/19 | ||||
Class A shares at POP3,4 | 21.87 | 10/1/19 | ||||
Class C shares at NAV2 and with CDSC4 | 28.30 | 10/1/19 | ||||
Class I shares at NAV2 | 29.60 | 10/1/19 | ||||
Class R6 shares at NAV2 | 29.70 | 10/1/19 | ||||
MSCI ACWI ex USA SMID Cap Index (net) | 5.11 5 | — | ||||
Fund Expense Ratios6: Class A shares: Gross 2.02%, Net 1.45%; Class C shares: Gross 2.77%, Net 2.20%; Class I shares: Gross 1.77%, Net 1.20%; Class R6 shares: Gross 1.76%, Net 1.10%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the Fund’s inception date. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: VAAAX | |
Class C: VAACX | |
Class I: VAISX |
Rampart Investment Management Company, LLC
■ | The Fund is diversified and has an investment objective of capital appreciation. In pursuing this objective, the Fund maintains an emphasis on preservation of capital. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned -0.30%, Class C shares at NAV returned -1.00%, and Class I shares at NAV returned -0.02%. For the same period, the Dow Jones Global Moderate Portfolio IndexSM, the Fund’s style-specific index appropriate for comparison, returned 6.48%. |
Exchange-Traded Funds | 64% | |
Common Stocks | 36 | |
Consumer Discretionary | 9% | |
Industrials | 7 | |
Information Technology | 5 | |
Materials | 4 | |
Communication Services | 3 | |
All Other Common Stocks | 8 | |
Total | 100% |
1 Year | 5 Years | Since inception | Inception date | |||||||
Class A shares at NAV2 | -0.30 % | 2.98 % | 2.76 % | 3/15/11 | ||||||
Class A shares at POP3,4 | -6.03 | 1.77 | 2.13 | 3/15/11 | ||||||
Class C shares at NAV2 and with CDSC4 | -1.00 | 2.23 | 2.01 | 3/15/11 | ||||||
Class I shares at NAV2 | -0.02 | 3.25 | 3.02 | 3/15/11 | ||||||
Dow Jones Global Moderate Portfolio IndexSM | 6.48 | 7.60 | 6.72 5 | — | ||||||
Fund Expense Ratios6: Class A shares: Gross 1.89%, Net 1.81%; Class C shares: Gross 2.63%, Net 2.56%; Class I shares: Gross 1.65%, Net 1.56%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the Fund’s inception date. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: PWBAX | |
Class C: PWBCX | |
Class I: VARIX |
Rampart Investment Management Company, LLC.
■ | The Fund is diversified and has an investment objective of long-term capital appreciation. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned -2.53%, Class C shares at NAV returned -3.29%, and Class I shares at NAV returned -2.33%. For the same period, the S&P 500® Index, which serves as both the broad-based equity index and the Fund’s style-specific index, returned 15.15%. |
Information Technology | 20% |
Health Care | 20 |
Consumer Discretionary | 20 |
Communication Services | 20 |
Materials | 10 |
Consumer Staples | 5 |
Industrials | 5 |
Total | 100% |
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | -2.53% | 4.74% | 7.60% | |||||
Class A shares at POP3,4 | -8.14 | 3.51 | 6.96 | |||||
Class C shares at NAV2 and with CDSC4 | -3.29 | 3.94 | 6.80 | |||||
Class I shares at NAV2 | -2.33 | 4.98 | 7.86 | |||||
S&P 500® Index | 15.15 | 14.15 | 13.74 | |||||
Fund Expense Ratios5: Class A shares: 1.01%; Class C shares: 1.77%; Class I shares: 0.78%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: NWWOX | |
Class C: WWOCX | |
Class I: WWOIX | |
Class R6: VRGOX |
Vontobel Asset Management, Inc.
■ | The Fund is diversified and has an investment objective of capital appreciation. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned 16.03%, Class C shares at NAV returned 15.19%, Class I shares at NAV returned 16.41%, and Class R6 shares at NAV returned 16.59%. For the same period, the MSCI All Country World Index (net), which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned 10.44%. |
• | Amazon held up well during the crisis thanks in part to the increased demand for fresh food and household goods during the COVID-19 outbreak. The company invested heavily in its one-day shipping logistics and was well-placed to meet the surge in demand for e-commerce in the U.S. and globally as a result. The company reported stronger-than-expected results for the second quarter and guidance into the third quarter, as North American e-commerce growth rates remained strong. Amazon Web Services (AWS) also sustained a high level of growth. Amazon is the leading player in e-commerce in North America, and has leading positions in several markets in Europe, as well as in India and Japan. Amazon achieved this by offering competitive pricing, free shipping for Prime members, and convenience. Amazon also has the leading position globally in Cloud services with AWS. |
• | Microsoft’s stock price benefited from expectations for continued strong trends in its Azure business, as cloud computing remains a critical resource for businesses. The company’s core software franchises, such as Office and Windows, remained important during the fiscal year, despite the economic disruption. The company was also the beneficiary of accelerated e-commerce adoption post-COVID-19. Once defined by its reliance on a PC-centric world, Microsoft has successfully |
• | Alibaba Group, Paypal, and UnitedHealth also helped absolute performance. |
• | Safran suffered as a result of the travel bans being enforced globally, concerns around the health of the airline and travel industry overall, and the impact of higher unemployment on a travel rebound. Safran is a French aerospace manufacturer with a focus on civil aviation. In particular, Safran is the leading player in engine manufacturing for narrow-body aircraft, which is the fastest growing segment in the civil-aviation space. We like Safran because it has a dominant position in narrow-body engines, with a market share of 100% of Boeing’s 737 fleet, over 50% of Airbus’s A320 fleet, and more than 30,000 engines in operation. Further, we believe the company’s prospects have a high degree of predictability, given that approximately two-thirds of its profits come from the maintenance segment, its engines are in operation for 20-25 years, and it has achieved attractive pricing growth of 3%-5% on spare parts. |
• | HDFC Bank declined in the broad market selloff in India earlier in 2020. HDFC Bank is one of the leading private sector banks in India, and a core holding of the Fund. The bank has delivered solid growth while maintaining high credit and underwriting standards. HDFC Bank has a strong deposit franchise and powerful technology backbone that have fueled its growth. Because we believe it has the potential to continue to gain market share as its competitors are weakened, we continued to hold the stock at the end of the reporting period. |
• | Anheuser-Busch, Martin Marietta, and Bookings Holdings also hurt absolute performance. |
Information Technology | 25% |
Consumer Discretionary | 22 |
Consumer Staples | 15 |
Health Care | 14 |
Communication Services | 10 |
Financials | 6 |
Industrials | 5 |
Other | 3 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 16.03 % | 13.00 % | 11.60 % | — % | — | |||||||
Class A shares at POP3,4 | 9.36 | 11.67 | 10.94 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 15.19 | 12.16 | 10.78 | — | — | |||||||
Class I shares at NAV2 | 16.41 | 13.31 | — | 11.93 | 8/8/12 | |||||||
Class R6 shares at NAV2 | 16.59 | — | — | 8.64 | 1/30/18 | |||||||
MSCI All Country World Index (net) | 10.44 | 10.30 | 8.55 | — 5 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 1.40%, Net 1.36%; Class C shares: Gross 2.16%, Net 2.11%; Class I shares: Gross 1.17%, Net 1.09%; Class R6 shares: Gross 1.08%, Net 0.90%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index returned 3.66% from the inception date of Class R6 shares and 9.28% from the inception date of Class I shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through March 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: VGEAX | |
Class C: VGECX | |
Class I: VGEIX |
Vontobel Asset Management, Inc.
■ | The Fund is diversified and has an investment objective of long-term capital appreciation. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned 9.82%, Class C shares at NAV returned 9.01%, and Class I shares at NAV returned 10.06%. For the same period, the MSCI Europe Index (net), which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned -0.79%. |
• | SAP: The period saw growing market concerns around slowing spending in enterprise tech. Although information technology (IT) spending was |
• | Cellnex’s stock price rose in the second quarter of 2020 on market expectations that the company would soon announce new acquisitions. Cellnex is the largest independent tower company in Europe. Historically, European telecommunications companies owned their own tower infrastructure, as a way to differentiate the quality of their network. The needs of the incumbent telecommunications companies (telcos) have changed, however. Control of tower infrastructure is not only less relevant, but also capital inefficient. Today, telcos are seeking to invest in 5G technology, and many are considering selling their tower assets to finance these capital expenditures. Cellnex leads the market by a wide margin, and we believe the company is in a prime position to lead the consolidation in the tower infrastructure space. |
• | Flutter Entertainment, Sika AG, and Adyen N.V. also helped absolute performance. |
• | Safran suffered as a result of the travel bans being enforced globally, concerns around the health of the |
• | Anheuser-Busch: COVID-19 hit alcohol companies hard as bars and restaurants were closed and social gatherings discouraged. Anheuser-Busch InBev (ABI) is the world’s largest brewer, and dominates the beer market in most of the countries in which it operates. The company has roughly one-fourth of global beer volumes and close to one half of global beer profits. Management has historically executed well on its acquisitions and generated high levels of free cash. |
• | Bookings Holdings, Vinci, and Amadeus IT Group also hurt absolute performance. |
Industrials | 21% |
Consumer Staples | 21 |
Consumer Discretionary | 15 |
Health Care | 14 |
Information Technology | 12 |
Financials | 8 |
Materials | 5 |
Other | 4 |
Total | 100% |
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 9.82% | 5.77% | 6.68% | |||||
Class A shares at POP3,4 | 3.50 | 4.52 | 6.05 | |||||
Class C shares at NAV2 and with CDSC4 | 9.01 | 4.98 | 5.89 | |||||
Class I shares at NAV2 | 10.06 | 6.02 | 6.94 | |||||
MSCI Europe Index (net) | -0.79 | 4.24 | 4.26 | |||||
Fund Expense Ratios5: Class A shares: Gross 2.99%, Net 1.45%; Class C shares: Gross 3.73%, Net 2.20%; Class I shares: Gross 2.72%, Net 1.20%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Shares | Value | ||
Common Stocks—99.8% | |||
Communication Services—3.2% | |||
Cellnex Telecom SA 144A (Spain)(1) | 43,235 | $ 2,636 | |
Energy—10.2% | |||
Cheniere Energy, Inc. (United States)(2) | 29,907 | 1,384 | |
Enbridge, Inc. (Canada) | 83,044 | 2,425 | |
Kinder Morgan, Inc. (United States) | 80,419 | 992 | |
Pembina Pipeline Corp. (Canada) | 36,902 | 783 | |
TC Energy Corp. (Canada) | 40,270 | 1,692 | |
Williams Cos., Inc. (The) (United States) | 53,780 | 1,057 | |
8,333 | |||
Industrials—28.2% | |||
Aena SME SA 144A (Spain)(1)(2) | 21,486 | 3,005 | |
Atlantia SpA (Italy)(2) | 96,578 | 1,521 | |
Auckland International Airport Ltd. (New Zealand)(2) | 262,872 | 1,276 | |
Canadian Pacific Railway Ltd. (Canada) | 7,250 | 2,207 | |
Ferrovial SA (Spain) | 55,343 | 1,346 | |
Flughafen Zuerich AG (Switzerland)(2) | 5,870 | 807 | |
Norfolk Southern Corp. (United States) | 11,941 | 2,555 | |
Sydney Airport (Australia)(2) | 358,792 | 1,524 | |
Transurban Group (Australia) | 345,007 | 3,523 | |
Union Pacific Corp. (United States) | 17,874 | 3,519 | |
Vinci SA (France)(2) | 21,333 | 1,789 | |
23,072 | |||
Real Estate—10.8% | |||
American Tower Corp. (United States) | 21,132 | 5,108 |
Shares | Value | ||
Real Estate—continued | |||
Crown Castle International Corp. (United States) | 22,385 | $ 3,727 | |
8,835 | |||
Utilities—47.4% | |||
Ameren Corp. (United States) | 17,323 | 1,370 | |
American Electric Power Co., Inc. (United States) | 27,751 | 2,268 | |
American Water Works Co., Inc. (United States) | 12,334 | 1,787 | |
Atmos Energy Corp. (United States) | 14,895 | 1,424 | |
CenterPoint Energy, Inc. (United States) | 51,395 | 994 | |
CMS Energy Corp. (United States) | 23,696 | 1,455 | |
Dominion Energy, Inc. (United States) | 44,519 | 3,514 | |
DTE Energy Co. (United States) | 10,134 | 1,166 | |
Edison International (United States) | 25,851 | 1,314 | |
Enel SpA (Italy) | 148,995 | 1,296 | |
Energias de Portugal SA (Portugal) | 286,077 | 1,407 | |
Essential Utilities, Inc. (United States) | 29,221 | 1,176 | |
Fortis, Inc. (Canada) | 34,160 | 1,397 | |
Iberdrola SA (Spain) | 130,643 | 1,610 | |
National Grid plc (United Kingdom) | 198,924 | 2,284 | |
Naturgy Energy Group SA (Spain) | 47,089 | 945 | |
NextEra Energy, Inc. (United States) | 20,066 | 5,569 | |
NiSource, Inc. (United States) | 47,686 | 1,049 | |
Orsted A/S 144A (Denmark)(1) | 15,981 | 2,203 | |
Public Service Enterprise Group, Inc. (United States) | 36,945 | 2,029 |
Shares | Value | ||
Utilities—continued | |||
Sempra Energy (United States) | 22,209 | $ 2,629 | |
38,886 | |||
Total Common Stocks (Identified Cost $73,609) | 81,762 | ||
Total Long-Term Investments—99.8% (Identified Cost $73,609) | 81,762 | ||
TOTAL INVESTMENTS—99.8% (Identified Cost $73,609) | $81,762 | ||
Other assets and liabilities, net—0.2% | 183 | ||
NET ASSETS—100.0% | $81,945 |
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 September 30, 2020, these securities amounted to a value of $7,844 or 9.6% of net assets. |
(2) | Non-income producing. |
Country Weightings (Unaudited)† | |
United States | 55% |
Spain | 12 |
Canada | 11 |
Australia | 6 |
Italy | 4 |
United Kingdom | 3 |
Denmark | 3 |
Other | 6 |
Total | 100% |
† % of total investments as of September 30, 2020. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $81,762 | $75,439 | $6,323 | ||
Total Investments | $81,762 | $75,439 | $6,323 |
Shares | Value | ||
Common Stocks—99.0% | |||
Australia—3.9% | |||
Dexus | 571,339 | $ 3,660 | |
GPT Group (The) - In Specie(1)(2) | 13,566 | — | |
National Storage REIT | 2,393,333 | 3,128 | |
NEXTDC Ltd.(2) | 319,476 | 2,835 | |
9,623 | |||
Belgium—1.6% | |||
Warehouses De Pauw CVA | 106,884 | 3,892 | |
Canada—4.2% | |||
Allied Properties Real Estate Investment Trust | 76,150 | 2,050 | |
Boardwalk Real Estate Investment Trust | 134,000 | 2,762 | |
Granite Real Estate Investment Trust | 36,329 | 2,109 | |
Summit Industrial Income REIT | 361,400 | 3,485 | |
10,406 | |||
France—2.2% | |||
Gecina SA | 24,200 | 3,198 | |
Klepierre SA | 161,580 | 2,270 | |
5,468 | |||
Germany—4.8% | |||
Aroundtown SA(2) | 644,780 | 3,243 | |
Deutsche Wohnen SE | 47,800 | 2,392 | |
Vonovia SE | 92,419 | 6,348 | |
11,983 | |||
Hong Kong—2.6% | |||
Link REIT | 386,504 | 3,167 | |
Swire Properties Ltd. | 1,278,000 | 3,386 | |
6,553 | |||
India—1.0% | |||
Ascendas India Trust | 2,560,800 | 2,591 | |
Ireland—1.0% | |||
Irish Residential Properties REIT plc | 1,541,000 | 2,548 | |
Japan—10.4% | |||
Invesco Office J-REIT, Inc. | 25,727 | 3,564 | |
Kenedix Office Investment Corp. | 439 | 2,633 | |
Kenedix Residential Next Investment Corp. | 1,710 | 3,024 | |
Mitsubishi Estate Co., Ltd. | 442,400 | 6,701 | |
Mitsui Fudosan Logistics Park, Inc. | 1,252 | 5,983 | |
Nippon Prologis REIT, Inc. | 1,198 | 4,040 | |
25,945 | |||
Shares | Value | ||
Norway—1.5% | |||
Entra ASA 144A(3) | 265,302 | $ 3,740 | |
Singapore—0.9% | |||
Mapletree Industrial Trust | 900,100 | 2,133 | |
Spain—2.2% | |||
Inmobiliaria Colonial Socimi SA | 313,500 | 2,593 | |
Merlin Properties Socimi SA | 356,200 | 2,976 | |
5,569 | |||
Sweden—3.0% | |||
Catena AB | 80,900 | 3,591 | |
Kungsleden AB | 393,100 | 3,733 | |
7,324 | |||
United Kingdom—5.1% | |||
Derwent London plc | 52,310 | 1,735 | |
Safestore Holdings plc | 262,257 | 2,639 | |
Segro plc | 174,928 | 2,105 | |
UNITE Group plc (The)(2) | 410,900 | 4,448 | |
Workspace Group plc | 231,800 | 1,611 | |
12,538 | |||
United States—54.6% | |||
Alexandria Real Estate Equities, Inc. | 22,529 | 3,605 | |
American Homes 4 Rent Class A | 142,550 | 4,060 | |
Apartment Investment and Management Co. Class A | 81,731 | 2,756 | |
AvalonBay Communities, Inc. | 43,365 | 6,476 | |
Boston Properties, Inc. | 40,385 | 3,243 | |
Brixmor Property Group, Inc. | 284,533 | 3,326 | |
Cousins Properties, Inc. | 146,100 | 4,177 | |
Crown Castle International Corp. | 24,050 | 4,004 | |
CubeSmart | 152,475 | 4,926 | |
CyrusOne, Inc. | 46,985 | 3,290 | |
Douglas Emmett, Inc. | 90,905 | 2,282 | |
Duke Realty Corp. | 176,166 | 6,500 | |
Equinix, Inc. | 10,250 | 7,791 | |
Equity Residential | 106,215 | 5,452 | |
Extra Space Storage, Inc. | 56,665 | 6,063 | |
Healthcare Trust of America, Inc. Class A | 116,600 | 3,032 | |
Healthpeak Properties, Inc. | 229,900 | 6,242 | |
Host Hotels & Resorts, Inc. | 104,806 | 1,131 | |
Invitation Homes, Inc. | 150,110 | 4,202 | |
Mid-America Apartment Communities, Inc. | 32,700 | 3,792 | |
Prologis, Inc. | 135,634 | 13,647 | |
Regency Centers Corp. | 57,850 | 2,199 | |
Rexford Industrial Realty, Inc. | 59,700 | 2,732 |
Shares | Value | ||
United States—continued | |||
RLJ Lodging Trust | 141,507 | $ 1,225 | |
Ryman Hospitality Properties, Inc. | 53,236 | 1,959 | |
Simon Property Group, Inc. | 48,331 | 3,126 | |
Spirit Realty Capital, Inc. | 127,616 | 4,307 | |
STORE Capital Corp. | 179,135 | 4,914 | |
Sun Communities, Inc. | 45,606 | 6,413 | |
VEREIT, Inc. | 389,400 | 2,531 | |
VICI Properties, Inc. | 98,250 | 2,296 | |
Welltower, Inc. | 73,400 | 4,044 | |
135,743 | |||
Total Common Stocks (Identified Cost $234,506) | 246,056 | ||
Total Long-Term Investments—99.0% (Identified Cost $234,506) | 246,056 | ||
TOTAL INVESTMENTS—99.0% (Identified Cost $234,506) | $246,056 | ||
Other assets and liabilities, net—1.0% | 2,383 | ||
NET ASSETS—100.0% | $248,439 |
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 September 30, 2020, these securities amounted to a value of $3,740 or 1.5% of net assets. |
Country Weightings (Unaudited)† | |
United States | 56% |
Japan | 10 |
United Kingdom | 6 |
Germany | 5 |
Canada | 4 |
Australia | 3 |
Sweden | 3 |
Other | 13 |
Total | 100% |
† % of total investments as of September 30, 2020. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Equity Securities: | |||||||
Common Stocks | $246,056 | $199,212 | $46,844 | $— (1) | |||
Total Investments | $246,056 | $199,212 | $46,844 | $— |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Shares | Value | ||
Common Stocks—98.6% | |||
Australia—8.4% | |||
Dexus | 127,718 | $ 818 | |
GPT Group (The) - In Specie(1)(2) | 588,920 | — | |
National Storage REIT | 401,504 | 525 | |
NEXTDC Ltd.(2) | 69,439 | 616 | |
Scentre Group | 240,000 | 382 | |
2,341 | |||
Belgium—2.1% | |||
Warehouses De Pauw CVA | 16,305 | 594 | |
Canada—8.5% | |||
Allied Properties Real Estate Investment Trust | 24,800 | 668 | |
Boardwalk Real Estate Investment Trust | 33,100 | 682 | |
Granite Real Estate Investment Trust | 7,676 | 446 | |
Summit Industrial Income REIT | 61,100 | 589 | |
2,385 | |||
China—1.0% | |||
GDS Holdings Ltd. ADR(2) | 3,600 | 295 | |
France—1.6% | |||
Klepierre SA | 31,831 | 447 | |
Germany—10.9% | |||
Aroundtown SA(2) | 146,640 | 738 | |
Deutsche Wohnen SE | 14,700 | 736 | |
Vonovia SE | 22,849 | 1,569 | |
3,043 | |||
Hong Kong—12.0% | |||
Hysan Development Co., Ltd. | 188,000 | 566 | |
Link REIT | 184,441 | 1,511 | |
Swire Properties Ltd. | 476,000 | 1,261 | |
3,338 | |||
India—2.0% | |||
Ascendas India Trust | 541,100 | 547 | |
Ireland—2.7% | |||
Irish Residential Properties REIT plc | 466,000 | 770 | |
Japan—23.8% | |||
Ichigo Office REIT Investment Corp. | 525 | 382 |
Shares | Value | ||
Japan—continued | |||
Invesco Office J-REIT, Inc. | 6,934 | $ 960 | |
Kenedix Office Investment Corp. | 132 | 792 | |
Kenedix Residential Next Investment Corp. | 426 | 753 | |
Mitsubishi Estate Co., Ltd. | 119,700 | 1,813 | |
Mitsui Fudosan Logistics Park, Inc. | 199 | 951 | |
Nippon Prologis REIT, Inc. | 292 | 985 | |
6,636 | |||
Norway—2.7% | |||
Entra ASA 144A(3) | 53,222 | 750 | |
Singapore—3.0% | |||
Mapletree Industrial Trust | 348,600 | 826 | |
Spain—4.7% | |||
Inmobiliaria Colonial Socimi SA | 58,500 | 484 | |
Merlin Properties Socimi SA | 97,800 | 817 | |
1,301 | |||
Sweden—4.5% | |||
Catena AB | 9,800 | 435 | |
Kungsleden AB | 86,700 | 823 | |
1,258 | |||
United Kingdom—10.7% | |||
Derwent London plc | 13,131 | 435 | |
Safestore Holdings plc | 65,726 | 662 | |
Segro plc | 39,368 | 474 | |
UNITE Group plc (The)(2) | 78,800 | 853 | |
Workspace Group plc | 81,000 | 563 | |
2,987 | |||
Total Common Stocks (Identified Cost $24,435) | 27,518 | ||
Total Long-Term Investments—98.6% (Identified Cost $24,435) | 27,518 | ||
TOTAL INVESTMENTS—98.6% (Identified Cost $24,435) | $27,518 | ||
Other assets and liabilities, net—1.4% | 381 | ||
NET ASSETS—100.0% | $27,899 |
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 September 30, 2020, these securities amounted to a value of $750 or 2.7% of net assets. |
Country Weightings (Unaudited)† | |
Japan | 24% |
Hong Kong | 12 |
Germany | 11 |
United Kingdom | 11 |
Canada | 9 |
Australia | 8 |
Spain | 5 |
Other | 20 |
Total | 100% |
† % of total investments as of September 30, 2020. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Equity Securities: | |||||||
Common Stocks | $27,518 | $13,830 | $13,688 | $— (1) | |||
Total Investments | $27,518 | $13,830 | $13,688 | $— |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Shares | Value | ||
Affiliated Mutual Funds(1)—70.4% | |||
Equity Funds—59.2% | |||
Virtus Duff & Phelps Global Infrastructure Fund Class R6 | 376,901 | $ 5,484 | |
Virtus Duff & Phelps Global Real Estate Securities Fund Class R6 | 189,347 | 5,464 | |
Virtus Duff & Phelps Select MLP and Energy Fund Class I | 324,781 | 1,673 | |
12,621 | |||
Fixed Income Fund—11.2% | |||
Virtus Newfleet Senior Floating Rate Fund Class R6 | 279,100 | 2,392 | |
Total Affiliated Mutual Funds (Identified Cost $12,629) | 15,013 | ||
Exchange-Traded Funds(1)—28.1% | |||
Invesco DB Commodity Index Tracking Fund | 64,024 | 836 | |
Invesco DB Gold Fund | 40,500 | 2,242 | |
Schwab U.S. TIPS ETF | 24,500 | 1,510 |
Shares | Value | ||
SPDR S&P Global Natural Resources ETF | 37,450 | $ 1,407 | |
Total Exchange-Traded Funds (Identified Cost $5,735) | 5,995 | ||
Total Long-Term Investments—98.5% (Identified Cost $18,364) | 21,008 | ||
Short-Term Investment—1.8% | |||
Money Market Mutual Fund(1)—1.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.025%) | 377,448 | 377 | |
Total Short-Term Investment (Identified Cost $377) | 377 | ||
TOTAL INVESTMENTS—100.3% (Identified Cost $18,741) | $21,385 | ||
Other assets and liabilities, net—(0.3)% | (58) | ||
NET ASSETS—100.0% | $21,327 |
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 September 30, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Affiliated Mutual Funds | $15,013 | $15,013 | |
Exchange-Traded Funds | 5,995 | 5,995 | |
Money Market Mutual Fund | 377 | 377 | |
Total Investments | $21,385 | $21,385 |
Shares | Value | ||
Short-Term Investments—94.9% | |||
Money Market Mutual Fund—5.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.025%)(1) | 12,064,340 | $ 12,064 | |
Total Money Market Mutual Fund (Identified Cost $12,064) | 12,064 | ||
Par Value | ||
U.S. Government Securities—89.1% | ||
U.S. Treasury Bills | ||
0.000%, 10/22/20 | $29,000 | 28,999 |
Par Value | Value | ||
0.000%, 11/19/20 | $31,000 | $ 30,996 | |
0.000%, 12/24/20 | 31,000 | 30,992 | |
0.000%, 1/7/21 | 31,000 | 30,992 | |
0.000%, 1/21/21 | 31,000 | 30,990 | |
0.000%, 2/25/21 | 31,000 | 30,986 | |
Total U.S. Government Securities (Identified Cost $183,953) | 183,955 | ||
Total Short-Term Investments (Identified Cost $196,017) | 196,019 | ||
TOTAL INVESTMENTS—94.9% (Identified Cost $196,017) | $196,019 | ||
Other assets and liabilities, net—5.1% | 10,550 | ||
NET ASSETS—100.0% | $206,569 |
Footnote Legend: | |
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Futures contracts as of September 30, 2020 were as follows: | |||||
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Value / Unrealized Appreciation | Value / Unrealized (Depreciation) |
CAC 40 Index Future | October 2020 | 22 | $ 1,238 | $ — | $ (62) |
MSCI Taiwan Index Future | October 2020 | 21 | 1,035 | 23 | — |
Crude Oil Future | November 2020 | (31) | (1,247) | 20 | — |
Gasoline RBOB Future | November 2020 | (17) | (844) | 9 | — |
Low Sulphur Gasoil Future | November 2020 | (95) | (3,171) | — | (26) |
Natural Gas Future | November 2020 | (50) | (1,263) | 108 | — |
NY Harbor ULSD Future | November 2020 | (44) | (2,129) | — | (29) |
10 Year Euro-Bund Future | December 2020 | 203 | 41,537 | 132 | — |
10 Year Japanese Bond Future | December 2020 | 12 | 17,307 | 14 | — |
10 Year U.K. Gilt Future | December 2020 | 143 | 25,115 | — | (99) |
10 Year U.S. Treasury Note Future | December 2020 | 354 | 49,394 | — | (47) |
30 Year U.S. Treasury Bond Future | December 2020 | 207 | 36,490 | — | (99) |
5 Year U.S. Treasury Note Future | December 2020 | 914 | 115,193 | — | (65) |
5,000-oz. Silver Future | December 2020 | 15 | 1,762 | — | (291) |
ASX SPI 200TM Future | December 2020 | 11 | 1,143 | — | (1) |
Brent Crute Future | December 2020 | (28) | (1,184) | 12 | — |
British Pound Future | December 2020 | (36) | (2,903) | — | (1) |
Copper Future | December 2020 | 16 | 1,213 | 11 | — |
DAX Index Future | December 2020 | 2 | 749 | — | (27) |
Dow Jones Index E-Mini Future | December 2020 | 10 | 1,383 | 10 | — |
Euro Currency Future | December 2020 | 37 | 5,428 | — | (27) |
Euro Stoxx 50 Future | December 2020 | 39 | 1,461 | — | (58) |
Euro-Bobl Future | December 2020 | 371 | 58,797 | — | (40) |
Euro-Schatz Future | December 2020 | 631 | 83,074 | — | (23) |
FTSE 100 Index Future | December 2020 | 3 | 226 | — | (6) |
Gold Future | December 2020 | (4) | (758) | — | (15) |
Japanese Yen Future | December 2020 | (38) | (4,506) | — | (2) |
Nasdaq 100 E-Mini Future | December 2020 | 20 | 4,563 | 124 | — |
Nikkei 225 Stock Average Future | December 2020 | 6 | 1,319 | 10 | — |
Russell 2000 E-Mini Future | December 2020 | 14 | 1,053 | — | (8) |
S&P 500® Index E-Mini Future | December 2020 | 62 | 10,391 | 96 | — |
S&P/TSX 60 Index Future | December 2020 | 4 | 578 | — | (3) |
Swiss Franc Future | December 2020 | (22) | (2,991) | — | (9) |
TOPIX Index Future | December 2020 | 11 | 1,695 | 23 | — |
3-Month EURIBOR Future | March 2021 | 155 | 45,667 | 4 | — |
90-Day Eurodollar Future | March 2021 | 427 | 106,542 | 4 | — |
90-Day Sterling Future | March 2021 | 649 | 104,638 | 4 | — |
3-Month EURIBOR Future | June 2021 | 163 | 48,028 | 2 | — |
Futures contracts as of September 30, 2020 were as follows: | ||||||
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Value / Unrealized Appreciation | Value / Unrealized (Depreciation) | |
90-Day Eurodollar Future | June 2021 | 544 | $135,742 | $ — | $ (1) | |
90-Day Sterling Future | June 2021 | 755 | 121,783 | 30 | — | |
3-Month EURIBOR Future | September 2021 | 157 | 46,265 | 4 | — | |
90-Day Eurodollar Future | September 2021 | 640 | 159,696 | — | (9) | |
90-Day Sterling Future | September 2021 | 733 | 118,264 | 10 | — | |
3-Month EURIBOR Future | December 2021 | 210 | 61,880 | — | — (a) | |
90-Day Eurodollar Future | December 2021 | 295 | 73,595 | 8 | — | |
90-Day Sterling Future | December 2021 | 317 | 51,146 | 6 | — | |
3-Month EURIBOR Future | March 2022 | 210 | 61,886 | 6 | — | |
90-Day Eurodollar Future | March 2022 | 307 | 76,581 | — | (9) | |
90-Day Sterling Future | March 2022 | 273 | 44,040 | — | (1) | |
3-Month EURIBOR Future | June 2022 | 208 | 61,288 | — | — (a) | |
90-Day Eurodollar Future | June 2022 | 223 | 55,622 | — | (15) | |
90-Day Sterling Future | June 2022 | 317 | 51,136 | — | (5) | |
3-Month EURIBOR Future | September 2022 | 206 | 60,696 | — | — (a) | |
90-Day Eurodollar Future | September 2022 | 223 | 55,616 | — | (12) | |
90-Day Sterling Future | September 2022 | 321 | 51,778 | — | (3) | |
Total | $670 | $(993) | ||||
Footnote Legend: | ||||||
(a)Amount is less than $500. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
U.S. Government Securities | $183,955 | $ — | $183,955 | ||
Money Market Mutual Fund | 12,064 | 12,064 | — | ||
Other Financial Instruments: | |||||
Futures Contracts | 670 | 670 | — | ||
Total Assets | 196,689 | 12,734 | 183,955 | ||
Liabilities: | |||||
Other Financial Instruments: | |||||
Futures Contracts | (993) | (993) | — | ||
Total Liabilities | (993) | (993) | — | ||
Total Investments | $195,696 | $11,741 | $183,955 |
Shares | Value | ||
Common Stocks—95.9% | |||
Communication Services—22.1% | |||
Addcn Technology Co., Ltd. (Taiwan) | 559,000 | $ 3,950 | |
Auto Trader Group plc (United Kingdom) | 949,750 | 6,900 | |
Autohome, Inc. ADR (China) | 73,812 | 7,086 | |
Sarana Menara Nusantara Tbk PT (Indonesia) | 72,560,800 | 5,068 | |
Sea Ltd. ADR (Thailand)(1) | 50,044 | 7,709 | |
Tongdao Liepin Group (China)(1) | 2,710,800 | 6,783 | |
Wirtualna Polska Holding SA (Poland)(1) | 293,045 | 5,519 | |
Yandex N.V. Class A (Russia)(1) | 92,264 | 6,020 | |
49,035 | |||
Consumer Discretionary—6.8% | |||
Union Auction PCL (Thailand) | 24,380,000 | 10,763 | |
Vasta Platform Ltd. (Brazil)(1) | 287,783 | 4,441 | |
15,204 | |||
Consumer Staples—11.3% | |||
Anhui Gujing Distillery Co., Ltd. Class B (China) | 636,800 | 7,091 | |
Carlsberg Brewery Malaysia Bhd (Malaysia) | 916,000 | 4,577 | |
Clicks Group Ltd. (South Africa) | 240,500 | 3,192 | |
Heineken Malaysia Bhd (Malaysia)(1) | 1,021,600 | 5,092 | |
Taisun International Holding Corp. (Taiwan) | 1,230,074 | 5,040 | |
24,992 | |||
Financials—5.0% | |||
VNV Global AB (Sweden)(1) | 1,390,730 | 11,150 | |
Health Care—1.9% | |||
Haw Par Corp., Ltd. (Singapore) | 631,500 | 4,315 | |
Industrials—33.2% | |||
51job, Inc. ADR (China)(1) | 74,125 | 5,781 | |
HeadHunter Group plc ADR (Russia) | 430,800 | 10,546 | |
IndiaMart InterMesh Ltd. (India) | 130,071 | 8,835 |
Shares | Value | ||
Industrials—continued | |||
Kerry TJ Logistics Co., Ltd. (Taiwan) | 3,782,000 | $ 4,984 | |
Marel HF (Iceland) | 1,078,812 | 5,249 | |
NICE Information Service Co., Ltd. (South Korea) | 380,950 | 6,416 | |
S-1 Corp. (South Korea) | 101,910 | 7,642 | |
SaraminHR Co., Ltd. (South Korea) | 228,585 | 4,567 | |
Sporton International, Inc. (Taiwan) | 596,720 | 5,035 | |
Taiwan Secom Co., Ltd. (Taiwan) | 916,874 | 2,672 | |
Tegma Gestao Logistica SA (Brazil) | 1,338,704 | 4,953 | |
Voltronic Power Technology Corp. (Taiwan) | 203,178 | 6,902 | |
73,582 | |||
Information Technology—14.1% | |||
Douzone Bizon Co., Ltd. (South Korea) | 36,709 | 3,271 | |
Humanica PCL Foreign Shares (Thailand) | 17,204,100 | 4,472 | |
Oracle Financial Services Software Ltd. (India) | 138,700 | 5,787 | |
TOTVS SA (Brazil) | 760,277 | 3,654 | |
Webcash Corp. (South Korea) | 181,389 | 10,781 | |
Younglimwon Soft Lab Co., Ltd. (South Korea)(1) | 275,500 | 3,392 | |
31,357 | |||
Materials—1.5% | |||
Corp. Moctezuma SAB de C.V. (Mexico) | 1,372,583 | 3,290 | |
Total Common Stocks (Identified Cost $168,833) | 212,925 | ||
Warrant—0.1% | |||
Financials—0.1% | |||
VNV Global AB (Sweden)(1) | 231,788 | 202 | |
Total Warrant (Identified Cost $0) | 202 | ||
Total Long-Term Investments—96.0% (Identified Cost $168,833) | 213,127 | ||
Shares | Value | ||
Short-Term Investment—4.3% | |||
Money Market Mutual Fund—4.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.025%)(2) | 9,499,306 | $ 9,499 | |
Total Short-Term Investment (Identified Cost $9,499) | 9,499 | ||
TOTAL INVESTMENTS—100.3% (Identified Cost $178,332) | $222,626 | ||
Other assets and liabilities, net—(0.3)% | (665) | ||
NET ASSETS—100.0% | $221,961 |
Abbreviation: | |
ADR | American 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 (Unaudited)† | |
South Korea | 16% |
Taiwan | 12 |
China | 12 |
Thailand | 10 |
Russia | 8 |
India | 7 |
Brazil | 6 |
Other | 29 |
Total | 100% |
† % of total investments as of September 30, 2020. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $212,925 | $104,117 | $108,808 | ||
Warrant | 202 | 202 | — | ||
Money Market Mutual Fund | 9,499 | 9,499 | — | ||
Total Investments | $222,626 | $113,818 | $108,808 |
Shares | Value | ||
Common Stocks—93.5% | |||
Communication Services—20.6% | |||
Addcn Technology Co., Ltd. (Taiwan) | 861,000 | $ 6,085 | |
Adevinta ASA (Norway)(1) | 2,245,141 | 38,584 | |
Ascential plc (United Kingdom)(1) | 13,356,562 | 50,739 | |
Auto Trader Group plc (United Kingdom) | 8,803,196 | 63,953 | |
CTS Eventim AG & Co. KGaA (Germany)(1) | 1,062,269 | 51,413 | |
Karnov Group AB (Sweden) | 6,664,855 | 40,186 | |
MarkLines Co., Ltd. (Japan) | 1,094,400 | 24,763 | |
New Work SE (Germany) | 132,087 | 40,343 | |
Rightmove plc (United Kingdom) | 9,048,294 | 73,182 | |
389,248 | |||
Consumer Discretionary—3.6% | |||
Goldlion Holdings Ltd. (Hong Kong) | 25,251,816 | 4,841 | |
Mercari, Inc. (Japan)(1) | 1,042,800 | 48,191 | |
Moneysupermarket.com Group plc (United Kingdom) | 4,533,667 | 15,631 | |
68,663 | |||
Consumer Staples—5.9% | |||
Anhui Gujing Distillery Co., Ltd. Class B (China) | 3,615,401 | 40,258 | |
Cia Cervecerias Unidas SA Sponsored ADR (Chile) | 2,771,843 | 35,951 | |
Heineken Malaysia Bhd (Malaysia)(1) | 6,175,800 | 30,784 | |
Taisun International Holding Corp. (Taiwan) | 1,216,626 | 4,985 | |
111,978 | |||
Energy—2.8% | |||
Computer Modelling Group Ltd. (Canada) | 5,619,390 | 21,776 | |
Pason Systems, Inc. (Canada) | 7,901,518 | 31,391 | |
53,167 | |||
Financials—13.3% | |||
Euroz Ltd. (Australia) | 6,426,441 | 5,237 | |
Gruppo Mutuionline SpA (Italy) | 1,662,916 | 46,208 | |
Mortgage Advice Bureau Holdings Ltd. (United Kingdom)(1) | 6,611,087 | 60,141 |
Shares | Value | ||
Financials—continued | |||
Numis Corp. plc (United Kingdom) | 5,334,820 | $ 20,376 | |
Sabre Insurance Group plc (United Kingdom) | 11,127,486 | 36,542 | |
VNV Global AB (Sweden)(1) | 10,429,849 | 83,617 | |
252,121 | |||
Health Care—3.7% | |||
Haw Par Corp., Ltd. (Singapore) | 7,263,919 | 49,635 | |
Nakanishi, Inc. (Japan) | 1,173,200 | 20,962 | |
70,597 | |||
Industrials—28.6% | |||
AIT Corp. (Japan) | 918,500 | 9,855 | |
BTS Group AB Class B (Sweden)(1) | 415,869 | 9,334 | |
CAE, Inc. (Canada) | 2,538,479 | 37,137 | |
Enento Group Oyj (Finland) | 1,574,768 | 62,776 | |
Golden Friends Corp. (Taiwan) | 2,451,000 | 4,702 | |
Haitian International Holdings Ltd. (Hong Kong) | 20,126,000 | 46,849 | |
HeadHunter Group plc ADR (Russia) | 4,658,919 | 114,050 | |
Howden Joinery Group plc (United Kingdom) | 4,674,700 | 35,625 | |
Kerry TJ Logistics Co., Ltd. (Taiwan) | 15,556,000 | 20,499 | |
Lumax International Corp., Ltd. (Taiwan) | 7,818,259 | 17,126 | |
Marel HF (Iceland) | 11,643,556 | 56,654 | |
Max Stock Ltd. (Israel)(1) | 7,322,393 | 25,543 | |
Rotork plc (United Kingdom) | 7,060,300 | 25,709 | |
S-1 Corp. (South Korea) | 225,614 | 16,917 | |
Voltronic Power Technology Corp. (Taiwan) | 1,743,027 | 59,208 | |
541,984 | |||
Information Technology—13.8% | |||
Alten SA (France)(1) | 775,061 | 73,607 | |
Bouvet ASA (Norway) | 750,682 | 48,449 | |
Brockhaus Capital Management AG (Germany)(1) | 761,996 | 26,802 | |
FDM Group Holdings plc (United Kingdom) | 2,599,590 | 34,148 | |
Fortnox AB (Sweden) | 613,493 | 18,495 | |
SimCorp A/S (Denmark) | 391,883 | 51,563 | |
Webstep AS (Norway)(1) | 3,119,279 | 7,157 | |
260,221 | |||
Shares | Value | ||
Materials—1.2% | |||
Corp. Moctezuma SAB de C.V. (Mexico) | 9,325,218 | $ 22,352 | |
Total Common Stocks (Identified Cost $1,589,520) | 1,770,331 | ||
Warrant—0.1% | |||
Financials—0.1% | |||
VNV Global AB (Sweden)(1) | 1,738,308 | 1,514 | |
Total Warrant (Identified Cost $0) | 1,514 | ||
Total Long-Term Investments—93.6% (Identified Cost $1,589,520) | 1,771,845 | ||
Short-Term Investment—5.3% | |||
Money Market Mutual Fund—5.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.025%)(2) | 100,189,602 | 100,190 | |
Total Short-Term Investment (Identified Cost $100,190) | 100,190 | ||
TOTAL INVESTMENTS—98.9% (Identified Cost $1,689,710) | $1,872,035 | ||
Other assets and liabilities, net—1.1% | 20,238 | ||
NET ASSETS—100.0% | $1,892,273 |
Abbreviation: | |
ADR | American 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 (Unaudited)† | |
United Kingdom | 23% |
Sweden | 8 |
Germany | 6 |
Russia | 6 |
Japan | 6 |
Taiwan | 5 |
United States | 5 |
Other | 41 |
Total | 100% |
† % of total investments as of September 30, 2020. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $1,770,331 | $1,359,434 | $410,897 | ||
Warrant | 1,514 | 1,514 | — | ||
Money Market Mutual Fund | 100,190 | 100,190 | — | ||
Total Investments | $1,872,035 | $1,461,138 | $410,897 |
Shares | Value | ||
Common Stocks—92.1% | |||
Communication Services—23.7% | |||
Adevinta ASA (Norway)(1) | 33,586 | $ 577 | |
Ascential plc (United Kingdom)(1) | 145,978 | 554 | |
Auto Trader Group plc (United Kingdom) | 104,424 | 759 | |
CTS Eventim AG & Co. KGaA (Germany)(1) | 13,629 | 660 | |
Karnov Group AB (Sweden) | 80,731 | 487 | |
MarkLines Co., Ltd. (Japan) | 17,200 | 389 | |
New Work SE (Germany) | 1,193 | 364 | |
Rightmove plc (United Kingdom) | 114,024 | 922 | |
Tongdao Liepin Group (China)(1) | 143,000 | 358 | |
Yandex N.V. Class A (Russia)(1) | 7,877 | 514 | |
5,584 | |||
Consumer Discretionary—6.5% | |||
Mercari, Inc. (Japan)(1) | 12,200 | 564 | |
Union Auction PCL (Thailand) | 1,407,000 | 621 | |
Vasta Platform Ltd. (Brazil)(1) | 22,440 | 346 | |
1,531 | |||
Consumer Staples—0.2% | |||
Heineken Malaysia Bhd (Malaysia)(1) | 9,200 | 46 | |
Energy—1.6% | |||
Pason Systems, Inc. (Canada) | 95,535 | 380 | |
Financials—9.1% | |||
Gruppo Mutuionline SpA (Italy) | 30,480 | 847 | |
Mortgage Advice Bureau Holdings Ltd. (United Kingdom)(1) | 46,533 | 423 | |
Sabre Insurance Group plc (United Kingdom) | 106,460 | 350 | |
VNV Global AB (Sweden)(1) | 63,524 | 509 | |
2,129 | |||
Health Care—3.1% | |||
Haw Par Corp., Ltd. (Singapore) | 67,200 | 459 | |
Nakanishi, Inc. (Japan) | 15,000 | 268 | |
727 | |||
Shares | Value | ||
Industrials—29.2% | |||
BTS Group AB Class B (Sweden)(1) | 19,203 | $ 431 | |
CAE, Inc. (Canada) | 30,679 | 449 | |
CTT Systems AB (Sweden)(1) | 16,734 | 230 | |
DSV PANALPINA A/S (Denmark) | 1,763 | 288 | |
Enento Group Oyj (Finland) | 17,184 | 685 | |
Haitian International Holdings Ltd. (Hong Kong) | 128,000 | 298 | |
HeadHunter Group plc ADR (Russia) | 57,432 | 1,406 | |
Knorr-Bremse AG (Germany) | 1,872 | 221 | |
Marel HF (Iceland) | 92,196 | 449 | |
Max Stock Ltd. (Israel)(1) | 88,316 | 308 | |
MTU Aero Engines AG (Germany) | 1,442 | 240 | |
Rotork plc (United Kingdom) | 73,371 | 267 | |
S-1 Corp. (South Korea) | 3,275 | 246 | |
Simplybiz Group plc (The) (United Kingdom) | 296,390 | 599 | |
Voltronic Power Technology Corp. (Taiwan) | 22,100 | 751 | |
6,868 | |||
Information Technology—17.6% | |||
Admicom Oyj (Finland) | 2,596 | 236 | |
Alten SA (France)(1) | 8,713 | 827 | |
Bouvet ASA (Norway) | 8,820 | 569 | |
Brockhaus Capital Management AG (Germany)(1) | 8,917 | 314 | |
FDM Group Holdings plc (United Kingdom) | 29,519 | 388 | |
Fortnox AB (Sweden) | 7,032 | 212 | |
Freee KK (Japan)(1) | 4,000 | 303 | |
SimCorp A/S (Denmark) | 3,564 | 469 | |
Webcash Corp. (South Korea) | 11,628 | 691 | |
Webstep AS (Norway)(1) | 61,541 | 141 | |
4,150 | |||
Materials—1.1% | |||
Corp. Moctezuma SAB de C.V. (Mexico) | 105,171 | 252 | |
Total Common Stocks (Identified Cost $17,452) | 21,667 | ||
Shares | Value | ||
Warrant—0.0% | |||
Financials—0.0% | |||
VNV Global AB (Sweden)(1) | 10,587 | $ 9 | |
Total Warrant (Identified Cost $0) | 9 | ||
Total Long-Term Investments—92.1% (Identified Cost $17,452) | 21,676 | ||
Short-Term Investment—7.5% | |||
Money Market Mutual Fund—7.5% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.025%)(2) | 1,763,012 | 1,763 | |
Total Short-Term Investment (Identified Cost $1,763) | 1,763 | ||
TOTAL INVESTMENTS—99.6% (Identified Cost $19,215) | $23,439 | ||
Other assets and liabilities, net—0.4% | 99 | ||
NET ASSETS—100.0% | $23,538 |
Abbreviation: | |
ADR | American 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 (Unaudited)† | |
United Kingdom | 18% |
Russia | 8 |
Sweden | 8 |
Germany | 8 |
United States | 8 |
Japan | 6 |
Norway | 5 |
Other | 39 |
Total | 100% |
† % of total investments as of September 30, 2020. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $21,667 | $17,294 | $4,373 | ||
Warrant | 9 | 9 | — | ||
Money Market Mutual Fund | 1,763 | 1,763 | — | ||
Total Investments | $23,439 | $19,066 | $4,373 |
Shares | Value | ||
Common Stocks—34.7% | |||
Communication Services—3.4% | |||
Activision Blizzard, Inc. | 1,317 | $ 106 | |
Alphabet, Inc. Class A(1) | 40 | 59 | |
Alphabet, Inc. Class C(1) | 39 | 57 | |
Charter Communications, Inc. Class A(1) | 98 | 61 | |
Comcast Corp. Class A | 2,976 | 138 | |
DISH Network Corp. Class A(1) | 160 | 5 | |
Electronic Arts, Inc.(1) | 491 | 64 | |
Facebook, Inc. Class A(1) | 323 | 84 | |
Live Nation Entertainment, Inc.(1) | 65 | 3 | |
Netflix, Inc.(1) | 200 | 100 | |
News Corp. Class A | 10,988 | 154 | |
News Corp. Class B | 3,432 | 48 | |
Take-Two Interactive Software, Inc.(1) | 194 | 32 | |
T-Mobile US, Inc.(1) | 1,807 | 207 | |
Twitter, Inc.(1) | 107 | 5 | |
Walt Disney Co. (The) | 821 | 102 | |
1,225 | |||
Consumer Discretionary—9.0% | |||
Advance Auto Parts, Inc. | 164 | 25 | |
Amazon.com, Inc.(1) | 59 | 186 | |
Aptiv plc | 1,733 | 159 | |
AutoZone, Inc.(1) | 55 | 65 | |
Best Buy Co., Inc. | 1,909 | 212 | |
Booking Holdings, Inc.(1) | 6 | 10 | |
BorgWarner, Inc. | 1,333 | 52 | |
CarMax, Inc.(1) | 387 | 35 | |
Carnival Corp. | 1,487 | 23 | |
Chipotle Mexican Grill, Inc.(1) | 16 | 20 | |
Darden Restaurants, Inc. | 75 | 7 | |
Dollar General Corp. | 341 | 71 | |
Dollar Tree, Inc.(1) | 321 | 29 | |
Domino’s Pizza, Inc. | 23 | 10 | |
eBay, Inc. | 93 | 5 | |
Etsy, Inc.(1) | 17 | 2 | |
Expedia Group, Inc. | 19 | 2 | |
Ford Motor Co. | 12,720 | 85 | |
Garmin Ltd. | 2,158 | 205 | |
General Motors Co. | 4,056 | 120 | |
Genuine Parts Co. | 1,375 | 131 | |
Hilton Worldwide Holdings, Inc. | 773 | 66 | |
Home Depot, Inc. (The) | 532 | 148 | |
Horton (D.R.), Inc. | 957 | 72 | |
Leggett & Platt, Inc. | 2,418 | 99 | |
Lennar Corp. Class A | 791 | 65 | |
LKQ Corp.(1) | 2,651 | 73 | |
Lowe’s Cos., Inc. | 374 | 62 | |
Marriott International, Inc. Class A | 741 | 69 | |
McDonald’s Corp. | 429 | 94 | |
Mohawk Industries, Inc.(1) | 1,078 | 105 | |
Newell Brands, Inc. | 12,064 | 207 | |
NIKE, Inc. Class B | 1,646 | 207 | |
Norwegian Cruise Line Holdings Ltd.(1) | 796 | 14 |
Shares | Value | ||
Consumer Discretionary—continued | |||
NVR, Inc.(1) | 10 | $ 41 | |
O’Reilly Automotive, Inc.(1) | 175 | 81 | |
PulteGroup, Inc. | 770 | 36 | |
Royal Caribbean Cruises Ltd. | 512 | 33 | |
Starbucks Corp. | 670 | 57 | |
Target Corp. | 679 | 107 | |
Whirlpool Corp. | 1,133 | 208 | |
Yum! Brands, Inc. | 174 | 16 | |
3,314 | |||
Consumer Staples—1.7% | |||
Costco Wholesale Corp. | 262 | 93 | |
Estee Lauder Cos., Inc. (The) Class A | 947 | 207 | |
Sysco Corp. | 3,281 | 204 | |
Walmart, Inc. | 828 | 116 | |
620 | |||
Financials—1.7% | |||
American Express Co. | 1,042 | 104 | |
Aon plc Class A | 316 | 65 | |
Capital One Financial Corp. | 736 | 53 | |
Cboe Global Markets, Inc. | 69 | 6 | |
CME Group, Inc. | 229 | 38 | |
Discover Financial Services | 489 | 28 | |
Gallagher (Arthur J.) & Co. | 264 | 28 | |
Intercontinental Exchange, Inc. | 358 | 36 | |
MarketAxess Holdings, Inc. | 24 | 12 | |
Marsh & McLennan Cos., Inc. | 698 | 80 | |
Moody’s Corp. | 103 | 30 | |
MSCI, Inc. | 53 | 19 | |
Nasdaq, Inc. | 74 | 9 | |
S&P Global, Inc. | 153 | 55 | |
Synchrony Financial | 869 | 23 | |
Willis Towers Watson plc | 175 | 37 | |
623 | |||
Health Care—1.7% | |||
Abbott Laboratories | 358 | 39 | |
ABIOMED, Inc.(1) | 9 | 3 | |
Agilent Technologies, Inc. | 189 | 19 | |
Align Technology, Inc.(1) | 209 | 68 | |
Baxter International, Inc. | 102 | 8 | |
Becton Dickinson and Co. | 59 | 14 | |
Bio-Rad Laboratories, Inc. Class A(1) | 13 | 7 | |
Boston Scientific Corp.(1) | 286 | 11 | |
Cooper Cos., Inc. (The) | 145 | 49 | |
Danaher Corp. | 127 | 27 | |
DENTSPLY SIRONA, Inc. | 640 | 28 | |
DexCom, Inc.(1) | 20 | 8 | |
Edwards Lifesciences Corp.(1) | 126 | 10 | |
Hologic, Inc.(1) | 52 | 3 | |
IDEXX Laboratories, Inc.(1) | 17 | 7 | |
Illumina, Inc.(1) | 90 | 28 | |
Intuitive Surgical, Inc.(1) | 24 | 17 | |
IQVIA Holdings, Inc.(1) | 116 | 18 | |
Medtronic plc | 270 | 28 |
Shares | Value | ||
Health Care—continued | |||
Mettler-Toledo International, Inc.(1) | 15 | $ 15 | |
PerkinElmer, Inc. | 69 | 9 | |
ResMed, Inc. | 29 | 5 | |
STERIS plc | 17 | 3 | |
Stryker Corp. | 66 | 14 | |
Teleflex, Inc. | 9 | 3 | |
Thermo Fisher Scientific, Inc. | 243 | 107 | |
Varian Medical Systems, Inc.(1) | 19 | 3 | |
Waters Corp.(1) | 38 | 7 | |
West Pharmaceutical Services, Inc. | 217 | 60 | |
Zimmer Biomet Holdings, Inc. | 42 | 6 | |
624 | |||
Industrials—6.6% | |||
A.O. Smith Corp. | 217 | 11 | |
Allegion plc | 149 | 15 | |
AMETEK, Inc. | 366 | 36 | |
C.H. Robinson Worldwide, Inc. | 133 | 14 | |
Carrier Global Corp. | 1,330 | 41 | |
Caterpillar, Inc. | 732 | 109 | |
Cintas Corp. | 350 | 116 | |
Copart, Inc.(1) | 835 | 88 | |
CSX Corp. | 579 | 45 | |
Cummins, Inc. | 199 | 42 | |
Deere & Co. | 920 | 204 | |
Dover Corp. | 125 | 14 | |
Eaton Corp. plc | 636 | 65 | |
Emerson Electric Co. | 955 | 63 | |
Equifax, Inc. | 299 | 47 | |
Expeditors International of Washington, Inc. | 165 | 15 | |
Fastenal Co. | 2,168 | 98 | |
FedEx Corp. | 233 | 59 | |
Flowserve Corp. | 111 | 3 | |
Fortive Corp. | 293 | 22 | |
Fortune Brands Home & Security, Inc. | 222 | 19 | |
Hunt (JB) Transport Services, Inc. | 597 | 75 | |
IDEX Corp. | 65 | 12 | |
IHS Markit Ltd. | 904 | 71 | |
Illinois Tool Works, Inc. | 249 | 48 | |
Ingersoll Rand, Inc.(1) | 319 | 11 | |
Johnson Controls International plc | 1,195 | 49 | |
Kansas City Southern | 72 | 13 | |
Masco Corp. | 421 | 23 | |
Nielsen Holdings plc | 873 | 12 | |
Norfolk Southern Corp. | 193 | 41 | |
Old Dominion Freight Line, Inc. | 685 | 124 | |
Otis Worldwide Corp. | 355 | 22 | |
PACCAR, Inc. | 465 | 40 | |
Parker-Hannifin Corp. | 111 | 22 | |
Pentair plc | 144 | 7 | |
Republic Services, Inc. | 594 | 55 |
Shares | Value | ||
Industrials—continued | |||
Rockwell Automation, Inc. | 185 | $ 41 | |
Rollins, Inc. | 412 | 22 | |
Snap-on, Inc. | 47 | 7 | |
Stanley Black & Decker, Inc. | 139 | 23 | |
Trane Technologies plc | 386 | 47 | |
Union Pacific Corp. | 514 | 101 | |
United Parcel Service, Inc. Class B | 683 | 114 | |
United Rentals, Inc.(1) | 268 | 47 | |
Verisk Analytics, Inc. | 399 | 74 | |
W.W. Grainger, Inc. | 169 | 60 | |
Waste Management, Inc. | 1,102 | 125 | |
Westinghouse Air Brake Technologies Corp. | 240 | 15 | |
Xylem, Inc. | 157 | 13 | |
2,440 | |||
Information Technology—4.5% | |||
Adobe, Inc.(1) | 135 | 66 | |
Advanced Micro Devices, Inc.(1) | 196 | 16 | |
Amphenol Corp. Class A | 1,087 | 118 | |
Analog Devices, Inc. | 61 | 7 | |
ANSYS, Inc.(1) | 24 | 8 | |
Apple, Inc. | 1,735 | 201 | |
Applied Materials, Inc. | 1,294 | 77 | |
Autodesk, Inc.(1) | 61 | 14 | |
Automatic Data Processing, Inc. | 73 | 10 | |
Broadcom, Inc. | 67 | 24 | |
Broadridge Financial Solutions, Inc. | 20 | 3 | |
Cadence Design Systems, Inc.(1) | 79 | 8 | |
Citrix Systems, Inc. | 35 | 5 | |
Corning, Inc. | 2,774 | 90 | |
Fidelity National Information Services, Inc. | 106 | 16 | |
Fiserv, Inc.(1) | 95 | 10 | |
FleetCor Technologies, Inc.(1) | 14 | 3 | |
Fortinet, Inc.(1) | 15 | 2 | |
Global Payments, Inc. | 51 | 9 | |
Hewlett Packard Enterprise Co. | 138 | 1 | |
HP, Inc. | 148 | 3 | |
Intel Corp. | 706 | 37 | |
Intuit, Inc. | 74 | 24 | |
IPG Photonics Corp.(1) | 193 | 33 | |
Jack Henry & Associates, Inc. | 13 | 2 | |
KLA Corp. | 220 | 43 | |
Lam Research Corp. | 207 | 69 | |
Mastercard, Inc. Class A | 150 | 51 | |
Maxim Integrated Products, Inc. | 44 | 3 | |
Microchip Technology, Inc. | 41 | 4 | |
Micron Technology, Inc.(1) | 187 | 9 |
Shares | Value | ||
Information Technology—continued | |||
Microsoft Corp. | 843 | $ 177 | |
NetApp, Inc. | 24 | 1 | |
NortonLifeLock, Inc. | 67 | 1 | |
NVIDIA Corp. | 103 | 56 | |
Oracle Corp. | 218 | 13 | |
Paychex, Inc. | 55 | 4 | |
Paycom Software, Inc.(1) | 14 | 4 | |
PayPal Holdings, Inc.(1) | 200 | 39 | |
Qorvo, Inc.(1) | 19 | 2 | |
QUALCOMM, Inc. | 187 | 22 | |
salesforce.com, Inc.(1) | 257 | 65 | |
Seagate Technology plc | 24 | 1 | |
ServiceNow, Inc.(1) | 22 | 11 | |
Skyworks Solutions, Inc. | 28 | 4 | |
Synopsys, Inc.(1) | 43 | 9 | |
TE Connectivity Ltd. | 1,776 | 174 | |
Teradyne, Inc. | 236 | 19 | |
Texas Instruments, Inc. | 151 | 22 | |
Tyler Technologies, Inc.(1) | 11 | 4 | |
Visa, Inc. Class A | 287 | 57 | |
Western Digital Corp. | 33 | 1 | |
Western Union Co. (The) | 70 | 2 | |
Xerox Holdings Corp. | 19 | — (2) | |
Xilinx, Inc. | 40 | 4 | |
1,658 | |||
Materials—3.9% | |||
Air Products and Chemicals, Inc. | 240 | 71 | |
Albemarle Corp. | 103 | 9 | |
Ball Corp. | 2,497 | 208 | |
Celanese Corp. | 114 | 12 | |
Dow, Inc. | 2,854 | 134 | |
DuPont de Nemours, Inc. | 704 | 39 | |
Eastman Chemical Co. | 2,618 | 204 | |
Ecolab, Inc. | 239 | 48 | |
Freeport-McMoRan, Inc. | 13,075 | 204 | |
International Flavors & Fragrances, Inc. | 103 | 13 | |
Linde plc | 566 | 135 | |
LyondellBasell Industries NV Class A | 987 | 70 | |
Newmont Corp. | 3,313 | 210 | |
PPG Industries, Inc. | 228 | 28 | |
Sherwin-Williams Co. (The) | 79 | 55 | |
1,440 | |||
Real Estate—1.1% | |||
American Tower Corp. | 230 | 56 | |
Crown Castle International Corp. | 218 | 36 | |
Digital Realty Trust, Inc. | 139 | 20 | |
Duke Realty Corp. | 877 | 32 | |
Equinix, Inc. | 46 | 35 | |
Extra Space Storage, Inc. | 67 | 7 | |
Iron Mountain, Inc. | 151 | 4 | |
Prologis, Inc. | 1,749 | 176 | |
Public Storage | 79 | 18 |
Shares | Value | ||
Real Estate—continued | |||
SBA Communications, Corp. | 59 | $ 19 | |
Weyerhaeuser Co. | 388 | 11 | |
414 | |||
Utilities—1.1% | |||
AES Corp. (The) | 11,287 | 204 | |
American Water Works Co., Inc. | 1,413 | 205 | |
409 | |||
Total Common Stocks (Identified Cost $11,060) | 12,767 | ||
Exchange-Traded Funds(3)—61.4% | |||
Invesco DB Commodity Index Tracking Fund | 90,510 | 1,182 | |
Invesco DB Gold Fund | 21,387 | 1,184 | |
iShares 1-3 Year Treasury Bond ETF | 24,427 | 2,113 | |
iShares China Large-Cap Index Fund | 25,616 | 1,076 | |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 15,712 | 2,117 | |
iShares iBoxx High Yield Corporate Bond ETF | 25,376 | 2,129 | |
iShares JP Morgan USD Emerging Markets Bond ETF | 19,085 | 2,116 | |
iShares MSCI Canada ETF | 38,419 | 1,053 | |
iShares MSCI Germany ETF | 36,220 | 1,055 | |
iShares MSCI Hong Kong ETF | 48,595 | 1,065 | |
iShares MSCI Japan ETF | 17,808 | 1,052 | |
iShares MSCI South Korea ETF | 16,479 | 1,077 | |
iShares MSCI Switzerland ETF | 25,710 | 1,056 | |
iShares MSCI Taiwan ETF | 23,876 | 1,072 | |
iShares TIPS Bond ETF | 16,699 | 2,112 | |
iShares U.S. Real Estate ETF | 14,725 | 1,176 | |
Total Exchange-Traded Funds (Identified Cost $21,414) | 22,635 | ||
Total Long-Term Investments—96.1% (Identified Cost $32,474) | 35,402 | ||
TOTAL INVESTMENTS—96.1% (Identified Cost $32,474) | $35,402 | ||
Other assets and liabilities, net—3.9% | 1,440 | ||
NET ASSETS—100.0% | $36,842 |
Abbreviations: | |
DB | Deutsche Bank AG |
ETF | Exchange-Traded Fund |
TIPS | Treasury-Inflation Protected Securities |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Amount is less than $500. |
(3) | Shares of these funds are publicly offered, and the prospectus and annual reports of each are publicly available. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $12,767 | $12,767 | |
Exchange-Traded Funds | 22,635 | 22,635 | |
Total Investments | $35,402 | $35,402 |
Shares | Value | ||
Common Stocks—95.6% | |||
Communication Services—19.0% | |||
Activision Blizzard, Inc. | 14,262 | $ 1,155 | |
Alphabet, Inc. Class A(1) | 1,872 | 2,744 | |
Alphabet, Inc. Class C(1) | 1,832 | 2,692 | |
AT&T, Inc. | 38,026 | 1,084 | |
CenturyLink, Inc. | 24,466 | 247 | |
Charter Communications, Inc. Class A(1) | 1,825 | 1,140 | |
Comcast Corp. Class A | 24,585 | 1,137 | |
Discovery, Inc. Class A(1) | 3,951 | 86 | |
Discovery, Inc. Class C(1) | 7,621 | 149 | |
DISH Network Corp. Class A(1) | 6,040 | 175 | |
Electronic Arts, Inc.(1) | 7,216 | 941 | |
Facebook, Inc. Class A(1) | 21,183 | 5,548 | |
Fox Corp. Class A | 8,440 | 235 | |
Fox Corp. Class B | 3,846 | 108 | |
Interpublic Group of Cos., Inc. (The) | 9,683 | 161 | |
Live Nation Entertainment, Inc.(1) | 3,541 | 191 | |
Netflix, Inc.(1) | 2,296 | 1,148 | |
News Corp. Class A | 9,656 | 135 | |
News Corp. Class B | 3,018 | 42 | |
Omnicom Group, Inc. | 5,293 | 262 | |
Take-Two Interactive Software, Inc.(1) | 2,859 | 472 | |
T-Mobile US, Inc.(1) | 9,865 | 1,128 | |
Twitter, Inc.(1) | 19,866 | 884 | |
Verizon Communications, Inc. | 18,624 | 1,108 | |
ViacomCBS, Inc. Class B | 13,944 | 391 | |
Walt Disney Co. (The) | 8,365 | 1,038 | |
24,401 | |||
Consumer Discretionary—19.2% | |||
Advance Auto Parts, Inc. | 701 | 108 | |
Amazon.com, Inc.(1) | 1,797 | 5,658 | |
Aptiv plc | 2,711 | 249 | |
AutoZone, Inc.(1) | 238 | 280 | |
Best Buy Co., Inc. | 2,344 | 261 | |
Booking Holdings, Inc.(1) | 413 | 707 | |
BorgWarner, Inc. | 2,080 | 81 | |
CarMax, Inc.(1) | 1,662 | 153 | |
Carnival Corp. | 5,377 | 82 | |
Chipotle Mexican Grill, Inc.(1) | 285 | 354 | |
Darden Restaurants, Inc. | 1,331 | 134 | |
Dollar General Corp. | 2,581 | 541 | |
Dollar Tree, Inc.(1) | 2,425 | 221 | |
Domino’s Pizza, Inc. | 407 | 173 | |
eBay, Inc. | 6,756 | 352 | |
Etsy, Inc.(1) | 1,211 | 147 | |
Expedia Group, Inc. | 1,394 | 128 | |
Ford Motor Co. | 39,693 | 264 | |
Gap, Inc. (The) | 2,041 | 35 | |
Garmin Ltd. | 1,517 | 144 | |
General Motors Co. | 12,682 | 375 | |
Genuine Parts Co. | 1,465 | 139 | |
Hanesbrands, Inc. | 3,544 | 56 |
Shares | Value | ||
Consumer Discretionary—continued | |||
Hasbro, Inc. | 1,304 | $ 108 | |
Hilton Worldwide Holdings, Inc. | 2,810 | 240 | |
Home Depot, Inc. (The) | 10,862 | 3,016 | |
Horton (D.R.), Inc. | 3,381 | 256 | |
L Brands, Inc. | 2,361 | 75 | |
Las Vegas Sands Corp. | 3,357 | 157 | |
Leggett & Platt, Inc. | 1,341 | 55 | |
Lennar Corp. Class A | 2,792 | 228 | |
LKQ Corp.(1) | 2,802 | 78 | |
Lowe’s Cos., Inc. | 6,801 | 1,128 | |
Marriott International, Inc. Class A | 2,684 | 248 | |
McDonald’s Corp. | 7,542 | 1,655 | |
MGM Resorts International | 4,207 | 92 | |
Mohawk Industries, Inc.(1) | 598 | 58 | |
Newell Brands, Inc. | 3,836 | 66 | |
NIKE, Inc. Class B | 12,703 | 1,595 | |
Norwegian Cruise Line Holdings Ltd.(1) | 2,876 | 49 | |
NVR, Inc.(1) | 35 | 143 | |
O’Reilly Automotive, Inc.(1) | 752 | 347 | |
PulteGroup, Inc. | 2,712 | 126 | |
PVH Corp. | 720 | 43 | |
Ralph Lauren Corp. | 494 | 34 | |
Ross Stores, Inc. | 3,554 | 332 | |
Royal Caribbean Cruises Ltd. | 1,845 | 119 | |
Starbucks Corp. | 11,900 | 1,022 | |
Tapestry, Inc. | 2,800 | 44 | |
Target Corp. | 5,123 | 806 | |
Tiffany & Co. | 1,109 | 128 | |
TJX Cos., Inc. (The) | 12,068 | 672 | |
Tractor Supply Co. | 1,191 | 171 | |
Ulta Beauty, Inc.(1) | 569 | 127 | |
Under Armour, Inc. Class A(1) | 1,909 | 21 | |
Under Armour, Inc. Class C(1) | 1,968 | 19 | |
VF Corp. | 3,256 | 229 | |
Whirlpool Corp. | 634 | 117 | |
Wynn Resorts Ltd. | 994 | 71 | |
Yum! Brands, Inc. | 3,096 | 283 | |
24,600 | |||
Consumer Staples—4.8% | |||
Altria Group, Inc. | 6,520 | 252 | |
Archer-Daniels-Midland Co. | 1,961 | 91 | |
Brown-Forman Corp. Class B | 640 | 48 | |
Campbell Soup Co. | 719 | 35 | |
Church & Dwight Co., Inc. | 877 | 82 | |
Clorox Co. (The) | 452 | 95 | |
Coca-Cola Co. (The) | 12,042 | 594 | |
Colgate-Palmolive Co. | 3,027 | 233 | |
Conagra Brands, Inc. | 1,731 | 62 | |
Constellation Brands, Inc. Class A | 590 | 112 |
Shares | Value | ||
Consumer Staples—continued | |||
Costco Wholesale Corp. | 819 | $ 291 | |
Estee Lauder Cos., Inc. (The) Class A | 806 | 176 | |
General Mills, Inc. | 2,182 | 135 | |
Hershey Co. (The) | 522 | 75 | |
Hormel Foods Corp. | 1,001 | 49 | |
J.M. Smucker Co. (The) | 403 | 47 | |
Kellogg Co. | 903 | 58 | |
Kimberly-Clark Corp. | 1,215 | 179 | |
Kraft Heinz Co. (The) | 2,268 | 68 | |
Kroger Co. (The) | 2,783 | 94 | |
Lamb Weston Holdings, Inc. | 506 | 33 | |
McCormick & Co., Inc. | 436 | 85 | |
Molson Coors Beverage Co. Class B | 659 | 22 | |
Mondelez International, Inc. Class A | 5,043 | 290 | |
Monster Beverage Corp.(1) | 1,296 | 104 | |
PepsiCo, Inc. | 4,277 | 593 | |
Philip Morris International, Inc. | 3,367 | 252 | |
Procter & Gamble Co. (The) | 7,820 | 1,087 | |
Sysco Corp. | 1,806 | 112 | |
Tyson Foods, Inc. Class A | 1,035 | 62 | |
Walgreens Boots Alliance, Inc. | 2,508 | 90 | |
Walmart, Inc. | 4,379 | 613 | |
6,119 | |||
Health Care—19.2% | |||
Abbott Laboratories | 11,060 | 1,204 | |
AbbVie, Inc. | 10,928 | 957 | |
ABIOMED, Inc.(1) | 280 | 78 | |
Agilent Technologies, Inc. | 1,911 | 193 | |
Alexion Pharmaceuticals, Inc.(1) | 1,370 | 157 | |
Align Technology, Inc.(1) | 439 | 144 | |
AmerisourceBergen Corp. | 919 | 89 | |
Amgen, Inc. | 3,619 | 920 | |
Anthem, Inc. | 1,562 | 419 | |
Baxter International, Inc. | 3,151 | 253 | |
Becton Dickinson and Co. | 1,808 | 421 | |
Biogen, Inc.(1) | 951 | 270 | |
Bio-Rad Laboratories, Inc. Class A(1) | 132 | 68 | |
Boston Scientific Corp.(1) | 8,816 | 337 | |
Bristol-Myers Squibb Co. | 14,188 | 855 | |
Cardinal Health, Inc. | 1,819 | 85 | |
Catalent, Inc.(1) | 1,011 | 87 | |
Centene Corp.(1) | 3,597 | 210 | |
Cerner Corp. | 1,886 | 136 | |
Cigna Corp. | 2,268 | 384 | |
Cooper Cos., Inc. (The) | 305 | 103 | |
CVS Health Corp. | 8,089 | 472 | |
Danaher Corp. | 3,935 | 847 | |
DaVita, Inc.(1) | 504 | 43 | |
DENTSPLY SIRONA, Inc. | 1,352 | 59 | |
DexCom, Inc.(1) | 623 | 257 |
Shares | Value | ||
Health Care—continued | |||
Edwards Lifesciences Corp.(1) | 3,876 | $ 309 | |
Eli Lilly and Co. | 4,985 | 738 | |
Gilead Sciences, Inc. | 7,761 | 490 | |
HCA Healthcare, Inc. | 1,626 | 203 | |
Henry Schein, Inc.(1) | 880 | 52 | |
Hologic, Inc.(1) | 1,593 | 106 | |
Humana, Inc. | 828 | 343 | |
IDEXX Laboratories, Inc.(1) | 528 | 208 | |
Illumina, Inc.(1) | 916 | 283 | |
Incyte Corp.(1) | 1,146 | 103 | |
Intuitive Surgical, Inc.(1) | 728 | 517 | |
IQVIA Holdings, Inc.(1) | 1,174 | 185 | |
Johnson & Johnson | 16,357 | 2,435 | |
Laboratory Corporation of America Holdings(1) | 601 | 113 | |
McKesson Corp. | 1,012 | 151 | |
Medtronic plc | 8,324 | 865 | |
Merck & Co., Inc. | 15,831 | 1,313 | |
Mettler-Toledo International, Inc.(1) | 151 | 146 | |
Mylan NV(1) | 3,176 | 47 | |
PerkinElmer, Inc. | 693 | 87 | |
Perrigo Co. plc | 846 | 39 | |
Pfizer, Inc. | 34,585 | 1,269 | |
Quest Diagnostics, Inc. | 829 | 95 | |
Regeneron Pharmaceuticals, Inc.(1) | 664 | 372 | |
ResMed, Inc. | 894 | 153 | |
STERIS plc | 524 | 92 | |
Stryker Corp. | 2,020 | 421 | |
Teleflex, Inc. | 287 | 98 | |
Thermo Fisher Scientific, Inc. | 2,463 | 1,087 | |
UnitedHealth Group, Inc. | 5,915 | 1,844 | |
Universal Health Services, Inc. Class B | 473 | 51 | |
Varian Medical Systems, Inc.(1) | 573 | 99 | |
Vertex Pharmaceuticals, Inc.(1) | 1,641 | 447 | |
Waters Corp.(1) | 384 | 75 | |
West Pharmaceutical Services, Inc. | 459 | 126 | |
Zimmer Biomet Holdings, Inc. | 1,288 | 175 | |
Zoetis, Inc. | 2,947 | 487 | |
24,672 | |||
Industrials—4.7% | |||
3M Co. | 1,503 | 241 | |
A.O. Smith Corp. | 353 | 19 | |
Alaska Air Group, Inc. | 324 | 12 | |
Allegion plc | 241 | 24 | |
American Airlines Group, Inc. | 1,314 | 16 | |
AMETEK, Inc. | 596 | 59 | |
Boeing Co. (The) | 1,358 | 224 |
Shares | Value | ||
Industrials—continued | |||
C.H. Robinson Worldwide, Inc. | 355 | $ 36 | |
Carrier Global Corp. | 2,153 | 66 | |
Caterpillar, Inc. | 1,415 | 211 | |
Cintas Corp. | 226 | 75 | |
Copart, Inc.(1) | 539 | 57 | |
CSX Corp. | 2,003 | 156 | |
Cummins, Inc. | 386 | 81 | |
Deere & Co. | 818 | 181 | |
Delta Air Lines, Inc. | 1,649 | 50 | |
Dover Corp. | 376 | 41 | |
Eaton Corp. plc | 1,036 | 106 | |
Emerson Electric Co. | 1,554 | 102 | |
Equifax, Inc. | 319 | 50 | |
Expeditors International of Washington, Inc. | 440 | 40 | |
Fastenal Co. | 1,497 | 67 | |
FedEx Corp. | 621 | 156 | |
Flowserve Corp. | 332 | 9 | |
Fortive Corp. | 880 | 67 | |
Fortune Brands Home & Security, Inc. | 360 | 31 | |
General Dynamics Corp. | 605 | 84 | |
General Electric Co. | 22,687 | 141 | |
Honeywell International, Inc. | 1,835 | 302 | |
Howmet Aerospace, Inc. | 1,041 | 17 | |
Hunt (JB) Transport Services, Inc. | 219 | 28 | |
Huntington Ingalls Industries, Inc. | 106 | 15 | |
IDEX Corp. | 197 | 36 | |
IHS Markit Ltd. | 969 | 76 | |
Illinois Tool Works, Inc. | 746 | 144 | |
Ingersoll Rand, Inc.(1) | 960 | 34 | |
Jacobs Engineering Group, Inc. | 338 | 31 | |
Johnson Controls International plc | 1,936 | 79 | |
Kansas City Southern | 249 | 45 | |
L3Harris Technologies, Inc. | 569 | 97 | |
Lockheed Martin Corp. | 644 | 247 | |
Masco Corp. | 684 | 38 | |
Nielsen Holdings plc | 927 | 13 | |
Norfolk Southern Corp. | 669 | 143 | |
Northrop Grumman Corp. | 407 | 128 | |
Old Dominion Freight Line, Inc. | 252 | 46 | |
Otis Worldwide Corp. | 1,070 | 67 | |
PACCAR, Inc. | 898 | 77 | |
Parker-Hannifin Corp. | 335 | 68 | |
Pentair plc | 433 | 20 | |
Quanta Services, Inc. | 359 | 19 | |
Raytheon Technologies Corp. | 3,971 | 228 | |
Republic Services, Inc. | 552 | 51 | |
Robert Half International, Inc. | 299 | 16 | |
Rockwell Automation, Inc. | 302 | 67 | |
Rollins, Inc. | 384 | 21 |
Shares | Value | ||
Industrials—continued | |||
Roper Technologies, Inc. | 275 | $ 109 | |
Snap-on, Inc. | 142 | 21 | |
Southwest Airlines Co. | 1,527 | 57 | |
Stanley Black & Decker, Inc. | 415 | 67 | |
Teledyne Technologies, Inc.(1) | 96 | 30 | |
Textron, Inc. | 587 | 21 | |
Trane Technologies plc | 626 | 76 | |
TransDigm Group, Inc. | 141 | 67 | |
Union Pacific Corp. | 1,781 | 351 | |
United Airlines Holdings, Inc.(1) | 749 | 26 | |
United Parcel Service, Inc. Class B | 1,824 | 304 | |
United Rentals, Inc.(1) | 186 | 32 | |
Verisk Analytics, Inc. | 425 | 79 | |
W.W. Grainger, Inc. | 118 | 42 | |
Waste Management, Inc. | 1,022 | 116 | |
Westinghouse Air Brake Technologies Corp. | 463 | 29 | |
Xylem, Inc. | 470 | 39 | |
6,021 | |||
Information Technology—19.2% | |||
Accenture plc Class A | 1,973 | 446 | |
Adobe, Inc.(1) | 1,512 | 742 | |
Advanced Micro Devices, Inc.(1) | 3,741 | 307 | |
Akamai Technologies, Inc.(1) | 524 | 58 | |
Amphenol Corp. Class A | 930 | 101 | |
Analog Devices, Inc. | 1,158 | 135 | |
ANSYS, Inc.(1) | 269 | 88 | |
Apple, Inc. | 50,648 | 5,866 | |
Applied Materials, Inc. | 2,894 | 172 | |
Arista Networks, Inc.(1) | 172 | 36 | |
Autodesk, Inc.(1) | 686 | 158 | |
Automatic Data Processing, Inc. | 1,343 | 187 | |
Broadcom, Inc. | 1,268 | 462 | |
Broadridge Financial Solutions, Inc. | 363 | 48 | |
Cadence Design Systems, Inc.(1) | 882 | 94 | |
CDW Corp. | 450 | 54 | |
Cisco Systems, Inc. | 13,311 | 524 | |
Citrix Systems, Inc. | 389 | 54 | |
Cognizant Technology Solutions Corp. Class A | 1,696 | 118 | |
Corning, Inc. | 2,382 | 77 | |
DXC Technology Co. | 783 | 14 | |
F5 Networks, Inc.(1) | 191 | 23 | |
Fidelity National Information Services, Inc. | 1,949 | 287 | |
Fiserv, Inc.(1) | 1,734 | 179 | |
FleetCor Technologies, Inc.(1) | 264 | 63 | |
FLIR Systems, Inc. | 409 | 15 |
Shares | Value | ||
Information Technology—continued | |||
Fortinet, Inc.(1) | 427 | $ 50 | |
Gartner, Inc.(1) | 281 | 35 | |
Global Payments, Inc. | 936 | 166 | |
Hewlett Packard Enterprise Co. | 3,998 | 37 | |
HP, Inc. | 4,285 | 81 | |
Intel Corp. | 13,406 | 694 | |
International Business Machines Corp. | 2,787 | 339 | |
Intuit, Inc. | 821 | 268 | |
IPG Photonics Corp.(1) | 112 | 19 | |
Jack Henry & Associates, Inc. | 240 | 39 | |
Juniper Networks, Inc. | 1,039 | 22 | |
Keysight Technologies, Inc.(1) | 589 | 58 | |
KLA Corp. | 495 | 96 | |
Lam Research Corp. | 464 | 154 | |
Leidos Holdings, Inc. | 426 | 38 | |
Mastercard, Inc. Class A | 2,763 | 934 | |
Maxim Integrated Products, Inc. | 834 | 56 | |
Microchip Technology, Inc. | 787 | 81 | |
Micron Technology, Inc.(1) | 3,553 | 167 | |
Microsoft Corp. | 23,821 | 5,010 | |
Motorola Solutions, Inc. | 534 | 84 | |
NetApp, Inc. | 692 | 30 | |
NortonLifeLock, Inc. | 1,880 | 39 | |
NVIDIA Corp. | 1,969 | 1,066 | |
Oracle Corp. | 6,107 | 365 | |
Paychex, Inc. | 998 | 80 | |
Paycom Software, Inc.(1) | 153 | 48 | |
PayPal Holdings, Inc.(1) | 3,685 | 726 | |
Qorvo, Inc.(1) | 360 | 46 | |
QUALCOMM, Inc. | 3,568 | 420 | |
salesforce.com, Inc.(1) | 2,892 | 727 | |
Seagate Technology plc | 700 | 34 |
Shares | Value | ||
Information Technology—continued | |||
ServiceNow, Inc.(1) | 609 | $ 295 | |
Skyworks Solutions, Inc. | 526 | 77 | |
Synopsys, Inc.(1) | 479 | 102 | |
TE Connectivity Ltd. | 1,029 | 101 | |
Teradyne, Inc. | 528 | 42 | |
Texas Instruments, Inc. | 2,878 | 411 | |
Tyler Technologies, Inc.(1) | 128 | 45 | |
VeriSign, Inc.(1) | 321 | 66 | |
Visa, Inc. Class A | 5,277 | 1,055 | |
Western Digital Corp. | 955 | 35 | |
Western Union Co. (The) | 1,289 | 28 | |
Xerox Holdings Corp. | 552 | 10 | |
Xilinx, Inc. | 766 | 80 | |
Zebra Technologies Corp. Class A(1) | 168 | 42 | |
24,706 | |||
Materials—9.5% | |||
Air Products and Chemicals, Inc. | 3,706 | 1,104 | |
Albemarle Corp. | 1,872 | 167 | |
Amcor plc | 27,497 | 304 | |
Avery Dennison Corp. | 1,446 | 185 | |
Ball Corp. | 5,759 | 479 | |
Celanese Corp. | 2,054 | 221 | |
CF Industries Holdings, Inc. | 3,668 | 113 | |
Corteva, Inc. | 12,823 | 370 | |
Dow, Inc. | 11,105 | 523 | |
DuPont de Nemours, Inc. | 9,486 | 526 | |
Eastman Chemical Co. | 2,357 | 184 | |
Ecolab, Inc. | 4,140 | 827 | |
FMC Corp. | 2,262 | 240 | |
Freeport-McMoRan, Inc. | 25,090 | 392 | |
International Flavors & Fragrances, Inc. | 1,856 | 227 | |
International Paper Co. | 6,973 | 283 |
Shares | Value | ||
Materials—continued | |||
Linde plc | 8,749 | $ 2,083 | |
LyondellBasell Industries NV Class A | 4,418 | 311 | |
Martin Marietta Materials, Inc. | 1,084 | 255 | |
Mosaic Co. (The) | 5,955 | 109 | |
Newmont Corp. | 13,575 | 861 | |
Nucor Corp. | 5,266 | 236 | |
Packaging Corporation of America | 1,682 | 183 | |
PPG Industries, Inc. | 4,097 | 500 | |
Sealed Air Corp. | 2,723 | 106 | |
Sherwin-Williams Co. (The) | 1,371 | 955 | |
Vulcan Materials Co. | 2,302 | 312 | |
Westrock Co. | 4,666 | 162 | |
12,218 | |||
Total Common Stocks (Identified Cost $107,686) | 122,737 | ||
Total Long-Term Investments—95.6% (Identified Cost $107,686) | 122,737 | ||
TOTAL INVESTMENTS—95.6% (Identified Cost $107,686) | $122,737 | ||
Other assets and liabilities, net—4.4% | 5,614 | ||
NET ASSETS—100.0% | $128,351 |
Footnote Legend: | |
(1) | Non-income producing. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $122,737 | $122,737 | |
Total Investments | $122,737 | $122,737 |
Shares | Value | ||
Common Stocks—98.4% | |||
Communication Services—10.0% | |||
Alphabet, Inc. Class C (United States)(1) | 7,033 | $ 10,336 | |
Comcast Corp. Class A (United States) | 144,589 | 6,689 | |
NetEase, Inc. (China) | 99,096 | 1,779 | |
NetEase, Inc. ADR (China) | 3,994 | 1,816 | |
Tencent Holdings Ltd. (China) | 171,918 | 11,612 | |
Walt Disney Co. (The) (United States) | 46,472 | 5,766 | |
37,998 | |||
Consumer Discretionary—21.4% | |||
Alibaba Group Holding Ltd. Sponsored ADR (China)(1) | 46,233 | 13,592 | |
Amazon.com, Inc. (United States)(1) | 6,024 | 18,968 | |
Booking Holdings, Inc. (Netherlands)(1) | 3,588 | 6,138 | |
EssilorLuxottica SA (France)(1) | 48,078 | 6,547 | |
Flutter Entertainment plc (Ireland)(1) | 57,488 | 9,146 | |
LVMH Moet Hennessy Louis Vuitton SE (France) | 10,340 | 4,842 | |
NIKE, Inc. Class B (United States) | 53,465 | 6,712 | |
O’Reilly Automotive, Inc. (United States)(1) | 11,713 | 5,401 | |
Ross Stores, Inc. (United States) | 72,326 | 6,749 | |
Starbucks Corp. (United States) | 41,668 | 3,580 | |
81,675 | |||
Consumer Staples—14.6% | |||
Alimentation Couche-Tard, Inc. Class B (Canada) | 310,005 | 10,796 | |
Coca-Cola Co. (The) (United States) | 151,742 | 7,491 | |
Heineken NV (Netherlands) | 105,284 | 9,367 | |
Nestle S.A. Registered Shares (Switzerland) | 108,452 | 12,875 | |
PepsiCo, Inc. (United States) | 47,496 | 6,583 |
Shares | Value | ||
Consumer Staples—continued | |||
Unilever NV (Netherlands) | 139,216 | $ 8,406 | |
55,518 | |||
Financials—6.2% | |||
Berkshire Hathaway, Inc. Class B (United States)(1) | 40,363 | 8,595 | |
CME Group, Inc. (United States) | 26,015 | 4,353 | |
HDFC Bank Ltd. (India)(1) | 410,865 | 6,031 | |
Housing Development Finance Corp., Ltd. (India) | 192,868 | 4,571 | |
23,550 | |||
Health Care—13.8% | |||
Becton Dickinson and Co. (United States) | 33,177 | 7,720 | |
Boston Scientific Corp. (United States)(1) | 204,102 | 7,799 | |
Hoya Corp. (Japan) | 57,659 | 6,511 | |
Intuitive Surgical, Inc. (United States)(1) | 5,487 | 3,893 | |
Johnson & Johnson (United States) | 54,188 | 8,067 | |
Medtronic plc (United States) | 85,629 | 8,898 | |
UnitedHealth Group, Inc. (United States) | 30,984 | 9,660 | |
52,548 | |||
Industrials—5.2% | |||
RELX plc (United Kingdom) | 214,679 | 4,790 | |
Safran SA (France)(1) | 53,166 | 5,264 | |
Teleperformance (France) | 17,532 | 5,418 | |
Wolters Kluwer NV (Netherlands) | 52,466 | 4,481 | |
19,953 | |||
Information Technology—24.8% | |||
Adobe, Inc. (United States)(1) | 13,301 | 6,523 | |
Mastercard, Inc. Class A (United States) | 42,993 | 14,539 | |
Microsoft Corp. (United States) | 95,646 | 20,117 | |
PayPal Holdings, Inc. (United States)(1) | 44,830 | 8,833 | |
SAP SE (Germany) | 95,644 | 14,888 |
Shares | Value | ||
Information Technology—continued | |||
Synopsys, Inc. (United States)(1) | 22,410 | $ 4,795 | |
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 69,679 | 5,649 | |
Tata Consultancy Services Ltd. (India) | 203,759 | 6,894 | |
Visa, Inc. Class A (United States) | 61,316 | 12,261 | |
94,499 | |||
Materials—2.4% | |||
Air Liquide SA (France) | 25,523 | 4,055 | |
Sherwin-Williams Co. (The) (United States) | 7,132 | 4,969 | |
9,024 | |||
Total Common Stocks (Identified Cost $236,491) | 374,765 | ||
Total Long-Term Investments—98.4% (Identified Cost $236,491) | 374,765 | ||
TOTAL INVESTMENTS—98.4% (Identified Cost $236,491) | $374,765 | ||
Other assets and liabilities, net—1.6% | 6,007 | ||
NET ASSETS—100.0% | $380,772 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
Country Weightings (Unaudited)† | |
United States | 56% |
Netherlands | 8 |
China | 7 |
France | 7 |
India | 5 |
Germany | 4 |
Switzerland | 3 |
Other | 10 |
Total | 100% |
† % of total investments as of September 30, 2020. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $374,765 | $337,367 | $37,398 | ||
Total Investments | $374,765 | $337,367 | $37,398 |
Shares | Value | ||
Preferred Stock—2.6% | |||
Health Care—2.6% | |||
Grifols SA (Preference Shares), Class B, 0.000% (Spain) | 6,897 | $ 119 | |
Total Preferred Stock (Identified Cost $114) | 119 | ||
Common Stocks—91.4% | |||
Communication Services—3.8% | |||
Cellnex Telecom SA 144A (Spain)(1) | 2,111 | 129 | |
CTS Eventim AG & Co. KGaA (Germany)(2) | 876 | 42 | |
171 | |||
Consumer Discretionary—14.1% | |||
adidas AG (Germany)(2) | 281 | 91 | |
Booking Holdings, Inc. (Netherlands)(2) | 37 | 63 | |
Brunello Cucinelli S.p.A (Italy)(2) | 247 | 8 | |
EssilorLuxottica SA (France)(2) | 714 | 97 | |
Ferrari NV (Italy) | 212 | 39 | |
Flutter Entertainment plc (Ireland)(2) | 733 | 117 | |
Hermes International (France) | 17 | 15 | |
La Francaise des Jeux SAEM 144A (France)(1) | 1,510 | 56 | |
LVMH Moet Hennessy Louis Vuitton SE (France) | 142 | 66 | |
Prosus NV (Netherlands)(2) | 877 | 81 | |
633 | |||
Consumer Staples—19.6% | |||
Anheuser-Busch InBev NV (Belgium) | 1,400 | 76 | |
Diageo plc (United Kingdom) | 1,764 | 60 | |
Heineken NV (Netherlands) | 779 | 69 | |
L’Oreal SA (France) | 137 | 45 | |
Nestle S.A. Registered Shares (Switzerland) | 1,950 | 232 | |
Pernod Ricard SA (France) | 294 | 47 | |
Philip Morris International, Inc. (United States) | 1,363 | 102 | |
Reckitt Benckiser Group plc (United Kingdom) | 399 | 39 |
Shares | Value | ||
Consumer Staples—continued | |||
Unilever NV (Netherlands) | 3,403 | $ 205 | |
875 | |||
Financials—7.2% | |||
Bankinter SA (Spain) | 4,266 | 18 | |
Groupe Bruxelles Lambert SA (Belgium) | 914 | 82 | |
KBC Group NV (Belgium) | 514 | 26 | |
London Stock Exchange Group plc (United Kingdom) | 1,376 | 158 | |
Svenska Handelsbanken AB Class A (Sweden)(2) | 2,197 | 18 | |
UBS Group AG Registered Shares (Switzerland) | 1,928 | 22 | |
324 | |||
Health Care—10.5% | |||
Alcon, Inc. (Switzerland)(2) | 2,031 | 115 | |
Eurofins Scientific SE (Luxembourg)(2) | 127 | 101 | |
Lonza Group AG Registered Shares (Switzerland) | 124 | 77 | |
Medtronic plc (United States) | 1,256 | 130 | |
Sartorius Stedim Biotech (France) | 139 | 48 | |
471 | |||
Industrials—19.7% | |||
Ashtead Group plc (United Kingdom) | 2,588 | 94 | |
DCC plc (Ireland) | 1,111 | 86 | |
IHS Markit Ltd. (United States) | 825 | 65 | |
IMCD NV (Netherlands) | 551 | 66 | |
RELX plc (United Kingdom) | 2,799 | 62 | |
Rentokil Initial plc (United Kingdom)(2) | 17,233 | 119 | |
Safran SA (France)(2) | 578 | 57 | |
Teleperformance (France) | 510 | 158 | |
Vinci SA (France)(2) | 626 | 52 | |
Wolters Kluwer NV (Netherlands) | 1,432 | 122 | |
881 | |||
Information Technology—11.5% | |||
Accenture plc Class A (United States) | 744 | 168 | |
Adyen NV 144A (Netherlands)(1)(2) | 44 | 81 |
Shares | Value | ||
Information Technology—continued | |||
Amadeus IT Group SA (Spain) | 672 | $ 38 | |
Halma plc (United Kingdom) | 1,369 | 41 | |
SAP SE (Germany) | 1,186 | 185 | |
513 | |||
Materials—5.0% | |||
Air Liquide SA (France) | 706 | 112 | |
Sika AG Registered Shares (Switzerland) | 452 | 111 | |
223 | |||
Total Common Stocks (Identified Cost $2,575) | 4,091 | ||
Total Long-Term Investments—94.0% (Identified Cost $2,689) | 4,210 | ||
TOTAL INVESTMENTS—94.0% (Identified Cost $2,689) | $4,210 | ||
Other assets and liabilities, net—6.0% | 268 | ||
NET ASSETS—100.0% | $4,478 |
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 September 30, 2020, these securities amounted to a value of $266 or 5.9% of net assets. |
(2) | Non-income producing. |
Country Weightings (Unaudited)† | |
Netherlands | 18% |
France | 17 |
Switzerland | 14 |
United Kingdom | 13 |
United States | 11 |
Germany | 7 |
Spain | 7 |
Other | 13 |
Total | 100% |
† % of total investments as of September 30, 2020. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $4,091 | $4,091 | |
Preferred Stock | 119 | 119 | |
Total Investments | $4,210 | $4,210 |
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) | $ 81,762 | $ 246,056 | $ 27,518 | ||
Foreign currency at value(2) | — (a) | — (a) | — | ||
Cash | 227 | 1,171 | 301 | ||
Receivables | |||||
Investment securities sold | — | 1,148 | 80 | ||
Fund shares sold | 28 | 473 | 3 | ||
Dividends | 104 | 834 | 76 | ||
Tax reclaims | 26 | 79 | 29 | ||
Prepaid Trustees’ retainer | 2 | 5 | 1 | ||
Prepaid expenses | 16 | 21 | 21 | ||
Other assets | 9 | 27 | 3 | ||
Total assets | 82,174 | 249,814 | 28,032 | ||
Liabilities | |||||
Due to custodian | — | — | — (a) | ||
Payables | |||||
Fund shares repurchased | 107 | 263 | 24 | ||
Investment securities purchased | — | 803 | 47 | ||
Investment advisory fees | 43 | 135 | 14 | ||
Distribution and service fees | 15 | 9 | 1 | ||
Administration and accounting fees | 8 | 22 | 3 | ||
Transfer agent and sub-transfer agent fees and expenses | 14 | 69 | 8 | ||
Professional fees | 27 | 31 | 30 | ||
Trustee deferred compensation plan | 9 | 27 | 3 | ||
Interest expense and/or commitment fees | — (a) | — (a) | — (a) | ||
Other accrued expenses | 6 | 16 | 3 | ||
Total liabilities | 229 | 1,375 | 133 | ||
Net Assets | $ 81,945 | $ 248,439 | $ 27,899 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $ 73,965 | $ 244,405 | $ 31,854 | ||
Accumulated earnings (loss) | 7,980 | 4,034 | (3,955) | ||
Net Assets | $ 81,945 | $ 248,439 | $ 27,899 | ||
Net Assets: | |||||
Class A | $ 30,172 | $ 18,740 | $ 1,843 | ||
Class C | $ 9,833 | $ 6,297 | $ 526 | ||
Class I | $ 33,326 | $ 168,410 | $ 25,530 | ||
Class R6 | $ 8,614 | $ 54,992 | $ — | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 2,075,150 | 635,341 | 271,477 | ||
Class C | 678,048 | 225,500 | 78,201 | ||
Class I | 2,291,477 | 5,861,837 | 3,767,901 | ||
Class R6 | 591,824 | 1,905,775 | — | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $ 14.54 | $ 29.50 | $ 6.79 | ||
Class C | $ 14.50 | $ 27.93 | $ 6.73 | ||
Class I | $ 14.54 | $ 28.73 | $ 6.78 | ||
Class R6 | $ 14.55 | $ 28.86 | $ — |
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 | $ 15.43 | $ 31.30 | $ 7.20 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1) Investment in securities at cost | $ 73,609 | $ 234,506 | $ 24,435 | ||
(2) Foreign currency at cost | $ —(a) | $ —(a) | $ — |
(a) | Amount is less than $500. |
Duff & Phelps Real Asset Fund | FORT Trend Fund(a) | KAR Emerging Markets Small-Cap Fund | |||
Assets | |||||
Investment in securities at value(1) | $ 6,372 | $ 196,019 | $ 222,626 | ||
Investment in affiliated funds at value(2) | 15,013 | — | — | ||
Foreign currency at value(3) | — | — | 35 | ||
Cash | — | — | 188 | ||
Foreign currency due from broker at value | — | 213 | — | ||
Due from broker | — | 2,664 | — | ||
Cash pledged as collateral for futures | — | 9,297 | — | ||
Receivables | |||||
Fund shares sold | 1 | 9 | 323 | ||
Dividends | 8 | 22 | 132 | ||
Tax reclaims | — | — | 3 | ||
Prepaid Trustees’ retainer | — (b) | 4 | 4 | ||
Prepaid expenses | 17 | 24 | 25 | ||
Other assets | 2 | 23 | 23 | ||
Total assets | 21,413 | 208,275 | 223,359 | ||
Liabilities | |||||
Variation margin payable on futures contracts | — | 852 | — | ||
Payables | |||||
Fund shares repurchased | 47 | 453 | 227 | ||
Investment securities purchased | 8 | — | 200 | ||
Foreign capital gains tax | — | — | 611 | ||
Investment advisory fees | — | 173 | 224 | ||
Distribution and service fees | 3 | 73 | 9 | ||
Administration and accounting fees | 2 | 19 | 19 | ||
Transfer agent and sub-transfer agent fees and expenses | 6 | 46 | 45 | ||
Professional fees | 16 | 33 | 25 | ||
Trustee deferred compensation plan | 2 | 23 | 23 | ||
Interest expense and/or commitment fees | — (b) | — (b) | — | ||
Other accrued expenses | 2 | 34 | 15 | ||
Total liabilities | 86 | 1,706 | 1,398 | ||
Net Assets | $ 21,327 | $ 206,569 | $ 221,961 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $ 46,214 | $ 616,975 | $ 178,859 | ||
Accumulated earnings (loss) | (24,887) | (410,406) | 43,102 | ||
Net Assets | $ 21,327 | $ 206,569 | $ 221,961 | ||
Net Assets: | |||||
Class A | $ 11,964 | $ 104,017 | $ 39,799 | ||
Class C | $ 604 | $ 61,735 | $ 1,208 | ||
Class I | $ 8,759 | $ 40,098 | $ 180,829 | ||
Class R6 | $ — | $ 719 | $ 125 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 1,184,914 | 7,146,809 | 2,666,348 | ||
Class C | 59,259 | 4,496,102 | 81,647 | ||
Class I | 869,830 | 2,711,003 | 12,049,840 | ||
Class R6 | — | 48,277 | 8,299 |
Duff & Phelps Real Asset Fund | FORT Trend Fund(a) | KAR Emerging Markets Small-Cap Fund | |||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $ 10.10 | $ 14.55 | $ 14.93 | ||
Class C | $ 10.19 | $ 13.73 | $ 14.80 | ||
Class I | $ 10.07 | $ 14.79 | $ 15.01 | ||
Class R6 | $ — | $ 14.90 | $ 15.01 | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $ 10.72 | $ 15.44 | $ 15.84 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1) Investment in unaffiliated securities at cost | $ 6,112 | $ 196,017 | $ 178,332 | ||
(2) Investment in affiliated funds at cost | $ 12,629 | $ — | $ — | ||
(3) Foreign currency at cost | $ — | $ 213 | $ 36 |
(a) | Consolidated Statement of Assets and Liabilities. |
(b) | Amount is less than $500. |
KAR International Small-Cap Fund | KAR International Small-Mid Cap Fund | Rampart Multi-Asset Trend Fund | |||
Assets | |||||
Investment in securities at value(1) | $ 1,872,035 | $ 23,439 | $ 35,402 | ||
Foreign currency at value(2) | 377 | 3 | — | ||
Cash | 21,166 | — | 1,632 | ||
Receivables | |||||
Investment securities sold | 137 | — | — | ||
Fund shares sold | 5,157 | 131 | 1 | ||
Dividends | 1,202 | 14 | 11 | ||
Tax reclaims | 147 | 2 | — | ||
Prepaid Trustees’ retainer | 37 | — (a) | 1 | ||
Prepaid expenses | 65 | 10 | 14 | ||
Other assets | 202 | 2 | 4 | ||
Total assets | 1,900,525 | 23,601 | 37,065 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 1,952 | — | 127 | ||
Investment securities purchased | 3,849 | 11 | — | ||
Investment advisory fees | 1,505 | 18 | 27 | ||
Distribution and service fees | 44 | — (a) | 18 | ||
Administration and accounting fees | 161 | 3 | 4 | ||
Transfer agent and sub-transfer agent fees and expenses | 376 | 4 | 8 | ||
Professional fees | 51 | 23 | 29 | ||
Trustee deferred compensation plan | 202 | 2 | 4 | ||
Interest expense and/or commitment fees | 2 | — (a) | — (a) | ||
Other accrued expenses | 110 | 2 | 6 | ||
Total liabilities | 8,252 | 63 | 223 | ||
Net Assets | $ 1,892,273 | $ 23,538 | $ 36,842 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $ 1,698,985 | $ 18,509 | $ 54,191 | ||
Accumulated earnings (loss) | 193,288 | 5,029 | (17,349) | ||
Net Assets | $ 1,892,273 | $ 23,538 | $ 36,842 | ||
Net Assets: | |||||
Class A | $ 78,101 | $ 161 | $ 11,708 | ||
Class C | $ 33,524 | $ 168 | $ 18,190 | ||
Class I | $ 1,705,562 | $ 19,699 | $ 6,944 | ||
Class R6 | $ 75,086 | $ 3,510 | $ — | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 4,079,362 | 12,456 | 1,027,956 | ||
Class C | 1,784,660 | 13,060 | 1,667,963 | ||
Class I | 88,593,553 | 1,520,227 | 605,113 | ||
Class R6 | 3,895,776 | 270,585 | — | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $ 19.15 | $ 12.93 | $ 11.39 | ||
Class C | $ 18.78 | $ 12.83 | $ 10.91 | ||
Class I | $ 19.25 | $ 12.96 | $ 11.48 | ||
Class R6 | $ 19.27 | $ 12.97 | $ — |
KAR International Small-Cap Fund | KAR International Small-Mid Cap Fund | Rampart Multi-Asset Trend Fund | |||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $ 20.32 | $ 13.72 | $ 12.08 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1) Investment in securities at cost | $ 1,689,710 | $ 19,215 | $ 32,474 | ||
(2) Foreign currency at cost | $ 375 | $ 3 | $ — |
(a) | Amount is less than $500. |
Rampart Sector Trend Fund | Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | |||
Assets | |||||
Investment in securities at value(1) | $ 122,737 | $ 374,765 | $ 4,210 | ||
Foreign currency at value(2) | — | 5 | 2 | ||
Cash | 6,058 | 5,827 | 232 | ||
Receivables | |||||
Fund shares sold | 2 | 424 | 78 | ||
Receivable from adviser | — | — | 7 | ||
Dividends | 88 | 168 | 3 | ||
Tax reclaims | — | 209 | 25 | ||
Prepaid Trustees’ retainer | 3 | 7 | — (a) | ||
Prepaid expenses | 21 | 34 | 9 | ||
Other assets | 14 | 41 | — (a) | ||
Total assets | 128,923 | 381,480 | 4,566 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 389 | 141 | — | ||
Investment securities purchased | — | — | 55 | ||
Foreign capital gains tax | — | 63 | — | ||
Investment advisory fees | 48 | 236 | — | ||
Distribution and service fees | 38 | 44 | 1 | ||
Administration and accounting fees | 12 | 33 | 1 | ||
Transfer agent and sub-transfer agent fees and expenses | 25 | 49 | 1 | ||
Professional fees | 31 | 35 | 29 | ||
Trustee deferred compensation plan | 14 | 41 | — (a) | ||
Interest expense and/or commitment fees | — (a) | — (a) | — (a) | ||
Other accrued expenses | 15 | 66 | 1 | ||
Total liabilities | 572 | 708 | 88 | ||
Net Assets | $ 128,351 | $ 380,772 | $ 4,478 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $ 126,930 | $ 237,046 | $ 2,683 | ||
Accumulated earnings (loss) | 1,421 | 143,726 | 1,795 | ||
Net Assets | $ 128,351 | $ 380,772 | $ 4,478 | ||
Net Assets: | |||||
Class A | $ 78,863 | $ 111,264 | $ 1,486 | ||
Class C | $ 25,905 | $ 25,626 | $ 430 | ||
Class I | $ 23,583 | $ 153,902 | $ 2,562 | ||
Class R6 | $ — | $ 89,980 | $ — | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 5,989,880 | 5,971,629 | 132,208 | ||
Class C | 2,000,937 | 1,676,566 | 39,675 | ||
Class I | 1,793,606 | 8,245,117 | 228,083 | ||
Class R6 | — | 4,807,679 | — | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $ 13.17 | $ 18.63 | $ 11.24 | ||
Class C | $ 12.95 | $ 15.28 | $ 10.85 | ||
Class I | $ 13.15 | $ 18.67 | $ 11.23 | ||
Class R6 | $ — | $ 18.72 | $ — |
Rampart Sector Trend Fund | Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | |||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $ 13.97 | $ 19.77 | $ 11.93 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1) Investment in securities at cost | $ 107,686 | $ 236,491 | $ 2,689 | ||
(2) Foreign currency at cost | $ — | $ 5 | $ 1 |
(a) | Amount is less than $500. |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | Duff & Phelps International Real Estate Securities Fund | |||
Investment Income | |||||
Dividends | $ 2,647 | $ 7,013 | $ 1,363 | ||
Foreign taxes withheld | (149) | (334) | (135) | ||
Total investment income | 2,498 | 6,679 | 1,228 | ||
Expenses | |||||
Investment advisory fees | 617 | 2,064 | 445 | ||
Distribution and service fees, Class A | 83 | 53 | 5 | ||
Distribution and service fees, Class C | 124 | 80 | 7 | ||
Administration and accounting fees | 107 | 261 | 54 | ||
Transfer agent fees and expenses | 43 | 109 | 20 | ||
Sub-transfer agent fees and expenses, Class A | 26 | 263 | 2 | ||
Sub-transfer agent fees and expenses, Class C | 10 | 8 | 1 | ||
Sub-transfer agent fees and expenses, Class I | 41 | 223 | 44 | ||
Custodian fees | 3 | 4 | 4 | ||
Printing fees and expenses | 13 | 30 | 7 | ||
Professional fees | 29 | 33 | 30 | ||
Interest expense and/or commitment fees | 2 | 1 | 1 | ||
Registration fees | 60 | 74 | 42 | ||
Trustees’ fees and expenses | 9 | 20 | 4 | ||
Miscellaneous expenses | 13 | 29 | 10 | ||
Total expenses | 1,180 | 3,252 | 676 | ||
Less net expenses reimbursed and/or waived by investment adviser(1) | (9) | (386) | (107) | ||
Less low balance account fees | — (2) | — (2) | — | ||
Net expenses | 1,171 | 2,866 | 569 | ||
Net investment income (loss) | 1,327 | 3,813 | 659 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 707 | (1,894) | (2,671) | ||
Foreign currency transactions | (5) | (13) | (6) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (13,007) | (33,441) | (4,129) | ||
Foreign currency transactions | 2 | 7 | 2 | ||
Net realized and unrealized gain (loss) on investments | (12,303) | (35,341) | (6,804) | ||
Net increase (decrease) in net assets resulting from operations | $(10,976) | $(31,528) | $(6,145) |
(1) | See Note 4D in Notes to Financial Statements. |
(2) | Amount is less than $500. |
Duff & Phelps Real Asset Fund | FORT Trend Fund(1) | KAR Emerging Markets Small-Cap Fund | |||
Investment Income | |||||
Dividends | $ 551 | $ 3,402 | $ 2,963 | ||
Dividends from affiliated funds | 875 | — | — | ||
Interest | — | 11 | — | ||
Foreign taxes withheld | — | — | (401) | ||
Total investment income | 1,426 | 3,413 | 2,562 | ||
Expenses | |||||
Investment advisory fees | — | 2,504 (2) | 1,805 | ||
Distribution and service fees, Class A | 35 | 245 | 75 | ||
Distribution and service fees, Class C | 12 | 952 | 9 | ||
Administration and accounting fees | 41 | 270 | 165 | ||
Transfer agent fees and expenses | 15 | 129 | 71 | ||
Sub-transfer agent fees and expenses, Class A | 15 | 87 | 40 | ||
Sub-transfer agent fees and expenses, Class C | 1 | 90 | 1 | ||
Sub-transfer agent fees and expenses, Class I | 17 | 53 | 139 | ||
Custodian fees | 1 | 6 | 7 | ||
Printing fees and expenses | 6 | 43 | 31 | ||
Professional fees | 89 | 48 | 53 | ||
Interest expense and/or commitment fees | 1 | 1 | 1 | ||
Registration fees | 43 | 54 | 93 | ||
Trustees’ fees and expenses | 3 | 24 | 11 | ||
Miscellaneous expenses | 7 | 37 | 24 | ||
Total expenses | 286 | 4,543 | 2,525 | ||
Less net expenses reimbursed and/or waived by investment adviser(3) | — | — | (33) | ||
Less low balance account fees | — (4) | — (4) | — | ||
Net expenses | 286 | 4,543 | 2,492 | ||
Net investment income (loss) | 1,140 | (1,130) | 70 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Unaffiliated investments | (1,003) | 26,621 | 4,534 | ||
Affiliated funds | 760 | — | — | ||
Foreign currency transactions | — | 11 | (276) | ||
Foreign capital gains tax | — | — | — (4) | ||
Futures | — | (2,762) | — | ||
Capital gain received from investments in affiliated funds | 775 | — | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Unaffiliated investments | (619) | (38,113) | 35,973 | ||
Affiliated funds | (4,830) | — | — | ||
Futures | — | (323) | — | ||
Foreign capital gains tax | — | — | (611) | ||
Net realized and unrealized gain (loss) on investments | (4,917) | (14,566) | 39,620 | ||
Net increase (decrease) in net assets resulting from operations | $(3,777) | $(15,696) | $39,690 |
(1) | Consolidated Statement of Operations. |
(2) | See Note 4A in Notes to Financial Statements. |
(3) | See Note 4D in Notes to Financial Statements. |
(4) | Amount is less than $500. |
KAR International Small-Cap Fund | KAR International Small-Mid Cap Fund(1) | Rampart Multi-Asset Trend Fund | |||
Investment Income | |||||
Dividends | $ 32,100 | $ 162 | $ 875 | ||
Foreign taxes withheld | (3,369) | (18) | — | ||
Total investment income | 28,731 | 144 | 875 | ||
Expenses | |||||
Investment advisory fees | 17,162 | 95 | 430 | ||
Distribution and service fees, Class A | 201 | — (2) | 30 | ||
Distribution and service fees, Class C | 363 | 1 | 229 | ||
Administration and accounting fees | 1,838 | 19 | 53 | ||
Transfer agent fees and expenses | 767 | 5 | 22 | ||
Sub-transfer agent fees and expenses, Class A | 94 | — (2) | 10 | ||
Sub-transfer agent fees and expenses, Class C | 31 | — (2) | 19 | ||
Sub-transfer agent fees and expenses, Class I | 1,602 | 9 | 9 | ||
Custodian fees | 28 | 2 | 6 | ||
Printing fees and expenses | 193 | 25 | 7 | ||
Professional fees | 213 | 44 | 30 | ||
Interest expense and/or commitment fees | 11 | — (2) | — (2) | ||
Registration fees | 161 | 29 | 44 | ||
Trustees’ fees and expenses | 149 | — (2) | 4 | ||
Miscellaneous expenses | 143 | 4 | 12 | ||
Total expenses | 22,956 | 233 | 905 | ||
Less net expenses reimbursed and/or waived by investment adviser(3) | — | (108) | (50) | ||
Less low balance account fees | — | — | — (2) | ||
Net expenses | 22,956 | 125 | 855 | ||
Net investment income (loss) | 5,775 | 19 | 20 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 62,833 | 793 | 947 | ||
Foreign currency transactions | (478) | (7) | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 132,948 | 4,224 | (1,332) | ||
Foreign currency transactions | 19 | — (2) | — | ||
Net realized and unrealized gain (loss) on investments | 195,322 | 5,010 | (385) | ||
Net increase (decrease) in net assets resulting from operations | $201,097 | $5,029 | $ (365) |
(1) | Inception date October 1, 2019. |
(2) | Amount is less than $500. |
(3) | See Note 4D in the Notes to Financial Statements. |
Rampart Sector Trend Fund | Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | |||
Investment Income | |||||
Dividends | $ 2,775 | $ 3,900 | $ 58 | ||
Security lending, net of fees | — | — (1) | — (1) | ||
Foreign taxes withheld | — | (256) | (6) | ||
Total investment income | 2,775 | 3,644 | 52 | ||
Expenses | |||||
Investment advisory fees | 765 | 2,879 | 34 | ||
Distribution and service fees, Class A | 218 | 256 | 3 | ||
Distribution and service fees, Class C | 387 | 268 | 5 | ||
Administration and accounting fees | 185 | 361 | 12 | ||
Transfer agent fees and expenses | 83 | 163 | 2 | ||
Sub-transfer agent fees and expenses, Class A | 52 | 63 | 2 | ||
Sub-transfer agent fees and expenses, Class C | 29 | 20 | — (1) | ||
Sub-transfer agent fees and expenses, Class I | 37 | 125 | 3 | ||
Custodian fees | 10 | 6 | 2 | ||
Printing fees and expenses | 18 | 36 | 2 | ||
Professional fees | 34 | 51 | 29 | ||
Interest expense and/or commitment fees | 1 | 4 | — (1) | ||
Registration fees | 48 | 78 | 44 | ||
Trustees’ fees and expenses | 16 | 28 | — (1) | ||
Miscellaneous expenses | 46 | 66 | 4 | ||
Total expenses | 1,929 | 4,404 | 142 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | — | (299) | (86) | ||
Less low balance account fees | — (1) | (2) | — | ||
Net expenses | 1,929 | 4,103 | 56 | ||
Net investment income (loss) | 846 | (459) | (4) | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | (2,601) | 9,202 | 332 | ||
Foreign currency transactions | — | (87) | (1) | ||
Foreign capital gains tax | — | (21) | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (5,951) | 41,938 | (20) | ||
Foreign currency transactions | — | 16 | 3 | ||
Foreign capital gains tax | — | 259 | — | ||
Net realized and unrealized gain (loss) on investments | (8,552) | 51,307 | 314 | ||
Net increase (decrease) in net assets resulting from operations | $(7,706) | $50,848 | $310 |
(1) | Amount is less than $500. |
(2) | See Note 4D in Notes to Financial Statements. |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | ||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 1,327 | $ 1,588 | $ 3,813 | $ 3,661 | |||
Net realized gain (loss) | 702 | 3,244 | (1,907) | 6,956 | |||
Net change in unrealized appreciation (depreciation) | (13,005) | 11,187 | (33,434) | 22,130 | |||
Increase (decrease) in net assets resulting from operations | (10,976) | 16,019 | (31,528) | 32,747 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (1,696) | (1,763) | (1,296) | (245) | |||
Class C | (554) | (815) | (598) | (192) | |||
Class I | (2,070) | (1,856) | (15,782) | (4,838) | |||
Class R6 | (498) | (506) | (223) | (62) | |||
Total Dividends and Distributions to Shareholders | (4,818) | (4,940) | (17,899) | (5,337) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (3,035) | 1,297 | 875 | (554) | |||
Class C | (3,660) | (4,772) | (1,490) | (1,321) | |||
Class I | (8,104) | 15,215 | 3,586 | 37,767 | |||
Class R6 | 434 | (3,202) | 54,268 | (3,984) | |||
Increase (decrease) in net assets from capital transactions | (14,365) | 8,538 | 57,239 | 31,908 | |||
Net increase (decrease) in net assets | (30,159) | 19,617 | 7,812 | 59,318 | |||
Net Assets | |||||||
Beginning of period | 112,104 | 92,487 | 240,627 | 181,309 | |||
End of Period | $ 81,945 | $ 112,104 | $ 248,439 | $ 240,627 |
Duff & Phelps International Real Estate Securities Fund | Duff & Phelps Real Asset Fund | ||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 659 | $ 926 | $ 1,140 | $ 791 | |||
Net realized gain (loss) | (2,677) | 1,840 | 532 | 673 | |||
Net change in unrealized appreciation (depreciation) | (4,127) | 2,363 | (5,449) | (1,387) | |||
Increase (decrease) in net assets resulting from operations | (6,145) | 5,129 | (3,777) | 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 | 71 | 18 | (2,123) | 5,493 | |||
Class C | (74) | (261) | (1,345) | (7,376) | |||
Class I | (15,747) | 7,864 | (9,149) | 1,216 | |||
Increase (decrease) in net assets from capital transactions | (15,750) | 7,621 | (12,617) | (667) | |||
Net increase (decrease) in net assets | (26,215) | 11,032 | (17,714) | (1,480) | |||
Net Assets | |||||||
Beginning of period | 54,114 | 43,082 | 39,041 | 40,521 | |||
End of Period | $ 27,899 | $ 54,114 | $ 21,327 | $ 39,041 |
FORT Trend Fund | KAR Emerging Markets Small-Cap Fund | ||||||
Year Ended September 30, 2020(1) | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ (1,130) | $ (426) | $ 70 | $ 2,130 | |||
Net realized gain (loss) | 23,870 | 48,622 | 4,258 | (4,213) | |||
Net change in unrealized appreciation (depreciation) | (38,436) | (71,222) | 35,362 | 7,448 | |||
Increase (decrease) in net assets resulting from operations | (15,696) | (23,026) | 39,690 | 5,365 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | — | — | (540) | (30) | |||
Class C | — | — | (12) | — | |||
Class I | — | — | (2,019) | (172) | |||
Class R6 | — | — | (2) | — | |||
Total Dividends and Distributions to Shareholders | — | — | (2,573) | (202) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (1,537) | 3,272 | 6,476 | 21,148 | |||
Class C | (58,300) | (77,294) | 287 | 366 | |||
Class I | (29,428) | (31,631) | 64,066 | 53,589 | |||
Class R6 | 148 | — | 3 | 100 | |||
Increase (decrease) in net assets from capital transactions | (89,117) | (105,653) | 70,832 | 75,203 | |||
Net increase (decrease) in net assets | (104,813) | (128,679) | 107,949 | 80,366 | |||
Net Assets | |||||||
Beginning of period | 311,382 | 440,061 | 114,012 | 33,646 | |||
End of Period | $ 206,569 | $ 311,382 | $ 221,961 | $ 114,012 |
(1) | Consolidated Statement of Changes in Net Assets. |
KAR International Small-Cap Fund | KAR International Small-Mid Cap Fund | ||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020(1) | |||
Increase (Decrease) in Net Assets Resulting from Operations | |||||
Net investment income (loss) | $ 5,775 | $ 35,060 | $ 19 | ||
Net realized gain (loss) | 62,355 | (54,104) | 786 | ||
Net increase from payment by affiliate | — | 19 | — | ||
Net change in unrealized appreciation (depreciation) | 132,967 | 27,936 | 4,224 | ||
Increase (decrease) in net assets resulting from operations | 201,097 | 8,911 | 5,029 | ||
Dividends and Distributions to Shareholders | |||||
Net Investment Income and Net Realized Gains: | |||||
Class A | (1,433) | (477) | — | ||
Class C | (432) | (225) | — | ||
Class I | (33,317) | (10,947) | — | ||
Class R6 | (943) | (400) | — | ||
Total Dividends and Distributions to Shareholders | (36,125) | (12,049) | — | ||
Change in Net Assets from Capital Transactions (See Note 5): | |||||
Class A | (4,023) | 23,261 | 136 | ||
Class C | (7,229) | 1,790 | 135 | ||
Class I | 194,887 | 598,708 | 15,532 | ||
Class R6 | 22,080 | (28,632) | 2,706 | ||
Increase (decrease) in net assets from capital transactions | 205,715 | 595,127 | 18,509 | ||
Net increase (decrease) in net assets | 370,687 | 591,989 | 23,538 | ||
Net Assets | |||||
Beginning of period | 1,521,586 | 929,597 | — | ||
End of Period | $ 1,892,273 | $ 1,521,586 | $ 23,538 |
(1) | Inception date October 1, 2019. |
Rampart Multi-Asset Trend Fund | Rampart Sector Trend Fund | ||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 20 | $ 44 | $ 846 | $ 2,269 | |||
Net realized gain (loss) | 947 | 2,697 | (2,601) | 14,546 | |||
Net change in unrealized appreciation (depreciation) | (1,332) | (2,016) | (5,951) | (19,111) | |||
Increase (decrease) in net assets resulting from operations | (365) | 725 | (7,706) | (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 | (643) | (2,564) | (15,057) | 2,723 | |||
Class C | (9,404) | (11,924) | (23,356) | (33,744) | |||
Class I | (2,320) | (5,959) | (26,993) | (5,247) | |||
Increase (decrease) in net assets from capital transactions | (12,367) | (20,447) | (65,406) | (36,268) | |||
Net increase (decrease) in net assets | (12,960) | (19,858) | (75,152) | (40,264) | |||
Net Assets | |||||||
Beginning of period | 49,802 | 69,660 | 203,503 | 243,767 | |||
End of Period | $ 36,842 | $ 49,802 | $ 128,351 | $ 203,503 |
Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ (459) | $ 581 | $ (4) | $ 34 | |||
Net realized gain (loss) | 9,094 | 5,335 | 331 | 520 | |||
Net change in unrealized appreciation (depreciation) | 42,213 | 19,056 | (17) | (689) | |||
Increase (decrease) in net assets resulting from operations | 50,848 | 24,972 | 310 | (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 | (1,928) | (3,343) | 198 | (1,107) | |||
Class C | (5,447) | (2,189) | (126) | (800) | |||
Class I | 13,655 | 42,310 | 367 | 225 | |||
Class R6 | 12,855 | 60,096 | — | — | |||
Increase (decrease) in net assets from capital transactions | 19,135 | 96,874 | 439 | (1,682) | |||
Net increase (decrease) in net assets | 62,630 | 100,543 | 241 | (3,499) | |||
Net Assets | |||||||
Beginning of period | 318,142 | 217,599 | 4,237 | 7,736 | |||
End of Period | $ 380,772 | $ 318,142 | $ 4,478 | $ 4,237 |
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 | 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 | ||
Duff & Phelps Global Infrastructure Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 9/30/20 | $16.26 | 0.20 | — | (1.17) | (0.97) | (0.23) | (0.52) | (0.75) | — | (1.72) | $14.54 | (6.11) % | $ 30,172 | 1.27 % | 1.27 % | 1.35 % | 31 % | |
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 (6) | 37,401 | 1.29 (6) | 1.30 | 2.04 (6) | 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 (7) | 1.34 | 2.16 | 17 | |
Class C | ||||||||||||||||||
10/1/19 to 9/30/20 | $16.20 | 0.09 | — | (1.16) | (1.07) | (0.11) | (0.52) | (0.63) | — | (1.70) | $14.50 | (6.83) % | $ 9,833 | 2.03 % | 2.03 % | 0.59 % | 31 % | |
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 (6) | 25,144 | 2.04 (6) | 2.05 | 1.30 (6) | 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 (7) | 2.08 | 1.42 | 17 | |
Class I | ||||||||||||||||||
10/1/19 to 9/30/20 | $16.27 | 0.24 | — | (1.19) | (0.95) | (0.26) | (0.52) | (0.78) | — | (1.73) | $14.54 | (5.94) % | $ 33,326 | 1.04 % | 1.04 % | 1.61 % | 31 % | |
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 (6) | 56,361 | 1.04 (6) | 1.04 | 2.29 (6) | 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 (7) | 1.08 | 2.37 | 17 | |
Class R6 | ||||||||||||||||||
10/1/19 to 9/30/20 | $16.27 | 0.26 | — | (1.18) | (0.92) | (0.28) | (0.52) | (0.80) | — | (1.72) | $14.55 | (5.75) % | $ 8,614 | 0.85 % | 0.94 % | 1.74 % | 31 % | |
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 (8) | 0.93 | 2.02 | 30 | |
1/30/18 (9) 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 (10) | |
Duff & Phelps Global Real Estate Securities Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 9/30/20 | $34.82 | 0.41 | — | (3.66) | (3.25) | (1.29) | (0.78) | (2.07) | — | (5.32) | $29.50 | (10.01) % | $ 18,740 | 1.40 % | 2.59 % | 1.34 % | 32 % | |
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 (7) | 1.54 | 1.45 | 22 | |
Class C | ||||||||||||||||||
10/1/19 to 9/30/20 | $33.42 | 0.16 | — | (3.47) | (3.31) | (1.40) | (0.78) | (2.18) | — | (5.49) | $27.93 | (10.67) % | $ 6,297 | 2.15 % | 2.19 % | 0.53 % | 32 % | |
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 (7) | 2.29 | 0.73 | 22 |
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 | 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 | ||
Duff & Phelps Global Real Estate Securities Fund (Continued) | ||||||||||||||||||
Class I | ||||||||||||||||||
10/1/19 to 9/30/20 | $34.33 | 0.47 | — | (3.54) | (3.07) | (1.75) | (0.78) | (2.53) | — | (5.60) | $28.73 | (9.79) % | $ 168,410 | 1.15 % | 1.20 % | 1.55 % | 32 % | |
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 (7) | 1.29 | 1.79 | 22 | |
Class R6 | ||||||||||||||||||
10/1/19 to 9/30/20 | $34.41 | 0.65 | — | (3.64) | (2.99) | (1.78) | (0.78) | (2.56) | — | (5.55) | $28.86 | (9.52) % | $ 54,992 | 0.89 % | 1.09 % | 2.29 % | 32 % | |
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 (8) | 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 (8) | 1.09 | 2.92 | 41 | |
11/3/16 (9) 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 (10) | |
Duff & Phelps International Real Estate Securities Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 9/30/20 | $ 7.96 | 0.09 | — | (0.63) | (0.54) | (0.63) | — | (0.63) | — | (1.17) | $ 6.79 | (7.72) % | $ 1,843 | 1.50 % | 1.75 % | 1.32 % | 34 % | |
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 (7) | 1.91 | 1.60 | 26 | |
Class C | ||||||||||||||||||
10/1/19 to 9/30/20 | $ 7.92 | 0.04 | — | (0.63) | (0.59) | (0.60) | — | (0.60) | — | (1.19) | $ 6.73 | (8.37) % | $ 526 | 2.25 % | 2.50 % | 0.61 % | 34 % | |
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 (7) | 2.68 | 0.97 | 26 | |
Class I | ||||||||||||||||||
10/1/19 to 9/30/20 | $ 7.93 | 0.11 | — | (0.62) | (0.51) | (0.64) | — | (0.64) | — | (1.15) | $ 6.78 | (7.37) % | $ 25,530 | 1.25 % | 1.49 % | 1.50 % | 34 % | |
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 (7) | 1.68 | 1.98 | 26 |
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 | 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 | ||
Duff & Phelps Real Asset Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 9/30/20 | $11.38 | 0.27 | 0.26 | (1.46) | (0.93) | (0.35) | — | (0.35) | — | (1.28) | $10.10 | (8.50) % | $ 11,964 | 1.05 % (7) | 1.05 % | 2.57 % | 75 % | |
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 (7) | 0.74 | 0.80 | 56 | |
Class C | ||||||||||||||||||
10/1/19 to 9/30/20 | $11.32 | 0.31 | 0.26 | (1.60) | (1.03) | (0.10) | — | (0.10) | — | (1.13) | $10.19 | (9.17) % | $ 604 | 1.74 % (7) | 1.74 % | 2.85 % | 75 % | |
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 | — (11) | 0.31 | 0.56 | 0.87 | (0.04) | — | (0.04) | — | 0.83 | 10.73 | 8.86 | 19,611 | 1.49 (7) | 1.49 | 0.04 | 56 | |
Class I | ||||||||||||||||||
10/1/19 to 9/30/20 | $11.35 | 0.48 | 0.26 | (1.64) | (0.90) | (0.38) | — | (0.38) | — | (1.28) | $10.07 | (8.32) % | $ 8,759 | 0.72 % (7) | 0.72 % | 4.52 % | 75 % | |
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 (7) | 0.49 | 1.04 | 56 | |
FORT Trend Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 9/30/20(12) | $15.16 | (0.04) | — | (0.57) | (0.61) | — | — | — | — | (0.61) | $14.55 | (4.02) % | $ 104,017 | 1.59 % (13) | 1.59 % | (0.25) % | 198 % | |
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 (8) | 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 (7)(8) | 1.58 | (0.05) | 229 | |
Class C | ||||||||||||||||||
10/1/19 to 9/30/20(12) | $14.41 | (0.13) | — | (0.55) | (0.68) | — | — | — | — | (0.68) | $13.73 | (4.72) % | $ 61,735 | 2.34 % (13) | 2.34 % | (0.96) % | 198 % | |
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 (8) | 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 (7)(8) | 2.33 | (0.69) | 229 | |
Class I | ||||||||||||||||||
10/1/19 to 9/30/20(12) | $15.37 | 0.01 | — | (0.59) | (0.58) | — | — | — | — | (0.58) | $14.79 | (3.77) % | $ 40,098 | 1.33 % (13) | 1.33 % | 0.05 % | 198 % | |
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 (8) | 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 (7)(8) | 1.33 | 0.16 | 229 |
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 | 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 | ||
FORT Trend Fund (Continued) | ||||||||||||||||||
Class R6 | ||||||||||||||||||
10/1/19 to 9/30/20(12) | $15.47 | 0.01 | — | (0.58) | (0.57) | — | — | — | — | (0.57) | $14.90 | (3.68) % | $ 719 | 1.24 % (13) | 1.24 % | 0.09 % | 198 % | |
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 (8) | 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 (7)(8) | 1.25 | 0.49 | 229 | |
KAR Emerging Markets Small-Cap Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 9/30/20 | $12.10 | (0.02) | — | 3.08 | 3.06 | (0.23) | — | (0.23) | — | 2.83 | $14.93 | 25.70 % | $ 39,799 | 1.85 % | 1.90 % | (0.17) % | 47 % | |
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 (7) | 3.77 | 2.18 | 34 | |
Class C | ||||||||||||||||||
10/1/19 to 9/30/20 | $12.03 | (0.11) | — | 3.05 | 2.94 | (0.17) | — | (0.17) | — | 2.77 | $14.80 | 24.75 % | $ 1,208 | 2.60 % | 2.61 % | (0.87) % | 47 % | |
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 (7) | 4.51 | 1.39 | 34 | |
Class I | ||||||||||||||||||
10/1/19 to 9/30/20 | $12.16 | 0.01 | — | 3.10 | 3.11 | (0.26) | — | (0.26) | — | 2.85 | $15.01 | 26.01 % | $ 180,829 | 1.60 % | 1.62 % | 0.11 % | 47 % | |
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 (7) | 3.53 | 2.44 | 34 | |
Class R6 | ||||||||||||||||||
10/1/19 to 9/30/20 | $12.16 | 0.02 | — | 3.10 | 3.12 | (0.27) | — | (0.27) | — | 2.85 | $15.01 | 26.13 % | $ 125 | 1.50 % | 1.51 % | 0.17 % | 47 % | |
8/1/19 (9) to 9/30/19 | 12.36 | 0.03 | — | (0.23) | (0.20) | — | — | — | — | (0.20) | 12.16 | (1.62) | 98 | 1.51 (7) | 1.62 | 1.44 | 44 (10) | |
KAR International Small-Cap Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 9/30/20 | $16.95 | 0.02 | — | 2.51 | 2.53 | (0.33) | — | (0.33) | — | 2.20 | $19.15 | 14.98 % | $ 78,101 | 1.56 % (13) | 1.56 % | 0.13 % | 48 % | |
10/1/18 to 9/30/19 | 17.15 | 0.44 | — | (0.47) | (0.03) | (0.06) | (0.11) | (0.17) | — (11) | (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 (7) | 1.87 | 1.80 | 40 |
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 | 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 | ||
KAR International Small-Cap Fund (Continued) | ||||||||||||||||||
Class C | ||||||||||||||||||
10/1/19 to 9/30/20 | $16.64 | (0.11) | — | 2.45 | 2.34 | (0.20) | — | (0.20) | — | 2.14 | $18.78 | 14.07 % | $ 33,524 | 2.27 % (13) | 2.27 % | (0.65) % | 48 % | |
10/1/18 to 9/30/19 | 16.89 | 0.32 | — | (0.46) | (0.14) | — | (0.11) | (0.11) | — (11) | (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 (7) | 2.63 | 1.02 | 40 | |
Class I | ||||||||||||||||||
10/1/19 to 9/30/20 | $17.03 | 0.06 | — | 2.53 | 2.59 | (0.37) | — | (0.37) | — | 2.22 | $19.25 | 15.28 % | $1,705,562 | 1.28 % (13) | 1.28 % | 0.35 % | 48 % | |
10/1/18 to 9/30/19 | 17.24 | 0.50 | — | (0.49) | 0.01 | (0.11) | (0.11) | (0.22) | — (11) | (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 (7) | 1.62 | 1.95 | 40 | |
Class R6 | ||||||||||||||||||
10/1/19 to 9/30/20 | $17.05 | 0.11 | — | 2.50 | 2.61 | (0.39) | — | (0.39) | — | 2.22 | $19.27 | 15.35 % | $ 75,086 | 1.18 % (13) | 1.18 % | 0.65 % | 48 % | |
10/1/18 to 9/30/19 | 17.26 | 0.43 | — | (0.41) | 0.02 | (0.12) | (0.11) | (0.23) | — (11) | (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 (7) | 1.52 | 2.19 | 40 | |
KAR International Small-Mid Cap Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 (9) to 9/30/20 | $10.00 | (0.02) | — | 2.95 | 2.93 | — | — | — | — | 2.93 | $12.93 | 29.30 % | $ 161 | 1.45 % | 2.40 % | (0.22) % | 58 % (10) | |
Class C | ||||||||||||||||||
10/1/19 (9) to 9/30/20 | $10.00 | (0.11) | — | 2.94 | 2.83 | — | — | — | — | 2.83 | $12.83 | 28.30 % | $ 168 | 2.20 % | 3.15 % | (0.96) % | 58 % (10) | |
Class I | ||||||||||||||||||
10/1/19 (9) to 9/30/20 | $10.00 | 0.02 | — | 2.94 | 2.96 | — | — | — | — | 2.96 | $12.96 | 29.60 % | $ 19,699 | 1.20 % | 2.24 % | 0.22 % | 58 % (10) | |
Class R6 | ||||||||||||||||||
10/1/19 (9) to 9/30/20 | $10.00 | 0.02 | — | 2.95 | 2.97 | — | — | — | — | 2.97 | $12.97 | 29.70 % | $ 3,510 | 1.10 % | 2.11 % | 0.14 % | 58 % (10) | |
Rampart Multi-Asset Trend Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 9/30/20 | $11.50 | 0.04 | — | (0.07) | (0.03) | (0.08) | — | (0.08) | — | (0.11) | $11.39 | (0.30) % | $ 11,708 | 1.64 % (7)(8) | 1.75 % | 0.38 % | 231 % | |
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 (7)(13) | 1.61 | (0.07) | 223 |
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 | 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 | ||
Rampart Multi-Asset Trend Fund (Continued) | ||||||||||||||||||
Class C | ||||||||||||||||||
10/1/19 to 9/30/20 | $11.05 | (0.04) | — | (0.07) | (0.11) | (0.03) | — | (0.03) | — | (0.14) | $10.91 | (1.00) % | $ 18,190 | 2.39 % (7)(8) | 2.49 % | (0.34) % | 231 % | |
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 (7)(13) | 2.36 | (0.80) | 223 | |
Class I | ||||||||||||||||||
10/1/19 to 9/30/20 | $11.57 | 0.08 | — | (0.08) | — | (0.09) | — | (0.09) | — | (0.09) | $11.48 | (0.02) % | $ 6,944 | 1.39 % (7)(8) | 1.53 % | 0.66 % | 231 % | |
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 (7)(13) | 1.36 | 0.16 | 223 | |
Rampart Sector Trend Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 9/30/20 | $13.67 | 0.08 | — | (0.41) | (0.33) | (0.17) | — | (0.17) | — | (0.50) | $13.17 | (2.53) % | $ 78,863 | 1.02 % (7) | 1.02 % | 0.60 % | 213 % | |
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 (6) | 99,321 | 1.03 (6) | 1.03 | 0.98 (6) | 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 (7) | 1.05 | 1.00 | 337 | |
Class C | ||||||||||||||||||
10/1/19 to 9/30/20 | $13.42 | (0.02) | — | (0.42) | (0.44) | (0.03) | — | (0.03) | — | (0.47) | $12.95 | (3.29) % | $ 25,905 | 1.78 % (7) | 1.78 % | (0.14) % | 213 % | |
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 | — (11) | — | 1.53 | 1.53 | — (11) | — | — | — | 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 (6) | 105,603 | 1.78 (6) | 1.78 | 0.22 (6) | 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 (7) | 1.80 | 0.24 | 337 | |
Class I | ||||||||||||||||||
10/1/19 to 9/30/20 | $13.65 | 0.11 | — | (0.41) | (0.30) | (0.20) | — | (0.20) | — | (0.50) | $13.15 | (2.33) % | $ 23,583 | 0.79 % (7) | 0.79 % | 0.84 % | 213 % | |
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 (6) | 72,187 | 0.78 (6) | 0.78 | 1.22 (6) | 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 (7) | 0.80 | 1.21 | 337 |
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 | 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 | ||
Vontobel Global Opportunities Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 9/30/20 | $16.37 | (0.05) | — | 2.65 | 2.60 | — | (0.34) | (0.34) | — | 2.26 | $18.63 | 16.03 % | $ 111,264 | 1.36 % | 1.41 % | (0.28) % | 48 % | |
10/1/18 to 9/30/19 | 17.02 | 0.02 | — | 0.97 | 0.99 | — (11) | (1.64) | (1.64) | — | (0.65) | 16.37 | 7.62 | 99,951 | 1.37 (8) | 1.40 | 0.11 | 35 | |
10/1/17 to 9/30/18 | 16.22 | 0.02 | — | 1.68 | 1.70 | — (11) | (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 (6) | 113,151 | 1.45 (6) | 1.46 | 0.05 (6) | 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 (7) | 1.48 | 0.37 | 29 | |
Class C | ||||||||||||||||||
10/1/19 to 9/30/20 | $13.58 | (0.14) | — | 2.18 | 2.04 | — | (0.34) | (0.34) | — | 1.70 | $15.28 | 15.19 % | $ 25,626 | 2.11 % | 2.13 % | (1.03) % | 48 % | |
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 (8) | 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 (6) | 30,065 | 2.21 (6) | 2.22 | (0.68) (6) | 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 (7) | 2.24 | (0.34) | 29 | |
Class I | ||||||||||||||||||
10/1/19 to 9/30/20 | $16.39 | — (11) | — | 2.66 | 2.66 | (0.04) | (0.34) | (0.38) | — | 2.28 | $18.67 | 16.41 % | $ 153,902 | 1.09 % | 1.17 % | (0.02) % | 48 % | |
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 (8) | 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 (6) | 76,222 | 1.20 (6) | 1.21 | 0.38 (6) | 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 (7) | 1.23 | 0.64 | 29 | |
Class R6 | ||||||||||||||||||
10/1/19 to 9/30/20 | $16.42 | 0.03 | — | 2.66 | 2.69 | (0.05) | (0.34) | (0.39) | — | 2.30 | $18.72 | 16.59 % | $ 89,980 | 0.90 % | 1.08 % | 0.18 % | 48 % | |
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 (8) | 1.08 | 0.80 | 35 | |
1/30/18 (9) 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 (10) | |
Vontobel Greater European Opportunities Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/19 to 9/30/20 | $11.55 | (0.02) | — | 1.09 | 1.07 | (0.06) | (1.32) | (1.38) | — | (0.31) | $11.24 | 9.82 % | $ 1,486 | 1.45 % | 3.58 % | (0.19) % | 51 % | |
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 (7) | 1.82 | 1.06 | 49 | |
Class C | ||||||||||||||||||
10/1/19 to 9/30/20 | $11.21 | (0.09) | — | 1.05 | 0.96 | — | (1.32) | (1.32) | — | (0.36) | $10.85 | 9.01 % | $ 430 | 2.20 % | 4.31 % | (0.91) % | 51 % | |
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 (7) | 2.58 | 0.26 | 49 |
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 | 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 | ||
Vontobel Greater European Opportunities Fund (Continued) | ||||||||||||||||||
Class I | ||||||||||||||||||
10/1/19 to 9/30/20 | $11.55 | 0.01 | — | 1.09 | 1.10 | (0.10) | (1.32) | (1.42) | — | (0.32) | $11.23 | 10.06 % | $ 2,562 | 1.20 % | 3.31 % | 0.12 % | 51 % | |
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 (7) | 1.56 | 1.57 | 49 |
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) | 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) |
(7) | Net expense ratio includes extraordinary proxy expenses. |
(8) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(9) | Inception date. |
(10) | Portfolio turnover is representative of the Fund for the entire period. |
(11) | Amount is less than $0.005 per share. |
(12) | Consolidated Financial Highlights. |
(13) | The share class is currently under its expense limitation. |
(14) | Payment from affiliate had no impact on total return. |
A. | Basis of Consolidation |
The accompanying consolidated financial statements of FORT Trend Fund include the account of VATS Offshore Fund, Ltd. (the “Subsidiary”), which is a wholly-owned subsidiary of FORT Trend Fund and is organized as a company under the laws of the Cayman Islands and primarily invests in commodity-related instruments. The Subsidiary is not registered under the 1940 Act. The Subsidiary enables FORT Trend Fund to hold these commodity-related instruments and satisfy regulated investment company tax requirements. FORT Trend Fund may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at September 30, 2020 were $22,819 and 11% of FORT Trend Fund’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Subsidiary is subject to the same investment policies and restrictions that apply to FORT Trend Fund, except that the Subsidiary may invest without limitation in commodity-related instruments. |
B. | 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). |
C. | 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. | |
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. | |
D. | 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. The Subsidiary is classified as a controlled foreign corporation under Subchapter M of the Internal Revenue Code. Therefore, the FORT Trend Fund is required to increase its taxable income by its share of the Subsidiary’s income. Net investment losses of the Subsidiary cannot be deducted by the FORT Trend Fund in the current period nor carried forward to offset taxable income in future periods. |
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 September 30, 2020, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2017 forward (with limited exceptions). | |
E. | 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. | |
F. | 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. | |
G. | 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. | |
H. | 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. | Futures Contracts |
A futures contract is an agreement between two parties to purchase (long) or sell (short) a security at a set price for delivery on a future date. Upon entering into a futures contract, a Fund is required to pledge to the broker an amount of cash and/or securities equal to the “initial margin” requirements of the futures exchange on which the contract is traded. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by a Fund for financial statement purposes on a daily basis as unrealized appreciation or depreciation. When the contract expires or is closed, gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed is realized. This is presented in the Statement of Operations as net realized gain (loss) from future contracts. | |
During the fiscal period, FORT Trend Fund utilized futures to optimize performance by gaining exposure to broad markets or to hedge the risk of securities within the portfolios. The potential risks of doing so are that 1) the use of futures may result in larger losses or smaller gains than the use of more traditional investments, 2) the prices of futures and the price movements of the securities that the future is intended to simulate may not correlate well, 3) the Fund’s success in using futures will be dependent upon the subadviser’s ability to correctly predict such price movements, 4) liquidity of futures can be adversely affected by market factors, and the prices of such securities may move in unexpected ways, and 5) if the Fund cannot close out a futures position, it may be compelled to continue to make daily cash payments to the broker to meet margin requirements, thus increasing transaction costs. Futures contracts outstanding at period end are listed after the Fund’s Consolidated Schedule of Investments. |
The following is a summary of derivative instruments categorized by primary risk exposure as of September 30, 2020: |
Fair Values of Derivative Financial Instruments as of September 30, 2020 | ||
Derivative Assets | ||
FORT Trend Fund | ||
Primary Risk | Statement of Assets and Liabilities Location | Value |
Interest rate contracts | Unrealized appreciation on futures contracts(1) | $225 |
Foreign currency exchange contracts | Unrealized appreciation on futures contracts(1) | — |
Equity contracts | Unrealized appreciation on futures contracts(1) | 286 |
Commodity contracts | Unrealized appreciation on futures contracts(1) | 159 |
Total | $670 |
Fair Value of Derivative Financial Instruments as of September 30, 2020 | ||
Derivative Liabilities | ||
FORT Trend Fund | ||
Primary Risk | Statement of Assets and Liabilities Location | Value |
Interest rate contracts | Unrealized depreciation on futures contracts(1) | $(428) |
Foreign currency exchange contracts | Unrealized depreciation on futures contracts(1) | (39) |
Equity contracts | Unrealized depreciation on futures contracts(1) | (165) |
Commodity contracts | Unrealized appreciation on futures contracts(1) | (361) |
Total | $(993) |
The Effect of Derivative Financial Instruments in the Statements of Operations for the Period Ended September 30, 2020 | |||
Net Realized Gain (Loss) From | |||
FORT Trend Fund | |||
Interest rate contracts: | |||
Futures contracts(1) | $ 53 | ||
Foreign currency exchange contracts: | |||
Futures contracts(1) | (482) | ||
Equity contracts: | |||
Futures contracts(1) | (2,026) | ||
Commodity contracts: | |||
Futures contracts(1) | (307) | ||
Total | $(2,762) |
(1) Included in net realized gain (loss) from futures within the Consolidated Statement of Operations. |
The Effect of Derivative Financial Instruments in the Statements of Operations for the Period Ended September 30, 2020 | |||
Net Change in Unrealized Appreciation/(Depreciation) on | |||
FORT Trend Fund | |||
Interest rate contracts: | |||
Futures contracts(1) | $(203) | ||
Foreign currency exchange contracts: | |||
Futures contracts(1) | (39) | ||
Equity contracts: | |||
Futures contracts(1) | 121 | ||
Commodity contracts: | |||
Futures contracts(1) | (202) | ||
Total | $(323) |
(1) Included in net change in unrealized appreciation (depreciation) from futures within the Consolidated Statement of Operations. |
FORT Trend Fund | |
Futures Contracts - Long Positions(1) | $(949) |
Futures Contracts - Short Positions(1) | 177 |
(1) Average unrealized for the period. |
B. | Derivative Risks |
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract. | |
With exchange traded futures, generally speaking, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund. | |
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, each Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. | |
C. | Collateral Requirements and Master Netting Agreements (“MNA”) |
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. |
Cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Typically, the Funds and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. | |
The following tables present the Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under a MNA and net of the related collateral received/pledged by the Funds as of September 30, 2020: |
At September 30, 2020, the Funds’ derivative assets and liabilities (by type) are as follows: | |||||
FORT Trend Fund | |||||
Assets | Liabilities | ||||
Derivative Financial Instruments: | |||||
Futures contracts | $— | $ 852 | |||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $— | $ 852 | |||
Derivatives not subject to a MNA or similar agreement | — | (852) | |||
Total assets and liabilities subject to a MNA | $— | $ — |
A. | Investment Adviser |
Virtus Investment Advisers, Inc. is the investment adviser to the Funds, with the exception of the FORT Trend Fund, which since September 1, 2020, has been advised by Virtus Alternative Investment Advisers, Inc. (each an “Adviser” and collectively, the “Advisers”). Prior to September 1, 2020, the FORT Trend Fund was advised by Virtus Investment Advisers, Inc. Each Adviser is an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”). Each Adviser manages the applicable Funds’ investment programs and general operations of the Funds, including oversight of the Funds’ subadvisers. | |
As compensation for its services to the Funds, the applicable 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 % |
First $1 Billion | $1+ Billion | ||
FORT Trend Fund | 1.00 % | 0.95 % | |
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 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 |
First $1 Billion | $1+ Billion through $2 Billion | $2+ Billion | |||
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 applicable 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) | |
FORT Trend Fund | FORT (3) | |
KAR Emerging Markets Small-Cap Fund | KAR (4) | |
KAR International Small-Cap Fund | KAR (4) | |
KAR International Small-Mid Cap Fund | KAR (4) | |
Rampart Multi-Asset Trend Fund | Rampart (5) | |
Rampart Sector Trend Fund | Rampart (5) | |
Vontobel Global Opportunities Fund | Vontobel (6) | |
Vontobel Greater European Opportunities Fund | Vontobel (6) |
(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) | Effective September 1, 2020, FORT Investment Management LP (“FORT”) is the subadviser to the Fund. Prior to September 1, 2020, Rampart was the subadviser to the Fund. |
(4) | Kayne Anderson Rudnick Investment Management, LLC (“KAR”), an indirect, wholly-owned subsidiary of Virtus. |
(5) | Rampart. |
(6) | Vontobel Asset Management, Inc. (“Vontobel”). |
C. | Expense Limitations |
Each 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 | ||||
FORT Trend Fund‡, * | 1.60 | 2.35 | 1.35 | 1.26 | ||||
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 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 through January 31, 2022. |
** | 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%. |
*** | Through March 31, 2021. |
D. | Expense Recapture |
Under certain conditions, each 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 | 2021 | 2022 | 2023 | Total | ||||
Duff & Phelps Global Infrastructure Fund | ||||||||
Class R6 | $ — | $ 2 | $ 9 | $ 11 | ||||
Duff & Phelps Global Real Estate Securities Fund | ||||||||
Class A | 235 | 226 | 251 | 712 | ||||
Class C | 7 | 5 | 3 | 15 | ||||
Class I | 66 | 71 | 86 | 223 | ||||
Class R6 | 7 | 4 | 46 | 57 | ||||
Duff & Phelps International Real Estate Securities Fund | ||||||||
Class A | 9 | 4 | 5 | 18 | ||||
Class C | 4 | 2 | 2 | 8 | ||||
Class I | 93 | 81 | 100 | 274 | ||||
KAR Emerging Markets Small-Cap Fund | ||||||||
Class A | 8 | 12 | 15 | 35 | ||||
Class C | 1 | — (1) | — (1) | 1 | ||||
Class I | 53 | 40 | 27 | 120 | ||||
Class R6 | — | — (1) | — (1) | — (1) | ||||
KAR International Small-Mid Cap Fund | ||||||||
Class A | — | — | 1 | 1 | ||||
Class C | — | — | 1 | 1 | ||||
Class I | — | — | 76 | 76 | ||||
Class R6 | — | — | 30 | 30 | ||||
Rampart Multi-Asset Trend Fund | ||||||||
Class A | — | — | 14 | 14 | ||||
Class C | — | — | 25 | 25 | ||||
Class I | — | — | 11 | 11 | ||||
Vontobel Global Opportunities Fund | ||||||||
Class A | — | 34 | 52 | 86 | ||||
Class C | — | 13 | 4 | 17 | ||||
Class I | — | 66 | 109 | 175 | ||||
Class R6 | — | 55 | 134 | 189 | ||||
Vontobel Greater European Opportunities Fund | ||||||||
Class A | 30 | 34 | 29 | 93 | ||||
Class C | 15 | 14 | 10 | 39 | ||||
Class I | 30 | 35 | 47 | 112 |
(1) | Amount is less than $500. |
Fund | Class A | Class C | Class I | Class R6 | Total | |||||
KAR Emerging Markets Small-Cap Fund | $ 1 | $ — (1) | $ 8 | $ — (1) | $ 9 | |||||
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 September 30, 2020, it retained net commissions of $63 of Class A shares and CDSC of $11 and $13 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. |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC (“Administrator”), an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Funds. | |
For the period ended September 30, 2020, the Funds incurred administration fees totaling $2,995 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 September 30, 2020, the Funds incurred transfer agent fees totaling $1,343 which are included in the Statements of Operations within the line item “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. |
G. | Investments in Affiliates |
($ reported in thousands) | |
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 September 30, 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—70.4%(3) | |||||||||||||||||
Virtus Duff & Phelps Global Infrastructure Fund Class R6 | $ 6,476 | $ 2,985 | $ 3,030 | $ (179) | $ (768) | $ 5,484 | 376,901 | $126 | $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 | — | 6,297 | 1,725 | (293) | 1,185 | 5,464 | 189,347 | — | — | ||||||||
Virtus Duff & Phelps International Real Estate Securities Fund Class I | 3,930 | 675 | 3,859 | 1,037 | (1,783) | — | — | 345 | — | ||||||||
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 | — | 2,875 | 400 | (201) | (601) | 1,673 | 324,781 | 41 | — | ||||||||
Virtus Newfleet Senior Floating Rate Fund Class I | 3,447 | 353 | 3,501 | 2 | (301) | — | — | 72 | — | ||||||||
Virtus Newfleet Senior Floating Rate Fund Class R6 | — | 4,808 | 2,275 | (229) | 88 | 2,392 | 279,100 | 76 | — | ||||||||
Total | $20,374 | $19,265 | $20,556 | $ 760 | $(4,830) | $15,013 | $875 | $775 |
H. | Payment from Affiliate |
The KAR International Small Cap Fund was reimbursed by the Administrator for costs incurred due to a valuation error during the period ended September 30, 2020. | |
I. | 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 September 30, 2020. |
Purchases | Sales | ||
Duff & Phelps Global Infrastructure Fund | $ 29,511 | $ 45,518 | |
Duff & Phelps Global Real Estate Securities Fund | 123,443 | 75,977 | |
Duff & Phelps International Real Estate Securities Fund | 14,512 | 32,298 | |
Duff & Phelps Real Asset Fund | 22,960 | 34,609 | |
FORT Trend Fund | 397,618 | 667,213 | |
KAR Emerging Markets Small-Cap Fund | 135,262 | 66,307 | |
KAR International Small-Cap Fund | 985,482 | 781,024 | |
KAR International Small-Mid Cap Fund | 22,198 | 5,538 | |
Rampart Multi-Asset Trend Fund | 87,882 | 101,331 | |
Rampart Sector Trend Fund | 312,576 | 382,594 | |
Vontobel Global Opportunities Fund | 177,890 | 159,064 | |
Vontobel Greater European Opportunities Fund | 1,976 | 2,076 |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | ||||||||||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 230 | $ 3,466 | 494 | $ 7,590 | 390 | $ 11,764 | 295 | $ 9,202 | |||||||
Reinvestment of distributions | 107 | 1,629 | 121 | 1,699 | 30 | 999 | 6 | 180 | |||||||
Shares repurchased and cross class conversions | (570) | (8,130) | (554) | (7,992) | (405) | (11,888) | (323) | (9,936) | |||||||
Net Increase / (Decrease) | (233) | $ (3,035) | 61 | $ 1,297 | 15 | $ 875 | (22) | $ (554) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 44 | $ 682 | 77 | $ 1,149 | 25 | $ 769 | 28 | $ 867 | |||||||
Reinvestment of distributions | 33 | 513 | 55 | 760 | 19 | 591 | 7 | 189 | |||||||
Shares repurchased and cross class conversions | (328) | (4,855) | (452) | (6,681) | (100) | (2,850) | (79) | (2,377) | |||||||
Net Increase / (Decrease) | (251) | $ (3,660) | (320) | $ (4,772) | (56) | $ (1,490) | (44) | $ (1,321) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 1,210 | $ 18,995 | 1,517 | $ 23,388 | 2,891 | $ 88,567 | 2,559 | $ 79,502 | |||||||
Reinvestment of distributions | 134 | 2,031 | 127 | 1,809 | 477 | 15,409 | 168 | 4,704 | |||||||
Shares repurchased and cross class conversions | (2,132) | (29,130) | (674) | (9,982) | (3,528) | (100,390) | (1,507) | (46,439) | |||||||
Net Increase / (Decrease) | (788) | $ (8,104) | 970 | $ 15,215 | (160) | $ 3,586 | 1,220 | $ 37,767 |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | ||||||||||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 213 | $ 3,301 | 56 | $ 822 | 1,926 | $ 57,252 | 86 | $ 2,587 | |||||||
Reinvestment of distributions | 33 | 492 | 35 | 500 | 5 | 161 | 2 | 45 | |||||||
Shares repurchased and cross class conversions | (234) | (3,359) | (311) | (4,524) | (109) | (3,145) | (221) | (6,616) | |||||||
Net Increase / (Decrease) | 12 | $ 434 | (220) | $ (3,202) | 1,822 | $ 54,268 | (133) | $ (3,984) |
Duff & Phelps International Real Estate Securities Fund | Duff & Phelps Real Asset Fund | ||||||||||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 169 | $ 1,235 | 58 | $ 434 | 155 | $ 1,633 | 700 | $ 7,659 | |||||||
Reinvestment of distributions | 24 | 185 | 10 | 67 | 38 | 438 | 18 | 184 | |||||||
Shares repurchased and cross class conversions | (213) | (1,349) | (66) | (483) | (405) | (4,194) | (211) | (2,350) | |||||||
Net Increase / (Decrease) | (20) | $ 71 | 2 | $ 18 | (212) | $ (2,123) | 507 | $ 5,493 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 8 | $ 63 | 2 | $ 18 | 1 | $ 18 | 4 | $ 47 | |||||||
Reinvestment of distributions | 7 | 56 | 4 | 27 | 1 | 14 | 7 | 70 | |||||||
Shares repurchased and cross class conversions | (30) | (193) | (41) | (306) | (131) | (1,377) | (688) | (7,493) | |||||||
Net Increase / (Decrease) | (15) | $ (74) | (35) | $ (261) | (129) | $ (1,345) | (677) | $ (7,376) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 2,146 | $ 15,190 | 1,990 | $ 15,105 | 614 | $ 6,818 | 723 | $ 7,978 | |||||||
Reinvestment of distributions | 529 | 4,066 | 238 | 1,620 | 54 | 621 | 58 | 590 | |||||||
Shares repurchased and cross class conversions | (5,343) | (35,003) | (1,196) | (8,861) | (1,650) | (16,588) | (670) | (7,352) | |||||||
Net Increase / (Decrease) | (2,668) | $ (15,747) | 1,032 | $ 7,864 | (982) | $ (9,149) | 111 | $ 1,216 |
FORT Trend Fund | KAR Emerging Markets Small-Cap Fund | ||||||||||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 1,963 | $ 26,957 | 2,103 | $ 30,695 | 1,549 | $ 20,012 | 3,674 | $ 42,412 | |||||||
Reinvestment of distributions | — | — | — | — | 40 | 495 | 3 | 29 | |||||||
Shares repurchased and cross class conversions | (2,006) | (28,494) | (1,875) | (27,423) | (1,194) | (14,031) | (1,805) | (21,293) | |||||||
Net Increase / (Decrease) | (43) | $ (1,537) | 228 | $ 3,272 | 395 | $ 6,476 | 1,872 | $ 21,148 |
FORT Trend Fund | KAR Emerging Markets Small-Cap Fund | ||||||||||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 63 | $ 868 | 109 | $ 1,517 | 36 | $ 470 | 48 | $ 568 | |||||||
Reinvestment of distributions | — | — | — | — | 1 | 12 | — | — | |||||||
Shares repurchased and cross class conversions | (4,460) | (59,168) | (5,669) | (78,811) | (16) | (195) | (18) | (202) | |||||||
Net Increase / (Decrease) | (4,397) | $ (58,300) | (5,560) | $ (77,294) | 21 | $ 287 | 30 | $ 366 | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 299 | $ 4,390 | 499 | $ 7,385 | 10,200 | $ 127,501 | 9,490 | $ 111,996 | |||||||
Reinvestment of distributions | — | — | — | — | 159 | 1,996 | 14 | 156 | |||||||
Shares repurchased and cross class conversions | (2,380) | (33,818) | (2,655) | (39,016) | (5,358) | (65,431) | (4,902) | (58,563) | |||||||
Net Increase / (Decrease) | (2,081) | $ (29,428) | (2,156) | $ (31,631) | 5,001 | $ 64,066 | 4,602 | $ 53,589 | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 9 | $ 148 | — | $ — | — (1) | $ 3 | 8 | $ 100 | |||||||
Reinvestment of distributions | — | — | — | — | — (1) | — (2) | — | — | |||||||
Shares repurchased and cross class conversions | — | — | — | — | (—) (1) | (—) (2) | — | — | |||||||
Net Increase / (Decrease) | 9 | $ 148 | — | $ — | — | $ 3 | 8 | $ 100 |
KAR International Small-Cap Fund | KAR International Small-Mid Cap Fund | ||||||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020(a) | |||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||
Class A | |||||||||||
Shares sold and cross class conversions | 3,517 | $ 57,391 | 3,708 | $ 61,363 | 14 | $ 153 | |||||
Reinvestment of distributions | 76 | 1,419 | 31 | 475 | — | — | |||||
Shares repurchased and cross class conversions | (3,699) | (62,833) | (2,346) | (38,577) | (2) | (17) | |||||
Net Increase / (Decrease) | (106) | $ (4,023) | 1,393 | $ 23,261 | 12 | $ 136 | |||||
Class C | |||||||||||
Shares sold and cross class conversions | 295 | $ 5,310 | 831 | $ 13,399 | 13 | $ 135 | |||||
Reinvestment of distributions | 23 | 428 | 15 | 224 | — | — | |||||
Shares repurchased and cross class conversions | (770) | (12,967) | (739) | (11,833) | — | — | |||||
Net Increase / (Decrease) | (452) | $ (7,229) | 107 | $ 1,790 | 13 | $ 135 | |||||
Class I | |||||||||||
Shares sold and cross class conversions | 50,348 | $ 882,925 | 60,562 | $ 1,005,248 | 1,691 | $ 17,417 | |||||
Reinvestment of distributions | 1,672 | 31,331 | 718 | 10,919 | — | — | |||||
Shares repurchased and cross class conversions | (44,001) | (719,369) | (25,568) | (417,459) | (171) | (1,885) | |||||
Net Increase / (Decrease) | 8,019 | $ 194,887 | 35,712 | $ 598,708 | 1,520 | $ 15,532 |
KAR International Small-Cap Fund | KAR International Small-Mid Cap Fund | ||||||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020(a) | |||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||
Class R6 | |||||||||||
Shares sold and cross class conversions | 3,624 | $ 58,808 | 795 | $ 13,619 | 271 | $ 2,706 | |||||
Reinvestment of distributions | 50 | 943 | 26 | 398 | — | — | |||||
Shares repurchased and cross class conversions | (2,175) | (37,671) | (2,606) | (42,649) | — | — | |||||
Net Increase / (Decrease) | 1,499 | $ 22,080 | (1,785) | $ (28,632) | 271 | $ 2,706 |
Rampart Multi-Asset Trend Fund | Rampart Sector Trend Fund | ||||||||||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 271 | $ 3,060 | 116 | $ 1,287 | 1,160 | $ 14,799 | 1,867 | $ 23,407 | |||||||
Reinvestment of distributions | 7 | 83 | 4 | 42 | 67 | 958 | 56 | 662 | |||||||
Shares repurchased and cross class conversions | (332) | (3,786) | (350) | (3,893) | (2,453) | (30,814) | (1,643) | (21,346) | |||||||
Net Increase / (Decrease) | (54) | $ (643) | (230) | $ (2,564) | (1,226) | $ (15,057) | 280 | $ 2,723 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 42 | $ 449 | 75 | $ 790 | 43 | $ 552 | 164 | $ 2,057 | |||||||
Reinvestment of distributions | 6 | 68 | — | — | 7 | 97 | 5 | 57 | |||||||
Shares repurchased and cross class conversions | (916) | (9,921) | (1,198) | (12,714) | (1,884) | (24,005) | (2,896) | (35,858) | |||||||
Net Increase / (Decrease) | (868) | $ (9,404) | (1,123) | $ (11,924) | (1,834) | $ (23,356) | (2,727) | $ (33,744) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 67 | $ 759 | 103 | $ 1,150 | 564 | $ 7,101 | 1,179 | $ 15,765 | |||||||
Reinvestment of distributions | 6 | 68 | 8 | 89 | 51 | 736 | 65 | 769 | |||||||
Shares repurchased and cross class conversions | (275) | (3,147) | (650) | (7,198) | (2,733) | (34,830) | (1,709) | (21,781) | |||||||
Net Increase / (Decrease) | (202) | $ (2,320) | (539) | $ (5,959) | (2,118) | $ (26,993) | (465) | $ (5,247) |
Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||||||||||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 778 | $ 12,863 | 2,000 | $ 28,958 | 97 | $ 1,056 | 16 | $ 198 | |||||||
Reinvestment of distributions | 108 | 1,870 | 656 | 9,077 | 16 | 168 | 73 | 720 | |||||||
Shares repurchased and cross class conversions | (1,021) | (16,661) | (2,665) | (41,378) | (100) | (1,026) | (180) | (2,025) | |||||||
Net Increase / (Decrease) | (135) | $ (1,928) | (9) | $ (3,343) | 13 | $ 198 | (91) | $ (1,107) |
Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||||||||||||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 313 | $ 4,232 | 426 | $ 5,263 | 5 | $ 48 | 1 | $ 13 | |||||||
Reinvestment of distributions | 44 | 629 | 283 | 3,269 | 7 | 68 | 38 | 363 | |||||||
Shares repurchased and cross class conversions | (753) | (10,308) | (842) | (10,721) | (24) | (242) | (107) | (1,176) | |||||||
Net Increase / (Decrease) | (396) | $ (5,447) | (133) | $ (2,189) | (12) | $ (126) | (68) | $ (800) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 4,582 | $ 74,517 | 4,465 | $ 67,974 | 81 | $ 863 | 101 | $ 1,128 | |||||||
Reinvestment of distributions | 168 | 2,900 | 543 | 7,501 | 25 | 268 | 60 | 594 | |||||||
Shares repurchased and cross class conversions | (4,091) | (63,762) | (2,186) | (33,165) | (75) | (764) | (132) | (1,497) | |||||||
Net Increase / (Decrease) | 659 | $ 13,655 | 2,822 | $ 42,310 | 31 | $ 367 | 29 | $ 225 | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 1,453 | $ 23,913 | 570 | $ 9,095 | — | $ — | — | $ — | |||||||
Shares issued-merger (See Note 13) | — | — | 3,524 | 52,884 | — | — | — | — | |||||||
Reinvestment of distributions | 89 | 1,540 | 2 | 32 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (737) | (12,598) | (119) | (1,915) | — | — | — | — | |||||||
Net Increase / (Decrease) | 805 | $ 12,855 | 3,977 | $ 60,096 | — | $ — | — | $ — |
(a) | Inception date October 1, 2019. |
(1) | Amount is less than 500 shares. |
(2) | Amount is less than $500. |
% of Shares Outstanding | Number of Accounts | ||
Duff & Phelps Global Infrastructure Fund | 10% | 1 | |
Duff & Phelps Global Real Estate Securities Fund | 56 | 4 | |
Duff & Phelps International Real Estate Securities Fund | 72 | 2 | |
Duff & Phelps Real Asset Fund | 29 | 2 | |
FORT Trend Fund | 24 | 2 | |
KAR Emerging Markets Small-Cap Fund | 53 | 3 | |
KAR International Small-Cap Fund | 55 | 4 | |
KAR International Small-Mid Cap Fund | 91 | 2 * | |
Rampart Multi-Asset Trend Fund | 20 | 1 | |
Rampart Sector Trend Fund | 16 | 1 | |
Vontobel Greater European Opportunities Fund | 41 | 3 |
* | Includes affiliated shareholder account(s). |
Fund | Sector | Percentage of Total Investments | ||
Duff & Phelps Global Infrastructure Fund | Utilities | 48% | ||
Duff & Phelps Global Infrastructure Fund | Industrials | 28 | ||
Duff & Phelps International Real Estate Securities Fund | Real Estate Operating Companies | 27 | ||
KAR Emerging Markets Small-Cap Fund | Industrials | 33 | ||
KAR International Small-Cap Fund | Industrials | 29 | ||
KAR International Small-Mid Cap Fund | Industrials | 29 | ||
Vontobel Global Opportunities Fund | Information Technology | 25 |
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 | ||||
Duff & Phelps Real Asset Fund | — (1) | 980 | 2.08 | 6 | ||||
Rampart Sector Trend Fund | — (1) | 7,400 | 1.31 | 1 | ||||
Vontobel Global Opportunities Fund | 2 | 4,481 | 2.20 | 8 | ||||
Vontobel Greater European Opportunities Fund | — (1) | 350 | 1.33 | 1 |
(1) | Amount is less than $500. |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Duff & Phelps Global Infrastructure Fund | $ 74,365 | $ 13,867 | $ (6,470) | $ 7,397 | ||||
Duff & Phelps Global Real Estate Securities Fund | 239,269 | 43,151 | (36,364) | 6,787 | ||||
Duff & Phelps International Real Estate Securities Fund | 26,517 | 6,881 | (5,880) | 1,001 | ||||
Duff & Phelps Real Asset Fund | 27,203 | 3,426 | (9,244) | (5,818) | ||||
FORT Trend Fund | 210,431 | 2 | (3,115) | (3,113) | ||||
KAR Emerging Markets Small-Cap Fund | 179,771 | 51,268 | (8,413) | 42,855 | ||||
KAR International Small-Cap Fund | 1,698,595 | 321,728 | (148,288) | 173,440 | ||||
KAR International Small-Mid Cap Fund | 19,281 | 4,703 | (545) | 4,158 | ||||
Rampart Multi-Asset Trend Fund | 32,796 | 3,009 | (403) | 2,606 | ||||
Rampart Sector Trend Fund | 110,690 | 15,932 | (3,885) | 12,047 | ||||
Vontobel Global Opportunities Fund | 238,897 | 141,695 | (5,827) | 135,868 | ||||
Vontobel Greater European Opportunities Fund | 2,733 | 1,618 | (141) | 1,477 |
Short-Term | Long-Term | ||
Duff & Phelps International Real Estate Securities Fund | $ 322 | $ — | |
Duff & Phelps Real Asset Fund | 142 | — | |
FORT Trend Fund | 406,199 | — | |
KAR Emerging Markets Small-Cap Fund | 1,254 | — | |
Rampart Multi-Asset Trend Fund | 19,777 | — | |
Rampart Sector Trend Fund | 8,209 | 1,655 |
Fund | |
Duff & Phelps Real Asset Fund | $ — (1) |
FORT Trend Fund | 15,864 |
KAR Emerging Markets Small-Cap Fund | 94 |
KAR International Small-Cap Fund | 975 |
Rampart Multi-Asset Trend Fund | 969 |
(1) | Amount is less than $500. |
Late Year Ordinary Losses Deferred | Late Year Ordinary Losses Recognized | Capital Loss Deferred | Capital Loss Recognized | ||||
Duff & Phelps Global Infrastructure Fund | $ — | $ (8) | $ — | $ (417) | |||
Duff & Phelps Global Real Estate Securities Fund | — | — | 3,493 | — | |||
Duff & Phelps International Real Estate Securities Fund | 641 | — | 3,991 | — | |||
Duff & Phelps Real Asset Fund | — | — | 18,938 | (206) | |||
FORT Trend Fund | 768 | (123) | 278 | (6,561) | |||
KAR Emerging Markets Small-Cap Fund | — | — | — | (3,708) | |||
KAR International Small-Cap Fund | — | — | — | (52,302) | |||
Rampart Multi-Asset Trend Fund | 160 | — | 8 | — | |||
Rampart Sector Trend Fund | — | — | 1,255 | (8,850) |
Late Year Ordinary Losses Deferred | Late Year Ordinary Losses Recognized | Capital Loss Deferred | Capital Loss Recognized | ||||
Vontobel Global Opportunities Fund | $123 | $ — | $ — | $ — |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | ||
Duff & Phelps Global Infrastructure Fund | $ 8 | $ 585 | |
Duff & Phelps Global Real Estate Securities Fund | 763 | — | |
Duff & Phelps Real Asset Fund | 16 | — | |
KAR Emerging Markets Small-Cap Fund | 2,122 | — | |
KAR International Small-Cap Fund | 14,740 | 5,202 | |
KAR International Small-Mid Cap Fund | 871 | — | |
Rampart Sector Trend Fund | 519 | — | |
Vontobel Global Opportunities Fund | — | 8,067 | |
Vontobel Greater European Opportunities Fund | — | 318 |
Ordinary Income | Long-Term Capital Gains | Total | |||
Duff & Phelps Global Infrastructure Fund | |||||
9/30/20 | $ 1,438 | $ 3,380 | $ 4,818 | ||
9/30/19 | 2,205 | 2,735 | 4,940 | ||
Duff & Phelps Global Real Estate Securities Fund | |||||
9/30/20 | 12,318 | 5,581 | 17,899 | ||
9/30/19 | 5,276 | 61 | 5,337 | ||
Duff & Phelps International Real Estate Securities Fund | |||||
9/30/20 | 4,320 | — | 4,320 | ||
9/30/19 | 1,718 | — | 1,718 | ||
Duff & Phelps Real Asset Fund | |||||
9/30/20 | 1,320 | — | 1,320 | ||
9/30/19 | 890 | — | 890 | ||
KAR Emerging Markets Small-Cap Fund | |||||
9/30/20 | 2,573 | — | 2,573 | ||
9/30/19 | 202 | — | 202 | ||
KAR International Small-Cap Fund | |||||
9/30/20 | 36,125 | — | 36,125 | ||
9/30/19 | 8,704 | 3,345 | 12,049 | ||
Rampart Multi-Asset Trend Fund | |||||
9/30/20 | 228 | — | 228 | ||
9/30/19 | 136 | — | 136 | ||
Rampart Sector Trend Fund | |||||
9/30/20 | 2,040 | — | 2,040 | ||
9/30/19 | 1,700 | — | 1,700 | ||
Vontobel Global Opportunities Fund | |||||
9/30/20 | 1,048 | 6,305 | 7,353 | ||
9/30/19 | 799 | 20,504 | 21,303 |
Ordinary Income | Long-Term Capital Gains | Total | |||
Vontobel Greater European Opportunities Fund | |||||
9/30/20 | $ 26 | $ 482 | $ 508 | ||
9/30/19 | 86 | 1,596 | 1,682 |
Capital Paid in on Shares of Beneficial Interest | Total Distributable Earnings (Accumulated Losses) | ||
Duff & Phelps Global Real Estate Securities Fund | $ — (1) | $ —(1) | |
Duff & Phelps International Real Estate Securities Fund | — (1) | — (1) | |
Duff & Phelps Real Asset Fund | 3 | (3) | |
FORT Trend Fund | (382) | 382 | |
Rampart Multi-Asset Trend Fund | (36) | 36 | |
Rampart Sector Trend Fund | (480) | 480 | |
Vontobel Global Opportunities Fund | — (1) | — (1) | |
Vontobel Greater European Opportunities Fund | (2) | 2 |
(1) | Amount is less than $500. |
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 |
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 Virtus KAR Emerging Markets Small-Cap Fund Virtus KAR International Small-Cap Fund Virtus Rampart Multi-Asset Trend Fund Virtus Rampart Sector Trend Fund Virtus Vontobel Global Opportunities Fund Virtus Vontobel Greater European Opportunities Fund | Statements of operations for the year ended September 30, 2020 and statements of changes in net assets for the years ended September 30, 2020 and 2019 |
Virtus FORT Trend Fund and its subsidiary | Consolidated statement of operations for the year ended September 30, 2020, consolidated statement of changes in net assets for the year ended September 30, 2020 and statement of changes in net assets for the year ended September 30, 2019 |
Virtus KAR International Small-Mid Cap Fund | Statement of operations and statement of changes in net assets for the year ended September 30, 2020 |
Philadelphia, Pennsylvania
began serving as auditor.
Qualified REIT Dividends | QDI | DRD | LTCG | ||||
Duff & Phelps Global Infrastructure Fund | — % | 100% | 84 % | $ 723 | |||
Duff & Phelps Global Real Estate Securities Fund | 17 | 83 | — | 428 | |||
Duff & Phelps International Real Estate Securities Fund | — | 100 | — | — | |||
Duff & Phelps Real Asset Fund | — | 49 | 33 | — | |||
KAR Emerging Markets Small-Cap Fund | — | 69 | — | — | |||
KAR International Small-Cap Fund | — | 100 | — | 5,202 | |||
KAR International Small-Mid Cap Fund | — | 14 | — | — | |||
Rampart Multi-Asset Trend Fund | — | 100 | 89 | — | |||
Rampart Sector Trend Fund | — | 100 | 100 | — | |||
Vontobel Global Opportunities Fund | — | 100 | 100 | 9,406 | |||
Vontobel Greater European Opportunities Fund | — | — | — | 346 |
Foreign Source Income Recognized | Foreign Taxes Paid on Foreign Source Income | ||
Duff & Phelps International Real Estate Securities Fund | $ 1,352 | $ 135 | |
Duff & Phelps Real Asset Fund | 397 | 12 | |
KAR Emerging Markets Small-Cap Fund | 2,877 | 401 | |
KAR International Small-Cap Fund | 30,922 | 3,369 | |
KAR International Small-Mid Cap Fund | 158 | 18 |
(UNAUDITED)
VIRTUS OPPORTUNITIES TRUST
OCTOBER 14 AND 23, 2020
(Unaudited)
Proposal 1. |
Number of Eligible Votes: | FOR | AGAINST | ABSTAIN | |||
To approve an Agreement and Plan of Reorganization that provides for the reorganization of Virtus Rampart Multi-Asset Trend Fund, a series of Virtus Opportunities Trust (“VOT”), into Virtus Tactical Allocation Fund, a series of Virtus Equity Trust (“VET”) | 17,073,979.10 | 731,165.77 | 2,374,328.82 |
Proposal 1. |
Number of Eligible Votes: | FOR | AGAINST | ABSTAIN | |||
To approve an Agreement and Plan of Reorganization that provides for the reorganization of Virtus Rampart Sector Trend Fund, a series of VOT, into Virtus Tactical Allocation Fund, a series of VET | 57,823,283.74 | 10,986,519.43 | 5,951,274.56 |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Brown, Thomas J. YOB: 1945 Served Since: 2016 68 Portfolios | Retired. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). |
Burke, Donald C. YOB: 1960 Served Since: 2016 72 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; and Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 68 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Director (1999 to 2019) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Mallin, John R. YOB: 1950 Served Since: 2016 68 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm) Real Property Practice Group; Member (since 2014), Counselors of Real Estate. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). |
McClellan, Hassell H. YOB: 1945 Served Since: 2015 68 Portfolios | Retired. Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee since 2015), Virtus Mutual Fund Family (54 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 68 Portfolios | Retired (since 2013). Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013), Vice President Global Finance Transformation (2007 to 2009), Vice President and Controller (1999 to 2007), The Coca-Cola Company. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Director (since 2019), Global Payments Inc.; Trustee (since 2017), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (2014 to 2019), Total System Services, Inc.; Member (since 2011) and Chair (2014 to 2016), Georgia State University, Robinson College of Business Board of Advisors; and Trustee (2005 to 2017), RidgeWorth Funds. |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
McLoughlin, Philip YOB: 1946 Served Since: 1999 72 Portfolios | Retired. | Director and Chairman (since 2016), Virtus Total Return Fund Inc.; Director and Chairman (2016 to 2019), the former Virtus Total Return Fund Inc.; Director and Chairman (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (1991 to 2019) and Chairman (2010 to 2019), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (54 portfolios). |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 72 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (54 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2000 68 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). | Director (since 2016), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (54 portfolios). |
Segerson, Richard E. YOB: 1946 Served Since: 2000 68 Portfolios | Retired. Managing Director (1998 to 2013), Northway Management Company. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (54 portfolios). |
Walton, R. Keith YOB: 1964 Served Since: 2020 68 Portfolios | Venture and Operating Partner (since 2020), Plexo Capital, LLC; Venture Partner (since 2019) and Senior Adviser (2018 to 2019), Plexo, LLC; Senior Adviser (2018 to 2019), Vatic Labs, LLC; Executive Vice President, Strategy (2017 to 2019), Zero Mass Water, LLC; Vice President, Strategy (2013 to 2017), Arizona State University; Partner (since 2006), Global Infrastructure Partners. | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Director (since 2017), certain funds advised by Bessemer Investment Management LLC; Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (2006 to 2019), Systematica Investments Limited Funds; Director (2006 to 2017), BlueCrest Capital Management Funds; Trustee (2014 to 2017), AZ Service; Director (since 2004), Virtus Total Return Fund Inc.; and Director (2004 to 2019), the former Virtus Total Return Fund Inc. |
Zino, Brian T. YOB: 1952 Served Since: 2020 68 Portfolios | Retired. Various roles (1982 to 2008), J. & W. Seligman & Co. Incorporated, including President (1994 to 2008). | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2014), Virtus Total Return Fund Inc.; Director (2014 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2011), Bentley University; Director (1986 to 2008) and President (1994 to 2008), J&W Seligman Co. Inc.; Director (1998 to 2009), Chairman (2002 to 2004) and Vice Chairman (2000 to 2002), ICI Mutual Insurance Company; Member, Board of Governors of ICI (1998 to 2008). |
Name, Year of Birth, Length of Time Served and Number of Funds Overseen | Principal Occupation(s) During Past 5 Years | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee |
Aylward, George R.* Trustee and President YOB: 1964 Served Since: 2006 70 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries, and various senior officer positions with Virtus affiliates (since 2005). | Chairman and Trustee (since 2015), Virtus ETF Trust II (2 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (5 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (54 portfolios); Director, President and Chief Executive Officer (since 2006), Virtus Total Return Fund Inc.; and Director, President and Chief Executive Officer (2006 to 2019), the former Virtus Total Return Fund Inc. |
Name, Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Moyer, William R. YOB: 1944 Served Since: 2020 68 Portfolios | Private investor (since 2004); Financial and Operations Principal (2006 to 2017), Newcastle Distributors LLC (broker dealer). | Advisory Board Member (since 2020), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Advisory Board Member (since 2020) and Director (2016 to 2019), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Advisory Board Member (since 2020) and Director (2014 to 2019), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Advisory Board Member (since 2020) and Trustee (2011 to 2019), Virtus Global Multi-Sector Income Fund; Advisory Board Member (since 2020) and Trustee (2013 to 2016), Virtus Alternative Solutions Trust (3 portfolios). |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter J. YOB: 1970 | Senior Vice President (since 2017), and Vice President (2008 to 2016). | Senior Vice President, Product Development (since 2017), Vice President, Product Development (2008 to 2016), and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2013 to 2016), Virtus Alternative Solutions Trust; Senior Vice President (since 2017) and Vice President (2016 to 2017), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; and Senior Vice President (2017 to 2019) and Vice President (2016 to 2017), the former Virtus Total Return Fund Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2011 to 2013); Chief Financial Officer and Treasurer (since 2006). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), and various officer positons (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc.; Executive Vice President (2016 to 2019), Senior Vice President (2013 to 2016), Vice President (2012 to 2013), Treasurer and Chief Financial Officer (since 2010), the former Virtus Total Return Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Utility and Infrastructure Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. |
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2013); Vice President (2005 to 2013); Chief Legal Officer, Counsel and Secretary (since 2005). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), and various officer positions (since 2005), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), and Assistant Secretary (2013 to 2014 and since 2017), Virtus Total Return Fund Inc.; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013) and Assistant Secretary (2013 to 2014 and 2017 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President (2013 to 2014), Vice President (2011 to 2013), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. |
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017); Vice President (2011 to 2017); and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), and various officer positions (since 2003), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc.; Senior Vice President (2017 to 2019), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President (since 2018), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Senior Vice President (2018 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013); Senior Vice President (2008 to 2013). | Executive Vice President, Product Development (since 2009), and various senior officer positions (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust; Executive Vice President (since 2017), Virtus Total Return Fund Inc.; and Executive Vice President (2017 to 2019), the former Virtus Total Return Fund Inc. |
Mr. Hansen has served as a Portfolio Manager of the Fund since August 2020.
Virtus Vontobel Emerging Markets Opportunities Fund | Brian Bandsma (since June 2016) Matthew Benkendorf (since March 2016) Jin Zhang, CFA (since June 2016) |
Virtus Vontobel Foreign Opportunities Fund | Matthew Benkendorf (since March 2016) Daniel Kranson, CFA (since June 2016) David Souccar (since June 2016) |
Virtus Vontobel Global Opportunities Fund | Matthew Benkendorf (since 2009) Ramiz Chelat (since June 2016) |
Virtus Vontobel Greater European Opportunities Fund | Markus Hansen (since August 2020) Daniel Kranson, CFA (since March 2013) |
each dated January 28, 2020, as supplemented
Prospectuses and SAI for future reference.
Accounting Firm
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.
please contact us at 1-800-243-1574, or Virtus.com.
8637 | 11-20 |
1 | |
2 | |
4 | |
6 | |
11 | |
13 | |
15 | |
16 | |
18 | |
21 | |
30 | |
31 | |
32 | |
33 |
President, Virtus Funds
Beginning Account Value April 1, 2020 | Ending Account Value September 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,136.60 | 1.33 % | $ 7.10 | |||
Class C | 1,000.00 | 1,132.10 | 2.11 | 11.25 | |||
Class I | 1,000.00 | 1,137.70 | 1.10 | 5.88 | |||
Class R6 | 1,000.00 | 1,139.50 | 0.79 | 4.23 |
* | 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. |
Beginning Account Value April 1, 2020 | Ending Account Value September 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,018.35 | 1.33 % | $ 6.71 | |||
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. |
September 30, 2020
Ticker Symbols: | |
Class A: PHRAX | |
Class C: PHRCX | |
Class I: PHRIX | |
Class R6: VRREX |
■ | The Fund is diversified and has investment objectives of capital appreciation and income with approximately equal emphasis. There is no guarantee that the Fund will meet its objectives. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned -12.99%, Class C shares at NAV returned -13.65%, Class I shares at NAV returned -12.80%, and Class R6 shares at NAV returned -12.52%. For the same period, the FTSE NAREIT Equity REITs Index, the Fund’s style-specific index appropriate for comparison, returned -18.16%. |
Industrial | 15% |
Data Centers | 13 |
Apartments | 13 |
Retail | 12 |
Office | 11 |
Health Care | 10 |
Self Storage | 6 |
Other | 20 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | -12.99 % | 4.31 % | 7.94 % | — % | — | |||||||
Class A shares at POP3,4 | -18.00 | 3.09 | 7.31 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | -13.65 | 3.56 | 7.15 | — | — | |||||||
Class I shares at NAV2 | -12.80 | 4.59 | 8.22 | — | — | |||||||
Class R6 shares at NAV2 | -12.52 | 4.81 | — | 4.34 | 11/12/14 | |||||||
FTSE NAREIT Equity REITs Index | -18.16 | 3.95 | 7.90 | 3.41 5 | — | |||||||
Fund Expense Ratios6: Class A shares: 1.38%; Class C shares: 2.09%; Class I shares: 1.09%; Class R6 shares: Gross 0.95%, Net 0.79%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
September 30, 2020
Shares | Value | ||
Common Stocks—99.0% | |||
Real Estate Investment Trusts—99.0% | |||
Data Centers—13.0% | |||
CyrusOne, Inc. | 249,978 | $ 17,506 | |
Equinix, Inc. | 68,341 | 51,948 | |
69,454 | |||
Diversified—2.4% | |||
VEREIT, Inc. | 1,982,400 | 12,886 | |
Health Care—10.0% | |||
Healthcare Trust of America, Inc. Class A | 559,800 | 14,555 | |
Healthpeak Properties, Inc. | 799,100 | 21,695 | |
Welltower, Inc. | 305,880 | 16,851 | |
53,101 | |||
Industrial/Office—25.8% | |||
Industrial—15.3% | |||
Americold Realty Trust | 35,938 | 1,285 | |
Duke Realty Corp. | 668,893 | 24,682 | |
Prologis, Inc. | 466,944 | 46,984 | |
Rexford Industrial Realty, Inc. | 181,400 | 8,301 | |
81,252 | |||
Office—10.5% | |||
Alexandria Real Estate Equities, Inc. | 97,134 | 15,542 | |
Boston Properties, Inc. | 177,300 | 14,237 | |
Cousins Properties, Inc. | 580,603 | 16,599 | |
Douglas Emmett, Inc. | 379,968 | 9,537 | |
55,915 | |||
Total Industrial/Office | 137,167 | ||
Shares | Value | ||
Lodging/Resorts—2.8% | |||
Host Hotels & Resorts, Inc. | 449,294 | $ 4,848 | |
RLJ Lodging Trust | 542,405 | 4,697 | |
Ryman Hospitality Properties, Inc. | 149,278 | 5,494 | |
15,039 | |||
Residential—22.4% | |||
Apartments—12.6% | |||
Apartment Investment and Management Co. Class A | 338,073 | 11,400 | |
AvalonBay Communities, Inc. | 153,915 | 22,986 | |
Equity Residential | 361,554 | 18,559 | |
Mid-America Apartment Communities, Inc. | 122,100 | 14,157 | |
67,102 | |||
Manufactured Homes—4.4% | |||
Sun Communities, Inc. | 166,465 | 23,407 | |
Single Family Homes—5.4% | |||
American Homes 4 Rent Class A | 652,400 | 18,580 | |
Invitation Homes, Inc. | 355,060 | 9,938 | |
28,518 | |||
Total Residential | 119,027 | ||
Retail—12.3% | |||
Free Standing—5.1% | |||
Spirit Realty Capital, Inc. | 355,493 | 11,998 | |
STORE Capital Corp. | 560,485 | 15,374 | |
27,372 | |||
Shares | Value | ||
Regional Malls—2.3% | |||
Simon Property Group, Inc. | 187,641 | $ 12,137 | |
Shopping Centers—4.9% | |||
Brixmor Property Group, Inc. | 891,256 | 10,419 | |
Regency Centers Corp. | 274,500 | 10,436 | |
Weingarten Realty Investors | 304,600 | 5,166 | |
26,021 | |||
Total Retail | 65,530 | ||
Self Storage—6.4% | |||
CubeSmart | 510,150 | 16,483 | |
Extra Space Storage, Inc. | 163,329 | 17,474 | |
33,957 | |||
Shares | Value | ||
Specialty—3.9% | |||
Crown Castle International Corp. | 83,050 | $ 13,828 | |
VICI Properties, Inc. | 306,100 | 7,153 | |
20,981 | |||
Total Common Stocks (Identified Cost $435,110) | 527,142 | ||
Total Long-Term Investments—99.0% (Identified Cost $435,110) | 527,142 | ||
TOTAL INVESTMENTS—99.0% (Identified Cost $435,110) | $527,142 | ||
Other assets and liabilities, net—1.0% | 5,400 | ||
NET ASSETS—100.0% | $532,542 |
Total Value at September 30, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $527,142 | $527,142 | |
Total Investments | $527,142 | $527,142 |
September 30, 2020
Assets | |
Investment in securities at value(1) | $ 527,142 |
Cash | 3,941 |
Receivables | |
Fund shares sold | 724 |
Dividends | 2,003 |
Prepaid Trustees’ retainer | 11 |
Prepaid expenses | 27 |
Other assets | 58 |
Total assets | 533,906 |
Liabilities | |
Payables | |
Fund shares repurchased | 683 |
Investment advisory fees | 328 |
Distribution and service fees | 49 |
Administration and accounting fees | 47 |
Transfer agent and sub-transfer agent fees and expenses | 131 |
Professional fees | 30 |
Trustee deferred compensation plan | 58 |
Interest expense and/or commitment fees | 1 |
Other accrued expenses | 37 |
Total liabilities | 1,364 |
Net Assets | $ 532,542 |
Net Assets Consist of: | |
Capital paid in on shares of beneficial interest | $ 429,901 |
Accumulated earnings (loss) | 102,641 |
Net Assets | $ 532,542 |
Net Assets: | |
Class A | $ 209,309 |
Class C | $ 7,280 |
Class I | $ 272,248 |
Class R6 | $ 43,705 |
Shares Outstanding (unlimited number of shares authorized, no par value): | |
Class A | 11,124,496 |
Class C | 387,525 |
Class I | 14,514,556 |
Class R6 | 2,323,712 |
Net Asset Value and Redemption Price Per Share: | |
Class A | $ 18.82 |
Class C | $ 18.79 |
Class I | $ 18.76 |
Class R6 | $ 18.81 |
Maximum Offering Price per Share (NAV/(1-5.75%*)): | |
Class A | $ 19.97 |
* Maximum sales charge | |
(1) Investment in securities at cost | $ 435,110 |
September 30, 2020
Investment Income | |
Dividends | $ 13,366 |
Total investment income | 13,366 |
Expenses | |
Investment advisory fees | 3,921 |
Distribution and service fees, Class A | 407 |
Distribution and service fees, Class C | 97 |
Administration and accounting fees | 554 |
Transfer agent fees and expenses | 238 |
Sub-transfer agent fees and expenses, Class A | 224 |
Sub-transfer agent fees and expenses, Class C | 14 |
Sub-transfer agent fees and expenses, Class I | 435 |
Custodian fees | 1 |
Printing fees and expenses | 59 |
Professional fees | 38 |
Interest expense and/or commitment fees | 3 |
Registration fees | 99 |
Trustees’ fees and expenses | 45 |
Miscellaneous expenses | 61 |
Total expenses | 6,196 |
Less net expenses reimbursed and/or waived by investment adviser(1) | (64) |
Less low balance account fees | — (2) |
Net expenses | 6,132 |
Net investment income (loss) | 7,234 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 25,755 |
Net change in unrealized appreciation (depreciation) on: | |
Investments | (102,595) |
Net realized and unrealized gain (loss) on investments | (76,840) |
Net increase (decrease) in net assets resulting from operations | $ (69,606) |
(1) | See Note 3D in the Notes to Financial Statements. |
(2) | Amount is less than $500. |
Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $ 7,234 | $ 10,320 | |
Net realized gain (loss) | 25,755 | 100,046 | |
Net change in unrealized appreciation (depreciation) | (102,595) | (16,066) | |
Increase (decrease) in net assets resulting from operations | (69,606) | 94,300 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (29,177) | (28,231) | |
Class C | (1,965) | (3,510) | |
Class I | (63,465) | (59,954) | |
Class R6 | (7,100) | (4,621) | |
Total Dividends and Distributions to Shareholders | (101,707) | (96,316) | |
Change in Net Assets from Capital Transactions | |||
Shares sold and cross class conversions: | |||
Class A (5,966 and 1,575 shares, respectively) | 114,435 | 37,370 | |
Class C (49 and 51 shares, respectively) | 1,039 | 1,174 | |
Class I (3,463 and 3,585 shares, respectively) | 69,626 | 84,112 | |
Class R6 (1,121 and 610 shares, respectively) | 22,360 | 14,664 | |
Reinvestment of distributions: | |||
Class A (1,331 and 1,213 shares, respectively) | 28,097 | 26,465 | |
Class C (87 and 154 shares, respectively) | 1,842 | 3,333 | |
Class I (3,010 and 2,718 shares, respectively) | 63,323 | 59,275 | |
Class R6 (338 and 210 shares, respectively) | 7,090 | 4,600 | |
Shares repurchased and cross class conversions: | |||
Class A ((2,822) and (4,213) shares, respectively) | (58,871) | (102,877) | |
Class C ((218) and (734) shares, respectively) | (4,382) | (16,810) | |
Class I ((6,185) and (8,443) shares, respectively) | (128,253) | (207,408) | |
Class R6 ((615) and (322) shares, respectively) | (12,604) | (7,823) | |
Increase (decrease) in net assets from capital transactions | 103,702 | (103,925) | |
Net increase (decrease) in net assets | (67,611) | (105,941) | |
Net Assets | |||
Beginning of period | 600,153 | 706,094 | |
End of Period | $ 532,542 | $ 600,153 |
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 9/30/20 | $26.33 | 0.26 | (3.23) | (2.97) | (0.33) | (4.21) | (4.54) |
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) |
Class C | |||||||
10/1/19 to 9/30/20 | $26.26 | 0.08 | (3.18) | (3.10) | (0.16) | (4.21) | (4.37) |
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) |
Class I | |||||||
10/1/19 to 9/30/20 | $26.28 | 0.30 | (3.23) | (2.93) | (0.38) | (4.21) | (4.59) |
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) |
Class R6 | |||||||
10/1/19 to 9/30/20 | $26.30 | 0.37 | (3.24) | (2.87) | (0.41) | (4.21) | (4.62) |
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) |
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 |
(7.51) | $18.82 | (12.99)% | $209,309 | 1.35% | 1.35% | 1.25% | 40% |
(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 (6) | 331,957 | 1.39 (6) | 1.39 | 1.21 (6) | 20 |
(1.58) | 36.87 | 15.58 | 530,135 | 1.39 (7) | 1.39 | 1.29 | 31 |
(7.47) | $18.79 | (13.65)% | $ 7,280 | 2.11% | 2.11% | 0.38% | 40% |
(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) (6) | 43,219 | 2.13 (6) | 2.13 | 0.48 (6) | 20 |
(1.60) | 36.77 | 14.70 | 67,216 | 2.15 (7) | 2.15 | 0.55 | 31 |
(7.52) | $18.76 | (12.80)% | $272,248 | 1.10% | 1.10% | 1.43% | 40% |
(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 (6) | 539,098 | 1.13 (6) | 1.13 | 1.49 (6) | 20 |
(1.59) | 36.83 | 15.85 | 619,818 | 1.14 (7) | 1.14 | 1.52 | 31 |
(7.49) | $18.81 | (12.52)% | $ 43,705 | 0.79% | 0.96% | 1.80% | 40% |
(0.42) | 26.30 | 17.94 | 38,915 | 0.87 (8) | 0.95 | 2.11 | 30 |
(3.67) | 26.72 | 4.50 | 26,210 | 0.93 (8) | 0.95 | 1.75 | 12 |
(6.45) | 30.39 | 1.06 (6) | 19,880 | 0.98 (6) | 0.98 | 1.62 (6) | 20 |
(1.58) | 36.84 | 16.06 | 21,604 | 0.98 (7) | 0.98 | 1.93 | 31 |
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) | 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 less than 0.01%. Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return by less than 0.01%. |
(7) | Net expense ratio includes extraordinary proxy expenses. |
(8) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
September 30, 2020
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. |
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 |
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 September 30, 2020, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2017 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. |
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 |
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 | $ 64 | $ 94 | |||
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 fiscal year (the “period”) ended September 30, 2020, it retained net commissions of $7 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 September 30, 2020, the Fund incurred administration fees totaling $500 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 September 30, 2020, the Fund incurred transfer agent fees totaling $224 which are included in the Statement 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 Statement of Assets and Liabilities at September 30, 2020. |
Purchases | Sales | |
$224,956 | $207,548 |
% of Shares Outstanding | Number of Accounts* | |
30% | 2 |
* | The shareholders are not affiliated with Virtus. |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$440,731 | $ 132,900 | $ (46,489) | $ 86,411 |
Undistributed Long-Term Capital Gains |
$16,314 |
Year Ended | Year Ended | ||
2020 | 2019 | ||
Ordinary Income | $ 7,250 | $11,842 | |
Long-Term Capital Gains | 94,457 | 84,474 | |
Total | $101,707 | $96,316 |
Philadelphia, Pennsylvania
Qualified REIT Dividends | QDI | DRD | LTCG | ||||
87% | —% | —% | $23,568 |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Brown, Thomas J. YOB: 1945 Served Since: 2016 68 Portfolios | Retired. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). |
Burke, Donald C. YOB: 1960 Served Since: 2016 72 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; and Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 68 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Director (1999 to 2019) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Mallin, John R. YOB: 1950 Served Since: 2016 68 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm) Real Property Practice Group; Member (since 2014), Counselors of Real Estate. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). |
McClellan, Hassell H. YOB: 1945 Served Since: 2015 68 Portfolios | Retired. Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee since 2015), Virtus Mutual Fund Family (54 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 68 Portfolios | Retired (since 2013). Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013), Vice President Global Finance Transformation (2007 to 2009), Vice President and Controller (1999 to 2007), The Coca-Cola Company. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Director (since 2019), Global Payments Inc.; Trustee (since 2017), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (2014 to 2019), Total System Services, Inc.; Member (since 2011) and Chair (2014 to 2016), Georgia State University, Robinson College of Business Board of Advisors; and Trustee (2005 to 2017), RidgeWorth Funds. |
McLoughlin, Philip YOB: 1946 Served Since: 1999 72 Portfolios | Retired. | Director and Chairman (since 2016), Virtus Total Return Fund Inc.; Director and Chairman (2016 to 2019), the former Virtus Total Return Fund Inc.; Director and Chairman (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (1991 to 2019) and Chairman (2010 to 2019), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (54 portfolios). |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 72 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (54 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2000 68 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). | Director (since 2016), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (54 portfolios). |
Segerson, Richard E. YOB: 1946 Served Since: 2000 68 Portfolios | Retired. Managing Director (1998 to 2013), Northway Management Company. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (54 portfolios). |
Walton, R. Keith YOB: 1964 Served Since: 2020 68 Portfolios | Venture and Operating Partner (since 2020), Plexo Capital, LLC; Venture Partner (since 2019) and Senior Adviser (2018 to 2019), Plexo, LLC; Senior Adviser (2018 to 2019), Vatic Labs, LLC; Executive Vice President, Strategy (2017 to 2019), Zero Mass Water, LLC; Vice President, Strategy (2013 to 2017), Arizona State University; Partner (since 2006), Global Infrastructure Partners. | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Director (since 2017), certain funds advised by Bessemer Investment Management LLC; Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (2006 to 2019), Systematica Investments Limited Funds; Director (2006 to 2017), BlueCrest Capital Management Limited Funds; Trustee (2014 to 2017), AZ Service; Director (since 2004), Virtus Total Return Fund Inc.; and Director (2004 to 2019), the former Virtus Total Return Fund Inc. |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Zino, Brian T. YOB: 1952 Served Since: 2020 68 Portfolios | Retired. Various roles (1982 to 2008), J. & W. Seligman & Co. Incorporated, including President (1994 to 2008). | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2014), Virtus Total Return Fund Inc.; Director (2014 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2011), Bentley University; Director (1986 to 2008) and President (1994 to 2008), J&W Seligman Co. Inc.; Director (1998 to 2009), Chairman (2002 to 2004) and Vice Chairman (2000 to 2002), ICI Mutual Insurance Company; Member, Board of Governors of ICI (1998 to 2008). |
Name, Year of Birth, Length of Time Served and Number of Funds Overseen | Principal Occupation(s) During Past 5 Years | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee |
Aylward, George R.* Trustee and President YOB: 1964 Served Since: 2006 70 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries, and various senior officer positions with Virtus affiliates (since 2005). | Chairman and Trustee (since 2015), Virtus ETF Trust II (2 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (5 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (54 portfolios); Director, President and Chief Executive Officer (since 2006), Virtus Total Return Fund Inc.; and Director, President and Chief Executive Officer (2006 to 2019), the former Virtus Total Return Fund Inc. |
Name, Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Moyer, William R. YOB: 1944 Served Since: 2020 68 Portfolios | Private investor (since 2004); Financial and Operations Principal (2006 to 2017), Newcastle Distributors LLC (broker dealer). | Advisory Board Member (since 2020), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Advisory Board Member (since 2020) and Director (2016 to 2019), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Advisory Board Member (since 2020) and Director (2014 to 2019), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Advisory Board Member (since 2020) and Trustee (2011 to 2019), Virtus Global Multi-Sector Income Fund; Advisory Board Member (since 2020) and Trustee (2013 to 2016), Virtus Alternative Solutions Trust (3 portfolios). |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter J. YOB: 1970 | Senior Vice President (since 2017), and Vice President (2008 to 2016). | Senior Vice President, Product Development (since 2017), Vice President, Product Development (2008 to 2016), and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2013 to 2016), Virtus Alternative Solutions Trust; Senior Vice President (since 2017) and Vice President (2016 to 2017), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; and Senior Vice President (2017 to 2019) and Vice President (2016 to 2017), the former Virtus Total Return Fund Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2011 to 2013); Chief Financial Officer and Treasurer (since 2006). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), and various officer positons (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc.; Executive Vice President (2016 to 2019), Senior Vice President (2013 to 2016), Vice President (2012 to 2013), Treasurer and Chief Financial Officer (since 2010), the former Virtus Total Return Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Utility and Infrastructure Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2013); Vice President (2005 to 2013); Chief Legal Officer, Counsel and Secretary (since 2005). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), and various officer positions (since 2005), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), and Assistant Secretary (2013 to 2014 and since 2017), Virtus Total Return Fund Inc.; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013) and Assistant Secretary (2013 to 2014 and 2017 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President (2013 to 2014), Vice President (2011 to 2013), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017); Vice President (2011 to 2017); and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), and various officer positions (since 2003), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc.; Senior Vice President (2017 to 2019), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President (since 2018), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Senior Vice President (2018 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013); Senior Vice President (2008 to 2013). | Executive Vice President, Product Development (since 2009), and various senior officer positions (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust; Executive Vice President (since 2017), Virtus Total Return Fund Inc.; and Executive Vice President (2017 to 2019), the former Virtus Total Return Fund Inc. |
Accounting Firm
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.
please contact us at 1-800-243-1574, or Virtus.com.
8009 | 11-20 |
1 | |
2 | |
4 | |
6 | |
12 | |
14 | |
16 | |
17 | |
18 | |
21 | |
33 | |
34 | |
35 | |
36 |
President, Virtus Funds
Beginning Account Value April 1, 2020 | Ending Account Value September 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,298.00 | 1.39 % | $ 7.99 | |||
Class C | 1,000.00 | 1,293.60 | 2.05 | 11.75 | |||
Class I | 1,000.00 | 1,300.30 | 1.07 | 6.15 | |||
Class R6 | 1,000.00 | 1,301.10 | 0.95 | 5.47 |
* | 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. |
Beginning Account Value April 1, 2020 | Ending Account Value September 30, 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. |
September 30, 2020
Ticker Symbols: | |
Class A: JVIAX | |
Class C: JVICX | |
Class I: JVXIX | |
Class R6: VFOPX |
■ | The Fund is diversified and has an investment objective of long-term capital appreciation. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned 12.02%, Class C shares at NAV returned 11.26%, Class I shares at NAV returned 12.37%, and Class R6 shares at NAV returned 12.49%. For the same period, the MSCI All Country World ex USA Index (net), which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned 3.00%. |
• | Alibaba Holdings reported strong results during the period. Overall growth was back to pre-COVID-19 levels, which was encouraging. Alibaba is the leading e-commerce platform operator in China, with a dominant market share in terms of overall gross merchandise volume (GMV). It is multiples larger in GMV than the second biggest player in China, JD.com. Alibaba’s key advantage versus competitors is that it has the largest number of vendors, which in turn attracts a massive pool of buyers. |
• | Techtronic is a manufacturer of power tools. The company owns popular brands in North America, Europe, and parts of Asia-Pacific. The company is known for high-quality products, specifically its cordless power tools. In 2020, Techtronic continued to report robust earnings growth despite the challenging macroeconomic backdrop. Key to Techtronic’s performance was a |
• | Flutter Entertainment plc, Alimentation Couch NPV, and Mastercard Inc. also helped performance. |
• | Griffols declined on concerns over COVID-19 disruption negatively impacting the collection of raw plasma. Grifols is a leading player in the structurally attractive blood plasma industry. Roughly 80% of the company’s sales come from plasma, followed by a smaller blood diagnostics business. We viewed the shortfall in plasma collections as temporary, and trends recovered steadily over the course of the summer. Therefore, we continued to hold the position as of the end of the fiscal year. |
• | CAE’s stock price underperformed during the 12 months due to the negative impact of the pandemic on global air travel. CAE is the global leader in flying simulators, and in training for both commercial and military aircrafts. While the flight simulator business is cyclical, training is based on long-term contracts with high renewal rates. We sold the stock during the fiscal year. |
• | IHS Markit Ltd., RELX plc, and Constellation Software also hurt absolute performance. |
Information Technology | 20% |
Industrials | 19 |
Consumer Staples | 18 |
Consumer Discretionary | 17 |
Health Care | 12 |
Communication Services | 7 |
Materials | 4 |
Other | 3 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 12.02 % | 9.20 % | 7.34 % | — % | — | |||||||
Class A shares at POP3,4 | 5.58 | 7.91 | 6.70 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 11.26 | 8.43 | 6.57 | — | — | |||||||
Class I shares at NAV2 | 12.37 | 9.51 | 7.63 | — | — | |||||||
Class R6 shares at NAV2 | 12.49 | 9.63 | — | 7.40 | 11/12/14 | |||||||
MSCI All Country World ex USA Index (net)5 | 3.00 | 6.23 | 4.00 | 3.26 6 | — | |||||||
MSCI EAFE® Index (net)5 | 0.49 | 5.26 | 4.62 | 3.19 6 | — | |||||||
Fund Expense Ratios7: Class A shares: Gross 1.44%, Net 1.39%; Class C shares: Gross 2.12%, Net 2.05%; Class I shares: Gross 1.13%, Net 1.07%; Class R6 shares: Gross 1.04%, Net 0.95%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The Fund changed its primary benchmark during the year to the MSCI All Country World ex USA Index. The Fund’s subadviser believes the MSCI All Country World ex USA Index better reflects the markets and securities in which the Fund is invested than the Fund’s previous benchmark, the MSCI EAFE® Index (net). |
6 | The since inception index return is from the inception date of Class R6 shares. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through March 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Shares | Value | ||
Common Stocks—97.7% | |||
Communication Services—6.9% | |||
Cellnex Telecom SA 144A (Spain)(1) | 363,322 | $ 22,151 | |
CTS Eventim AG & Co. KGaA (Germany)(2) | 323,330 | 15,649 | |
Tencent Holdings Ltd. (China) | 287,693 | 19,432 | |
Tencent Music Entertainment Group ADR (China)(2) | 1,133,291 | 16,738 | |
73,970 | |||
Consumer Discretionary—16.5% | |||
adidas AG (Germany)(2) | 78,540 | 25,425 | |
Alibaba Group Holding Ltd. Sponsored ADR (China)(2) | 173,859 | 51,111 | |
EssilorLuxottica SA (France)(2) | 123,315 | 16,793 | |
Ferrari NV (Italy) | 110,763 | 20,343 | |
Flutter Entertainment plc (Ireland)(2) | 230,247 | 36,633 | |
LVMH Moet Hennessy Louis Vuitton SE (France) | 58,402 | 27,348 | |
177,653 | |||
Consumer Staples—17.0% | |||
Alimentation Couche-Tard, Inc. Class B (Canada) | 1,372,658 | 47,802 | |
Asahi Group Holdings Ltd. (Japan) | 639,000 | 22,271 | |
Diageo plc (United Kingdom) | 610,768 | 20,885 | |
Mondelez International, Inc. Class A (United States) | 389,329 | 22,367 | |
Nestle S.A. Registered Shares (Switzerland) | 315,296 | 37,429 | |
Unilever NV (Netherlands) | 540,277 | 32,623 | |
183,377 | |||
Shares | Value | ||
Financials—2.6% | |||
London Stock Exchange Group plc (United Kingdom) | 239,603 | $ 27,442 | |
Health Care—12.0% | |||
Alcon, Inc. (Switzerland)(2) | 505,982 | 28,731 | |
Eurofins Scientific SE (Luxembourg)(2) | 27,220 | 21,555 | |
Grifols SA (Spain) | 453,054 | 13,062 | |
Hoya Corp. (Japan) | 212,395 | 23,983 | |
Medtronic plc (United States) | 216,764 | 22,526 | |
Sartorius Stedim Biotech (France) | 56,587 | 19,545 | |
129,402 | |||
Industrials—18.9% | |||
Ashtead Group plc (United Kingdom) | 726,252 | 26,240 | |
Canadian National Railway Co. (Canada) | 304,424 | 32,421 | |
IHS Markit Ltd. (United States) | 244,399 | 19,188 | |
IMCD NV (Netherlands) | 200,414 | 23,874 | |
Rentokil Initial plc (United Kingdom)(2) | 2,478,319 | 17,128 | |
Safran SA (France)(2) | 132,352 | 13,103 | |
Techtronic Industries Co., Ltd. (Hong Kong) | 2,125,520 | 28,260 | |
Teleperformance (France) | 52,195 | 16,131 | |
Wolters Kluwer NV (Netherlands) | 314,758 | 26,881 | |
203,226 | |||
Information Technology—19.9% | |||
Adyen NV 144A (Netherlands)(1)(2) | 9,813 | 18,092 | |
Constellation Software, Inc. (Canada) | 30,479 | 33,869 | |
Halma plc (United Kingdom) | 1,067,301 | 32,295 | |
Keyence Corp. (Japan) | 34,780 | 16,259 |
Shares | Value | ||
Information Technology—continued | |||
Mastercard, Inc. Class A (United States) | 112,973 | $ 38,204 | |
Obic Co. Ltd. (Japan) | 109,880 | 19,324 | |
SAP SE (Germany) | 210,775 | 32,808 | |
Tata Consultancy Services Ltd. (India) | 676,501 | 22,888 | |
213,739 | |||
Materials—3.9% | |||
Air Liquide SA (France) | 139,071 | 22,094 | |
Asian Paints Ltd. (India) | 755,673 | 20,361 | |
42,455 | |||
Total Common Stocks (Identified Cost $712,343) | 1,051,264 | ||
Total Long-Term Investments—97.7% (Identified Cost $712,343) | 1,051,264 | ||
TOTAL INVESTMENTS—97.7% (Identified Cost $712,343) | $1,051,264 | ||
Other assets and liabilities, net—2.3% | 24,651 | ||
NET ASSETS—100.0% | $1,075,915 |
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 September 30, 2020, these securities amounted to a value of $40,243 or 3.7% of net assets. |
(2) | Non-income producing. |
Country Weightings (Unaudited)† | |
United Kingdom | 12% |
France | 11 |
Canada | 11 |
United States | 10 |
Netherlands | 10 |
China | 9 |
Japan | 7 |
Other | 30 |
Total | 100% |
† % of total investments as of September 30, 2020. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $1,051,264 | $878,486 | $172,778 | ||
Total Investments | $1,051,264 | $878,486 | $172,778 |
Assets | |
Investment in securities at value(1) | $ 1,051,264 |
Foreign currency at value(2) | 113 |
Cash | 22,974 |
Receivables | |
Fund shares sold | 1,538 |
Dividends | 821 |
Tax reclaims | 2,098 |
Prepaid Trustees’ retainer | 21 |
Prepaid expenses | 37 |
Other assets | 115 |
Total assets | 1,078,981 |
Liabilities | |
Payables | |
Fund shares repurchased | 1,350 |
Foreign capital gains tax | 368 |
Investment advisory fees | 742 |
Distribution and service fees | 61 |
Administration and accounting fees | 92 |
Transfer agent and sub-transfer agent fees and expenses | 199 |
Professional fees | 39 |
Trustee deferred compensation plan | 115 |
Interest expense and/or commitment fees | 2 |
Other accrued expenses | 98 |
Total liabilities | 3,066 |
Net Assets | $ 1,075,915 |
Net Assets Consist of: | |
Common stock $0.001 par value | $ 34 |
Capital paid in on shares of beneficial interest | 689,214 |
Accumulated earnings (loss) | 386,667 |
Net Assets | $ 1,075,915 |
Net Assets: | |
Class A | $ 176,146 |
Class C | $ 30,294 |
Class I | $ 784,711 |
Class R6 | $ 84,764 |
Shares Outstanding (unlimited number of shares authorized, $0.001 par value): | |
Class A | 5,547,704 |
Class C | 989,289 |
Class I | 24,719,890 |
Class R6 | 2,668,925 |
Net Asset Value and Redemption Price Per Share: | |
Class A | $ 31.75 |
Class C | $ 30.62 |
Class I | $ 31.74 |
Class R6 | $ 31.76 |
Maximum Offering Price per Share (NAV/(1-5.75%*)): | |
Class A | $ 33.69 |
* Maximum sales charge | |
(1) Investment in securities at cost | $ 712,343 |
(2) Foreign currency at cost | $ 113 |
Investment Income | |
Dividends | $ 12,002 |
Security lending, net of fees | 11 |
Foreign taxes withheld | (1,090) |
Total investment income | 10,923 |
Expenses | |
Investment advisory fees | 8,823 |
Distribution and service fees, Class A | 439 |
Distribution and service fees, Class C | 353 |
Administration and accounting fees | 1,092 |
Transfer agent fees and expenses | 470 |
Sub-transfer agent fees and expenses, Class A | 214 |
Sub-transfer agent fees and expenses, Class C | 28 |
Sub-transfer agent fees and expenses, Class I | 631 |
Custodian fees | 21 |
Printing fees and expenses | 59 |
Professional fees | 65 |
Interest expense and/or commitment fees | 6 |
Registration fees | 80 |
Trustees’ fees and expenses | 90 |
Miscellaneous expenses | 131 |
Total expenses | 12,502 |
Less net expenses reimbursed and/or waived by investment adviser(1) | (572) |
Less low balance account fees | (1) |
Net expenses | 11,929 |
Net investment income (loss) | (1,006) |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 72,216 |
Foreign currency transactions | (888) |
Foreign capital gains tax | (402) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | 45,947 |
Foreign currency transactions | 198 |
Foreign capital gains tax | 330 |
Net realized and unrealized gain (loss) on investments | 117,401 |
Net increase (decrease) in net assets resulting from operations | $116,395 |
(1) | See Note 3D in Notes to Financial Statements. |
Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $ (1,006) | $ 6,358 | |
Net realized gain (loss) | 70,926 | 71,201 | |
Net change in unrealized appreciation (depreciation) | 46,475 | (24,882) | |
Increase (decrease) in net assets resulting from operations | 116,395 | 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 (956 and 1,512 shares, respectively) | 28,119 | 42,627 | |
Class C (63 and 107 shares, respectively) | 1,814 | 2,798 | |
Class I (7,330 and 6,586 shares, respectively) | 204,841 | 184,884 | |
Class R6 (551 and 758 shares, respectively) | 15,995 | 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 (159 and 127 shares, respectively) | 4,770 | 3,231 | |
Shares repurchased and cross class conversions: | |||
Class A ((1,927) and (2,631) shares, respectively) | (54,470) | (75,225) | |
Class C ((572) and (1,359) shares, respectively) | (15,942) | (37,018) | |
Class I ((9,486) and (15,432) shares, respectively) | (266,050) | (438,307) | |
Class R6 ((315) and (805) shares, respectively) | (9,125) | (25,427) | |
Increase (decrease) in net assets from capital transactions | (19,902) | (105,599) | |
Net increase (decrease) in net assets | 17,064 | (246,658) | |
Net Assets | |||
Beginning of period | 1,058,851 | 1,305,509 | |
End of Period | $ 1,075,915 | $ 1,058,851 |
(1) | See Note 11 in Notes to Financial Statements. |
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 9/30/20 | $30.44 | (0.10) | 3.64 | 3.54 | (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) |
Class C | |||||||
10/1/19 to 9/30/20 | $29.54 | (0.29) | 3.51 | 3.22 | — | (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) |
Class I | |||||||
10/1/19 to 9/30/20 | $30.43 | — (9) | 3.63 | 3.63 | (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) |
Class R6 | |||||||
10/1/19 to 9/30/20 | $30.44 | 0.03 | 3.64 | 3.67 | (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) |
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 |
1.31 | $31.75 | 12.02 % | $ 176,146 | 1.39 % | 1.43 % | (0.35) % | 63 % |
(4.18) | 30.44 | 7.08 | 186,206 | 1.40 (6) | 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 (7) | 278,667 | 1.45 (7) | 1.46 | 0.28 (7) | 31 |
2.41 | 29.62 | 9.77 | 367,684 | 1.44 (8) | 1.45 | 0.68 | 25 |
1.08 | $30.62 | 11.26 % | $ 30,294 | 2.05 % | 2.12 % | (1.01) % | 63 % |
(4.29) | 29.54 | 6.40 | 41,638 | 2.07 (6) | 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 (7) | 93,166 | 2.19 (7) | 2.20 | (0.39) (7) | 31 |
2.28 | 29.23 | 8.94 | 112,180 | 2.19 (8) | 2.20 | (0.06) | 25 |
1.31 | $31.74 | 12.37 % | $ 784,711 | 1.07 % | 1.13 % | (0.02) % | 63 % |
(4.27) | 30.43 | 7.43 | 761,809 | 1.08 (6) | 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 (7) | 1,062,609 | 1.19 (7) | 1.20 | 0.64 (7) | 31 |
2.40 | 29.63 | 10.05 | 958,835 | 1.19 (8) | 1.20 | 0.90 | 25 |
1.32 | $31.76 | 12.49 % | $ 84,764 | 0.95 % | 1.04 % | 0.11 % | 63 % |
(4.28) | 30.44 | 7.57 | 69,198 | 0.96 (6) | 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 (7) | 19,370 | 1.08 (7) | 1.09 | 0.75 (7) | 31 |
2.39 | 29.63 | 10.16 | 6,587 | 1.09 (8) | 1.10 | 1.14 | 25 |
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) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(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 less than 0.01%. Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return by less than 0.01%. |
(8) | Net expense ratio includes extraordinary proxy expenses. |
(9) | Amount is less than $0.005 per share. |
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. |
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 |
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 September 30, 2020, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2017 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 |
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 $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% |
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 | $ 58 | $ 77 | $ 135 | ||
Class C | 32 | 25 | 57 | ||
Class I | 383 | 415 | 798 | ||
Class R6 | 34 | 68 | 102 | ||
Class A | Class C | Total | ||
$ 14 | $ — * | $ 14 |
* | Amount is less than $500. |
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 fiscal year (the “period”) ended September 30, 2020, it retained net commissions of $4 for Class A shares and CDSC of $1 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 September 30, 2020, the Fund incurred administration fees totaling $992 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 September 30, 2020, the Fund incurred transfer agent fees totaling $445 which are included in the Statement 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 Statement of Assets and Liabilities at September 30, 2020. |
Purchases | Sales | |
$636,845 | $736,145 |
% of Shares Outstanding | Number of Accounts* | |
32% | 1 |
* | The shareholders are not affiliated with Virtus. |
Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | |||
$— * | $1,500 | 2.25% | 3 |
* | Amount is less than $500. |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$ 716,112 | $ 359,817 | $ (24,665) | $ 335,152 |
Late Year Ordinary Losses Deferred |
$ 508 |
Undistributed Long-Term Capital Gains |
$52,489 |
Year Ended | Year Ended | ||
2020 | 2019 | ||
Ordinary Income | $ 6,910 | $ 9,326 | |
Long-Term Capital Gains | 72,519 | 184,410 | |
Total | $79,429 | $193,736 |
Capital Paid in on Shares of Beneficial Interest | Total Distributable Earnings (Accumulated Losses) | |
$ — (1) | $ —(1) |
(1) | Amount is less than $500. |
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 |
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 |
Philadelphia, Pennsylvania
QDI | DRD | LTCG | ||
100% | 19% | $ 53,979 |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Brown, Thomas J. YOB: 1945 Served Since: 2016 68 Portfolios | Retired. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). |
Burke, Donald C. YOB: 1960 Served Since: 2016 72 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; and Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 68 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Director (1999 to 2019) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Mallin, John R. YOB: 1950 Served Since: 2016 68 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm) Real Property Practice Group; Member (since 2014), Counselors of Real Estate. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). |
McClellan, Hassell H. YOB: 1945 Served Since: 2015 68 Portfolios | Retired. Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee since 2015), Virtus Mutual Fund Family (54 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 68 Portfolios | Retired (since 2013). Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013), Vice President Global Finance Transformation (2007 to 2009), Vice President and Controller (1999 to 2007), The Coca-Cola Company. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Director (since 2019), Global Payments Inc.; Trustee (since 2017), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (2014 to 2019), Total System Services, Inc.; Member (since 2011) and Chair (2014 to 2016), Georgia State University, Robinson College of Business Board of Advisors; and Trustee (2005 to 2017), RidgeWorth Funds. |
McLoughlin, Philip YOB: 1946 Served Since: 1999 72 Portfolios | Retired. | Director and Chairman (since 2016), Virtus Total Return Fund Inc.; Director and Chairman (2016 to 2019), the former Virtus Total Return Fund Inc.; Director and Chairman (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (1991 to 2019) and Chairman (2010 to 2019), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (54 portfolios). |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 72 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (54 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2000 68 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). | Director (since 2016), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (54 portfolios). |
Segerson, Richard E. YOB: 1946 Served Since: 2000 68 Portfolios | Retired. Managing Director (1998 to 2013), Northway Management Company. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (54 portfolios). |
Walton, R. Keith YOB: 1964 Served Since: 2020 68 Portfolios | Venture and Operating Partner (since 2020), Plexo Capital, LLC; Venture Partner (since 2019) and Senior Adviser (2018 to 2019), Plexo, LLC; Senior Adviser (2018 to 2019), Vatic Labs, LLC; Executive Vice President, Strategy (2017 to 2019), Zero Mass Water, LLC; Vice President, Strategy (2013 to 2017), Arizona State University; Partner (since 2006), Global Infrastructure Partners. | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Director (since 2017), certain funds advised by Bessemer Investment Management LLC; Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (2006 to 2019), Systematica Investments Limited Funds; Director (2006 to 2017), BlueCrest Capital Management Limited Funds; Trustee (2014 to 2017), AZ Service; Director (since 2004), Virtus Total Return Fund Inc.; and Director (2004 to 2019), the former Virtus Total Return Fund Inc. |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Zino, Brian T. YOB: 1952 Served Since: 2020 68 Portfolios | Retired. Various roles (1982 to 2008), J. & W. Seligman & Co. Incorporated, including President (1994 to 2008). | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2014), Virtus Total Return Fund Inc.; Director (2014 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2011), Bentley University; Director (1986 to 2008) and President (1994 to 2008), J&W Seligman Co. Inc.; Director (1998 to 2009), Chairman (2002 to 2004) and Vice Chairman (2000 to 2002), ICI Mutual Insurance Company; Member, Board of Governors of ICI (1998 to 2008). |
Name, Year of Birth, Length of Time Served and Number of Funds Overseen | Principal Occupation(s) During Past 5 Years | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee |
Aylward, George R.* Trustee and President YOB: 1964 Served Since: 2006 70 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries, and various senior officer positions with Virtus affiliates (since 2005). | Chairman and Trustee (since 2015), Virtus ETF Trust II (2 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (5 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (54 portfolios); Director, President and Chief Executive Officer (since 2006), Virtus Total Return Fund Inc.; and Director, President and Chief Executive Officer (2006 to 2019), the former Virtus Total Return Fund Inc. |
Name, Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Moyer, William R. YOB: 1944 Served Since: 2020 68 Portfolios | Private investor (since 2004); Financial and Operations Principal (2006 to 2017), Newcastle Distributors LLC (broker dealer). | Advisory Board Member (since 2020), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Advisory Board Member (since 2020) and Director (2016 to 2019), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Advisory Board Member (since 2020) and Director (2014 to 2019), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Advisory Board Member (since 2020) and Trustee (2011 to 2019), Virtus Global Multi-Sector Income Fund; Advisory Board Member (since 2020) and Trustee (2013 to 2016), Virtus Alternative Solutions Trust (3 portfolios). |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter J. YOB: 1970 | Senior Vice President (since 2017), and Vice President (2008 to 2016). | Senior Vice President, Product Development (since 2017), Vice President, Product Development (2008 to 2016), and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2013 to 2016), Virtus Alternative Solutions Trust; Senior Vice President (since 2017) and Vice President (2016 to 2017), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; and Senior Vice President (2017 to 2019) and Vice President (2016 to 2017), the former Virtus Total Return Fund Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2011 to 2013); Chief Financial Officer and Treasurer (since 2006). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), and various officer positons (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc.; Executive Vice President (2016 to 2019), Senior Vice President (2013 to 2016), Vice President (2012 to 2013), Treasurer and Chief Financial Officer (since 2010), the former Virtus Total Return Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Utility and Infrastructure Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2013); Vice President (2005 to 2013); Chief Legal Officer, Counsel and Secretary (since 2005). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), and various officer positions (since 2005), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), and Assistant Secretary (2013 to 2014 and since 2017), Virtus Total Return Fund Inc.; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013) and Assistant Secretary (2013 to 2014 and 2017 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President (2013 to 2014), Vice President (2011 to 2013), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017); Vice President (2011 to 2017); and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), and various officer positions (since 2003), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc.; Senior Vice President (2017 to 2019), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President (since 2018), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Senior Vice President (2018 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013); Senior Vice President (2008 to 2013). | Executive Vice President, Product Development (since 2009), and various senior officer positions (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust; Executive Vice President (since 2017), Virtus Total Return Fund Inc.; and Executive Vice President (2017 to 2019), the former Virtus Total Return Fund Inc. |
Accounting Firm
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.
please contact us at 1-800-243-1574, or Virtus.com.
8011 | 11-20 |
1 | |
2 | |
4 | |
6 | |
11 | |
47 | |
49 | |
50 | |
52 | |
55 | |
67 | |
68 | |
69 | |
70 |
President, Virtus Funds
Beginning Account Value April 1, 2020 | Ending Account Value September 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,083.70 | 0.98 % | $ 5.11 | |||
Class C | 1,000.00 | 1,081.30 | 1.21 | 6.30 | |||
Class C1 | 1,000.00 | 1,078.80 | 1.71 | 8.89 | |||
Class I | 1,000.00 | 1,082.60 | 0.72 | 3.75 | |||
Class R6 | 1,000.00 | 1,085.30 | 0.55 | 2.87 |
* | 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. |
Beginning Account Value April 1, 2020 | Ending Account Value September 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,020.10 | 0.98 % | $ 4.95 | |||
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. |
September 30, 2020
Ticker Symbols: | |
Class A: NARAX | |
Class C: PSTCX | |
Class C1: PMSTX | |
Class I: PIMSX | |
Class R6: VMSSX |
■ | The Fund is diversified and has an investment objective of providing high current income while attempting to limit changes in the Fund’s net asset value per share caused by interest rate changes. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned 3.10%, Class C shares at NAV returned 2.81%, Class C1 shares at NAV returned 2.31%, Class I shares at NAV returned 3.36%, and Class R6 shares at NAV returned 3.65%. For the same period, the ICE BofA Merrill Lynch 1–3 Year A–BBB US Corporate Index, which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned 4.34%. |
Corporate Bonds and Notes | 34% | |
Financials | 9% | |
Energy | 4 | |
Industrials | 4 | |
All other Corporate Bonds and Notes | 17 | |
Mortgage-Backed Securities | 26 | |
Asset-Backed Securities | 23 | |
Leveraged Loans | 10 | |
Foreign Government Securities | 5 | |
U.S. Government Securities | 2 | |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 3.10 % | 3.14 % | 3.26 % | — % | — | |||||||
Class A shares at POP3,4 | 0.78 | 2.67 | 3.02 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 2.81 | 2.84 | 2.99 | — | — | |||||||
Class C1 shares at NAV2 and with CDSC4 | 2.31 | 2.38 | 2.48 | — | — | |||||||
Class I shares at NAV2 | 3.36 | 3.35 | 3.49 | — | — | |||||||
Class R6 shares at NAV2 | 3.65 | — | — | 3.19 | 11/3/16 | |||||||
ICE BofA Merrill Lynch 1-3 Year A-BBB US Corporate Index | 4.34 | 2.99 | 2.63 | 3.13 5 | — | |||||||
Fund Expense Ratios6: Class A shares: 0.98%; Class C shares: 1.21%; Class C1 shares: 1.72%; Class I shares: 0.72%; Class R6 shares: Gross 0.65%, Net 0.55%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 2.25% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C1 shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
September 30, 2020
Par Value | Value | ||
U.S. Government Securities—2.1% | |||
U.S. Treasury Notes | |||
0.125%, 5/31/22 | $62,180 | $ 62,165 | |
1.250%, 8/31/24 | 25,160 | 26,173 | |
0.250%, 5/31/25 | 14,905 | 14,903 | |
1.500%, 2/15/30 | 19,910 | 21,475 | |
Total U.S. Government Securities (Identified Cost $123,069) | 124,716 | ||
Municipal Bond—0.1% | |||
Virginia—0.1% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 4,455 | 4,598 | |
Total Municipal Bond (Identified Cost $4,174) | 4,598 | ||
Foreign Government Securities—4.6% | |||
Arab Republic of Egypt | |||
144A 5.750%, 5/29/24(1) | 1,000 | 1,022 | |
144A 5.875%, 6/11/25(1) | 8,840 | 9,055 | |
Bolivarian Republic of Venezuela | |||
RegS 7.000%, 12/1/18(2)(3) | 20,999 | 1,575 | |
RegS 7.750%, 10/13/19(2)(3) | 9,851 | 739 | |
Dominican Republic | |||
144A 6.875%, 1/29/26(1) | 4,355 | 4,845 | |
144A 5.950%, 1/25/27(1) | 2,280 | 2,446 | |
Federal Republic of Brazil | |||
2.875%, 6/6/25 | 300 | 302 | |
4.625%, 1/13/28 | 13,345 | 14,453 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Federal Republic of Nigeria 144A 7.625%, 11/21/25(1) | $ 4,345 | $ 4,519 | |
Kingdom of Abu Dhabi 144A 2.125%, 9/30/24(1) | 6,800 | 7,101 | |
Kingdom of Saudi Arabia 144A 3.250%, 10/26/26(1) | 10,800 | 11,744 | |
Republic of Angola 144A 9.500%, 11/12/25(1) | 1,950 | 1,692 | |
Republic of Ghana 144A 7.875%, 3/26/27(1) | 8,400 | 7,969 | |
Republic of Indonesia | |||
144A 3.375%, 4/15/23(1) | 18,000 | 18,982 | |
144A 5.875%, 1/15/24(1) | 15,230 | 17,524 | |
144A 4.125%, 1/15/25(1) | 9,765 | 10,898 | |
144A 4.750%, 1/8/26(1) | 10,650 | 12,361 | |
Republic of Kazakhstan 144A 5.125%, 7/21/25(1) | 1,830 | 2,116 | |
Republic of Kenya 144A 7.000%, 5/22/27(1) | 5,500 | 5,393 | |
Republic of Panama 3.875%, 3/17/28 | 15,600 | 17,667 | |
Republic of Qatar 144A 3.250%, 6/2/26(1) | 4,500 | 4,950 | |
Republic of South Africa | |||
5.875%, 9/16/25 | 3,225 | 3,447 | |
4.850%, 9/27/27 | 8,645 | 8,520 | |
Republic of Turkey | |||
6.250%, 9/26/22 | 5,790 | 5,834 | |
7.250%, 12/23/23 | 5,550 | 5,716 | |
6.350%, 8/10/24 | 6,550 | 6,525 | |
7.375%, 2/5/25 | 5,115 | 5,282 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Russian Federation | |||
RegS 4.875%, 9/16/23(3) | $ 5,200 | $ 5,710 | |
RegS 4.750%, 5/27/26(3) | 11,800 | 13,523 | |
Saudi Government International Bond | |||
144A 4.000%, 4/17/25(1) | 20,800 | 23,109 | |
144A 2.500%, 2/3/27(1) | 7,000 | 7,297 | |
Ukraine Government 144A 7.750%, 9/1/25(1) | 11,690 | 11,704 | |
United Mexican States | |||
4.150%, 3/28/27 | 7,800 | 8,666 | |
Series M 6.500%, 6/9/22 | 250,769 MXN | 11,714 | |
Total Foreign Government Securities (Identified Cost $296,010) | 274,400 | ||
Mortgage-Backed Securities—26.1% | |||
Agency—1.6% | |||
Federal National Mortgage Association | |||
Pool #AD6058 4.000%, 8/1/25 | 2,374 | 2,518 | |
Pool #AO5149 3.000%, 6/1/27 | 288 | 302 | |
Pool #AS5927 3.000%, 10/1/30 | 9,883 | 10,368 | |
Pool #AZ4794 3.000%, 10/1/30 | 16,604 | 17,456 | |
Pool #890710 3.000%, 2/1/31 | 6,469 | 6,792 | |
Pool #254549 6.000%, 12/1/32 | 16 | 19 | |
Pool #695237 5.500%, 2/1/33 | 14 | 16 | |
Pool #773385 5.500%, 5/1/34 | 120 | 141 |
Par Value | Value | ||
Agency—continued | |||
Pool #725762 6.000%, 8/1/34 | $ 94 | $ 111 | |
Pool #806318 5.500%, 11/1/34 | 127 | 140 | |
Pool #806328 5.500%, 11/1/34 | 114 | 127 | |
Pool #800267 5.500%, 12/1/34 | 24 | 27 | |
Pool #808018 5.500%, 1/1/35 | 108 | 127 | |
Pool #941322 6.000%, 7/1/37 | 6 | 7 | |
Pool #889578 6.000%, 4/1/38 | 56 | 66 | |
Pool #AC6992 5.000%, 12/1/39 | 1,783 | 2,054 | |
Pool #AD3841 4.500%, 4/1/40 | 2,637 | 2,960 | |
Pool #AD4224 5.000%, 8/1/40 | 2,897 | 3,338 | |
Pool #AE4799 4.000%, 10/1/40 | 58 | 63 | |
Pool #AH4009 4.000%, 3/1/41 | 2,430 | 2,677 | |
Pool #AI2472 4.500%, 5/1/41 | 2,007 | 2,251 | |
Pool #AS6515 4.000%, 1/1/46 | 5,869 | 6,356 | |
Pool #AS9393 4.000%, 4/1/47 | 3,439 | 3,687 | |
Pool #MA3692 3.500%, 7/1/49 | 9,709 | 10,225 | |
Pool #CA4978 3.000%, 1/1/50 | 21,331 | 22,358 | |
Government National Mortgage Association Pool #563381 6.500%, 11/15/31 | 14 | 16 | |
94,202 | |||
Par Value | Value | ||
Non-Agency—24.5% | |||
Adjustable Rate Mortgage Trust 2005-1, 3A1 3.078%, 5/25/35(4) | $ 1,507 | $ 1,512 | |
Ajax Mortgage Loan Trust | |||
2017-B, A 144A 3.163%, 9/25/56(1)(4) | 6,702 | 6,682 | |
2019-D, A1 144A 2.956%, 9/25/65(1)(4) | 6,722 | 6,807 | |
2018-C, A 144A 4.360%, 9/25/65(1)(4) | 7,702 | 7,827 | |
American Homes 4 Rent Trust 2015-SFR1, A 144A 3.467%, 4/17/52(1) | 10,988 | 11,734 | |
AMSR Trust | |||
2020-SFR1, A 144A 1.819%, 4/17/37(1) | 8,627 | 8,795 | |
2020-SFR1, B 144A 2.120%, 4/17/37(1) | 6,739 | 6,834 | |
2020-SFR3, B 144A 1.806%, 9/17/37(1) | 4,362 | 4,362 | |
Angel Oak Mortgage Trust I LLC | |||
2018-3, A1 144A 3.649%, 9/25/48(1)(4) | 2,968 | 3,030 | |
2019-2, A1 144A 3.628%, 3/25/49(1)(4) | 4,758 | 4,864 | |
Angel Oak Mortgage Trust LLC | |||
2017-1, A3 144A 3.644%, 1/25/47(1)(4) | 53 | 53 | |
2017-3, A1 144A 2.708%, 11/25/47(1)(4) | 831 | 832 | |
2019-3, A1 144A 2.930%, 5/25/59(1)(4) | 5,618 | 5,689 | |
2020-6, A1 144A 1.261%, 5/25/65(1)(4) | 7,167 | 7,166 | |
2020-4, A1 144A 1.469%, 6/25/65(1)(4) | 17,029 | 17,088 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(1)(4) | 25,864 | 26,374 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-1, A1 144A 3.805%, 1/25/49(1)(4) | $10,472 | $10,803 | |
2019-2, A1 144A 3.347%, 4/25/49(1)(4) | 7,987 | 8,215 | |
Banc of America Funding Trust | |||
2004-B, 2A1 4.308%, 11/20/34(4) | 244 | 256 | |
2004-D, 5A1 3.778%, 1/25/35(4) | 1,790 | 1,752 | |
2005-1, 1A1 5.500%, 2/25/35 | 242 | 250 | |
2006-2, 3A1 6.000%, 3/25/36 | 1,038 | 1,041 | |
Banc of America Mortgage Trust 2005-3, 1A15 5.500%, 4/25/35 | 573 | 594 | |
Bayview Koitere Fund Trust 2017-RT4, A 144A 3.500%, 7/28/57(1)(4) | 4,926 | 5,101 | |
Bayview Opportunity Master Fund IVa Trust | |||
2016-SPL1, B1 144A 4.250%, 4/28/55(1) | 8,108 | 8,470 | |
2017-RT1, A1 144A 3.000%, 3/28/57(1)(4) | 2,166 | 2,222 | |
2017-SPL5, B1 144A 4.000%, 6/28/57(1)(4) | 5,910 | 6,238 | |
Bayview Opportunity Master Fund IVb Trust | |||
2016-SPL2, B1 144A 4.250%, 6/28/53(1)(4) | 5,822 | 6,108 | |
2017-SPL4, A 144A 3.500%, 1/28/55(1)(4) | 1,686 | 1,719 |
Par Value | Value | ||
Non-Agency—continued | |||
BBCMS Mortgage Trust 2018-TALL, A (1 month LIBOR + 0.722%) 144A 0.874%, 3/15/37(1)(4) | $ 5,490 | $ 5,272 | |
Bunker Hill Loan Depositary Trust 2019-2, A1 144A 2.879%, 7/25/49(1)(4) | 5,999 | 6,158 | |
BX Commercial Mortgage Trust | |||
2019-XL, C (1 month LIBOR + 1.250%) 144A 1.402%, 10/15/36(1)(4) | 7,400 | 7,379 | |
2020-BXLP, D (1 month LIBOR + 1.250%) 144A 1.402%, 12/15/36(1)(4) | 9,057 | 8,966 | |
BX Trust | |||
2018-GW, B (1 month LIBOR + 1.020%) 144A 1.172%, 5/15/35(1)(4) | 19,910 | 18,862 | |
2019-OC11, B 144A 3.605%, 12/9/41(1) | 5,000 | 5,181 | |
2019-OC11, D 144A 4.075%, 12/9/41(1)(4) | 5,615 | 5,445 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(1) | 10,485 | 10,602 | |
Chase Home Lending Mortgage Trust 2019-ATR1, A4 144A 4.000%, 4/25/49(1)(4) | 3,766 | 3,788 | |
CHC Commercial Mortgage Trust 2019-CHC, A (1 month LIBOR + 1.120%) 144A 1.272%, 6/15/34(1)(4) | 17,564 | 16,738 | |
CHL Mortgage Pass-Through Trust 2004-6, 1A2 3.459%, 5/25/34(4) | 432 | 423 |
Par Value | Value | ||
Non-Agency—continued | |||
Citigroup Commercial Mortgage Trust | |||
2019-SST2, A (1 month LIBOR + 0.920%) 144A 1.072%, 12/15/36(1)(4) | $ 7,195 | $ 7,068 | |
2015-GC27, A4 2.878%, 2/10/48 | 8,835 | 9,295 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2004-NCM2, 2CB2 6.750%, 8/25/34 | 6,087 | 6,721 | |
2014-A, A 144A 4.000%, 1/25/35(1)(4) | 3,237 | 3,404 | |
2015-PS1, A1 144A 3.750%, 9/25/42(1)(4) | 2,334 | 2,401 | |
2019-IMC1, A1 144A 2.720%, 7/25/49(1)(4) | 2,309 | 2,348 | |
2015-A, A1 144A 3.500%, 6/25/58(1)(4) | 708 | 726 | |
2018-RP1, A1 144A 3.000%, 9/25/64(1)(4) | 10,675 | 11,272 | |
2019-RP1, A1 144A 3.500%, 1/25/66(1)(4) | 11,168 | 11,934 | |
COLT Mortgage Loan Trust Funding LLC | |||
2020-1, A1 144A 2.488%, 2/25/50(1)(4) | 12,767 | 12,906 | |
2020-1R, A1 144A 1.255%, 9/25/65(1)(4) | 4,500 | 4,500 | |
CoreVest American Finance Trust | |||
2017-1, A 144A 2.968%, 10/15/49(1) | 2,773 | 2,827 | |
2018-2, A 144A 4.026%, 11/15/52(1) | 6,031 | 6,482 | |
2020-1, A1 144A 1.832%, 3/15/50(1) | 17,420 | 17,611 | |
2020-3, A 144A 1.358%, 8/15/53(1) | 8,525 | 8,511 | |
Credit Suisse First Boston Mortgage Securities Corp. | |||
2003-27, 5A3 5.250%, 11/25/33 | 159 | 162 |
Par Value | Value | ||
Non-Agency—continued | |||
2003-AR30, 5A1 3.562%, 1/25/34(4) | $ 1,745 | $ 1,768 | |
2004-8, 7A1 6.000%, 12/25/34 | 2,886 | 3,043 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 1.132%, 5/15/36(1)(4) | 27,050 | 27,017 | |
Credit Suisse Mortgage Capital Trust | |||
2013-HYB1, A16 144A 2.946%, 4/25/43(1)(4) | 759 | 777 | |
2014-IVR2, A2 144A 3.695%, 4/25/44(1)(4) | 4,988 | 5,237 | |
2018-RPL8, A1 144A 4.125%, 7/25/58(1)(4) | 7,945 | 7,977 | |
2020-RPL4, A1 144A 2.000%, 1/25/60(1) | 15,000 | 15,481 | |
2020-NQM1, A1 144A 1.208%, 5/25/65(1)(4) | 12,560 | 12,560 | |
Deephaven Residential Mortgage Trust | |||
2017-1A, A1 144A 2.725%, 12/26/46(1)(4) | 701 | 702 | |
2017-1A, A2 144A 2.928%, 12/26/46(1)(4) | 178 | 178 | |
2017-2A, A1 144A 2.453%, 6/25/47(1)(4) | 969 | 971 | |
2017-2A, A2 144A 2.606%, 6/25/47(1)(4) | 437 | 438 | |
2017-3A, A3 144A 2.813%, 10/25/47(1)(4) | 731 | 739 | |
2018-2A, A1 144A 3.479%, 4/25/58(1)(4) | 8,220 | 8,375 | |
2018-3A, A1 144A 3.789%, 8/25/58(1)(4) | 957 | 960 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-1A, A1 144A 3.743%, 1/25/59(1)(4) | $ 2,090 | $ 2,111 | |
Ellington Financial Mortgage Trust | |||
2018-1, A1FX 144A 4.140%, 10/25/58(1)(4) | 4,818 | 4,939 | |
2019-2, A3 144A 3.046%, 11/25/59(1)(4) | 5,704 | 5,800 | |
2020-1, A1 144A 2.006%, 5/25/65(1)(4) | 10,417 | 10,540 | |
Exantas Capital Corp. 2020-RSO8, A (1 month LIBOR + 1.150%) 144A 1.301%, 3/15/35(1)(4) | 12,380 | 12,215 | |
FirstKey Homes Trust 2020-SFR1, B 144A 1.740%, 9/17/25(1) | 5,280 | 5,276 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(1)(4) | 6,836 | 7,022 | |
2018-1, A23 144A 3.500%, 11/25/57(1)(4) | 4,671 | 4,809 | |
2018-2, A41 144A 4.500%, 10/25/58(1)(4) | 4,389 | 4,485 | |
2019-H1, A1 144A 2.657%, 10/25/59(1)(4) | 7,271 | 7,414 | |
2020-H1, A1 144A 2.310%, 1/25/60(1)(4) | 27,720 | 28,245 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(1)(4) | 9,445 | 9,591 | |
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(1) | 12,721 | 12,823 | |
GS Mortgage Securities Trust 2020-GC45, AS 3.173%, 2/13/53(4) | 4,075 | 4,543 |
Par Value | Value | ||
Non-Agency—continued | |||
Hilton USA Trust 2016-SFP, B 144A 3.323%, 11/5/35(1) | $22,020 | $21,989 | |
Homeward Opportunities Fund I Trust | |||
2018-1, A1 144A 3.766%, 6/25/48(1)(4) | 9,249 | 9,280 | |
2018-2, A1 144A 3.985%, 11/25/58(1)(4) | 8,212 | 8,505 | |
2019-3, A1 144A 2.675%, 11/25/59(1)(4) | 16,186 | 16,413 | |
IMC Home Equity Loan Trust 1997-5, A9 7.310%, 11/20/28 | 1,201 | 1,208 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
2011-C4, A4 144A 4.388%, 7/15/46(1) | 1,483 | 1,499 | |
2015-C31, AS 4.106%, 8/15/48 | 4,670 | 5,187 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, AM 144A 3.348%, 6/25/29(1)(4) | 2,364 | 2,396 | |
2014-2, 2A2 144A 3.500%, 6/25/29(1)(4) | 3,798 | 3,879 | |
2014-5, B1 144A 2.946%, 10/25/29(1)(4) | 1,882 | 1,893 | |
2014-5, B2 144A 2.946%, 10/25/29(1)(4) | 886 | 885 | |
2006-A2, 4A1 3.076%, 8/25/34(4) | 423 | 432 | |
2005-A2, 4A1 3.106%, 4/25/35(4) | 348 | 340 | |
2006-A6, 3A3L 2.985%, 10/25/36(4) | 538 | 455 | |
2014-1, 2A12 144A 3.500%, 1/25/44(1)(4) | 2,380 | 2,473 | |
2015-1, AM1 144A 2.146%, 12/25/44(1)(4) | 3,199 | 3,232 |
Par Value | Value | ||
Non-Agency—continued | |||
2016-SH1, M2 144A 3.750%, 4/25/45(1)(4) | $ 7,234 | $ 7,322 | |
2015-5, A2 144A 2.633%, 5/25/45(1)(4) | 3,920 | 4,040 | |
2016-SH2, M2 144A 3.750%, 12/25/45(1)(4) | 9,839 | 10,146 | |
2017-3, 2A2 144A 2.500%, 8/25/47(1)(4) | 5,492 | 5,624 | |
2017-5, A1 144A 3.128%, 10/26/48(1)(4) | 18,836 | 19,201 | |
JPMorgan Chase WaMu Mortgage Pass-Through Certificates Trust | |||
2003-AR6, A1 3.108%, 6/25/33(4) | 274 | 276 | |
2004-CB1, 2A 5.000%, 6/25/34 | 736 | 762 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%) 144A 0.952%, 5/15/36(1)(4) | 5,740 | 5,742 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(1)(4) | 18,755 | 19,040 | |
MASTR Alternative Loan Trust | |||
2003-8, 2A1 5.750%, 11/25/33 | 2,040 | 2,115 | |
2004-4, 6A1 5.500%, 4/25/34 | 1,305 | 1,354 | |
2004-7, 9A1 6.000%, 8/25/34 | 6,435 | 6,758 | |
2005-2, 2A1 6.000%, 1/25/35 | 1,837 | 1,970 | |
2005-2, 1A1 6.500%, 3/25/35 | 4,361 | 4,561 |
Par Value | Value | ||
Non-Agency—continued | |||
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 1.348%, 6/25/52(1)(4) | $18,395 | $18,358 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.645%, 4/25/55(1)(4) | 7,930 | 8,397 | |
2019-1A, A1A 144A 3.750%, 4/25/58(1)(4) | 9,901 | 10,616 | |
Mill City Mortgage Loan Trust 2019-1, M2 144A 3.500%, 10/25/69(1)(4) | 12,131 | 13,207 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2013-C13, AS 4.266%, 11/15/46 | 1,735 | 1,878 | |
Morgan Stanley Capital Barclays Bank Trust 2016-MART, A 144A 2.200%, 9/13/31(1) | 14,805 | 14,763 | |
Morgan Stanley Capital I Trust 2017-CLS, A (1 month LIBOR + 0.700%) 144A 0.852%, 11/15/34(1)(4) | 11,154 | 11,118 | |
Morgan Stanley Mortgage Loan Trust 2004-2AR, 3A 3.307%, 2/25/34(4) | 502 | 509 | |
Morgan Stanley Residential Mortgage Loan Trust 2014-1A, B2 144A 2.709%, 6/25/44(1)(4) | 4,017 | 4,154 |
Par Value | Value | ||
Non-Agency—continued | |||
Motel 6 Trust 2017-MTL6, A (1 month LIBOR + 0.920%) 144A 1.072%, 8/15/34(1)(4) | $ 3,953 | $ 3,884 | |
National City Mortgage Capital Trust 2008-1, 2A1 6.000%, 3/25/38 | 546 | 558 | |
New Residential Mortgage Loan Trust | |||
2016-2A, A1 144A 3.750%, 11/26/35(1)(4) | 8,198 | 8,855 | |
2018-NQM1, A1 144A 3.986%, 11/25/48(1)(4) | 3,961 | 4,062 | |
2019-NQM1, A1 144A 3.675%, 1/25/49(1)(4) | 1,871 | 1,905 | |
2014-1A, A 144A 3.750%, 1/25/54(1)(4) | 6,767 | 7,289 | |
2014-2A, A3 144A 3.750%, 5/25/54(1)(4) | 630 | 681 | |
2014-3A, AFX3 144A 3.750%, 11/25/54(1)(4) | 5,386 | 5,763 | |
2015-2A, A1 144A 3.750%, 8/25/55(1)(4) | 6,320 | 6,836 | |
2016-1A, A1 144A 3.750%, 3/25/56(1)(4) | 3,523 | 3,778 | |
2016-3A, A1 144A 3.750%, 9/25/56(1)(4) | 4,027 | 4,335 | |
2016-4A, A1 144A 3.750%, 11/25/56(1)(4) | 5,079 | 5,459 | |
2017-2A, A3 144A 4.000%, 3/25/57(1)(4) | 14,122 | 15,275 | |
2018-1A, A1A 144A 4.000%, 12/25/57(1)(4) | 13,778 | 14,872 | |
2018-2A, A1 144A 4.500%, 2/25/58(1)(4) | 13,255 | 14,454 | |
2020-1A, A1B 144A 3.500%, 10/25/59(1)(4) | 7,586 | 8,111 |
Par Value | Value | ||
Non-Agency—continued | |||
2020-NPL2, A1 144A 3.228%, 8/25/60(1)(4) | $ 3,979 | $ 3,980 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%) 1.873%, 3/25/35(4) | 1,047 | 1,054 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(1)(4) | 5,012 | 5,220 | |
2018-1, A2 (1 month LIBOR + 0.650%) 144A 0.798%, 6/25/57(1)(4) | 3,129 | 3,124 | |
2018-EXP2, 1A1 144A 4.000%, 7/25/58(1)(4) | 7,934 | 8,067 | |
2019-EXP3, 1A8 144A 3.500%, 10/25/59(1)(4) | 5,197 | 5,335 | |
Preston Ridge Partners Mortgage LLC | |||
2019-1A, A1 144A 4.500%, 1/25/24(1)(4) | 16,480 | 16,606 | |
2020-2, A1 144A 3.671%, 8/25/25(1)(4) | 5,357 | 5,357 | |
2020-3, A1 144A 2.857%, 9/25/25(1) | 11,242 | 11,242 | |
Pretium Mortgage Credit Partners I LLC 2019-NPL3, A1 144A 3.105%, 7/27/59(1)(4) | 9,561 | 9,570 | |
Progress Residential Trust | |||
2020-SFR3, A 144A 1.294%, 10/17/27(1) | 3,655 | 3,651 | |
2017-SFR1, B 144A 3.017%, 8/17/34(1) | 4,000 | 4,046 | |
2018-SFR1, A 144A 3.255%, 3/17/35(1) | 3,146 | 3,172 |
Par Value | Value | ||
Non-Agency—continued | |||
2018-SFR1, B 144A 3.484%, 3/17/35(1) | $ 2,515 | $ 2,538 | |
2018-SFR2, B 144A 3.841%, 8/17/35(1) | 9,350 | 9,544 | |
2019-SFR2, A 144A 3.147%, 5/17/36(1) | 16,427 | 16,967 | |
2019-SFR3, B 144A 2.571%, 9/17/36(1) | 10,340 | 10,542 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(1)(4) | 8,651 | 8,939 | |
PRPM LLC 2019-3A, A1 144A 3.351%, 7/25/24(1)(4) | 5,354 | 5,338 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(1)(4) | 15,901 | 16,385 | |
RCO V Mortgage LLC 2019-2, A1 144A 3.475%, 11/25/24(1)(4) | 11,637 | 11,610 | |
Residential Asset Mortgage Products Trust | |||
2004-SL2, A3 7.000%, 10/25/31 | 827 | 872 | |
2004-SL1, A8 6.500%, 11/25/31 | 1,181 | 1,151 | |
Residential Asset Securitization Trust | |||
2003-A11, A9 5.750%, 11/25/33 | 1,505 | 1,600 | |
2004-A1, A5 5.500%, 4/25/34 | 5,820 | 6,050 | |
Residential Mortgage Loan Trust | |||
2020-1, A1 144A 2.376%, 2/25/24(1)(4) | 8,025 | 8,140 | |
2019-1, A1 144A 3.936%, 10/25/58(1)(4) | 3,766 | 3,816 | |
2019-2, A1 144A 2.913%, 5/25/59(1)(4) | 8,142 | 8,287 | |
SBA Tower Trust 144A 1.884%, 1/15/26(1) | 1,785 | 1,824 |
Par Value | Value | ||
Non-Agency—continued | |||
Seasoned Credit Risk Transfer Trust 2016-1, M1 144A 3.000%, 9/25/55(1)(4) | $ 5,691 | $ 5,676 | |
Sequoia Mortgage Trust 2013-8, B1 3.514%, 6/25/43(4) | 4,746 | 4,854 | |
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(1)(4) | 8,694 | 8,791 | |
Spruce Hill Mortgage Loan Trust | |||
2019-SH1, A1 144A 3.395%, 4/29/49(1)(4) | 2,802 | 2,832 | |
2020-SH1, A1 144A 2.521%, 1/28/50(1)(4) | 5,902 | 5,963 | |
Starwood Mortgage Residential Trust | |||
2018-IMC1, A1 144A 3.793%, 3/25/48(1)(4) | 1,953 | 1,964 | |
2019-IMC1, A1 144A 3.468%, 2/25/49(1)(4) | 15,339 | 15,716 | |
2020-1, A1 144A 2.275%, 2/25/50(1)(4) | 6,111 | 6,222 | |
Starwood Waypoint Homes Trust 2017-1, A (1 month LIBOR + 0.950%) 144A 1.102%, 1/17/35(1)(4) | 15,656 | 15,638 | |
Structured Adjustable Rate Mortgage Loan Trust 2004-14, 7A 3.087%, 10/25/34(4) | 3,310 | 3,327 | |
Structured Asset Securities Corp. Mortgage-Pass-Through Certificates 2003-34A, 6A 3.462%, 11/25/33(4) | 1,181 | 1,134 |
Par Value | Value | ||
Non-Agency—continued | |||
Sutherland Commercial Mortgage Loans 2017-SBC6, A 144A 3.192%, 5/25/37(1)(4) | $ 2,004 | $ 1,991 | |
Towd Point Mortgage Trust | |||
2015-3, A1B 144A 3.000%, 3/25/54(1)(4) | 650 | 654 | |
2015-5, A2 144A 3.500%, 5/25/55(1)(4) | 3,901 | 4,049 | |
2017-1, M1 144A 3.750%, 10/25/56(1)(4) | 3,665 | 3,997 | |
2017-6, A2 144A 3.000%, 10/25/57(1)(4) | 7,235 | 7,688 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(1)(4) | 2,789 | 2,817 | |
2015-2, 1M1 144A 3.250%, 11/25/60(1)(4) | 8,448 | 8,892 | |
Towd Point Trust 2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 1.048%, 4/25/48(1)(4) | 15,491 | 15,432 | |
Tricon American Homes Trust | |||
2016-SFR1, C 144A 3.487%, 11/17/33(1) | 4,640 | 4,661 | |
2017-SFR1, A 144A 2.716%, 9/17/34(1) | 10,468 | 10,652 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(1) | 7,960 | 8,103 | |
UBS Commercial Mortgage Trust 2012-C1, D 144A 5.755%, 5/10/45(1)(4) | 7,206 | 5,298 | |
VCAT LLC | |||
2019-NPL2, A1 144A 3.573%, 11/25/49(1)(4) | 12,702 | 12,674 |
Par Value | Value | ||
Non-Agency—continued | |||
2020-NPL1, A1 144A 3.671%, 8/25/50(1)(4) | $ 8,695 | $ 8,691 | |
Velocity Commercial Capital Loan Trust | |||
2017-1, AFX 144A 3.000%, 5/25/47(1)(4) | 367 | 367 | |
2020-1, AFX 144A 2.610%, 2/25/50(1)(4) | 12,243 | 12,393 | |
Vericrest Opportunity Loan Trust | |||
2019-NPL2, A1 144A 3.967%, 2/25/49(1)(4) | 7,746 | 7,752 | |
2020-NPL2, A1A 144A 2.981%, 2/25/50(1)(4) | 12,037 | 12,038 | |
Vericrest Opportunity Loan Trust LXXXIII LLC 2019-NPL9, A1A 144A 3.327%, 11/26/49(1)(4) | 8,664 | 8,685 | |
Vericrest Opportunity Loan Trust LXXXV LLC 2020-NPL1, A1A 144A 3.228%, 1/25/50(1)(4) | 9,567 | 9,585 | |
Verus Securitization Trust | |||
2017-1A, A1 144A 2.853%, 1/25/47(1)(4) | 1,158 | 1,160 | |
2018-INV1, A3 144A 4.052%, 3/25/58(1)(4) | 2,124 | 2,132 | |
2018-2, A1 144A 3.677%, 6/1/58(1)(4) | 20,773 | 21,062 | |
2018-2, B1 144A 4.426%, 6/1/58(1)(4) | 4,975 | 5,162 | |
2018-3, A1 144A 4.108%, 10/25/58(1)(4) | 7,023 | 7,195 | |
2019-2, A1 144A 3.211%, 5/25/59(1)(4) | 12,496 | 12,777 | |
2019-INV2, A1 144A 2.913%, 7/25/59(1)(4) | 5,718 | 5,848 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-INV1, A1 144A 3.402%, 12/25/59(1)(4) | $ 9,685 | $ 9,938 | |
2020-1, A1 144A 2.417%, 1/25/60(1)(4) | 11,754 | 12,003 | |
2020-4, A1 144A 1.502%, 5/25/65(1)(4) | 20,346 | 20,421 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 6,689 | 6,867 | |
Wells Fargo Mortgage Backed Securities Trust | |||
2004-U, A1 3.664%, 10/25/34(4) | 286 | 284 | |
2020-4, A1 144A 3.000%, 7/25/50(1)(4) | 8,081 | 8,346 | |
1,459,288 | |||
Total Mortgage-Backed Securities (Identified Cost $1,529,547) | 1,553,490 | ||
Asset-Backed Securities—22.8% | |||
Auto Floor Plan—0.3% | |||
NextGear Floorplan Master Owner Trust | |||
2017-2A, A2 144A 2.560%, 10/17/22(1) | 12,410 | 12,417 | |
2018-1A, A2 144A 3.220%, 2/15/23(1) | 4,420 | 4,460 | |
16,877 | |||
Automobiles—11.8% | |||
ACC Trust | |||
2019-1, A 144A 3.750%, 5/20/22(1) | 4,406 | 4,436 | |
2019-1, B 144A 4.470%, 10/20/22(1) | 3,355 | 3,362 | |
2019-2, A 144A 2.820%, 2/21/23(1) | 2,128 | 2,141 | |
2019-2, B 144A 3.630%, 8/21/23(1) | 8,030 | 8,092 |
Par Value | Value | ||
Automobiles—continued | |||
2020-A, A 144A 6.000%, 3/20/23(1) | $ 4,454 | $ 4,577 | |
American Credit Acceptance Receivables Trust | |||
2018-1, C 144A 3.550%, 4/10/24(1) | 845 | 846 | |
2018-3, C 144A 3.750%, 10/15/24(1) | 3,522 | 3,551 | |
2018-4, C 144A 3.970%, 1/13/25(1) | 2,262 | 2,294 | |
2019-1, C 144A 3.500%, 4/14/25(1) | 8,800 | 8,994 | |
2019-2, C 144A 3.170%, 6/12/25(1) | 12,600 | 12,821 | |
AmeriCredit Automobile Receivables Trust | |||
2017-1, C 2.710%, 8/18/22 | 4,530 | 4,568 | |
2018-1, D 3.820%, 3/18/24 | 8,090 | 8,509 | |
2019-1, C 3.360%, 2/18/25 | 8,800 | 9,286 | |
Avid Automobile Receivables Trust | |||
2018-1, A 144A 2.840%, 8/15/23(1) | 199 | 199 | |
2018-1, B 144A 3.850%, 7/15/24(1) | 4,000 | 4,036 | |
2019-1, C 144A 3.140%, 7/15/26(1) | 3,180 | 3,258 | |
Avis Budget Rental Car Funding LLC | |||
(AESOP) 2017-1A, A 144A 3.070%, 9/20/23(1) | 2,260 | 2,313 | |
(AESOP) 2019-3A, A 144A 2.360%, 3/20/26(1) | 8,205 | 8,378 | |
(AESOP) 2020-1A, A 144A 2.330%, 8/20/26(1) | 8,025 | 8,264 | |
(AESOP) 2020-2A, A 144A 2.020%, 2/20/27(1) | 9,980 | 10,067 |
Par Value | Value | ||
Automobiles—continued | |||
California Republic Auto Receivables Trust 2017-1, B 2.910%, 12/15/22 | $ 7,000 | $ 7,087 | |
Capital Auto Receivables Asset Trust | |||
2017-1, C 144A 2.700%, 9/20/22(1) | 3,630 | 3,687 | |
2017-1, D 144A 3.150%, 2/20/25(1) | 1,980 | 2,020 | |
Carnow Auto Receivables Trust 2019-1A, D 144A 4.620%, 12/16/24(1) | 4,140 | 4,210 | |
CarNow Auto Receivables Trust 2020-1A, B 144A 2.710%, 7/17/23(1) | 3,320 | 3,347 | |
Carvana Auto Receivables Trust | |||
2019-1A, D 144A 3.880%, 10/15/24(1) | 6,620 | 6,849 | |
2019-2A, D 144A 3.280%, 1/15/25(1) | 8,750 | 8,977 | |
2019-3A, C 144A 2.710%, 10/15/24(1) | 6,990 | 7,173 | |
2019-3A, D 144A 3.040%, 4/15/25(1) | 1,840 | 1,882 | |
2020-N1A, D 144A 3.430%, 1/15/26(1) | 11,730 | 12,171 | |
CIG Auto Receivables Trust | |||
2020-1A, D 144A 2.350%, 1/12/26(1) | 7,310 | 7,305 | |
2020-1A, E 144A 4.430%, 2/12/27(1) | 2,415 | 2,414 | |
CPS Auto Receivables Trust | |||
2018-C, D 144A 4.400%, 6/17/24(1) | 1,440 | 1,491 | |
2020-A, C 144A 2.540%, 12/15/25(1) | 4,200 | 4,279 | |
2020-C, C 144A 1.710%, 8/17/26(1) | 3,995 | 4,003 |
Par Value | Value | ||
Automobiles—continued | |||
Credit Acceptance Auto Loan Trust | |||
2018-1A, A 144A 3.010%, 2/16/27(1) | $ 3,080 | $ 3,092 | |
2018-2A, B 144A 3.940%, 7/15/27(1) | 5,500 | 5,647 | |
2019-1A, A 144A 3.330%, 2/15/28(1) | 3,375 | 3,457 | |
2019-3A, B 144A 2.860%, 1/16/29(1) | 10,550 | 10,981 | |
2020-1A, B 144A 2.390%, 4/16/29(1) | 4,650 | 4,721 | |
Drive Auto Receivables Trust | |||
2018-4, D 4.090%, 1/15/26 | 13,505 | 14,104 | |
2019-3, C 2.900%, 8/15/25 | 8,240 | 8,505 | |
2019-4, C 2.510%, 11/17/25 | 6,410 | 6,559 | |
DT Auto Owner Trust | |||
2017-1A, D 144A 3.550%, 11/15/22(1) | 1,815 | 1,822 | |
2018-1A, C 144A 3.470%, 12/15/23(1) | 1,797 | 1,801 | |
2019-1A, C 144A 3.610%, 11/15/24(1) | 3,900 | 4,000 | |
2019-2A, B 144A 2.990%, 4/17/23(1) | 2,840 | 2,877 | |
2019-2A, C 144A 3.180%, 2/18/25(1) | 3,655 | 3,739 | |
2019-4A, C 144A 2.730%, 7/15/25(1) | 13,370 | 13,733 | |
Exeter Automobile Receivables Trust | |||
2017-3A, B 144A 2.810%, 9/15/22(1) | 3,534 | 3,543 | |
2018-2A, C 144A 3.690%, 3/15/23(1) | 3,997 | 4,029 | |
2018-3A, C 144A 3.710%, 6/15/23(1) | 6,381 | 6,458 | |
2018-4A, D 144A 4.350%, 9/16/24(1) | 13,444 | 14,104 | |
2019-1A, D 144A 4.130%, 12/16/24(1) | 14,555 | 15,213 | |
2019-2A, C 144A 3.300%, 3/15/24(1) | 6,775 | 6,969 |
Par Value | Value | ||
Automobiles—continued | |||
2019-3A, C 144A 2.790%, 5/15/24(1) | $ 4,580 | $ 4,678 | |
2019-4A, C 144A 2.440%, 9/16/24(1) | 5,020 | 5,126 | |
2020-1A, D 144A 2.730%, 12/15/25(1) | 8,775 | 9,003 | |
FHF Trust 2020-1A, A 144A 2.590%, 12/15/23(1) | 15,678 | 15,745 | |
First Investors Auto Owner Trust | |||
2017-1A, D 144A 3.600%, 4/17/23(1) | 2,057 | 2,091 | |
2019-1A, C 144A 3.260%, 3/17/25(1) | 4,690 | 4,862 | |
Flagship Credit Auto Trust | |||
2016-3, D 144A 3.890%, 11/15/22(1) | 4,990 | 5,079 | |
2017-1, C 144A 3.220%, 5/15/23(1) | 3,444 | 3,460 | |
2019-2, C 144A 3.090%, 5/15/25(1) | 2,360 | 2,456 | |
2020-1, C 144A 2.240%, 1/15/26(1) | 12,300 | 12,574 | |
2020-3, C 144A 1.730%, 9/15/26(1) | 3,490 | 3,558 | |
Foursight Capital Automobile Receivables Trust | |||
2017-1, B 144A 3.050%, 12/15/22(1) | 6,800 | 6,833 | |
2017-1, C 144A 3.470%, 12/15/22(1) | 4,458 | 4,496 | |
2018-1, D 144A 4.190%, 11/15/23(1) | 1,630 | 1,687 | |
2018-2, D 144A 4.330%, 7/15/24(1) | 4,650 | 4,890 | |
GLS Auto Receivables Issuer Trust | |||
2019-2A, A 144A 3.060%, 4/17/23(1) | 2,760 | 2,786 | |
2019-2A, B 144A 3.320%, 3/15/24(1) | 12,130 | 12,486 | |
2019-3A, B 144A 2.720%, 6/17/24(1) | 3,495 | 3,579 |
Par Value | Value | ||
Automobiles—continued | |||
2019-3A, D 144A 3.840%, 5/15/26(1) | $ 3,000 | $ 3,047 | |
2019-4A, B 144A 2.780%, 9/16/24(1) | 9,835 | 10,106 | |
2019-4A, C 144A 3.060%, 8/15/25(1) | 14,775 | 15,135 | |
2019-4A, D 144A 4.090%, 8/17/26(1) | 3,500 | 3,553 | |
2020-2A, B 144A 3.160%, 6/16/25(1) | 2,560 | 2,675 | |
2020-3A, D 144A 2.270%, 5/15/26(1) | 11,735 | 11,824 | |
2020-3A, E 144A 4.310%, 7/15/27(1) | 1,130 | 1,163 | |
GLS Auto Receivables Trust | |||
2017-1A, C 144A 3.500%, 7/15/22(1) | 8,110 | 8,158 | |
2018-1A, A 144A 2.820%, 7/15/22(1) | 249 | 250 | |
2018-1A, B 144A 3.520%, 8/15/23(1) | 14,475 | 14,700 | |
2018-3A, B 144A 3.780%, 8/15/23(1) | 2,500 | 2,544 | |
2018-3A, C 144A 4.180%, 7/15/24(1) | 4,740 | 4,938 | |
Hertz Vehicle Financing II LP | |||
2015-3A, A 144A 2.670%, 9/25/21(1) | 10,574 | 10,615 | |
2016-4A, A 144A 2.650%, 7/25/22(1) | 4,635 | 4,642 | |
2018-1A, A 144A 3.290%, 2/25/24(1) | 2,525 | 2,532 | |
2019-1A, A 144A 3.710%, 3/25/23(1) | 4,691 | 4,699 | |
Hyundai Auto Receivables Trust 2017-B, B 2.230%, 2/15/23 | 3,560 | 3,606 | |
OneMain Direct Auto Receivables Trust 2018-1A, C 144A 3.850%, 10/14/25(1) | 11,840 | 12,150 |
Par Value | Value | ||
Automobiles—continued | |||
Prestige Auto Receivables Trust | |||
2017-1A, C 144A 2.810%, 1/17/23(1) | $ 6,478 | $ 6,531 | |
2018-1A, D 144A 4.140%, 10/15/24(1) | 3,785 | 3,899 | |
2019-1A, D 144A 3.010%, 8/15/25(1) | 7,060 | 7,269 | |
Santander Drive Auto Receivables Trust | |||
2017-3, C 2.760%, 12/15/22 | 1,381 | 1,387 | |
2018-2, C 3.350%, 7/17/23 | 10,135 | 10,253 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(1) | 3,695 | 3,752 | |
TCF Auto Receivables Owner Trust 2016-PT1A, C 144A 3.210%, 1/17/23(1) | 10,900 | 10,959 | |
Tesla Auto Lease Trust | |||
2018-B, B 144A 4.120%, 10/20/21(1) | 2,410 | 2,464 | |
2018-B, C 144A 4.360%, 10/20/21(1) | 3,250 | 3,334 | |
2020-A, C 144A 1.680%, 2/20/24(1) | 3,045 | 3,075 | |
Tidewater Auto Receivables Trust | |||
2018-AA, B 144A 3.450%, 11/15/24(1) | 1,332 | 1,336 | |
2020-AA, C 144A 1.910%, 9/15/26(1) | 10,470 | 10,588 | |
Tricolor Auto Securitization Trust 2018-2A, B 144A 4.760%, 2/15/22(1) | 1,270 | 1,273 | |
United Auto Credit Securitization Trust | |||
2019-1, D 144A 3.470%, 8/12/24(1) | 15,480 | 15,798 |
Par Value | Value | ||
Automobiles—continued | |||
2019-1, E 144A 4.290%, 8/12/24(1) | $ 4,605 | $ 4,685 | |
2020-1, C 144A 2.150%, 2/10/25(1) | 3,990 | 4,042 | |
US Auto Funding LLC 2019-1A, B 144A 3.990%, 12/15/22(1) | 9,370 | 9,491 | |
USASF Receivables LLC | |||
2020-1A, B 144A 3.220%, 5/15/24(1) | 8,165 | 8,249 | |
2020-1A, C 144A 5.940%, 8/15/24(1) | 1,685 | 1,713 | |
Veros Automobile Receivables Trust | |||
2018-1, B 144A 4.050%, 2/15/24(1) | 1,901 | 1,906 | |
2020-1, B 144A 2.190%, 6/16/25(1) | 13,745 | 13,787 | |
Westlake Automobile Receivables Trust | |||
2018-2A, D 144A 4.000%, 1/16/24(1) | 10,000 | 10,226 | |
2018-3A, C 144A 3.610%, 10/16/23(1) | 1,350 | 1,369 | |
2018-3A, D 144A 4.000%, 10/16/23(1) | 10,900 | 11,251 | |
2020-2A, C 144A 2.010%, 7/15/25(1) | 10,355 | 10,504 | |
703,108 | |||
Consumer Loans—0.4% | |||
Lendmark Funding Trust 2019-2A, A 144A 2.780%, 4/20/28(1) | 8,000 | 8,088 | |
LL ABS Trust 2020-1A, A 144A 2.330%, 1/17/28(1) | 4,680 | 4,680 |
Par Value | Value | ||
Consumer Loans—continued | |||
Marlette Funding Trust 2019-4A, A 144A 2.390%, 12/17/29(1) | $ 4,228 | $ 4,268 | |
Prosper Marketplace Issuance Trust Series 2019-4A, A 144A 2.480%, 2/17/26(1) | 2,791 | 2,803 | |
Upstart Securitization Trust 2019-3, A 144A 2.684%, 1/21/30(1) | 1,990 | 2,006 | |
21,845 | |||
Credit Card—0.5% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(1) | 25,795 | 25,797 | |
Genesis Sales Finance Master Trust 2019-AA, A 144A 4.680%, 8/20/23(1) | 4,600 | 4,624 | |
30,421 | |||
Equipment—0.7% | |||
Amur Equipment Finance Receivables VIII LLC 2020-1A, C 144A 3.060%, 4/20/26(1) | 2,300 | 2,334 | |
BCC Funding Corp. XVI LLC 2019-1A, B 144A 2.640%, 9/20/24(1) | 8,410 | 8,467 | |
CLI Funding VI LLC 2020-1A, A 144A 2.080%, 9/18/45(1) | 10,055 | 10,051 |
Par Value | Value | ||
Equipment—continued | |||
NMEF Funding LLC 2019-A, B 144A 3.060%, 8/17/26(1) | $ 5,620 | $ 5,684 | |
Pawnee Equipment Receivables Series LLC | |||
2019-1, B 144A 2.520%, 10/15/24(1) | 3,635 | 3,633 | |
2020-1, A 144A 1.370%, 11/17/25(1) | 13,460 | 13,435 | |
43,604 | |||
Other—8.9% | |||
Amur Equipment Finance Receivables V LLC 2018-1A, A2 144A 3.240%, 12/20/23(1) | 2,805 | 2,826 | |
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(1) | 5,795 | 5,815 | |
2019-A, A 144A 3.140%, 7/16/40(1) | 11,409 | 11,678 | |
2019-A, C 144A 4.010%, 7/16/40(1) | 8,680 | 8,745 | |
2020-AA, D 144A 7.150%, 7/17/46(1) | 7,435 | 7,598 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(1) | 14,930 | 15,353 | |
Avant Loans Funding Trust 2019-A, A 144A 3.480%, 7/15/22(1) | 383 | 383 | |
Bankers Healthcare Group Securitization Trust 2020-A, A 144A 2.470%, 9/17/31(1) | 4,675 | 4,675 | |
BCC Funding Corp. XVI LLC 2019-1A, D 144A 3.940%, 7/20/27(1) | 3,900 | 3,938 |
Par Value | Value | ||
Other—continued | |||
BRE Grand Islander Timeshare Issuer LLC | |||
2017-1A, A 144A 2.940%, 5/25/29(1) | $4,169 | $4,235 | |
2019-A, A 144A 3.280%, 9/26/33(1) | 6,008 | 6,161 | |
Business Jet Securities LLC 2019-1, A 144A 4.212%, 7/15/34(1) | 9,748 | 9,769 | |
BXG Receivables Note Trust | |||
2012-A, A 144A 2.660%, 12/2/27(1) | 440 | 441 | |
2013-A, A 144A 3.010%, 12/4/28(1) | 1,614 | 1,634 | |
2015-A, A 144A 2.880%, 5/2/30(1) | 1,691 | 1,707 | |
2017-A, A 144A 2.950%, 10/4/32(1) | 6,952 | 7,072 | |
CCG Receivables Trust 2019-2, B 144A 2.550%, 3/15/27(1) | 5,405 | 5,510 | |
Conn’s Receivables Funding LLC 2018-A, B 144A 4.650%, 1/15/23(1) | 346 | 346 | |
Consumer Loan Underlying Bond CLUB Credit Trust | |||
2019-P2, A 144A 2.470%, 10/15/26(1) | 2,808 | 2,821 | |
2019-P2, B 144A 2.830%, 10/15/26(1) | 5,250 | 5,266 | |
2020-P1, B 144A 2.920%, 3/15/28(1) | 4,000 | 3,983 | |
Consumer Loan Underlying Bond Credit Trust 2018-P2, A 144A 3.470%, 10/15/25(1) | 519 | 521 |
Par Value | Value | ||
Other—continued | |||
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(1) | $ 7,132 | $ 7,345 | |
Diamond Resorts Owner Trust | |||
2017-1A, A 144A 3.270%, 10/22/29(1) | 5,730 | 5,813 | |
2018-1, B 144A 4.190%, 1/21/31(1) | 2,979 | 3,065 | |
2019-1A, B 144A 3.530%, 2/20/32(1) | 5,579 | 5,642 | |
Drug Royalty III LP 1 2017-1A, A1 (3 month LIBOR + 2.500%) 144A 2.775%, 4/15/27(1)(4) | 906 | 906 | |
Foundation Finance Trust | |||
2016-1A, A 144A 3.960%, 6/15/35(1) | 350 | 354 | |
2017-1A, A 144A 3.300%, 7/15/33(1) | 3,742 | 3,806 | |
2019-1A, A 144A 3.860%, 11/15/34(1) | 4,331 | 4,468 | |
FREED ABS Trust | |||
2018-2, B 144A 4.610%, 10/20/25(1) | 13,500 | 13,542 | |
2019-1, B 144A 3.870%, 6/18/26(1) | 4,030 | 4,035 | |
2019-2, B 144A 3.190%, 11/18/26(1) | 7,320 | 7,267 | |
2020-3FP, A 144A 2.400%, 9/20/27(1) | 3,871 | 3,880 | |
Global SC Finance VII Srl 2020-1A, A 144A 2.170%, 10/17/40(1) | 10,000 | 9,991 | |
Gold Key Resorts LLC 2014-A, A 144A 3.220%, 3/17/31(1) | 1,361 | 1,368 | |
Hardee’s Funding LLC 2018-1A, A2I 144A 4.250%, 6/20/48(1) | 20,379 | 20,480 |
Par Value | Value | ||
Other—continued | |||
Hilton Grand Vacations Trust | |||
2017-AA, A 144A 2.660%, 12/26/28(1) | $ 2,468 | $ 2,519 | |
2018-AA, A 144A 3.540%, 2/25/32(1) | 4,398 | 4,606 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(1) | 20,230 | 21,514 | |
Kabbage Funding LLC 2019-1, A 144A 3.825%, 3/15/24(1) | 1,200 | 1,190 | |
Lendmark Funding Trust | |||
2018-2A, A 144A 4.230%, 4/20/27(1) | 8,445 | 8,664 | |
2019-1A, A 144A 3.000%, 12/20/27(1) | 8,835 | 8,731 | |
Mariner Finance Issuance Trust | |||
2018-AA, A 144A 4.200%, 11/20/30(1) | 10,000 | 10,049 | |
2019-AA, A 144A 2.960%, 7/20/32(1) | 7,255 | 7,382 | |
2020-AA, A 144A 2.190%, 8/21/34(1) | 1,954 | 1,960 | |
Marlette Funding Trust 2019-2A, A 144A 3.130%, 7/16/29(1) | 2,905 | 2,936 | |
MVW LLC 2019-2A, A 144A 2.220%, 10/20/38(1) | 1,328 | 1,356 | |
MVW Owner Trust | |||
2015-1A, B 144A 2.960%, 12/20/32(1) | 317 | 317 | |
2016-1A, A 144A 2.250%, 12/20/33(1) | 1,525 | 1,529 | |
2019-1A, A 144A 2.890%, 11/20/36(1) | 5,711 | 5,871 | |
NMEF Funding LLC 2019-A, C 144A 3.300%, 8/17/26(1) | 9,145 | 9,280 |
Par Value | Value | ||
Other—continued | |||
Oasis LLC | |||
2020-1A, A 144A 3.820%, 1/15/32(1) | $ 5,864 | $ 5,884 | |
2020-2A, A 144A 4.262%, 5/15/32(1) | 2,778 | 2,783 | |
Octane Receivables Trust | |||
2019-1A, A 144A 3.160%, 9/20/23(1) | 8,854 | 8,833 | |
2020-1A, A 144A 1.710%, 2/20/25(1) | 18,460 | 18,461 | |
OneMain Financial Issuance Trust | |||
2017-1A, A1 144A 2.370%, 9/14/32(1) | 1,736 | 1,739 | |
2018-1A, A 144A 3.300%, 3/14/29(1) | 22,200 | 22,792 | |
Oportun Funding IX LLC 2018-B, A 144A 3.910%, 7/8/24(1) | 8,455 | 8,598 | |
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(1) | 15,100 | 15,139 | |
Orange Lake Timeshare Trust | |||
2015-AA, A 144A 2.880%, 9/8/27(1) | 1,516 | 1,529 | |
2018-A, A 144A 3.100%, 11/8/30(1) | 2,704 | 2,786 | |
2019-A, B 144A 3.360%, 4/9/38(1) | 8,798 | 8,905 | |
Planet Fitness Master Issuer LLC 2018-1A, A2II 144A 4.666%, 9/5/48(1) | 13,171 | 13,178 | |
Prosper Marketplace Issuance Trust | |||
2018-2A, B 144A 3.960%, 10/15/24(1) | 3,141 | 3,144 | |
2019-3A, A 144A 3.190%, 7/15/25(1) | 1,736 | 1,744 | |
Regional Management Issuance Trust 2018-2, A 144A 4.560%, 1/18/28(1) | 3,100 | 3,137 |
Par Value | Value | ||
Other—continued | |||
Sierra Timeshare Receivables Funding LLC | |||
2016-1A, A 144A 3.080%, 3/21/33(1) | $1,134 | $1,135 | |
2016-2A, A 144A 2.330%, 7/20/33(1) | 1,079 | 1,084 | |
2017-1A, A 144A 2.910%, 3/20/34(1) | 1,999 | 2,033 | |
2018-2A, A 144A 3.500%, 6/20/35(1) | 2,631 | 2,734 | |
2019-1A, B 144A 3.420%, 1/20/36(1) | 2,494 | 2,562 | |
2019-2A, B 144A 2.820%, 5/20/36(1) | 8,864 | 8,980 | |
2020-2A, B 144A 2.320%, 7/20/37(1) | 7,102 | 7,104 | |
Small Business Lending Trust | |||
2019-A, A 144A 2.850%, 7/15/26(1) | 907 | 892 | |
2020-A, A 144A 2.620%, 12/15/26(1) | 2,603 | 2,584 | |
SoFi Consumer Loan Program LLC | |||
2017-1, A 144A 3.280%, 1/26/26(1) | 409 | 410 | |
2017-3, A 144A 2.770%, 5/25/26(1) | 1,224 | 1,231 | |
2017-5, A2 144A 2.780%, 9/25/26(1) | 4,891 | 4,937 | |
2017-6, A2 144A 2.820%, 11/25/26(1) | 3,424 | 3,448 | |
SoFi Consumer Loan Program Trust 2018-2, A2 144A 3.350%, 4/26/27(1) | 5,969 | 6,000 | |
Taco Bell Funding LLC 2016-1A, A23 144A 4.970%, 5/25/46(1) | 7,043 | 7,586 | |
Towd Point Mortgage Trust 2019-MH1, A1 144A 3.000%, 11/25/58(1)(4) | 2,067 | 2,118 |
Par Value | Value | ||
Other—continued | |||
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(1) | $16,508 | $17,194 | |
TRIP Rail Master Funding LLC 2017-1A, A1 144A 2.709%, 8/15/47(1) | 2,879 | 2,882 | |
Upgrade Master Pass-Thru Trust Series 2019-ST3, A 144A 3.750%, 11/15/25(1) | 4,672 | 4,694 | |
Upstart Pass-Through Trust 2020-ST1, A 144A 3.750%, 2/20/28(1) | 2,407 | 2,401 | |
Upstart Securitization Trust | |||
2019-1, B 144A 4.190%, 4/20/26(1) | 4,868 | 4,882 | |
2019-2, A 144A 2.897%, 9/20/29(1) | 3,620 | 3,649 | |
2019-2, B 144A 3.734%, 9/20/29(1) | 7,487 | 7,459 | |
Volvo Financial Equipment LLC 2017-1A, B 144A 2.400%, 1/18/22(1) | 3,600 | 3,619 | |
VSE VOI Mortgage LLC | |||
2016-A, A 144A 2.540%, 7/20/33(1) | 2,081 | 2,093 | |
2017-A, A 144A 2.330%, 3/20/35(1) | 4,169 | 4,232 | |
Welk Resorts LLC | |||
2013-AA, A 144A 3.100%, 3/15/29(1) | 519 | 524 | |
2015-AA, A 144A 2.790%, 6/16/31(1) | 1,353 | 1,356 | |
2019-AA, B 144A 2.990%, 6/15/38(1) | 5,406 | 5,460 | |
Westgate Resorts LLC | |||
2018-1A, A 144A 3.380%, 12/20/31(1) | 2,942 | 2,976 |
Par Value | Value | ||
Other—continued | |||
2020-1A, A 144A 2.713%, 3/20/34(1) | $ 3,732 | $ 3,795 | |
531,049 | |||
Student Loan—0.2% | |||
Commonbond Student Loan Trust 2019-AGS, A1 144A 2.540%, 1/25/47(1) | 9,838 | 10,188 | |
Earnest Student Loan Program LLC 2017-A, A2 144A 2.650%, 1/25/41(1) | 1,399 | 1,419 | |
Navient Private Education Loan Trust 2017-A, A2A 144A 2.880%, 12/16/58(1) | 2,402 | 2,438 | |
14,045 | |||
Total Asset-Backed Securities (Identified Cost $1,337,874) | 1,360,949 | ||
Corporate Bonds and Notes—33.5% | |||
Communication Services—3.4% | |||
Altice France S.A. 144A 7.375%, 5/1/26(1) | 11,710 | 12,271 | |
AT&T, Inc. (3 month LIBOR + 0.890%) 1.155%, 2/15/23(4) | 8,918 | 8,995 | |
Baidu, Inc. 3.075%, 4/7/25 | 8,300 | 8,820 | |
Clear Channel Worldwide Holdings, Inc. | |||
9.250%, 2/15/24 | 3,690 | 3,577 | |
144A 5.125%, 8/15/27(1) | 3,265 | 3,135 | |
Consolidated Communications, Inc. 144A 6.500%, 10/1/28(1) | 7,330 | 7,477 |
Par Value | Value | ||
Communication Services—continued | |||
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(1) | $ 4,545 | $ 3,216 | |
144A 6.625%, 8/15/27(1) | 4,370 | 2,272 | |
DISH DBS Corp. | |||
5.875%, 7/15/22 | 6,245 | 6,495 | |
5.000%, 3/15/23 | 6,445 | 6,574 | |
7.750%, 7/1/26 | 5,230 | 5,750 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 213 | 210 | |
Level 3 Financing, Inc. 144A 4.625%, 9/15/27(1) | 5,835 | 5,995 | |
Live Nation Entertainment, Inc. | |||
144A 5.625%, 3/15/26(1) | 3,005 | 2,900 | |
144A 4.750%, 10/15/27(1) | 9,355 | 8,761 | |
Radiate Holdco LLC | |||
144A 4.500%, 9/15/26(1) | 1,425 | 1,425 | |
144A 6.500%, 9/15/28(1) | 4,645 | 4,760 | |
Sirius XM Radio, Inc. 144A 4.625%, 7/15/24(1) | 3,565 | 3,687 | |
Sprint Corp. 7.875%, 9/15/23 | 11,690 | 13,394 | |
Sprint Spectrum Co. LLC | |||
144A 3.360%, 9/20/21(1) | 4,987 | 5,043 | |
144A 4.738%, 3/20/25(1) | 8,210 | 8,877 | |
Telesat Canada 144A 6.500%, 10/15/27(1) | 5,675 | 5,716 | |
Tencent Holdings Ltd. | |||
144A 2.985%, 1/19/23(1) | 7,050 | 7,353 |
Par Value | Value | ||
Communication Services—continued | |||
144A 3.280%, 4/11/24(1) | $18,933 | $ 20,165 | |
T-Mobile USA, Inc. | |||
144A 1.500%, 2/15/26(1) | 6,072 | 6,085 | |
144A 2.050%, 2/15/28(1) | 5,892 | 6,022 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(1) | 3,180 | 3,315 | |
Twitter, Inc. 144A 3.875%, 12/15/27(1) | 8,270 | 8,634 | |
Univision Communications, Inc. 144A 6.625%, 6/1/27(1) | 2,440 | 2,382 | |
Verizon Communications, Inc. (3 month LIBOR + 1.100%) 1.380%, 5/15/25(4) | 16,061 | 16,407 | |
VTR Comunicaciones SpA 144A 5.125%, 1/15/28(1) | 3,500 | 3,619 | |
203,332 | |||
Consumer Discretionary—3.0% | |||
Alibaba Group Holding Ltd. 3.600%, 11/28/24 | 12,500 | 13,714 | |
American Axle & Manufacturing, Inc. 6.250%, 4/1/25 | 6,440 | 6,374 | |
Aramark Services, Inc. 144A 6.375%, 5/1/25(1) | 8,460 | 8,813 | |
Boyd Gaming Corp. 6.375%, 4/1/26 | 12,395 | 12,906 | |
Caesars Entertainment, Inc. 144A 6.250%, 7/1/25(1) | 3,465 | 3,612 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Caesars Resort Collection LLC 144A 5.750%, 7/1/25(1) | $ 175 | $ 180 | |
Carnival Corp. 144A 11.500%, 4/1/23(1) | 1,255 | 1,407 | |
Expedia Group, Inc. | |||
144A 6.250%, 5/1/25(1) | 7,505 | 8,270 | |
144A 7.000%, 5/1/25(1) | 1,205 | 1,303 | |
Ford Motor Co. | |||
8.500%, 4/21/23 | 11,400 | 12,426 | |
9.000%, 4/22/25 | 1,137 | 1,304 | |
Ford Motor Credit Co. LLC 3.370%, 11/17/23 | 4,000 | 3,940 | |
General Motors Financial Co., Inc. | |||
4.200%, 3/1/21 | 7,300 | 7,389 | |
3.550%, 4/9/21 | 2,847 | 2,886 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(1) | 11,440 | 12,126 | |
International Game Technology plc | |||
144A 6.250%, 2/15/22(1) | 2,982 | 3,045 | |
144A 5.250%, 1/15/29(1) | 840 | 849 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 5,890 | 6,067 | |
Marriott Ownership Resorts, Inc. 4.750%, 1/15/28 | 6,230 | 5,903 | |
MGM Growth Properties Operating Partnership LP | |||
5.750%, 2/1/27 | 6,370 | 6,864 | |
4.500%, 1/15/28 | 1,055 | 1,075 | |
144A 4.625%, 6/15/25(1) | 1,305 | 1,331 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Nissan Motor Co. Ltd. | |||
144A 3.522%, 9/17/25(1) | $ 6,300 | $ 6,366 | |
144A 4.345%, 9/17/27(1) | 7,000 | 7,028 | |
QVC, Inc. 4.750%, 2/15/27 | 3,235 | 3,322 | |
Royal Caribbean Cruises Ltd. 144A 9.125%, 6/15/23(1) | 775 | 822 | |
Scientific Games International, Inc. | |||
144A 5.000%, 10/15/25(1) | 7,150 | 7,195 | |
144A 8.250%, 3/15/26(1) | 5,935 | 6,211 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 10,130 | 10,940 | |
VF Corp. 2.400%, 4/23/25 | 6,714 | 7,121 | |
Weekley Homes LLC 144A 4.875%, 9/15/28(1) | 5,305 | 5,358 | |
Wynn Macau Ltd. 144A 5.500%, 1/15/26(1) | 3,000 | 2,956 | |
179,103 | |||
Consumer Staples—1.3% | |||
Albertsons Cos., Inc. | |||
5.750%, 3/15/25 | 5,112 | 5,273 | |
144A 3.250%, 3/15/26(1) | 15,065 | 14,949 | |
Altria Group, Inc. 2.350%, 5/6/25 | 4,959 | 5,228 | |
BAT Capital Corp. | |||
4.700%, 4/2/27 | 11,000 | 12,613 | |
2.259%, 3/25/28 | 5,870 | 5,885 | |
Conagra Brands, Inc. 4.300%, 5/1/24 | 17,135 | 19,115 |
Par Value | Value | ||
Consumer Staples—continued | |||
Kraft Heinz Foods Co. 144A 3.875%, 5/15/27(1) | $10,200 | $10,865 | |
73,928 | |||
Energy—4.2% | |||
Afren plc 144A 11.500%, 2/1/16(1)(2)(5) | 4,674 | 2 | |
Aker BP ASA 144A 2.875%, 1/15/26(1) | 9,060 | 8,970 | |
Apache Corp. 4.625%, 11/15/25 | 1,820 | 1,735 | |
Blue Racer Midstream LLC 144A 6.125%, 11/15/22(1) | 6,070 | 5,922 | |
Boardwalk Pipelines LP 4.950%, 12/15/24 | 12,645 | 13,881 | |
BP Capital Markets plc 4.875% (6)(7) | 11,690 | 12,508 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 4,327 | 1,233 | |
Cheniere Energy Partners LP 5.625%, 10/1/26 | 14,860 | 15,454 | |
CITGO Holding, Inc. 144A 9.250%, 8/1/24(1) | 3,050 | 2,905 | |
CITGO Petroleum Corp. | |||
144A 7.000%, 6/15/25(1) | 8,530 | 8,413 | |
Senior Secured Notes 144A 6.250%, 8/15/22(1) | 6,973 | 6,915 | |
CNOOC Finance 2013 Ltd. 3.000%, 5/9/23 | 6,930 | 7,262 | |
CrownRock LP 144A 5.625%, 10/15/25(1) | 5,855 | 5,518 | |
Ecopetrol S.A. 5.875%, 9/18/23 | 9,195 | 10,115 |
Par Value | Value | ||
Energy—continued | |||
Energy Transfer Partners LP | |||
5.000%, 10/1/22 | $ 4,794 | $ 5,040 | |
4.500%, 11/1/23 | 10,760 | 11,434 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(1) | 2,290 | 2,362 | |
144A 6.500%, 7/1/27(1) | 2,620 | 2,777 | |
KazMunayGas National Co. JSC 144A 4.750%, 4/24/25(1) | 6,400 | 7,028 | |
Kinder Morgan, Inc. 144A 5.625%, 11/15/23(1) | 9,880 | 11,132 | |
Lukoil International Finance BV 144A 4.563%, 4/24/23(1) | 6,700 | 7,122 | |
Midwest Connector Capital Co. LLC 144A 3.625%, 4/1/22(1) | 6,145 | 6,190 | |
MPLX LP 1.750%, 3/1/26 | 16,499 | 16,462 | |
Occidental Petroleum Corp. | |||
2.700%, 8/15/22 | 5,850 | 5,466 | |
5.875%, 9/1/25 | 6,480 | 5,939 | |
Ovintiv, Inc. 3.900%, 11/15/21 | 7,960 | 7,959 | |
Pertamina Persero PT 144A 4.300%, 5/20/23(1) | 6,000 | 6,425 | |
Petrobras Global Finance B.V. 5.299%, 1/27/25 | 8,000 | 8,736 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(2) | 9,545 | 239 | |
Petroleos Mexicanos | |||
4.625%, 9/21/23 | 11,360 | 11,262 |
Par Value | Value | ||
Energy—continued | |||
6.875%, 8/4/26 | $11,185 | $ 10,734 | |
Sabine Pass Liquefaction LLC 6.250%, 3/15/22 | 11,580 | 12,288 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 5,555 | 5,703 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(1) | 3,085 | 1,990 | |
Transocean, Inc. 144A 11.500%, 1/30/27(1) | 655 | 262 | |
USA Compression Partners LP 6.875%, 4/1/26 | 3,975 | 3,940 | |
251,323 | |||
Financials—8.9% | |||
Ares Capital Corp. | |||
3.500%, 2/10/23 | 7,365 | 7,559 | |
3.250%, 7/15/25 | 5,975 | 5,937 | |
Athene Global Funding 144A 2.450%, 8/20/27(1) | 14,530 | 14,919 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(1) | 14,195 | 15,988 | |
Banco BBVA Peru S.A. RegS 5.000%, 8/26/22(3) | 16,280 | 17,363 | |
Banco Santander Chile 144A 2.700%, 1/10/25(1) | 9,500 | 10,014 | |
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 144A 5.375%, 4/17/25(1) | 9,510 | 10,575 | |
Bancolombia SA 3.000%, 1/29/25 | 7,733 | 7,746 | |
Bank of America Corp. | |||
4.200%, 8/26/24 | 10,473 | 11,661 |
Par Value | Value | ||
Financials—continued | |||
3.950%, 4/21/25 | $ 6,325 | $ 7,024 | |
(3 month LIBOR + 0.770%) 1.019%, 2/5/26(4) | 11,312 | 11,261 | |
(3 month LIBOR + 1.000%) 1.264%, 4/24/23(4) | 14,445 | 14,589 | |
Brookfield Finance, Inc. 3.900%, 1/25/28 | 9,490 | 10,563 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 6,325 | 6,876 | |
Charles Schwab Corp. (The) Series G 5.375% (7) | 10,620 | 11,507 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 6,370 | 6,842 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 24,642 | 27,171 | |
(3 month LIBOR + 1.430%) 1.676%, 9/1/23(4) | 7,115 | 7,234 | |
Corp Financiera de Desarrollo SA 144A 4.750%, 7/15/25(1) | 3,197 | 3,589 | |
Doric Nimrod Air Alpha Pass-Through-Trust 2013-1, A 144A 5.250%, 5/30/23(1) | 8,307 | 7,436 | |
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(1) | 14,685 | 14,867 | |
Goldman Sachs Group, Inc. (The) | |||
4.250%, 10/21/25 | 24,315 | 27,624 | |
3.850%, 1/26/27 | 21,430 | 24,079 | |
Huntington Bancshares, Inc. 7.000%, 12/15/20 | 17,065 | 17,291 | |
ICAHN Enterprises LP | |||
4.750%, 9/15/24 | 12,395 | 12,550 | |
6.250%, 5/15/26 | 10,030 | 10,456 |
Par Value | Value | ||
Financials—continued | |||
Industrial & Commercial Bank of China Ltd. | |||
2.957%, 11/8/22 | $ 9,450 | $ 9,812 | |
(3 month LIBOR + 0.750%) 0.993%, 11/8/20(4) | 630 | 630 | |
JPMorgan Chase & Co. (3 month LIBOR + 0.900%) 1.145%, 4/25/23(4) | 18,055 | 18,201 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 7,000 | 6,055 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 2.312%, 4/20/67(4)(6) | 2,885 | 1,998 | |
Mizuho Financial Group, Inc. 3.922%, 9/11/24 | 5,000 | 5,434 | |
Morgan Stanley | |||
3.875%, 4/29/24 | 23,825 | 26,254 | |
(3 month LIBOR + 0.930%) 1.188%, 7/22/22(4) | 18,055 | 18,139 | |
Navient Corp. 5.875%, 10/25/24 | 8,642 | 8,593 | |
OneMain Finance Corp. | |||
6.875%, 3/15/25 | 8,580 | 9,521 | |
7.125%, 3/15/26 | 2,695 | 3,011 | |
Prudential Financial, Inc. 5.625%, 6/15/43(6) | 13,774 | 14,629 | |
Santander Holdings USA, Inc. | |||
4.450%, 12/3/21 | 11,379 | 11,830 | |
3.700%, 3/28/22 | 5,808 | 6,020 | |
3.500%, 6/7/24 | 12,715 | 13,636 | |
Synchrony Financial 4.375%, 3/19/24 | 12,785 | 13,835 | |
Toronto-Dominion Bank (The) 2.650%, 6/12/24 | 16,021 | 17,138 |
Par Value | Value | ||
Financials—continued | |||
Wells Fargo & Co. | |||
1.654%, 6/2/24 | $14,335 | $ 14,599 | |
4.100%, 6/3/26 | 8,375 | 9,429 | |
531,485 | |||
Health Care—1.5% | |||
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1) | 6,675 | 7,334 | |
Community Health Systems, Inc. 144A 6.625%, 2/15/25(1) | 2,910 | 2,815 | |
HCA, Inc. 5.375%, 2/1/25 | 7,250 | 7,939 | |
Jaguar Holding Co. II 144A 4.625%, 6/15/25(1) | 2,660 | 2,740 | |
LifePoint Health, Inc. | |||
144A 6.750%, 4/15/25(1) | 5,270 | 5,547 | |
144A 4.375%, 2/15/27(1) | 6,170 | 6,178 | |
Mylan NV 3.950%, 6/15/26 | 12,770 | 14,346 | |
Perrigo Finance Unlimited Co. 3.900%, 12/15/24 | 2,000 | 2,163 | |
Royalty Pharma plc | |||
144A 1.200%, 9/2/25(1) | 2,749 | 2,740 | |
144A 1.750%, 9/2/27(1) | 11,909 | 11,898 | |
Tenet Healthcare Corp. | |||
4.625%, 7/15/24 | 4,350 | 4,361 | |
144A 7.500%, 4/1/25(1) | 915 | 986 | |
144A 4.875%, 1/1/26(1) | 8,215 | 8,338 | |
144A 5.125%, 11/1/27(1) | 2,750 | 2,829 | |
Teva Pharmaceutical Finance Netherlands III B.V. | |||
6.000%, 4/15/24 | 800 | 816 |
Par Value | Value | ||
Health Care—continued | |||
3.150%, 10/1/26 | $ 6,295 | $ 5,555 | |
86,585 | |||
Industrials—3.4% | |||
Alaska Airlines Pass-Through-Trust 144A 4.800%, 8/15/27(1) | 9,765 | 10,225 | |
Alfa SAB de CV 144A 5.250%, 3/25/24(1) | 6,775 | 7,148 | |
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(1) | 7,985 | 8,504 | |
Aviation Capital Group LLC 144A 3.875%, 5/1/23(1) | 18,262 | 18,071 | |
Avolon Holdings Funding Ltd. 144A 3.950%, 7/1/24(1) | 17,074 | 16,219 | |
Boeing Co. (The) | |||
2.350%, 10/30/21 | 5,740 | 5,815 | |
4.875%, 5/1/25 | 4,191 | 4,572 | |
5.040%, 5/1/27 | 6,336 | 6,956 | |
Bombardier, Inc. 144A 8.750%, 12/1/21(1) | 6,867 | 6,956 | |
CNH Industrial N.V. 4.500%, 8/15/23 | 15,130 | 16,433 | |
Doric Nimrod Air Finance Alpha Pass-Through Trust 2012-1, A 144A 5.125%, 11/30/22(1) | 5,636 | 5,034 | |
GFL Environmental, Inc. | |||
144A 3.750%, 8/1/25(1) | 11,810 | 11,780 | |
144A 7.000%, 6/1/26(1) | 1,740 | 1,834 | |
Hawaiian Airlines Pass-Through Certificates 2013-1, B 4.950%, 1/15/22 | 6,519 | 5,880 | |
Howmet Aerospace, Inc. 6.875%, 5/1/25 | 4,115 | 4,547 |
Par Value | Value | ||
Industrials—continued | |||
Navistar International Corp. 144A 6.625%, 11/1/25(1) | $ 6,040 | $ 6,199 | |
Norwegian Air Shuttle ASA Pass-Through Trust 2016-1, A 144A 4.875%, 5/10/28(1) | 22,254 | 19,696 | |
Spirit AeroSystems, Inc. 144A 5.500%, 1/15/25(1) | 11,835 | 11,893 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60(6) | 16,812 | 17,473 | |
TransDigm, Inc. 144A 6.250%, 3/15/26(1) | 9,780 | 10,255 | |
Uber Technologies, Inc. 144A 7.500%, 5/15/25(1) | 7,620 | 8,124 | |
203,614 | |||
Information Technology—2.3% | |||
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(1) | 5,350 | 5,655 | |
Broadcom, Inc. 3.150%, 11/15/25 | 15,630 | 16,858 | |
Dell International LLC 144A 5.450%, 6/15/23(1) | 6,380 | 6,995 | |
Flex Ltd. 3.750%, 2/1/26 | 11,130 | 12,154 | |
Hewlett Packard Enterprise Co. | |||
2.250%, 4/1/23 | 9,470 | 9,773 | |
(3 month LIBOR + 0.720%) 1.024%, 10/5/21(4) | 2,830 | 2,830 | |
HP, Inc. | |||
2.200%, 6/17/25 | 4,977 | 5,214 | |
3.000%, 6/17/27 | 9,050 | 9,779 | |
Leidos, Inc. 144A 3.625%, 5/15/25(1) | 11,608 | 12,875 | |
Microchip Technology, Inc. 144A 2.670%, 9/1/23(1) | 14,475 | 14,984 |
Par Value | Value | ||
Information Technology—continued | |||
NCR Corp. 144A 5.000%, 10/1/28(1) | $ 880 | $ 879 | |
Open Text Corp. 144A 3.875%, 2/15/28(1) | 12,720 | 12,867 | |
ViaSat, Inc. 144A 5.625%, 9/15/25(1) | 10,250 | 10,045 | |
VMware, Inc. 2.950%, 8/21/22 | 10,390 | 10,817 | |
Xerox Holdings Corp. 144A 5.000%, 8/15/25(1) | 7,600 | 7,511 | |
139,236 | |||
Materials—2.3% | |||
Anglo American Capital plc 144A 3.625%, 9/11/24(1) | 12,120 | 13,030 | |
Ardagh Packaging Finance plc 144A 5.250%, 8/15/27(1) | 12,065 | 12,294 | |
Avient Corp. 144A 5.750%, 5/15/25(1) | 11,748 | 12,453 | |
Celanese US Holdings LLC 3.500%, 5/8/24 | 9,870 | 10,622 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(1) | 990 | 1,007 | |
Equate Petrochemical BV 144A 3.000%, 3/3/22(1) | 9,535 | 9,636 | |
Glencore Funding LLC 144A 1.625%, 9/1/25(1) | 14,745 | 14,581 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(1) | 5,925 | 5,577 | |
NOVA Chemicals Corp. 144A 5.000%, 5/1/25(1) | 7,820 | 7,624 | |
Nutrition & Biosciences, Inc. | |||
144A 1.230%, 10/1/25(1) | 7,666 | 7,659 |
Par Value | Value | ||
Materials—continued | |||
144A 1.832%, 10/15/27(1) | $ 8,106 | $ 8,141 | |
OCP SA | |||
144A 5.625%, 4/25/24(1) | 3,065 | 3,322 | |
144A 4.500%, 10/22/25(1) | 10,000 | 10,547 | |
RegS 5.625%, 4/25/24(3) | 2,800 | 3,035 | |
Reynolds Group Issuer, Inc. 144A 7.000%, 7/15/24(1) | 6,396 | 6,511 | |
Syngenta Finance NV 144A 3.933%, 4/23/21(1) | 8,635 | 8,746 | |
134,785 | |||
Real Estate—1.3% | |||
GLP Capital LP | |||
5.250%, 6/1/25 | 13,175 | 14,306 | |
5.750%, 6/1/28 | 1,863 | 2,127 | |
5.300%, 1/15/29 | 2,731 | 3,041 | |
iStar, Inc. 4.250%, 8/1/25 | 9,325 | 8,701 | |
Office Properties Income Trust | |||
4.150%, 2/1/22 | 18,910 | 19,053 | |
4.000%, 7/15/22 | 7,345 | 7,431 | |
Service Properties Trust | |||
4.500%, 6/15/23 | 10,780 | 10,576 | |
4.350%, 10/1/24 | 9,585 | 8,673 | |
Uniti Group LP 144A 7.875%, 2/15/25(1) | 5,455 | 5,781 | |
79,689 | |||
Utilities—1.9% | |||
Avangrid, Inc. 3.200%, 4/15/25 | 7,346 | 8,083 | |
DPL, Inc. 144A 4.125%, 7/1/25(1) | 7,835 | 8,199 | |
DTE Energy Co. 2.529%, 10/1/24 | 15,896 | 16,895 |
Par Value | Value | ||
Utilities—continued | |||
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(1) | $ 2,420 | $ 2,204 | |
Exelon Corp. 3.497%, 6/1/22 | 9,135 | 9,555 | |
NRG Energy, Inc. 144A 3.750%, 6/15/24(1) | 19,197 | 20,484 | |
PNM Resources, Inc. 3.250%, 3/9/21 | 11,070 | 11,196 | |
TerraForm Power Operating LLC 144A 4.250%, 1/31/23(1) | 18,640 | 19,104 | |
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20(1)(5) | 5,925 | — | |
Vistra Operations Co. LLC 144A 3.550%, 7/15/24(1) | 15,540 | 16,552 | |
112,272 | |||
Total Corporate Bonds and Notes (Identified Cost $1,955,638) | 1,995,352 | ||
Leveraged Loans(4)—9.7% | |||
Aerospace—0.5% | |||
AI Convoy (Luxembourg) S.a.r.l. Tranche B (6 month LIBOR + 3.500%) 4.650%, 1/18/27 | 9,920 | 9,846 | |
American Airlines, Inc. 2018 (1 month LIBOR + 1.750%) 1.895%, 6/27/25 | 6,504 | 3,947 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/20/27 | 8,790 | 8,927 |
Par Value | Value | ||
Aerospace—continued | |||
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 2.397%, 5/30/25 | $3,262 | $ 3,078 | |
Tranche F (1 month LIBOR + 2.250%) 2.397%, 12/9/25 | 3,794 | 3,580 | |
29,378 | |||
Chemicals—0.2% | |||
Starfruit Finco B.V. (1 month LIBOR + 3.000%) 3.151%, 10/1/25 | 8,854 | 8,560 | |
Consumer Non-Durables—0.2% | |||
Kronos Acquisition Holdings, Inc. Tranche B-3 (1 month LIBOR + 4.000%) 5.000%, 5/15/23 | 9,862 | 9,786 | |
Energy—0.0% | |||
Paragon Offshore Finance Co. (3 month PRIME + 0.000%) 3.250%, 7/16/21(2)(5) | 66 | — | |
Financial—0.6% | |||
Asurion LLC Tranche B-6 (1 month LIBOR + 3.000%) 3.147%, 11/3/23 | 6,780 | 6,673 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 3.147%, 6/16/25 | 3,978 | 3,740 |
Par Value | Value | ||
Financial—continued | |||
Delos Finance S.a.r.l. 2018 (3 month LIBOR + 1.750%) 1.970%, 10/6/23 | $ 5,774 | $ 5,633 | |
Financial & Risk US Holdings, Inc. (1 month LIBOR + 3.250%) 0.000%, 10/1/25(8) | 12,114 | 11,982 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 2.904%, 6/28/23 | 9,153 | 8,924 | |
Ryan Specialty Group LLC (1 month LIBOR + 3.250%) 4.000%, 9/1/27 | 1,270 | 1,256 | |
38,208 | |||
Food / Tobacco—0.7% | |||
Aramark Services, Inc. | |||
Tranche B-2 (1 month LIBOR + 1.750%) 1.897%, 3/28/24 | 3,575 | 3,427 | |
Tranche B-3 (1 month LIBOR + 1.750%) 1.897%, 3/11/25 | 1,909 | 1,821 | |
Tranche B-4 (1 month LIBOR + 1.750%) 1.897%, 1/15/27 | 3,472 | 3,313 | |
Chobani LLC Tranche B (1 month LIBOR + 3.500%) 4.500%, 10/10/23 | 6,194 | 6,116 |
Par Value | Value | ||
Food / Tobacco—continued | |||
Froneri US, Inc. Tranche B-2 (1 month LIBOR + 2.250%) 2.397%, 1/29/27 | $12,194 | $11,694 | |
Hostess Brands LLC 2019, Tranche B (1 month LIBOR + 2.250%) 3.000%, 8/3/25 | 8,865 | 8,705 | |
Shearer’s Foods LLC First Lien (3 month LIBOR + 4.000%) 4.750%, 9/23/27 | 6,487 | 6,435 | |
41,511 | |||
Forest Prod / Containers—0.5% | |||
Berry Global, Inc. | |||
Tranche W (1 month LIBOR + 2.000%) 2.156%, 10/1/22 | 6,109 | 6,051 | |
Tranche X (1 month LIBOR + 2.000%) 2.156%, 1/19/24 | 1,007 | 990 | |
Tranche Y (1 month LIBOR + 2.000%) 2.156%, 7/1/26 | 2,518 | 2,440 | |
BWay Holding Co. (3 month LIBOR + 3.250%) 3.523%, 4/3/24 | 8,377 | 7,848 | |
Graham Packaging Co., Inc. (1 month LIBOR + 3.750%) 4.500%, 8/4/27 | 6,630 | 6,583 |
Par Value | Value | ||
Forest Prod / Containers—continued | |||
Reynolds Consumer Products LLC (1 month LIBOR + 1.750%) 1.897%, 2/4/27 | $5,656 | $ 5,578 | |
Spectrum Holdings III Corp. First Lien (3 month LIBOR + 3.250%) 4.273%, 1/31/25 | 2,635 | 2,381 | |
31,871 | |||
Gaming / Leisure—0.8% | |||
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 2.897%, 12/23/24 | 8,990 | 8,400 | |
Carnival Corp. (1 month LIBOR + 7.500%) 8.500%, 6/30/25 | 1,596 | 1,612 | |
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 1.898%, 6/22/26 | 9,796 | 9,440 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24 | 4,698 | 4,106 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 3.471%, 8/14/24 | 4,210 | 3,952 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
Seminole Tribe of Florida (1 month LIBOR + 1.750%) 1.897%, 7/8/24 | $9,996 | $ 9,759 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.500%, 2/8/27 | 3,169 | 3,023 | |
UFC Holdings LLC Tranche B (3 month LIBOR + 3.250%) 4.250%, 4/29/26 | 8,944 | 8,776 | |
49,068 | |||
Healthcare—0.6% | |||
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 2.901%, 11/27/25 | 1,688 | 1,646 | |
(1 month LIBOR + 3.000%) 3.151%, 6/2/25 | 5,319 | 5,207 | |
Change Healthcare Holdings LLC (1 month LIBOR + 2.500%) 3.500%, 3/1/24 | 8,678 | 8,484 | |
Elanco Animal Health, Inc. (1 month LIBOR + 1.750%) 1.905%, 8/1/27 | 957 | 929 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 3.897%, 10/10/25 | 6,338 | 4,557 |
Par Value | Value | ||
Healthcare—continued | |||
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 1.970%, 6/11/25 | $ 7,616 | $ 7,500 | |
Jaguar Holding Co. II 2018 (1 month LIBOR + 2.500%) 0.000%, 8/18/22(8) | 5,954 | 5,927 | |
34,250 | |||
Housing—0.1% | |||
CPG International LLC (3 month LIBOR + 3.750%) 4.750%, 5/6/24 | 6,863 | 6,834 | |
LEB Holdings (USA), Inc. (3 month LIBOR + 4.000%) 0.000%, 9/25/27(8) | 1,175 | 1,165 | |
7,999 | |||
Information Technology—1.2% | |||
Applied Systems, Inc. First Lien (3 month LIBOR + 3.250%) 0.000%, 9/19/24(8) | 11,829 | 11,744 | |
Boxer Parent Co., Inc. (1 month LIBOR + 4.250%) 4.397%, 10/2/25 | 6,253 | 6,056 | |
Dell International LLC Tranche B-1 (1 month LIBOR + 2.000%) 0.000%, 9/19/25(8) | 8,885 | 8,838 | |
Science Applications International Corp. Tranche B2 (1 month LIBOR + 2.250%) 2.397%, 3/13/27 | 4,780 | 4,716 |
Par Value | Value | ||
Information Technology—continued | |||
SS&C Technologies, Inc. | |||
Tranche B-3 (1 month LIBOR + 1.750%) 1.897%, 4/16/25 | $ 2,653 | $ 2,564 | |
Tranche B-4 (1 month LIBOR + 1.750%) 1.897%, 4/16/25 | 1,864 | 1,802 | |
Tranche B-5 (1 month LIBOR + 1.750%) 1.897%, 4/16/25 | 9,378 | 9,073 | |
Ultimate Software Group, Inc. (The) | |||
2020 (3 month LIBOR + 4.000%) 4.750%, 5/4/26 | 12,205 | 12,161 | |
Second Lien (3 month LIBOR + 6.750%) 7.500%, 5/3/27 | 235 | 239 | |
Vertiv Group Corp. (1 month LIBOR + 3.000%) 3.157%, 3/2/27 | 11,209 | 11,018 | |
68,211 | |||
Manufacturing—0.5% | |||
CPI Acquisition, Inc. First Lien (3 month LIBOR + 4.500%) 5.500%, 8/17/22 | 7,731 | 6,716 | |
Gardner Denver, Inc. Tranche A (1 month LIBOR + 2.750%) 2.897%, 3/1/27 | 773 | 761 |
Par Value | Value | ||
Manufacturing—continued | |||
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 1.897%, 2/28/27 | $7,094 | $ 6,848 | |
NCR Corp. (1 month LIBOR + 2.500%) 2.650%, 8/28/26 | 4,718 | 4,592 | |
Titan Acquisition Ltd. (3 month LIBOR + 3.000%) 3.361%, 3/28/25 | 6,340 | 5,974 | |
Vertical Midco Gmbh Tranche B (6 month LIBOR + 4.250%) 4.567%, 7/30/27 | 2,360 | 2,338 | |
27,229 | |||
Media / Telecom - Broadcasting—0.3% | |||
Diamond Sports Group LLC (1 month LIBOR + 3.250%) 3.400%, 8/24/26 | 3,633 | 2,804 | |
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.750%) 2.905%, 9/18/26 | 8,425 | 8,228 | |
Sinclair Television Group, Inc. Tranche B (1 month LIBOR + 2.500%) 2.650%, 1/3/24 | 7,938 | 7,716 | |
18,748 | |||
Par Value | Value | ||
Media / Telecom - Cable/Wireless Video—0.6% | |||
Charter Communications Operating LLC Tranche B2 (1 month LIBOR + 1.750%) 1.900%, 2/1/27 | $9,379 | $ 9,153 | |
CSC Holdings LLC | |||
2017 (1 month LIBOR + 2.250%) 2.402%, 7/17/25 | 4,389 | 4,239 | |
2018 (1 month LIBOR + 2.250%) 2.402%, 1/15/26 | 7,220 | 6,966 | |
2019 (1 month LIBOR + 2.500%) 2.652%, 4/15/27 | 3,946 | 3,819 | |
Radiate Holdco LLC Tranche B (3 month LIBOR + 3.500%) 0.000%, 9/25/26(8) | 959 | 941 | |
Virgin Media Bristol LLC Tranche B (3 month LIBOR + 3.250%) 0.000%, 1/31/29(8) | 9,320 | 9,152 | |
Ziggo Financing Partnership Tranche I (1 month LIBOR + 2.500%) 2.652%, 4/30/28 | 3,145 | 3,021 | |
37,291 | |||
Par Value | Value | ||
Media / Telecom - Diversified Media—0.3% | |||
CDS US Intermediate Holdings, Inc. Tranche B (3 month LIBOR + 5.500%) 6.500%, 7/8/22(2) | $4,751 | $ 2,285 | |
Clear Channel Outdoor Holdings, Inc. Tranche B (3 month LIBOR + 3.500%) 3.761%, 8/21/26 | 6,405 | 5,815 | |
UPC Broadband Holding B.V. | |||
Tranche B-1 (3 month LIBOR + 3.500%) 0.000%, 1/31/29(8) | 6,055 | 5,867 | |
Tranche B-2 (3 month LIBOR + 3.500%) 0.000%, 1/31/29(8) | 6,055 | 5,867 | |
19,834 | |||
Media / Telecom - Telecommunications—0.8% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.397%, 3/15/27 | 9,470 | 9,082 | |
Consolidated Communications, Inc. | |||
(3 month LIBOR + 4.750%) 0.000%, 10/2/27(8) | 5,300 | 5,239 | |
2016 (1 month LIBOR + 3.000%) 4.000%, 10/5/23 | 8,411 | 8,308 |
Par Value | Value | ||
Media / Telecom - Telecommunications—continued | |||
Frontier Communications Corp. Tranche B-1 (3 month PRIME + 2.750%) 6.000%, 6/17/24 | $11,417 | $11,206 | |
Level 3 Financing, Inc. 2027, Tranche B (1 month LIBOR + 1.750%) 1.897%, 3/1/27 | 9,083 | 8,791 | |
Zayo Group Holdings, Inc. (1 month LIBOR + 3.000%) 3.147%, 3/9/27 | 7,313 | 7,087 | |
49,713 | |||
Media / Telecom - Wireless Communications—0.3% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 3.397%, 4/4/26 | 3,995 | 3,885 | |
T-Mobile USA, Inc. (1 month LIBOR + 3.000%) 3.147%, 4/1/27 | 14,713 | 14,691 | |
18,576 | |||
Retail—0.2% | |||
Michaels Stores, Inc. 2018, Tranche B (1 month LIBOR + 2.500%) 3.500%, 1/30/23 | 9,149 | 9,095 |
Par Value | Value | ||
Service—0.7% | |||
Asplundh Tree Expert LLC (3 month LIBOR + 2.500%) 2.655%, 9/4/27 | $ 2,470 | $ 2,465 | |
GFL Environmental, Inc. 2018 (3 month LIBOR + 3.000%) 4.000%, 5/30/25 | 10,628 | 10,570 | |
Hoya Midco LLC First Lien (6 month LIBOR + 3.500%) 4.500%, 6/30/24 | 4,451 | 3,805 | |
Sedgwick Claims Management Services, Inc. | |||
2019 (1 month LIBOR + 4.000%) 4.147%, 9/3/26 | 9,998 | 9,838 | |
2020 (1 month LIBOR + 4.250%) 5.250%, 9/3/26 | 2,823 | 2,798 | |
TKC Holdings, Inc. First Lien (3 month LIBOR + 3.750%) 4.750%, 2/1/23 | 5,919 | 5,543 | |
Trans Union LLC Tranche B-5 (1 month LIBOR + 1.750%) 1.897%, 11/16/26 | 8,503 | 8,278 | |
43,297 | |||
Transportation - Automotive—0.3% | |||
Genesee & Wyoming, Inc. (3 month LIBOR + 2.000%) 2.220%, 12/30/26 | 2,756 | 2,708 | |
Panther BF Aggregator 2 LP First Lien (1 month LIBOR + 3.500%) 3.647%, 4/30/26 | 6,880 | 6,694 |
Par Value | Value | ||
Transportation - Automotive—continued | |||
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) 3.147%, 10/1/25 | $6,013 | $ 5,408 | |
14,810 | |||
Utility—0.3% | |||
Brookfield WEC Holdings, Inc. (1 month LIBOR + 3.000%) 3.750%, 8/1/25 | 8,122 | 7,907 | |
Calpine Corp. 2019 (1 month LIBOR + 2.250%) 2.400%, 4/5/26 | 9,727 | 9,456 | |
PG&E Corp. (3 month LIBOR + 4.500%) 5.500%, 6/23/25 | 1,935 | 1,893 | |
19,256 | |||
Total Leveraged Loans (Identified Cost $594,682) | 576,691 |
Shares | ||
Preferred Stocks—0.4% | ||
Financials—0.4% | ||
Bank of New York Mellon Corp. (The) Series E, 3.647%(4) | 12,070 (9) | 11,829 |
Huntington Bancshares, Inc. Series E, 5.700% | 3,303 (9) | 3,089 |
JPMorgan Chase & Co. Series Z, 4.051%(4) | 3,985 (9) | 3,943 |
JPMorgan Chase & Co. Series HH, 4.600% | 4,159 (9) | 4,076 |
22,937 | ||
Total Preferred Stocks (Identified Cost $23,521) | 22,937 |
Shares | Value | ||
Common Stocks—0.0% | |||
Communication Services—0.0% | |||
Clear Channel Outdoor Holdings, Inc.(10) | 48,842 | $ 49 | |
Energy—0.0% | |||
Frontera Energy Corp. | 148,014 | 238 | |
Total Common Stocks (Identified Cost $2,826) | 287 | ||
Exchange-Traded Fund—0.5% | |||
iShares iBoxx $ Investment Grade Corporate Bond ETF(11) | 220,653 | 29,724 | |
Total Exchange-Traded Fund (Identified Cost $28,617) | 29,724 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(10) | 98,789 | 108 | |
Total Rights (Identified Cost $84) | 108 | ||
Warrant—0.0% | |||
Communication Services—0.0% | |||
iHeartMedia, Inc.(5) | 20,771 | 164 | |
Total Warrant (Identified Cost $361) | 164 | ||
Total Long-Term Investments—99.8% (Identified Cost $5,896,403) | 5,943,416 |
Value | ||
TOTAL INVESTMENTS—99.8% (Identified Cost $5,896,403) | $5,943,416 | |
Other assets and liabilities, net—0.2% | 12,862 | |
NET ASSETS—100.0% | $5,956,278 |
Abbreviations: | |
ABS | Asset-Backed Securities |
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 |
WaMu | Washington Mutual |
Foreign Currencies: | |
MXN | Mexican Peso |
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 September 30, 2020, these securities amounted to a value of $3,693,043 or 62.0% 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) | Variable rate security. Rate disclosed is as of September 30, 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) | Interest payments may be deferred. |
(7) | No contractual maturity date. |
(8) | This loan will settle after September 30, 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 (Unaudited)† | |
United States | 86% |
Canada | 2 |
Netherlands | 1 |
Cayman Islands | 1 |
Indonesia | 1 |
Mexico | 1 |
United Kingdom | 1 |
Other | 7 |
Total | 100% |
† % of total investments as of September 30, 2020. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $1,360,949 | $ — | $1,360,949 | $ — | |||
Corporate Bonds and Notes | 1,995,352 | — | 1,995,350 | 2 (1) | |||
Foreign Government Securities | 274,400 | — | 274,400 | — | |||
Leveraged Loans | 576,691 | — | 576,691 | — (1) | |||
Mortgage-Backed Securities | 1,553,490 | — | 1,553,490 | — | |||
Municipal Bond | 4,598 | — | 4,598 | — | |||
U.S. Government Securities | 124,716 | — | 124,716 | — | |||
Equity Securities: | |||||||
Common Stocks | 287 | 287 | — | — | |||
Preferred Stocks | 22,937 | — | 22,937 | — | |||
Rights | 108 | — | 108 | — | |||
Warrant | 164 | — | — | 164 | |||
Exchange-Traded Fund | 29,724 | 29,724 | — | — | |||
Total Investments | $5,943,416 | $30,011 | $5,913,239 | $166 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Asset-Backed Securities | Corporate Bonds And Notes | Leveraged Loans | Mortgage-Backed Securities | Right | Warrant | |||||||
Investments in Securities | |||||||||||||
Balance as of September 30, 2019: | $ 67,186 | $14,074 | $11 (a) | $— (a) | $ 52,720 | $ 85 | $ 296 | ||||||
Accrued discount/(premium) | — (b) | — | — | — (b) | — (b) | — | — | ||||||
Realized gain (loss) | (184) | 23 | — | — | (207) | — | — | ||||||
Change in unrealized appreciation (depreciation)(c) | (53) | 23 | (9) | — (b) | 42 | 23 | (132) | ||||||
Sales (d) | (24,583) | (9,426) | — | — | (15,157) | — | — | ||||||
Transfers from Level 3(e) | (42,200) | (4,694) | — | — | (37,398) | (108) | — | ||||||
Balance as of September 30, 2020 | $ 166 | $ — | $ 2(a) | $— (a) | $ — | $ — | $ 164 |
September 30, 2020
Assets | |
Investment in securities at value(1) | $ 5,943,416 |
Cash | 143,379 |
Receivables | |
Investment securities sold | 5,965 |
Fund shares sold | 9,899 |
Dividends and interest | 31,631 |
Prepaid Trustees’ retainer | 117 |
Prepaid expenses | 62 |
Other assets | 639 |
Total assets | 6,135,108 |
Liabilities | |
Payables | |
Fund shares repurchased | 9,425 |
Investment securities purchased | 162,740 |
Dividend distributions | 1,538 |
Investment advisory fees | 2,311 |
Distribution and service fees | 453 |
Administration and accounting fees | 507 |
Transfer agent and sub-transfer agent fees and expenses | 939 |
Professional fees | 62 |
Trustee deferred compensation plan | 639 |
Interest expense and/or commitment fees | 9 |
Other accrued expenses | 207 |
Total liabilities | 178,830 |
Net Assets | $ 5,956,278 |
Net Assets Consist of: | |
Capital paid in on shares of beneficial interest | $ 6,103,640 |
Accumulated earnings (loss) | (147,362) |
Net Assets | $ 5,956,278 |
Net Assets: | |
Class A | $ 857,107 |
Class C | $ 433,279 |
Class C1 | $ 114,699 |
Class I | $ 4,539,835 |
Class R6 | $ 11,358 |
Shares Outstanding (unlimited number of shares authorized, no par value): | |
Class A | 181,331,160 |
Class C | 90,384,272 |
Class C1 | 23,989,852 |
Class I | 958,925,062 |
Class R6 | 2,397,223 |
Net Asset Value and Redemption Price Per Share: | |
Class A | $ 4.73 |
Class C | $ 4.79 |
Class C1 | $ 4.78 |
Class I | $ 4.73 |
Class R6 | $ 4.74 |
Maximum Offering Price per Share (NAV/(1-2.25%*)): | |
Class A | $ 4.84 |
* Maximum sales charge | |
(1) Investment in securities at cost | $ 5,896,403 |
September 30, 2020
Investment Income | |
Dividends | $ 5,102 |
Interest | 210,006 |
Security lending, net of fees | 280 |
Foreign taxes withheld | (10) |
Total investment income | 215,378 |
Expenses | |
Investment advisory fees | 28,798 |
Distribution and service fees, Class A | 2,107 |
Distribution and service fees, Class C | 2,476 |
Distribution and service fees, Class C1 | 1,661 |
Administration and accounting fees | 6,341 |
Transfer agent fees and expenses | 2,637 |
Sub-transfer agent fees and expenses, Class A | 610 |
Sub-transfer agent fees and expenses, Class C | 288 |
Sub-transfer agent fees and expenses, Class C1 | 100 |
Sub-transfer agent fees and expenses, Class I | 3,217 |
Custodian fees | 12 |
Printing fees and expenses | 340 |
Professional fees | 146 |
Interest expense and/or commitment fees | 37 |
Registration fees | 226 |
Trustees’ fees and expenses | 527 |
Miscellaneous expenses | 397 |
Total expenses | 49,920 |
Less net expenses reimbursed and/or waived by investment adviser(1) | (11) |
Less low balance account fees | (1) |
Net expenses | 49,908 |
Net investment income (loss) | 165,470 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | (10,639) |
Foreign currency transactions | (1,988) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | 6,671 |
Foreign currency transactions | 8 |
Net realized and unrealized gain (loss) on investments | (5,948) |
Net increase (decrease) in net assets resulting from operations | $159,522 |
(1) | See Note 3D in Notes to Financial Statements. |
Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $ 165,470 | $ 201,569 | |
Net realized gain (loss) | (12,627) | (72,024) | |
Net change in unrealized appreciation (depreciation) | 6,679 | 156,008 | |
Increase (decrease) in net assets resulting from operations | 159,522 | 285,553 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (21,578) | (21,847) | |
Class C | (11,346) | (18,208) | |
Class C1 | (3,010) | (4,893) | |
Class I | (127,738) | (136,183) | |
Class R6 | (320) | (160) | |
Return of Capital: | |||
Class A | (2,308) | (2,625) | |
Class C | (1,356) | (2,471) | |
Class C1 | (455) | (831) | |
Class I | (12,460) | (15,080) | |
Class R6 | (30) | (17) | |
Total Dividends and Distributions to Shareholders | (180,601) | (202,315) | |
Change in Net Assets from Capital Transactions | |||
Shares sold and cross class conversions: | |||
Class A (45,831 and 131,106 shares, respectively) | 214,777 | 608,263 | |
Class C (3 and 43,334 shares, respectively) | 15 | 203,366 | |
Class C1 (4,727 and 3,765 shares, respectively) | 22,398 | 17,803 | |
Class I (328,899 and 271,045 shares, respectively) | 1,539,304 | 1,266,053 | |
Class R6 (2,223 and 929 shares, respectively) | 10,419 | 4,325 | |
Reinvestment of distributions: | |||
Class A (4,513 and 4,600 shares, respectively) | 21,038 | 21,489 | |
Class C (2,666 and 4,348 shares, respectively) | 12,596 | 20,532 | |
Class C1 (487 and 839 shares, respectively) | 2,295 | 3,953 | |
Class I (26,392 and 28,436 shares, respectively) | 123,234 | 132,925 | |
Class R6 (49 and 25 shares, respectively) | 231 | 115 | |
Shares repurchased and cross class conversions: | |||
Class A ((59,515) and (98,212) shares, respectively) | (276,484) | (456,110) | |
Class C ((32,673) and (147,719) shares, respectively) | (154,019) | (694,497) | |
Class C1 ((22,152) and (28,461) shares, respectively) | (104,849) | (134,319) | |
Class I ((390,608) and (374,977) shares, respectively) | (1,799,312) | (1,744,061) | |
Class R6 ((1,232) and (277) shares, respectively) | (5,763) | (1,296) | |
Increase (decrease) in net assets from capital transactions | (394,120) | (751,459) | |
Net increase (decrease) in net assets | (415,199) | (668,221) | |
Net Assets | |||
Beginning of period | 6,371,477 | 7,039,698 | |
End of Period | $ 5,956,278 | $ 6,371,477 |
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 9/30/20 | $4.72 | 0.12 | 0.02 | 0.14 | (0.12) | (0.01) | (0.13) |
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) |
Class C | |||||||
10/1/19 to 9/30/20 | $4.78 | 0.11 | 0.02 | 0.13 | (0.11) | (0.01) | (0.12) |
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) |
Class C1 | |||||||
10/1/19 to 9/30/20 | $4.77 | 0.09 | 0.02 | 0.11 | (0.09) | (0.01) | (0.10) |
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) |
Class I | |||||||
10/1/19 to 9/30/20 | $4.72 | 0.13 | 0.02 | 0.15 | (0.13) | (0.01) | (0.14) |
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) |
Class R6 | |||||||
10/1/19 to 9/30/20 | $4.72 | 0.14 | 0.03 | 0.17 | (0.14) | (0.01) | (0.15) |
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 (10) to 9/30/17 | 4.76 | 0.15 | 0.02 | 0.17 | (0.15) | — | (0.15) |
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 |
0.01 | $4.73 | 3.10% | $ 857,107 | 0.98% (6) | 0.98% | 2.58% | 70% |
0.07 | 4.72 | 4.62 | 898,392 | 0.97 (6) | 0.98 | 3.01 | 58 |
(0.13) | 4.65 | 0.05 | 711,425 | 0.97 (6) | 0.98 | 2.88 | 55 |
— | 4.78 | 3.07 (7) | 925,677 | 1.00 (6)(7) | 1.01 | 3.04 (7) | 69 |
0.09 | 4.78 | 4.90 | 1,307,484 | 1.00 (6)(8) | 1.01 | 3.19 | 53 |
0.01 | $4.79 | 2.81% | $ 433,279 | 1.21% (6) | 1.21% | 2.35% | 70% |
0.07 | 4.78 | 4.31 | 575,524 | 1.21 (6) | 1.21 | 2.78 | 58 |
(0.13) | 4.71 | (0.18) | 1,039,109 | 1.20 (6) | 1.21 | 2.66 | 55 |
— | 4.84 | 2.78 (7) | 1,266,378 | 1.25 (6)(7) | 1.25 | 2.80 (7) | 69 |
0.09 | 4.84 | 4.58 | 1,321,202 | 1.25 (6)(8) | 1.26 | 2.94 | 53 |
0.01 | $4.78 | 2.31% | $ 114,699 | 1.71% (6) | 1.71% | 1.85% | 70% |
0.07 | 4.77 | 3.80 | 195,185 | 1.71 (6) | 1.72 | 2.28 | 58 |
(0.13) | 4.70 | (0.68) | 304,444 | 1.70 (6) | 1.71 | 2.16 | 55 |
— | 4.83 | 2.28 (7) | 377,835 | 1.75 (6)(7) | 1.75 | 2.30 (7) | 69 |
0.10 | 4.83 | 4.29 | 489,924 | 1.75 (6)(8) | 1.76 | 2.44 | 53 |
0.01 | $4.73 | 3.36% | $4,539,835 | 0.72% (6) | 0.72% | 2.83% | 70% |
0.06 | 4.72 | 4.66 | 4,695,968 | 0.72 (6) | 0.72 | 3.26 | 58 |
(0.13) | 4.66 | 0.32 | 4,981,559 | 0.71 (6) | 0.71 | 3.16 | 55 |
0.01 | 4.79 | 3.54 (7) | 4,811,684 | 0.75 (6)(7) | 0.76 | 3.30 (7) | 69 |
0.09 | 4.78 | 5.16 | 4,033,610 | 0.75 (6)(8) | 0.76 | 3.44 | 53 |
0.02 | $4.74 | 3.65% | $ 11,358 | 0.55% | 0.65% | 2.99% | 70% |
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 (9) | 0.65 | 3.29 | 55 |
0.02 | 4.78 | 3.54 (7) | 2,533 | 0.70 (7) | 0.71 | 3.05 (7) | 69 (11) |
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) | The share class is currently under its expense limitation. |
(7) | 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%. |
(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. |
September 30, 2020
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. |
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 September 30, 2020, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2017 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. | 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. | |
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. |
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 | $ 11 | $ 18 | |||
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 fiscal year (the “period”) ended September 30, 2020, it retained net commissions of $15 for Class A shares, and CDSC of $22, $—* and $12 for Class A shares, Class C shares, and Class C1 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 September 30, 2020, the Fund incurred administration fees totaling $5,797 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 September 30, 2020, the Fund incurred transfer agent fees totaling $2,599 which are included in the Statement 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 Statement of Assets and Liabilities at September 30, 2020. |
Purchases | Sales | |
$3,699,274 | $4,017,491 |
Purchases | Sales | |
$481,577 | $457,852 |
% of Shares Outstanding | Number of Accounts* | |
35% | 2 |
* | The shareholders are not affiliated with Virtus. |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$ 5,899,413 | $ 134,770 | $ (90,767) | $ 44,003 |
Short-Term | Long-Term | ||
$70,491 | $114,199 |
Capital Loss Deferred | Capital Loss Recognized | |
$ 5,933 | $ (44,562) |
Year Ended | Year Ended | ||
2020 | 2019 | ||
Ordinary Income | $163,992 | $181,291 | |
Return of Capital | 16,609 | 21,024 | |
Total | $180,601 | $202,315 |
Capital Paid in on Shares of Beneficial Interest | Total Distributable Earnings (Accumulated Losses) | |
$ 4,800 | $ (4,800) |
Philadelphia, Pennsylvania
QDI | DRD | LTCG | |||
—% | —% | $— |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Brown, Thomas J. YOB: 1945 Served Since: 2016 68 Portfolios | Retired. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). |
Burke, Donald C. YOB: 1960 Served Since: 2016 72 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; and Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 68 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Director (1999 to 2019) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Mallin, John R. YOB: 1950 Served Since: 2016 68 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm) Real Property Practice Group; Member (since 2014), Counselors of Real Estate. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). |
McClellan, Hassell H. YOB: 1945 Served Since: 2015 68 Portfolios | Retired. Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee since 2015), Virtus Mutual Fund Family (54 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 68 Portfolios | Retired (since 2013). Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013), Vice President Global Finance Transformation (2007 to 2009), Vice President and Controller (1999 to 2007), The Coca-Cola Company. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Director (since 2019), Global Payments Inc.; Trustee (since 2017), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (2014 to 2019), Total System Services, Inc.; Member (since 2011) and Chair (2014 to 2016), Georgia State University, Robinson College of Business Board of Advisors; and Trustee (2005 to 2017), RidgeWorth Funds. |
McLoughlin, Philip YOB: 1946 Served Since: 1999 72 Portfolios | Retired. | Director and Chairman (since 2016), Virtus Total Return Fund Inc.; Director and Chairman (2016 to 2019), the former Virtus Total Return Fund Inc.; Director and Chairman (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (1991 to 2019) and Chairman (2010 to 2019), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (54 portfolios). |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 72 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (54 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2000 68 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). | Director (since 2016), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (54 portfolios). |
Segerson, Richard E. YOB: 1946 Served Since: 2000 68 Portfolios | Retired. Managing Director (1998 to 2013), Northway Management Company. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (54 portfolios). |
Walton, R. Keith YOB: 1964 Served Since: 2020 68 Portfolios | Venture and Operating Partner (since 2020), Plexo Capital, LLC; Venture Partner (since 2019) and Senior Adviser (2018 to 2019), Plexo, LLC; Senior Adviser (2018 to 2019), Vatic Labs, LLC; Executive Vice President, Strategy (2017 to 2019), Zero Mass Water, LLC; Vice President, Strategy (2013 to 2017), Arizona State University; Partner (since 2006), Global Infrastructure Partners | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Director (since 2017), certain funds advised by Bessemer Investment Management LLC; Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (2006 to 2019), Systematica Investments Limited Funds; Director (2006 to 2017), BlueCrest Capital Management Funds; Trustee (2014 to 2017), AZ Service; Director (since 2004), Virtus Total Return Fund Inc.; and Director (2004 to 2019), the former Virtus Total Return Fund Inc. |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Zino, Brian T. YOB: 1952 Served Since: 2020 68 Portfolios | Retired. Various roles (1982 to 2008), J. & W. Seligman & Co. Incorporated, including President (1994 to 2008). | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2014), Virtus Total Return Fund Inc.; Director (2014 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2011), Bentley University; Director (1986 to 2008) and President (1994 to 2008), J&W Seligman Co. Inc.; Director (1998 to 2009), Chairman (2002 to 2004) and Vice Chairman (2000 to 2002), ICI Mutual Insurance Company; Member, Board of Governors of ICI (1998 to 2008). |
Name, Year of Birth, Length of Time Served and Number of Funds Overseen | Principal Occupation(s) During Past 5 Years | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee |
Aylward, George R.* Trustee and President YOB: 1964 Served Since: 2006 70 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries, and various senior officer positions with Virtus affiliates (since 2005). | Chairman and Trustee (since 2015), Virtus ETF Trust II (2 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (5 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (54 portfolios); Director, President and Chief Executive Officer (since 2006), Virtus Total Return Fund Inc.; and Director, President and Chief Executive Officer (2006 to 2019), the former Virtus Total Return Fund Inc. |
Name, Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Moyer, William R. YOB: 1944 Served Since: 2020 68 Portfolios | Private investor (since 2004); Financial and Operations Principal (2006 to 2017), Newcastle Distributors LLC (broker dealer). | Advisory Board Member (since 2020), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Advisory Board Member (since 2020) and Director (2016 to 2019), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Advisory Board Member (since 2020) and Director (2014 to 2019), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Advisory Board Member (since 2020) and Trustee (2011 to 2019), Virtus Global Multi-Sector Income Fund; Advisory Board Member (since 2020) and Trustee (2013 to 2016), Virtus Alternative Solutions Trust (3 portfolios). |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter J. YOB: 1970 | Senior Vice President (since 2017), and Vice President (2008 to 2016). | Senior Vice President, Product Development (since 2017), Vice President, Product Development (2008 to 2016), and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2013 to 2016), Virtus Alternative Solutions Trust; Senior Vice President (since 2017) and Vice President (2016 to 2017), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; and Senior Vice President (2017 to 2019) and Vice President (2016 to 2017), the former Virtus Total Return Fund Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2011 to 2013); Chief Financial Officer and Treasurer (since 2006). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), and various officer positons (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc.; Executive Vice President (2016 to 2019), Senior Vice President (2013 to 2016), Vice President (2012 to 2013), Treasurer and Chief Financial Officer (since 2010), the former Virtus Total Return Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Utility and Infrastructure Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2013); Vice President (2005 to 2013); Chief Legal Officer, Counsel and Secretary (since 2005). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), and various officer positions (since 2005), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), and Assistant Secretary (2013 to 2014 and since 2017), Virtus Total Return Fund Inc.; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013) and Assistant Secretary (2013 to 2014 and 2017 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President (2013 to 2014), Vice President (2011 to 2013), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017); Vice President (2011 to 2017); and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), and various officer positions (since 2003), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc.; Senior Vice President (2017 to 2019), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President (since 2018), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Senior Vice President (2018 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013); Senior Vice President (2008 to 2013). | Executive Vice President, Product Development (since 2009), and various senior officer positions (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust; Executive Vice President (since 2017), Virtus Total Return Fund Inc.; and Executive Vice President (2017 to 2019), the former Virtus Total Return Fund Inc. |
Accounting Firm
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.
please contact us at 1-800-243-1574, or Virtus.com.
8010 | 11-20 |
1 | |
2 | |
4 | |
6 | |
11 | |
14 | |
16 | |
17 | |
18 | |
21 | |
33 | |
34 | |
35 | |
36 |
President, Virtus Funds
Beginning Account Value April 1, 2020 | Ending Account Value September 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,292.30 | 1.56 % | $ 8.94 | |||
Class C | 1,000.00 | 1,287.30 | 2.23 | 12.75 | |||
Class I | 1,000.00 | 1,293.70 | 1.27 | 7.28 | |||
Class R6 | 1,000.00 | 1,294.10 | 0.98 | 5.62 |
* | 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. |
Beginning Account Value April 1, 2020 | Ending Account Value September 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,017.20 | 1.56 % | $ 7.87 | |||
Class C | 1,000.00 | 1,013.85 | 2.23 | 11.23 | |||
Class I | 1,000.00 | 1,018.65 | 1.27 | 6.41 | |||
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. |
Ticker Symbols: | |
Class A: HEMZX | |
Class C: PICEX | |
Class I: HIEMX | |
Class R6: VREMX |
■ | The Fund is diversified and has an investment objective of capital appreciation. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended September 30, 2020, the Fund’s Class A shares at NAV returned 5.22%, Class C shares at NAV returned 4.49%, Class I shares at NAV returned 5.57% and Class R6 shares at NAV returned 5.86%. For the same period, the MSCI Emerging Markets Index (net), which serves as both the broad-based and style-specific index appropriate for comparison, returned 10.54%. |
• | Alibaba Holdings reported strong results during the period. Overall growth was back to pre-COVID-19 levels, which was encouraging. Alibaba is the leading e-commerce platform operator in China, with a dominant market share in terms of overall gross merchandise volume (GMV). It is multiples larger in GMV than the second biggest player in China, JD.com. Alibaba’s key advantage versus competitors is that it has the largest number of vendors, which in turn attracts a massive pool of buyers. |
• | In the wake of the COVID-19 lockdown, video games continued to show strong growth in China. Tencent Holdings is a major internet platform in China with a strong presence in online gaming and instant messaging, and one of the country’s largest web portals. The company has been |
• | Taiwan Semiconductor, Techtronic Industries, and Wuliangye Yibin also helped absolute performance. |
• | Weak bar and restaurant traffic associated with the COVID-19 pandemic weighed on the industry during the quarter. Ambev is the dominant Brazilian brewer and also has a strong presence in non-alcoholic beverages. It has high market share in other Latin American countries as well as in Canada. Ambev has high margins, and generates significant amounts of cash. It pays a hefty dividend and is not levered. Thus, we continued to hold the stock as of the end of the fiscal year. |
• | Banco Itau remained under pressure for cyclical as well as structural reasons. We exited the position early in 2020. |
• | Fomento Economico Mexicano SAB, Kasikorn Bank plc, and Telekomunikasi also hurt absolute performance. |
Information Technology | 24% |
Consumer Discretionary | 20 |
Consumer Staples | 20 |
Communication Services | 18 |
Financials | 12 |
Industrials | 3 |
Utilities | 1 |
Other | 2 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 5.22 % | 6.38 % | 3.73 % | — % | — | |||||||
Class A shares at POP3,4 | -0.83 | 5.13 | 3.12 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 4.49 | 5.64 | 2.98 | — | — | |||||||
Class I shares at NAV2 | 5.57 | 6.71 | 4.02 | — | — | |||||||
Class R6 shares at NAV2 | 5.86 | 6.87 | — | 3.18 | 11/12/14 | |||||||
MSCI Emerging Markets Index (net) | 10.54 | 8.97 | 2.50 | 3.86 5 | — | |||||||
Fund Expense Ratios6: Class A shares: 1.57%; Class C shares: 2.25%; Class I shares: 1.25%; Class R6: Gross 1.13%, Net 0.98%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through March 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
September 30, 2020
Shares | Value | ||
Common Stocks—99.1% | |||
Communication Services—17.9% | |||
Autohome, Inc. ADR (China) | 899,754 | $ 86,376 | |
NAVER Corp. (South Korea) | 477,988 | 121,467 | |
NCSoft Corp. (South Korea) | 93,848 | 64,674 | |
NetEase, Inc. (China) | 3,139,991 | 56,377 | |
NetEase, Inc. ADR (China) | 180,429 | 82,036 | |
Telekomunikasi Indonesia Persero Tbk PT (Indonesia) | 388,935,333 | 67,155 | |
Tencent Holdings Ltd. (China) | 5,957,448 | 402,386 | |
Tencent Music Entertainment Group ADR (China)(1) | 6,727,430 | 99,364 | |
Yandex N.V. Class A (Russia)(1) | 998,901 | 65,178 | |
1,045,013 | |||
Consumer Discretionary—19.6% | |||
Alibaba Group Holding Ltd. Sponsored ADR (China)(1) | 1,669,376 | 490,763 | |
Baozun, Inc. Sponsored ADR (China)(1) | 1,643,651 | 53,402 | |
Eicher Motors Ltd. (India) | 2,382,566 | 71,135 | |
Lojas Renner S.A. (Brazil) | 14,316,253 | 101,281 | |
Naspers Ltd. Class N (South Africa) | 962,823 | 170,147 | |
Shenzhou International Group Holdings Ltd. (China) | 3,580,797 | 60,977 | |
Yum China Holdings, Inc. (China) | 3,246,484 | 171,901 | |
Yum China Holdings, Inc. (China)(1) | 525,360 | 26,980 | |
1,146,586 | |||
Consumer Staples—19.6% | |||
Ambev S.A. ADR (Brazil) | 10,213,741 | 23,083 |
Shares | Value | ||
Consumer Staples—continued | |||
Anheuser-Busch InBev NV (Belgium) | 1,578,053 | $ 85,525 | |
Budweiser Brewing Co. APAC Ltd. (Hong Kong) | 34,213,811 | 100,070 | |
CP ALL PCL (Thailand) | 45,753,776 | 87,220 | |
Fomento Economico Mexicano SAB de C.V. Sponsored ADR (Mexico) | 1,548,598 | 87,016 | |
Heineken NV (Netherlands) | 2,056,780 | 182,984 | |
LG Household & Health Care Ltd. (South Korea) | 77,733 | 95,927 | |
Unilever NV (Netherlands) | 3,731,840 | 225,334 | |
Vietnam Dairy Products JSC (Vietnam) | 6,780,442 | 32,085 | |
Vitasoy International Holdings Ltd. (Hong Kong) | 10,469,697 | 40,826 | |
Wal-Mart de Mexico SAB de C.V. (Mexico) | 20,911,583 | 50,039 | |
Wuliangye Yibin Co., Ltd. Class A (China) | 4,098,389 | 133,617 | |
1,143,726 | |||
Financials—12.1% | |||
B3 SA - Brasil Bolsa Balcao (Brazil) | 3,060,794 | 30,042 | |
Bank Central Asia Tbk PT (Indonesia) | 31,804,705 | 58,056 | |
Bank Polska Kasa Opieki SA (Poland)(1) | 1,913,135 | 24,905 | |
Bank Rakyat Persero Tbk PT (Indonesia) | 238,663,022 | 48,963 | |
HDFC Bank Ltd. (India)(1) | 5,381,943 | 79,006 | |
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | 1,836,533 | 86,452 | |
Housing Development Finance Corp., Ltd. (India) | 4,051,939 | 96,042 |
Shares | Value | ||
Financials—continued | |||
Kasikornbank PCL (Thailand) | 14,510,566 | $ 35,441 | |
Kotak Mahindra Bank Ltd. (India)(1) | 5,395,844 | 93,164 | |
Public Bank Bhd (Malaysia) | 13,492,725 | 51,032 | |
United Overseas Bank Ltd. (Singapore) | 6,462,290 | 91,036 | |
XP, Inc. Class A (Brazil)(1) | 371,288 | 15,479 | |
709,618 | |||
Health Care—1.1% | |||
Notre Dame Intermedica Participacoes SA (Brazil) | 5,435,027 | 63,071 | |
Industrials—2.7% | |||
MTR Corp., Ltd. (Hong Kong) | 10,995,186 | 54,568 | |
Techtronic Industries Co., Ltd. (Hong Kong) | 8,018,541 | 106,612 | |
161,180 | |||
Information Technology—23.4% | |||
Beijing Sinnet Technology Co., Ltd. Class A (China) | 16,466,305 | 54,316 | |
HCL Technologies Ltd. (India) | 18,663,314 | 205,765 | |
Largan Precision Co., Ltd. (Taiwan) | 580,251 | 67,953 | |
SK Hynix, Inc. (South Korea) | 3,178,542 | 227,847 | |
Sunny Optical Technology Group Co., Ltd. (China) | 5,025,194 | 78,053 | |
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) | 25,120,188 | 377,910 | |
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 646,811 | 52,437 |
Shares | Value | ||
Information Technology—continued | |||
Tata Consultancy Services Ltd. (India) | 6,241,748 | $ 211,173 | |
Win Semiconductors Corp. (Taiwan) | 9,212,152 | 91,856 | |
1,367,310 | |||
Materials—1.1% | |||
Asian Paints Ltd. (India) | 2,490,003 | 67,092 | |
Utilities—1.6% | |||
ENN Energy Holdings Ltd. (China) | 8,351,139 | 91,639 | |
Total Common Stocks (Identified Cost $4,869,523) | 5,795,235 | ||
Total Long-Term Investments—99.1% (Identified Cost $4,869,523) | 5,795,235 | ||
TOTAL INVESTMENTS—99.1% (Identified Cost $4,869,523) | $5,795,235 | ||
Other assets and liabilities, net—0.9% | 52,135 | ||
NET ASSETS—100.0% | $5,847,370 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
Country Weightings (Unaudited)† | |
China | 32% |
India | 15 |
Taiwan | 10 |
South Korea | 9 |
Netherlands | 7 |
Hong Kong | 7 |
Brazil | 3 |
Other | 17 |
Total | 100% |
† % of total investments as of September 30, 2020. |
Total Value at September 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $5,795,235 | $2,381,139 | $3,414,096 | ||
Total Investments | $5,795,235 | $2,381,139 | $3,414,096 |
September 30, 2020
Assets | |
Investment in securities at value(1) | $ 5,795,235 |
Cash | 110,280 |
Receivables | |
Investment securities sold | 13,153 |
Fund shares sold | 3,895 |
Dividends | 5,848 |
Tax reclaims | 2,724 |
Prepaid Trustees’ retainer | 119 |
Prepaid expenses | 32 |
Other assets | 634 |
Total assets | 5,931,920 |
Liabilities | |
Due to custodian | 10 |
Payables | |
Fund shares repurchased | 6,653 |
Investment securities purchased | 49,759 |
Foreign capital gains tax | 20,201 |
Investment advisory fees | 4,598 |
Distribution and service fees | 159 |
Administration and accounting fees | 503 |
Transfer agent and sub-transfer agent fees and expenses | 1,595 |
Professional fees | 71 |
Trustee deferred compensation plan | 634 |
Interest expense and/or commitment fees | 10 |
Other accrued expenses | 357 |
Total liabilities | 84,550 |
Net Assets | $ 5,847,370 |
Net Assets Consist of: | |
Common stock $0.001 par value | $ 514 |
Capital paid in on shares of beneficial interest | 5,295,747 |
Accumulated earnings (loss) | 551,109 |
Net Assets | $ 5,847,370 |
Net Assets: | |
Class A | $ 369,053 |
Class C | $ 99,139 |
Class I | $ 5,178,655 |
Class R6 | $ 200,523 |
Shares Outstanding (unlimited number of shares authorized, no par value): | |
Class A | 33,531,586 |
Class C | $ 9,333,456 |
Class I | $ 453,829,090 |
Class R6 | 17,523,779 |
Net Asset Value and Redemption Price Per Share: | |
Class A | $ 11.01 |
Class C | $ 10.62 |
Class I | $ 11.41 |
Class R6 | $ 11.44 |
Maximum Offering Price per Share (NAV/(1-5.75%*)): | |
Class A | $ 11.68 |
* Maximum sales charge | |
(1) Investment in securities at cost | $ 4,869,523 |
September 30, 2020
Investment Income | |
Dividends | $ 113,966 |
Interest | 14 |
Security lending, net of fees | 424 |
Foreign taxes withheld | (11,047) |
Total investment income | 103,357 |
Expenses | |
Investment advisory fees | 60,316 |
Distribution and service fees, Class A | 1,010 |
Distribution and service fees, Class C | 1,165 |
Administration and accounting fees | 6,582 |
Transfer agent fees and expenses | 2,750 |
Sub-transfer agent fees and expenses, Class A | 683 |
Sub-transfer agent fees and expenses, Class C | 120 |
Sub-transfer agent fees and expenses, Class I | 6,485 |
Custodian fees | 257 |
Printing fees and expenses | 440 |
Professional fees | 194 |
Interest expense and/or commitment fees | 68 |
Registration fees | 154 |
Trustees’ fees and expenses | 562 |
Miscellaneous expenses | 967 |
Total expenses | 81,753 |
Less net expenses reimbursed and/or waived by investment adviser(1) | (241) |
Less low balance account fees | — (2) |
Net expenses | 81,512 |
Net investment income (loss) | 21,845 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | (145,341) |
Foreign currency transactions | (6,077) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | 359,048 |
Foreign currency transactions | 188 |
Foreign capital gains tax | (16,447) |
Net realized and unrealized gain (loss) on investments | 191,371 |
Net increase (decrease) in net assets resulting from operations | $ 213,216 |
(1) | See Note 3D in Notes to Financial Statements. |
(2) | Amount is less than $500. |
Year Ended September 30, 2020 | Year Ended September 30, 2019 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $ 21,845 | $ 102,774 | |
Net realized gain (loss) | (151,418) | 36,527 | |
Net change in unrealized appreciation (depreciation) | 342,789 | 204,557 | |
Increase (decrease) in net assets resulting from operations | 213,216 | 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 | (2,708) | (3,906) | |
Total Dividends and Distributions to Shareholders | (145,836) | (235,071) | |
Change in Net Assets from Capital Transactions | |||
Shares sold and cross class conversions: | |||
Class A (9,057 and 13,820 shares, respectively) | 93,018 | 141,802 | |
Class C (420 and 1,150 shares, respectively) | 4,358 | 11,447 | |
Class I (100,907 and 155,904 shares, respectively) | 1,037,831 | 1,683,600 | |
Class R6 (10,515 and 3,183 shares, respectively) | 114,095 | 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 ((21,189) and (22,963) shares, respectively) | (211,952) | (236,775) | |
Class C ((4,422) and (6,551) shares, respectively) | (43,221) | (65,681) | |
Class I ((221,600) and (204,994) shares, respectively) | (2,260,192) | (2,169,445) | |
Class R6 ((4,043) and (6,589) shares, respectively) | (43,156) | (69,215) | |
Increase (decrease) in net assets from capital transactions | (1,183,090) | (439,178) | |
Net increase (decrease) in net assets | (1,115,710) | (330,391) | |
Net Assets | |||
Beginning of period | 6,963,080 | 7,293,471 | |
End of Period | $ 5,847,370 | $ 6,963,080 |
(1) | See Note 11 in Notes to Financial Statements. |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and nrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | |
Class A | |||||||
10/1/19 to 9/30/20 | $10.65 | 0.01 | 0.55 | 0.56 | (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(6) | 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) |
Class C | |||||||
10/1/19 to 9/30/20 | $10.27 | (0.06) | 0.52 | 0.46 | (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(6) | 8.49 | (0.02) | 1.16 | 1.14 | — | — | — |
1/1/15 to 12/31/15 | 9.37 | — | (0.88) | (0.88) | — | — | — |
Class I | |||||||
10/1/19 to 9/30/20 | $11.03 | 0.04 | 0.58 | 0.62 | (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(6) | 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) |
Class R6 | |||||||
10/1/19 to 9/30/20 | $11.04 | 0.06 | 0.59 | 0.65 | (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(6) | 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) |
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 |
0.36 | $11.01 | 5.22 % | $ 369,053 | 1.57 % | 1.57 % | 0.07 % | 55 % |
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 (7) | 1.60 | 0.40 | 25 |
(0.90) | 8.68 | (8.77) | 745,947 | 1.56 | 1.56 | 0.73 | 27 |
0.35 | $10.62 | 4.49 % | $ 99,139 | 2.25 % | 2.25 % | (0.61) % | 55 % |
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 (7) | 2.35 | (0.31) | 25 |
(0.88) | 8.49 | (9.50) | 223,303 | 2.31 | 2.31 | (0.01) | 27 |
0.38 | $11.41 | 5.57 % | $5,178,655 | 1.26 % | 1.26 % | 0.38 % | 55 % |
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 (7) | 1.34 | 0.64 | 25 |
(0.93) | 8.96 | (8.55) | 8,726,303 | 1.31 | 1.32 | 0.99 | 27 |
0.40 | $11.44 | 5.86 % | $ 200,523 | 0.98 % | 1.15 % | 0.59 % | 55 % |
0.22 | 11.04 | 6.11 | 119,946 | 1.03 (8) | 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 (7) | 1.22 | 0.72 | 25 |
(0.93) | 8.96 | (8.44) | 34,379 | 1.21 | 1.21 | 0.90 | 27 |
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) | The Fund changed its fiscal year end to September 30 during the period. |
(7) | Net expense ratio includes extraordinary proxy expenses. |
(8) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
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. |
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 |
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 September 30, 2020, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2017 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 |
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. |
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 | $ 241 | $ 359 | ||
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 fiscal year (the “period”) ended September 30, 2020, it retained net commissions of $9 for Class A shares and CDSC of $35 for Class A and $9 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 September 30, 2020, the Fund incurred administration fees totaling $6,017 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 September 30, 2020, the Fund incurred transfer agent fees totaling $2,697 which are included in the Statement 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 Statement of Assets and Liabilities at September 30, 2020. |
Purchases | Sales | |
$3,436,690 | $4,766,800 |
% of Shares Outstanding | Number of Accounts* | |
48% | 2 |
* | The shareholders are not affiliated with Virtus. |
Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | |||
$30 | $29,128 | 2.06% | 18 |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$ 4,931,716 | $ 1,276,117 | $ (412,598) | $ 863,519 |
Short-Term | Long-Term | ||
$88,600 | $83,520 |
Capital Loss Deferred |
$ 147,736 |
Undistributed Ordinary Income |
$28,413 |
Year Ended | Year Ended | ||
2020 | 2019 | ||
Ordinary Income | $130,807 | $ 63,071 | |
Long-Term Capital Gains | 15,029 | 172,000 | |
Total | $145,836 | $235,071 |
Capital Paid in on Shares of Beneficial Interest | Total Distributable Earnings (Accumulated Losses) | |
$ — (1) | $ —(1) |
(1) | Amount is less than $500. |
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 |
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 |
Philadelphia, Pennsylvania
QDI | DRD | LTCG | ||
100% | 2% | $ — |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Brown, Thomas J. YOB: 1945 Served Since: 2016 68 Portfolios | Retired. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). |
Burke, Donald C. YOB: 1960 Served Since: 2016 72 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; and Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 68 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Director (1999 to 2019) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Mallin, John R. YOB: 1950 Served Since: 2016 68 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm) Real Property Practice Group; Member (since 2014), Counselors of Real Estate. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). |
McClellan, Hassell H. YOB: 1945 Served Since: 2015 68 Portfolios | Retired. Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee since 2015), Virtus Mutual Fund Family (54 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 68 Portfolios | Retired (since 2013). Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013), Vice President Global Finance Transformation (2007 to 2009), Vice President and Controller (1999 to 2007), The Coca-Cola Company. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Director (since 2019), Global Payments Inc.; Trustee (since 2017), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (2014 to 2019), Total System Services, Inc.; Member (since 2011) and Chair (2014 to 2016), Georgia State University, Robinson College of Business Board of Advisors; and Trustee (2005 to 2017), RidgeWorth Funds. |
McLoughlin, Philip YOB: 1946 Served Since: 1999 72 Portfolios | Retired. | Director and Chairman (since 2016), Virtus Total Return Fund Inc.; Director and Chairman (2016 to 2019), the former Virtus Total Return Fund Inc.; Director and Chairman (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (1991 to 2019) and Chairman (2010 to 2019), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (54 portfolios). |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 72 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (54 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2000 68 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). | Director (since 2016), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (54 portfolios). |
Segerson, Richard E. YOB: 1946 Served Since: 2000 68 Portfolios | Retired. Managing Director (1998 to 2013), Northway Management Company. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (54 portfolios). |
Walton, R. Keith YOB: 1964 Served Since: 2020 68 Portfolios | Venture and Operating Partner (since 2020), Plexo Capital, LLC; Venture Partner (since 2019) and Senior Adviser (2018 to 2019), Plexo, LLC; Senior Adviser (2018 to 2019), Vatic Labs, LLC; Executive Vice President, Strategy (2017 to 2019), Zero Mass Water, LLC; Vice President, Strategy (2013 to 2017), Arizona State University; Partner (since 2006), Global Infrastructure Partners. | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Director (since 2017), certain funds advised by Bessemer Investment Management LLC; Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (2006 to 2019), Systematica Investments Limited Funds; Director (2006 to 2017), BlueCrest Capital Management Funds; Trustee (2014 to 2017), AZ Service; Director (since 2004), Virtus Total Return Fund Inc.; and Director (2004 to 2019), the former Virtus Total Return Fund Inc. |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Zino, Brian T. YOB: 1952 Served Since: 2020 68 Portfolios | Retired. Various roles (1982 to 2008), J. & W. Seligman & Co. Incorporated, including President (1994 to 2008). | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2014), Virtus Total Return Fund Inc.; Director (2014 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2011), Bentley University; Director (1986 to 2008) and President (1994 to 2008), J&W Seligman Co. Inc.; Director (1998 to 2009), Chairman (2002 to 2004) and Vice Chairman (2000 to 2002), ICI Mutual Insurance Company; Member, Board of Governors of ICI (1998 to 2008). |
Name, Year of Birth, Length of Time Served and Number of Funds Overseen | Principal Occupation(s) During Past 5 Years | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee |
Aylward, George R.* Trustee and President YOB: 1964 Served Since: 2006 70 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries, and various senior officer positions with Virtus affiliates (since 2005). | Chairman and Trustee (since 2015), Virtus ETF Trust II (2 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (5 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (54 portfolios); Director, President and Chief Executive Officer (since 2006), Virtus Total Return Fund Inc.; and Director, President and Chief Executive Officer (2006 to 2019), the former Virtus Total Return Fund Inc. |
Name, Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Moyer, William R. YOB: 1944 Served Since: 2020 68 Portfolios | Private investor (since 2004); Financial and Operations Principal (2006 to 2017), Newcastle Distributors LLC (broker dealer). | Advisory Board Member (since 2020), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Advisory Board Member (since 2020) and Director (2016 to 2019), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Advisory Board Member (since 2020) and Director (2014 to 2019), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Advisory Board Member (since 2020) and Trustee (2011 to 2019), Virtus Global Multi-Sector Income Fund; Advisory Board Member (since 2020) and Trustee (2013 to 2016), Virtus Alternative Solutions Trust (3 portfolios). |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter J. YOB: 1970 | Senior Vice President (since 2017), and Vice President (2008 to 2016). | Senior Vice President, Product Development (since 2017), Vice President, Product Development (2008 to 2016), and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2013 to 2016), Virtus Alternative Solutions Trust; Senior Vice President (since 2017) and Vice President (2016 to 2017), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; and Senior Vice President (2017 to 2019) and Vice President (2016 to 2017), the former Virtus Total Return Fund Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2011 to 2013); Chief Financial Officer and Treasurer (since 2006). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), and various officer positons (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc.; Executive Vice President (2016 to 2019), Senior Vice President (2013 to 2016), Vice President (2012 to 2013), Treasurer and Chief Financial Officer (since 2010), the former Virtus Total Return Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Utility and Infrastructure Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2013); Vice President (2005 to 2013); Chief Legal Officer, Counsel and Secretary (since 2005). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), and various officer positions (since 2005), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), and Assistant Secretary (2013 to 2014 and since 2017), Virtus Total Return Fund Inc.; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013) and Assistant Secretary (2013 to 2014 and 2017 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President (2013 to 2014), Vice President (2011 to 2013), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017); Vice President (2011 to 2017); and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), and various officer positions (since 2003), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc.; Senior Vice President (2017 to 2019), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President (since 2018), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Senior Vice President (2018 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013); Senior Vice President (2008 to 2013). | Executive Vice President, Product Development (since 2009), and various senior officer positions (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust; Executive Vice President (since 2017), Virtus Total Return Fund Inc.; and Executive Vice President (2017 to 2019), the former Virtus Total Return Fund Inc. |
Accounting Firm
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.
please contact us at 1-800-243-1574, or Virtus.com.
8004 | 11-20 |
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(b) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics described in Item 2(b) of the instructions for completion of Form N-CSR. |
(d) | The registrant has not granted any waivers, during the period covered by this report, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of the instructions for completion of this Item. |
Item 3. Audit Committee Financial Expert.
(a)(1) | The Registrant’s Board of Trustees has determined that the Registrant has an “audit committee financial expert” serving on its Audit Committee. |
(a)(2) | The Registrant’s Board of Trustees has determined that each of Thomas J. Brown, Donald C. Burke, Connie D. McDaniel and Brian T. Zino possesses the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert.” Each such individual is an “independent” trustee pursuant to paragraph (a)(2) of Item 3 to Form N-CSR. |
(a)(3) | Not applicable. |
Item 4. Principal Accountant Fees and Services.
• | Registrant may incorporate the following information by reference, if this information has been disclosed in the registrant’s definitive proxy statement or definitive information statement. The proxy statement or information statement must be filed no later than 120 days after the end of the fiscal year covered by the Annual Report. |
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $445,400 for 2019 and $463,530 for 2020. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $63,579 for 2019 and $36,562 for 2020. Such audit-related fees include the out of pocket expenses. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $81,628 for 2019 and $72,104 for 2020. |
“Tax Fees” are those primarily associated with review of the Trust’s tax provision and qualification as a regulated investment company (RIC) in connection with audits of the Trust’s financial statement, review of year-end distributions by the Fund to avoid excise tax for the Trust, periodic discussion with management on tax issues affecting the Trust, and reviewing and signing the Fund’s federal income returns.
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2019 and $0 for 2020. |
(e)(1) | Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
The Board of Trustees of Virtus Opportunities Trust (the “Fund”) has adopted policies and procedures with regard to the pre-approval of services provided by its independent auditors. Audit, audit-related and tax compliance services provided to the Fund on an annual basis require specific pre-approval by the Audit Committee. The Audit Committee must also approve other non-audit services provided to the Fund and those non-audit services provided to the Fund’s Affiliated Service Providers that relate directly to the operations and financial reporting of the Fund. Certain of these non-audit services that the Audit Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent auditors may be approved by the Audit Committee without consideration on a specific case-by-case basis (“general pre-approval”).
The Audit Committee has determined that Mr. Thomas J. Brown, Chair of the Audit Committee, may provide pre-approval for such services that meet the above requirements in the event such approval is sought between regularly scheduled meetings. In any event, the Audit Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person Audit Committee meeting.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) 0%
(c) 0%
(d) N/A
(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $145,207 for 2019 and $108,666 for 2020. |
(h) | The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
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 for Closed-End Management Investment Companies. |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-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 Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
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 Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-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 Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report 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 for Closed-End Management Investment Companies. |
Not applicable.
Item 13. Exhibits.
(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.
(a)(2) |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
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 12/4/2020
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 12/4/2020
By (Signature and Title)* /s/ W. Patrick Bradley
W. Patrick Bradley, Executive Vice President, Chief Financial Officer,
and Treasurer
(principal financial officer)
Date 12/4/2020
* Print the name and title of each signing officer under his or her signature.