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: March 31, 2021
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. |
(a) | The Report to Shareholders is attached herewith. |
(b) | Not applicable. |
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 | ||
6 | ||
Fund | Schedule of Investments | |
7 | ||
18 | ||
24 | ||
Virtus Newfleet Multi-Sector Intermediate Bond Fund (“Newfleet Multi-Sector Intermediate Bond Fund”) | 37 | |
50 | ||
59 | ||
63 | ||
67 | ||
69 | ||
72 | ||
78 | ||
90 |
President, Virtus Funds
Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Newfleet Core Plus Bond Fund | ||||||||
Class A | $ 1,000.00 | $ 995.60 | 0.79 % | $ 3.93 | ||||
Class C | 1,000.00 | 992.30 | 1.55 | 7.70 | ||||
Class I | 1,000.00 | 997.00 | 0.55 | 2.74 | ||||
Class R6 | 1,000.00 | 996.80 | 0.43 | 2.14 | ||||
Newfleet High Yield Fund | ||||||||
Class A | 1,000.00 | 1,088.50 | 0.99 | 5.15 | ||||
Class C | 1,000.00 | 1,083.00 | 1.75 | 9.09 | ||||
Class I | 1,000.00 | 1,087.10 | 0.75 | 3.90 | ||||
Class R6 | 1,000.00 | 1,090.50 | 0.62 | 3.23 | ||||
Newfleet Low Duration Core Plus Bond Fund | ||||||||
Class A | 1,000.00 | 1,008.00 | 0.75 | 3.75 | ||||
Class C | 1,000.00 | 1,004.30 | 1.50 | 7.50 | ||||
Class I | 1,000.00 | 1,010.20 | 0.50 | 2.51 | ||||
Class R6 | 1,000.00 | 1,009.60 | 0.43 | 2.15 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||
Class A | 1,000.00 | 1,038.00 | 0.99 | 5.03 | ||||
Class C | 1,000.00 | 1,033.70 | 1.74 | 8.82 | ||||
Class I | 1,000.00 | 1,038.70 | 0.74 | 3.76 | ||||
Class R6 | 1,000.00 | 1,040.60 | 0.60 | 3.05 | ||||
Newfleet Senior Floating Rate Fund | ||||||||
Class A | 1,000.00 | 1,058.00 | 1.03 | 5.28 | ||||
Class C | 1,000.00 | 1,054.10 | 1.78 | 9.12 | ||||
Class I | 1,000.00 | 1,059.40 | 0.78 | 4.00 | ||||
Class R6 | 1,000.00 | 1,060.20 | 0.64 | 3.29 | ||||
Newfleet Tax-Exempt Bond Fund | ||||||||
Class A | 1,000.00 | 1,012.10 | 0.85 | 4.26 | ||||
Class C | 1,000.00 | 1,007.40 | 1.60 | 8.01 | ||||
Class I | 1,000.00 | 1,013.40 | 0.60 | 3.01 |
* | 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 (182) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Newfleet Core Plus Bond Fund | ||||||||
Class A | $ 1,000.00 | $ 1,020.99 | 0.79 % | $ 3.98 | ||||
Class C | 1,000.00 | 1,017.20 | 1.55 | 7.80 | ||||
Class I | 1,000.00 | 1,022.19 | 0.55 | 2.77 | ||||
Class R6 | 1,000.00 | 1,022.79 | 0.43 | 2.17 | ||||
Newfleet High Yield Fund | ||||||||
Class A | 1,000.00 | 1,020.00 | 0.99 | 4.99 | ||||
Class C | 1,000.00 | 1,016.21 | 1.75 | 8.80 | ||||
Class I | 1,000.00 | 1,021.19 | 0.75 | 3.78 | ||||
Class R6 | 1,000.00 | 1,021.84 | 0.62 | 3.13 | ||||
Newfleet Low Duration Core Plus Bond Fund | ||||||||
Class A | 1,000.00 | 1,021.19 | 0.75 | 3.78 | ||||
Class C | 1,000.00 | 1,017.45 | 1.50 | 7.54 | ||||
Class I | 1,000.00 | 1,022.44 | 0.50 | 2.52 | ||||
Class R6 | 1,000.00 | 1,022.79 | 0.43 | 2.17 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||
Class A | 1,000.00 | 1,020.00 | 0.99 | 4.99 | ||||
Class C | 1,000.00 | 1,016.26 | 1.74 | 8.75 | ||||
Class I | 1,000.00 | 1,021.24 | 0.74 | 3.73 | ||||
Class R6 | 1,000.00 | 1,021.94 | 0.60 | 3.02 | ||||
Newfleet Senior Floating Rate Fund | ||||||||
Class A | 1,000.00 | 1,019.80 | 1.03 | 5.19 | ||||
Class C | 1,000.00 | 1,016.06 | 1.78 | 8.95 | ||||
Class I | 1,000.00 | 1,021.04 | 0.78 | 3.93 | ||||
Class R6 | 1,000.00 | 1,021.74 | 0.64 | 3.23 | ||||
Newfleet Tax-Exempt Bond Fund | ||||||||
Class A | 1,000.00 | 1,020.69 | 0.85 | 4.28 | ||||
Class C | 1,000.00 | 1,016.95 | 1.60 | 8.05 | ||||
Class I | 1,000.00 | 1,021.94 | 0.60 | 3.02 |
* | 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 (182) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
March 31, 2021
Corporate Bonds and Notes | 35% | |
Financials | 12% | |
Information Technology | 4 | |
Energy | 3 | |
All other Corporate Bonds and Notes | 16 | |
Mortgage-Backed Securities | 25 | |
U.S. Government Securities | 13 | |
Asset-Backed Securities | 10 | |
Leveraged Loans | 9 | |
Short-Term Investment | 2 | |
Foreign Government Securities | 2 | |
Other (includes securities lending collateral) | 4 | |
Total | 100% |
Corporate Bonds and Notes | 90% | |
Consumer Discretionary | 15% | |
Communication Services | 13 | |
Energy | 12 | |
Industrials | 10 | |
Health Care | 9 | |
Financials | 9 | |
Materials | 8 | |
All other Corporate Bonds and Notes | 14 | |
Leveraged Loans | 7 | |
Securities Lending Collateral | 3 | |
Other | 1 | |
Total | 100% |
Asset-Backed Securities | 33% | |
Mortgage-Backed Securities | 32 | |
Corporate Bonds and Notes | 17 | |
Financials | 6% | |
Information Technology | 2 | |
Industrials | 2 | |
All other Corporate Bonds and Notes | 7 | |
Leveraged Loans | 7 | |
U.S. Government Securities | 5 | |
Short-Term Investment | 3 | |
Preferred Stocks | 1 | |
Other (includes securities lending collateral) | 2 | |
Total | 100% |
Corporate Bonds and Notes | 47% | |
Energy | 9% | |
Financials | 8 | |
Consumer Discretionary | 6 | |
All other Corporate Bonds and Notes | 24 | |
Leveraged Loans | 19 | |
Mortgage-Backed Securities | 14 | |
Asset-Backed Securities | 10 | |
Foreign Government Securities | 7 | |
Preferred Stocks | 2 | |
Securities Lending Collateral | 1 | |
Total | 100% |
Leveraged Loans | 94% | |
Healthcare | 15% | |
Service | 11 | |
Information Technology | 7 | |
Forest Prod / Containers | 6 | |
Gaming / Leisure | 6 | |
Manufacturing | 6 | |
Food / Tobacco | 5 | |
All other Leveraged Loans | 38 | |
Corporate Bonds and Notes | 4 | |
Common Stocks | 1 | |
Other (includes short-term investment) | 1 | |
Total | 100% |
Texas | 14% |
Illinois | 14 |
Florida | 13 |
Colorado | 6 |
Arizona | 5 |
District of Columbia | 5 |
New Jersey | 4 |
Other (includes exchange-traded fund) | 39 |
Total | 100% |
Par Value | Value | ||
U.S. Government Securities—13.7% | |||
U.S. Treasury Bonds | |||
2.500%, 2/15/46 | $1,115 | $ 1,136 | |
3.000%, 8/15/48 | 4,100 | 4,601 | |
2.000%, 2/15/50 | 975 | 892 | |
1.375%, 8/15/50 | 1,595 | 1,245 | |
1.625%, 11/15/50 | 455 | 379 | |
1.875%, 2/15/51 | 565 | 501 | |
U.S. Treasury Notes | |||
0.125%, 5/31/22 | 825 | 825 | |
0.250%, 5/31/25 | 800 | 785 | |
2.875%, 8/15/28 | 1,180 | 1,298 | |
2.625%, 2/15/29 | 585 | 633 | |
1.500%, 2/15/30 | 2,155 | 2,129 | |
0.875%, 11/15/30 | 820 | 758 | |
Total U.S. Government Securities (Identified Cost $15,183) | 15,182 | ||
Municipal Bonds—1.4% | |||
California—0.3% | |||
Santa Clara Valley Water District Series B, Taxable 2.967%, 6/1/50 | 250 | 245 | |
University of California, Series B-A, Taxable 4.428%, 5/15/48 | 140 | 152 | |
397 | |||
Idaho—0.2% | |||
Idaho Health Facilities Authority Saint Luke’s Health System Revenue Taxable 5.020%, 3/1/48 | 170 | 196 | |
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 30 | 31 | |
Texas—0.6% | |||
City of San Antonio, General Obligation Taxable 1.963%, 2/1/33 | 255 | 249 | |
State of Texas, General Obligation Taxable 3.211%, 4/1/44 | 80 | 84 | |
Texas Public Finance Authority Revenue Taxable 2.140%, 2/1/35 | 205 | 196 |
Par Value | Value | ||
Texas—continued | |||
Texas Transportation Commission State Highway Fund Revenue Taxable 4.000%, 10/1/33 | $ 80 | $ 95 | |
624 | |||
Virginia—0.3% | |||
City of Bristol, General Obligation Taxable (State AID Withholding Insured) 4.210%, 1/1/42 | 285 | 297 | |
Total Municipal Bonds (Identified Cost $1,513) | 1,545 | ||
Foreign Government Securities—1.7% | |||
Emirate of Dubai RegS 5.250%, 1/30/43(1) | 200 | 216 | |
Federative Republic of Brazil 3.875%, 6/12/30 | 210 | 204 | |
Kingdom of Saudi Arabia 144A 3.250%, 10/22/30(2) | 200 | 210 | |
Oman Government International Bond 144A 7.375%, 10/28/32(2) | 205 | 227 | |
Republic of South Africa 4.850%, 9/27/27 | 210 | 217 | |
Republic of Turkey 5.875%, 6/26/31 | 410 | 370 | |
State of Qatar 144A 4.400%, 4/16/50(2) | 200 | 232 | |
United Mexican States 2.659%, 5/24/31 | 225 | 212 | |
Total Foreign Government Securities (Identified Cost $2,005) | 1,888 | ||
Mortgage-Backed Securities—25.7% | |||
Agency—1.0% | |||
Federal National Mortgage Association | |||
Pool #323702 6.000%, 5/1/29 | 10 | 11 | |
Pool #535371 6.500%, 5/1/30 | — (3) | 1 | |
Pool #590108 7.000%, 7/1/31 | 5 | 5 | |
Pool #880117 5.500%, 4/1/36 | 23 | 27 | |
Pool #938574 5.500%, 9/1/36 | 70 | 82 | |
Pool #909092 6.000%, 9/1/37 | 11 | 13 | |
Pool #909220 6.000%, 8/1/38 | 115 | 135 |
Par Value | Value | ||
Agency—continued | |||
Pool #986067 6.000%, 8/1/38 | $ 3 | $ 4 | |
Pool #AA7001 5.000%, 6/1/39 | 276 | 321 | |
Pool #CA4978 3.000%, 1/1/50 | 521 | 544 | |
Government National Mortgage Association I Pool #443000 6.500%, 9/15/28 | 12 | 13 | |
1,156 | |||
Non-Agency—24.7% | |||
ACRES Commercial Realty Corp. 2020-RSO8, A (1 month LIBOR + 1.150%) 144A 1.258%, 3/15/35(2)(4) | 186 | 186 | |
Ajax Mortgage Loan Trust | |||
2021-A, A1 144A 1.065%, 9/25/65(2)(4) | 304 | 301 | |
2019-D, A1 144A 2.956%, 9/25/65(2)(4) | 258 | 261 | |
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(2) | 335 | 359 | |
2015-SFR1, A 144A 3.467%, 4/17/52(2) | 201 | 215 | |
2015-SFR2, C 144A 4.691%, 10/17/52(2) | 125 | 135 | |
AMSR Trust | |||
2020-SFR1, A 144A 1.819%, 4/17/37(2) | 110 | 111 | |
2020-SFR1, B 144A 2.120%, 4/17/37(2) | 255 | 256 | |
2020-SFR2, C 144A 2.533%, 7/17/37(2) | 100 | 102 | |
2020-SFR2, D 144A 3.282%, 7/17/37(2) | 250 | 258 | |
Angel Oak Mortgage Trust I LLC 2019-2, A1 144A 3.628%, 3/25/49(2)(4) | 114 | 116 | |
Angel Oak Mortgage Trust LLC 2019-3, A1 144A 2.930%, 5/25/59(2)(4) | 106 | 106 | |
Angel Oak SB Commercial Mortgage Trust 2020-SBC1, A1 144A 2.068%, 5/25/50(2)(4) | 347 | 347 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(2)(4) | 181 | 182 | |
2019-1, A1 144A 3.805%, 1/25/49(2)(4) | 90 | 93 | |
2019-2, A1 144A 3.347%, 4/25/49(2)(4) | 91 | 93 |
Par Value | Value | ||
Non-Agency—continued | |||
Banc of America Funding Trust | |||
2004-B, 2A1 2.673%, 11/20/34(4) | $ 27 | $ 29 | |
2005-1, 1A1 5.500%, 2/25/35 | 40 | 41 | |
Bayview Opportunity Master Fund IVa Trust | |||
2016-SPL1, B1 144A 4.250%, 4/28/55(2) | 160 | 167 | |
2017-SPL5, B1 144A 4.000%, 6/28/57(2)(4) | 100 | 106 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(2)(4) | 100 | 104 | |
BBCMS Mortgage Trust 2018-TALL, A (1 month LIBOR + 0.722%) 144A 0.828%, 3/15/37(2)(4) | 225 | 223 | |
BPR Trust 2021-KEN, A (1 month LIBOR + 1.250%) 144A 1.356%, 2/15/29(2)(4) | 340 | 340 | |
BX Commercial Mortgage Trust 2019-XL, C (1 month LIBOR + 1.250%) 144A 1.356%, 10/15/36(2)(4) | 160 | 160 | |
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(2)(4) | 245 | 254 | |
Cascade MH Asset Trust 2021-MH1, A1 144A 1.753%, 2/25/46(2) | 551 | 549 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(2) | 196 | 197 | |
CHL Mortgage Pass-Through Trust 2004-6, 1A2 3.273%, 5/25/34(4) | 73 | 73 | |
Citigroup Commercial Mortgage Trust | |||
2019-SST2, A (1 month LIBOR + 0.920%) 144A 1.026%, 12/15/36(2)(4) | 200 | 200 | |
2015-GC27, A4 2.878%, 2/10/48 | 245 | 256 | |
Citigroup Mortgage Loan Trust, Inc. 2019-IMC1, A1 144A 2.720%, 7/25/49(2)(4) | 116 | 118 | |
COLT Mortgage Loan Trust Funding LLC | |||
2019-3, A1 144A 2.764%, 8/25/49(2)(4) | 118 | 119 | |
2020-1, A1 144A 2.488%, 2/25/50(2)(4) | 57 | 57 |
Par Value | Value | ||
Non-Agency—continued | |||
COLT Mortgage Pass-Through Certificates 2021-1R, A1 144A 0.857%, 5/25/65(2)(4) | $ 146 | $ 145 | |
COLT Trust 2020-RPL1, A1 144A 1.390%, 1/25/65(2)(4) | 200 | 199 | |
COMM Mortgage Trust 2020-CBM, B 144A 3.099%, 2/10/37(2) | 210 | 210 | |
CoreVest American Finance Trust | |||
2020-4, A 144A 1.174%, 12/15/52(2) | 325 | 321 | |
2018-2, A 144A 4.026%, 11/15/52(2) | 105 | 112 | |
2019-3, C 144A 3.265%, 10/15/52(2) | 220 | 223 | |
2020-1, A1 144A 1.832%, 3/15/50(2) | 261 | 265 | |
2020-3, A 144A 1.358%, 8/15/53(2) | 353 | 348 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 1.086%, 5/15/36(2)(4) | 370 | 370 | |
Credit Suisse Mortgage Capital Trust | |||
2020-RPL4, A1 144A 2.000%, 1/25/60(2)(4) | 326 | 334 | |
2020-NQM1, A1 144A 1.208%, 5/25/65(2)(4) | 125 | 126 | |
Ellington Financial Mortgage Trust 2019-2, A3 144A 3.046%, 11/25/59(2)(4) | 63 | 64 | |
FirstKey Homes Trust | |||
2020-SFR1, B 144A 1.740%, 9/17/25(2) | 100 | 99 | |
2020-SFR2, B 144A 1.567%, 10/19/37(2) | 425 | 423 | |
Flagstar Mortgage Trust 2017-1, 1A3 144A 3.500%, 3/25/47(2)(4) | 119 | 120 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(2)(4) | 30 | 30 | |
2018-1, A23 144A 3.500%, 11/25/57(2)(4) | 29 | 30 | |
2018-2, A41 144A 4.500%, 10/25/58(2)(4) | 46 | 46 | |
2019-H1, A1 144A 2.657%, 10/25/59(2)(4) | 99 | 101 | |
2020-H1, A1 144A 2.310%, 1/25/60(2)(4) | 203 | 207 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(2)(4) | 93 | 94 |
Par Value | Value | ||
Non-Agency—continued | |||
GCT Commercial Mortgage Trust 2021-GCT, A (1 month LIBOR + 0.800%) 144A 0.906%, 2/15/38(2)(4) | $ 395 | $ 395 | |
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(2) | 255 | 259 | |
GS Mortgage Securities Trust 2020-GC45, AS 3.173%, 2/13/53(4) | 245 | 259 | |
GS Mortgage-Backed Securities Trust 2020-NQM1, A3 144A 2.352%, 9/27/60(2)(4) | 304 | 309 | |
Home Partners of America Trust 2020-2, A 144A 1.532%, 1/17/41(2) | 210 | 206 | |
Homeward Opportunities Fund I Trust | |||
2018-2, A1 144A 3.985%, 11/25/58(2)(4) | 193 | 196 | |
2019-1, A1 144A 3.454%, 1/25/59(2)(4) | 88 | 89 | |
JPMorgan Chase (WaMu) Mortgage Pass-Through Certificates 2003-S11, 3A5 5.950%, 11/25/33 | 43 | 44 | |
JPMorgan Chase Mortgage Trust | |||
2016-SH1, M2 144A 3.750%, 4/25/45(2)(4) | 130 | 132 | |
2016-SH2, M2 144A 3.750%, 12/25/45(2)(4) | 222 | 230 | |
2017-1, A2 144A 3.500%, 1/25/47(2)(4) | 123 | 125 | |
2017-3, 2A2 144A 2.500%, 8/25/47(2)(4) | 53 | 54 | |
2017-5, A1 144A 3.115%, 10/26/48(2)(4) | 115 | 119 | |
KKR Industrial Portfolio Trust 2021-KDIP, C (1 month LIBOR + 1.000%) 144A 1.106%, 12/15/37(2)(4) | 190 | 190 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%) 144A 0.906%, 5/15/36(2)(4) | 215 | 215 | |
LHOME Mortgage Trust | |||
2019-RTL1, A1 144A 4.580%, 10/25/23(2)(4) | 118 | 119 | |
2021-RTL1, A1 144A 2.090%, 9/25/26(2)(4) | 270 | 270 |
Par Value | Value | ||
Non-Agency—continued | |||
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 1.309%, 6/25/52(2)(4) | $ 85 | $ 85 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.553%, 4/25/55(2)(4) | 305 | 320 | |
2019-1A, A1A 144A 3.750%, 4/25/58(2)(4) | 255 | 265 | |
Mill City Mortgage Loan Trust | |||
2017-1, M2 144A 3.250%, 11/25/58(2)(4) | 175 | 185 | |
2019-1, M2 144A 3.500%, 10/25/69(2)(4) | 155 | 162 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust | |||
2013-C13, AS 4.266%, 11/15/46 | 360 | 385 | |
2015-C22, AS 3.561%, 4/15/48 | 310 | 330 | |
New Residential Mortgage Loan Trust | |||
2016-4A, B1A 144A 4.500%, 11/25/56(2)(4) | 150 | 166 | |
2017-2A, A3 144A 4.000%, 3/25/57(2)(4) | 125 | 133 | |
2018-2A, A1 144A 4.500%, 2/25/58(2)(4) | 206 | 220 | |
2014-1A, A 144A 3.750%, 1/25/54(2)(4) | 88 | 92 | |
2015-2A, A1 144A 3.750%, 8/25/55(2)(4) | 65 | 69 | |
2016-1A, A1 144A 3.750%, 3/25/56(2)(4) | 54 | 57 | |
2018-1A, A1A 144A 4.000%, 12/25/57(2)(4) | 166 | 177 | |
2019-NQM4, A1 144A 2.492%, 9/25/59(2)(4) | 160 | 163 | |
2020-1A, A1B 144A 3.500%, 10/25/59(2)(4) | 261 | 276 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%) 1.834%, 3/25/35(4) | 33 | 33 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(2)(4) | 69 | 72 | |
2018-EXP2, 1A1 144A 4.000%, 7/25/58(2)(4) | 121 | 122 | |
Preston Ridge Partners Mortgage LLC | |||
2020-1A, A1 144A 2.981%, 2/25/25(2)(4) | 289 | 290 | |
2020-2, A1 144A 3.671%, 8/25/25(2)(4) | 134 | 135 | |
2020-3, A1 144A 2.857%, 9/25/25(2)(4) | 366 | 368 |
Par Value | Value | ||
Non-Agency—continued | |||
2020-6, A1 144A 2.363%, 11/25/25(2)(4) | $ 384 | $ 384 | |
2021-2, A1 144A 2.115%, 3/25/26(2)(4) | 335 | 335 | |
Pretium Mortgage Credit Partners I LLC | |||
2020-NPL3, A1 144A 3.105%, 6/27/60(2)(4) | 282 | 285 | |
2021-NPL1, A1 144A 2.240%, 9/27/60(2)(4)(5) | 260 | 260 | |
Progress Residential Trust | |||
2021-SFR2, D 144A 2.197%, 4/19/38(2) | 280 | 280 | |
2018-SFR2, B 144A 3.841%, 8/17/35(2) | 100 | 101 | |
2019-SFR2, A 144A 3.147%, 5/17/36(2) | 332 | 340 | |
2019-SFR3, B 144A 2.571%, 9/17/36(2) | 235 | 237 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(2)(4) | 194 | 196 | |
Provident Funding Mortgage Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.150%) 144A 1.260%, 2/25/55(2)(4)(5) | 185 | 185 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(2)(4) | 347 | 354 | |
RCO V Mortgage LLC 2019-2, A1 144A 3.475%, 11/25/24(2)(4) | 266 | 268 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(2)(4) | 147 | 150 | |
Sequoia Mortgage Trust 2013-8, B1 3.511%, 6/25/43(4) | 54 | 56 | |
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(2)(4) | 195 | 198 | |
Starwood Mortgage Residential Trust 2019-IMC1, A1 144A 3.468%, 2/25/49(2)(4) | 146 | 146 | |
Towd Point Mortgage Trust | |||
2016-4, B1 144A 3.848%, 7/25/56(2)(4) | 310 | 332 | |
2015-5, A2 144A 3.500%, 5/25/55(2)(4) | 220 | 224 | |
2016-3, M1 144A 3.500%, 4/25/56(2)(4) | 525 | 553 | |
2017-1, M1 144A 3.750%, 10/25/56(2)(4) | 100 | 107 | |
2017-4, A2 144A 3.000%, 6/25/57(2)(4) | 335 | 351 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(2)(4) | 6 | 6 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-1, A1 144A 3.735%, 3/25/58(2)(4) | $ 218 | $ 231 | |
2018-6, A2 144A 3.750%, 3/25/58(2)(4) | 600 | 644 | |
2020-MH1, A2 144A 2.500%, 2/25/60(2)(4) | 405 | 407 | |
2019-2, A2 144A 3.750%, 12/25/58(2)(4) | 190 | 204 | |
2015-2, 1M1 144A 3.250%, 11/25/60(2)(4) | 165 | 170 | |
Towd Point Trust 2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 1.009%, 4/25/48(2)(4) | 393 | 394 | |
Tricon American Homes Trust | |||
2017-SFR1, A 144A 2.716%, 9/17/34(2) | 197 | 198 | |
2019-SFR1, C 144A 3.149%, 3/17/38(2) | 190 | 197 | |
2020-SFR2, D 144A 2.281%, 11/17/39(2) | 210 | 204 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(2) | 200 | 201 | |
VCAT LLC | |||
2020-NPL1, A1 144A 3.671%, 8/25/50(2)(4) | 55 | 56 | |
2021-NPL1, A2 144A 4.826%, 12/26/50(2)(4) | 220 | 220 | |
2021-NPL2, A1 144A 2.115%, 3/27/51(2)(4) | 225 | 225 | |
Vericrest Opportunity Loan Trust 2020-NPL2, A1A 144A 2.981%, 2/25/50(2)(4) | 174 | 175 | |
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(2)(4) | 270 | 270 | |
Verus Securitization Trust | |||
2019-2, A1 144A 3.211%, 5/25/59(2)(4) | 90 | 90 | |
2019-INV1, A1 144A 3.402%, 12/25/59(2)(4) | 67 | 67 | |
2019-INV2, A1 144A 2.913%, 7/25/59(2)(4) | 227 | 231 | |
Visio Trust 2020-1R, A2 144A 1.567%, 11/25/55(2) | 242 | 243 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 100 | 106 |
Par Value | Value | ||
Non-Agency—continued | |||
Wells Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(2)(4) | $ 196 | $ 199 | |
27,377 | |||
Total Mortgage-Backed Securities (Identified Cost $28,218) | 28,533 | ||
Asset-Backed Securities—10.2% | |||
Automobiles—5.3% | |||
ACC Trust 2019-1, A 144A 3.750%, 5/20/22(2) | 29 | 29 | |
American Credit Acceptance Receivables Trust | |||
2018-4, C 144A 3.970%, 1/13/25(2) | 78 | 78 | |
2019-2, C 144A 3.170%, 6/12/25(2) | 220 | 223 | |
AmeriCredit Automobile Receivables Trust 2020-3, C 1.060%, 8/18/26 | 215 | 215 | |
Avis Budget Rental Car Funding LLC | |||
(AESOP) 2016-1A, A 144A 2.990%, 6/20/22(2) | 100 | 100 | |
(AESOP) 2019-3A, A 144A 2.360%, 3/20/26(2) | 270 | 281 | |
Capital Auto Receivables Asset Trust 2017-1, C 144A 2.700%, 9/20/22(2) | 185 | 186 | |
Carvana Auto Receivables Trust | |||
2019-1A, D 144A 3.880%, 10/15/24(2) | 225 | 234 | |
2019-3A, D 144A 3.040%, 4/15/25(2) | 240 | 249 | |
Credit Acceptance Auto Loan Trust 2020-3A, B 144A 1.770%, 12/17/29(2) | 265 | 269 | |
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(2) | 149 | 150 | |
2019-2A, C 144A 3.180%, 2/18/25(2) | 295 | 300 | |
Exeter Automobile Receivables Trust | |||
2018-3A, C 144A 3.710%, 6/15/23(2) | 84 | 84 |
Par Value | Value | ||
Automobiles—continued | |||
2019-2A, C 144A 3.300%, 3/15/24(2) | $ 225 | $ 229 | |
2019-4A, C 144A 2.440%, 9/16/24(2) | 285 | 290 | |
Flagship Credit Auto Trust | |||
2019-2, C 144A 3.090%, 5/15/25(2) | 260 | 270 | |
2020-3, C 144A 1.730%, 9/15/26(2) | 260 | 265 | |
2021-1, C 144A 0.910%, 3/15/27(2) | 340 | 338 | |
GLS Auto Receivables Issuer Trust | |||
2019-2A, B 144A 3.320%, 3/15/24(2) | 260 | 265 | |
2019-4A, C 144A 3.060%, 8/15/25(2) | 260 | 271 | |
GLS Auto Receivables Trust 2018-3A, C 144A 4.180%, 7/15/24(2) | 240 | 249 | |
Hertz Vehicle Financing II LP 2019-1A, A 144A 3.710%, 3/25/23(2) | 25 | 25 | |
OneMain Direct Auto Receivables Trust 2018-1A, C 144A 3.850%, 10/14/25(2) | 145 | 147 | |
Prestige Auto Receivables Trust 2017-1A, C 144A 2.810%, 1/17/23(2) | 106 | 107 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(2) | 240 | 246 | |
United Auto Credit Securitization Trust 2019-1, D 144A 3.470%, 8/12/24(2) | 215 | 217 | |
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(2) | 270 | 273 | |
5,835 | |||
Credit Card—0.6% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(2) | 410 | 415 | |
Genesis Private Label Amortizing Trust 2020-1, B 144A 2.830%, 7/20/30(2) | 305 | 306 | |
721 | |||
Other—4.1% | |||
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(2) | 68 | 70 |
Par Value | Value | ||
Other—continued | |||
2019-A, A 144A 3.140%, 7/16/40(2) | $ 253 | $ 260 | |
2019-A, C 144A 4.010%, 7/16/40(2) | 265 | 280 | |
2020-AA, B 144A 2.790%, 7/17/46(2) | 270 | 275 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(2) | 259 | 264 | |
Bankers Healthcare Group Securitization Trust 2020-A, A 144A 2.560%, 9/17/31(2) | 198 | 198 | |
CCG Receivables Trust 2021-1, C 144A 0.840%, 6/14/27(2) | 285 | 283 | |
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(2) | 180 | 183 | |
Diamond Resorts Owner Trust 2017-1A, A 144A 3.270%, 10/22/29(2) | 42 | 43 | |
Foundation Finance Trust | |||
2019-1A, A 144A 3.860%, 11/15/34(2) | 106 | 110 | |
2021-1A, A 144A 1.270%, 5/15/41(2) | 280 | 279 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(2) | 245 | 259 | |
Lendmark Funding Trust 2019-1A, A 144A 3.000%, 12/20/27(2) | 270 | 277 | |
MVW LLC 2020-1A, A 144A 1.740%, 10/20/37(2) | 172 | 175 | |
MVW Owner Trust 2019-1A, A 144A 2.890%, 11/20/36(2) | 137 | 141 | |
NMEF Funding LLC 2019-A, C 144A 3.300%, 8/17/26(2) | 200 | 205 | |
Oasis LLC 2020-1A, A 144A 3.820%, 1/15/32(2) | 107 | 108 | |
Octane Receivables Trust | |||
2019-1A, A 144A 3.160%, 9/20/23(2) | 88 | 89 | |
2020-1A, A 144A 1.710%, 2/20/25(2) | 252 | 254 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(2) | 174 | 174 | |
Orange Lake Timeshare Trust 2019-A, B 144A 3.360%, 4/9/38(2) | 149 | 155 | |
Small Business Lending Trust 2019-A, A 144A 2.850%, 7/15/26(2) | 41 | 41 |
Par Value | Value | ||
Other—continued | |||
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(2) | $ 170 | $ 174 | |
Upstart Securitization Trust 2021-1, A 144A 0.870%, 3/20/31(2) | 271 | 271 | |
4,568 | |||
Student Loan—0.2% | |||
Commonbond Student Loan Trust 2019-AGS, A1 144A 2.540%, 1/25/47(2) | 164 | 168 | |
Total Asset-Backed Securities (Identified Cost $11,134) | 11,292 | ||
Corporate Bonds and Notes—35.0% | |||
Communication Services—2.2% | |||
Cable Onda S.A. 144A 4.500%, 1/30/30(2) | 200 | 212 | |
CCO Holdings LLC 144A 4.750%, 3/1/30(2) | 110 | 114 | |
Consolidated Communications, Inc. 144A 6.500%, 10/1/28(2) | 160 | 173 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(2) | 100 | 72 | |
144A 6.625%, 8/15/27(2)(6) | 55 | 29 | |
DISH DBS Corp. | |||
5.000%, 3/15/23 | 95 | 99 | |
7.750%, 7/1/26 | 50 | 55 | |
Level 3 Financing, Inc. 144A 4.250%, 7/1/28(2) | 225 | 228 | |
Meredith Corp. 6.875%, 2/1/26 | 72 | 74 | |
Radiate Holdco LLC 144A 4.500%, 9/15/26(2) | 35 | 35 | |
Sprint Spectrum Co. LLC 144A 4.738%, 3/20/25(2) | 200 | 214 | |
Telesat Canada 144A 6.500%, 10/15/27(2) | 85 | 85 | |
T-Mobile USA, Inc. 144A 3.875%, 4/15/30(2) | 300 | 326 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(2) | 160 | 173 | |
Univision Communications, Inc. 144A 6.625%, 6/1/27(2) | 160 | 171 | |
Verizon Communications, Inc. 2.550%, 3/21/31 | 156 | 156 | |
Virgin Media Finance plc 144A 5.000%, 7/15/30(2) | 200 | 200 | |
2,416 | |||
Par Value | Value | ||
Consumer Discretionary—2.8% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27(6) | $ 145 | $ 150 | |
American Builders & Contractors Supply Co., Inc. 144A 4.000%, 1/15/28(2) | 200 | 200 | |
Aramark Services, Inc. 144A 6.375%, 5/1/25(2) | 100 | 106 | |
Block Financial LLC 3.875%, 8/15/30 | 245 | 253 | |
Caesars Entertainment, Inc. 144A 6.250%, 7/1/25(2) | 50 | 53 | |
Crocs, Inc. 144A 4.250%, 3/15/29(2) | 170 | 166 | |
Ford Motor Co. 9.000%, 4/22/25 | 206 | 250 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(2) | 95 | 91 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(2) | 195 | 206 | |
International Game Technology plc 144A 4.125%, 4/15/26(2) | 220 | 226 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 190 | 197 | |
Marriott International, Inc. 2.850%, 4/15/31 | 30 | 29 | |
Marriott Ownership Resorts, Inc. 4.750%, 1/15/28 | 165 | 167 | |
Nissan Motor Co. Ltd. 144A 4.810%, 9/17/30(2) | 200 | 219 | |
PulteGroup, Inc. 6.375%, 5/15/33 | 120 | 153 | |
QVC, Inc. 4.375%, 3/15/23 | 145 | 152 | |
Scientific Games International, Inc. | |||
144A 5.000%, 10/15/25(2) | 130 | 135 | |
144A 8.250%, 3/15/26(2) | 70 | 75 | |
144A 7.000%, 5/15/28(2) | 35 | 37 | |
Tenneco, Inc. 144A 5.125%, 4/15/29(2) | 205 | 202 | |
Under Armour, Inc. 3.250%, 6/15/26 | 100 | 100 | |
3,167 | |||
Consumer Staples—1.1% | |||
Albertsons Cos., Inc. | |||
144A 3.250%, 3/15/26(2) | 210 | 209 | |
144A 3.500%, 3/15/29(2) | 20 | 19 | |
Anheuser-Busch InBev Worldwide, Inc. | |||
4.000%, 4/13/28 | 200 | 223 | |
4.750%, 1/23/29 | 52 | 61 | |
Bacardi Ltd. 144A 4.700%, 5/15/28(2) | 170 | 195 |
Par Value | Value | ||
Consumer Staples—continued | |||
BAT Capital Corp. 4.906%, 4/2/30 | $ 240 | $ 274 | |
Post Holdings, Inc. 144A 4.500%, 9/15/31(2) | 145 | 143 | |
Vector Group Ltd. 144A 5.750%, 2/1/29(2) | 55 | 57 | |
1,181 | |||
Energy—3.2% | |||
Aker BP ASA 144A 2.875%, 1/15/26(2) | 265 | 274 | |
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(2) | 120 | 112 | |
Boardwalk Pipelines LP 4.950%, 12/15/24 | 185 | 207 | |
Cheniere Energy, Inc. 144A 4.625%, 10/15/28(2) | 80 | 83 | |
Chesapeake Energy Corp. 144A 5.500%, 2/1/26(2) | 170 | 177 | |
CrownRock LP 144A 5.625%, 10/15/25(2) | 115 | 117 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(2) | 25 | 27 | |
144A 6.500%, 7/1/27(2) | 30 | 32 | |
144A 4.500%, 1/15/29(2) | 50 | 49 | |
144A 4.750%, 1/15/31(2) | 45 | 43 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 210 | 238 | |
Indigo Natural Resources LLC 144A 5.375%, 2/1/29(2) | 85 | 84 | |
Kinder Morgan Energy Partners LP 7.500%, 11/15/40 | 320 | 438 | |
Occidental Petroleum Corp. 5.500%, 12/1/25 | 5 | 5 | |
Parsley Energy LLC 144A 4.125%, 2/15/28(2) | 100 | 106 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 150 | 149 | |
Pertamina Persero PT 144A 6.450%, 5/30/44(2) | 300 | 371 | |
Petroleos Mexicanos | |||
6.500%, 3/13/27 | 155 | 162 | |
7.690%, 1/23/50 | 190 | 176 | |
Petronas Capital Ltd. 144A 3.500%, 4/21/30(2) | 200 | 214 | |
Sabine Pass Liquefaction LLC | |||
6.250%, 3/15/22 | 140 | 145 | |
4.200%, 3/15/28 | 80 | 88 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 185 | 194 |
Par Value | Value | ||
Energy—continued | |||
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(2) | $ 36 | $ 32 | |
3,523 | |||
Financials—11.7% | |||
AerCap Ireland Capital DAC 3.650%, 7/21/27 | 150 | 157 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53 | 200 | 212 | |
Ares Finance Co. LLC 144A 4.000%, 10/8/24(2) | 270 | 288 | |
Ascot Group Ltd. 144A 4.250%, 12/15/30(2) | 265 | 274 | |
Athene Global Funding 144A 2.450%, 8/20/27(2) | 265 | 268 | |
Bank of America Corp. | |||
3.004%, 12/20/23 | 285 | 296 | |
4.200%, 8/26/24 | 448 | 494 | |
(3 month LIBOR + 0.770%) 0.965%, 2/5/26(4) | 225 | 226 | |
Bank of New York Mellon Corp. (The) Series G 4.700% (7) | 240 | 260 | |
BBVA Bancomer S.A. 144A 5.125%, 1/18/33(2) | 200 | 206 | |
Brighthouse Financial, Inc. | |||
3.700%, 6/22/27 | 38 | 40 | |
5.625%, 5/15/30 | 163 | 191 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26(6) | 200 | 217 | |
Brookfield Finance, Inc. 4.250%, 6/2/26 | 370 | 417 | |
Capital One Financial Corp. | |||
4.200%, 10/29/25 | 200 | 221 | |
3.750%, 7/28/26 | 225 | 244 | |
Charles Schwab Corp. (The) Series H 4.000% (7) | 275 | 270 | |
Citadel LP 144A 4.875%, 1/15/27(2) | 190 | 202 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 371 | 399 | |
(3 month LIBOR + 1.250%) 1.452%, 7/1/26(4) | 600 | 614 | |
Corporate Office Properties LP 2.750%, 4/15/31 | 254 | 246 | |
Discover Bank 4.682%, 8/9/28 | 500 | 533 | |
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(2) | 280 | 287 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 225 | 250 | |
ICAHN Enterprises LP | |||
6.250%, 5/15/26 | 225 | 236 |
Par Value | Value | ||
Financials—continued | |||
144A 4.375%, 2/1/29(2) | $ 20 | $ 20 | |
Jefferies Group LLC 4.850%, 1/15/27 | 115 | 132 | |
JPMorgan Chase & Co. 2.956%, 5/13/31 | 495 | 504 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(2) | 210 | 207 | |
Liberty Mutual Group, Inc. | |||
144A 4.250%, 6/15/23(2) | 65 | 70 | |
144A 4.569%, 2/1/29(2) | 210 | 244 | |
MetLife, Inc. Series G 3.850% (7) | 280 | 289 | |
Morgan Stanley | |||
3.125%, 7/27/26 | 410 | 441 | |
6.375%, 7/24/42 | 215 | 314 | |
OneMain Finance Corp. | |||
6.875%, 3/15/25 | 110 | 125 | |
7.125%, 3/15/26 | 40 | 46 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 85 | 90 | |
5.625%, 6/15/43 | 270 | 289 | |
Santander Holdings USA, Inc. | |||
3.700%, 3/28/22 | 169 | 174 | |
4.400%, 7/13/27 | 80 | 89 | |
Societe Generale S.A. 144A 4.750%, 11/24/25(2) | 200 | 222 | |
SVB Financial Group 4.100% (7) | 295 | 296 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 90 | 97 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | 270 | 296 | |
UBS AG 7.625%, 8/17/22 | 500 | 545 | |
Voya Financial, Inc. 5.650%, 5/15/53 | 195 | 209 | |
Wells Fargo & Co. | |||
3.900% (7) | 420 | 424 | |
2.393%, 6/2/28 | 540 | 553 | |
Zions Bancorp NA 3.250%, 10/29/29 | 250 | 253 | |
12,977 | |||
Health Care—1.9% | |||
Anthem, Inc. 2.875%, 9/15/29 | 185 | 192 | |
Bausch Health Cos., Inc. 144A 5.750%, 8/15/27(2) | 70 | 75 | |
Centene Corp. | |||
4.625%, 12/15/29 | 80 | 87 | |
2.500%, 3/1/31 | 210 | 201 | |
Charles River Laboratories International, Inc. 144A 4.000%, 3/15/31(2)(6) | 55 | 56 | |
DaVita, Inc. 144A 4.625%, 6/1/30(2) | 220 | 224 | |
HCA, Inc. 5.250%, 6/15/49 | 140 | 171 |
Par Value | Value | ||
Health Care—continued | |||
Illumina, Inc. 2.550%, 3/23/31 | $ 138 | $ 137 | |
Jaguar Holding Co. II 144A 5.000%, 6/15/28(2) | 80 | 83 | |
Legacy LifePoint Health LLC 144A 4.375%, 2/15/27(2) | 75 | 73 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(2) | 65 | 69 | |
Tenet Healthcare Corp. | |||
144A 5.125%, 11/1/27(2) | 63 | 66 | |
144A 7.500%, 4/1/25(2) | 25 | 27 | |
Teva Pharmaceutical Finance Netherlands III B.V. 3.150%, 10/1/26 | 170 | 163 | |
Universal Health Services, Inc. 144A 2.650%, 10/15/30(2) | 273 | 264 | |
Utah Acquisition Sub, Inc. 3.950%, 6/15/26 | 230 | 253 | |
2,141 | |||
Industrials—2.3% | |||
American Airlines, Inc. 144A 5.750%, 4/20/29(2) | 15 | 16 | |
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(2) | 280 | 292 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(2) | 200 | 206 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(2) | 215 | 225 | |
Boeing Co. (The) | |||
5.150%, 5/1/30 | 140 | 161 | |
5.930%, 5/1/60 | 179 | 230 | |
BWX Technologies, Inc. 144A 4.125%, 4/15/29(2) | 75 | 76 | |
Dycom Industries, Inc. 144A 4.500%, 4/15/29(2) | 85 | 85 | |
Fortress Transportation & Infrastructure Investors LLC 144A 6.500%, 10/1/25(2) | 10 | 11 | |
GFL Environmental, Inc. 144A 3.750%, 8/1/25(2) | 170 | 173 | |
Howmet Aerospace, Inc. 6.875%, 5/1/25 | 205 | 238 | |
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42(2) | 215 | 286 | |
Spirit AeroSystems, Inc. 144A 5.500%, 1/15/25(2) | 215 | 227 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60 | 204 | 215 |
Par Value | Value | ||
Industrials—continued | |||
TransDigm, Inc. 5.500%, 11/15/27 | $ 155 | $ 160 | |
2,601 | |||
Information Technology—3.6% | |||
Broadcom, Inc. | |||
4.150%, 11/15/30 | 255 | 275 | |
144A 2.450%, 2/15/31(2) | 152 | 143 | |
Citrix Systems, Inc. 3.300%, 3/1/30 | 365 | 375 | |
Dell International LLC 144A 8.100%, 7/15/36(2) | 95 | 139 | |
Flex Ltd. 3.750%, 2/1/26 | 191 | 205 | |
Hewlett Packard Enterprise Co. 4.900%, 10/15/25 | 255 | 291 | |
HP, Inc. 3.400%, 6/17/30 | 320 | 334 | |
Leidos, Inc. 144A 2.300%, 2/15/31(2) | 295 | 279 | |
Microchip Technology, Inc. 144A 4.250%, 9/1/25(2) | 210 | 219 | |
Motorola Solutions, Inc. | |||
4.600%, 2/23/28 | 163 | 186 | |
4.600%, 5/23/29 | 85 | 96 | |
NCR Corp. 144A 5.125%, 4/15/29(2) | 130 | 131 | |
Oracle Corp. 2.875%, 3/25/31 | 270 | 275 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(2) | 205 | 212 | |
Seagate HDD Cayman 144A 3.375%, 7/15/31(2) | 110 | 106 | |
SK Hynix, Inc. 144A 1.500%, 1/19/26(2) | 400 | 394 | |
Vontier Corp. 144A 2.950%, 4/1/31(2) | 237 | 231 | |
Xerox Holdings Corp. 144A 5.500%, 8/15/28(2) | 155 | 161 | |
4,052 | |||
Materials—2.3% | |||
Ardagh Packaging Finance plc 144A 4.125%, 8/15/26(2) | 200 | 205 | |
Avient Corp. 144A 5.750%, 5/15/25(2) | 200 | 213 | |
Chemours Co. (The) 144A 5.750%, 11/15/28(2) | 160 | 168 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(2) | 165 | 179 | |
Commercial Metals Co. 3.875%, 2/15/31 | 110 | 108 | |
Glencore Funding LLC 144A 1.625%, 9/1/25(2) | 275 | 275 |
Par Value | Value | ||
Materials—continued | |||
Inversiones CMPC S.A. 144A 3.850%, 1/13/30(2) | $ 290 | $ 309 | |
Louisiana-Pacific Corp. 144A 3.625%, 3/15/29(2) | 185 | 180 | |
Nutrition & Biosciences, Inc. 144A 2.300%, 11/1/30(2) | 215 | 208 | |
Olin Corp. 5.625%, 8/1/29 | 225 | 243 | |
Resolute Forest Products, Inc. 144A 4.875%, 3/1/26(2) | 170 | 170 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 215 | 264 | |
2,522 | |||
Real Estate—2.4% | |||
American Assets Trust LP 3.375%, 2/1/31 | 330 | 324 | |
EPR Properties 4.750%, 12/15/26 | 275 | 289 | |
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(2) | 190 | 201 | |
GLP Capital LP 5.750%, 6/1/28 | 231 | 267 | |
Iron Mountain, Inc. 144A 4.875%, 9/15/29(2) | 190 | 192 | |
iStar, Inc. 4.250%, 8/1/25 | 190 | 191 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 80 | 84 | |
4.625%, 8/1/29 | 45 | 47 | |
3.500%, 3/15/31 | 185 | 182 | |
Office Properties Income Trust 4.500%, 2/1/25 | 215 | 226 | |
Retail Opportunity Investments Partnership LP 4.000%, 12/15/24 | 155 | 164 | |
Retail Properties of America, Inc. 4.750%, 9/15/30 | 285 | 302 | |
Service Properties Trust 4.950%, 2/15/27 | 245 | 242 | |
2,711 | |||
Utilities—1.5% | |||
American Electric Power Co., Inc. 2.300%, 3/1/30 | 285 | 278 | |
DPL, Inc. 4.350%, 4/15/29 | 193 | 207 | |
Edison International 4.125%, 3/15/28 | 265 | 284 | |
Exelon Corp. 3.497%, 6/1/22 | 135 | 139 |
Par Value | Value | ||
Utilities—continued | |||
FirstEnergy Transmission LLC 144A 2.866%, 9/15/28(2) | $ 147 | $ 148 | |
National Fuel Gas Co. 2.950%, 3/1/31 | 90 | 87 | |
Southern Power Co. 4.150%, 12/1/25 | 255 | 284 | |
Talen Energy Supply LLC 144A 6.625%, 1/15/28(2) | 105 | 105 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(2) | 110 | 119 | |
1,651 | |||
Total Corporate Bonds and Notes (Identified Cost $37,204) | 38,942 | ||
Leveraged Loans(4)—9.4% | |||
Aerospace—0.7% | |||
AI Convoy (Luxembourg) S.a.r.l. Tranche B (6 month LIBOR + 3.500%) 4.500%, 1/18/27 | 158 | 158 | |
American Airlines, Inc. (3 month LIBOR + 4.750%) 0.000%, 4/20/28(8) | 170 | 174 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27 | 210 | 223 | |
TransDigm, Inc. Tranche E (1 month LIBOR + 2.250%) 2.359%, 5/30/25 | 230 | 225 | |
780 | |||
Chemicals—0.6% | |||
Gemini HDPE LLC 2027 (3 month LIBOR + 3.000%) 3.500%, 12/31/27 | 65 | 65 | |
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 2.109%, 4/1/24 | 133 | 132 | |
Ineos U.S. Petrochem LLC 2026, Tranche B (3 month LIBOR + 2.750%) 3.250%, 1/29/26 | 170 | 169 | |
Starfruit Finco B.V. (1 month LIBOR + 2.750%) 2.860%, 10/1/25 | 224 | 220 |
Par Value | Value | ||
Chemicals—continued | |||
Trinseo Materials Operating SCA Tranche B-2, First Lien (3 month LIBOR + 2.500%) 0.000%, 3/17/28(8) | $ 100 | $ 99 | |
685 | |||
Consumer Durables—0.2% | |||
CP Atlas Buyer, Inc. Tranche B (3 month LIBOR + 3.750%) 4.250%, 11/23/27 | 55 | 55 | |
Resideo Funding, Inc. Tranche B (3 month LIBOR + 2.250%) 2.750%, 2/11/28 | 110 | 109 | |
Weber-Stephen Products LLC Tranche B (3 month LIBOR + 3.250%) 4.000%, 10/30/27 | 110 | 110 | |
274 | |||
Energy—0.1% | |||
Buckeye Partners LP Tranche B, First Lien (3 month LIBOR + 2.250%) 2.359%, 11/1/26 | 45 | 44 | |
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 6.250%) 7.250%, 3/28/24 | 76 | 76 | |
120 | |||
Financial—0.2% | |||
Avolon TLB Borrower 1 US LLC Tranche B-5 (1 month LIBOR + 2.500%) 3.250%, 12/1/27 | 110 | 110 | |
Citadel Securities LP 2021 (3 month LIBOR + 2.500%) 2.615%, 2/2/28 | 130 | 128 | |
238 | |||
Food / Tobacco—0.5% | |||
Aramark Services, Inc. Tranche B-4 (1 month LIBOR + 1.750%) 1.859%, 1/15/27 | 45 | 44 | |
CHG PPC Parent LLC First Lien (1 month LIBOR + 2.750%) 2.859%, 3/31/25 | 68 | 67 | |
City Brewing Co. LLC First Lien (3 month LIBOR + 3.500%) 0.000%, 10/1/26(8) | 40 | 40 |
Par Value | Value | ||
Food / Tobacco—continued | |||
Hostess Brands LLC 2019, Tranche B (3 month LIBOR + 3.000%) 0.000%, 8/3/25(8) | $ 224 | $ 222 | |
JBS USA Lux S.A. (3 month LIBOR + 2.000%) 0.000%, 5/1/26(8) | 224 | 223 | |
596 | |||
Forest Prod / Containers—0.5% | |||
Berry Global, Inc. Tranche Z (3 month LIBOR + 1.750%) 1.898%, 7/1/26 | 222 | 220 | |
Reynolds Group Holdings, Inc. (3 month LIBOR + 2.750%) 0.000%, 2/6/23(8) | 225 | 224 | |
Schweitzer-Mauduit International, Inc. Tranche B (3 month LIBOR + 4.000%) 0.000%, 1/27/28(8) | 130 | 130 | |
574 | |||
Gaming / Leisure—0.9% | |||
Aristocrat Technologies, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/19/24 | 25 | 25 | |
CityCenter Holdings LLC (3 month LIBOR + 2.250%) 0.000%, 4/18/24(8) | 225 | 222 | |
Hilton Worldwide Finance LLC Tranche B-2 (3 month LIBOR + 1.750%) 0.000%, 6/22/26(8) | 225 | 223 | |
Playtika Holding Corp. Tranche B-1 (3 month LIBOR + 2.750%) 0.000%, 3/5/28(8) | 170 | 169 | |
Pug LLC Tranche B (1 month LIBOR + 3.500%) 3.609%, 2/12/27 | 119 | 114 | |
Seminole Tribe of Florida (1 month LIBOR + 1.750%) 1.859%, 7/8/24 | 133 | 133 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.500%, 2/8/27 | 69 | 68 | |
954 | |||
Healthcare—0.8% | |||
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 2.859%, 11/27/25 | 26 | 26 |
Par Value | Value | ||
Healthcare—continued | |||
(1 month LIBOR + 3.000%) 3.109%, 6/2/25 | $ 15 | $ 14 | |
Catalent Pharma Solutions, Inc. Tranche B-3 (1 month LIBOR + 2.000%) 2.500%, 2/22/28 | 130 | 130 | |
CHG Healthcare Services, Inc. (3 month LIBOR + 3.000%) 4.000%, 6/7/23 | 116 | 116 | |
Greatbatch Ltd. Tranche B (1 month LIBOR + 2.500%) 3.500%, 10/27/22 | 196 | 196 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 1.953%, 6/11/25 | 126 | 126 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 3.859%, 11/17/25 | 154 | 153 | |
PPD, Inc. (1 month LIBOR + 2.250%) 2.750%, 1/13/28 | 155 | 154 | |
915 | |||
Housing—0.3% | |||
CPG International LLC (3 month LIBOR + 2.500%) 3.250%, 5/6/24(5) | 75 | 74 | |
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 2.109%, 11/21/24 | 224 | 224 | |
298 | |||
Information Technology—0.7% | |||
Applied Systems, Inc. First Lien (3 month LIBOR + 3.000%) 3.524%, 9/19/24 | 174 | 174 | |
Boxer Parent Co., Inc. 2021 (1 month LIBOR + 3.750%) 3.859%, 10/2/25 | 189 | 188 | |
Sophia LP (3 month LIBOR + 3.750%) 3.953%, 10/7/27 | 185 | 184 | |
UKG, Inc. 2021 (3 month LIBOR + 3.250%) 4.000%, 5/4/26 | 119 | 120 | |
Ultra Clean Holdings, Inc. (3 month LIBOR + 3.750%) 0.000%, 2/24/28(8) | 65 | 65 | |
731 | |||
Par Value | Value | ||
Manufacturing—0.5% | |||
Alliance Laundry Systems LLC Tranche B (3 month LIBOR + 3.500%) 4.250%, 10/8/27 | $ 105 | $ 104 | |
Gardner Denver, Inc. Tranche A (1 month LIBOR + 2.750%) 2.859%, 3/1/27 | 20 | 20 | |
Gates Global LLC Tranche B-3 (1 month LIBOR + 2.750%) 3.500%, 3/31/27 | 224 | 224 | |
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 1.859%, 3/1/27 | 20 | 20 | |
Star US Bidco LLC (1 month LIBOR + 4.250%) 5.250%, 3/17/27 | 179 | 177 | |
545 | |||
Media / Telecom - Broadcasting—0.2% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 2.615%, 9/18/26 | 180 | 179 | |
Media / Telecom - Cable/Wireless Video—0.2% | |||
CSC Holdings LLC 2018 (1 month LIBOR + 2.250%) 2.356%, 1/15/26 | 147 | 145 | |
Radiate Holdco LLC Tranche B (1 month LIBOR + 3.500%) 4.250%, 9/25/26 | 30 | 30 | |
Virgin Media Bristol LLC Tranche B (3 month LIBOR + 3.250%) 0.000%, 1/31/29(8) | 35 | 35 | |
210 | |||
Media / Telecom - Diversified Media—0.2% | |||
Newco Financing Partnership Tranche AV1 (1 month LIBOR + 3.500%) 3.606%, 1/31/29 | 85 | 84 | |
UPC Financing Partnership Tranche AV (1 month LIBOR + 3.500%) 3.606%, 1/31/29 | 85 | 85 | |
169 | |||
Par Value | Value | ||
Media / Telecom - Telecommunications—0.2% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.359%, 3/15/27 | $ 64 | $ 63 | |
Consolidated Communications, Inc. (1 month LIBOR + 4.750%) 5.750%, 10/2/27 | 50 | 50 | |
Zayo Group Holdings, Inc. (1 month LIBOR + 3.000%) 3.109%, 3/9/27 | 163 | 162 | |
275 | |||
Media / Telecom - Wireless Communications—0.2% | |||
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 1.860%, 4/11/25 | 225 | 222 | |
Retail—0.3% | |||
Harbor Freight Tools USA, Inc. 2020 (1 month LIBOR + 3.000%) 3.750%, 10/19/27 | 165 | 164 | |
PetsMart LLC (3 month LIBOR + 3.750%) 4.500%, 2/12/28 | 125 | 125 | |
289 | |||
Service—1.2% | |||
AlixPartners LLP (1 month LIBOR + 2.750%) 3.250%, 2/4/28 | 270 | 269 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 3.250%) 3.359%, 2/6/26 | 278 | 276 | |
Peraton Corp. | |||
(3 month LIBOR + 3.750%) 0.000%, 2/1/28(8) | 78 | 78 | |
Tranche B, First Lien (3 month LIBOR + 3.750%) 4.500%, 2/1/28 | 44 | 45 | |
PODS LLC (3 month LIBOR + 3.000%) 0.000%, 3/31/28(8) | 125 | 124 | |
Sedgwick Claims Management Services, Inc. (1 month LIBOR + 3.250%) 3.359%, 12/31/25 | 216 | 212 | |
TKC Holdings, Inc. First Lien (6 month LIBOR + 3.750%) 4.750%, 2/1/23 | 110 | 107 |
Par Value | Value | ||
Service—continued | |||
WEX, Inc. | |||
Tranche B, First Lien (3 month LIBOR + 2.250%) 0.000%, 3/20/28(8) | $ 85 | $ 85 | |
Tranche B-3 (3 month LIBOR + 2.250%) 0.000%, 5/15/26(8) | 170 | 169 | |
1,365 | |||
Transportation - Automotive—0.2% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23 | 128 | 123 | |
Navistar, Inc. Tranche B (1 month LIBOR + 3.500%) 3.620%, 11/6/24 | 92 | 92 | |
215 | |||
Transportation - Land Transportation—0.2% | |||
Genesee & Wyoming, Inc. (3 month LIBOR + 2.000%) 0.000%, 12/30/26(8) | 224 | 223 | |
Utility—0.5% | |||
APLP Holdings LP 2020, Tranche B (3 month LIBOR + 2.500%) 3.500%, 4/14/25 | 94 | 93 | |
Astoria Energy LLC Tranche B (3 month LIBOR + 3.500%) 4.500%, 12/10/27 | 154 | 154 | |
Brookfield WEC Holdings, Inc. (1 month LIBOR + 2.750%) 3.250%, 8/1/25 | 211 | 209 | |
Calpine Corp. 2019 (1 month LIBOR + 2.000%) 2.110%, 4/5/26 | 147 | 146 | |
602 | |||
Total Leveraged Loans (Identified Cost $10,461) | 10,459 | ||
Shares | ||
Preferred Stocks—1.0% | ||
Financials—0.8% | ||
Discover Financial Services Series D, 6.125% | 85 (9) | 94 |
Fifth Third Bancorp Series L, 4.500% | 220 (9) | 234 |
Shares | Value | ||
Financials—continued | |||
JPMorgan Chase & Co. Series HH, 4.600% | 86 (9) | $ 87 | |
KeyCorp Series D, 5.000% | 140 (9) | 153 | |
MetLife, Inc. Series D, 5.875% | 88 (9) | 97 | |
Truist Financial Corp. Series Q, 5.100% | 250 (9) | 273 | |
938 | |||
Industrials—0.2% | |||
General Electric Co. Series D, 3.514%(4) | 231 (9) | 218 | |
Total Preferred Stocks (Identified Cost $1,079) | 1,156 | ||
Exchange-Traded Funds—0.6% | |||
iShares iBoxx High Yield Corporate Bond ETF(6)(10) | 3,651 | 318 | |
iShares JP Morgan USD Emerging Markets Bond ETF(10) | 2,935 | 320 | |
Total Exchange-Traded Funds (Identified Cost $647) | 638 | ||
Total Long-Term Investments—98.7% (Identified Cost $107,444) | 109,635 | ||
Short-Term Investment—2.3% | |||
Money Market Mutual Fund—2.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(10) | 2,562,053 | 2,562 | |
Total Short-Term Investment (Identified Cost $2,562) | 2,562 | ||
Shares | Value | ||
Securities Lending Collateral—0.7% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(10)(11) | 778,635 | $ 779 | |
Total Securities Lending Collateral (Identified Cost $779) | 779 | ||
TOTAL INVESTMENTS—101.7% (Identified Cost $110,785) | $112,976 | ||
Other assets and liabilities, net—(1.7)% | (1,904) | ||
NET ASSETS—100.0% | $111,072 |
Abbreviations: | |
BAM | Build America Municipal Insured |
DB | Deutsche Bank AG |
ETF | Exchange-Traded Fund |
GS | Goldman Sachs & Co. |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
WaMu | Washington Mutual |
Footnote Legend: | |
(1) | Regulation S security. Security is offered and sold outside of the United States; it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, these securities amounted to a value of $52,867 or 47.6% of net assets. |
(3) | Amount is less than $500. |
(4) | Variable rate security. Rate disclosed is as of March 31, 2021. 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) | All or a portion of security is on loan. |
(7) | No contractual maturity date. |
(8) | This loan will settle after March 31, 2021, 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) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(11) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | |
United States | 92% |
Canada | 2 |
Mexico | 1 |
Switzerland | 1 |
Luxembourg | 1 |
Bermuda | 1 |
Netherlands | 1 |
Other | 1 |
Total | 100% |
† % of total investments as of March 31, 2021. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $ 11,292 | $ — | $ 11,292 | $ — | |||
Corporate Bonds and Notes | 38,942 | — | 38,942 | — | |||
Foreign Government Securities | 1,888 | — | 1,888 | — | |||
Leveraged Loans | 10,459 | — | 10,385 | 74 | |||
Mortgage-Backed Securities | 28,533 | — | 28,088 | 445 | |||
Municipal Bonds | 1,545 | — | 1,545 | — | |||
U.S. Government Securities | 15,182 | — | 15,182 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 1,156 | — | 1,156 | — | |||
Securities Lending Collateral | 779 | 779 | — | — | |||
Exchange-Traded Funds | 638 | 638 | — | — | |||
Money Market Mutual Fund | 2,562 | 2,562 | — | — | |||
Total Investments | $112,976 | $3,979 | $108,478 | $519 |
Par Value | Value | ||
Mortgage-Backed Security—0.2% | |||
Non-Agency—0.2% | |||
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(1)(2) | $109 | $ 110 | |
Total Mortgage-Backed Security (Identified Cost $109) | 110 | ||
Corporate Bonds and Notes—90.2% | |||
Communication Services—15.1% | |||
Altice France Holding S.A. 144A 6.000%, 2/15/28(1) | 200 | 197 | |
Altice France S.A. 144A 7.375%, 5/1/26(1) | 340 | 354 | |
Cars.com, Inc. 144A 6.375%, 11/1/28(1) | 295 | 308 | |
CCO Holdings LLC | |||
144A 5.125%, 5/1/27(1) | 350 | 370 | |
144A 4.750%, 3/1/30(1) | 325 | 337 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(1) | 265 | 273 | |
Cinemark USA, Inc. 144A 5.875%, 3/15/26(1) | 295 | 302 | |
Clear Channel Outdoor Holdings, Inc. 144A 7.750%, 4/15/28(1) | 5 | 5 | |
Clear Channel Worldwide Holdings, Inc. | |||
9.250%, 2/15/24 | 81 | 84 | |
144A 5.125%, 8/15/27(1) | 100 | 101 | |
Consolidated Communications, Inc. 144A 6.500%, 10/1/28(1) | 175 | 189 | |
CSC Holdings LLC 144A 5.750%, 1/15/30(1) | 600 | 632 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(1) | 105 | 76 | |
144A 6.625%, 8/15/27(1)(3) | 280 | 146 | |
DISH DBS Corp. 7.750%, 7/1/26 | 325 | 359 | |
Frontier Communications Corp. 144A 6.750%, 5/1/29(1) | 390 | 411 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 272 | 291 | |
Level 3 Financing, Inc. 144A 3.625%, 1/15/29(1) | 305 | 295 | |
Live Nation Entertainment, Inc. | |||
144A 5.625%, 3/15/26(1) | 290 | 301 | |
144A 4.750%, 10/15/27(1) | 195 | 196 | |
McGraw-Hill Global Education Holdings LLC Senior Unsecured Notes 144A 7.875%, 5/15/24(1) | 210 | 207 | |
Meredith Corp. 6.875%, 2/1/26 | 264 | 271 |
Par Value | Value | ||
Communication Services—continued | |||
Northwest Fiber LLC 144A 10.750%, 6/1/28(1) | $265 | $ 299 | |
Playtika Holding Corp. 144A 4.250%, 3/15/29(1) | 305 | 300 | |
Radiate Holdco LLC | |||
144A 4.500%, 9/15/26(1) | 140 | 142 | |
144A 6.500%, 9/15/28(1) | 235 | 248 | |
Telesat Canada 144A 6.500%, 10/15/27(1) | 575 | 576 | |
T-Mobile USA, Inc. | |||
2.625%, 4/15/26 | 65 | 66 | |
3.375%, 4/15/29 | 85 | 86 | |
3.500%, 4/15/31 | 240 | 242 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(1) | 280 | 303 | |
Twitter, Inc. 144A 3.875%, 12/15/27(1) | 300 | 315 | |
Univision Communications, Inc. | |||
144A 5.125%, 2/15/25(1) | 325 | 329 | |
144A 9.500%, 5/1/25(1) | 85 | 93 | |
Virgin Media Finance plc 144A 5.000%, 7/15/30(1) | 250 | 250 | |
8,954 | |||
Consumer Discretionary—16.8% | |||
Adtalem Global Education, Inc. 144A 5.500%, 3/1/28(1) | 410 | 405 | |
American Axle & Manufacturing, Inc. 6.500%, 4/1/27(3) | 410 | 425 | |
Aramark Services, Inc. 144A 6.375%, 5/1/25(1) | 260 | 276 | |
Aston Martin Capital Holdings Ltd. 144A 10.500%, 11/30/25(1) | 320 | 353 | |
BCPE Ulysses Intermediate, Inc. PIK 144A 7.750%, 4/1/27(1)(4) | 305 | 316 | |
Caesars Entertainment, Inc. | |||
144A 6.250%, 7/1/25(1) | 135 | 144 | |
144A 8.125%, 7/1/27(1) | 105 | 116 | |
Carnival Corp. | |||
144A 11.500%, 4/1/23(1) | 160 | 183 | |
144A 7.625%, 3/1/26(1) | 40 | 43 | |
Carvana Co. | |||
144A 5.625%, 10/1/25(1) | 235 | 241 | |
144A 5.875%, 10/1/28(1) | 120 | 123 | |
Clarios Global LP 144A 8.500%, 5/15/27(1) | 255 | 274 | |
Crocs, Inc. 144A 4.250%, 3/15/29(1) | 300 | 292 | |
Downstream Development Authority of the Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23(1) | 280 | 290 | |
FirstCash, Inc. 144A 4.625%, 9/1/28(1) | 250 | 255 | |
Ford Motor Co. | |||
9.000%, 4/22/25 | 108 | 131 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
9.625%, 4/22/30 | $ 69 | $ 96 | |
Ford Motor Credit Co. LLC | |||
5.125%, 6/16/25 | 285 | 308 | |
4.125%, 8/17/27 | 200 | 206 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(1) | 315 | 300 | |
Golden Nugget, Inc. 144A 8.750%, 10/1/25(1)(3) | 260 | 274 | |
International Game Technology plc 144A 6.250%, 1/15/27(1) | 200 | 222 | |
Legends Hospitality Holding Co. LLC 144A 5.000%, 2/1/26(1) | 310 | 315 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 280 | 290 | |
Marriott Ownership Resorts, Inc. 4.750%, 1/15/28 | 295 | 298 | |
Mohegan Gaming & Entertainment 144A 8.000%, 2/1/26(1) | 295 | 297 | |
NCL Corp., Ltd. 144A 5.875%, 3/15/26(1) | 195 | 197 | |
NCL Finance Ltd. 144A 6.125%, 3/15/28(1) | 90 | 92 | |
NMG Holding Co., Inc. 144A 7.125%, 4/1/26(1) | 145 | 148 | |
PetSmart, Inc. 144A 7.750%, 2/15/29(1) | 250 | 271 | |
PulteGroup, Inc. 7.875%, 6/15/32 | 180 | 253 | |
Royal Caribbean Cruises Ltd. | |||
144A 9.125%, 6/15/23(1) | 225 | 248 | |
144A 5.500%, 4/1/28(1) | 30 | 30 | |
Scientific Games International, Inc. | |||
144A 8.250%, 3/15/26(1) | 120 | 129 | |
144A 7.000%, 5/15/28(1) | 160 | 171 | |
Station Casinos LLC 144A 4.500%, 2/15/28(1) | 335 | 334 | |
Tenneco, Inc. | |||
5.375%, 12/15/24 | 150 | 151 | |
144A 5.125%, 4/15/29(1) | 265 | 262 | |
Vista Outdoor, Inc. 144A 4.500%, 3/15/29(1) | 365 | 361 | |
Weekley Homes LLC 144A 4.875%, 9/15/28(1) | 310 | 318 | |
Wynn Macau Ltd. 144A 5.625%, 8/26/28(1) | 500 | 523 | |
9,961 | |||
Consumer Staples—4.2% | |||
Albertsons Cos., Inc. 144A 4.625%, 1/15/27(1) | 585 | 606 | |
Chobani LLC 144A 7.500%, 4/15/25(1) | 315 | 328 | |
Dole Food Co., Inc. 144A 7.250%, 6/15/25(1) | 325 | 334 | |
H-Food Holdings LLC 144A 8.500%, 6/1/26(1) | 270 | 276 |
Par Value | Value | ||
Consumer Staples—continued | |||
Post Holdings, Inc. 144A 4.500%, 9/15/31(1) | $385 | $ 381 | |
Triton Water Holdings, Inc. 144A 6.250%, 4/1/29(1) | 120 | 122 | |
Turning Point Brands, Inc. 144A 5.625%, 2/15/26(1) | 305 | 316 | |
Vector Group Ltd. 144A 5.750%, 2/1/29(1) | 145 | 150 | |
2,513 | |||
Energy—12.6% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(1) | 285 | 265 | |
Antero Midstream Partners LP | |||
144A 7.875%, 5/15/26(1) | 150 | 161 | |
144A 5.750%, 1/15/28(1) | 340 | 340 | |
Antero Resources Corp. | |||
144A 8.375%, 7/15/26(1) | 120 | 132 | |
144A 7.625%, 2/1/29(1) | 105 | 112 | |
Ascent Resources Utica Holdings LLC 144A 8.250%, 12/31/28(1) | 200 | 208 | |
BP Capital Markets plc 4.875% (5) | 285 | 305 | |
Callon Petroleum Co. 6.125%, 10/1/24(3) | 141 | 120 | |
Cheniere Energy Partners LP 5.625%, 10/1/26 | 160 | 167 | |
Cheniere Energy, Inc. 144A 4.625%, 10/15/28(1) | 175 | 182 | |
Chesapeake Energy Corp. | |||
144A 5.500%, 2/1/26(1) | 320 | 333 | |
144A 5.875%, 2/1/29(1) | 60 | 64 | |
Citgo Holding, Inc. 144A 9.250%, 8/1/24(1) | 140 | 139 | |
CrownRock LP 144A 5.625%, 10/15/25(1) | 260 | 265 | |
CSI Compressco LP | |||
7.250%, 8/15/22 | 205 | 195 | |
144A 7.500%, 4/1/25(1)(3) | 195 | 198 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(1) | 75 | 81 | |
144A 6.500%, 7/1/27(1) | 90 | 98 | |
144A 4.500%, 1/15/29(1) | 60 | 59 | |
144A 4.750%, 1/15/31(1) | 60 | 58 | |
Geopark Ltd. 144A 6.500%, 9/21/24(1) | 215 | 222 | |
Hilcorp Energy I LP | |||
144A 5.750%, 2/1/29(1) | 195 | 197 | |
144A 6.000%, 2/1/31(1) | 195 | 198 | |
Indigo Natural Resources LLC 144A 5.375%, 2/1/29(1) | 300 | 296 | |
Kosmos Energy Ltd. 144A 7.500%, 3/1/28(1) | 365 | 346 |
Par Value | Value | ||
Energy—continued | |||
Magnolia Oil & Gas Operating LLC 144A 6.000%, 8/1/26(1) | $235 | $ 243 | |
Mesquite Energy, Inc. 144A 7.250%, 2/15/23(6) | 115 | — (7) | |
Northriver Midstream Finance LP 144A 5.625%, 2/15/26(1) | 210 | 218 | |
Occidental Petroleum Corp. | |||
2.700%, 8/15/22 | 83 | 83 | |
5.875%, 9/1/25 | 130 | 139 | |
5.500%, 12/1/25 | 70 | 74 | |
3.500%, 8/15/29 | 160 | 150 | |
6.625%, 9/1/30 | 135 | 152 | |
6.125%, 1/1/31 | 115 | 127 | |
Parsley Energy LLC 144A 4.125%, 2/15/28(1) | 175 | 185 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 300 | 298 | |
Sunoco LP 144A 4.500%, 5/15/29(1) | 435 | 433 | |
Targa Resources Partners LP 144A 4.875%, 2/1/31(1) | 120 | 122 | |
Transocean, Inc. 144A 11.500%, 1/30/27(1) | 143 | 123 | |
USA Compression Partners LP 6.875%, 4/1/26 | 170 | 174 | |
WPX Energy, Inc. 4.500%, 1/15/30 | 188 | 202 | |
7,464 | |||
Financials—4.5% | |||
Acrisure LLC | |||
144A 7.000%, 11/15/25(1) | 240 | 248 | |
144A 4.250%, 2/15/29(1) | 95 | 93 | |
Burford Capital Global Finance LLC 144A 6.250%, 4/15/28(1) | 295 | 302 | |
ICAHN Enterprises LP | |||
6.250%, 5/15/26 | 220 | 231 | |
5.250%, 5/15/27 | 265 | 274 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 305 | 300 | |
Navient Corp. 5.875%, 10/25/24 | 185 | 194 | |
NMI Holdings, Inc. 144A 7.375%, 6/1/25(1) | 135 | 156 | |
OneMain Finance Corp. 6.875%, 3/15/25 | 370 | 421 | |
Prospect Capital Corp. 3.706%, 1/22/26 | 455 | 449 | |
2,668 | |||
Health Care—8.6% | |||
Advanz Pharma Corp., Ltd. 8.000%, 9/6/24 | 41 | 42 | |
Akumin, Inc. 144A 7.000%, 11/1/25(1) | 320 | 340 |
Par Value | Value | ||
Health Care—continued | |||
Bausch Health Americas, Inc. | |||
144A 9.250%, 4/1/26(1) | $135 | $ 150 | |
144A 8.500%, 1/31/27(1) | 270 | 300 | |
Bausch Health Cos., Inc. 144A 7.000%, 1/15/28(1) | 190 | 206 | |
Charles River Laboratories International, Inc. | |||
144A 3.750%, 3/15/29(1) | 105 | 105 | |
144A 4.000%, 3/15/31(1)(3) | 90 | 92 | |
Cheplapharm Arzneimittel GmbH 144A 5.500%, 1/15/28(1) | 325 | 338 | |
Community Health Systems, Inc. | |||
144A 6.625%, 2/15/25(1) | 280 | 296 | |
144A 6.875%, 4/15/29(1) | 25 | 26 | |
144A 4.750%, 2/15/31(1) | 160 | 156 | |
DaVita, Inc. 144A 4.625%, 6/1/30(1) | 285 | 290 | |
Endo Dac 144A 9.500%, 7/31/27(1) | 50 | 54 | |
Jaguar Holding Co. II 144A 5.000%, 6/15/28(1) | 215 | 224 | |
Legacy LifePoint Health LLC | |||
144A 6.750%, 4/15/25(1) | 5 | 5 | |
144A 4.375%, 2/15/27(1) | 290 | 284 | |
LifePoint Health, Inc. 144A 5.375%, 1/15/29(1) | 100 | 99 | |
Ortho-Clinical Diagnostics, Inc. | |||
144A 7.375%, 6/1/25(1) | 84 | 90 | |
144A 7.250%, 2/1/28(1) | 81 | 89 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(1) | 256 | 272 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1) | 440 | 468 | |
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(1) | 180 | 184 | |
144A 10.000%, 4/15/27(1) | 130 | 143 | |
Team Health Holdings, Inc. 144A 6.375%, 2/1/25(1) | 180 | 159 | |
Tenet Healthcare Corp. | |||
144A 4.875%, 1/1/26(1) | 180 | 187 | |
144A 6.250%, 2/1/27(1) | 130 | 137 | |
144A 5.125%, 11/1/27(1) | 60 | 63 | |
144A 7.500%, 4/1/25(1) | 80 | 86 | |
Teva Pharmaceutical Finance Netherlands III B.V. 3.150%, 10/1/26 | 245 | 234 | |
5,119 | |||
Industrials—9.1% | |||
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(1) | 380 | 403 |
Par Value | Value | ||
Industrials—continued | |||
American Airlines Group, Inc. 144A 5.000%, 6/1/22(1) | $190 | $ 187 | |
American Airlines, Inc. | |||
144A 11.750%, 7/15/25(1) | 530 | 656 | |
144A 5.500%, 4/20/26(1) | 55 | 57 | |
144A 5.750%, 4/20/29(1) | 20 | 21 | |
Boeing Co. (The) 5.930%, 5/1/60 | 231 | 296 | |
Bombardier, Inc. | |||
144A 8.750%, 12/1/21(1) | 125 | 131 | |
144A 7.500%, 12/1/24(1) | 155 | 155 | |
BWX Technologies, Inc. 144A 4.125%, 4/15/29(1) | 200 | 203 | |
Cleaver-Brooks, Inc. 144A 7.875%, 3/1/23(1)(3) | 300 | 294 | |
CP Atlas Buyer, Inc. 144A 7.000%, 12/1/28(1) | 290 | 305 | |
Delta Air Lines, Inc. 3.750%, 10/28/29 | 315 | 307 | |
Dycom Industries, Inc. 144A 4.500%, 4/15/29(1) | 150 | 150 | |
Fortress Transportation & Infrastructure Investors LLC | |||
144A 6.750%, 3/15/22(1) | 90 | 90 | |
144A 6.500%, 10/1/25(1) | 235 | 246 | |
144A 9.750%, 8/1/27(1) | 40 | 46 | |
LBM Acquisition LLC 144A 6.250%, 1/15/29(1) | 160 | 165 | |
Spirit AeroSystems, Inc. | |||
3.950%, 6/15/23 | 165 | 163 | |
144A 5.500%, 1/15/25(1) | 290 | 307 | |
Titan Acquisition Ltd. 144A 7.750%, 4/15/26(1) | 295 | 306 | |
TransDigm, Inc. | |||
144A 6.250%, 3/15/26(1) | 115 | 122 | |
5.500%, 11/15/27 | 450 | 466 | |
Uber Technologies, Inc. 144A 7.500%, 5/15/25(1) | 270 | 291 | |
5,367 | |||
Information Technology—5.8% | |||
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(1) | 170 | 181 | |
J2 Global, Inc. 144A 4.625%, 10/15/30(1) | 335 | 338 | |
NCR Corp. 144A 5.125%, 4/15/29(1) | 315 | 317 | |
Plantronics, Inc. 144A 4.750%, 3/1/29(1) | 305 | 300 | |
Rocket Software, Inc. 144A 6.500%, 2/15/29(1) | 295 | 298 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(1) | 435 | 450 |
Par Value | Value | ||
Information Technology—continued | |||
Seagate HDD Cayman 144A 3.375%, 7/15/31(1) | $310 | $ 298 | |
SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1) | 300 | 320 | |
Veritas US, Inc. 144A 7.500%, 9/1/25(1) | 290 | 301 | |
Viasat, Inc. 144A 5.625%, 9/15/25(1) | 305 | 310 | |
Xerox Holdings Corp. 144A 5.500%, 8/15/28(1) | 295 | 305 | |
3,418 | |||
Materials—8.2% | |||
ARD Finance S.A. PIK 144A 6.500%, 6/30/27(1)(8) | 595 | 625 | |
Chemours Co. (The) 144A 5.750%, 11/15/28(1) | 280 | 295 | |
Cleveland-Cliffs, Inc. | |||
144A 6.750%, 3/15/26(1) | 115 | 125 | |
144A 7.000%, 3/15/27(1) | 170 | 171 | |
Commercial Metals Co. 3.875%, 2/15/31 | 285 | 280 | |
Freeport-McMoRan, Inc. 5.450%, 3/15/43 | 235 | 283 | |
Hecla Mining Co. 7.250%, 2/15/28 | 305 | 327 | |
INEOS Group Holdings S.A. 144A 5.625%, 8/1/24(1) | 315 | 319 | |
Louisiana-Pacific Corp. 144A 3.625%, 3/15/29(1) | 445 | 433 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(1) | 300 | 300 | |
Resolute Forest Products, Inc. 144A 4.875%, 3/1/26(1)(3) | 250 | 250 | |
Taseko Mines Ltd. 144A 7.000%, 2/15/26(1) | 165 | 168 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 265 | 325 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(1) | 150 | 160 | |
144A 6.625%, 11/1/25(1) | 265 | 269 | |
Trinseo Materials Operating SCA 144A 5.125%, 4/1/29(1) | 120 | 124 | |
United States Steel Corp. | |||
6.250%, 3/15/26 | 235 | 237 | |
6.875%, 3/1/29 | 155 | 158 | |
4,849 | |||
Real Estate—3.5% | |||
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(1) | 345 | 365 |
Par Value | Value | ||
Real Estate—continued | |||
Iron Mountain, Inc. 144A 4.875%, 9/15/29(1) | $315 | $ 319 | |
iStar, Inc. 4.250%, 8/1/25 | 290 | 292 | |
MPT Operating Partnership LP 3.500%, 3/15/31 | 315 | 309 | |
Service Properties Trust | |||
5.500% | 150 | 159 | |
7.500%, 9/15/25 | 270 | 307 | |
Uniti Group, Inc. 144A 7.125%, 12/15/24(1) | 300 | 308 | |
2,059 | |||
Utilities—1.8% | |||
Ferrellgas Escrow LLC | |||
144A 5.375%, 4/1/26(1) | 90 | 89 | |
144A 5.875%, 4/1/29(1) | 90 | 89 | |
Ferrellgas Partners LP 8.625%, 6/15/20(9) | 140 | 102 | |
PG&E Corp. 5.250%, 7/1/30 | 295 | 313 | |
Talen Energy Supply LLC 144A 6.625%, 1/15/28(1) | 205 | 205 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(1) | 240 | 259 | |
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20(1)(6) | 500 | — | |
1,057 | |||
Total Corporate Bonds and Notes (Identified Cost $51,958) | 53,429 | ||
Leveraged Loans(2)—7.1% | |||
Aerospace—0.6% | |||
American Airlines, Inc. (3 month LIBOR + 4.750%) 0.000%, 4/20/28(10) | 50 | 51 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27 | 295 | 313 | |
364 | |||
Consumer Non-Durables—0.3% | |||
Parfums Holding Co., Inc. First Lien (1 month LIBOR + 4.000%) 4.109%, 6/30/24 | 168 | 166 |
Par Value | Value | ||
Energy—0.6% | |||
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 6.250%) 7.250%, 3/28/24 | $ 85 | $ 85 | |
Fieldwood Energy LLC First Lien (3 month PRIME + 4.250%) 7.500%, 4/11/22(11) | 245 | 93 | |
Traverse Midstream Partners LLC (1 month LIBOR + 5.500%) 6.500%, 9/27/24 | 194 | 192 | |
370 | |||
Financial—0.2% | |||
Asurion LLC Tranche B-3, Second Lien (1 month LIBOR + 5.250%) 5.359%, 1/31/28 | 85 | 86 | |
Food / Tobacco—0.2% | |||
Milk Specialties Co. (1 month LIBOR + 4.000%) 5.000%, 8/16/23 | 140 | 140 | |
Forest Prod / Containers—0.4% | |||
Klockner Pentaplast of America, Inc. Tranche B (3 month LIBOR + 4.750%) 0.000%, 2/12/26(10) | 215 | 214 | |
Gaming / Leisure—0.6% | |||
ECL Entertainment LLC (3 month LIBOR + 8.000%) 0.000%, 3/31/28(10) | 115 | 114 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24 | 248 | 237 | |
351 | |||
Healthcare—1.6% | |||
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 3.859%, 10/10/25 | 133 | 115 | |
One Call Corp. First Lien (3 month LIBOR + 5.250%) 6.250%, 11/27/22 | 489 | 485 | |
Viant Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 3.859%, 7/2/25 | 322 | 312 | |
912 | |||
Par Value | Value | ||
Information Technology—0.3% | |||
Infinite Bidco LLC Second Lien (3 month LIBOR + 7.000%) 7.500%, 2/24/29 | $175 | $ 175 | |
Ultimate Software Group, Inc. (The) Second Lien (3 month LIBOR + 6.750%) 7.500%, 5/3/27 | 15 | 16 | |
191 | |||
Media / Telecom - Cable/Wireless Video—0.3% | |||
Intelsat Jackson Holdings S.A. Tranche B-5 (6 month LIBOR + 8.625%) 8.625%, 1/2/24(11) | 186 | 190 | |
Media / Telecom - Telecommunications—0.3% | |||
Securus Technologies Holdings, Inc. First Lien (3 month LIBOR + 4.500%) 5.500%, 11/1/24 | 204 | 189 | |
Service—1.3% | |||
Carlisle Food Service Products, Inc. First Lien (3 month LIBOR + 3.000%) 4.000%, 3/20/25 | 79 | 76 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 3.250%) 3.359%, 2/6/26 | 148 | 148 | |
Grab Holdings, Inc. (6 month LIBOR + 4.500%) 5.500%, 1/29/26 | 385 | 391 | |
TKC Holdings, Inc. First Lien (6 month LIBOR + 3.750%) 4.750%, 2/1/23 | 152 | 148 | |
763 | |||
Transportation - Automotive—0.4% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23 | 255 | 245 | |
Total Leveraged Loans (Identified Cost $4,230) | 4,181 | ||
Shares | Value | ||
Preferred Stocks—0.8% | |||
Financials—0.8% | |||
Capital Farm Credit ACA Series 1 144A, 5.000%(1) | 250 (12) | $ 256 | |
Citigroup, Inc. Series T, 6.250% | 190 (12) | 217 | |
473 | |||
Total Preferred Stocks (Identified Cost $442) | 473 | ||
Common Stocks—0.3% | |||
Communication Services—0.0% | |||
Clear Channel Outdoor Holdings, Inc. Class A(13) | 7,282 | 13 | |
Consumer Discretionary—0.3% | |||
MYT Holding LLC Class B(13) | 33,144 | 172 | |
Energy—0.0% | |||
Frontera Energy Corp. | 1,088 | 6 | |
Financials—0.0% | |||
Neiman Marcus Group, Inc.(13) | 116 | 8 | |
Total Common Stocks (Identified Cost $259) | 199 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(6)(13) | 8,563 | 9 | |
Total Rights (Identified Cost $7) | 9 | ||
Warrant—0.1% | |||
Communication Services—0.1% | |||
iHeartMedia, Inc.(6) | 3,097 | 38 | |
Total Warrant (Identified Cost $54) | 38 | ||
Total Long-Term Investments—98.7% (Identified Cost $57,059) | 58,439 | ||
Shares | Value | ||
Securities Lending Collateral—2.5% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(14)(15) | 1,471,816 | $ 1,472 | |
Total Securities Lending Collateral (Identified Cost $1,472) | 1,472 | ||
TOTAL INVESTMENTS—101.2% (Identified Cost $58,531) | $59,911 | ||
Other assets and liabilities, net—(1.2)% | (701) | ||
NET ASSETS—100.0% | $59,210 |
Abbreviations: | |
ACA | American Capital Access Financial Guarantee Corp. |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, these securities amounted to a value of $41,883 or 70.7% of net assets. |
(2) | Variable rate security. Rate disclosed is as of March 31, 2021. 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) | All or a portion of security is on loan. |
(4) | The first payment of cash and/or principal will be made on 10/1/21. |
(5) | No contractual maturity date. |
(6) | 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. |
(7) | Amount is less than $500. |
(8) | 100% of the income received was in cash. |
(9) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(10) | This loan will settle after March 31, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(11) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(12) | Value shown as par value. |
(13) | Non-income producing. |
(14) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(15) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | |
United States | 83% |
Canada | 6 |
Luxembourg | 2 |
Netherlands | 2 |
Cayman Islands | 1 |
United Kingdom | 1 |
Bermuda | 1 |
Other | 4 |
Total | 100% |
† % of total investments as of March 31, 2021. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $53,429 | $ — | $53,429 | $— (1)(2) | |||
Leveraged Loans | 4,181 | — | 4,181 | — | |||
Mortgage-Backed Security | 110 | — | 110 | — | |||
Equity Securities: | |||||||
Common Stocks | 199 | 19 | 180 | — | |||
Preferred Stocks | 473 | — | 473 | — | |||
Rights | 9 | — | — | 9 | |||
Warrant | 38 | — | — | 38 | |||
Securities Lending Collateral | 1,472 | 1,472 | — | — | |||
Total Investments | $59,911 | $1,491 | $58,373 | $47 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
(2) | Amount is less than $500. |
Par Value | Value | ||
U.S. Government Securities—5.3% | |||
U.S. Treasury Notes | |||
1.750%, 6/15/22 | $13,145 | $ 13,405 | |
0.375%, 11/30/25 | 3,000 | 2,934 | |
0.375%, 12/31/25 | 19,485 | 19,029 | |
Total U.S. Government Securities (Identified Cost $35,631) | 35,368 | ||
Foreign Government Securities—0.8% | |||
Kingdom of Saudi Arabia 144A 4.000%, 4/17/25(1) | 425 | 468 | |
Republic of Indonesia | |||
144A 5.875%, 1/15/24(1) | 755 | 854 | |
144A 4.125%, 1/15/25(1) | 435 | 476 | |
Republic of Kazakhstan 144A 5.125%, 7/21/25(1) | 570 | 661 | |
Republic of South Africa | |||
5.875%, 9/16/25 | 265 | 292 | |
4.850%, 9/27/27 | 975 | 1,006 | |
Republic of Turkey 7.375%, 2/5/25 | 1,225 | 1,263 | |
State of Qatar Government International Bond 144A 3.400%, 4/16/25(1) | 300 | 326 | |
Total Foreign Government Securities (Identified Cost $5,201) | 5,346 | ||
Mortgage-Backed Securities—31.5% | |||
Agency—0.6% | |||
Federal National Mortgage Association | |||
Pool #AD6058 4.000%, 8/1/25 | 19 | 21 | |
Pool #AO5149 3.000%, 6/1/27 | 59 | 62 | |
Pool #AL7532 3.000%, 11/1/27 | 294 | 310 | |
Pool #AS5730 3.000%, 9/1/30 | 624 | 659 | |
Pool #AS5927 3.000%, 10/1/30 | 259 | 274 | |
Pool #MA0908 4.000%, 11/1/31 | 166 | 182 | |
Pool #AC3654 5.000%, 10/1/39 | 123 | 143 | |
Pool #AD3841 4.500%, 4/1/40 | 40 | 45 | |
Pool #MA3663 3.500%, 5/1/49 | 480 | 507 | |
Pool #CA4978 3.000%, 1/1/50 | 1,523 | 1,589 |
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 | 1 | 2 | |
3,795 | |||
Non-Agency—30.9% | |||
ACRES Commercial Realty Corp. 2020-RSO8, A (1 month LIBOR + 1.150%) 144A 1.258%, 3/15/35(1)(3) | 896 | 896 | |
Ajax Mortgage Loan Trust | |||
2021-A, A1 144A 1.065%, 9/25/65(1)(3) | 1,385 | 1,373 | |
2019-D, A1 144A 2.956%, 9/25/65(1)(3) | 786 | 795 | |
American Homes 4 Rent Trust | |||
2014-SFR3, A 144A 3.678%, 12/17/36(1) | 2,672 | 2,869 | |
2015-SFR1, A 144A 3.467%, 4/17/52(1) | 178 | 191 | |
AMSR Trust | |||
2020-SFR1, A 144A 1.819%, 4/17/37(1) | 939 | 950 | |
2020-SFR1, B 144A 2.120%, 4/17/37(1) | 940 | 944 | |
2020-SFR3, B 144A 1.806%, 9/17/37(1) | 2,400 | 2,388 | |
Angel Oak Mortgage Trust I LLC 2018-3, A1 144A 3.649%, 9/25/48(1)(3) | 944 | 953 | |
Angel Oak Mortgage Trust LLC | |||
2020-R1, A2 144A 1.247%, 4/25/53(1)(3) | 2,523 | 2,526 | |
2019-3, A1 144A 2.930%, 5/25/59(1)(3) | 1,835 | 1,845 | |
2020-6, A1 144A 1.261%, 5/25/65(1)(3) | 498 | 500 | |
2020-4, A1 144A 1.469%, 6/25/65(1)(3) | 2,226 | 2,234 | |
Angel Oak SB Commercial Mortgage Trust 2020-SBC1, A1 144A 2.068%, 5/25/50(1)(3) | 972 | 973 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(1)(3) | 2,230 | 2,239 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(3) | 1,383 | 1,418 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-2, A1 144A 3.347%, 4/25/49(1)(3) | $2,933 | $2,995 | |
2020-1, A1B 144A 2.100%, 3/25/55(1) | 2,609 | 2,644 | |
Banc of America Funding Trust | |||
2004-B, 2A1 2.673%, 11/20/34(3) | 18 | 19 | |
2005-1, 1A1 5.500%, 2/25/35 | 69 | 71 | |
2006-2, 3A1 6.000%, 3/25/36 | 13 | 13 | |
Bayview Koitere Fund Trust 2017-RT4, A 144A 3.500%, 7/28/57(1)(3) | 148 | 152 | |
Bayview Opportunity Master Fund IVa Trust 2017-RT1, A1 144A 3.000%, 3/28/57(1)(3) | 324 | 330 | |
BPR Trust 2021-KEN, A (1 month LIBOR + 1.250%) 144A 1.356%, 2/15/29(1)(3) | 755 | 755 | |
BRAVO Residential Funding Trust 2021-A, A1 144A 1.991%, 1/25/24(1)(3)(4) | 873 | 872 | |
Bunker Hill Loan Depositary Trust 2019-2, A1 144A 2.879%, 7/25/49(1)(3) | 1,136 | 1,163 | |
BX Commercial Mortgage Trust | |||
2019-XL, C (1 month LIBOR + 1.250%) 144A 1.356%, 10/15/36(1)(3) | 973 | 973 | |
2020-BXLP, D (1 month LIBOR + 1.250%) 144A 1.356%, 12/15/36(1)(3) | 479 | 479 | |
BX Trust 2018-GW, B (1 month LIBOR + 1.020%) 144A 1.126%, 5/15/35(1)(3) | 1,265 | 1,264 | |
Cascade MH Asset Trust 2021-MH1, A1 144A 1.753%, 2/25/46(1) | 2,506 | 2,498 | |
Centex Home Equity Loan Trust 2004-D, AF5 5.850%, 9/25/34(3) | 61 | 62 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(1) | 902 | 909 | |
Citigroup Commercial Mortgage Trust | |||
2019-SST2, A (1 month LIBOR + 0.920%) 144A 1.026%, 12/15/36(1)(3) | 1,200 | 1,200 | |
2015-GC27, A4 2.878%, 2/10/48 | 1,200 | 1,252 |
Par Value | Value | ||
Non-Agency—continued | |||
Citigroup Mortgage Loan Trust, Inc. | |||
2004-NCM2, 2CB2 6.750%, 8/25/34 | $ 87 | $ 94 | |
2014-A, A 144A 4.000%, 1/25/35(1)(3) | 157 | 166 | |
2015-PS1, A1 144A 3.750%, 9/25/42(1)(3) | 84 | 86 | |
2019-IMC1, A1 144A 2.720%, 7/25/49(1)(3) | 1,144 | 1,165 | |
2015-A, A1 144A 3.500%, 6/25/58(1)(3) | 94 | 96 | |
2019-RP1, A1 144A 3.500%, 1/25/66(1)(3) | 1,342 | 1,409 | |
COLT Mortgage Loan Trust Funding LLC | |||
2019-3, A1 144A 2.764%, 8/25/49(1)(3) | 2,071 | 2,080 | |
2020-1, A1 144A 2.488%, 2/25/50(1)(3) | 836 | 844 | |
2020-1R, A1 144A 1.255%, 9/25/65(1)(3) | 1,607 | 1,614 | |
2020-2R, A1 144A 1.325%, 10/26/65(1)(3) | 756 | 757 | |
2021-2R, A1 144A 0.798%, 7/27/54(1)(3) | 1,463 | 1,458 | |
COLT Mortgage Pass-Through Certificates 2021-1R, A1 144A 0.857%, 5/25/65(1)(3) | 1,431 | 1,427 | |
COLT Trust 2020-RPL1, A1 144A 1.390%, 1/25/65(1)(3) | 1,188 | 1,177 | |
COMM Mortgage Trust 2020-CBM, B 144A 3.099%, 2/10/37(1) | 1,035 | 1,034 | |
CoreVest American Finance Trust | |||
2017-1, A 144A 2.968%, 10/15/49(1) | 780 | 785 | |
2020-4, A 144A 1.174%, 12/15/52(1) | 1,593 | 1,571 | |
2018-2, A 144A 4.026%, 11/15/52(1) | 1,071 | 1,144 | |
2020-1, A1 144A 1.832%, 3/15/50(1) | 1,210 | 1,229 | |
2020-3, A 144A 1.358%, 8/15/53(1) | 2,949 | 2,908 | |
Credit Suisse First Boston Mortgage Securities Corp. | |||
2003-27, 5A3 5.250%, 11/25/33 | 5 | 5 | |
2003-AR30, 5A1 2.704%, 1/25/34(3) | 91 | 92 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 1.086%, 5/15/36(1)(3) | 1,455 | 1,456 |
Par Value | Value | ||
Non-Agency—continued | |||
Credit Suisse Mortgage Capital Trust | |||
2013-HYB1, A16 144A 2.929%, 4/25/43(1)(3) | $ 94 | $ 96 | |
2014-IVR2, A2 144A 3.762%, 4/25/44(1)(3) | 258 | 263 | |
2020-RPL4, A1 144A 2.000%, 1/25/60(1)(3) | 2,059 | 2,113 | |
2020-NQM1, A1 144A 1.208%, 5/25/65(1)(3) | 2,183 | 2,192 | |
2021-AFC1, A1 144A 0.830%, 3/25/56(1)(3) | 1,574 | 1,571 | |
2021-NQM1, A1 144A 0.809%, 5/25/65(1)(3) | 1,303 | 1,297 | |
2021-NQM2, A1 144A 1.179%, 2/25/66(1)(3) | 1,575 | 1,575 | |
CSMC Trust 2017-RPL1, A1 144A 2.750%, 7/25/57(1)(3) | 897 | 931 | |
Deephaven Residential Mortgage Trust | |||
2017-1A, A1 144A 2.725%, 12/26/46(1)(3) | 21 | 21 | |
2017-1A, A2 144A 2.928%, 12/26/46(1)(3) | 35 | 35 | |
2017-2A, A1 144A 2.453%, 6/25/47(1)(3) | 322 | 322 | |
Ellington Financial Mortgage Trust | |||
2019-2, A3 144A 3.046%, 11/25/59(1)(3) | 746 | 760 | |
2020-1, A1 144A 2.006%, 5/25/65(1)(3) | 882 | 895 | |
2020-2, A1 144A 1.178%, 10/25/65(1)(3) | 1,643 | 1,642 | |
2021-1, A2 144A 1.003%, 2/25/66(1)(3) | 1,447 | 1,443 | |
FirstKey Homes Trust | |||
2020-SFR1, B 144A 1.740%, 9/17/25(1) | 800 | 796 | |
2020-SFR2, A 144A 1.266%, 10/19/37(1) | 1,202 | 1,191 | |
2020-SFR2, B 144A 1.567%, 10/19/37(1) | 2,045 | 2,035 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(1)(3) | 371 | 376 | |
2018-1, A23 144A 3.500%, 11/25/57(1)(3) | 219 | 226 | |
2018-2, A41 144A 4.500%, 10/25/58(1)(3) | 413 | 417 | |
2019-2, A52 144A 3.500%, 6/25/59(1)(3) | 1,115 | 1,145 | |
2019-H1, A1 144A 2.657%, 10/25/59(1)(3) | 487 | 496 | |
2020-H1, A1 144A 2.310%, 1/25/60(1)(3) | 1,811 | 1,845 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(1)(3) | 1,568 | 1,574 |
Par Value | Value | ||
Non-Agency—continued | |||
GCT Commercial Mortgage Trust 2021-GCT, A (1 month LIBOR + 0.800%) 144A 0.906%, 2/15/38(1)(3) | $2,085 | $2,085 | |
GS Mortgage Securities Trust | |||
2020-TWN3, A (1 month LIBOR + 2.000%) 144A 2.106%, 11/15/37(1)(3) | 1,540 | 1,547 | |
2020-GC45, AS 3.173%, 2/13/53(3) | 1,225 | 1,297 | |
GS Mortgage-Backed Securities Trust 2020-NQM1, A3 144A 2.352%, 9/27/60(1)(3) | 581 | 590 | |
GSR Mortgage Loan Trust 2003-3F, 1A6 6.000%, 4/25/33 | 134 | 139 | |
Hilton USA Trust 2016-SFP, B 144A 3.323%, 11/5/35(1) | 1,070 | 1,071 | |
Homeward Opportunities Fund I Trust | |||
2018-2, A1 144A 3.985%, 11/25/58(1)(3) | 2,502 | 2,546 | |
2019-1, A1 144A 3.454%, 1/25/59(1)(3) | 1,887 | 1,907 | |
2019-3, A1 144A 2.675%, 11/25/59(1)(3) | 2,016 | 2,041 | |
IMC Home Equity Loan Trust 1997-5, A9 7.310%, 11/20/28 | 46 | 46 | |
JP Morgan Chase Mortgage Trust 2005-A5, 1A2 2.803%, 8/25/35(3) | 169 | 175 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, AM 144A 3.358%, 6/25/29(1)(3) | 585 | 593 | |
2014-2, 2A2 144A 3.500%, 6/25/29(1)(3) | 411 | 419 | |
2006-A2, 4A1 3.053%, 8/25/34(3) | 40 | 42 | |
2014-1, 2A12 144A 3.500%, 1/25/44(1)(3) | 278 | 281 | |
2015-1, AM1 144A 2.126%, 12/25/44(1)(3) | 129 | 131 | |
2016-SH1, M2 144A 3.750%, 4/25/45(1)(3) | 328 | 334 | |
2015-5, A2 144A 2.482%, 5/25/45(1)(3) | 716 | 742 | |
2016-SH2, M2 144A 3.750%, 12/25/45(1)(3) | 494 | 512 | |
2017-3, 2A2 144A 2.500%, 8/25/47(1)(3) | 419 | 424 | |
2017-5, A1 144A 3.115%, 10/26/48(1)(3) | 1,420 | 1,461 |
Par Value | Value | ||
Non-Agency—continued | |||
JPMorgan Chase WaMu Mortgage Pass-Through Certificates Trust 2003-AR6, A1 3.072%, 6/25/33(3) | $ 89 | $ 92 | |
KKR Industrial Portfolio Trust 2021-KDIP, C (1 month LIBOR + 1.000%) 144A 1.106%, 12/15/37(1)(3) | 945 | 944 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%) 144A 0.906%, 5/15/36(1)(3) | 1,040 | 1,041 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(1)(3) | 725 | 729 | |
MASTR Alternative Loan Trust | |||
2004-4, 6A1 5.500%, 4/25/34 | 64 | 66 | |
2004-7, 9A1 6.000%, 8/25/34 | 54 | 56 | |
2005-2, 2A1 6.000%, 1/25/35 | 243 | 256 | |
Mello Warehouse Securitization Trust | |||
2019-1, C (1 month LIBOR + 1.200%) 144A 1.309%, 6/25/52(1)(3) | 1,040 | 1,041 | |
2021-1, C (1 month LIBOR + 1.100%) 144A 1.209%, 2/25/55(1)(3) | 775 | 775 | |
MetLife Securitization Trust | |||
2018-1A, A 144A 3.750%, 3/25/57(1)(3) | 482 | 505 | |
2019-1A, A1A 144A 3.750%, 4/25/58(1)(3) | 4,709 | 4,892 | |
MFA Trust | |||
2020-NQM3, A1 144A 1.014%, 1/26/65(1)(3) | 2,256 | 2,254 | |
2021-INV1, A1 144A 0.852%, 1/25/56(1)(3) | 386 | 385 | |
Mill City Mortgage Loan Trust 2021-NMR1, A1 144A 1.125%, 11/25/60(1)(3) | 1,322 | 1,329 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2013-C13, AS 4.266%, 11/15/46 | 1,515 | 1,619 | |
Morgan Stanley Capital Barclays Bank Trust 2016-MART, A 144A 2.200%, 9/13/31(1) | 1,660 | 1,661 | |
Morgan Stanley Capital I Trust 2017-CLS, A (1 month LIBOR + 0.700%) 144A 0.806%, 11/15/34(1)(3) | 1,380 | 1,380 |
Par Value | Value | ||
Non-Agency—continued | |||
Morgan Stanley Residential Mortgage Loan Trust 2014-1A, B2 144A 2.522%, 6/25/44(1)(3) | $ 340 | $ 353 | |
National City Mortgage Capital Trust 2008-1, 2A1 6.000%, 3/25/38 | 56 | 57 | |
New Residential Mortgage Loan Trust | |||
2017-2A, A3 144A 4.000%, 3/25/57(1)(3) | 1,441 | 1,538 | |
2020-NPL2, A1 144A 3.228%, 8/25/60(1)(3) | 257 | 260 | |
2014-1A, A 144A 3.750%, 1/25/54(1)(3) | 763 | 807 | |
2014-2A, A3 144A 3.750%, 5/25/54(1)(3) | 71 | 75 | |
2014-3A, AFX3 144A 3.750%, 11/25/54(1)(3) | 1,868 | 1,990 | |
2015-2A, A1 144A 3.750%, 8/25/55(1)(3) | 860 | 912 | |
2016-1A, A1 144A 3.750%, 3/25/56(1)(3) | 508 | 536 | |
2016-2A, A1 144A 3.750%, 11/26/35(1)(3) | 1,208 | 1,280 | |
2016-3A, A1 144A 3.750%, 9/25/56(1)(3) | 519 | 553 | |
2016-4A, A1 144A 3.750%, 11/25/56(1)(3) | 2,205 | 2,347 | |
2018-1A, A1A 144A 4.000%, 12/25/57(1)(3) | 1,727 | 1,843 | |
2019-NQM4, A1 144A 2.492%, 9/25/59(1)(3) | 863 | 877 | |
2020-1A, A1B 144A 3.500%, 10/25/59(1)(3) | 1,409 | 1,487 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%) 1.834%, 3/25/35(3) | 276 | 277 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(1)(3) | 205 | 213 | |
2018-1, A2 (1 month LIBOR + 0.650%) 144A 0.759%, 6/25/57(1)(3) | 207 | 207 | |
2018-EXP2, 1A1 144A 4.000%, 7/25/58(1)(3) | 525 | 531 | |
2019-EXP3, 1A8 144A 3.500%, 10/25/59(1)(3) | 590 | 602 | |
2021-NQM1, A1 144A 1.072%, 2/25/66(1)(3)(5) | 965 | 966 | |
Preston Ridge Partners Mortgage LLC | |||
2020-1A, A1 144A 2.981%, 2/25/25(1)(3) | 919 | 921 | |
2020-3, A1 144A 2.857%, 9/25/25(1)(3) | 1,979 | 1,994 | |
Pretium Mortgage Credit Partners I LLC 2021-NPL1, A1 144A 2.240%, 9/27/60(1)(3)(5) | 750 | 750 |
Par Value | Value | ||
Non-Agency—continued | |||
Progress Residential Trust | |||
2017-SFR1, B 144A 3.017%, 8/17/34(1) | $ 690 | $ 694 | |
2018-SFR2, B 144A 3.841%, 8/17/35(1) | 1,750 | 1,759 | |
2018-SFR3, A 144A 3.880%, 10/17/35(1) | 1,662 | 1,686 | |
2019-SFR2, A 144A 3.147%, 5/17/36(1) | 1,211 | 1,238 | |
2019-SFR3, B 144A 2.571%, 9/17/36(1) | 685 | 692 | |
2020-SFR2, A 144A 2.078%, 6/17/37(1) | 1,500 | 1,532 | |
2020-SFR3, A 144A 1.294%, 10/17/27(1) | 345 | 342 | |
2021-SFR1, C 144A 1.555%, 4/17/38(1) | 1,050 | 1,023 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(1)(3) | 218 | 221 | |
Provident Funding Mortgage Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.150%) 144A 1.260%, 2/25/55(1)(3)(5) | 1,160 | 1,159 | |
PSMC Trust 2018-2, A1 144A 3.500%, 6/25/48(1)(3) | 409 | 414 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(1)(3) | 858 | 874 | |
RCO V Mortgage LLC 2019-2, A1 144A 3.475%, 11/25/24(1)(3) | 1,156 | 1,162 | |
Residential Mortgage Loan Trust | |||
2020-1, A1 144A 2.376%, 2/25/24(1)(3) | 2,324 | 2,351 | |
2019-2, A1 144A 2.913%, 5/25/59(1)(3) | 277 | 282 | |
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(1)(3) | 1,254 | 1,272 | |
Spruce Hill Mortgage Loan Trust | |||
2019-SH1, A1 144A 3.395%, 4/29/49(1)(3) | 1,218 | 1,236 | |
2020-SH1, A1 144A 2.521%, 1/28/50(1)(3) | 573 | 583 | |
STAR Trust 2021-1, A1 144A 1.219%, 5/25/65(1)(3)(5) | 2,175 | 2,175 | |
Starwood Mortgage Residential Trust | |||
2019-IMC1, A1 144A 3.468%, 2/25/49(1)(3) | 871 | 871 | |
2020-1, A1 144A 2.275%, 2/25/50(1)(3) | 669 | 681 | |
2020-2, A1 144A 2.718%, 4/25/60(1)(3) | 4,720 | 4,801 | |
2020-3, A1 144A 1.486%, 4/25/65(1)(3) | 632 | 639 |
Par Value | Value | ||
Non-Agency—continued | |||
Structured Adjustable Rate Mortgage Loan Trust 2004-14, 7A 2.524%, 10/25/34(3) | $ 87 | $ 89 | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates 2003-34A, 6A 2.521%, 11/25/33(3) | 162 | 158 | |
Towd Point Mortgage Trust | |||
2015-3, A1B 144A 3.000%, 3/25/54(1)(3) | 6 | 6 | |
2015-4, M1 144A 3.750%, 4/25/55(1)(3) | 526 | 550 | |
2015-5, A2 144A 3.500%, 5/25/55(1)(3) | 275 | 280 | |
2018-4, A1 144A 3.000%, 6/25/58(1)(3) | 172 | 179 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(1)(3) | 520 | 520 | |
2019-1, A1 144A 3.735%, 3/25/58(1)(3) | 514 | 544 | |
2020-MH1, A2 144A 2.500%, 2/25/60(1)(3) | 830 | 835 | |
Towd Point Trust | |||
2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 1.009%, 4/25/48(1)(3) | 1,323 | 1,325 | |
2021-HE1, M1 144A 1.500%, 2/25/63(1)(3) | 1,502 | 1,508 | |
Tricon American Homes Trust 2017-SFR1, A 144A 2.716%, 9/17/34(1) | 2,481 | 2,498 | |
VCAT LLC 2021-NPL2, A1 144A 2.115%, 3/27/51(1)(3) | 1,290 | 1,290 | |
Velocity Commercial Capital Loan Trust 2017-1, AFX 144A 3.000%, 5/25/47(1)(3) | 1 | 1 | |
Vericrest Opportunity Loan Trust 2020-NPL2, A1A 144A 2.981%, 2/25/50(1)(3) | 619 | 621 | |
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(1)(3) | 1,385 | 1,385 | |
Vericrest Opportunity Loan Trust XCIV LLC 2021-NPL3, A1 144A 2.240%, 2/27/51(1)(3) | 462 | 462 | |
Vericrest Opportunity Loan Trust XCV LLC 2021-NPL4, A1 144A 2.240%, 3/27/51(1)(3) | 645 | 645 | |
Verus Securitization Trust | |||
2019-2, A1 144A 3.211%, 5/25/59(1)(3) | 2,475 | 2,481 | |
2019-INV1, A1 144A 3.402%, 12/25/59(1)(3) | 442 | 447 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-INV2, A1 144A 2.913%, 7/25/59(1)(3) | $3,122 | $ 3,181 | |
2020-1, A1 144A 2.417%, 1/25/60(1)(3) | 1,664 | 1,682 | |
2020-4, A1 144A 1.502%, 5/25/65(1)(3) | 3,984 | 4,016 | |
2021-1, A1 144A 0.815%, 1/25/66(1)(3) | 1,374 | 1,369 | |
2021-R1, A1 144A 0.820%, 10/25/63(1)(3) | 1,858 | 1,857 | |
2021-R2, A1 144A 0.918%, 2/25/64(1)(3)(5) | 780 | 780 | |
Visio Trust 2019-1, A1 144A 3.572%, 6/25/54(1)(3) | 1,428 | 1,437 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 485 | 513 | |
Wells Fargo Mortgage Backed Securities Trust | |||
2004-K, 1A2 2.990%, 7/25/34(3) | 64 | 64 | |
2004-U, A1 3.273%, 10/25/34(3) | 23 | 23 | |
2020-4, A1 144A 3.000%, 7/25/50(1)(3) | 670 | 682 | |
206,498 | |||
Total Mortgage-Backed Securities (Identified Cost $208,946) | 210,293 | ||
Asset-Backed Securities—33.1% | |||
Automobiles—18.2% | |||
ACC Trust | |||
2019-1, A 144A 3.750%, 5/20/22(1) | 134 | 135 | |
2019-2, A 144A 2.820%, 2/21/23(1) | 2,047 | 2,060 | |
2020-A, A 144A 6.000%, 3/20/23(1) | 1,023 | 1,054 | |
American Credit Acceptance Receivables Trust | |||
2018-3, C 144A 3.750%, 10/15/24(1) | 116 | 116 | |
2018-4, C 144A 3.970%, 1/13/25(1) | 444 | 447 | |
2019-1, C 144A 3.500%, 4/14/25(1) | 1,032 | 1,046 | |
2019-2, C 144A 3.170%, 6/12/25(1) | 1,040 | 1,054 | |
2020-4, D 144A 1.770%, 12/14/26(1) | 1,280 | 1,301 | |
2021-1, C 144A 0.830%, 3/15/27(1) | 1,710 | 1,704 | |
AmeriCredit Automobile Receivables Trust | |||
2017-1, C 2.710%, 8/18/22 | 320 | 321 | |
2018-1, D 3.820%, 3/18/24 | 975 | 1,021 |
Par Value | Value | ||
Automobiles—continued | |||
2019-1, C 3.360%, 2/18/25 | $1,200 | $1,252 | |
2020-3, C 1.060%, 8/18/26 | 2,140 | 2,145 | |
Arivo Acceptance Auto Loan Receivables Trust 2021-1A, A 144A 1.190%, 1/15/27(1) | 1,548 | 1,554 | |
Avis Budget Rental Car Funding LLC | |||
(AESOP) 2016-1A, A 144A 2.990%, 6/20/22(1) | 400 | 401 | |
(AESOP) 2017-1A, A 144A 3.070%, 9/20/23(1) | 1,110 | 1,145 | |
(AESOP) 2019-3A, A 144A 2.360%, 3/20/26(1) | 1,270 | 1,321 | |
(AESOP) 2020-1A, A 144A 2.330%, 8/20/26(1) | 1,475 | 1,531 | |
Capital Auto Receivables Asset Trust 2017-1, C 144A 2.700%, 9/20/22(1) | 920 | 926 | |
CarMax Auto Owner Trust 2019-1, C 3.740%, 1/15/25 | 1,175 | 1,238 | |
CarNow Auto Receivables Trust | |||
2019-1A, A 144A 2.720%, 11/15/22(1) | 213 | 214 | |
2020-1A, B 144A 2.710%, 7/17/23(1) | 1,420 | 1,436 | |
2020-1A, C 144A 3.840%, 9/16/24(1) | 730 | 747 | |
Carvana Auto Receivables Trust | |||
2019-1A, D 144A 3.880%, 10/15/24(1) | 1,195 | 1,244 | |
2019-1A, E 144A 5.640%, 1/15/26(1) | 1,480 | 1,575 | |
2019-2A, D 144A 3.280%, 1/15/25(1) | 470 | 488 | |
2019-3A, C 144A 2.710%, 10/15/24(1) | 1,580 | 1,624 | |
2019-3A, D 144A 3.040%, 4/15/25(1) | 1,445 | 1,498 | |
2020-N1A, D 144A 3.430%, 1/15/26(1) | 1,270 | 1,323 | |
2020-P1, B 0.920%, 11/9/26 | 1,340 | 1,322 | |
2021-N1, C 1.300%, 1/10/28 | 1,610 | 1,609 | |
CPS Auto Receivables Trust | |||
2018-C, D 144A 4.400%, 6/17/24(1) | 905 | 933 | |
2018-D, D 144A 4.340%, 9/16/24(1) | 1,450 | 1,503 |
Par Value | Value | ||
Automobiles—continued | |||
2020-A, C 144A 2.540%, 12/15/25(1) | $1,225 | $1,252 | |
2020-C, C 144A 1.710%, 8/17/26(1) | 1,265 | 1,288 | |
2021-A, B 144A 0.610%, 2/18/25(1) | 1,435 | 1,435 | |
Credit Acceptance Auto Loan Trust | |||
2019-1A, A 144A 3.330%, 2/15/28(1) | 1,228 | 1,244 | |
2019-3A, B 144A 2.860%, 1/16/29(1) | 1,180 | 1,227 | |
2021-2A, A 144A 0.960%, 2/15/30(1) | 605 | 604 | |
Drive Auto Receivables Trust | |||
2018-4, D 4.090%, 1/15/26 | 220 | 228 | |
2019-3, C 2.900%, 8/15/25 | 1,255 | 1,285 | |
2019-4, C 2.510%, 11/17/25 | 1,120 | 1,143 | |
DT Auto Owner Trust | |||
2019-1A, C 144A 3.610%, 11/15/24(1) | 800 | 810 | |
2019-2A, B 144A 2.990%, 4/17/23(1) | 721 | 724 | |
2019-2A, C 144A 3.180%, 2/18/25(1) | 1,040 | 1,057 | |
2019-4A, C 144A 2.730%, 7/15/25(1) | 1,390 | 1,419 | |
2020-2A, C 144A 3.280%, 3/16/26(1) | 1,335 | 1,399 | |
Exeter Automobile Receivables Trust | |||
2017-3A, D 144A 5.280%, 10/15/24(1) | 1,580 | 1,642 | |
2018-2A, C 144A 3.690%, 3/15/23(1) | 104 | 104 | |
2018-3A, C 144A 3.710%, 6/15/23(1) | 451 | 453 | |
2018-4A, D 144A 4.350%, 9/16/24(1) | 1,365 | 1,419 | |
2019-2A, E 144A 4.680%, 5/15/26(1) | 1,605 | 1,697 | |
2019-3A, C 144A 2.790%, 5/15/24(1) | 1,060 | 1,080 | |
2019-4A, C 144A 2.440%, 9/16/24(1) | 1,370 | 1,392 | |
2020-1A, D 144A 2.730%, 12/15/25(1) | 1,225 | 1,262 | |
FHF Trust 2020-1A, A 144A 2.590%, 12/15/23(1) | 1,237 | 1,246 | |
First Investors Auto Owner Trust | |||
2017-1A, D 144A 3.600%, 4/17/23(1) | 880 | 891 | |
2018-1A, D 144A 4.110%, 6/17/24(1) | 1,175 | 1,209 | |
2019-1A, C 144A 3.260%, 3/17/25(1) | 1,240 | 1,275 |
Par Value | Value | ||
Automobiles—continued | |||
2021-1A, B 144A 0.890%, 3/15/27(1) | $2,150 | $2,150 | |
Flagship Credit Auto Trust | |||
2016-3, D 144A 3.890%, 11/15/22(1) | 1,189 | 1,201 | |
2019-2, C 144A 3.090%, 5/15/25(1) | 1,250 | 1,299 | |
2020-1, C 144A 2.240%, 1/15/26(1) | 1,490 | 1,535 | |
2020-3, C 144A 1.730%, 9/15/26(1) | 1,205 | 1,229 | |
2021-1, C 144A 0.910%, 3/15/27(1) | 1,790 | 1,778 | |
Foursight Capital Automobile Receivables Trust 2019-1, E 144A 4.300%, 9/15/25(1) | 1,290 | 1,358 | |
GLS Auto Receivables Issuer Trust | |||
2019-1A, B 144A 3.650%, 12/16/24(1) | 1,250 | 1,266 | |
2019-2A, B 144A 3.320%, 3/15/24(1) | 1,240 | 1,262 | |
2019-3A, B 144A 2.720%, 6/17/24(1) | 1,285 | 1,312 | |
2019-4A, B 144A 2.780%, 9/16/24(1) | 1,400 | 1,434 | |
2019-4A, C 144A 3.060%, 8/15/25(1) | 2,730 | 2,840 | |
2019-4A, D 144A 4.090%, 8/17/26(1) | 670 | 696 | |
2020-1A, B 144A 2.430%, 11/15/24(1) | 1,810 | 1,855 | |
2020-2A, B 144A 3.160%, 6/16/25(1) | 1,385 | 1,447 | |
2020-4A, C 144A 1.140%, 11/17/25(1) | 1,615 | 1,622 | |
GLS Auto Receivables Trust | |||
2017-1A, C 144A 3.500%, 7/15/22(1) | 135 | 135 | |
2018-3A, B 144A 3.780%, 8/15/23(1) | 157 | 159 | |
2018-3A, C 144A 4.180%, 7/15/24(1) | 1,790 | 1,855 | |
Hertz Vehicle Financing II LP | |||
2015-3A, A 144A 2.670%, 9/25/21(1) | 133 | 133 | |
2016-4A, A 144A 2.650%, 7/25/22(1) | 289 | 291 | |
2018-1A, A 144A 3.290%, 2/25/24(1) | 82 | 82 | |
2019-1A, A 144A 3.710%, 3/25/23(1) | 536 | 538 | |
OneMain Direct Auto Receivables Trust | |||
2018-1A, A 144A 3.430%, 12/16/24(1) | 459 | 462 | |
2018-1A, C 144A 3.850%, 10/14/25(1) | 1,130 | 1,149 |
Par Value | Value | ||
Automobiles—continued | |||
Oscar US Funding XII LLC 2021-1A, A4 144A 1.000%, 4/10/28(1) | $1,140 | $ 1,133 | |
Santander Consumer Auto Receivables Trust 2021-AA, C 144A 1.030%, 11/16/26(1) | 590 | 585 | |
Santander Drive Auto Receivables Trust | |||
2018-2, C 3.350%, 7/17/23 | 298 | 300 | |
2020-4, C 1.010%, 1/15/26 | 2,385 | 2,393 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(1) | 2,030 | 2,083 | |
Tesla Auto Lease Trust | |||
2018-B, B 144A 4.120%, 10/20/21(1) | 925 | 933 | |
2020-A, C 144A 1.680%, 2/20/24(1) | 1,205 | 1,221 | |
Tidewater Auto Receivables Trust 2020-AA, C 144A 1.910%, 9/15/26(1) | 1,530 | 1,559 | |
United Auto Credit Securitization Trust | |||
2019-1, D 144A 3.470%, 8/12/24(1) | 1,035 | 1,047 | |
2019-1, E 144A 4.290%, 8/12/24(1) | 1,500 | 1,532 | |
2020-1, C 144A 2.150%, 2/10/25(1) | 1,410 | 1,428 | |
2021-1, D 144A 1.140%, 6/10/26(1) | 1,840 | 1,837 | |
US Auto Funding LLC 2019-1A, B 144A 3.990%, 12/15/22(1) | 711 | 718 | |
USASF Receivables LLC 2020-1A, B 144A 3.220%, 5/15/24(1) | 1,855 | 1,894 | |
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(1) | 1,270 | 1,282 | |
Westlake Automobile Receivables Trust | |||
2018-2A, D 144A 4.000%, 1/16/24(1) | 1,285 | 1,302 | |
2018-3A, C 144A 3.610%, 10/16/23(1) | 877 | 882 | |
2018-3A, D 144A 4.000%, 10/16/23(1) | 1,435 | 1,473 | |
2020-2A, C 144A 2.010%, 7/15/25(1) | 1,645 | 1,683 | |
2020-3A, C 144A 1.240%, 11/17/25(1) | 1,275 | 1,286 | |
121,732 | |||
Par Value | Value | ||
Consumer Loans—1.6% | |||
Affirm Asset Securitization Trust 2021-A, A 144A 0.880%, 8/15/25(1) | $ 945 | $ 946 | |
CFMT Issuer Trust 2021-GRN1, A 144A 1.100%, 3/20/41(1) | 1,733 | 1,732 | |
LL ABS Trust 2020-1A, A 144A 2.330%, 1/17/28(1) | 852 | 858 | |
Marlette Funding Trust 2019-4A, A 144A 2.390%, 12/17/29(1) | 449 | 452 | |
Oportun Funding IX LLC 2018-B, A 144A 3.910%, 7/8/24(1) | 905 | 906 | |
Oportun Funding XIV LLC 2021-A, A 144A 1.210%, 3/8/28(1) | 1,955 | 1,954 | |
Prosper Marketplace Issuance Trust Series 2019-4A, A 144A 2.480%, 2/17/26(1) | 223 | 224 | |
Regional Management Issuance Trust 2021-1, A 144A 1.680%, 3/17/31(1) | 1,815 | 1,809 | |
Upstart Securitization Trust | |||
2019-3, A 144A 2.684%, 1/21/30(1) | 479 | 482 | |
2020-3, A 144A 1.702%, 11/20/30(1) | 1,020 | 1,028 | |
10,391 | |||
Credit Card—1.0% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(1) | 2,435 | 2,462 | |
Genesis Private Label Amortizing Trust 2020-1, B 144A 2.830%, 7/20/30(1) | 1,380 | 1,386 | |
Genesis Sales Finance Master Trust 2020-AA, A 144A 1.650%, 9/22/25(1) | 1,325 | 1,333 | |
Mercury Financial Credit Card Master Trust 2021-1A, A 144A 1.540%, 3/20/26(1) | 1,620 | 1,620 | |
6,801 | |||
Equipment—1.4% | |||
BCC Funding Corp. XVI LLC 2019-1A, B 144A 2.640%, 9/20/24(1) | 1,370 | 1,384 | |
BCC Funding XVII LLC 2020-1, B 144A 1.460%, 9/22/25(1) | 1,280 | 1,282 |
Par Value | Value | ||
Equipment—continued | |||
CLI Funding VI LLC 2020-1A, A 144A 2.080%, 9/18/45(1) | $1,522 | $1,518 | |
NMEF Funding LLC | |||
2019-A, A 144A 2.730%, 8/17/26(1) | 385 | 387 | |
2019-A, B 144A 3.060%, 8/17/26(1) | 1,205 | 1,227 | |
2021-A, B 144A 1.850%, 12/15/27(1) | 1,400 | 1,396 | |
Pawnee Equipment Receivables Series LLC | |||
2019-1, B 144A 2.520%, 10/15/24(1) | 1,365 | 1,380 | |
2020-1, A 144A 1.370%, 11/17/25(1) | 948 | 951 | |
9,525 | |||
Other—10.3% | |||
Amur Equipment Finance Receivables V LLC 2018-1A, A2 144A 3.240%, 12/20/23(1) | 109 | 109 | |
Amur Equipment Finance Receivables VI LLC 2018-2A, A2 144A 3.890%, 7/20/22(1) | 399 | 405 | |
Amur Equipment Finance Receivables VIII LLC 2020-1A, B 144A 2.500%, 3/20/26(1) | 1,633 | 1,671 | |
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(1) | 286 | 294 | |
2019-A, A 144A 3.140%, 7/16/40(1) | 1,505 | 1,544 | |
2019-A, C 144A 4.010%, 7/16/40(1) | 1,450 | 1,533 | |
2020-AA, B 144A 2.790%, 7/17/46(1) | 1,355 | 1,382 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(1) | 1,189 | 1,212 | |
Bankers Healthcare Group Securitization Trust 2020-A, A 144A 2.560%, 9/17/31(1) | 904 | 906 | |
BRE Grand Islander Timeshare Issuer LLC | |||
2017-1A, A 144A 2.940%, 5/25/29(1) | 286 | 293 | |
2019-A, A 144A 3.280%, 9/26/33(1) | 775 | 811 | |
BXG Receivables Note Trust | |||
2013-A, A 144A 3.010%, 12/4/28(1) | 315 | 315 | |
2015-A, A 144A 2.880%, 5/2/30(1) | 104 | 105 | |
2020-A, B 144A 2.490%, 2/28/36(1) | 1,112 | 1,119 |
Par Value | Value | ||
Other—continued | |||
CCG Receivables Trust | |||
2019-2, B 144A 2.550%, 3/15/27(1) | $1,185 | $1,218 | |
2021-1, C 144A 0.840%, 6/14/27(1) | 1,510 | 1,500 | |
Consumer Loan Underlying Bond CLUB Credit Trust | |||
2019-P2, A 144A 2.470%, 10/15/26(1) | 207 | 208 | |
2020-P1, B 144A 2.920%, 3/15/28(1) | 1,175 | 1,197 | |
Consumer Loan Underlying Bond Credit Trust 2019-P1, B 144A 3.280%, 7/15/26(1) | 1,275 | 1,291 | |
Crossroads Asset Trust | |||
2021-A, A2 144A 0.820%, 3/20/24(1) | 2,100 | 2,100 | |
2021-A, B 144A 1.120%, 6/20/25(1) | 1,350 | 1,347 | |
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(1) | 1,114 | 1,134 | |
Dext ABS LLC 2020-1, A 144A 1.460%, 2/16/27(1) | 1,865 | 1,870 | |
Diamond Resorts Owner Trust | |||
2017-1A, A 144A 3.270%, 10/22/29(1) | 571 | 582 | |
2019-1A, B 144A 3.530%, 2/20/32(1) | 1,328 | 1,361 | |
Foundation Finance Trust | |||
2017-1A, A 144A 3.300%, 7/15/33(1) | 1,200 | 1,221 | |
2019-1A, A 144A 3.860%, 11/15/34(1) | 1,385 | 1,433 | |
2021-1A, A 144A 1.270%, 5/15/41(1) | 1,605 | 1,597 | |
FREED ABS Trust 2019-2, B 144A 3.190%, 11/18/26(1) | 1,370 | 1,392 | |
Gold Key Resorts LLC 2014-A, A 144A 3.220%, 3/17/31(1) | 51 | 52 | |
GoldentTree Loan Management US CLO 1 Ltd. 2021-9A, A (3 month LIBOR + 1.070%) 144A 1.195%, 1/20/33(1)(3) | 1,435 | 1,435 | |
Hardee’s Funding LLC 2020-1A, A2 144A 3.981%, 12/20/50(1) | 1,317 | 1,359 | |
Hilton Grand Vacations Trust | |||
2017-AA, A 144A 2.660%, 12/26/28(1) | 249 | 256 | |
2018-AA, A 144A 3.540%, 2/25/32(1) | 581 | 613 | |
2020-AA, A 144A 2.740%, 2/25/39(1) | 758 | 788 |
Par Value | Value | ||
Other—continued | |||
HIN Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(1) | $1,277 | $1,325 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(1) | 1,875 | 1,982 | |
Lendmark Funding Trust 2018-2A, A 144A 4.230%, 4/20/27(1) | 1,425 | 1,453 | |
Mariner Finance Issuance Trust | |||
2019-AA, A 144A 2.960%, 7/20/32(1) | 1,045 | 1,068 | |
2020-AA, A 144A 2.190%, 8/21/34(1) | 1,090 | 1,106 | |
Marlette Funding Trust 2019-2A, A 144A 3.130%, 7/16/29(1) | 207 | 209 | |
MVW LLC 2020-1A, A 144A 1.740%, 10/20/37(1) | 1,193 | 1,213 | |
MVW Owner Trust | |||
2015-1A, B 144A 2.960%, 12/20/32(1) | 68 | 69 | |
2016-1A, A 144A 2.250%, 12/20/33(1) | 348 | 352 | |
2019-1A, A 144A 2.890%, 11/20/36(1) | 660 | 677 | |
Oasis LLC 2020-1A, A 144A 3.820%, 1/15/32(1) | 519 | 522 | |
Oasis Securitization Funding LLC 2021-1A, A 144A 2.579%, 2/15/33(1) | 1,955 | 1,955 | |
Octane Receivables Trust | |||
2019-1A, A 144A 3.160%, 9/20/23(1) | 440 | 445 | |
2019-1A, C 144A 4.740%, 6/20/25(1) | 1,715 | 1,801 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(1) | 1,829 | 1,835 | |
Orange Lake Timeshare Trust | |||
2015-AA, A 144A 2.880%, 9/8/27(1) | 71 | 71 | |
2018-A, A 144A 3.100%, 11/8/30(1) | 112 | 115 | |
2019-A, B 144A 3.360%, 4/9/38(1) | 705 | 730 | |
Palmer Square Loan Funding Ltd. 2021-1A, A1 (3 month LIBOR + 0.900%) 144A 1.055%, 4/20/29(1)(3) | 1,390 | 1,391 | |
Planet Fitness Master Issuer LLC 2018-1A, A2II 144A 4.666%, 9/5/48(1) | 1,570 | 1,604 |
Par Value | Value | ||
Other—continued | |||
Republic Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(1) | $1,020 | $1,038 | |
Sierra Timeshare Receivables Funding LLC | |||
2017-1A, A 144A 2.910%, 3/20/34(1) | 256 | 260 | |
2018-2A, A 144A 3.500%, 6/20/35(1) | 261 | 271 | |
2019-1A, B 144A 3.420%, 1/20/36(1) | 457 | 472 | |
2019-2A, B 144A 2.820%, 5/20/36(1) | 469 | 477 | |
2020-2A, B 144A 2.320%, 7/20/37(1) | 904 | 920 | |
Small Business Lending Trust | |||
2019-A, A 144A 2.850%, 7/15/26(1) | 226 | 226 | |
2020-A, A 144A 2.620%, 12/15/26(1) | 417 | 419 | |
SoFi Consumer Loan Program LLC | |||
2017-5, A2 144A 2.780%, 9/25/26(1) | 80 | 80 | |
2017-6, A2 144A 2.820%, 11/25/26(1) | 22 | 22 | |
Towd Point Mortgage Trust 2019-MH1, A1 144A 3.000%, 11/25/58(1)(3) | 800 | 819 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(1) | 1,167 | 1,194 | |
TRIP Rail Master Funding LLC 2017-1A, A1 144A 2.709%, 8/15/47(1) | 208 | 208 | |
Upstart Pass-Through Trust 2020-ST1, A 144A 3.750%, 2/20/28(1) | 639 | 657 | |
Upstart Securitization Trust | |||
2019-2, A 144A 2.897%, 9/20/29(1) | 241 | 242 | |
2021-1, A 144A 0.870%, 3/20/31(1) | 1,436 | 1,437 | |
Venture 41 CLO Ltd. 2021-41A, A1N (3 month LIBOR + 1.330%) 144A 1.533%, 1/20/34(1)(3) | 1,395 | 1,393 | |
VSE VOI Mortgage LLC | |||
2016-A, A 144A 2.540%, 7/20/33(1) | 301 | 303 | |
2017-A, A 144A 2.330%, 3/20/35(1) | 298 | 304 | |
Welk Resorts LLC | |||
2013-AA, A 144A 3.100%, 3/15/29(1) | 15 | 15 | |
2015-AA, A 144A 2.790%, 6/16/31(1) | 491 | 492 |
Par Value | Value | ||
Other—continued | |||
Westgate Resorts LLC | |||
2018-1A, A 144A 3.380%, 12/20/31(1) | $ 573 | $ 580 | |
2020-1A, A 144A 2.713%, 3/20/34(1) | 1,191 | 1,217 | |
68,622 | |||
Student Loan—0.6% | |||
Commonbond Student Loan Trust | |||
2017-AGS, A1 144A 2.550%, 5/25/41(1) | 209 | 214 | |
2019-AGS, A1 144A 2.540%, 1/25/47(1) | 800 | 820 | |
2020-1, A 144A 1.690%, 10/25/51(1) | 607 | 607 | |
Earnest Student Loan Program LLC 2017-A, A2 144A 2.650%, 1/25/41(1) | 130 | 131 | |
Navient Private Education Loan Trust 2017-A, A2A 144A 2.880%, 12/16/58(1) | 558 | 567 | |
Navient Private Education Refi Loan Trust 2021-A, A 144A 0.840%, 5/15/69(1) | 1,654 | 1,649 | |
SoFi Professional Loan Program LLC 2016-A, A2 144A 2.760%, 12/26/36(1) | 94 | 96 | |
4,084 | |||
Total Asset-Backed Securities (Identified Cost $218,367) | 221,155 | ||
Corporate Bonds and Notes—16.9% | |||
Communication Services—0.9% | |||
AT&T, Inc. (3 month LIBOR + 0.890%) 1.084%, 2/15/23(3) | 475 | 480 | |
Diamond Sports Group LLC 144A 5.375%, 8/15/26(1) | 470 | 339 | |
Level 3 Financing, Inc. 144A 4.625%, 9/15/27(1) | 490 | 504 | |
Sprint Spectrum Co. LLC 144A 3.360%, 9/20/21(1) | 300 | 302 | |
T-Mobile USA, Inc. | |||
3.375%, 4/15/29 | 310 | 312 | |
144A 1.500%, 2/15/26(1) | 475 | 470 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(1) | 740 | 800 |
Par Value | Value | ||
Communication Services—continued | |||
Verizon Communications, Inc. | |||
1.450%, 3/20/26 | $1,090 | $1,090 | |
2.100%, 3/22/28 | 820 | 824 | |
(3 month LIBOR + 1.100%) 1.298%, 5/15/25(3) | 1,226 | 1,254 | |
6,375 | |||
Consumer Discretionary—1.0% | |||
Daimler Finance North America LLC 144A 2.200%, 10/30/21(1) | 1,195 | 1,208 | |
Ford Motor Co. 9.000%, 4/22/25 | 1,146 | 1,388 | |
General Motors Financial Co., Inc. | |||
3.200%, 7/6/21 | 975 | 979 | |
1.250%, 1/8/26 | 840 | 824 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(1) | 905 | 958 | |
MGM Growth Properties Operating Partnership LP 144A 4.625%, 6/15/25(1) | 170 | 179 | |
Nissan Motor Co. Ltd. 144A 4.345%, 9/17/27(1) | 1,010 | 1,098 | |
6,634 | |||
Consumer Staples—0.4% | |||
BAT Capital Corp. 2.259%, 3/25/28 | 1,565 | 1,541 | |
Kraft Heinz Foods Co. 3.875%, 5/15/27 | 820 | 893 | |
Vector Group Ltd. 144A 5.750%, 2/1/29(1) | 195 | 201 | |
2,635 | |||
Energy—1.4% | |||
Aker BP ASA 144A 2.875%, 1/15/26(1) | 755 | 780 | |
Boardwalk Pipelines LP 4.950%, 12/15/24 | 955 | 1,069 | |
BP Capital Markets plc 4.875% (4) | 790 | 846 | |
Chesapeake Energy Corp. 144A 5.500%, 2/1/26(1) | 925 | 963 | |
Energy Transfer Operating LP 4.250%, 3/15/23 | 380 | 401 | |
Energy Transfer Partners LP 4.500%, 11/1/23 | 310 | 334 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(1) | 905 | 974 | |
144A 6.500%, 7/1/27(1) | 140 | 152 | |
Kinder Morgan, Inc. 3.150%, 1/15/23 | 1,005 | 1,049 |
Par Value | Value | ||
Energy—continued | |||
Occidental Petroleum Corp. 5.500%, 12/1/25 | $ 25 | $ 27 | |
Petroleos Mexicanos | |||
4.625%, 9/21/23 | 855 | 882 | |
6.500%, 3/13/27 | 520 | 543 | |
Sabine Pass Liquefaction LLC 6.250%, 3/15/22 | 1,475 | 1,532 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(1) | 196 | 171 | |
9,723 | |||
Financials—6.0% | |||
Ares Capital Corp. 3.500%, 2/10/23 | 740 | 772 | |
Athene Global Funding 144A 2.450%, 8/20/27(1) | 1,540 | 1,558 | |
Banco BBVA Peru S.A. RegS 5.000%, 8/26/22(6) | 520 | 548 | |
Banco Santander Chile 144A 2.700%, 1/10/25(1) | 950 | 993 | |
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 144A 5.375%, 4/17/25(1) | 490 | 550 | |
Bank of America Corp. | |||
4.200%, 8/26/24 | 2,155 | 2,377 | |
3.950%, 4/21/25 | 1,395 | 1,530 | |
(3 month LIBOR + 0.770%) 0.965%, 2/5/26(3) | 705 | 708 | |
Brookfield Finance, Inc. 3.900%, 1/25/28 | 1,190 | 1,308 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 710 | 771 | |
Charles Schwab Corp. (The) | |||
Series G 5.375%(4) | 275 | 304 | |
Series H 4.000%(4) | 945 | 929 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 1,140 | 1,209 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 715 | 768 | |
(3 month LIBOR + 1.250%) 1.452%, 7/1/26(3) | 1,080 | 1,106 | |
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(1) | 1,430 | 1,467 | |
Goldman Sachs Group, Inc. (The) | |||
3.000%, 4/26/22 | 1,375 | 1,377 | |
(3 month LIBOR + 1.170%) 1.364%, 5/15/26(3) | 475 | 481 |
Par Value | Value | ||
Financials—continued | |||
(3 month LIBOR + 1.750%) 1.969%, 10/28/27(3) | $2,880 | $ 3,014 | |
ICAHN Enterprises LP 6.250%, 5/15/26 | 1,060 | 1,110 | |
JPMorgan Chase & Co. (3 month LIBOR + 0.900%) 1.118%, 4/25/23(3) | 1,520 | 1,531 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 1,405 | 1,384 | |
Lincoln National Corp. | |||
4.200%, 3/15/22 | 470 | 487 | |
(3 month LIBOR + 2.040%) 2.264%, 4/20/67(3) | 935 | 771 | |
Mizuho Financial Group, Inc. 2.273%, 9/13/21 | 565 | 570 | |
Morgan Stanley | |||
4.100%, 5/22/23 | 730 | 781 | |
3.875%, 4/29/24 | 655 | 715 | |
(3 month LIBOR + 0.930%) 1.152%, 7/22/22(3) | 725 | 727 | |
Navient Corp. 5.875%, 10/25/24 | 930 | 977 | |
Prudential Financial, Inc. 5.625%, 6/15/43 | 1,168 | 1,252 | |
Santander Holdings USA, Inc. 3.244%, 10/5/26 | 1,260 | 1,332 | |
Spirit Realty LP | |||
4.450%, 9/15/26 | 619 | 686 | |
2.100%, 3/15/28 | 534 | 519 | |
Turkiye Is Bankasi AS 144A 5.500%, 4/21/22(1) | 800 | 799 | |
UBS Group Funding Switzerland AG 144A 2.650%, 2/1/22(1) | 400 | 408 | |
Wells Fargo & Co. | |||
1.654%, 6/2/24 | 925 | 945 | |
4.100%, 6/3/26 | 1,810 | 2,012 | |
(3 month LIBOR + 1.230%) 1.442%, 10/31/23(3) | 1,175 | 1,193 | |
39,969 | |||
Health Care—0.9% | |||
AbbVie, Inc. | |||
2.300%, 5/14/21 | 495 | 495 | |
2.850%, 5/14/23 | 495 | 516 | |
HCA, Inc. 5.375%, 2/1/25 | 570 | 636 | |
Perrigo Finance Unlimited Co. 3.900%, 12/15/24 | 945 | 1,005 | |
Royalty Pharma plc | |||
144A 1.200%, 9/2/25(1) | 190 | 186 | |
144A 1.750%, 9/2/27(1) | 1,035 | 1,005 |
Par Value | Value | ||
Health Care—continued | |||
Tenet Healthcare Corp. | |||
4.625%, 7/15/24 | $ 550 | $ 561 | |
144A 7.500%, 4/1/25(1) | 70 | 76 | |
Utah Acquisition Sub, Inc. 3.950%, 6/15/26 | 1,280 | 1,410 | |
5,890 | |||
Industrials—1.6% | |||
Ashtead Capital, Inc. 144A 5.250%, 8/1/26(1) | 1,275 | 1,338 | |
Aviation Capital Group LLC 144A 3.875%, 5/1/23(1) | 1,058 | 1,104 | |
Boeing Co. (The) | |||
2.350%, 10/30/21 | 450 | 452 | |
4.875%, 5/1/25 | 335 | 373 | |
5.040%, 5/1/27 | 507 | 578 | |
CNH Industrial N.V. 4.500%, 8/15/23 | 899 | 974 | |
Dycom Industries, Inc. 144A 4.500%, 4/15/29(1) | 485 | 486 | |
GFL Environmental, Inc. 144A 3.750%, 8/1/25(1) | 1,360 | 1,380 | |
Howmet Aerospace, Inc. 6.875%, 5/1/25 | 965 | 1,118 | |
Spirit AeroSystems, Inc. 144A 5.500%, 1/15/25(1) | 1,260 | 1,333 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60 | 1,287 | 1,363 | |
10,499 | |||
Information Technology—1.8% | |||
Broadcom, Inc. | |||
3.150%, 11/15/25 | 1,135 | 1,210 | |
144A 1.950%, 2/15/28(1)(7) | 727 | 711 | |
Citrix Systems, Inc. 1.250%, 3/1/26 | 175 | 172 | |
Flex Ltd. 3.750%, 2/1/26 | 892 | 957 | |
Hewlett Packard Enterprise Co. | |||
2.250%, 4/1/23 | 660 | 680 | |
4.900%, 10/15/25 | 385 | 439 | |
(3 month LIBOR + 0.720%) 0.958%, 10/5/21(3) | 145 | 145 | |
Leidos, Inc. 144A 3.625%, 5/15/25(1) | 832 | 903 | |
Microchip Technology, Inc. 144A 2.670%, 9/1/23(1) | 1,165 | 1,213 | |
Open Text Corp. 144A 3.875%, 2/15/28(1) | 855 | 861 | |
Oracle Corp. 2.300%, 3/25/28 | 1,625 | 1,645 | |
SK Hynix, Inc. 144A 1.500%, 1/19/26(1) | 1,160 | 1,141 |
Par Value | Value | ||
Information Technology—continued | |||
Vontier Corp. | |||
144A 1.800%, 4/1/26(1) | $ 552 | $ 549 | |
144A 2.400%, 4/1/28(1) | 644 | 633 | |
Xerox Holdings Corp. 144A 5.000%, 8/15/25(1) | 515 | 537 | |
11,796 | |||
Materials—0.7% | |||
Ardagh Packaging Finance plc 144A 4.125%, 8/15/26(1) | 925 | 948 | |
Glencore Funding LLC 144A 1.625%, 9/1/25(1) | 1,275 | 1,274 | |
Nutrition & Biosciences, Inc. | |||
144A 1.230%, 10/1/25(1) | 643 | 632 | |
144A 1.832%, 10/15/27(1) | 693 | 678 | |
Silgan Holdings, Inc. 144A 1.400%, 4/1/26(1) | 1,113 | 1,089 | |
Syngenta Finance NV 144A 3.933%, 4/23/21(1) | 365 | 366 | |
4,987 | |||
Real Estate—0.8% | |||
GLP Capital LP 5.250%, 6/1/25 | 965 | 1,082 | |
iStar, Inc. 4.250%, 8/1/25 | 965 | 972 | |
Office Properties Income Trust | |||
4.150%, 2/1/22 | 915 | 935 | |
4.500%, 2/1/25 | 595 | 626 | |
Retail Opportunity Investments Partnership LP 5.000%, 12/15/23 | 405 | 436 | |
Service Properties Trust | |||
4.500%, 6/15/23 | 420 | 427 | |
4.650%, 3/15/24 | 430 | 430 | |
4.350%, 10/1/24 | 455 | 452 | |
5,360 | |||
Utilities—1.4% | |||
American Electric Power Co., Inc. Series N 1.000%, 11/1/25 | 395 | 387 | |
CenterPoint Energy, Inc. 3.850%, 2/1/24 | 630 | 682 | |
Dominion Energy, Inc. Series A 1.450%, 4/15/26 | 1,620 | 1,614 | |
DPL, Inc. 144A 4.125%, 7/1/25(1) | 605 | 641 | |
Exelon Corp. 3.497%, 6/1/22 | 864 | 891 | |
FirstEnergy Transmission LLC 144A 2.866%, 9/15/28(1) | 837 | 844 | |
NRG Energy, Inc. 144A 3.750%, 6/15/24(1) | 1,161 | 1,243 |
Par Value | Value | ||
Utilities—continued | |||
Pacific Gas and Electric Co. (3 month LIBOR + 1.375%) 1.573%, 11/15/21(3) | $1,377 | $ 1,380 | |
Southern Co. (The) 2.950%, 7/1/23 | 920 | 963 | |
TerraForm Power Operating LLC 144A 4.250%, 1/31/23(1) | 735 | 759 | |
9,404 | |||
Total Corporate Bonds and Notes (Identified Cost $110,935) | 113,272 | ||
Leveraged Loans(3)—7.5% | |||
Aerospace—0.5% | |||
American Airlines, Inc. (3 month LIBOR + 4.750%) 0.000%, 4/20/28(8) | 1,295 | 1,325 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27 | 890 | 945 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 2.359%, 5/30/25 | 226 | 221 | |
Tranche F (1 month LIBOR + 2.250%) 2.359%, 12/9/25 | 713 | 698 | |
3,189 | |||
Chemicals—0.6% | |||
Element Solutions, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 0.000%, 2/2/26(8) | 658 | 654 | |
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 2.109%, 4/1/24 | 1,062 | 1,049 | |
Ineos U.S. Petrochem LLC 2026, Tranche B (3 month LIBOR + 2.750%) 3.250%, 1/29/26 | 860 | 857 | |
Starfruit Finco B.V. (1 month LIBOR + 2.750%) 2.860%, 10/1/25 | 811 | 798 | |
Trinseo Materials Operating SCA Tranche B-2, First Lien (3 month LIBOR + 2.500%) 0.000%, 3/17/28(8) | 570 | 563 | |
3,921 | |||
Par Value | Value | ||
Consumer Durables—0.4% | |||
Resideo Funding, Inc. Tranche B (3 month LIBOR + 2.250%) 2.750%, 2/11/28 | $ 645 | $ 643 | |
Weber-Stephen Products LLC Tranche B (3 month LIBOR + 3.250%) 4.000%, 10/30/27 | 798 | 797 | |
Zodiac Pool Solutions LLC Tranche B1 (1 month LIBOR + 2.000%) 0.000%, 7/2/25(8) | 962 | 953 | |
2,393 | |||
Energy—0.0% | |||
Paragon Offshore Finance Co. (3 month PRIME + 0.000%) 3.250%, 7/16/21(5)(9) | 1 | — | |
Financial—0.4% | |||
Avolon TLB Borrower 1 US LLC Tranche B-5 (1 month LIBOR + 2.500%) 3.250%, 12/1/27 | 1,930 | 1,928 | |
Citadel Securities LP 2021 (3 month LIBOR + 2.500%) 2.615%, 2/2/28 | 665 | 657 | |
2,585 | |||
Food / Tobacco—0.4% | |||
Aramark Services, Inc. | |||
Tranche B-2 (1 month LIBOR + 1.750%) 1.859%, 3/28/24 | 212 | 211 | |
Tranche B-3 (1 month LIBOR + 1.750%) 1.859%, 3/11/25 | 345 | 341 | |
Tranche B-4 (1 month LIBOR + 1.750%) 1.859%, 1/15/27 | 213 | 209 | |
Hostess Brands LLC 2019, Tranche B (3 month LIBOR + 3.000%) 0.000%, 8/3/25(8) | 1,005 | 999 | |
JBS USA Lux S.A. (3 month LIBOR + 2.000%) 0.000%, 5/1/26(8) | 1,287 | 1,279 | |
3,039 | |||
Par Value | Value | ||
Forest Prod / Containers—0.3% | |||
Berry Global, Inc. Tranche Z (3 month LIBOR + 1.750%) 1.898%, 7/1/26 | $1,191 | $1,180 | |
Reynolds Group Holdings, Inc. (3 month LIBOR + 2.750%) 0.000%, 2/6/23(8) | 630 | 627 | |
1,807 | |||
Gaming / Leisure—0.9% | |||
Aristocrat Technologies, Inc. | |||
(3 month LIBOR + 3.750%) 4.750%, 10/19/24 | 249 | 249 | |
Tranche B-3 (3 month LIBOR + 1.750%) 0.000%, 10/19/24(8) | 965 | 959 | |
Boyd Gaming Corp. Tranche B (weekly LIBOR + 2.250%) 2.331%, 9/15/23 | 1,024 | 1,021 | |
CityCenter Holdings LLC (3 month LIBOR + 2.250%) 3.000%, 4/18/24 | 1,294 | 1,276 | |
Hilton Worldwide Finance LLC Tranche B-2 (3 month LIBOR + 1.750%) 1.868%, 6/22/26 | 1,413 | 1,399 | |
Playtika Holding Corp. Tranche B-1 (3 month LIBOR + 2.750%) 0.000%, 3/5/28(8) | 775 | 770 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.500%, 2/8/27 | 351 | 346 | |
6,020 | |||
Healthcare—1.1% | |||
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 2.859%, 11/27/25 | 154 | 153 | |
(1 month LIBOR + 3.000%) 3.109%, 6/2/25 | 349 | 348 | |
Catalent Pharma Solutions, Inc. Tranche B-3 (1 month LIBOR + 2.000%) 2.500%, 2/22/28 | 164 | 164 |
Par Value | Value | ||
Healthcare—continued | |||
Elanco Animal Health, Inc. (1 month LIBOR + 1.750%) 1.865%, 8/1/27 | $ 644 | $ 635 | |
Greatbatch Ltd. Tranche B (1 month LIBOR + 2.500%) 3.500%, 10/27/22 | 769 | 769 | |
HCA, Inc. Tranche B-13 (1 month LIBOR + 1.750%) 1.859%, 3/18/26 | 1,752 | 1,751 | |
Horizon Therapeutics USA, Inc Tranche B-2 (3 month LIBOR + 2.000%) 2.500%, 2/26/28 | 1,350 | 1,345 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 1.953%, 6/11/25 | 520 | 516 | |
PPD, Inc. (1 month LIBOR + 2.250%) 2.750%, 1/13/28 | 1,030 | 1,024 | |
Select Medical Corp. Tranche B (1 month LIBOR + 2.250%) 0.000%, 3/6/25(8) | 645 | 640 | |
7,345 | |||
Housing—0.3% | |||
SiteOne Landscape Supply LLC Tranche B (3 month LIBOR + 2.000%) 2.500%, 3/23/28 | 875 | 873 | |
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 2.109%, 11/21/24 | 1,287 | 1,281 | |
2,154 | |||
Information Technology—0.5% | |||
Dell International LLC Tranche B-2 (1 month LIBOR + 1.750%) 2.000%, 9/19/25 | 1,534 | 1,531 | |
Go Daddy Operating Co. LLC Tranche B-2 (1 month LIBOR + 1.750%) 0.000%, 2/15/24(8) | 1,310 | 1,300 | |
SS&C Technologies, Inc. Tranche B-5 (1 month LIBOR + 1.750%) 1.859%, 4/16/25 | 455 | 450 | |
3,281 | |||
Par Value | Value | ||
Manufacturing—0.3% | |||
Gardner Denver, Inc. Tranche A (1 month LIBOR + 2.750%) 2.859%, 3/1/27 | $ 35 | $ 35 | |
Gates Global LLC Tranche B-3 (1 month LIBOR + 2.750%) 0.000%, 3/31/27(8) | 963 | 959 | |
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 1.859%, 3/1/27 | 450 | 444 | |
NCR Corp. (3 month LIBOR + 2.500%) 2.720%, 8/28/26 | 790 | 780 | |
2,218 | |||
Media / Telecom - Broadcasting—0.1% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 2.615%, 9/18/26 | 903 | 895 | |
Media / Telecom - Cable/Wireless Video—0.4% | |||
Charter Communications Operating LLC Tranche B2 (1 month LIBOR + 1.750%) 1.870%, 2/1/27 | 810 | 806 | |
CSC Holdings LLC | |||
2018 (1 month LIBOR + 2.250%) 2.356%, 1/15/26 | 730 | 719 | |
2019 (1 month LIBOR + 2.500%) 2.606%, 4/15/27 | 277 | 273 | |
Virgin Media Bristol LLC Tranche B (3 month LIBOR + 3.250%) 0.000%, 1/31/29(8) | 925 | 922 | |
2,720 | |||
Media / Telecom - Diversified Media—0.2% | |||
Newco Financing Partnership Tranche AV1 (1 month LIBOR + 3.500%) 3.606%, 1/31/29 | 520 | 519 | |
UPC Financing Partnership Tranche AV (1 month LIBOR + 3.500%) 3.606%, 1/31/29 | 520 | 518 | |
1,037 | |||
Par Value | Value | ||
Media / Telecom - Telecommunications—0.2% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.359%, 3/15/27 | $ 834 | $ 825 | |
Level 3 Financing, Inc. 2027, Tranche B (1 month LIBOR + 1.750%) 1.859%, 3/1/27 | 440 | 434 | |
1,259 | |||
Media / Telecom - Wireless Communications—0.2% | |||
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 1.860%, 4/11/25 | 1,072 | 1,059 | |
Service—0.3% | |||
Trans Union LLC Tranche B-5 (1 month LIBOR + 1.750%) 1.859%, 11/16/26 | 687 | 682 | |
WEX, Inc. | |||
Tranche B, First Lien (3 month LIBOR + 2.250%) 0.000%, 3/20/28(8) | 485 | 483 | |
Tranche B-3 (3 month LIBOR + 2.250%) 0.000%, 5/15/26(8) | 957 | 953 | |
2,118 | |||
Transportation - Land Transportation—0.1% | |||
Genesee & Wyoming, Inc. (3 month LIBOR + 2.000%) 0.000%, 12/30/26(8) | 963 | 959 | |
Utility—0.3% | |||
Calpine Corp. 2020 (1 month LIBOR + 2.500%) 2.610%, 12/2/27 | 855 | 849 | |
Vistra Operations Co. LLC 2018 (1 month LIBOR + 1.750%) 1.858%, 12/31/25 | 1,137 | 1,128 | |
1,977 | |||
Total Leveraged Loans (Identified Cost $50,093) | 49,976 | ||
Shares | Value | ||
Preferred Stocks—0.8% | |||
Financials—0.7% | |||
Bank of New York Mellon Corp. (The) Series E, 3.607%(3) | 1,380 (10) | $ 1,380 | |
Citigroup, Inc. Series T, 6.250% | 1,020 (10) | 1,165 | |
JPMorgan Chase & Co. Series Z, 4.005%(3) | 1,155 (10) | 1,157 | |
JPMorgan Chase & Co. Series HH, 4.600% | 1,106 (10) | 1,119 | |
4,821 | |||
Industrials—0.1% | |||
General Electric Co. Series D, 3.514%(3) | 575 (10) | 543 | |
Total Preferred Stocks (Identified Cost $5,242) | 5,364 | ||
Exchange-Traded Funds—0.4% | |||
iShares iBoxx High Yield Corporate Bond ETF(7)(11) | 15,597 | 1,359 | |
SPDR Bloomberg Barclays High Yield Bond Fund ETF(7)(11) | 13,326 | 1,450 | |
Total Exchange-Traded Funds (Identified Cost $2,775) | 2,809 | ||
Total Long-Term Investments—96.3% (Identified Cost $637,190) | 643,583 | ||
Short-Term Investment—3.1% | |||
Money Market Mutual Fund—3.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(11) | 20,576,822 | 20,577 | |
Total Short-Term Investment (Identified Cost $20,577) | 20,577 | ||
Shares | Value | ||
Securities Lending Collateral—0.5% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(11)(12) | 3,508,855 | $ 3,509 | |
Total Securities Lending Collateral (Identified Cost $3,509) | 3,509 | ||
TOTAL INVESTMENTS—99.9% (Identified Cost $661,276) | $667,669 | ||
Other assets and liabilities, net—0.1% | 385 | ||
NET ASSETS—100.0% | $668,054 |
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 |
SPDR | S&P Depositary Receipt |
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 March 31, 2021, these securities amounted to a value of $449,001 or 67.2% of net assets. |
(2) | Amount is less than $500. |
(3) | Variable rate security. Rate disclosed is as of March 31, 2021. 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) | No contractual maturity date. |
(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) | Regulation S security. Security is offered and sold outside of the United States; it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(7) | All or a portion of security is on loan. |
(8) | This loan will settle after March 31, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(9) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(10) | Value shown as par value. |
(11) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(12) | Represents security purchased with cash collateral received for securities on loan. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $221,155 | $ — | $221,155 | $ — | |||
Corporate Bonds and Notes | 113,272 | — | 113,272 | — | |||
Foreign Government Securities | 5,346 | — | 5,346 | — | |||
Leveraged Loans | 49,976 | — | 49,976 | — (1) | |||
Mortgage-Backed Securities | 210,293 | — | 204,463 | 5,830 | |||
U.S. Government Securities | 35,368 | — | 35,368 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 5,364 | — | 5,364 | — | |||
Securities Lending Collateral | 3,509 | 3,509 | — | — | |||
Exchange-Traded Funds | 2,809 | 2,809 | — | — | |||
Money Market Mutual Fund | 20,577 | 20,577 | — | — | |||
Total Investments | $667,669 | $26,895 | $634,944 | $5,830 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Leveraged Loans | Mortgage Backed Securities | |||
Investments in Securities | |||||
Balance as of September 30, 2020: | $ —(a) | $— (a) | $ — | ||
Accrued discount/(premium) | — (b) | — (b) | — (b) | ||
Change in unrealized appreciation (depreciation)(c) | 3 | — (b) | 3 | ||
Purchases | 5,827 | — | 5,827 | ||
Balance as of March 31, 2021 | $5,830 | $— (a) | $5,830 |
Par Value | Value | ||
Municipal Bonds—0.1% | |||
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | $ 100 | $ 102 | |
Virginia—0.1% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 305 | 320 | |
Total Municipal Bonds (Identified Cost $403) | 422 | ||
Foreign Government Securities—7.3% | |||
Abu Dhabi Government International Bond 144A 3.125%, 4/16/30(1) | 200 | 214 | |
Dominican Republic | |||
144A 6.875%, 1/29/26(1) | 160 | 186 | |
144A 5.950%, 1/25/27(1) | 420 | 473 | |
144A 4.500%, 1/30/30(1) | 185 | 187 | |
144A 5.875%, 1/30/60(1) | 395 | 378 | |
Emirate of Dubai RegS 5.250%, 1/30/43(2) | 1,175 | 1,268 | |
Federative Republic of Brazil 3.875%, 6/12/30 | 240 | 233 | |
Kingdom of Morocco 144A 5.500%, 12/11/42(1) | 410 | 450 | |
Kingdom of Saudi Arabia | |||
144A 3.625%, 3/4/28(1) | 1,205 | 1,309 | |
144A 4.500%, 10/26/46(1) | 770 | 846 | |
Oman Government International Bond | |||
144A 6.250%, 1/25/31(1) | 200 | 209 | |
144A 7.375%, 10/28/32(1) | 915 | 1,015 | |
Republic of Angola 144A 8.250%, 5/9/28(1) | 465 | 445 | |
Republic of Argentine 0.125%, 7/9/35(3) | 1,385 | 413 | |
Republic of Colombia | |||
3.125%, 4/15/31 | 325 | 318 | |
4.125%, 5/15/51 | 225 | 214 | |
Republic of Ecuador 144A 0.500%, 7/31/35(1) | 465 | 209 | |
Republic of Egypt 144A 7.600%, 3/1/29(1) | 800 | 851 | |
Republic of Ghana 144A 8.125%, 3/26/32(1) | 755 | 728 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Republic of Indonesia | |||
2.850%, 2/14/30 | $2,905 | $ 2,957 | |
144A 4.350%, 1/8/27(1) | 570 | 639 | |
Republic of Ivory Coast 144A 6.125%, 6/15/33(1) | 435 | 444 | |
Republic of Kenya 144A 8.000%, 5/22/32(1) | 210 | 223 | |
Republic of Nigeria | |||
144A 6.500%, 11/28/27(1) | 260 | 268 | |
144A 7.875%, 2/16/32(1) | 540 | 555 | |
Republic of Pakistan 144A 8.250%, 9/30/25(1) | 385 | 426 | |
Republic of Panama 3.160%, 1/23/30 | 280 | 291 | |
Republic of Philippines 3.700%, 3/1/41 | 765 | 799 | |
Republic of South Africa | |||
4.850%, 9/27/27 | 250 | 258 | |
5.875%, 6/22/30(4) | 480 | 514 | |
5.650%, 9/27/47 | 245 | 225 | |
Republic of Turkey | |||
4.875%, 10/9/26 | 915 | 842 | |
7.625%, 4/26/29 | 460 | 473 | |
5.250%, 3/13/30 | 420 | 372 | |
Republic of Venezuela | |||
9.375%, 1/13/34(5) | 920 | 94 | |
RegS 7.650%, 4/21/25(2)(5) | 1,500 | 152 | |
Russian Federation RegS 4.375%, 3/21/29(2) | 1,200 | 1,311 | |
State of Israel 2.750%, 7/3/30 | 355 | 371 | |
State of Qatar | |||
144A 3.750%, 4/16/30(1) | 620 | 693 | |
144A 4.400%, 4/16/50(1) | 430 | 499 | |
Ukraine Government 144A 7.253%, 3/15/33(1) | 940 | 935 | |
United Mexican States 4.500%, 1/31/50 | 890 | 902 | |
Total Foreign Government Securities (Identified Cost $26,162) | 24,189 | ||
Mortgage-Backed Securities—13.7% | |||
Non-Agency—13.7% | |||
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(1) | 1,320 | 1,416 | |
2015-SFR2, C 144A 4.691%, 10/17/52(1) | 1,011 | 1,092 | |
AMSR Trust | |||
2020-SFR2, D 144A 3.282%, 7/17/37(1) | 660 | 680 |
Par Value | Value | ||
Non-Agency—continued | |||
2020-SFR3, B 144A 1.806%, 9/17/37(1) | $2,000 | $1,990 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(1)(3) | 1,124 | 1,129 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(3) | 296 | 303 | |
2019-2, A1 144A 3.347%, 4/25/49(1)(3) | 281 | 287 | |
Banc of America Funding Trust | |||
2005-1, 1A1 5.500%, 2/25/35 | 186 | 191 | |
2006-2, 3A1 6.000%, 3/25/36 | 77 | 77 | |
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)(3) | 1,000 | 1,055 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(1)(3) | 445 | 464 | |
Bunker Hill Loan Depositary Trust 2019-2, A1 144A 2.879%, 7/25/49(1)(3) | 222 | 227 | |
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(1)(3) | 972 | 1,010 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2019-IMC1, A1 144A 2.720%, 7/25/49(1)(3) | 375 | 382 | |
2015-A, A1 144A 3.500%, 6/25/58(1)(3) | 55 | 56 | |
2019-RP1, A1 144A 3.500%, 1/25/66(1)(3) | 630 | 662 | |
CoreVest American Finance Trust 2019-3, C 144A 3.265%, 10/15/52(1) | 250 | 253 | |
Credit Suisse Mortgage Capital Trust | |||
2014-IVR2, A2 144A 3.762%, 4/25/44(1)(3) | 103 | 105 | |
2020-RPL4, A1 144A 2.000%, 1/25/60(1)(3) | 899 | 923 | |
Deephaven Residential Mortgage Trust | |||
2017-1A, A2 144A 2.928%, 12/26/46(1)(3) | 22 | 22 | |
2017-2A, A2 144A 2.606%, 6/25/47(1)(3) | 24 | 25 | |
Ellington Financial Mortgage Trust 2019-2, A3 144A 3.046%, 11/25/59(1)(3) | 116 | 119 |
Par Value | Value | ||
Non-Agency—continued | |||
FirstKey Homes Trust | |||
2020-SFR1, B 144A 1.740%, 9/17/25(1) | $ 770 | $ 766 | |
2020-SFR2, B 144A 1.567%, 10/19/37(1) | 1,245 | 1,239 | |
Galton Funding Mortgage Trust | |||
2018-1, A23 144A 3.500%, 11/25/57(1)(3) | 192 | 197 | |
2018-2, A41 144A 4.500%, 10/25/58(1)(3) | 95 | 96 | |
2020-H1, A1 144A 2.310%, 1/25/60(1)(3) | 662 | 674 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(1)(3) | 90 | 92 | |
2014-5, B2 144A 2.930%, 10/25/29(1)(3) | 238 | 241 | |
2016-SH1, M2 144A 3.750%, 4/25/45(1)(3) | 321 | 326 | |
2016-SH2, M2 144A 3.750%, 12/25/45(1)(3) | 557 | 577 | |
LHOME Mortgage Trust 2021-RTL1, A1 144A 2.090%, 9/25/26(1)(3) | 450 | 450 | |
MASTR Alternative Loan Trust 2005-2, 2A1 6.000%, 1/25/35 | 226 | 238 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 1.309%, 6/25/52(1)(3) | 400 | 400 | |
MetLife Securitization Trust 2017-1A, M1 144A 3.553%, 4/25/55(1)(3) | 425 | 445 | |
Mill City Mortgage Loan Trust | |||
2017-1, M2 144A 3.250%, 11/25/58(1)(3) | 375 | 396 | |
2019-1, M2 144A 3.500%, 10/25/69(1)(3) | 779 | 816 | |
New Residential Mortgage Loan Trust | |||
2017-2A, A3 144A 4.000%, 3/25/57(1)(3) | 418 | 446 | |
2018-2A, A1 144A 4.500%, 2/25/58(1)(3) | 63 | 67 | |
2020-NPL2, A1 144A 3.228%, 8/25/60(1)(3) | 245 | 247 | |
OBX Trust 2019-INV1, A3 144A 4.500%, 11/25/48(1)(3) | 273 | 283 | |
Preston Ridge Partners Mortgage LLC | |||
2020-1A, A1 144A 2.981%, 2/25/25(1)(3) | 1,135 | 1,138 |
Par Value | Value | ||
Non-Agency—continued | |||
2020-2, A1 144A 3.671%, 8/25/25(1)(3) | $1,004 | $1,015 | |
2020-6, A1 144A 2.363%, 11/25/25(1)(3) | 1,450 | 1,454 | |
Pretium Mortgage Credit Partners I LLC 2020-NPL3, A1 144A 3.105%, 6/27/60(1)(3) | 1,130 | 1,141 | |
Progress Residential Trust | |||
2019-SFR2, D 144A 3.794%, 5/17/36(1) | 410 | 418 | |
2017-SFR1, B 144A 3.017%, 8/17/34(1) | 940 | 946 | |
2018-SFR2, B 144A 3.841%, 8/17/35(1) | 1,380 | 1,387 | |
2019-SFR3, B 144A 2.571%, 9/17/36(1) | 1,000 | 1,010 | |
RCO V Mortgage LLC 2019-2, A1 144A 3.475%, 11/25/24(1)(3) | 322 | 324 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(1)(3) | 459 | 467 | |
Sequoia Mortgage Trust 2013-8, B1 3.511%, 6/25/43(3) | 367 | 379 | |
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(1)(3) | 185 | 188 | |
Starwood Mortgage Residential Trust 2019-IMC1, A1 144A 3.468%, 2/25/49(1)(3) | 424 | 424 | |
Towd Point Mortgage Trust | |||
2016-4, B1 144A 3.848%, 7/25/56(1)(3) | 485 | 519 | |
2016-1, M1 144A 3.500%, 2/25/55(1)(3) | 380 | 399 | |
2015-5, A2 144A 3.500%, 5/25/55(1)(3) | 690 | 704 | |
2017-1, M1 144A 3.750%, 10/25/56(1)(3) | 450 | 483 | |
2017-4, A2 144A 3.000%, 6/25/57(1)(3) | 570 | 598 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(1)(3) | 24 | 24 | |
2018-6, A2 144A 3.750%, 3/25/58(1)(3) | 1,925 | 2,065 | |
2019-2, A2 144A 3.750%, 12/25/58(1)(3) | 1,198 | 1,289 | |
2015-2, 1M1 144A 3.250%, 11/25/60(1)(3) | 710 | 733 | |
Tricon American Homes Trust | |||
2019-SFR1, C 144A 3.149%, 3/17/38(1) | 610 | 631 | |
2020-SFR2, D 144A 2.281%, 11/17/39(1) | 840 | 815 |
Par Value | Value | ||
Non-Agency—continued | |||
TVC Mortgage Trust 2020-RTL1, M 144A 5.193%, 9/25/24(1)(3) | $1,405 | $ 1,342 | |
UBS Commercial Mortgage Trust 2012-C1, D 144A 5.570%, 5/10/45(1)(3) | 1,259 | 991 | |
VCAT LLC | |||
2020-NPL1, A1 144A 3.671%, 8/25/50(1)(3) | 430 | 434 | |
2021-NPL1, A2 144A 4.826%, 12/26/50(1)(3) | 415 | 414 | |
Vericrest Opportunity Loan Trust 2020-NPL2, A1A 144A 2.981%, 2/25/50(1)(3) | 183 | 183 | |
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(1)(3) | 980 | 980 | |
Verus Securitization Trust 2019-INV1, A1 144A 3.402%, 12/25/59(1)(3) | 291 | 294 | |
Visio Trust 2020-1R, A2 144A 1.567%, 11/25/55(1) | 408 | 410 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 665 | 704 | |
45,420 | |||
Total Mortgage-Backed Securities (Identified Cost $45,060) | 45,420 | ||
Asset-Backed Securities—9.9% | |||
Automobiles—3.9% | |||
ACC Trust 2019-1, B 144A 4.470%, 10/20/22(1) | 640 | 649 | |
Avid Automobile Receivables Trust 2019-1, C 144A 3.140%, 7/15/26(1) | 930 | 954 | |
CIG Auto Receivables Trust 2020-1A, E 144A 4.430%, 2/12/27(1) | 1,040 | 1,072 | |
Exeter Automobile Receivables Trust 2019-1A, D 144A 4.130%, 12/16/24(1) | 1,415 | 1,474 | |
GLS Auto Receivables Issuer Trust | |||
2019-4A, D 144A 4.090%, 8/17/26(1) | 750 | 779 | |
2020-3A, E 144A 4.310%, 7/15/27(1) | 940 | 989 |
Par Value | Value | ||
Automobiles—continued | |||
GLS Auto Receivables Trust | |||
2017-1A, C 144A 3.500%, 7/15/22(1) | $ 284 | $ 285 | |
2018-3A, C 144A 4.180%, 7/15/24(1) | 1,015 | 1,052 | |
Hertz Vehicle Financing II LP 2018-1A, A 144A 3.290%, 2/25/24(1) | 268 | 268 | |
OneMain Direct Auto Receivables Trust 2018-1A, C 144A 3.850%, 10/14/25(1) | 660 | 671 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(1) | 710 | 729 | |
United Auto Credit Securitization Trust 2019-1, E 144A 4.290%, 8/12/24(1) | 670 | 684 | |
USASF Receivables LLC | |||
2020-1A, B 144A 3.220%, 5/15/24(1) | 615 | 628 | |
2020-1A, C 144A 5.940%, 8/15/24(1) | 1,435 | 1,511 | |
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(1) | 1,220 | 1,232 | |
12,977 | |||
Credit Card—0.4% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(1) | 820 | 829 | |
Genesis Private Label Amortizing Trust 2020-1, B 144A 2.830%, 7/20/30(1) | 470 | 472 | |
1,301 | |||
Equipment—0.1% | |||
NMEF Funding LLC 2019-A, A 144A 2.730%, 8/17/26(1) | 314 | 316 | |
Other—5.5% | |||
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(1) | 367 | 378 | |
2019-A, C 144A 4.010%, 7/16/40(1) | 915 | 967 | |
2020-AA, D 144A 7.150%, 7/17/46(1) | 815 | 845 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(1) | 935 | 954 | |
BCC Funding Corp. XVI LLC 2019-1A, D 144A 3.940%, 7/20/27(1) | 930 | 940 |
Par Value | Value | ||
Other—continued | |||
BCC Funding XVII LLC 2020-1, D 144A 4.890%, 9/22/25(1) | $1,050 | $ 1,051 | |
Business Jet Securities LLC | |||
2019-1, A 144A 4.212%, 7/15/34(1) | 357 | 363 | |
2020-1A, A 144A 2.981%, 11/15/35(1) | 775 | 784 | |
Conn’s Receivables Funding LLC 2020-A, B 144A 4.270%, 6/16/25(1) | 840 | 849 | |
Dext ABS LLC 2020-1, D 144A 7.210%, 2/15/28(1) | 840 | 845 | |
FREED ABS Trust | |||
2019-1, B 144A 3.870%, 6/18/26(1) | 336 | 339 | |
2019-2, B 144A 3.190%, 11/18/26(1) | 775 | 787 | |
Hardee’s Funding LLC 2020-1A, A2 144A 3.981%, 12/20/50(1) | 1,057 | 1,091 | |
HIN Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(1) | 788 | 817 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(1) | 785 | 830 | |
Mariner Finance Issuance Trust 2020-AA, A 144A 2.190%, 8/21/34(1) | 1,010 | 1,025 | |
Oasis LLC 2020-1A, A 144A 3.820%, 1/15/32(1) | 340 | 342 | |
Oasis Securitization Funding LLC 2021-1A, A 144A 2.579%, 2/15/33(1) | 805 | 805 | |
Octane Receivables Trust 2020-1A, B 144A 1.980%, 6/20/25(1) | 1,290 | 1,308 | |
Planet Fitness Master Issuer LLC 2018-1A, A2II 144A 4.666%, 9/5/48(1) | 994 | 1,016 | |
Republic Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(1) | 835 | 850 | |
Upstart Pass-Through Trust Series 2021-ST2, A 144A 2.500%, 4/20/27(1) | 1,015 | 1,025 | |
18,211 | |||
Total Asset-Backed Securities (Identified Cost $31,968) | 32,805 | ||
Par Value | Value | ||
Corporate Bonds and Notes—46.1% | |||
Communication Services—5.3% | |||
Altice France Holding S.A. 144A 6.000%, 2/15/28(1) | $705 | $ 695 | |
Altice France S.A. 144A 7.375%, 5/1/26(1) | 330 | 343 | |
Baidu, Inc. 3.425%, 4/7/30 | 490 | 513 | |
Cable Onda S.A. 144A 4.500%, 1/30/30(1) | 790 | 839 | |
Cars.com, Inc. 144A 6.375%, 11/1/28(1) | 675 | 704 | |
CCO Holdings LLC | |||
144A 4.750%, 3/1/30(1) | 960 | 995 | |
144A 4.500%, 8/15/30(1) | 585 | 596 | |
Cinemark USA, Inc. 144A 5.875%, 3/15/26(1) | 635 | 650 | |
Clear Channel Outdoor Holdings, Inc. 144A 7.750%, 4/15/28(1) | 15 | 15 | |
Clear Channel Worldwide Holdings, Inc. | |||
9.250%, 2/15/24 | 87 | 90 | |
144A 5.125%, 8/15/27(1) | 250 | 251 | |
Consolidated Communications, Inc. 144A 6.500%, 10/1/28(1) | 450 | 486 | |
CSC Holdings LLC 144A 5.750%, 1/15/30(1) | 970 | 1,022 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(1) | 320 | 230 | |
144A 6.625%, 8/15/27(1)(4) | 620 | 322 | |
DISH DBS Corp. 7.750%, 7/1/26 | 450 | 497 | |
Frontier Communications Corp. 144A 6.750%, 5/1/29(1) | 900 | 949 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 426 | 457 | |
Live Nation Entertainment, Inc. | |||
144A 5.625%, 3/15/26(1) | 370 | 384 | |
144A 4.750%, 10/15/27(1) | 770 | 776 | |
McGraw-Hill Global Education Holdings LLC Senior Unsecured Notes 144A 7.875%, 5/15/24(1) | 513 | 505 | |
Meredith Corp. 6.875%, 2/1/26 | 350 | 360 |
Par Value | Value | ||
Communication Services—continued | |||
Northwest Fiber LLC | |||
144A 6.000%, 2/15/28(1) | $ 80 | $ 80 | |
144A 10.750%, 6/1/28(1) | 340 | 384 | |
Playtika Holding Corp. 144A 4.250%, 3/15/29(1) | 540 | 532 | |
Radiate Holdco LLC | |||
144A 4.500%, 9/15/26(1) | 140 | 142 | |
144A 6.500%, 9/15/28(1) | 485 | 512 | |
Telesat Canada 144A 6.500%, 10/15/27(1) | 1,235 | 1,237 | |
T-Mobile USA, Inc. | |||
2.625%, 4/15/26 | 85 | 87 | |
3.375%, 4/15/29 | 120 | 121 | |
3.500%, 4/15/31 | 360 | 363 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(1) | 485 | 525 | |
Univision Communications, Inc. | |||
144A 5.125%, 2/15/25(1) | 760 | 769 | |
144A 6.625%, 6/1/27(1) | 190 | 203 | |
Virgin Media Finance plc 144A 5.000%, 7/15/30(1) | 955 | 954 | |
17,588 | |||
Consumer Discretionary—5.7% | |||
Adtalem Global Education, Inc. 144A 5.500%, 3/1/28(1) | 810 | 800 | |
American Axle & Manufacturing, Inc. 6.500%, 4/1/27(4) | 935 | 970 | |
Aramark Services, Inc. 144A 6.375%, 5/1/25(1) | 485 | 514 | |
Aston Martin Capital Holdings Ltd. 144A 10.500%, 11/30/25(1) | 480 | 530 | |
BCPE Ulysses Intermediate, Inc. PIK 144A 7.750%, 4/1/27(1)(6) | 645 | 669 | |
Block Financial LLC 3.875%, 8/15/30 | 740 | 764 | |
Carnival Corp. | |||
144A 11.500%, 4/1/23(1) | 250 | 287 | |
144A 7.625%, 3/1/26(1) | 95 | 102 | |
Carvana Co. | |||
144A 5.625%, 10/1/25(1) | 485 | 498 | |
144A 5.875%, 10/1/28(1) | 295 | 302 | |
Clarios Global LP 144A 8.500%, 5/15/27(1) | 445 | 479 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Cooper-Standard Automotive, Inc. 144A 13.000%, 6/1/24(1) | $545 | $ 621 | |
Crocs, Inc. 144A 4.250%, 3/15/29(1) | 585 | 570 | |
Downstream Development Authority of the Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23(1) | 736 | 762 | |
Ford Motor Credit Co. LLC | |||
5.125%, 6/16/25 | 280 | 302 | |
4.125%, 8/17/27 | 485 | 501 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(1) | 746 | 711 | |
Golden Nugget, Inc. 144A 8.750%, 10/1/25(1)(4) | 590 | 622 | |
International Game Technology plc | |||
144A 4.125%, 4/15/26(1) | 200 | 206 | |
144A 5.250%, 1/15/29(1) | 200 | 209 | |
Legends Hospitality Holding Co. LLC 144A 5.000%, 2/1/26(1) | 600 | 610 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 800 | 828 | |
Marriott Ownership Resorts, Inc. 4.750%, 1/15/28 | 665 | 672 | |
Mohegan Gaming & Entertainment 144A 8.000%, 2/1/26(1) | 620 | 625 | |
NCL Corp., Ltd. 144A 5.875%, 3/15/26(1) | 410 | 414 | |
NCL Finance Ltd. 144A 6.125%, 3/15/28(1) | 225 | 229 | |
Nissan Motor Co. Ltd. 144A 4.810%, 9/17/30(1) | 655 | 718 | |
PulteGroup, Inc. 7.875%, 6/15/32 | 525 | 739 | |
Royal Caribbean Cruises Ltd. 144A 9.125%, 6/15/23(1) | 495 | 545 | |
Scientific Games International, Inc. | |||
144A 8.250%, 3/15/26(1) | 570 | 611 | |
144A 7.000%, 5/15/28(1) | 175 | 187 | |
Tenneco, Inc. 144A 5.125%, 4/15/29(1) | 745 | 736 | |
Vista Outdoor, Inc. 144A 4.500%, 3/15/29(1) | 650 | 643 | |
Wynn Macau Ltd. 144A 5.625%, 8/26/28(1) | 975 | 1,019 | |
18,995 | |||
Par Value | Value | ||
Consumer Staples—1.2% | |||
Albertsons Cos., Inc. 144A 4.625%, 1/15/27(1) | $760 | $ 788 | |
BAT Capital Corp. 4.906%, 4/2/30 | 630 | 719 | |
Chobani LLC 144A 7.500%, 4/15/25(1) | 785 | 817 | |
Post Holdings, Inc. 144A 4.500%, 9/15/31(1) | 615 | 608 | |
Triton Water Holdings, Inc. 144A 6.250%, 4/1/29(1) | 165 | 168 | |
Turning Point Brands, Inc. 144A 5.625%, 2/15/26(1) | 605 | 628 | |
Vector Group Ltd. 144A 5.750%, 2/1/29(1) | 285 | 294 | |
4,022 | |||
Energy—8.3% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(1) | 660 | 614 | |
Antero Midstream Partners LP | |||
144A 7.875%, 5/15/26(1) | 430 | 463 | |
144A 5.750%, 1/15/28(1) | 740 | 740 | |
Antero Resources Corp. | |||
144A 8.375%, 7/15/26(1) | 340 | 375 | |
144A 7.625%, 2/1/29(1) | 215 | 229 | |
Ascent Resources Utica Holdings LLC 144A 8.250%, 12/31/28(1) | 415 | 432 | |
BP Capital Markets plc 4.875% (7) | 865 | 927 | |
Callon Petroleum Co. 6.125%, 10/1/24(4) | 290 | 247 | |
CGG SA PIK Interest Capitalization, 144A 5.000%, 2/21/24(1)(8) | 6 | 6 | |
Cheniere Energy Partners LP 5.625%, 10/1/26 | 332 | 347 | |
Cheniere Energy, Inc. 144A 4.625%, 10/15/28(1) | 395 | 410 | |
Chesapeake Energy Corp. | |||
144A 5.500%, 2/1/26(1) | 610 | 635 | |
144A 5.875%, 2/1/29(1) | 120 | 127 | |
Citgo Holding, Inc. 144A 9.250%, 8/1/24(1) | 250 | 248 | |
CrownRock LP 144A 5.625%, 10/15/25(1) | 670 | 684 | |
CSI Compressco LP 144A 7.500%, 4/1/25(1) | 740 | 751 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(1) | 190 | 205 |
Par Value | Value | ||
Energy—continued | |||
144A 6.500%, 7/1/27(1) | $ 220 | $ 239 | |
144A 4.500%, 1/15/29(1) | 185 | 180 | |
144A 4.750%, 1/15/31(1) | 185 | 180 | |
Geopark Ltd. 144A 6.500%, 9/21/24(1) | 395 | 408 | |
Hilcorp Energy I LP | |||
144A 5.750%, 2/1/29(1) | 480 | 484 | |
144A 6.000%, 2/1/31(1) | 480 | 487 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 900 | 1,020 | |
Indigo Natural Resources LLC 144A 5.375%, 2/1/29(1) | 605 | 596 | |
KazMunayGas National Co., JSC | |||
144A 4.750%, 4/19/27(1) | 780 | 889 | |
144A 6.375%, 10/24/48(1) | 470 | 600 | |
Kinder Morgan, Inc. 7.750%, 1/15/32 | 805 | 1,131 | |
Kosmos Energy Ltd. 144A 7.500%, 3/1/28(1) | 800 | 758 | |
Magnolia Oil & Gas Operating LLC 144A 6.000%, 8/1/26(1) | 650 | 672 | |
Mesquite Energy, Inc. 144A 7.250%, 2/15/23(9) | 375 | 1 | |
Northriver Midstream Finance LP 144A 5.625%, 2/15/26(1) | 585 | 608 | |
Occidental Petroleum Corp. | |||
2.700%, 8/15/22 | 174 | 174 | |
5.875%, 9/1/25 | 410 | 438 | |
5.500%, 12/1/25 | 20 | 21 | |
3.500%, 8/15/29 | 340 | 319 | |
6.125%, 1/1/31 | 395 | 436 | |
Odebrecht Oil & Gas Finance Ltd. 144A 0.000% (1)(7)(9) | 124 | 1 | |
Parsley Energy LLC 144A 4.125%, 2/15/28(1) | 600 | 635 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 635 | 631 | |
Pertamina Persero PT 144A 6.450%, 5/30/44(1) | 1,015 | 1,256 | |
Petrobras Global Finance B.V. 5.600%, 1/3/31 | 410 | 432 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(5) | 1,580 | 69 | |
Petroleos Mexicanos | |||
6.875%, 8/4/26 | 485 | 519 | |
5.950%, 1/28/31 | 1,875 | 1,800 | |
6.375%, 1/23/45 | 130 | 108 | |
6.350%, 2/12/48 | 480 | 395 |
Par Value | Value | ||
Energy—continued | |||
Petronas Capital Ltd. 144A 3.500%, 4/21/30(1) | $ 765 | $ 818 | |
Plains All American Pipeline LP 3.800%, 9/15/30 | 870 | 886 | |
Saudi Arabian Oil Co. 144A 2.250%, 11/24/30(1) | 890 | 852 | |
Sunoco LP 144A 4.500%, 5/15/29(1) | 985 | 981 | |
Transocean, Inc. 144A 11.500%, 1/30/27(1) | 31 | 27 | |
USA Compression Partners LP 6.875%, 4/1/26 | 400 | 410 | |
WPX Energy, Inc. 4.500%, 1/15/30 | 699 | 753 | |
27,654 | |||
Financials—8.1% | |||
Acrisure LLC 144A 7.000%, 11/15/25(1) | 780 | 805 | |
AerCap Ireland Capital DAC 3.650%, 7/21/27 | 555 | 582 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53 | 845 | 894 | |
Ascot Group Ltd. 144A 4.250%, 12/15/30(1) | 990 | 1,025 | |
Athene Global Funding 144A 2.450%, 8/20/27(1) | 1,215 | 1,229 | |
Banco de Bogota S.A. 144A 6.250%, 5/12/26(1) | 330 | 370 | |
Bank of New York Mellon Corp. (The) Series G 4.700% (7) | 795 | 861 | |
BBVA Bancomer S.A. 144A 5.125%, 1/18/33(1) | 890 | 916 | |
Brighthouse Financial, Inc. 5.625%, 5/15/30 | 663 | 777 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 785 | 850 | |
Charles Schwab Corp. (The) Series H 4.000% (7) | 1,035 | 1,017 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 605 | 642 | |
Citigroup, Inc. Series W 4.000% (7) | 625 | 631 | |
Corporate Office Properties LP 2.750%, 4/15/31 | 710 | 687 | |
Discover Bank 4.682%, 8/9/28 | 865 | 923 | |
Doric Nimrod Air Alpha Pass-Through Trust 2013-1, A 144A 5.250%, 5/30/23(1) | 395 | 386 |
Par Value | Value | ||
Financials—continued | |||
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(1) | $ 970 | $ 995 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 845 | 940 | |
ICAHN Enterprises LP | |||
6.250%, 5/15/26 | 765 | 801 | |
144A 4.375%, 2/1/29(1) | 85 | 83 | |
Intercorp Peru Ltd. 144A 3.875%, 8/15/29(1) | 740 | 762 | |
Itau Unibanco Holding SA 144A 3.875%, 4/15/31(1) | 775 | 752 | |
JPMorgan Chase & Co. 2.956%, 5/13/31 | 775 | 789 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 355 | 350 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 2.264%, 4/20/67(3) | 870 | 717 | |
MetLife, Inc. Series G 3.850% (7) | 875 | 903 | |
NMI Holdings, Inc. 144A 7.375%, 6/1/25(1) | 300 | 346 | |
OneMain Finance Corp. 7.125%, 3/15/26 | 670 | 773 | |
Prospect Capital Corp. 3.706%, 1/22/26 | 975 | 963 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 485 | 512 | |
5.625%, 6/15/43 | 450 | 482 | |
Santander Holdings USA, Inc. 4.400%, 7/13/27 | 700 | 779 | |
SVB Financial Group 4.100% (7) | 885 | 887 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 437 | 472 | |
Voya Financial, Inc. 5.650%, 5/15/53 | 615 | 658 | |
Wells Fargo & Co. 3.900% (7) | 1,295 | 1,308 | |
26,867 | |||
Health Care—3.1% | |||
Advanz Pharma Corp., Ltd. 8.000%, 9/6/24 | 104 | 107 | |
Akumin, Inc. 144A 7.000%, 11/1/25(1) | 655 | 697 | |
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1) | 315 | 349 | |
Bausch Health Cos., Inc. 144A 7.000%, 1/15/28(1) | 455 | 494 |
Par Value | Value | ||
Health Care—continued | |||
Charles River Laboratories International, Inc. | |||
144A 3.750%, 3/15/29(1) | $215 | $ 215 | |
144A 4.000%, 3/15/31(1)(4) | 200 | 203 | |
Cheplapharm Arzneimittel GmbH 144A 5.500%, 1/15/28(1) | 700 | 727 | |
Community Health Systems, Inc. | |||
144A 6.625%, 2/15/25(1) | 375 | 396 | |
144A 6.875%, 4/15/29(1) | 65 | 68 | |
144A 4.750%, 2/15/31(1) | 640 | 625 | |
DaVita, Inc. 144A 4.625%, 6/1/30(1) | 550 | 560 | |
Endo Luxembourg Finance Co. I S.a.r.l. 144A 6.125%, 4/1/29(1) | 320 | 323 | |
Illumina, Inc. 2.550%, 3/23/31 | 460 | 456 | |
Legacy LifePoint Health LLC | |||
144A 6.750%, 4/15/25(1) | 320 | 340 | |
144A 4.375%, 2/15/27(1) | 305 | 299 | |
LifePoint Health, Inc. 144A 5.375%, 1/15/29(1) | 225 | 222 | |
Ortho-Clinical Diagnostics, Inc. | |||
144A 7.375%, 6/1/25(1) | 222 | 239 | |
144A 7.250%, 2/1/28(1) | 66 | 72 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(1) | 335 | 355 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1) | 520 | 553 | |
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(1) | 670 | 685 | |
144A 10.000%, 4/15/27(1) | 290 | 320 | |
Team Health Holdings, Inc. 144A 6.375%, 2/1/25(1) | 505 | 445 | |
Tenet Healthcare Corp. | |||
144A 5.125%, 11/1/27(1) | 735 | 769 | |
144A 7.500%, 4/1/25(1) | 65 | 70 | |
Teva Pharmaceutical Finance Netherlands III B.V. 3.150%, 10/1/26 | 850 | 813 | |
10,402 | |||
Par Value | Value | ||
Industrials—4.4% | |||
Alaska Airlines Pass-Through Trust 144A 4.800%, 8/15/27(1) | $ 870 | $ 952 | |
American Airlines Group, Inc. 144A 5.000%, 6/1/22(1) | 465 | 457 | |
American Airlines, Inc. | |||
144A 11.750%, 7/15/25(1) | 1,035 | 1,280 | |
144A 5.500%, 4/20/26(1) | 95 | 99 | |
144A 5.750%, 4/20/29(1) | 45 | 48 | |
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(1) | 870 | 907 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(1) | 705 | 726 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(1) | 597 | 624 | |
Boeing Co. (The) | |||
5.150%, 5/1/30 | 550 | 633 | |
3.750%, 2/1/50 | 450 | 431 | |
5.930%, 5/1/60 | 220 | 282 | |
Bombardier, Inc. 144A 8.750%, 12/1/21(1) | 435 | 456 | |
BWX Technologies, Inc. 144A 4.125%, 4/15/29(1) | 325 | 329 | |
Cleaver-Brooks, Inc. 144A 7.875%, 3/1/23(1) | 655 | 642 | |
CoStar Group, Inc. 144A 2.800%, 7/15/30(1) | 780 | 763 | |
CP Atlas Buyer, Inc. 144A 7.000%, 12/1/28(1) | 785 | 825 | |
Delta Air Lines, Inc. 3.750%, 10/28/29 | 631 | 615 | |
Dycom Industries, Inc. 144A 4.500%, 4/15/29(1) | 380 | 381 | |
Fortress Transportation & Infrastructure Investors LLC | |||
144A 6.500%, 10/1/25(1) | 60 | 63 | |
144A 9.750%, 8/1/27(1) | 105 | 120 | |
Spirit AeroSystems, Inc. 3.950%, 6/15/23 | 520 | 515 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60 | 841 | 890 | |
Titan Acquisition Ltd. 144A 7.750%, 4/15/26(1) | 638 | 663 | |
TransDigm, Inc. | |||
144A 6.250%, 3/15/26(1) | 290 | 307 | |
5.500%, 11/15/27 | 640 | 663 |
Par Value | Value | ||
Industrials—continued | |||
Uber Technologies, Inc. 144A 7.500%, 5/15/25(1) | $ 835 | $ 901 | |
14,572 | |||
Information Technology—2.9% | |||
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(1) | 493 | 525 | |
Broadcom, Inc. 144A 2.450%, 2/15/31(1) | 648 | 612 | |
Dell International LLC 144A 8.100%, 7/15/36(1) | 295 | 432 | |
J2 Global, Inc. 144A 4.625%, 10/15/30(1) | 955 | 964 | |
NCR Corp. 144A 5.125%, 4/15/29(1) | 565 | 569 | |
Plantronics, Inc. 144A 4.750%, 3/1/29(1) | 610 | 599 | |
Rocket Software, Inc. 144A 6.500%, 2/15/29(1) | 590 | 595 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(1) | 995 | 1,029 | |
SK Hynix, Inc. 144A 2.375%, 1/19/31(1) | 1,220 | 1,154 | |
Veritas US, Inc. 144A 7.500%, 9/1/25(1) | 540 | 561 | |
Viasat, Inc. 144A 5.625%, 9/15/25(1) | 830 | 844 | |
Vontier Corp. 144A 2.950%, 4/1/31(1) | 845 | 824 | |
Xerox Holdings Corp. 144A 5.500%, 8/15/28(1) | 700 | 725 | |
9,433 | |||
Materials—3.2% | |||
ARD Finance S.A. PIK 144A 6.500%, 6/30/27(1)(10) | 1,160 | 1,218 | |
Chemours Co. (The) 144A 5.750%, 11/15/28(1) | 595 | 626 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(1) | 740 | 805 | |
Commercial Metals Co. 3.875%, 2/15/31 | 605 | 594 | |
Freeport-McMoRan, Inc. 5.450%, 3/15/43 | 625 | 752 | |
Hecla Mining Co. 7.250%, 2/15/28 | 560 | 601 | |
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) | 700 | 746 |
Par Value | Value | ||
Materials—continued | |||
Louisiana-Pacific Corp. 144A 3.625%, 3/15/29(1) | $985 | $ 958 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(1) | 480 | 480 | |
Resolute Forest Products, Inc. 144A 4.875%, 3/1/26(1)(4) | 405 | 406 | |
Syngenta Finance N.V. 144A 4.441%, 4/24/23(1) | 315 | 330 | |
Taseko Mines Ltd. 144A 7.000%, 2/15/26(1) | 320 | 326 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 510 | 625 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(1) | 730 | 777 | |
144A 6.625%, 11/1/25(1) | 446 | 454 | |
Trinseo Materials Operating SCA 144A 5.125%, 4/1/29(1) | 165 | 170 | |
United States Steel Corp. 6.875%, 3/1/29 | 400 | 409 | |
10,616 | |||
Real Estate—2.2% | |||
American Assets Trust LP 3.375%, 2/1/31 | 995 | 978 | |
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(1) | 770 | 814 | |
GLP Capital LP | |||
5.750%, 6/1/28 | 229 | 264 | |
5.300%, 1/15/29 | 336 | 377 | |
iStar, Inc. 4.250%, 8/1/25 | 770 | 775 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 302 | 318 | |
3.500%, 3/15/31 | 640 | 628 | |
Office Properties Income Trust 4.500%, 2/1/25 | 900 | 947 | |
Retail Properties of America, Inc. 4.750%, 9/15/30 | 840 | 889 | |
Service Properties Trust | |||
7.500%, 9/15/25 | 110 | 125 | |
4.950%, 2/15/27 | 900 | 890 | |
Uniti Group LP 144A 7.875%, 2/15/25(1) | 345 | 373 | |
7,378 | |||
Par Value | Value | ||
Utilities—1.7% | |||
CMS Energy Corp. 4.750%, 6/1/50 | $860 | $ 929 | |
DPL, Inc. 4.350%, 4/15/29 | 733 | 787 | |
Edison International 4.125%, 3/15/28 | 855 | 917 | |
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(1) | 750 | 773 | |
Ferrellgas Escrow LLC | |||
144A 5.375%, 4/1/26(1) | 150 | 149 | |
144A 5.875%, 4/1/29(1) | 170 | 168 | |
Ferrellgas Partners LP 8.625%, 6/15/20(5) | 135 | 99 | |
National Fuel Gas Co. 2.950%, 3/1/31 | 480 | 462 | |
PG&E Corp. 5.250%, 7/1/30 | 495 | 525 | |
Talen Energy Supply LLC | |||
144A 7.250%, 5/15/27(1) | 145 | 148 | |
144A 6.625%, 1/15/28(1) | 560 | 559 | |
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20(1)(9) | 375 | — | |
5,516 | |||
Total Corporate Bonds and Notes (Identified Cost $149,232) | 153,043 | ||
Leveraged Loans(3)—19.1% | |||
Aerospace—0.7% | |||
AI Convoy (Luxembourg) S.a.r.l. Tranche B (6 month LIBOR + 3.500%) 4.500%, 1/18/27 | 644 | 642 | |
Amentum Government Services Holdings LLC Tranche 2, First Lien (3 month LIBOR + 4.750%) 5.500%, 1/29/27 | 535 | 536 | |
American Airlines, Inc. (3 month LIBOR + 4.750%) 0.000%, 4/20/28(11) | 120 | 123 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27 | 695 | 738 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 2.359%, 5/30/25 | 213 | 209 |
Par Value | Value | ||
Aerospace—continued | |||
Tranche F (1 month LIBOR + 2.250%) 2.359%, 12/9/25 | $139 | $ 136 | |
2,384 | |||
Chemicals—0.3% | |||
Aruba Investments Holdings LLC First Lien (3 month LIBOR + 4.000%) 4.750%, 11/24/27 | 455 | 454 | |
CPC Acquisition Corp. First Lien (3 month LIBOR + 3.750%) 4.500%, 12/29/27 | 145 | 145 | |
Innophos Holdings, Inc. (1 month LIBOR + 3.500%) 3.609%, 2/5/27 | 396 | 394 | |
993 | |||
Consumer Durables—0.1% | |||
Resideo Funding, Inc. Tranche B (3 month LIBOR + 2.250%) 2.750%, 2/11/28 | 400 | 399 | |
Consumer Non-Durables—1.0% | |||
American Greetings Corp. (1 month LIBOR + 4.500%) 5.500%, 4/6/24 | 373 | 372 | |
Diamond (BC) B.V. (1 month LIBOR + 3.000%) 3.109%, 9/6/24 | 806 | 801 | |
Parfums Holding Co., Inc. First Lien (1 month LIBOR + 4.000%) 4.109%, 6/30/24 | 848 | 839 | |
Rodan & Fields LLC (1 month LIBOR + 4.000%) 4.106%, 6/16/25 | 695 | 587 | |
ZEP, Inc. First Lien (3 month LIBOR + 4.000%) 5.000%, 8/12/24 | 726 | 717 | |
3,316 | |||
Energy—0.5% | |||
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 6.250%) 7.250%, 3/28/24 | 322 | 322 |
Par Value | Value | ||
Energy—continued | |||
Fieldwood Energy LLC First Lien (3 month PRIME + 4.250%) 7.500%, 4/11/22(12) | $880 | $ 334 | |
Hamilton Projects Acquiror LLC (3 month LIBOR + 4.750%) 5.750%, 6/17/27 | 481 | 483 | |
Traverse Midstream Partners LLC (1 month LIBOR + 5.500%) 6.500%, 9/27/24 | 620 | 615 | |
1,754 | |||
Financial—1.1% | |||
Asurion LLC | |||
Tranche B-3, Second Lien (1 month LIBOR + 5.250%) 5.359%, 1/31/28 | 360 | 366 | |
Tranche B-9 (1 month LIBOR + 3.250%) 3.359%, 7/31/27 | 350 | 347 | |
Avolon TLB Borrower 1 US LLC Tranche B-5 (1 month LIBOR + 2.500%) 3.250%, 12/1/27 | 339 | 339 | |
Citadel Securities LP 2021 (3 month LIBOR + 2.500%) 2.615%, 2/2/28 | 585 | 578 | |
Deerfield Dakota Holding LLC First Lien (1 month LIBOR + 3.750%) 4.750%, 4/9/27 | 382 | 382 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 2.854%, 6/28/23 | 511 | 509 | |
RealPage, Inc. First Lien (3 month LIBOR + 3.750%) 0.000%, 2/18/28(11) | 480 | 478 | |
Sedgwick Claims Management Services, Inc. 2019 (1 month LIBOR + 3.750%) 3.859%, 9/3/26 | 769 | 764 | |
3,763 | |||
Food / Tobacco—0.8% | |||
Arterra Wines Canada, Inc. Tranche B-1 (3 month LIBOR + 3.500%) 4.250%, 11/24/27 | 55 | 55 |
Par Value | Value | ||
Food / Tobacco—continued | |||
Chobani LLC (1 month LIBOR + 3.500%) 4.500%, 10/20/27 | $338 | $ 338 | |
City Brewing Co. LLC First Lien (3 month LIBOR + 3.500%) 0.000%, 10/1/26(11) | 125 | 124 | |
Dole Food Co., Inc. Tranche B (3 month LIBOR + 2.750%) 3.754%, 4/6/24 | 456 | 456 | |
H-Food Holdings LLC (1 month LIBOR + 3.688%) 3.796%, 5/23/25 | 343 | 339 | |
Milk Specialties Co. (1 month LIBOR + 4.000%) 5.000%, 8/16/23 | 280 | 280 | |
Shearer’s Foods LLC First Lien (3 month LIBOR + 3.500%) 4.250%, 9/23/27 | 673 | 671 | |
Triton Water Holdings, Inc. First Lien (3 month LIBOR + 3.500%) 0.000%, 3/31/28(11) | 340 | 338 | |
2,601 | |||
Forest Prod / Containers—0.8% | |||
Anchor Glass Container Corp. 2017 (3 month LIBOR + 2.750%) 0.000%, 12/7/23(11) | 279 | 246 | |
BWay Holding Co. (3 month LIBOR + 3.250%) 3.443%, 4/3/24 | 315 | 308 | |
Klockner Pentaplast of America, Inc. Tranche B (3 month LIBOR + 4.750%) 0.000%, 2/12/26(11) | 835 | 832 | |
Schweitzer-Mauduit International, Inc. Tranche B (3 month LIBOR + 4.000%) 0.000%, 1/27/28(11) | 490 | 488 | |
Spectrum Holdings III Corp. First Lien (3 month LIBOR + 3.250%) 4.250%, 1/31/25 | 483 | 459 | |
TricorBraun, Inc. | |||
(6 month LIBOR + 3.250%) 3.750%, 3/3/28 | 361 | 357 |
Par Value | Value | ||
Forest Prod / Containers—continued | |||
(6 month LIBOR + 3.250%) 0.608%, 3/3/28(13) | $ 78 | $ 77 | |
(6 month LIBOR + 3.250%) 0.608%, 3/3/28 | 3 | 3 | |
2,770 | |||
Gaming / Leisure—1.1% | |||
Carnival Corp. (1 month LIBOR + 7.500%) 8.500%, 6/30/25 | 144 | 148 | |
CCM Merger, Inc. Tranche B (3 month LIBOR + 3.750%) 4.500%, 11/4/25 | 373 | 374 | |
ECL Entertainment LLC (3 month LIBOR + 8.000%) 0.000%, 3/31/28(11) | 100 | 99 | |
Enterprise Development Authority Tranche B (3 month LIBOR + 4.250%) 0.000%, 2/18/28(11) | 140 | 140 | |
Everi Payments, Inc. | |||
(1 month LIBOR + 10.500%) 11.500%, 5/9/24 | 45 | 47 | |
Tranche B (1 month LIBOR + 2.750%) 3.500%, 5/9/24 | 255 | 253 | |
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 | 871 | 836 | |
Pug LLC Tranche B (1 month LIBOR + 3.500%) 3.609%, 2/12/27 | 642 | 619 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 2.859%, 8/14/24 | 330 | 323 | |
UFC Holdings LLC Tranche B-3 (3 month LIBOR + 3.000%) 3.750%, 4/29/26 | 619 | 616 | |
3,506 | |||
Par Value | Value | ||
Healthcare—4.2% | |||
Accelerated Health Systems LLC (1 month LIBOR + 3.500%) 3.611%, 10/31/25 | $396 | $393 | |
AHP Health Partners, Inc. Tranche B-1 (1 month LIBOR + 3.750%) 4.750%, 6/30/25 | 483 | 483 | |
ASP Navigate Acquisition Corp. (3 month LIBOR + 4.500%) 5.500%, 10/6/27 | 354 | 353 | |
AthenaHealth, Inc. Tranche B-1 (3 month LIBOR + 4.250%) 4.453%, 2/11/26 | 220 | 220 | |
Azalea TopCo, Inc. (3 month LIBOR + 4.000%) 4.750%, 7/24/26 | 673 | 674 | |
Cano Health LLC | |||
(3 month LIBOR + 4.750%) 5.500%, 11/19/27 | 519 | 519 | |
(3 month LIBOR + 4.750%) 4.750%, 11/19/27(13) | 190 | 190 | |
CHG Healthcare Services, Inc. (3 month LIBOR + 3.000%) 4.000%, 6/7/23 | 554 | 552 | |
CPI Holdco LLC Tranche B-1, First Lien (1 month LIBOR + 4.000%) 4.109%, 11/4/26 | 45 | 45 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 3.859%, 10/10/25 | 284 | 244 | |
eResearch Technology, Inc. First Lien (3 month LIBOR + 4.500%) 0.000%, 2/4/27(11) | 95 | 95 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 3.865%, 11/17/25 | 563 | 561 | |
Milano Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 4.750%, 10/1/27 | 633 | 630 | |
National Mentor Holdings, Inc. | |||
First Lien (3 month LIBOR + 1.000%) 1.000%, 3/1/28(13) | 46 | 46 |
Par Value | Value | ||
Healthcare—continued | |||
First Lien (3 month LIBOR + 3.750%) 4.500%, 3/1/28 | $ 420 | $ 417 | |
Tranche C, First Lien (3 month LIBOR + 0.000%) 0.750%, 3/1/28 | 14 | 14 | |
One Call Corp. First Lien (3 month LIBOR + 5.250%) 6.250%, 11/27/22 | 1,232 | 1,223 | |
Ortho-Clinical Diagnostics, Inc. (3 month LIBOR + 3.250%) 3.359%, 6/30/25 | 196 | 196 | |
Packaging Coordinators Midco, Inc. Tranche B, First Lien (3 month LIBOR + 3.750%) 4.500%, 11/30/27 | 415 | 414 | |
Pearl Intermediate Parent LLC First Lien (1 month LIBOR + 2.750%) 2.859%, 2/14/25 | 598 | 587 | |
PetVet Care Centers LLC 2021, First Lien (1 month LIBOR + 3.500%) 4.250%, 2/14/25 | 418 | 417 | |
Phoenix Guarantor, Inc. | |||
Tranche B (1 month LIBOR + 3.750%) 4.250%, 3/5/26 | 309 | 306 | |
Tranche B-1 (1 month LIBOR + 3.250%) 3.361%, 3/5/26 | 737 | 728 | |
Pluto Acquisition I, Inc. 2020, First Lien (1 month LIBOR + 5.000%) 5.500%, 6/22/26 | 419 | 419 | |
Precision Medicine Group LLC | |||
(3 month LIBOR + 1.000%) 1.000%, 11/18/27(13) | 77 | 76 | |
(3 month LIBOR + 3.000%) 3.750%, 11/18/27 | 717 | 711 | |
Southern Veterinary Partners LLC | |||
(3 month LIBOR + 4.000%) 4.000%, 10/1/27(13) | 88 | 89 | |
First Lien (3 month LIBOR + 4.000%) 5.000%, 10/5/27 | 639 | 640 |
Par Value | Value | ||
Healthcare—continued | |||
Sterigenics-Nordion Holdings LLC (3 month LIBOR + 2.750%) 3.250%, 12/13/26 | $ 285 | $ 284 | |
Sunshine Luxembourg VII S.a.r.l. Tranche B-3 (3 month LIBOR + 3.750%) 0.000%, 10/1/26(11) | 285 | 284 | |
Surgery Center Holdings, Inc. 2020 (1 month LIBOR + 8.000%) 9.000%, 9/30/24 | 74 | 76 | |
TTF Holdings LLC (3 month LIBOR + 4.250%) 0.000%, 3/31/28(11) | 195 | 194 | |
Verscend Holding Corp. Tranche B (3 month LIBOR + 4.250%) 0.000%, 8/27/25(11) | 160 | 160 | |
Viant Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 3.859%, 7/2/25 | 1,139 | 1,103 | |
Waystar Technologies, Inc. 2021 (1 month LIBOR + 4.000%) 4.109%, 10/22/26 | 471 | 471 | |
13,814 | |||
Housing—0.1% | |||
Hillman Group, Inc. (The) | |||
(3 month LIBOR + 2.750%) 0.000%, 2/24/28(11)(13) | 38 | 38 | |
(3 month LIBOR + 2.750%) 0.000%, 2/24/28(11) | 34 | 34 | |
Tranche B-1 (3 month LIBOR + 2.750%) 0.000%, 2/24/28(11) | 356 | 353 | |
425 | |||
Information Technology—2.6% | |||
Applied Systems, Inc. Second Lien (3 month LIBOR + 5.500%) 6.250%, 9/19/25 | 370 | 372 | |
Aston Finco S.a.r.l. First Lien (1 month LIBOR + 4.250%) 4.360%, 10/9/26 | 466 | 462 | |
Barracuda Networks, Inc. First Lien (3 month LIBOR + 3.750%) 4.500%, 2/12/25 | 577 | 576 |
Par Value | Value | ||
Information Technology—continued | |||
Boxer Parent Co., Inc. 2021 (1 month LIBOR + 3.750%) 0.000%, 10/2/25 | $544 | $542 | |
Epicor Software Corp. Tranche C (1 month LIBOR + 3.250%) 4.000%, 7/30/27 | 816 | 813 | |
Greeneden US Holdings II LLC Tranche B-4 (1 month LIBOR + 4.000%) 4.750%, 12/1/27 | 500 | 500 | |
Hyland Software, Inc. 2018 (1 month LIBOR + 3.500%) 4.250%, 7/1/24 | 811 | 810 | |
Infinite Bidco LLC | |||
First Lien (3 month LIBOR + 3.750%) 4.250%, 3/2/28 | 595 | 590 | |
Second Lien (3 month LIBOR + 7.000%) 7.500%, 2/24/29 | 225 | 225 | |
Ion Trading Finance Ltd. (3 month LIBOR + 4.750%) 0.000%, 3/26/28(11) | 115 | 115 | |
Masergy Holdings, Inc. 2017, First Lien (3 month LIBOR + 3.250%) 4.250%, 12/15/23 | 612 | 609 | |
Project Ruby Ultimate Parent Corp. First Lien (3 month LIBOR + 3.250%) 4.000%, 3/3/28 | 375 | 373 | |
Sophia LP (3 month LIBOR + 3.750%) 3.953%, 10/7/27 | 858 | 857 | |
Turing Midco LLC (1 month LIBOR + 3.250%) 3.750%, 3/17/28 | 180 | 179 | |
UKG, Inc. 2021 (3 month LIBOR + 3.250%) 4.000%, 5/4/26 | 861 | 861 | |
Ultimate Software Group, Inc. (The) Second Lien (3 month LIBOR + 6.750%) 7.500%, 5/3/27 | 25 | 26 |
Par Value | Value | ||
Information Technology—continued | |||
Ultra Clean Holdings, Inc. (3 month LIBOR + 3.750%) 0.000%, 2/24/28(11) | $240 | $ 240 | |
Vertiv Group Corp. Tranche B (1 month LIBOR + 2.750%) 2.869%, 3/2/27 | 342 | 339 | |
Virtusa Corp. (1 month LIBOR + 4.250%) 5.000%, 2/11/28 | 95 | 95 | |
8,584 | |||
Manufacturing—1.4% | |||
Alliance Laundry Systems LLC Tranche B (3 month LIBOR + 3.500%) 4.250%, 10/8/27 | 519 | 517 | |
Backyard Acquireco, Inc. (3 month LIBOR + 4.000%) 4.750%, 11/2/27 | 923 | 924 | |
CIRCOR International, Inc. (3 month LIBOR + 3.250%) 0.000%, 12/11/24(11) | 625 | 618 | |
Filtration Group Corp. | |||
(1 month LIBOR + 3.000%) 3.109%, 3/31/25 | 515 | 508 | |
Tranche A (1 month LIBOR + 3.750%) 4.500%, 3/29/25 | 343 | 343 | |
Gates Global LLC Tranche B-3 (1 month LIBOR + 2.750%) 3.500%, 3/31/27 | 603 | 601 | |
Star US Bidco LLC (1 month LIBOR + 4.250%) 5.250%, 3/17/27 | 587 | 580 | |
Truck Hero, Inc. (1 month LIBOR + 3.750%) 4.500%, 1/29/28 | 245 | 244 | |
US Farathane LLC Tranche B-5 (3 month LIBOR + 4.250%) 5.250%, 12/23/24 | 359 | 357 | |
4,692 | |||
Media / Telecom - Broadcasting—0.1% | |||
Diamond Sports Group LLC (1 month LIBOR + 3.250%) 3.360%, 8/24/26 | 276 | 188 |
Par Value | Value | ||
Media / Telecom - Cable/Wireless Video—0.1% | |||
Intelsat Jackson Holdings S.A. Tranche B-5 (6 month LIBOR + 8.625%) 8.625%, 1/2/24(12) | $318 | $324 | |
Radiate Holdco LLC Tranche B (1 month LIBOR + 3.500%) 4.250%, 9/25/26 | 116 | 116 | |
440 | |||
Media / Telecom - Diversified Media—0.2% | |||
Newco Financing Partnership Tranche AV1 (1 month LIBOR + 3.500%) 3.606%, 1/31/29 | 400 | 399 | |
UPC Financing Partnership Tranche AV (1 month LIBOR + 3.500%) 3.606%, 1/31/29 | 400 | 399 | |
798 | |||
Media / Telecom - Telecommunications—0.2% | |||
Consolidated Communications, Inc. (1 month LIBOR + 4.750%) 5.750%, 10/2/27 | 268 | 268 | |
Securus Technologies Holdings, Inc. First Lien (3 month LIBOR + 4.500%) 5.500%, 11/1/24 | 449 | 414 | |
682 | |||
Retail—0.8% | |||
CNT Holdings I Corp. First Lien (6 month LIBOR + 3.750%) 4.500%, 11/8/27 | 495 | 494 | |
Gloves Buyer, Inc. First Lien (1 month LIBOR + 4.000%) 4.750%, 1/20/28 | 480 | 479 | |
Great Outdoors Group LLC Tranche B-1 (3 month LIBOR + 4.250%) 0.000%, 3/5/28(11) | 500 | 500 |
Par Value | Value | ||
Retail—continued | |||
Michaels Stores, Inc. 2020, Tranche B (1 month LIBOR + 3.500%) 4.250%, 10/1/27 | $251 | $ 250 | |
Petco Health and Wellness Co., Inc. First Lien (3 month LIBOR + 3.250%) 4.000%, 3/4/28 | 420 | 418 | |
PetsMart LLC (3 month LIBOR + 3.750%) 4.500%, 2/12/28 | 440 | 439 | |
2,580 | |||
Service—2.3% | |||
Acuris Finance US, Inc. (3 month LIBOR + 4.000%) 4.500%, 2/16/28 | 140 | 139 | |
Cardtronics USA, Inc. (1 month LIBOR + 4.000%) 5.000%, 6/29/27 | 501 | 500 | |
Carlisle Food Service Products, Inc. First Lien (3 month LIBOR + 3.000%) 4.000%, 3/20/25 | 486 | 469 | |
DG Investment Intermediate Holdings 2, Inc. | |||
First Lien (3 month LIBOR + 3.750%) 0.000%, 12/23/24(11)(13) | 39 | 39 | |
First Lien (3 month LIBOR + 3.750%) 0.000%, 3/31/28(11) | 302 | 300 | |
First Lien (3 month LIBOR + 3.750%) 0.000%, 3/31/28(11) | 24 | 24 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 3.250%) 3.359%, 2/6/26 | 594 | 590 | |
DXP Enterprises, Inc. (1 month LIBOR + 4.750%) 5.750%, 12/16/27 | 344 | 343 |
Par Value | Value | ||
Service—continued | |||
Ensemble RCM LLC (3 month LIBOR + 3.750%) 3.962%, 8/3/26 | $145 | $ 144 | |
Grab Holdings, Inc. (6 month LIBOR + 4.500%) 5.500%, 1/29/26 | 840 | 853 | |
Hoya Midco LLC First Lien (1 month LIBOR + 3.500%) 4.500%, 6/30/24 | 629 | 616 | |
NAB Holdings LLC 2018 (3 month LIBOR + 3.000%) 4.000%, 7/1/24 | 647 | 644 | |
Peraton Corp. | |||
(3 month LIBOR + 3.750%) 0.000%, 2/1/28(11) | 428 | 427 | |
Tranche B, First Lien (3 month LIBOR + 3.750%) 4.500%, 2/1/28 | 243 | 243 | |
Pi US Mergerco, Inc. Tranche B-1 (1 month LIBOR + 3.500%) 4.500%, 1/3/25 | 468 | 467 | |
Pike Corp. 2028 (3 month LIBOR + 3.000%) 3.130%, 1/21/28 | 641 | 638 | |
PODS LLC (3 month LIBOR + 3.000%) 0.000%, 3/31/28(11) | 265 | 264 | |
TKC Holdings, Inc. First Lien (6 month LIBOR + 3.750%) 4.750%, 2/1/23 | 318 | 310 | |
Weld North Education LLC 2020 (1 month LIBOR + 4.000%) 4.750%, 12/15/27 | 653 | 652 | |
7,662 | |||
Transportation - Automotive—0.4% | |||
Clarios Global LP First Lien (1 month LIBOR + 3.250%) 3.359%, 4/30/26 | 334 | 330 |
Par Value | Value | ||
Transportation - Automotive—continued | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23 | $866 | $ 835 | |
PAI Holdco, Inc. Tranche B (3 month LIBOR + 4.000%) 5.000%, 10/28/27 | 135 | 135 | |
1,300 | |||
Utility—0.3% | |||
Brookfield WEC Holdings, Inc. (1 month LIBOR + 2.750%) 3.250%, 8/1/25 | 690 | 683 | |
PG&E Corp. Tranche B (3 month LIBOR + 3.000%) 3.500%, 6/23/25 | 149 | 149 | |
832 | |||
Total Leveraged Loans (Identified Cost $63,633) | 63,483 | ||
Shares | ||
Preferred Stocks—1.9% | ||
Financials—1.6% | ||
Capital Farm Credit ACA Series 1 144A, 5.000%(1) | 525 (14) | 537 |
Discover Financial Services Series D, 6.125% | 360 (14) | 400 |
Fifth Third Bancorp Series L, 4.500% | 755 (14) | 802 |
KeyCorp Series D, 5.000% | 755 (14) | 827 |
MetLife, Inc. Series D, 5.875% | 478 (14) | 529 |
Truist Financial Corp. Series Q, 5.100% | 880 (14) | 959 |
Zions Bancorp NA, 6.950% | 38,525 | 1,075 |
5,129 | ||
Shares | Value | ||
Industrials—0.3% | |||
General Electric Co. Series D, 3.514%(3) | 1,055 (14) | $ 997 | |
Total Preferred Stocks (Identified Cost $5,691) | 6,126 | ||
Common Stocks—0.1% | |||
Communication Services—0.0% | |||
Clear Channel Outdoor Holdings, Inc. Class A(15) | 11,677 | 21 | |
Consumer Discretionary—0.1% | |||
Mark IV Industries | 446 | 1 | |
MYT Holding LLC Class B(15) | 42,729 | 222 | |
223 | |||
Energy—0.0% | |||
Frontera Energy Corp. | 6,656 | 34 | |
Financials—0.0% | |||
Neiman Marcus Group, Inc.(15) | 836 | 58 | |
Total Common Stocks (Identified Cost $482) | 336 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(9)(15) | 6,252 | 7 | |
Total Rights (Identified Cost $5) | 7 | ||
Warrant—0.0% | |||
Communication Services—0.0% | |||
iHeartMedia, Inc.(9) | 4,966 | 61 | |
Total Warrant (Identified Cost $86) | 61 | ||
Total Long-Term Investments—98.2% (Identified Cost $322,722) | 325,892 | ||
Shares | Value | ||
Securities Lending Collateral—0.9% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(16)(17) | 2,881,793 | $ 2,882 | |
Total Securities Lending Collateral (Identified Cost $2,882) | 2,882 | ||
TOTAL INVESTMENTS—99.1% (Identified Cost $325,604) | $328,774 | ||
Other assets and liabilities, net—0.9% | 2,890 | ||
NET ASSETS—100.0% | $331,664 |
Abbreviations: | |
ABS | Asset-Backed Securities |
ACA | American Capital Access Financial Guarantee Corp. |
BAM | Build America Municipal Insured |
JSC | Joint Stock Company |
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 March 31, 2021, these securities amounted to a value of $186,918 or 56.4% of net assets. |
(2) | Regulation S security. Security is offered and sold outside of the United States; it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(3) | Variable rate security. Rate disclosed is as of March 31, 2021. 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) | All or a portion of security is on loan. |
(5) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(6) | The first payment of cash and/or principal will be made on 10/1/21. |
(7) | No contractual maturity date. |
(8) | 37% of the income received was in cash and 63% was in PIK. |
(9) | 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. |
(10) | 100% of the income received was in cash. |
(11) | This loan will settle after March 31, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(12) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(13) | Represents unfunded portion of security and commitment fee earned on this portion. |
(14) | Value shown as par value. |
(15) | Non-income producing. |
(16) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(17) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | |
United States | 81% |
Canada | 2 |
Indonesia | 2 |
Mexico | 2 |
Luxembourg | 1 |
Netherlands | 1 |
Saudi Arabia | 1 |
Other | 10 |
Total | 100% |
† % of total investments as of March 31, 2021. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $ 32,805 | $ — | $ 32,805 | $— | |||
Corporate Bonds and Notes | 153,043 | — | 153,041 | 2 (1) | |||
Foreign Government Securities | 24,189 | — | 24,189 | — | |||
Leveraged Loans | 63,483 | — | 63,483 | — | |||
Mortgage-Backed Securities | 45,420 | — | 45,420 | — | |||
Municipal Bonds | 422 | — | 422 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 6,126 | — | 6,126 | — | |||
Common Stocks | 336 | 55 | 281 | — | |||
Rights | 7 | — | — | 7 | |||
Warrant | 61 | — | — | 61 | |||
Securities Lending Collateral | 2,882 | 2,882 | — | — | |||
Total Investments | $328,774 | $2,937 | $325,767 | $70 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Par Value | Value | ||
Corporate Bonds and Notes—4.6% | |||
Communication Services—0.8% | |||
Clear Channel Worldwide Holdings, Inc. 144A 5.125%, 8/15/27(1) | $ 130 | $ 131 | |
Diamond Sports Group LLC 144A 5.375%, 8/15/26(1) | 445 | 320 | |
iHeartCommunications, Inc. | |||
6.375%, 5/1/26 | 258 | 273 | |
8.375%, 5/1/27 | 467 | 501 | |
Level 3 Financing, Inc. 144A 4.250%, 7/1/28(1) | 55 | 56 | |
Radiate Holdco LLC 144A 4.500%, 9/15/26(1) | 280 | 283 | |
1,564 | |||
Consumer Discretionary—0.5% | |||
Caesars Entertainment, Inc. 144A 6.250%, 7/1/25(1) | 95 | 101 | |
Carnival Corp. 144A 11.500%, 4/1/23(1) | 230 | 263 | |
MGM Growth Properties Operating Partnership LP 144A 4.625%, 6/15/25(1) | 70 | 74 | |
NCL Corp., Ltd. 144A 5.875%, 3/15/26(1) | 180 | 182 | |
PetSmart, Inc. 144A 4.750%, 2/15/28(1) | 300 | 307 | |
Tenneco, Inc. 5.375%, 12/15/24 | 205 | 206 | |
1,133 | |||
Consumer Staples—0.4% | |||
Dole Food Co., Inc. 144A 7.250%, 6/15/25(1) | 855 | 878 | |
Kronos Acquisition Holdings, Inc. 144A 5.000%, 12/31/26(1) | 5 | 5 | |
883 | |||
Financials—0.5% | |||
Acrisure LLC 144A 4.250%, 2/15/29(1) | 240 | 236 | |
ICAHN Enterprises LP 4.750%, 9/15/24 | 550 | 571 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 225 | 222 | |
1,029 | |||
Health Care—1.2% | |||
Community Health Systems, Inc. 144A 6.625%, 2/15/25(1) | 430 | 454 |
Par Value | Value | ||
Health Care—continued | |||
Legacy LifePoint Health LLC | |||
144A 6.750%, 4/15/25(1) | $ 10 | $ 11 | |
144A 4.375%, 2/15/27(1) | 260 | 255 | |
One Call Corp. PIK Interest Capitalization 144A 8.750%, 7/1/24(1)(2) | 1,740 | 1,788 | |
Tenet Healthcare Corp. 144A 7.500%, 4/1/25(1) | 55 | 59 | |
2,567 | |||
Industrials—0.4% | |||
American Airlines, Inc. | |||
144A 5.500%, 4/20/26(1) | 135 | 140 | |
144A 5.750%, 4/20/29(1) | 50 | 53 | |
Spirit AeroSystems, Inc. 3.950%, 6/15/23 | 230 | 228 | |
TransDigm, Inc. 144A 8.000%, 12/15/25(1) | 435 | 474 | |
895 | |||
Materials—0.4% | |||
Ardagh Packaging Finance plc | |||
144A 4.125%, 8/15/26(1) | 590 | 605 | |
144A 5.250%, 8/15/27(1) | 200 | 204 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(1) | 95 | 103 | |
912 | |||
Real Estate—0.4% | |||
iStar, Inc. 4.250%, 8/1/25 | 875 | 881 | |
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 $9,575) | 9,864 | ||
Leveraged Loans(4)—99.0% | |||
Aerospace—3.5% | |||
AI Convoy (Luxembourg) S.a.r.l. Tranche B (6 month LIBOR + 3.500%) 4.500%, 1/18/27 | 832 | 830 | |
Amentum Government Services Holdings LLC Tranche 2, First Lien (3 month LIBOR + 4.750%) 5.500%, 1/29/27 | 1,005 | 1,006 | |
American Airlines, Inc. | |||
(3 month LIBOR + 4.750%) 0.000%, 4/20/28(5) | 390 | 399 |
Par Value | Value | ||
Aerospace—continued | |||
2017, Tranche B (1 month LIBOR + 2.000%) 2.106%, 12/14/23 | $ 800 | $ 764 | |
Atlantic Aviation FBO, Inc. (1 month LIBOR + 3.750%) 3.860%, 12/6/25 | 650 | 649 | |
Kestrel Bidco, Inc. (4 month LIBOR + 3.000%) 4.000%, 12/11/26 | 833 | 807 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27 | 1,075 | 1,141 | |
TransDigm, Inc. Tranche F (1 month LIBOR + 2.250%) 2.359%, 12/9/25 | 1,776 | 1,738 | |
7,334 | |||
Chemicals—4.6% | |||
Aruba Investments Holdings LLC First Lien (3 month LIBOR + 4.000%) 4.750%, 11/24/27 | 545 | 544 | |
Ascend Performance Materials Operations LLC 2021 (3 month LIBOR + 4.750%) 5.500%, 8/27/26 | 458 | 464 | |
CPC Acquisition Corp. First Lien (3 month LIBOR + 3.750%) 4.500%, 12/29/27 | 235 | 235 | |
Element Solutions, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.109%, 2/2/26 | 992 | 986 | |
Gemini HDPE LLC 2027 (3 month LIBOR + 3.000%) 3.500%, 12/31/27 | 480 | 477 | |
H.B. Fuller Co. Tranche B (1 month LIBOR + 2.000%) 2.111%, 10/20/24 | 816 | 812 | |
Hexion, Inc. Tranche B (3 month LIBOR + 3.500%) 3.740%, 7/1/26 | 694 | 694 | |
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 2.109%, 4/1/24 | 2,106 | 2,080 | |
Ineos U.S. Petrochem LLC 2026, Tranche B (3 month LIBOR + 2.750%) 3.250%, 1/29/26 | 640 | 638 | |
Innophos Holdings, Inc. (1 month LIBOR + 3.500%) 3.609%, 2/5/27 | 861 | 858 |
Par Value | Value | ||
Chemicals—continued | |||
Starfruit Finco B.V. (1 month LIBOR + 2.750%) 2.860%, 10/1/25 | $1,269 | $ 1,248 | |
Trinseo Materials Operating SCA Tranche B-2, First Lien (3 month LIBOR + 2.500%) 0.000%, 3/17/28(5) | 625 | 618 | |
9,654 | |||
Consumer Durables—1.5% | |||
CP Atlas Buyer, Inc. Tranche B (3 month LIBOR + 3.750%) 4.250%, 11/23/27 | 335 | 333 | |
Plantronics, Inc. Tranche B (1 month LIBOR + 2.500%) 2.650%, 7/2/25 | 696 | 686 | |
Resideo Funding, Inc. Tranche B (3 month LIBOR + 2.250%) 2.750%, 2/11/28 | 250 | 249 | |
Serta Simmons Bedding LLC First Lien (3 month LIBOR + 3.500%) 4.500%, 11/8/23 | 1,645 | 1,071 | |
Zodiac Pool Solutions LLC Tranche B1 (1 month LIBOR + 2.000%) 2.109%, 7/2/25 | 837 | 829 | |
3,168 | |||
Consumer Non-Durables—3.0% | |||
Diamond (BC) B.V. (1 month LIBOR + 3.000%) 3.109%, 9/6/24 | 1,391 | 1,383 | |
Isagenix International LLC (3 month LIBOR + 5.750%) 6.750%, 6/16/25 | 830 | 617 | |
Kronos Acquisition Holdings, Inc. Tranche B-1 (3 month LIBOR + 3.750%) 4.250%, | 1,252 | 1,233 | |
Parfums Holding Co., Inc. First Lien (1 month LIBOR + 4.000%) 4.109%, 6/30/24 | 1,172 | 1,159 | |
Rodan & Fields LLC (1 month LIBOR + 4.000%) 4.106%, 6/16/25 | 819 | 692 |
Par Value | Value | ||
Consumer Non-Durables—continued | |||
ZEP, Inc. First Lien (3 month LIBOR + 4.000%) 5.000%, 8/12/24 | $1,182 | $ 1,167 | |
6,251 | |||
Energy—1.6% | |||
CITGO Holding, Inc. (3 month LIBOR + 7.000%) 8.000%, 8/1/23 | 310 | 298 | |
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 6.250%) 7.250%, 3/28/24 | 673 | 674 | |
Fieldwood Energy LLC First Lien (3 month PRIME + 4.250%) 7.500%, 4/11/22(6) | 733 | 279 | |
Hamilton Projects Acquiror LLC (3 month LIBOR + 4.750%) 5.750%, 6/17/27 | 835 | 837 | |
Medallion Midland Acquisition LLC (1 month LIBOR + 3.250%) 4.250%, 10/30/24 | 630 | 623 | |
Paragon Offshore Finance Co. (3 month PRIME + 0.000%) 3.250%, 7/16/21(3)(7) | 11 | — | |
Traverse Midstream Partners LLC (1 month LIBOR + 5.500%) 6.500%, 9/27/24 | 601 | 595 | |
3,306 | |||
Financial—3.5% | |||
Acrisure LLC 2020, Tranche B (3 month LIBOR + 3.500%) 3.703%, 2/15/27 | 1,255 | 1,239 | |
Asurion LLC | |||
Tranche B-3, Second Lien (1 month LIBOR + 5.250%) 5.359%, 1/31/28 | 425 | 433 | |
Tranche B-8 (1 month LIBOR + 3.250%) 3.359%, 12/23/26 | 941 | 935 | |
Tranche B-9 (1 month LIBOR + 3.250%) 3.359%, 7/31/27 | 495 | 491 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 3.109%, 6/16/25 | 719 | 708 |
Par Value | Value | ||
Financial—continued | |||
Citadel Securities LP 2021 (3 month LIBOR + 2.500%) 2.615%, 2/2/28 | $1,505 | $ 1,487 | |
Deerfield Dakota Holding LLC First Lien (1 month LIBOR + 3.750%) 4.750%, 4/9/27 | 1,197 | 1,196 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 2.854%, 6/28/23 | 337 | 336 | |
RealPage, Inc. First Lien (3 month LIBOR + 3.750%) 0.000%, 2/18/28(5) | 565 | 562 | |
7,387 | |||
Food / Tobacco—5.6% | |||
Aramark Services, Inc. Tranche B-2 (1 month LIBOR + 1.750%) 1.859%, 3/28/24 | 850 | 846 | |
Arterra Wines Canada, Inc. Tranche B-1 (3 month LIBOR + 3.500%) 4.250%, 11/24/27 | 618 | 618 | |
CHG PPC Parent LLC First Lien (1 month LIBOR + 2.750%) 2.859%, 3/31/25 | 765 | 754 | |
Chobani LLC (1 month LIBOR + 3.500%) 4.500%, 10/20/27 | 1,070 | 1,068 | |
City Brewing Co. LLC First Lien (3 month LIBOR + 3.500%) 0.000%, 10/1/26(5) | 240 | 239 | |
Dole Food Co., Inc. Tranche B (3 month LIBOR + 2.750%) 3.754%, 4/6/24 | 447 | 446 | |
Froneri US, Inc. Tranche B-2 (1 month LIBOR + 2.250%) 2.359%, 1/29/27 | 938 | 924 | |
H-Food Holdings LLC (1 month LIBOR + 3.688%) 3.796%, 5/23/25 | 1,588 | 1,571 | |
Hostess Brands LLC 2019, Tranche B (3 month LIBOR + 3.000%) 3.000%, 8/3/25 | 829 | 824 | |
Milk Specialties Co. (1 month LIBOR + 4.000%) 5.000%, 8/16/23 | 1,110 | 1,109 |
Par Value | Value | ||
Food / Tobacco—continued | |||
Shearer’s Foods LLC First Lien (3 month LIBOR + 3.500%) 4.250%, 9/23/27 | $1,605 | $ 1,601 | |
Sigma Bidco B.V. Tranche B-2 (3 month LIBOR + 3.000%) 3.260%, 7/2/25 | 1,360 | 1,340 | |
Triton Water Holdings, Inc. First Lien (3 month LIBOR + 3.500%) 0.000%, 3/31/28(5) | 475 | 473 | |
11,813 | |||
Forest Prod / Containers—6.6% | |||
Anchor Glass Container Corp. | |||
(3 month LIBOR + 5.000%) 6.000%, 12/7/23 | 387 | 344 | |
2017 (3 month LIBOR + 2.750%) 3.750%, 12/7/23 | 965 | 850 | |
Second Lien (3 month LIBOR + 7.750%) 8.750%, 12/7/24 | 269 | 135 | |
Berlin Packaging LLC First Lien (1 month LIBOR + 3.000%) 3.120%, 11/7/25 | 1,050 | 1,030 | |
Berry Global, Inc. Tranche Z (3 month LIBOR + 1.750%) 1.898%, 7/1/26 | 1,554 | 1,540 | |
BWay Holding Co. (3 month LIBOR + 3.250%) 3.443%, 4/3/24 | 1,261 | 1,233 | |
Fort Dearborn Holding Co., Inc. First Lien (3 month LIBOR + 4.000%) 5.000%, 10/19/23 | 1,298 | 1,294 | |
Klockner Pentaplast of America, Inc. Tranche B (3 month LIBOR + 4.750%) 0.000%, 2/12/26(5) | 1,415 | 1,410 | |
Reynolds Group Holdings, Inc. | |||
(3 month LIBOR + 2.750%) 2.859%, 2/6/23 | 583 | 580 | |
Tranche B-2 (1 month LIBOR + 3.250%) 3.359%, 2/5/26 | 1,631 | 1,611 |
Par Value | Value | ||
Forest Prod / Containers—continued | |||
Schweitzer-Mauduit International, Inc. Tranche B (3 month LIBOR + 4.000%) 0.000%, 1/27/28(5) | $1,000 | $ 996 | |
Spectrum Holdings III Corp. First Lien (3 month LIBOR + 3.250%) 4.250%, 1/31/25 | 1,148 | 1,090 | |
TricorBraun, Inc. | |||
(4 month LIBOR + 0.500%) 0.500%, 3/3/28(8) | 156 | 144 | |
(6 month LIBOR + 3.250%) 3.750%, 3/3/28 | 720 | 712 | |
(6 month LIBOR + 3.250%) 3.750%, 3/3/28 | 5 | 16 | |
Trident TPI Holdings, Inc. Tranche B-1 (3 month LIBOR + 3.000%) 4.000%, 10/17/24 | 1,045 | 1,033 | |
14,018 | |||
Gaming / Leisure—6.0% | |||
Aristocrat Technologies, Inc. | |||
(3 month LIBOR + 3.750%) 4.750%, 10/19/24 | 119 | 119 | |
Tranche B-3 (3 month LIBOR + 1.750%) 1.973%, 10/19/24 | 1,075 | 1,068 | |
Boyd Gaming Corp. Tranche B (weekly LIBOR + 2.250%) 2.331%, 9/15/23 | 841 | 839 | |
Caesars Resort Collection LLC Tranche B-1 (1 month LIBOR + 4.500%) 4.609%, 7/21/25 | 851 | 852 | |
Carnival Corp. (1 month LIBOR + 7.500%) 8.500%, 6/30/25 | 159 | 164 | |
CCM Merger, Inc. Tranche B (3 month LIBOR + 3.750%) 4.500%, 11/4/25 | 458 | 459 | |
CityCenter Holdings LLC (3 month LIBOR + 2.250%) 3.000%, 4/18/24 | 1,086 | 1,071 | |
ECL Entertainment LLC (3 month LIBOR + 8.000%) 0.000%, 3/31/28(5) | 175 | 173 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
Enterprise Development Authority Tranche B (3 month LIBOR + 4.250%) 0.000%, 2/18/28(5) | $ 195 | $ 195 | |
Everi Payments, Inc. Tranche B (1 month LIBOR + 2.750%) 3.500%, 5/9/24 | 1,220 | 1,212 | |
Golden Nugget, Inc. First Lien (2 month LIBOR + 2.500%) 3.250%, 10/4/23 | 1,309 | 1,287 | |
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 | 1,117 | 1,071 | |
Playtika Holding Corp. Tranche B-1 (3 month LIBOR + 2.750%) 0.000%, 3/5/28(5) | 420 | 417 | |
Pug LLC Tranche B (1 month LIBOR + 3.500%) 3.609%, 2/12/27 | 889 | 857 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 2.859%, 8/14/24 | 1,226 | 1,202 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.500%, 2/8/27 | 572 | 562 | |
UFC Holdings LLC Tranche B-3 (3 month LIBOR + 3.000%) 3.750%, 4/29/26 | 1,189 | 1,183 | |
12,765 | |||
Healthcare—15.3% | |||
Agiliti Health, Inc. (3 month LIBOR + 2.750%) 3.500%, 1/5/26 | 469 | 463 | |
AHP Health Partners, Inc. Tranche B-1 (1 month LIBOR + 3.750%) 4.750%, 6/30/25 | 1,183 | 1,183 | |
ASP Navigate Acquisition Corp. (3 month LIBOR + 4.500%) 5.500%, 10/6/27 | 439 | 438 |
Par Value | Value | ||
Healthcare—continued | |||
AthenaHealth, Inc. Tranche B-1 (3 month LIBOR + 4.250%) 4.453%, 2/11/26 | $ 285 | $ 285 | |
Azalea TopCo, Inc. | |||
(3 month LIBOR + 4.000%) 4.750%, 7/24/26 | 170 | 170 | |
First Lien (3 month LIBOR + 3.500%) 3.712%, 7/27/26 | 606 | 600 | |
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 2.859%, 11/27/25 | 439 | 436 | |
(1 month LIBOR + 3.000%) 3.109%, 6/2/25 | 1,290 | 1,285 | |
Cano Health LLC | |||
(3 month LIBOR + 4.750%) 5.500%, 11/19/27 | 643 | 643 | |
(3 month LIBOR + 4.750%) 4.750%, 11/19/27(8) | 235 | 235 | |
CHG Healthcare Services, Inc. (3 month LIBOR + 3.000%) 4.000%, 6/7/23 | 930 | 926 | |
Concordia International Corp. (1 month LIBOR + 5.500%) 6.500%, 9/6/24 | 712 | 711 | |
CPI Holdco LLC Tranche B-1, First Lien (1 month LIBOR + 4.000%) 4.109%, 11/4/26 | 485 | 485 | |
Endo Luxembourg Finance Co. S.a.r.l. Tranche B (3 month LIBOR + 5.000%) 5.750%, 4/29/24 | 853 | 843 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 3.859%, 10/10/25 | 1,186 | 1,021 | |
eResearch Technology, Inc. First Lien (3 month LIBOR + 4.500%) 5.500%, 2/4/27 | 938 | 938 | |
Gentiva Health Services, Inc. Tranche B-1 (1 month LIBOR + 2.750%) 2.875%, 7/2/25 | 556 | 552 | |
HAH Group Holding Co. LLC | |||
First Lien (3 month LIBOR + 0.000%) 5.000%, 10/22/27(8) | 124 | 124 |
Par Value | Value | ||
Healthcare—continued | |||
First Lien (3 month LIBOR + 5.000%) 6.000%, 10/22/27 | $ 981 | $ 984 | |
Heartland Dental LLC (1 month LIBOR + 3.500%) 3.609%, 4/30/25 | 769 | 755 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 1.953%, 6/11/25 | 801 | 796 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 3.865%, 11/17/25 | 1,337 | 1,334 | |
Milano Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 4.750%, 10/1/27 | 1,087 | 1,082 | |
National Mentor Holdings, Inc. | |||
First Lien (3 month LIBOR + 1.000%) 1.000%, 3/1/28(8) | 108 | 107 | |
First Lien (3 month LIBOR + 3.750%) 4.500%, 3/1/28 | 980 | 973 | |
Tranche C, First Lien (3 month LIBOR + 0.000%) 0.750%, 3/1/28 | 33 | 32 | |
One Call Corp. First Lien (3 month LIBOR + 5.250%) 6.250%, 11/27/22 | 218 | 217 | |
Ortho-Clinical Diagnostics, Inc. (3 month LIBOR + 3.250%) 3.359%, 6/30/25 | 753 | 751 | |
Packaging Coordinators Midco, Inc. Tranche B, First Lien (3 month LIBOR + 3.750%) 4.500%, 11/30/27 | 665 | 664 | |
Parexel International Corp. (3 month LIBOR + 2.750%) 2.859%, 9/27/24 | 1,164 | 1,150 | |
Pearl Intermediate Parent LLC First Lien (1 month LIBOR + 2.750%) 2.859%, 2/14/25 | 1,535 | 1,508 | |
PetVet Care Centers LLC 2021, First Lien (1 month LIBOR + 3.500%) 4.250%, 2/14/25 | 488 | 486 | |
Phoenix Guarantor, Inc. | |||
Tranche B (1 month LIBOR + 3.750%) 4.250%, 3/5/26 | 364 | 361 |
Par Value | Value | ||
Healthcare—continued | |||
Tranche B-1 (1 month LIBOR + 3.250%) 3.361%, 3/5/26 | $ 305 | $ 301 | |
Tranche B-3 0.000%, 3/5/26 | 655 | 649 | |
Pluto Acquisition I, Inc. 2020, First Lien (1 month LIBOR + 5.000%) 5.500%, 6/22/26 | 499 | 499 | |
PPD, Inc. (1 month LIBOR + 2.250%) 2.750%, 1/13/28 | 510 | 507 | |
Precision Medicine Group LLC | |||
(3 month LIBOR + 1.000%) 1.000%, 11/18/27(8) | 76 | 75 | |
(3 month LIBOR + 3.000%) 3.750%, 11/18/27 | 712 | 706 | |
Select Medical Corp. Tranche B (1 month LIBOR + 2.250%) 2.360%, 3/6/25 | 633 | 628 | |
Southern Veterinary Partners LLC | |||
(3 month LIBOR + 4.000%) 4.000%, 10/1/27(8) | 105 | 105 | |
First Lien (3 month LIBOR + 4.000%) 5.000%, 10/5/27 | 759 | 761 | |
Sterigenics-Nordion Holdings LLC (3 month LIBOR + 2.750%) 3.250%, 12/13/26 | 580 | 578 | |
Sunshine Luxembourg VII S.a.r.l. Tranche B-3 (3 month LIBOR + 3.750%) 0.000%, 10/1/26(5) | 535 | 534 | |
Surgery Center Holdings, Inc. | |||
(1 month LIBOR + 3.250%) 4.250%, 9/2/24 | 1,140 | 1,128 | |
2020 (1 month LIBOR + 8.000%) 9.000%, 9/30/24 | 59 | 61 | |
Team Health Holdings, Inc. (1 month LIBOR + 2.750%) 3.750%, 2/6/24 | 454 | 421 | |
TTF Holdings LLC (3 month LIBOR + 4.250%) 0.000%, 3/31/28(5) | 340 | 338 |
Par Value | Value | ||
Healthcare—continued | |||
Verscend Holding Corp. Tranche B (3 month LIBOR + 4.250%) 0.000%, 8/27/25(5) | $ 275 | $ 275 | |
Viant Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 3.859%, 7/2/25 | 1,561 | 1,512 | |
Waystar Technologies, Inc. 2021 (1 month LIBOR + 4.000%) 5.480%, 10/22/26 | 805 | 804 | |
32,420 | |||
Housing—1.9% | |||
84 Lumber Co. Tranche B-1 (3 month LIBOR + 3.000%) 3.750%, 11/13/26 | 185 | 184 | |
American Builders & Contractors Supply Co., Inc. (1 month LIBOR + 2.000%) 2.109%, 1/15/27 | 1,519 | 1,506 | |
CPG International LLC (3 month LIBOR + 2.500%) 3.250%, 5/6/24(3) | 557 | 557 | |
Hillman Group, Inc. (The) | |||
(3 month LIBOR + 2.750%) 0.000%, 2/24/28(5)(8) | 60 | 60 | |
Tranche B-1 (3 month LIBOR + 2.750%) 0.000%, 2/24/28(5) | 297 | 295 | |
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 2.109%, 11/21/24 | 1,480 | 1,473 | |
4,075 | |||
Information Technology—7.5% | |||
Applied Systems, Inc. | |||
First Lien (3 month LIBOR + 3.000%) 3.512%, 9/19/24 | 1,181 | 1,176 | |
Second Lien (3 month LIBOR + 5.500%) 6.250%, 9/19/25 | 755 | 759 | |
Aston Finco S.a.r.l. First Lien (1 month LIBOR + 4.250%) 4.360%, 10/9/26 | 779 | 772 | |
Barracuda Networks, Inc. First Lien (3 month LIBOR + 3.750%) 4.500%, 2/12/25 | 751 | 750 |
Par Value | Value | ||
Information Technology—continued | |||
Boxer Parent Co., Inc. 2021 (1 month LIBOR + 3.750%) 3.859%, 10/2/25 | $1,494 | $ 1,487 | |
Epicor Software Corp. Tranche C (1 month LIBOR + 3.250%) 4.000%, 7/30/27 | 985 | 981 | |
Greeneden US Holdings II LLC Tranche B-4 (1 month LIBOR + 4.000%) 4.750%, 12/1/27 | 710 | 710 | |
Hyland Software, Inc. | |||
(3 month LIBOR + 6.250%) 0.000%, 7/7/25(5) | 85 | 85 | |
2018 (1 month LIBOR + 3.500%) 4.250%, 7/1/24 | 1,000 | 999 | |
Infinite Bidco LLC | |||
First Lien (3 month LIBOR + 3.750%) 4.250%, 3/2/28 | 840 | 833 | |
Second Lien (3 month LIBOR + 7.000%) 7.500%, 2/24/29 | 290 | 290 | |
Ion Trading Finance Ltd. (3 month LIBOR + 4.750%) 0.000%, 3/26/28(5) | 215 | 215 | |
Masergy Holdings, Inc. 2017, First Lien (3 month LIBOR + 3.250%) 4.250%, 12/15/23 | 855 | 852 | |
Project Ruby Ultimate Parent Corp. First Lien (3 month LIBOR + 3.250%) 4.000%, 3/3/28 | 185 | 184 | |
Sophia LP (3 month LIBOR + 3.750%) 3.953%, 10/7/27 | 983 | 981 | |
Turing Midco LLC (1 month LIBOR + 3.250%) 3.750%, 3/17/28 | 330 | 329 | |
Uber Technologies, Inc. 2021 (1 month LIBOR + 3.500%) 3.609%, 2/25/27 | 1,231 | 1,225 | |
UKG, Inc. 2021 (3 month LIBOR + 3.250%) 4.000%, 5/4/26 | 1,657 | 1,657 | |
Ultimate Software Group, Inc. (The) Second Lien (3 month LIBOR + 6.750%) 7.500%, 5/3/27 | 40 | 41 | |
Ultra Clean Holdings, Inc. (3 month LIBOR + 3.750%) 0.000%, 2/24/28 | 315 | 315 |
Par Value | Value | ||
Information Technology—continued | |||
Vertiv Group Corp. Tranche B (1 month LIBOR + 2.750%) 2.869%, 3/2/27 | $1,049 | $ 1,040 | |
Virtusa Corp. (1 month LIBOR + 4.250%) 5.000%, 2/11/28 | 300 | 300 | |
15,981 | |||
Manufacturing—5.9% | |||
Alliance Laundry Systems LLC Tranche B (3 month LIBOR + 3.500%) 4.250%, 10/8/27 | 998 | 995 | |
Backyard Acquireco, Inc. (3 month LIBOR + 4.000%) 4.750%, 11/2/27 | 898 | 899 | |
Blue Tree Holdings, Inc. (3 month LIBOR + 2.500%) 2.610%, 3/4/28(3) | 820 | 816 | |
CIRCOR International, Inc. (3 month LIBOR + 3.250%) 4.250%, 12/11/24 | 961 | 950 | |
Filtration Group Corp. | |||
(1 month LIBOR + 3.000%) 3.109%, 3/31/25 | 1,494 | 1,472 | |
Tranche A (1 month LIBOR + 3.750%) 4.500%, 3/29/25 | 413 | 412 | |
Gardner Denver, Inc. | |||
Tranche A (1 month LIBOR + 2.750%) 2.859%, 3/1/27 | 55 | 54 | |
Tranche B-1 (3 month LIBOR + 1.750%) 1.859%, 3/1/27 | 823 | 812 | |
Gates Global LLC Tranche B-3 (1 month LIBOR + 2.750%) 3.500%, 3/31/27 | 1,569 | 1,563 | |
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 1.859%, 3/1/27 | 361 | 356 | |
NCR Corp. (3 month LIBOR + 2.500%) 2.720%, 8/28/26 | 934 | 922 | |
Ozark Holdings LLC 2020 (1 month LIBOR + 4.000%) 4.750%, 12/10/27 | 224 | 224 | |
Star US Bidco LLC (1 month LIBOR + 4.250%) 5.250%, 3/17/27 | 953 | 943 |
Par Value | Value | ||
Manufacturing—continued | |||
Titan Acquisition Ltd. (3 month LIBOR + 3.000%) 3.267%, 3/28/25 | $1,083 | $ 1,060 | |
Truck Hero, Inc. (1 month LIBOR + 3.750%) 4.500%, 1/29/28 | 460 | 459 | |
US Farathane LLC Tranche B-5 (3 month LIBOR + 4.250%) 5.250%, 12/23/24 | 583 | 579 | |
12,516 | |||
Media / Telecom - Broadcasting—2.9% | |||
Diamond Sports Group LLC (1 month LIBOR + 3.250%) 3.360%, 8/24/26 | 701 | 478 | |
iHeartCommunications, Inc. (1 month LIBOR + 3.000%) 3.109%, 5/1/26 | 1,407 | 1,389 | |
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 2.615%, 9/18/26 | 1,119 | 1,109 | |
Sinclair Television Group, Inc. Tranche B (1 month LIBOR + 2.250%) 2.360%, 1/3/24 | 1,015 | 1,008 | |
Univision Communications, Inc. 2017 (1 month LIBOR + 2.750%) 3.750%, 3/15/24 | 2,110 | 2,093 | |
6,077 | |||
Media / Telecom - Cable/Wireless Video—3.0% | |||
Charter Communications Operating LLC Tranche B2 (1 month LIBOR + 1.750%) 1.870%, 2/1/27 | 2,331 | 2,318 | |
CSC Holdings LLC | |||
2017 (1 month LIBOR + 2.250%) 2.356%, 7/17/25 | 1,593 | 1,569 | |
2018 (1 month LIBOR + 2.250%) 2.356%, 1/15/26 | 999 | 985 | |
Intelsat Jackson Holdings S.A. Tranche B-5 (6 month LIBOR + 8.625%) 8.625%, 1/2/24(6) | 691 | 704 |
Par Value | Value | ||
Media / Telecom - Cable/Wireless Video—continued | |||
Radiate Holdco LLC Tranche B (1 month LIBOR + 3.500%) 4.250%, 9/25/26 | $ 149 | $ 149 | |
Virgin Media Bristol LLC Tranche N (1 month LIBOR + 2.500%) 2.606%, 1/31/28 | 620 | 614 | |
6,339 | |||
Media / Telecom - Diversified Media—1.7% | |||
Clear Channel Outdoor Holdings, Inc. Tranche B (3 month LIBOR + 3.500%) 3.712%, 8/21/26 | 861 | 826 | |
McGraw Hill LLC (3 month LIBOR + 4.750%) 5.750%, 11/1/24 | 1,086 | 1,084 | |
Meredith Corp. Tranche B-2 (1 month LIBOR + 2.500%) 2.609%, 1/31/25 | 689 | 681 | |
Newco Financing Partnership Tranche AV1 (1 month LIBOR + 3.500%) 3.606%, 1/31/29 | 550 | 548 | |
UPC Financing Partnership Tranche AV (1 month LIBOR + 3.500%) 3.606%, 1/31/29 | 550 | 548 | |
3,687 | |||
Media / Telecom - Telecommunications—3.8% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.359%, 3/15/27 | 893 | 883 | |
Consolidated Communications, Inc. (1 month LIBOR + 4.750%) 5.750%, 10/2/27 | 646 | 646 | |
Level 3 Financing, Inc. 2027, Tranche B (1 month LIBOR + 1.750%) 1.859%, 3/1/27 | 2,124 | 2,095 | |
Numericable U.S. LLC | |||
Tranche B-11 (1 month LIBOR + 2.750%) 2.859%, 7/31/25 | 979 | 958 |
Par Value | Value | ||
Media / Telecom - Telecommunications—continued | |||
Tranche B-12 (1 month LIBOR + 3.688%) 3.794%, 1/31/26 | $ 534 | $ 529 | |
Tranche B-13 (3 month LIBOR + 4.000%) 4.198%, 8/14/26 | 635 | 633 | |
Securus Technologies Holdings, Inc. First Lien (3 month LIBOR + 4.500%) 5.500%, 11/1/24 | 728 | 672 | |
West Corp. | |||
Tranche B (3 month LIBOR + 4.000%) 5.000%, 10/10/24 | 498 | 481 | |
Tranche B-1 (3 month LIBOR + 3.500%) 4.500%, 10/10/24 | 452 | 434 | |
Zayo Group Holdings, Inc. (1 month LIBOR + 3.000%) 3.109%, 3/9/27 | 715 | 708 | |
8,039 | |||
Media / Telecom - Wireless Communications—0.6% | |||
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 1.860%, 4/11/25 | 1,376 | 1,359 | |
Metals / Minerals—0.2% | |||
Covia Holdings Corp. (1 month LIBOR + 4.000%) 5.000%, 7/31/26 | 491 | 473 | |
Retail—3.1% | |||
CNT Holdings I Corp. First Lien (6 month LIBOR + 3.750%) 4.500%, 11/8/27 | 830 | 828 | |
Gloves Buyer, Inc. First Lien (1 month LIBOR + 4.000%) 4.750%, 1/20/28 | 675 | 673 | |
Great Outdoors Group LLC Tranche B-1 (3 month LIBOR + 4.250%) 5.000%, 3/5/28 | 1,516 | 1,517 | |
Harbor Freight Tools USA, Inc. 2020 (1 month LIBOR + 3.000%) 3.750%, 10/19/27 | 1,589 | 1,586 |
Par Value | Value | ||
Retail—continued | |||
Michaels Stores, Inc. 2020, Tranche B (1 month LIBOR + 3.500%) 4.250%, 10/1/27 | $1,019 | $ 1,018 | |
Petco Health and Wellness Co., Inc. First Lien (3 month LIBOR + 3.250%) 4.000%, 3/4/28 | 655 | 652 | |
PetsMart LLC (3 month LIBOR + 3.750%) 4.500%, 2/12/28 | 195 | 194 | |
6,468 | |||
Service—11.5% | |||
Acuris Finance US, Inc. (3 month LIBOR + 4.000%) 4.500%, 2/16/28 | 250 | 248 | |
Adtalem Global Education, Inc. Tranche B, First Lien (3 month LIBOR + 4.500%) 0.000%, 2/14/28(5) | 1,050 | 1,039 | |
AlixPartners LLP (1 month LIBOR + 2.750%) 3.250%, 2/4/28 | 430 | 428 | |
Cardtronics USA, Inc. (1 month LIBOR + 4.000%) 5.000%, 6/29/27 | 660 | 658 | |
Carlisle Food Service Products, Inc. First Lien (3 month LIBOR + 3.000%) 4.000%, 3/20/25 | 613 | 591 | |
DG Investment Intermediate Holdings 2, Inc. | |||
First Lien (3 month LIBOR + 3.750%) 0.000%, 12/23/24(5)(8) | 73 | 72 | |
First Lien (3 month LIBOR + 3.750%) 0.000%, 12/23/24(5) | 44 | 44 | |
First Lien (3 month LIBOR + 3.750%) 0.000%, 3/31/28(5) | 558 | 555 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 3.250%) 3.359%, 2/6/26 | 1,423 | 1,415 | |
DXP Enterprises, Inc. (1 month LIBOR + 4.750%) 5.750%, 12/16/27 | 339 | 338 | |
Ensemble RCM LLC (3 month LIBOR + 3.750%) 3.962%, 8/3/26 | 299 | 298 |
Par Value | Value | ||
Service—continued | |||
Garda World Security Corp. Tranche B-2 (3 month LIBOR + 4.250%) 0.000%, 10/30/26(5) | $ 740 | $ 740 | |
GFL Environmental, Inc. 2020 (3 month LIBOR + 3.000%) 3.500%, 5/30/25 | 812 | 812 | |
Grab Holdings, Inc. (6 month LIBOR + 4.500%) 5.500%, 1/29/26 | 1,275 | 1,294 | |
Hoya Midco LLC First Lien (1 month LIBOR + 3.500%) 4.500%, 6/30/24 | 1,070 | 1,048 | |
NAB Holdings LLC 2018 (3 month LIBOR + 3.000%) 4.000%, 7/1/24 | 1,050 | 1,045 | |
Patriot Container Corp. First Lien (1 month LIBOR + 3.500%) 4.500%, 3/20/25 | 935 | 925 | |
Peraton Corp. | |||
(3 month LIBOR + 3.750%) 0.000%, 2/1/28(5) | 803 | 803 | |
Tranche B, First Lien (3 month LIBOR + 3.750%) 4.500%, 2/1/28 | 457 | 456 | |
Pi US Mergerco, Inc. Tranche B-1 (1 month LIBOR + 3.500%) 4.500%, 1/3/25 | 913 | 911 | |
Pike Corp. 2028 (3 month LIBOR + 3.000%) 3.130%, 1/21/28 | 316 | 315 | |
PODS LLC (3 month LIBOR + 3.000%) 0.000%, 3/31/28(5) | 590 | 587 | |
Sedgwick Claims Management Services, Inc. (1 month LIBOR + 3.250%) 3.359%, 12/31/25 | 2,091 | 2,061 | |
St. George’s University Scholastic Services LLC (1 month LIBOR + 3.250%) 3.360%, 7/17/25 | 989 | 977 | |
Tempo Acquisition LLC (1 month LIBOR + 3.250%) 3.750%, 11/2/26 | 876 | 875 | |
TKC Holdings, Inc. First Lien (6 month LIBOR + 3.750%) 4.750%, 2/1/23 | 885 | 863 |
Par Value | Value | ||
Service—continued | |||
Trans Union LLC Tranche B-5 (1 month LIBOR + 1.750%) 1.859%, 11/16/26 | $1,490 | $ 1,479 | |
TRC Cos, Inc. (1 month LIBOR + 4.500%) 5.250%, 6/21/24 | 569 | 570 | |
Weld North Education LLC 2020 (1 month LIBOR + 4.000%) 4.750%, 12/15/27 | 783 | 781 | |
WEX, Inc. | |||
Tranche B, First Lien (3 month LIBOR + 2.250%) 0.000%, 3/20/28(5) | 805 | 802 | |
Tranche B-3 (3 month LIBOR + 2.250%) 2.359%, 5/15/26 | 1,444 | 1,437 | |
24,467 | |||
Transportation - Automotive—3.7% | |||
Accuride Corp. 2017 (3 month LIBOR + 5.250%) 6.250%, 11/17/23 | 849 | 801 | |
American Axle & Manufacturing, Inc. Tranche B (1 month LIBOR + 2.250%) 3.000%, 4/6/24 | 1,302 | 1,293 | |
Clarios Global LP First Lien (1 month LIBOR + 3.250%) 3.359%, 4/30/26 | 929 | 919 | |
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23 | 955 | 919 | |
DexKo Global, Inc. Tranche B (3 month LIBOR + 3.500%) 4.500%, 7/24/24 | 606 | 604 | |
Navistar, Inc. Tranche B (1 month LIBOR + 3.500%) 3.620%, 11/6/24 | 1,075 | 1,075 | |
PAI Holdco, Inc. Tranche B (3 month LIBOR + 4.000%) 5.000%, 10/28/27 | 180 | 180 | |
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) 3.109%, 10/1/25 | 1,268 | 1,234 |
Par Value | Value | ||
Transportation - Automotive—continued | |||
TI Group Automotive Systems LLC First Lien (1 month LIBOR + 3.750%) 4.500%, 12/16/24 | $ 790 | $ 787 | |
7,812 | |||
Utility—2.0% | |||
Astoria Energy LLC Tranche B (3 month LIBOR + 3.500%) 4.500%, 12/10/27 | 507 | 507 | |
Brookfield WEC Holdings, Inc. (1 month LIBOR + 2.750%) 3.250%, 8/1/25 | 1,917 | 1,899 | |
Calpine Construction Finance Co. LP Tranche B (1 month LIBOR + 2.000%) 2.109%, 1/15/25 | 648 | 640 | |
Calpine Corp. Tranche B-10 (1 month LIBOR + 2.000%) 2.109%, 8/12/26 | 446 | 440 | |
Lightstone Holdco LLC | |||
2018, Tranche B (3 month LIBOR + 3.750%) 4.750%, 1/30/24 | 777 | 609 | |
2018, Tranche C (3 month LIBOR + 3.750%) 4.750%, 1/30/24 | 44 | 34 | |
PG&E Corp. Tranche B (3 month LIBOR + 3.000%) 3.500%, 6/23/25 | 194 | 193 | |
4,322 | |||
Total Leveraged Loans (Identified Cost $212,085) | 209,731 | ||
Shares | ||
Common Stocks—0.8% | ||
Communication Services—0.5% | ||
Clear Channel Outdoor Holdings, Inc. Class A(9) | 107,177 | 193 |
iHeartMedia, Inc. Class A(9) | 45,578 | 827 |
1,020 | ||
Consumer Discretionary—0.0% | ||
Libbey Glass Inc.(9) | 40,573 | 60 |
Shares | Value | ||
Financials—0.1% | |||
Neiman Marcus Group, Inc.(9) | 3,033 | $ 212 | |
Materials—0.2% | |||
Covia Holdings LLC(9) | 48,743 | 384 | |
Total Common Stocks (Identified Cost $1,768) | 1,676 | ||
Rights—0.1% | |||
Utilities—0.1% | |||
Vistra Energy Corp.(3)(9) | 152,810 | 168 | |
Total Rights (Identified Cost $130) | 168 | ||
Total Long-Term Investments—104.5% (Identified Cost $223,558) | 221,439 | ||
Short-Term Investment—0.6% | |||
Money Market Mutual Fund—0.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(10) | 1,263,479 | 1,263 | |
Total Short-Term Investment (Identified Cost $1,263) | 1,263 | ||
TOTAL INVESTMENTS—105.1% (Identified Cost $224,821) | $222,702 (11) | ||
Other assets and liabilities, net—(5.1)% | (10,793) | ||
NET ASSETS—100.0% | $211,909 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, these securities amounted to a value of $7,204 or 3.4% of net assets. |
(2) | 100% of the income received was in PIK. |
(3) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(4) | Variable rate security. Rate disclosed is as of March 31, 2021. 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 March 31, 2021, 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, interest payments are being received during the bankruptcy proceedings. |
(7) | Security in default; no 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 securities is segregated as collateral for borrowings. |
Country Weightings† | |
United States | 94% |
Netherlands | 2 |
Canada | 1 |
Luxembourg | 1 |
France | 1 |
Singapore | 1 |
Total | 100% |
† % of total investments as of March 31, 2021. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $ 9,864 | $ — | $ 9,864 | $ —(1) | |||
Leveraged Loans | 209,731 | — | 208,358 | 1,373 (1) | |||
Equity Securities: | |||||||
Rights | 168 | — | — | 168 | |||
Common Stocks | 1,676 | 1,020 | 656 | — | |||
Money Market Mutual Fund | 1,263 | 1,263 | — | — | |||
Total Investments | $222,702 | $2,283 | $218,878 | $1,541 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Corporate Bonds And Notes | Leveraged Loans | Right | ||||
Investments in Securities | |||||||
Balance as of September 30, 2020: | $ 2(a) | $ —(a) | $ 2(a) | $ — | |||
Accrued discount/(premium) | — (b) | — | — (b) | — | |||
Realized gain (loss) | (784) | — | (784) | — | |||
Change in unrealized appreciation (depreciation)(c) | 780 | — | 780 | — | |||
Purchases | 818 | — | 818 | — | |||
Transfers into Level 3(d) | 725 | — | 557 | 168 | |||
Balance as of March 31, 2021 | $ 1,541(a) | $ —(a) | $ 1,373(a) | $ 168 |
Par Value | Value | ||
Municipal Bonds(1)—96.8% | |||
Alabama—2.3% | |||
Black Belt Energy Gas District, Natural Gas Purchase Revenue, Mandatory Put 12/1/23, 4.000%, 12/1/48(2) | $ 910 | $ 988 | |
Pell City Special Care Facilities Financing Authority, Noland Health Services Revenue, | |||
4.000%, 12/1/25 | 500 | 511 | |
5.000%, 12/1/25 | 1,000 | 1,028 | |
2,527 | |||
Arizona—4.8% | |||
Arizona Board of Regents, Arizona State University System Revenue, | |||
5.000%, 7/1/36 | 1,000 | 1,195 | |
5.000%, 7/1/37 | 360 | 430 | |
Arizona Department of Transportation, State Highway Fund Revenue, 5.000%, 7/1/36 | 500 | 597 | |
Arizona State Health Facilities Authority, Scottsdale Lincoln Hospital Revenue, 5.000%, 12/1/24 | 565 | 656 | |
Northern Arizona University, Stimular Plan for Economic and Educational Development Revenue, | |||
5.000%, 8/1/24 | 1,115 | 1,226 | |
5.000%, 8/1/25 | 1,000 | 1,096 | |
5,200 | |||
Arkansas—0.6% | |||
University of Arkansas, Facility Revenue, 5.000%, 11/1/33 | 505 | 602 | |
California—3.2% | |||
California Municipal Finance Authority, Bowles Hall Foundation Revenue, | |||
4.000%, 6/1/21 | 100 | 100 | |
4.500%, 6/1/23 | 225 | 240 | |
4.500%, 6/1/24 | 150 | 163 | |
California State Health Facilities Financing Authority, Providence St. Joseph Health, 4.000%, 10/1/36 | 275 | 312 |
Par Value | Value | ||
California—continued | |||
California State Municipal Finance Authority, Community Medical Centers, 5.000%, 2/1/27 | $ 400 | $ 457 | |
Golden State Tobacco Securitization Corp., Tobacco Settlement Revenue, 5.000%, 6/1/47 | 800 | 828 | |
Inglewood Redevelopment Agency Successor Agency, Subordinate Lien Merged Redevelopment Project, Tax Allocation Revenue, (BAM Insured) 5.000%, 5/1/32 | 545 | 666 | |
Santa Clarita Community College District, General Obligation, 3.000%, 8/1/44 | 500 | 528 | |
Temecula Valley Unified School District Financing Authority, Special Tax Revenue, (BAM Insured) 5.000%, 9/1/25 | 175 | 202 | |
3,496 | |||
Colorado—5.8% | |||
Denver Convention Center Hotel Authority Revenue, Senior Lien, 5.000%, 12/1/27 | 400 | 472 | |
Public Authority For Colorado Energy, Natural Gas Purchase Revenue, | |||
6.125%, 11/15/23 | 1,395 | 1,517 | |
6.250%, 11/15/28 | 2,250 | 2,815 | |
Regional Transportation District, Sales Tax Revenue, Fastracks Project, 5.000%, 11/1/32 | 1,195 | 1,443 | |
6,247 | |||
Connecticut—2.9% | |||
Connecticut Housing Finance Authority, Mortgage Revenue, (GNMA / FNMA / FHLMC Insured) 3.200%, 11/15/33 | 445 | 472 | |
Connecticut State Health & Educational Facilities Authority Revenue, 4.000%, 7/1/40 | 725 | 821 |
Par Value | Value | ||
Connecticut—continued | |||
Connecticut State Higher Education Supplement Loan Authority, Chesla Loan Program Revenue, 3.000%, 11/15/35 | $ 200 | $ 204 | |
Connecticut, State of, | |||
General Obligation, 5.000%, 9/15/34 | 750 | 932 | |
Special Tax Revenue, 3.125%, 5/1/40 | 610 | 653 | |
3,082 | |||
District of Columbia—4.7% | |||
Metropolitan Washington Airports Authority, Dulles Toll Road Revenue, Second Lien, (AGC Insured) 6.500%, 10/1/41 | 4,000 | 5,066 | |
Florida—12.6% | |||
Brevard County Health Facilities Authority, Health First Revenue, 5.000%, 4/1/21 | 115 | 115 | |
Brevard County School Board, Certificates of Participation, 5.000%, 7/1/32 | 1,000 | 1,224 | |
Broward County School Board, Certificates of Participation, 5.000%, 7/1/32 | 300 | 359 | |
Central Florida Expressway Authority, Senior Lien Toll Revenue, 4.000%, 7/1/30 | 230 | 265 | |
Florida, State of, General Obligation, 5.000%, 7/1/31 | 4,000 | 5,138 | |
Miami Beach Redevelopment Agency, | |||
Tax Increment Revenue, 5.000%, 2/1/32 | 320 | 359 | |
Tax Increment Revenue, (AGM Insured) 5.000%, 2/1/31 | 40 | 45 | |
Miami-Dade County Educational Facilities Authority, University of Miami Revenue, 5.000%, 4/1/30 | 200 | 229 | |
Miami-Dade County School Board, Certificates of Participation, 5.000%, 2/1/34 | 1,700 | 2,004 |
Par Value | Value | ||
Florida—continued | |||
Seminole County School Board, Certificates of Participation, 5.000%, 7/1/29 | $1,935 | $ 2,335 | |
South Florida Water Management District, Certificates of Participation, 5.000%, 10/1/35 | 750 | 890 | |
Tallahassee, City of, Health Facilities Revenue, Tallahassee Memorial Healthcare, 5.000%, 12/1/36 | 500 | 569 | |
13,532 | |||
Georgia—0.6% | |||
Atlanta Water & Wastewater Revenue, 5.000%, 11/1/31 | 550 | 640 | |
Idaho—1.7% | |||
Idaho Health Facilities Authority, St. Luke’s Health System Revenue, 5.000%, 3/1/37 | 235 | 283 | |
Idaho Housing & Finance Association, Federal Highway Grant Anticipation Revenue, 4.500%, 7/15/29 | 1,500 | 1,515 | |
1,798 | |||
Illinois—13.2% | |||
Chicago, City of, | |||
Sales Tax Revenue, (Pre-Refunded 1/1/22 @ 100) 5.250%, 1/1/38 | 25 | 26 | |
Waterworks Revenue, Second Lien, 5.000%, 11/1/22 | 500 | 535 | |
Waterworks Revenue, Second Lien, 5.000%, 11/1/30 | 500 | 603 | |
Waterworks Revenue, Second Lien, (AGM Insured) 5.000%, 11/1/31 | 500 | 623 | |
Waterworks Revenue, Second Lien, (AGM Insured) 5.250%, 11/1/32 | 350 | 440 |
Par Value | Value | ||
Illinois—continued | |||
Cook County School District No. 78 Rosemont, General Obligation, (AGM Insured) 5.000%, 12/1/38 | $1,000 | $ 1,263 | |
Illinois Finance Authority, Rush University Medical Center Revenue, 5.000%, 11/15/21 | 250 | 257 | |
Illinois State Toll Highway Authority, Toll Highway Revenue, Senior Lien, 5.000%, 1/1/32 | 1,000 | 1,211 | |
Illinois, State of, General Obligation, | |||
5.000%, 4/1/22 | 815 | 850 | |
5.000%, 2/1/26 | 1,490 | 1,639 | |
5.000%, 2/1/27 | 1,250 | 1,488 | |
Metropolitan Pier & Exposition Authority, McCormick Place Expansion Project Revenue, (AGM Insured) 0.000%, 6/15/26 | 1,000 | 939 | |
Railsplitter Tobacco Settlement Authority, Tobacco Settlement Revenue, 5.000%, 6/1/27 | 450 | 536 | |
Sales Tax Securitization Corp., Chicago Sales Tax Revenue, Sales Tax Revenue, 5.000%, 1/1/30 | 1,500 | 1,822 | |
University of Illinois, Auxiliary Facilities System Revenue, | |||
5.500%, 4/1/31 | 1,540 | 1,545 | |
5.125%, 4/1/36 | 500 | 502 | |
14,279 | |||
Indiana—2.7% | |||
Indiana Finance Authority, | |||
Indiana University Health Center Revenue, 5.000%, 12/1/22 | 800 | 864 | |
Parkview Health System, 5.000%, 11/1/43 | 1,700 | 2,053 | |
2,917 | |||
Maine—2.4% | |||
Portland, City of, General Airport Revenue, | |||
5.000%, 7/1/26 | 1,000 | 1,096 |
Par Value | Value | ||
Maine—continued | |||
5.000%, 7/1/29 | $ 580 | $ 632 | |
5.000%, 7/1/30 | 770 | 837 | |
2,565 | |||
Maryland—2.2% | |||
Maryland Community Development Administration, Revenue, | |||
1.250%, 3/1/30 | 200 | 196 | |
1.950%, 9/1/41 | 500 | 479 | |
Maryland Health & Higher Educational Facilities Authority, Medstar Health System Revenue, | |||
5.000%, 8/15/26 | 800 | 930 | |
5.000%, 5/15/42 | 600 | 718 | |
2,323 | |||
Massachusetts—0.6% | |||
Massachusetts Port Authority, Transportation Revenue, 5.000%, 7/1/31 | 500 | 610 | |
Michigan—2.4% | |||
Michigan Finance Authority, Beaumont Health Credit Group Revenue, 5.000%, 8/1/27 | 1,250 | 1,432 | |
Michigan State Building Authority, Facilities Program Lease Revenue, | |||
5.000%, 4/15/25 | 500 | 589 | |
4.000%, 10/15/36 | 500 | 567 | |
2,588 | |||
Mississippi—1.1% | |||
Mississippi, State of, General Obligation, 4.000%, 10/1/39 | 1,000 | 1,184 | |
New Jersey—4.1% | |||
Camden County Improvement Authority Healthcare Redevelopment Project, Cooper Health System Revenue, 5.000%, 2/15/22 | 950 | 983 |
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 | $ 1,664 | |
New Jersey Turnpike Authority, Toll Revenue, 4.000%, 1/1/35 | 240 | 275 | |
New Jersey, State of, Sales Tax Revenue 4.000%, 6/1/31 | 220 | 269 | |
Tobacco Settlement Financing Corp., Tobacco Settlement Revenue, | |||
5.000%, 6/1/31 | 250 | 309 | |
5.000%, 6/1/32 | 250 | 308 | |
5.000%, 6/1/33 | 250 | 306 | |
5.000%, 6/1/34 | 250 | 305 | |
4,419 | |||
New York—1.8% | |||
Buffalo & Erie County Industrial Land Development Corp., Catholic Health System Revenue, 5.000%, 7/1/23 | 550 | 601 | |
Dutchess County Local Development Corp., The Culinary Institute of America Revenue, 5.000%, 7/1/33 | 180 | 208 | |
New York City Industrial Development Agency, Queens Baseball Stadium Project Revenue, | |||
(AGM Insured) 3.000%, 1/1/36 | 250 | 269 | |
(AGM Insured) 3.000%, 1/1/37 | 100 | 107 | |
New York State Dormitory Authority, | |||
New York University Hospitals Center Revenue, 5.000%, 7/1/33 | 150 | 175 | |
Orange Regional Medical Center Revenue, 144A 5.000%, 12/1/23(3) | 300 | 333 | |
TSASC, Inc., Tobacco Settlement Revenue, 5.000%, 6/1/34 | 190 | 229 | |
1,922 | |||
Par Value | Value | ||
Ohio—2.3% | |||
Buckeye Tobacco Settlement Financing Authority, Tobacco Settlement Revenue, 4.000%, 6/1/48 | $ 500 | $ 558 | |
New Albany Community Authority, Community Facilities Revenue, 5.000%, 10/1/24 | 1,250 | 1,336 | |
Northeast Ohio Regional Sewer District Revenue, 3.000%, 11/15/40 | 500 | 542 | |
2,436 | |||
Oregon—2.5% | |||
Oregon State Housing & Community, Mortgage Revenue, Residential Finance Program Revenue, 4.500%, 1/1/49 | 390 | 428 | |
Oregon, State of, General Obligation, 5.000%, 5/1/33 | 1,095 | 1,317 | |
Washington & Multnomah Counties, Beaverton School District No. 48J, General Obligation, (SCH BD GTY Insured) 5.000%, 6/15/36 | 800 | 978 | |
2,723 | |||
Pennsylvania—3.3% | |||
Butler County Hospital Authority, Butler Health System Revenue, 5.000%, 7/1/30 | 250 | 287 | |
Delaware River Joint Toll Bridge Commission, Bridge System Revenue, 5.000%, 7/1/34 | 250 | 306 | |
Pennsylvania Turnpike Commission, Turnpike Revenue Subordinate Lien, Toll Highway Revenue, 6.375%, 12/1/38 | 2,000 | 2,631 | |
Philadelphia, City of, Water & Wastewater Revenue, 5.000%, 10/1/42 | 300 | 365 | |
3,589 | |||
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 | 336 |
Par Value | Value | ||
Tennessee—2.2% | |||
Chattanooga-Hamilton County Hospital Authority, Erlanger Health System Revenue, 5.000%, 10/1/26 | $1,000 | $ 1,119 | |
Tennessee State School Bond Authority, Higher Education Program Revenue, (ST HGR ED INTERCEPT PROG Insured) 5.000%, 11/1/34 | 1,000 | 1,236 | |
2,355 | |||
Texas—14.0% | |||
Hidalgo County Drain District No. 1, General Obligation, 5.000%, 9/1/28 | 1,000 | 1,185 | |
Lamar Consolidated Independent School District, General Obligation, (PSF-GTD Insured) 5.000%, 2/15/34 | 1,000 | 1,217 | |
North Texas Tollway Authority, Special Project System Revenue, (Pre-Refunded 9/1/31 @ 100) 0.000%, 9/1/43 | 2,835 | 3,862 | |
Southmost Regional Water Authority, Desalination Plant Project Revenue, | |||
(AGM Insured) 5.000%, 9/1/23 | 460 | 489 | |
(AGM Insured) 5.000%, 9/1/25 | 1,015 | 1,078 | |
Texas Municipal Gas Acquisition and Supply Corp. I, Gas Supply Revenue, Senior Lien, 6.250%, 12/15/26 | 1,235 | 1,451 | |
Texas Municipal Gas Acquisition and Supply Corp. II, Gas Supply Revenue, 0.811%, 9/15/27(2) | 2,400 | 2,407 | |
Texas Water Development Board Revenue, 5.000%, 8/1/29 | 1,020 | 1,341 | |
Upper Trinity Regional Water District Authority, Regional Treated Supply System Revenue, (BAM Insured) 5.000%, 8/1/24 | 1,140 | 1,308 |
Par Value | Value | ||
Texas—continued | |||
Wharton Independent School District, General Obligation, (PSF-GTD Insured) 3.000%, 2/15/32 | $ 645 | $ 731 | |
15,069 | |||
Vermont—0.3% | |||
Vermont Educational & Health Buildings Financing Agency, University of Vermont Health Network Revenue, 5.000%, 12/1/35 | 300 | 354 | |
Virginia—0.6% | |||
Virginia College Building Authority, Marymount University Revenue, | |||
144A 5.000%, 7/1/21(3) | 400 | 402 | |
144A 5.000%, 7/1/22(3) | 195 | 201 | |
603 | |||
West Virginia—0.3% | |||
Monongalia County Building Commission, Monongalia Health System Revenue, 5.000%, 7/1/23 | 300 | 325 | |
Wisconsin—1.3% | |||
Public Finance Authority, | |||
Renown Regional Medical Center Revenue, 5.000%, 6/1/33 | 1,000 | 1,179 |
Par Value | Value | ||
Wisconsin—continued | |||
Waste Management, Inc. Revenue, 2.875%, 5/1/27 | $ 250 | $ 273 | |
1,452 | |||
Total Municipal Bonds (Identified Cost $95,638) | 104,239 | ||
Shares | ||
Exchange-Traded Fund—1.0% | ||
VanEck Vectors High Yield Muni ETF(4) | 18,000 | 1,119 |
Total Exchange-Traded Fund (Identified Cost $1,073) | 1,119 | |
Total Long-Term Investments—97.8% (Identified Cost $96,711) | 105,358 | |
TOTAL INVESTMENTS—97.8% (Identified Cost $96,711) | $105,358 | |
Other assets and liabilities, net—2.2% | 2,387 | |
NET ASSETS—100.0% | $107,745 |
Abbreviations: | |
AGC | Assured Guaranty Corp. |
AGM | Assured Guaranty Municipal 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 March 31, 2021, 16.3% of the securities in the portfolio are backed by insurance of financial institutions and financial guaranty assurance agencies. None of the insurers concentration exceeds 10% of the Fund’s net assets. |
(2) | Variable or step coupon security; interest rate shown reflects the rate in effect at March 31, 2021. 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 March 31, 2021, these securities amounted to a value of $936 or 0.9% of net assets. |
(4) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Municipal Bonds | $104,239 | $ — | $104,239 | ||
Exchange-Traded Fund | 1,119 | 1,119 | — | ||
Total Investments | $105,358 | $1,119 | $104,239 |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | Newfleet Low Duration Core Plus Bond Fund | |||
Assets | |||||
Investment in securities at value(1)(2) | $ 112,976 | $ 59,911 | $ 667,669 | ||
Cash | 2,045 | 1,431 | 2,171 | ||
Receivables | |||||
Investment securities sold | 614 | 71 | 1,223 | ||
Fund shares sold | 280 | 10 | 25,233 | ||
Dividends and interest | 556 | 789 | 1,736 | ||
Securities lending income | 1 | 2 | 3 | ||
Prepaid Trustees’ retainer | 1 | 1 | 7 | ||
Prepaid expenses | 33 | 29 | 65 | ||
Other assets | 10 | 5 | 58 | ||
Total assets | 116,516 | 62,249 | 698,165 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 589 | 116 | 936 | ||
Investment securities purchased | 3,968 | 1,342 | 25,148 | ||
Collateral on securities loaned | 779 | 1,472 | 3,509 | ||
Dividend distributions | 8 | 24 | 84 | ||
Investment advisory fees | 21 | 17 | 139 | ||
Distribution and service fees | 10 | 12 | 35 | ||
Administration and accounting fees | 10 | 5 | 57 | ||
Transfer agent and sub-transfer agent fees and expenses | 20 | 14 | 104 | ||
Professional fees | 20 | 20 | 20 | ||
Trustee deferred compensation plan | 10 | 5 | 58 | ||
Interest expense and/or commitment fees | — (a) | — (a) | 1 | ||
Other accrued expenses | 9 | 12 | 20 | ||
Total liabilities | 5,444 | 3,039 | 30,111 | ||
Net Assets | $ 111,072 | $ 59,210 | $ 668,054 | ||
Net Assets Consist of: | |||||
Common stock $0.001 par value | $ — | $ — | $ 61 | ||
Capital paid in on shares of beneficial interest | 108,226 | 61,808 | 663,960 | ||
Accumulated earnings (loss) | 2,846 | (2,598) | 4,033 | ||
Net Assets | $ 111,072 | $ 59,210 | $ 668,054 | ||
Net Assets: | |||||
Class A | $ 36,064 | $ 48,361 | $ 94,817 | ||
Class C | $ 3,001 | $ 1,605 | $ 16,850 | ||
Class I | $ 70,950 | $ 7,613 | $ 556,098 | ||
Class R6 | $ 1,057 | $ 1,631 | $ 289 | ||
Shares Outstanding (unlimited number of shares authorized, no par value):(3) | |||||
Class A | 3,090,842 | 11,391,224 | 8,653,154 | ||
Class C | 263,333 | 384,648 | 1,537,720 | ||
Class I | 5,982,664 | 1,790,447 | 50,759,223 | ||
Class R6 | 89,111 | 383,724 | 26,396 | ||
Net Asset Value and Redemption Price Per Share:* | |||||
Class A | $ 11.67 | $ 4.25 | $ 10.96 | ||
Class C | $ 11.40 | $ 4.17 | $ 10.96 | ||
Class I | $ 11.86 | $ 4.25 | $ 10.96 | ||
Class R6 | $ 11.86 | $ 4.25 | $ 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 | $ 12.12 | $ 4.42 | $ 11.21 | ||
Maximum Sales Charge - Class A | 3.75% | 3.75% | 2.25% | ||
(1) Investment in securities at cost | $ 110,785 | $ 58,531 | $ 661,276 | ||
(2) Market value of securities on loan | $ 754 | $ 1,397 | $ 3,450 | ||
(3) 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. |
* | Net Asset Value and Redemption Price Per Share are calculated using unrounded net assets. |
Newfleet Multi-Sector Intermediate Bond Fund | Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | |||
Assets | |||||
Investment in securities at value(1)(2) | $ 328,774 | $ 222,702 | $ 105,358 | ||
Cash | 10,546 | 3,605 | 1,275 | ||
Receivables | |||||
Investment securities sold | 4,459 | 2,740 | — | ||
Fund shares sold | 725 | 273 | 44 | ||
Dividends and interest | 2,572 | 573 | 1,298 | ||
Securities lending income | 5 | — | — | ||
Prepaid Trustees’ retainer | 4 | 2 | 1 | ||
Prepaid expenses | 44 | 36 | 25 | ||
Other assets | 34 | 19 | 10 | ||
Total assets | 347,163 | 229,950 | 108,011 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 1,017 | 267 | 132 | ||
Investment securities purchased | 10,865 | 15,303 | — | ||
Borrowings (See Note 10) | — | 2,000 | — | ||
Collateral on securities loaned | 2,882 | — | — | ||
Dividend distributions | 380 | 221 | 25 | ||
Investment advisory fees | 154 | 72 | 27 | ||
Distribution and service fees | 37 | 29 | 13 | ||
Administration and accounting fees | 29 | 18 | 9 | ||
Transfer agent and sub-transfer agent fees and expenses | 62 | 40 | 26 | ||
Professional fees | 24 | 24 | 18 | ||
Trustee deferred compensation plan | 34 | 19 | 10 | ||
Interest expense and/or commitment fees | 1 | 34 | — (a) | ||
Other accrued expenses | 14 | 14 | 6 | ||
Total liabilities | 15,499 | 18,041 | 266 | ||
Net Assets | $ 331,664 | $ 211,909 | $ 107,745 | ||
Net Assets Consist of: | |||||
Common stock $0.001 par value | $ — | $ — | $ 9 | ||
Capital paid in on shares of beneficial interest | 341,538 | 281,524 | 98,984 | ||
Accumulated earnings (loss) | (9,874) | (69,615) | 8,752 | ||
Net Assets | $ 331,664 | $ 211,909 | $ 107,745 | ||
Net Assets: | |||||
Class A | $ 84,599 | $ 67,159 | $ 38,756 | ||
Class C | $ 22,281 | $ 15,114 | $ 4,741 | ||
Class I | $ 218,668 | $ 127,594 | $ 64,248 | ||
Class R6 | $ 6,116 | $ 2,042 | $ — | ||
Shares Outstanding (unlimited number of shares authorized, no par value):(3) | |||||
Class A | 8,238,641 | 7,521,392 | 3,406,943 | ||
Class C | 2,146,200 | 1,691,168 | 416,783 | ||
Class I | 21,325,737 | 14,309,240 | 5,648,159 | ||
Class R6 | 593,953 | 229,097 | — | ||
Net Asset Value and Redemption Price Per Share:* | |||||
Class A | $ 10.27 | $ 8.93 | $ 11.38 | ||
Class C | $ 10.38 | $ 8.94 | $ 11.37 | ||
Class I | $ 10.25 | $ 8.92 | $ 11.38 | ||
Class R6 | $ 10.30 | $ 8.91 | $ — |
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 | $ 10.67 | $ 9.18 | $ 11.70 | ||
Maximum Sales Charge - Class A | 3.75% | 2.75% | 2.75% | ||
(1) Investment in securities at cost | $ 325,604 | $ 224,821 | $ 96,711 | ||
(2) Market value of securities on loan | $ 2,727 | $ — | $ — | ||
(3) Newfleet Tax-Exempt Bond Fund has a par value of $0.001, and all other funds on this page have no par value. |
(a) | Amount is less than $500. |
* | Net Asset Value and Redemption Price Per Share are calculated using unrounded net assets. |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | Newfleet Low Duration Core Plus Bond Fund | |||
Investment Income | |||||
Dividends | $ 13 | $ —(1) | $ 66 | ||
Interest | 1,623 | 1,761 | 6,652 | ||
Securities lending, net of fees | 2 | 5 | 5 | ||
Total investment income | 1,638 | 1,766 | 6,723 | ||
Expenses | |||||
Investment advisory fees | 248 | 175 | 1,137 | ||
Distribution and service fees, Class A | 46 | 59 | 114 | ||
Distribution and service fees, Class C | 21 | 11 | 97 | ||
Administration and accounting fees | 59 | 34 | 294 | ||
Transfer agent fees and expenses | 27 | 19 | 123 | ||
Sub-transfer agent fees and expenses, Class A | 10 | 10 | 22 | ||
Sub-transfer agent fees and expenses, Class C | 2 | 1 | 6 | ||
Sub-transfer agent fees and expenses, Class I | 24 | 6 | 162 | ||
Custodian fees | 1 | — (1) | 1 | ||
Printing fees and expenses | 5 | 4 | 20 | ||
Professional fees | 16 | 16 | 17 | ||
Interest expense and/or commitment fees | — (1) | — (1) | 1 | ||
Registration fees | 23 | 21 | 37 | ||
Trustees’ fees and expenses | 5 | 2 | 20 | ||
Miscellaneous expenses | 13 | 17 | 24 | ||
Total expenses | 500 | 375 | 2,075 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (130) | (81) | (442) | ||
Less low balance account fees | (1) | (2) | — (1) | ||
Net expenses | 369 | 292 | 1,633 | ||
Net investment income (loss) | 1,269 | 1,474 | 5,090 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 1,071 | 973 | 1,180 | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (2,871) | 2,588 | (1,953) | ||
Net realized and unrealized gain (loss) on investments | (1,800) | 3,561 | (773) | ||
Net increase (decrease) in net assets resulting from operations | $ (531) | $5,035 | $ 4,317 |
(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 | $ 158 | $ 1 | $ 10 | ||
Net increase from payment by affiliate (1) | — (2) | — | — | ||
Interest | 9,092 | 4,419 | 1,618 | ||
Securities lending, net of fees | 15 | — | — | ||
Total investment income | 9,265 | 4,420 | 1,628 | ||
Expenses | |||||
Investment advisory fees | 1,114 | 461 | 250 | ||
Distribution and service fees, Class A | 101 | 75 | 46 | ||
Distribution and service fees, Class C | 144 | 119 | 37 | ||
Administration and accounting fees | 207 | 107 | 59 | ||
Transfer agent fees and expenses | 88 | 45 | 25 | ||
Sub-transfer agent fees and expenses, Class A | 25 | 17 | 10 | ||
Sub-transfer agent fees and expenses, Class C | 10 | 10 | 2 | ||
Sub-transfer agent fees and expenses, Class I | 90 | 43 | 31 | ||
Custodian fees | 1 | 1 | — (2) | ||
Printing fees and expenses | 16 | 9 | 5 | ||
Professional fees | 20 | 19 | 14 | ||
Interest expense and/or commitment fees | 2 | 90 | — (2) | ||
Registration fees | 36 | 32 | 19 | ||
Trustees’ fees and expenses | 16 | 8 | 5 | ||
Miscellaneous expenses | 18 | 17 | 8 | ||
Total expenses | 1,888 | 1,053 | 511 | ||
Less net expenses reimbursed and/or waived by investment adviser(3) | (146) | (65) | (95) | ||
Less low balance account fees | — (2) | — (2) | — (2) | ||
Net expenses | 1,742 | 988 | 416 | ||
Net investment income (loss) | 7,523 | 3,432 | 1,212 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 7,088 | (4,350) | 289 | ||
Foreign currency transactions | (148) | — | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 1,699 | 12,374 | (102) | ||
Net realized and unrealized gain (loss) on investments | 8,639 | 8,024 | 187 | ||
Net increase (decrease) in net assets resulting from operations | $16,162 | $11,456 | $1,399 |
(1) | See Note 3G in Notes to Financial Statements. |
(2) | Amount is less than $500. |
(3) | See Note 3D in Notes to Financial Statements. |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 1,269 | $ 2,759 | $ 1,474 | $ 3,074 | |||
Net realized gain (loss) | 1,071 | 1,537 | 973 | (532) | |||
Net change in unrealized appreciation (depreciation) | (2,871) | 1,003 | 2,588 | (832) | |||
Increase (decrease) in net assets resulting from operations | (531) | 5,299 | 5,035 | 1,710 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (398) | (936) | (1,144) | (2,421) | |||
Class C | (31) | (79) | (47) | (101) | |||
Class I | (824) | (1,709) | (239) | (481) | |||
Class R6 | (13) | (28) | (33) | (53) | |||
Total dividends and distributions to shareholders | (1,266) | (2,752) | (1,463) | (3,056) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (867) | 218 | 340 | (3,447) | |||
Class C | (1,636) | 883 | (1,089) | 389 | |||
Class I | 8,893 | 7,773 | (2,272) | 1,601 | |||
Class R6 | (48) | 64 | 407 | 324 | |||
Increase (decrease) in net assets from capital transactions | 6,342 | 8,938 | (2,614) | (1,133) | |||
Net increase (decrease) in net assets | 4,545 | 11,485 | 958 | (2,479) | |||
Net Assets | |||||||
Beginning of period | 106,527 | 95,042 | 58,252 | 60,731 | |||
End of Period | $ 111,072 | $ 106,527 | $ 59,210 | $ 58,252 |
Newfleet Low Duration Core Plus Bond Fund | Newfleet Multi-Sector Intermediate Bond Fund | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 5,090 | $ 11,484 | $ 7,523 | $ 13,381 | |||
Net realized gain (loss) | 1,180 | (642) | 6,940 | 177 | |||
Net increase from payment by affiliate(1) | — | — | — (2) | — | |||
Net change in unrealized appreciation (depreciation) | (1,953) | 2,787 | 1,699 | 58 | |||
Increase (decrease) in net assets resulting from operations | 4,317 | 13,629 | 16,162 | 13,616 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (727) | (1,836) | (1,346) | (3,033) | |||
Class C | (83) | (313) | (366) | (1,082) | |||
Class I | (4,164) | (9,305) | (5,300) | (8,980) | |||
Class R6 | (3) | (9) | (109) | (214) | |||
Total dividends and distributions to shareholders | (4,977) | (11,463) | (7,121) | (13,309) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 7,136 | 5,929 | 4,553 | (5,766) | |||
Class C | (3,270) | (835) | (9,271) | (8,312) | |||
Class I | 154,980 | 47,610 | (87,686) | 119,448 | |||
Class R6 | (98) | 101 | (75) | 1,136 | |||
Increase (decrease) in net assets from capital transactions | 158,748 | 52,805 | (92,479) | 106,506 | |||
Net increase (decrease) in net assets | 158,088 | 54,971 | (83,438) | 106,813 | |||
Net Assets | |||||||
Beginning of period | 509,966 | 454,995 | 415,102 | 308,289 | |||
End of Period | $ 668,054 | $ 509,966 | $ 331,664 | $ 415,102 |
(1) | See Note 3G in Notes to Financial Statements. |
(2) | Amount is less than $500. |
Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 3,432 | $ 11,164 | $ 1,212 | $ 2,824 | |||
Net realized gain (loss) | (4,350) | (21,951) | 289 | 1,031 | |||
Net change in unrealized appreciation (depreciation) | 12,374 | (1,499) | (102) | (322) | |||
Increase (decrease) in net assets resulting from operations | 11,456 | (12,286) | 1,399 | 3,533 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (995) | (4,504) | (671) | (799) | |||
Class C | (305) | (1,388) | (110) | (136) | |||
Class I | (2,093) | (5,837) | (1,305) | (1,835) | |||
Class R6 | (46) | (89) | — | — | |||
Total dividends and distributions to shareholders | (3,439) | (11,818) | (2,086) | (2,770) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 7,079 | (98,504) | 1,920 | (1,607) | |||
Class C | (13,226) | (16,903) | (3,365) | (3,084) | |||
Class I | 12,916 | (39,041) | (3,270) | (17,081) | |||
Class R6 | (809) | 2,917 | — | — | |||
Increase (decrease) in net assets from capital transactions | 5,960 | (151,531) | (4,715) | (21,772) | |||
Net increase (decrease) in net assets | 13,977 | (175,635) | (5,402) | (21,009) | |||
Net Assets | |||||||
Beginning of period | 197,932 | 373,567 | 113,147 | 134,156 | |||
End of Period | $ 211,909 | $ 197,932 | $ 107,745 | $ 113,147 |
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 | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $11.85 | 0.13 | (0.18) | (0.05) | (0.13) | — | — | (0.13) | — | (0.18) | $11.67 | (0.44) % | $ 36,064 | 0.79 % | 1.04 % | 2.18 % | 28 % | |
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 (7) | 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 (8) | 39,536 | 0.84 (8) | 1.17 | 3.26 (8) | 56 | |
10/1/15 to 9/30/16 | 11.02 | 0.36 | 0.33 | 0.69 | (0.33) | — | — | (0.33) | — (9) | 0.36 | 11.38 | 6.38 (10) | 44,136 | 0.86 (11) | 1.18 | 3.28 | 64 | |
Class C | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $11.57 | 0.08 | (0.17) | (0.09) | (0.08) | — | — | (0.08) | — | (0.17) | $11.40 | (0.77) % | $ 3,001 | 1.55 % | 1.79 % | 1.44 % | 28 % | |
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 (7) | 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 (8) | 6,671 | 1.59 (8) | 1.92 | 2.51 (8) | 56 | |
10/1/15 to 9/30/16 | 10.78 | 0.27 | 0.32 | 0.59 | (0.25) | — | — | (0.25) | — (9) | 0.34 | 11.12 | 5.54 (10) | 9,409 | 1.61 (11) | 1.93 | 2.52 | 64 | |
Class I | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $12.04 | 0.15 | (0.18) | (0.03) | (0.15) | — | — | (0.15) | — | (0.18) | $11.86 | (0.30) % | $ 70,950 | 0.55 % | 0.78 % | 2.42 % | 28 % | |
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 (7) | 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 (8) | 26,597 | 0.59 (8) | 0.92 | 3.52 (8) | 56 | |
10/1/15 to 9/30/16 | 11.19 | 0.40 | 0.33 | 0.73 | (0.36) | — | — | (0.36) | — (9) | 0.37 | 11.56 | 6.63 (10) | 24,236 | 0.61 (11) | 0.93 | 3.51 | 64 | |
Class R6 | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $12.05 | 0.15 | (0.19) | (0.04) | (0.15) | — | — | (0.15) | — | (0.19) | $11.86 | (0.32) % | $ 1,057 | 0.43 % | 0.72 % | 2.55 % | 28 % | |
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 (7) | 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 (7) | 0.79 | 3.59 | 49 | |
11/3/16 (12) to 9/30/17 | 11.45 | 0.38 | 0.03 | 0.41 | (0.36) | — | — | (0.36) | — | 0.05 | 11.50 | 3.66 (8) | 463 | 0.53 (8) | 0.88 | 3.33 (8) | 56 (13) | |
Newfleet High Yield Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $ 4.00 | 0.10 | 0.25 | 0.35 | (0.10) | — | — | (0.10) | — | 0.25 | $ 4.25 | 8.85 % | $ 48,361 | 0.99 % | 1.26 % | 4.90 % | 44 % | |
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 (8) | 56,694 | 1.00 (7)(8) | 1.41 | 5.36 (8) | 71 | |
10/1/15 to 9/30/16 | 3.98 | 0.21 | 0.20 | 0.41 | (0.21) | — | — | (0.21) | — (9) | 0.20 | 4.18 | 10.59 (10) | 64,338 | 1.15 (11) | 1.42 | 5.15 | 81 | |
Class C | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $ 3.93 | 0.08 | 0.24 | 0.32 | (0.08) | — | — | (0.08) | — | 0.24 | $ 4.17 | 8.30 % | $ 1,605 | 1.75 % | 2.02 % | 4.15 % | 44 % | |
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 (8) | 3,593 | 1.75 (7)(8) | 2.17 | 4.61 (8) | 71 | |
10/1/15 to 9/30/16 | 3.92 | 0.17 | 0.20 | 0.37 | (0.18) | — | — | (0.18) | — (9) | 0.19 | 4.11 | 9.68 (10) | 4,231 | 1.90 (11) | 2.17 | 4.40 | 81 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet High Yield Fund (Continued) | ||||||||||||||||||
Class I | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $ 4.01 | 0.11 | 0.24 | 0.35 | (0.11) | — | — | (0.11) | — | 0.24 | $ 4.25 | 8.71 % | $ 7,613 | 0.75 % | 1.07 % | 5.13 % | 44 % | |
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 (8) | 6,577 | 0.75 (7)(8) | 1.17 | 5.62 (8) | 71 | |
10/1/15 to 9/30/16 | 3.98 | 0.21 | 0.21 | 0.42 | (0.22) | — | — | (0.22) | — (9) | 0.20 | 4.18 | 10.86 (10) | 7,954 | 0.90 (11) | 1.16 | 5.38 | 81 | |
Class R6 | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $ 4.00 | 0.11 | 0.25 | 0.36 | (0.11) | — | — | (0.11) | — | 0.25 | $ 4.25 | 9.05 % | $ 1,631 | 0.62 % (7) | 0.94 % | 5.26 % | 44 % | |
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 (12) to 9/30/17 | 4.14 | 0.22 | 0.10 | 0.32 | (0.21) | — | — | (0.21) | — | 0.11 | 4.25 | 7.93 (8) | 5,253 | 0.69 (7)(8) | 1.15 | 5.66 (8) | 71 | |
Newfleet Low Duration Core Plus Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $10.96 | 0.09 | — | 0.09 | (0.09) | — | — | (0.09) | — | — | $10.96 | 0.80 % | $ 94,817 | 0.75 % | 0.89 % | 1.63 % | 29 % | |
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(14) | 10.70 | 0.15 | 0.20 | 0.35 | (0.15) | — | — | (0.15) | — | 0.20 | 10.90 | 3.25 | 102,049 | 0.76 (11) | 1.12 | 1.89 | 38 | |
1/1/15 to 12/31/15 | 10.82 | 0.19 | (0.09) | 0.10 | (0.19) | (0.03) | — | (0.22) | — (9) | (0.12) | 10.70 | 0.89 (10) | 85,666 | 0.75 | 1.12 | 1.77 | 56 | |
Class C | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $10.96 | 0.05 | — | 0.05 | (0.05) | — | — | (0.05) | — | — | $10.96 | 0.43 % | $ 16,850 | 1.50 % | 1.66 % | 0.89 % | 29 % | |
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(14) | 10.70 | 0.09 | 0.19 | 0.28 | (0.08) | — | — | (0.08) | — | 0.20 | 10.90 | 2.67 | 46,642 | 1.51 (11) | 1.87 | 1.15 | 38 | |
1/1/15 to 12/31/15 | 10.82 | 0.11 | (0.10) | 0.01 | (0.10) | (0.03) | — | (0.13) | — (9) | (0.12) | 10.70 | 0.13 (10) | 44,621 | 1.50 | 1.86 | 1.02 | 56 | |
Class I | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $10.95 | 0.10 | 0.01 | 0.11 | (0.10) | — | — | (0.10) | — | 0.01 | $10.96 | 1.02 % | $556,098 | 0.50 % | 0.66 % | 1.86 % | 29 % | |
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(14) | 10.70 | 0.17 | 0.20 | 0.37 | (0.17) | — | — | (0.17) | — | 0.20 | 10.90 | 3.44 | 251,630 | 0.52 (11) | 0.87 | 2.15 | 38 | |
1/1/15 to 12/31/15 | 10.81 | 0.22 | (0.09) | 0.13 | (0.21) | (0.03) | — | (0.24) | — (9) | (0.11) | 10.70 | 1.24 (10) | 150,977 | 0.50 | 0.88 | 2.03 | 56 |
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 Low Duration Core Plus Bond Fund (Continued) | ||||||||||||||||||
Class R6 | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $10.96 | 0.11 | — | 0.11 | (0.11) | — | — | (0.11) | — | — | $10.96 | 0.96 % | $ 289 | 0.43 % | 0.60 % | 1.97 % | 29 % | |
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 (12) to 9/30/19 | 10.58 | 0.25 | 0.28 | 0.53 | (0.25) | — | — | (0.25) | — | 0.28 | 10.86 | 5.08 | 282 | 0.43 | 0.62 | 3.02 | 45 (13) | |
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $10.06 | 0.18 | 0.20 | 0.38 | (0.17) | — | — | (0.17) | — (9) | 0.21 | $10.27 | 3.80 % | $ 84,599 | 0.99 % | 1.07 % | 3.59 % | 45 % | |
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) | — (9) | 0.19 | 10.16 | 6.43 (10) | 86,034 | 0.98 | 1.10 | 4.34 | 81 | |
10/1/17 to 9/30/18 | 10.42 | 0.45 | (0.46) | (0.01) | (0.42) | (0.02) | — | (0.44) | — | (0.45) | 9.97 | (0.14) | 73,217 | 0.98 | 1.10 | 4.43 | 70 | |
10/1/16 to 9/30/17 | 10.30 | 0.47 | 0.10 | 0.57 | (0.45) | — | — | (0.45) | — | 0.12 | 10.42 | 5.64 (8) | 87,144 | 1.01 (7)(8) | 1.13 | 4.55 (8) | 64 | |
10/1/15 to 9/30/16 | 9.76 | 0.47 | 0.49 | 0.96 | (0.42) | — | — | (0.42) | — | 0.54 | 10.30 | 10.15 | 98,969 | 1.14 (11) | 1.15 | 4.80 | 60 | |
Class C | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $10.17 | 0.15 | 0.19 | 0.34 | (0.13) | — | — | (0.13) | — (9) | 0.21 | $10.38 | 3.37 % | $ 22,281 | 1.74 % | 1.82 % | 2.83 % | 45 % | |
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) | — (9) | 0.19 | 10.26 | 5.57 (10) | 39,778 | 1.73 | 1.85 | 3.63 | 81 | |
10/1/17 to 9/30/18 | 10.53 | 0.38 | (0.48) | (0.10) | (0.34) | (0.02) | — | (0.36) | — | (0.46) | 10.07 | (0.96) | 53,809 | 1.73 | 1.83 | 3.68 | 70 | |
10/1/16 to 9/30/17 | 10.40 | 0.39 | 0.11 | 0.50 | (0.37) | — | — | (0.37) | — | 0.13 | 10.53 | 4.90 (8) | 63,919 | 1.77 (7)(8) | 1.88 | 3.80 (8) | 64 | |
10/1/15 to 9/30/16 | 9.85 | 0.40 | 0.50 | 0.90 | (0.35) | — | — | (0.35) | — | 0.55 | 10.40 | 9.34 | 75,350 | 1.88 (11) | 1.90 | 4.04 | 60 | |
Class I | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $10.05 | 0.20 | 0.19 | 0.39 | (0.19) | — | — | (0.19) | — (9) | 0.20 | $10.25 | 3.87 % | $218,668 | 0.74 % | 0.81 % | 3.83 % | 45 % | |
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) | — (9) | 0.17 | 10.15 | 6.57 (10) | 177,574 | 0.73 | 0.85 | 4.57 | 81 | |
10/1/17 to 9/30/18 | 10.43 | 0.48 | (0.47) | 0.01 | (0.44) | (0.02) | — | (0.46) | — | (0.45) | 9.98 | 0.14 | 162,322 | 0.73 | 0.83 | 4.66 | 70 | |
10/1/16 to 9/30/17 | 10.31 | 0.50 | 0.09 | 0.59 | (0.47) | — | — | (0.47) | — | 0.12 | 10.43 | 5.90 (8) | 205,821 | 0.75 (7)(8) | 0.88 | 4.83 (8) | 64 | |
10/1/15 to 9/30/16 | 9.77 | 0.50 | 0.49 | 0.99 | (0.45) | — | — | (0.45) | — | 0.54 | 10.31 | 10.42 | 123,435 | 0.88 (11) | 0.90 | 5.04 | 60 | |
Class R6 | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $10.08 | 0.21 | 0.20 | 0.41 | (0.19) | — | — | (0.19) | — (9) | 0.22 | $10.30 | 4.06 % | $ 6,116 | 0.60 % | 0.75 % | 3.98 % | 45 % | |
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) | — (9) | 0.19 | 10.17 | 6.77 (10) | 4,903 | 0.59 | 0.78 | 4.65 | 81 | |
10/1/17 to 9/30/18 | 10.43 | 0.49 | (0.47) | 0.02 | (0.45) | (0.02) | — | (0.47) | — | (0.45) | 9.98 | 0.19 | 15,750 | 0.62 | 0.76 | 4.78 | 70 | |
10/1/16 to 9/30/17 | 10.31 | 0.50 | 0.10 | 0.60 | (0.48) | — | — | (0.48) | — | 0.12 | 10.43 | 5.98 (8) | 19,410 | 0.67 (7)(8) | 0.82 | 4.79 (8) | 64 | |
10/1/15 to 9/30/16 | 9.77 | 0.50 | 0.50 | 1.00 | (0.46) | — | — | (0.46) | — | 0.54 | 10.31 | 10.50 | 2,004 | 0.81 (11) | 0.83 | 5.12 | 60 |
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 | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $ 8.58 | 0.14 | 0.36 | 0.50 | (0.15) | — | — | (0.15) | — | 0.35 | $ 8.93 | 5.80 % | $ 67,159 | 1.03 % (15) | 1.08 % | 3.29 % | 36 % | |
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 (15) | 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 (15) | 1.11 | 4.96 | 24 | |
10/1/17 to 9/30/18 | 9.42 | 0.41 | (0.01) | 0.40 | (0.41) | — | — | (0.41) | — | (0.01) | 9.41 | 4.33 | 196,025 | 1.09 | 1.12 | 4.31 | 37 | |
10/1/16 to 9/30/17 | 9.42 | 0.37 | 0.02 | 0.39 | (0.39) | — | — | (0.39) | — | — | 9.42 | 4.28 | 223,055 | 1.10 (7) | 1.16 | 3.95 | 95 | |
10/1/15 to 9/30/16 | 9.36 | 0.34 | 0.06 | 0.40 | (0.34) | — | — | (0.34) | — | 0.06 | 9.42 | 4.42 | 227,588 | 1.23 (16) | 1.24 | 3.67 | 48 | |
Class C | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $ 8.59 | 0.11 | 0.35 | 0.46 | (0.11) | — | — | (0.11) | — | 0.35 | $ 8.94 | 5.41 % | $ 15,114 | 1.78 % (15) | 1.86 % | 2.56 % | 36 % | |
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 (15) | 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 (15) | 1.92 | 4.23 | 24 | |
10/1/17 to 9/30/18 | 9.44 | 0.33 | (0.01) | 0.32 | (0.34) | — | — | (0.34) | — | (0.02) | 9.42 | 3.45 | 78,558 | 1.84 | 1.91 | 3.55 | 37 | |
10/1/16 to 9/30/17 | 9.43 | 0.30 | 0.03 | 0.33 | (0.32) | — | — | (0.32) | — | 0.01 | 9.44 | 3.50 | 97,800 | 1.85 (7) | 1.92 | 3.20 | 95 | |
10/1/15 to 9/30/16 | 9.37 | 0.27 | 0.06 | 0.33 | (0.27) | — | — | (0.27) | — | 0.06 | 9.43 | 3.63 | 111,839 | 1.98 | 1.99 | 2.92 | 48 | |
Class I | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $ 8.57 | 0.16 | 0.35 | 0.51 | (0.16) | — | — | (0.16) | — | 0.35 | $ 8.92 | 5.94 % | $127,594 | 0.78 % (15) | 0.84 % | 3.53 % | 36 % | |
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 (15) | 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 (15) | 0.91 | 5.20 | 24 | |
10/1/17 to 9/30/18 | 9.42 | 0.43 | (0.02) | 0.41 | (0.43) | — | — | (0.43) | — | (0.02) | 9.40 | 4.48 | 228,058 | 0.84 | 0.90 | 4.56 | 37 | |
10/1/16 to 9/30/17 | 9.41 | 0.40 | 0.02 | 0.42 | (0.41) | — | — | (0.41) | — | 0.01 | 9.42 | 4.54 | 250,770 | 0.84 (7) | 0.92 | 4.21 | 95 | |
10/1/15 to 9/30/16 | 9.35 | 0.36 | 0.06 | 0.42 | (0.36) | — | — | (0.36) | — | 0.06 | 9.41 | 4.69 | 210,752 | 0.97 | 0.98 | 3.91 | 48 | |
Class R6 | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $ 8.57 | 0.16 | 0.34 | 0.50 | (0.16) | — | — | (0.16) | — | 0.34 | $ 8.91 | 6.02 % | $ 2,042 | 0.64 % (15) | 0.77 % | 3.70 % | 36 % | |
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 (15) | 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 (15) | 0.84 | 5.35 | 24 | |
10/1/17 to 9/30/18 | 9.42 | 0.44 | (0.02) | 0.42 | (0.44) | — | — | (0.44) | — | (0.02) | 9.40 | 4.60 | 105 | 0.75 (7) | 0.86 | 4.70 | 37 | |
11/3/16 (12) to 9/30/17 | 9.43 | 0.36 | 0.01 | 0.37 | (0.38) | — | — | (0.38) | — | (0.01) | 9.42 | 4.32 | 104 | 0.77 (7) | 0.86 | 3.76 | 95 (13) | |
Newfleet Tax-Exempt Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $11.45 | 0.12 | 0.02 | 0.14 | (0.12) | — | (0.09) | (0.21) | — | (0.07) | $11.38 | 1.21 % | $ 38,756 | 0.85 % | 1.00 % | 2.08 % | 3 % | |
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 (8) | 46,657 | 0.85 (8) | 1.03 | 2.78 (8) | 9 | |
1/1/16 to 9/30/16(14) | 11.43 | 0.22 | 0.12 | 0.34 | (0.22) | — | — | (0.22) | — | 0.12 | 11.55 | 3.00 | 69,711 | 0.87 (11) | 1.03 | 2.53 | 9 | |
1/1/15 to 12/31/15 | 11.46 | 0.30 | (0.03) | 0.27 | (0.29) | — | (0.01) | (0.30) | — | (0.03) | 11.43 | 2.39 | 74,418 | 0.85 | 1.00 | 2.60 | 10 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet Tax-Exempt Bond Fund (Continued) | ||||||||||||||||||
Class C | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $11.45 | 0.08 | — (9) | 0.08 | (0.07) | — | (0.09) | (0.16) | — | (0.08) | $11.37 | 0.74 % | $ 4,741 | 1.60 % | 1.75 % | 1.33 % | 3 % | |
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) (8) | 20,832 | 1.60 (8) | 1.78 | 2.03 (8) | 9 | |
1/1/16 to 9/30/16(14) | 11.43 | 0.15 | 0.13 | 0.28 | (0.16) | — | — | (0.16) | — | 0.12 | 11.55 | 2.42 | 26,833 | 1.61 (11) | 1.78 | 1.78 | 9 | |
1/1/15 to 12/31/15 | 11.46 | 0.21 | (0.03) | 0.18 | (0.20) | — | (0.01) | (0.21) | — | (0.03) | 11.43 | 1.62 | 30,316 | 1.60 | 1.75 | 1.85 | 10 | |
Class I | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $11.45 | 0.13 | 0.02 | 0.15 | (0.13) | — | (0.09) | (0.22) | — | (0.07) | $11.38 | 1.34 % | $ 64,248 | 0.60 % | 0.78 % | 2.33 % | 3 % | |
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 (8) | 100,062 | 0.60 (8) | 0.79 | 3.04 (8) | 9 | |
1/1/16 to 9/30/16(14) | 11.43 | 0.24 | 0.12 | 0.36 | (0.24) | — | — | (0.24) | — | 0.12 | 11.55 | 3.19 | 104,679 | 0.62 (11) | 0.78 | 2.78 | 9 | |
1/1/15 to 12/31/15 | 11.46 | 0.33 | (0.03) | 0.30 | (0.32) | — | (0.01) | (0.33) | — | (0.03) | 11.43 | 2.64 | 90,912 | 0.60 | 0.77 | 2.85 | 10 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | Not annualized for periods less than one year. |
(4) | Annualized for periods less than one year. |
(5) | The Funds will also indirectly bear their prorated share of expenses of any underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(8) | State Street Bank & Trust, custodian for some of the Funds through January 29, 2010, reimbursed the Funds for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses and increase the Ratio of Net Investment Income (Loss) as follows: Newfleet Core Plus Bond Fund 0.02% (Class A), 0.02% (Class C), 0.02% (Class I), 0.00% (Class R6) Newfleet High Yield Fund 0.08% (Class A), 0.08% (Class C), 0.08% (Class I), 0.00% (Class R6) Newfleet Multi-Sector Intermediate Bond Fund 0.02% (Class A), 0.02% (Class C), 0.02% (Class I), 0.00% (Class R6) Newfleet Tax-Exempt Bond Fund 0.01% (Class A), 0.01% (Class C), 0.01% (Class I)Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return as follows: Newfleet Core Plus Bond Fund 0.02% (Class A), 0.02% (Class C), 0.02% (Class I), 0.00% (Class R6) Newfleet High Yield Fund 0.08% (Class A), 0.08% (Class C), 0.08% (Class I), 0.00% (Class R6) Newfleet Multi-Sector Intermediate Bond Fund 0.02% (Class A), 0.02% (Class C), 0.02% (Class I), 0.00% (Class R6) Newfleet Tax-Exempt Bond Fund 0.01% (Class A), 0.01% (Class C), 0.01% (Class I) |
(9) | Amount is less than $0.005 per share. |
(10) | Payment from affiliate had no impact on total return. |
(11) | Net expense ratio includes extraordinary proxy expenses. |
(12) | Inception date. |
(13) | Portfolio turnover is representative of the Fund for the entire period. |
(14) | The Fund changed its fiscal year end to September 30, during the period. |
(15) | Ratios of total expenses excluding interest expense on borrowings for period ended March 31, 2021, 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). |
(16) | The share class is currently under its expense limitation. |
Fund | Investment objective(s) | |
Newfleet Core Plus Bond Fund | High total return from both current income and capital appreciation. | |
Newfleet High Yield Fund | High current income and a secondary objective of capital growth. | |
Newfleet Low Duration Core Plus Bond Fund | To provide a high level of total return, including a competitive level of current income, while limiting fluctuations in net asset value due to changes in interest rates. | |
Newfleet Multi-Sector Intermediate Bond Fund | Maximizing current income while preserving capital. | |
Newfleet Senior Floating Rate Fund | High total return from both current income and capital appreciation. | |
Newfleet Tax-Exempt Bond Fund | Providing a high level of current income that is exempt from federal income tax. |
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 March 31, 2021, 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. | |
As of March 31, 2021, the Funds had the following unfunded loan commitments: |
Fund/Borrower | Unfunded Loan Commitment | |
Virtus Newfleet Multi-Sector Intermediate Bond Fund | ||
Cano Health LLC (3 month LIBOR + 4.750%) 4.750%, 11/19/27 | $190 | |
DG Investment Intermediate Holdings 2, Inc. (3 month LIBOR + 3.750%) 0.000%, 12/23/24 | 39 | |
Hillman Group, Inc. (The) (3 month LIBOR + 2.750%) 0.000%, 2/24/28 | 38 | |
National Mentor Holdings, Inc. (3 month LIBOR + 1.000%) 1.000%, 3/1/28 | 46 | |
Precision Medicine Group LLC (3 month LIBOR + 1.000%) 1.000%, 11/18/27 | 76 | |
Southern Veterinary Partners LLC (3 month LIBOR + 4.000%) 4.000%, 10/1/27 | 89 | |
TricorBraun, Inc. (6 month LIBOR + 3.250%) 0.608%, 3/3/28 | 77 | |
Virtus Newfleet Senior Floating Rate Fund | ||
Cano Health LLC (3 month LIBOR + 4.750%) 4.750%, 11/19/27 | 235 | |
DG Investment Intermediate Holdings 2, Inc. (3 month LIBOR + 3.750%) 0.000%, 12/23/24 | 72 | |
HAH Group Holding Co. LLC (3 month LIBOR + 0.000%) 5.000%, 10/22/27 | 124 | |
Hillman Group, Inc. (The) (3 month LIBOR + 2.750%) 0.000%, 2/24/28 | 60 | |
National Mentor Holdings, Inc. (3 month LIBOR + 1.000%) 1.000%, 3/1/28 | 107 | |
Precision Medicine Group LLC (3 month LIBOR + 1.000%) 1.000%, 11/18/27 | 75 | |
Southern Veterinary Partners LLC (3 month LIBOR + 4.000%) 4.000%, 10/1/27 | 105 | |
TricorBraun, Inc. (4 month LIBOR + 0.500%) 0.500%, 3/3/28 | 144 |
J. | Securities Lending |
Effective October 1, 2020, the Funds may resume loaning 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 a Master Securities Lending Agreement (“MSLA”) which 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. | |
At March 31, 2021, the securities loaned were subject to a MSLA on a net payment basis as follows: |
Fund | Counterparty | Value of Securities on Loan | Cash Collateral Received(1) | Net Amount(2) | ||||
Newfleet Core Plus Bond Fund | BNYM | $ 754 | $ 754 | $ — | ||||
Newfleet High Yield Fund | BNYM | 1,397 | 1,397 | — | ||||
Newfleet Low Duration Core Plus Bond Fund | BNYM | 3,450 | 3,450 | — | ||||
Newfleet Multi-Sector Intermediate Bond Fund | BNYM | 2,727 | 2,727 | — |
(1) | Collateral received in excess of the market value of securities on loan is not presented in this table. The cash collateral received in connection with securities lending transactions has been used for the purchase of securities as disclosed in the Fund’s Schedule of Investments. |
(2) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
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* | 0.55 % | 0.50 % | 0.45 % | ||
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 December 1, 2020. Prior to December 1, 2020, the Adviser’s fee on average daily net assets was as follows: 0.65% on the first $1 billion, 0.60% on the next $1 billion and 0.55% in excess of $2 billion. |
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 February 1, 2022. 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 | ||||
Newfleet Core Plus Bond Fund | 0.80 % | 1.55 % | 0.55 % | 0.43 % | ||||
Newfleet High Yield Fund | 1.00 | 1.75 | 0.75 | 0.59 * | ||||
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 |
* | Effective December 1, 2020. For the period October 1, 2020 through November 30, 2020, the expense cap for Class R6 shares was 0.69%. |
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 | 2024 | Total | |||||
Newfleet Core Plus Bond Fund | ||||||||||
Class A | $ 39 | $ 89 | $ 94 | $ 44 | $ 266 | |||||
Class C | 11 | 12 | 11 | 5 | 39 | |||||
Class I | 29 | 84 | 147 | 80 | 340 | |||||
Class R6 | 1 | 2 | 3 | 1 | 7 | |||||
Newfleet High Yield Fund | ||||||||||
Class A | 71 | 182 | 169 | 61 | 483 | |||||
Class C | 14 | 8 | 8 | 3 | 33 | |||||
Class I | 11 | 26 | 36 | 15 | 88 | |||||
Class R6 | 7 | 4 | 3 | 2 | 16 | |||||
Newfleet Low Duration Core Plus Bond Fund | ||||||||||
Class A | 129 | 158 | 133 | 65 | 485 | |||||
Class C | 37 | 46 | 35 | 16 | 134 | |||||
Class I | 412 | 612 | 646 | 361 | 2,031 | |||||
Class R6 | — | — (1) | 1 | — (1) | 1 | |||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||
Class A | 38 | 85 | 76 | 30 | 229 | |||||
Class C | 24 | 50 | 33 | 12 | 119 | |||||
Class I | 82 | 168 | 203 | 100 | 553 | |||||
Class R6 | 14 | 9 | 8 | 4 | 35 | |||||
Newfleet Senior Floating Rate Fund | ||||||||||
Class A | 21 | 25 | 18 | 16 | 80 | |||||
Class C | 25 | 40 | 21 | 9 | 95 | |||||
Class I | 63 | 111 | 68 | 38 | 280 | |||||
Class R6 | — (1) | — (1) | 3 | 2 | 5 | |||||
Newfleet Tax-Exempt Bond Fund | ||||||||||
Class A | 23 | 53 | 57 | 28 | 161 | |||||
Class C | 9 | 18 | 14 | 5 | 46 | |||||
Class I | 55 | 160 | 138 | 62 | 415 |
(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 six months (the “period”) ended March 31, 2021, it retained net commissions of $10 for Class A shares and CDSC of $—(1) and $7 for Class A shares and Class C shares, respectively. | |
In addition, each Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the annual rates of 0.25% for Class A shares and 1.00% for Class C shares. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. | |
(1) Amount is less than $500. | |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Funds. | |
For the period ended March 31, 2021, the Funds incurred administration fees totaling $680 which are included in the Statements of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
For the period ended March 31, 2021, the Funds incurred transfer agent fees totaling $307 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. | Payment from Affiliate |
During the period ended March 31, 2021, Newfleet reimbursed Newfleet Multi-Sector Intermediate Bond Fund for losses. These amounts are included in “Net increase from payment by affiliates” in the Statements of Operations. There was no impact on the total return. | |
H. | Investments in Affiliates |
The Funds are permitted to purchase assets from or sell assets to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. | |
During the period ended March 31, 2021, the Funds did not engage in Rule 17a-7 of the 1940 Act transactions. | |
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 March 31, 2021. |
Purchases | Sales | ||
Newfleet Core Plus Bond Fund | $ 31,979 | $ 25,589 | |
Newfleet High Yield Fund | 25,521 | 27,422 | |
Newfleet Low Duration Core Plus Bond Fund | 278,326 | 133,483 | |
Newfleet Multi-Sector Intermediate Bond Fund | 172,653 | 258,512 | |
Newfleet Senior Floating Rate Fund | 86,504 | 76,046 | |
Newfleet Tax-Exempt Bond Fund | 3,119 | 7,738 |
Purchases | Sales | ||
Newfleet Core Plus Bond Fund | $ 4,239 | $ 4,243 | |
Newfleet Low Duration Core Plus Bond Fund | 36,576 | 24,978 | |
Newfleet Multi-Sector Intermediate Bond Fund | 7,466 | 15,389 |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | ||||||||||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 313 | $ 3,735 | 379 | $ 4,391 | 428 | $ 1,798 | 505 | $ 1,995 | |||||||
Reinvestment of distributions | 30 | 354 | 72 | 830 | 240 | 1,006 | 533 | 2,107 | |||||||
Shares repurchased and cross class conversions | (418) | (4,956) | (434) | (5,003) | (588) | (2,464) | (1,909) | (7,549) | |||||||
Net Increase / (Decrease) | (75) | $ (867) | 17 | $ 218 | 80 | $ 340 | (871) | $ (3,447) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 61 | $ 704 | 296 | $ 3,363 | 28 | $ 113 | 272 | $ 1,038 | |||||||
Reinvestment of distributions | 2 | 30 | 7 | 76 | 11 | 47 | 26 | 100 | |||||||
Shares repurchased and cross class conversions | (204) | (2,370) | (230) | (2,556) | (301) | (1,249) | (200) | (749) | |||||||
Net Increase / (Decrease) | (141) | $ (1,636) | 73 | $ 883 | (262) | $ (1,089) | 98 | $ 389 | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 1,410 | $ 17,044 | 2,331 | $ 27,455 | 578 | $ 2,431 | 1,354 | $ 5,388 | |||||||
Reinvestment of distributions | 68 | 823 | 144 | 1,700 | 57 | 239 | 121 | 480 | |||||||
Shares repurchased and cross class conversions | (745) | (8,974) | (1,843) | (21,382) | (1,171) | (4,942) | (1,052) | (4,267) | |||||||
Net Increase / (Decrease) | 733 | $ 8,893 | 632 | $ 7,773 | (536) | $ (2,272) | 423 | $ 1,601 | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 25 | $ 298 | 60 | $ 712 | 143 | $ 602 | 164 | $ 625 | |||||||
Reinvestment of distributions | 1 | 12 | 2 | 25 | 7 | 30 | 12 | 47 | |||||||
Shares repurchased and cross class conversions | (30) | (358) | (57) | (673) | (55) | (225) | (89) | (348) | |||||||
Net Increase / (Decrease) | (4) | $ (48) | 5 | $ 64 | 95 | $ 407 | 87 | $ 324 |
Newfleet Low Duration Core Plus Bond Fund | Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 1,986 | $ 21,845 | 3,156 | $ 34,300 | 1,206 | $ 12,422 | 1,689 | $ 16,867 | |||||||
Reinvestment of distributions | 53 | 582 | 147 | 1,585 | 108 | 1,110 | 266 | 2,642 | |||||||
Shares repurchased and cross class conversions | (1,390) | (15,291) | (2,795) | (29,956) | (869) | (8,979) | (2,633) | (25,275) | |||||||
Net Increase / (Decrease) | 649 | $ 7,136 | 508 | $ 5,929 | 445 | $ 4,553 | (678) | $ (5,766) |
Newfleet Low Duration Core Plus Bond Fund | Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 366 | $ 4,017 | 855 | $ 9,220 | 168 | $ 1,756 | �� | 796 | $ 8,032 | ||||||
Reinvestment of distributions | 7 | 78 | 25 | 267 | 32 | 332 | 88 | 882 | |||||||
Shares repurchased and cross class conversions | (670) | (7,365) | (956) | (10,322) | (1,090) | (11,359) | (1,724) | (17,226) | |||||||
Net Increase / (Decrease) | (297) | $ (3,270) | (76) | $ (835) | (890) | $ (9,271) | (840) | $ (8,312) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 21,391 | $ 235,369 | 20,700 | $ 223,570 | 3,638 | $ 37,479 | 20,726 | $ 200,606 | |||||||
Reinvestment of distributions | 342 | 3,760 | 787 | 8,507 | 273 | 2,806 | 544 | 5,397 | |||||||
Shares repurchased and cross class conversions | (7,655) | (84,149) | (17,292) | (184,467) | (12,426) | (127,971) | (8,918) | (86,555) | |||||||
Net Increase / (Decrease) | 14,078 | $ 154,980 | 4,195 | $ 47,610 | (8,515) | $ (87,686) | 12,352 | $ 119,448 | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | — | $ — | 9 | $ 95 | 109 | $ 1,138 | 230 | $ 2,255 | |||||||
Reinvestment of distributions | — (1) | 2 | 1 | 7 | 8 | 80 | 17 | 169 | |||||||
Shares repurchased and cross class conversions | (9) | (100) | (—) (1) | (1) | (125) | (1,293) | (127) | (1,288) | |||||||
Net Increase / (Decrease) | (9) | $ (98) | 10 | $ 101 | (8) | $ (75) | 120 | $ 1,136 |
(1) | Amount is less than 500 shares. |
Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | ||||||||||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 1,383 | $ 12,300 | 3,363 | $ 28,888 | 345 | $ 3,936 | 349 | $ 3,963 | |||||||
Reinvestment of distributions | 97 | 852 | 477 | 4,209 | 50 | 577 | 58 | 656 | |||||||
Shares repurchased and cross class conversions | (688) | (6,073) | (15,504) | (131,601) | (227) | (2,593) | (551) | (6,226) | |||||||
Net Increase / (Decrease) | 792 | $ 7,079 | (11,664) | $ (98,504) | 168 | $ 1,920 | (144) | $ (1,607) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 45 | $ 400 | 207 | $ 1,818 | 18 | $ 206 | 143 | $ 1,644 | |||||||
Reinvestment of distributions | 33 | 293 | 136 | 1,174 | 9 | 108 | 11 | 124 | |||||||
Shares repurchased and cross class conversions | (1,564) | (13,919) | (2,322) | (19,895) | (322) | (3,679) | (429) | (4,852) | |||||||
Net Increase / (Decrease) | (1,486) | $ (13,226) | (1,979) | $ (16,903) | (295) | $ (3,365) | (275) | $ (3,084) |
Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | ||||||||||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class I | ��� | ||||||||||||||
Shares sold and cross class conversions | 4,282 | $ 37,768 | 5,589 | $ 48,418 | 507 | $ 5,818 | 827 | $ 9,363 | |||||||
Reinvestment of distributions | 114 | 1,007 | 396 | 3,427 | 103 | 1,175 | 125 | 1,425 | |||||||
Shares repurchased and cross class conversions | (2,944) | (25,859) | (10,563) | (90,886) | (894) | (10,263) | (2,476) | (27,869) | |||||||
Net Increase / (Decrease) | 1,452 | $ 12,916 | (4,578) | $ (39,041) | (284) | $ (3,270) | (1,524) | $ (17,081) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 5 | $ 47 | 579 | $ 5,154 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | 5 | 44 | 10 | 84 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (101) | (900) | (292) | (2,321) | — | — | — | — | |||||||
Net Increase / (Decrease) | (91) | $ (809) | 297 | $ 2,917 | — | $ — | — | $ — |
% of Shares Outstanding | Number of Accounts* | ||
Newfleet Core Plus Bond Fund | 24% | 1 | |
Newfleet Low Duration Core Plus Bond Fund | 48 | 3 | |
Newfleet Multi-Sector Intermediate Bond Fund | 31 | 2 | |
Newfleet Senior Floating Rate Fund | 33 | 1 |
* | None of the accounts are affiliated. |
Fund | Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | ||||
Newfleet Multi-Sector Intermediate Bond Fund | $1 | $6,780 | 1.29% | 5 |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Newfleet Core Plus Bond Fund | $ 110,872 | $ 3,384 | $ (1,280) | $ 2,104 | ||||
Newfleet High Yield Fund | 58,516 | 2,436 | (1,041) | 1,395 | ||||
Newfleet Low Duration Core Plus Bond Fund | 661,276 | 8,227 | (1,834) | 6,393 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | 325,709 | 9,894 | (6,829) | 3,065 | ||||
Newfleet Senior Floating Rate Fund | 224,975 | 1,460 | (3,733) | (2,273) | ||||
Newfleet Tax-Exempt Bond Fund | 97,119 | 8,276 | (37) | 8,239 |
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 |
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) |
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.
8640 | 05-21 |
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 |
Virtus KAR Emerging Markets Small-Cap Fund |
Virtus KAR International Small-Cap Fund |
Virtus KAR International Small-Mid Cap Fund |
Virtus Vontobel Global Opportunities Fund |
Virtus Vontobel Greater European Opportunities Fund |
1 | ||
2 | ||
5 | ||
7 | ||
Fund | Schedule of Investments | |
9 | ||
10 | ||
12 | ||
14 | ||
15 | ||
17 | ||
19 | ||
21 | ||
23 | ||
Virtus Vontobel Greater European Opportunities Fund (“Vontobel Greater European Opportunities Fund”) | 25 | |
27 | ||
33 | ||
36 | ||
41 | ||
49 | ||
66 |
President, Virtus Funds
Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Global Infrastructure Fund | ||||||||
Class A | $ 1,000.00 | $ 1,108.50 | 1.28 % | $ 6.73 | ||||
Class C | 1,000.00 | 1,103.80 | 2.01 | 10.54 | ||||
Class I | 1,000.00 | 1,109.80 | 1.03 | 5.42 | ||||
Class R6 | 1,000.00 | 1,111.00 | 0.85 | 4.47 | ||||
Duff & Phelps Global Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 1,193.20 | 1.40 | 7.66 | ||||
Class C | 1,000.00 | 1,188.70 | 2.15 | 11.73 | ||||
Class I | 1,000.00 | 1,194.90 | 1.15 | 6.29 | ||||
Class R6 | 1,000.00 | 1,196.50 | 0.89 | 4.87 | ||||
Duff & Phelps International Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 1,160.50 | 1.50 | 8.08 | ||||
Class C | 1,000.00 | 1,156.00 | 2.25 | 12.09 | ||||
Class I | 1,000.00 | 1,162.20 | 1.25 | 6.74 | ||||
Duff & Phelps Real Asset Fund | ||||||||
Class A | 1,000.00 | 1,152.30 | 0.88 | 4.72 | ||||
Class C | 1,000.00 | 1,147.20 | 1.71 | 9.15 | ||||
Class I | 1,000.00 | 1,153.50 | 0.63 | 3.38 | ||||
FORT Trend Fund | ||||||||
Class A | 1,000.00 | 1,001.40 | 1.58 | 7.88 | ||||
Class C | 1,000.00 | 997.10 | 2.35 | 11.70 | ||||
Class I | 1,000.00 | 1,002.00 | 1.35 | 6.74 | ||||
Class R6 | 1,000.00 | 1,002.70 | 1.24 | 6.19 | ||||
KAR Emerging Markets Small-Cap Fund | ||||||||
Class A | 1,000.00 | 1,154.30 | 1.85 | 9.94 | ||||
Class C | 1,000.00 | 1,150.70 | 2.60 | 13.94 | ||||
Class I | 1,000.00 | 1,155.80 | 1.60 | 8.60 | ||||
Class R6 | 1,000.00 | 1,157.30 | 1.42 | 7.64 | ||||
KAR International Small-Cap Fund | ||||||||
Class A | 1,000.00 | 1,233.40 | 1.52 | 8.46 | ||||
Class C | 1,000.00 | 1,229.60 | 2.24 | 12.45 | ||||
Class I | 1,000.00 | 1,235.40 | 1.25 | 6.97 | ||||
Class R6 | 1,000.00 | 1,236.20 | 1.15 | 6.41 |
Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
KAR International Small-Mid Cap Fund | ||||||||
Class A | $1,000.00 | $1,201.50 | 1.45% | $ 7.96 | ||||
Class C | 1,000.00 | 1,197.50 | 2.20 | 12.05 | ||||
Class I | 1,000.00 | 1,203.00 | 1.20 | 6.59 | ||||
Class R6 | 1,000.00 | 1,203.60 | 1.10 | 6.04 | ||||
Vontobel Global Opportunities Fund | ||||||||
Class A | 1,000.00 | 1,109.50 | 1.36 | 7.15 | ||||
Class C | 1,000.00 | 1,105.20 | 2.11 | 11.07 | ||||
Class I | 1,000.00 | 1,110.30 | 1.09 | 5.73 | ||||
Class R6 | 1,000.00 | 1,111.60 | 0.90 | 4.74 | ||||
Vontobel Greater European Opportunities Fund | ||||||||
Class A | 1,000.00 | 1,105.50 | 1.42 | 7.45 | ||||
Class C | 1,000.00 | 1,101.80 | 2.17 | 11.37 | ||||
Class I | 1,000.00 | 1,107.40 | 1.16 | 6.09 |
* | 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 (182) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Global Infrastructure Fund | ||||||||
Class A | $ 1,000.00 | $ 1,018.55 | 1.28 % | $ 6.44 | ||||
Class C | 1,000.00 | 1,014.91 | 2.01 | 10.10 | ||||
Class I | 1,000.00 | 1,019.80 | 1.03 | 5.19 | ||||
Class R6 | 1,000.00 | 1,020.69 | 0.85 | 4.28 | ||||
Duff & Phelps Global Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 1,017.95 | 1.40 | 7.04 | ||||
Class C | 1,000.00 | 1,014.21 | 2.15 | 10.80 | ||||
Class I | 1,000.00 | 1,019.20 | 1.15 | 5.79 | ||||
Class R6 | 1,000.00 | 1,020.49 | 0.89 | 4.48 | ||||
Duff & Phelps International Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 1,017.45 | 1.50 | 7.54 | ||||
Class C | 1,000.00 | 1,013.71 | 2.25 | 11.30 | ||||
Class I | 1,000.00 | 1,018.70 | 1.25 | 6.29 | ||||
Duff & Phelps Real Asset Fund | ||||||||
Class A | 1,000.00 | 1,020.54 | 0.88 | 4.43 | ||||
Class C | 1,000.00 | 1,016.40 | 1.71 | 8.60 | ||||
Class I | 1,000.00 | 1,021.79 | 0.63 | 3.18 |
Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
FORT Trend Fund | ||||||||
Class A | $1,000.00 | $1,017.05 | 1.58% | $ 7.95 | ||||
Class C | 1,000.00 | 1,013.21 | 2.35 | 11.80 | ||||
Class I | 1,000.00 | 1,018.20 | 1.35 | 6.79 | ||||
Class R6 | 1,000.00 | 1,018.75 | 1.24 | 6.24 | ||||
KAR Emerging Markets Small-Cap Fund | ||||||||
Class A | 1,000.00 | 1,015.71 | 1.85 | 9.30 | ||||
Class C | 1,000.00 | 1,011.97 | 2.60 | 13.04 | ||||
Class I | 1,000.00 | 1,016.95 | 1.60 | 8.05 | ||||
Class R6 | 1,000.00 | 1,017.85 | 1.42 | 7.14 | ||||
KAR International Small-Cap Fund | ||||||||
Class A | 1,000.00 | 1,017.35 | 1.52 | 7.64 | ||||
Class C | 1,000.00 | 1,013.76 | 2.24 | 11.25 | ||||
Class I | 1,000.00 | 1,018.70 | 1.25 | 6.29 | ||||
Class R6 | 1,000.00 | 1,019.20 | 1.15 | 5.79 | ||||
KAR International Small-Mid Cap Fund | ||||||||
Class A | 1,000.00 | 1,017.70 | 1.45 | 7.29 | ||||
Class C | 1,000.00 | 1,013.96 | 2.20 | 11.05 | ||||
Class I | 1,000.00 | 1,018.95 | 1.20 | 6.04 | ||||
Class R6 | 1,000.00 | 1,019.45 | 1.10 | 5.54 | ||||
Vontobel Global Opportunities Fund | ||||||||
Class A | 1,000.00 | 1,018.15 | 1.36 | 6.84 | ||||
Class C | 1,000.00 | 1,014.41 | 2.11 | 10.60 | ||||
Class I | 1,000.00 | 1,019.50 | 1.09 | 5.49 | ||||
Class R6 | 1,000.00 | 1,020.44 | 0.90 | 4.53 | ||||
Vontobel Greater European Opportunities Fund | ||||||||
Class A | 1,000.00 | 1,017.85 | 1.42 | 7.14 | ||||
Class C | 1,000.00 | 1,014.11 | 2.17 | 10.90 | ||||
Class I | 1,000.00 | 1,019.15 | 1.16 | 5.84 |
* | 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 (182) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Utilities | 44% |
Industrials | 31 |
Energy | 12 |
Real Estate | 10 |
Communication Services | 3 |
Total | 100% |
Industrial/Office REITs | 22% |
Residential REITs | 19 |
Retail REITs | 12 |
Real Estate Operating Companies | 10 |
Office REITs | 7 |
Health Care REITs | 6 |
Diversified REITs | 5 |
Other (includes short-term investment) | 19 |
Total | 100% |
Real Estate Operating Companies | 24% |
Office REITs | 18 |
Industrial/Office REITs | 16 |
Residential REITs | 12 |
Retail REITs | 10 |
Diversified Real Estate Activities REITs | 7 |
Diversified REITs | 7 |
Other REITs | 6 |
Total | 100% |
Affiliated Mutual Funds | 66% | |
Exchange-Traded Funds | 31 | |
Short-Term Investment | 3 | |
Total | 100% |
Short-Term Investments | 100% | |
Money Market Mutual Fund | 6% | |
U.S. Government Securities | 94 | |
Total | 100% |
Industrials | 33% |
Information Technology | 14 |
Consumer Staples | 13 |
Communication Services | 12 |
Financials | 10 |
Consumer Discretionary | 7 |
Health Care | 3 |
Other (includes short-term investment) | 8 |
Total | 100% |
Industrials | 27% |
Communication Services | 18 |
Financials | 18 |
Information Technology | 10 |
Consumer Discretionary | 7 |
Health Care | 4 |
Consumer Staples | 4 |
Other (includes short-term investment) | 12 |
Total | 100% |
Industrials | 30% |
Communication Services | 22 |
Financials | 12 |
Information Technology | 10 |
Consumer Discretionary | 10 |
Health Care | 3 |
Energy | 2 |
Other (includes short-term investment) | 11 |
Total | 100% |
Information Technology | 26% |
Consumer Discretionary | 19 |
Health Care | 14 |
Consumer Staples | 13 |
Financials | 9 |
Communication Services | 8 |
Industrials | 8 |
Other | 3 |
Total | 100% |
Industrials | 24% |
Consumer Discretionary | 17 |
Consumer Staples | 17 |
Health Care | 14 |
Information Technology | 10 |
Financials | 6 |
Materials | 6 |
Other (includes short-term investment) | 6 |
Total | 100% |
Shares | Value | ||
Common Stocks—99.7% | |||
Communication Services—2.8% | |||
Cellnex Telecom SA (Spain) | 41,710 | $ 2,402 | |
Energy—11.8% | |||
Cheniere Energy, Inc. (United States)(1) | 28,852 | 2,078 | |
Enbridge, Inc. (Canada) | 97,683 | 3,556 | |
ONEOK, Inc. (United States) | 16,840 | 853 | |
Pembina Pipeline Corp. (Canada) | 35,597 | 1,028 | |
Targa Resources Corp. (United States) | 30,390 | 965 | |
TC Energy Corp. (Canada) | 38,845 | 1,777 | |
10,257 | |||
Industrials—30.6% | |||
Aena SME SA (Spain) | 24,456 | 3,966 | |
Aeroports de Paris (France)(1) | 14,890 | 1,779 | |
Atlantia SpA (Italy)(1) | 93,163 | 1,743 | |
Auckland International Airport Ltd. (New Zealand)(1) | 211,992 | 1,161 | |
Canadian Pacific Railway Ltd. (Canada) | 4,065 | 1,542 | |
Flughafen Zuerich AG (Switzerland)(1) | 8,075 | 1,327 | |
Norfolk Southern Corp. (United States) | 10,691 | 2,871 | |
Sydney Airport (Australia)(1) | 436,137 | 2,050 | |
Transurban Group (Australia) | 461,477 | 4,669 | |
Union Pacific Corp. (United States) | 15,214 | 3,353 | |
Vinci SA (France) | 20,583 | 2,109 | |
26,570 | |||
Real Estate—9.9% | |||
American Tower Corp. (United States) | 20,392 | 4,875 |
Shares | Value | ||
Real Estate—continued | |||
Crown Castle International Corp. (United States) | 21,600 | $ 3,718 | |
8,593 | |||
Utilities—44.6% | |||
Ameren Corp. (United States) | 16,713 | 1,360 | |
American Electric Power Co., Inc. (United States) | 10,921 | 925 | |
American Water Works Co., Inc. (United States) | 9,094 | 1,363 | |
Atmos Energy Corp. (United States) | 19,300 | 1,908 | |
CenterPoint Energy, Inc. (United States) | 70,625 | 1,600 | |
CMS Energy Corp. (United States) | 22,866 | 1,400 | |
Dominion Energy, Inc. (United States) | 48,684 | 3,698 | |
DTE Energy Co. (United States) | 9,784 | 1,303 | |
Edison International (United States) | 24,941 | 1,461 | |
Enel SpA (Italy) | 143,720 | 1,431 | |
Energias de Portugal SA (Portugal) | 275,937 | 1,576 | |
Essential Utilities, Inc. (United States) | 28,191 | 1,262 | |
Iberdrola SA (Spain) | 126,013 | 1,623 | |
National Grid plc (United Kingdom) | 191,874 | 2,285 | |
Naturgy Energy Group SA (Spain) | 45,429 | 1,113 | |
NextEra Energy, Inc. (United States) | 77,439 | 5,855 | |
Orsted A/S (Denmark) | 13,451 | 2,172 | |
Public Service Enterprise Group, Inc. (United States) | 39,505 | 2,379 | |
Sempra Energy (United States) | 23,244 | 3,082 |
Shares | Value | ||
Utilities—continued | |||
Southern Co. (The) (United States) | 13,995 | $ 870 | |
38,666 | |||
Total Common Stocks (Identified Cost $72,245) | 86,488 | ||
Total Long-Term Investments—99.7% (Identified Cost $72,245) | 86,488 | ||
TOTAL INVESTMENTS—99.7% (Identified Cost $72,245) | $86,488 | ||
Other assets and liabilities, net—0.3% | 296 | ||
NET ASSETS—100.0% | $86,784 |
Footnote Legend: | |
(1) | Non-income producing. |
Country Weightings† | |
United States | 54% |
Spain | 11 |
Canada | 9 |
Australia | 7 |
France | 5 |
Italy | 4 |
United Kingdom | 3 |
Other | 7 |
Total | 100% |
† % of total investments as of March 31, 2021. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $86,488 | $86,488 | |
Total Investments | $86,488 | $86,488 |
Shares | Value | ||
Common Stocks—96.1% | |||
Australia—3.5% | |||
Dexus | 591,339 | $ 4,379 | |
GPT Group (The) - In Specie(1)(2) | 13,566 | — | |
National Storage REIT | 2,673,333 | 4,061 | |
NEXTDC Ltd.(2) | 373,476 | 2,956 | |
11,396 | |||
Belgium—1.0% | |||
Warehouses De Pauw CVA | 99,337 | 3,283 | |
Canada—4.3% | |||
Allied Properties Real Estate Investment Trust | 97,650 | 3,158 | |
Boardwalk Real Estate Investment Trust | 160,000 | 4,623 | |
Granite Real Estate Investment Trust | 51,829 | 3,151 | |
Summit Industrial Income REIT | 280,400 | 3,182 | |
14,114 | |||
France—2.5% | |||
Gecina SA | 24,200 | 3,332 | |
Klepierre SA | 211,580 | 4,934 | |
8,266 | |||
Germany—4.5% | |||
Aroundtown SA | 795,180 | 5,660 | |
Deutsche Wohnen SE | 70,500 | 3,289 | |
Vonovia SE | 88,294 | 5,767 | |
14,716 | |||
Hong Kong—2.8% | |||
Link REIT | 386,504 | 3,520 | |
Swire Properties Ltd. | 1,811,000 | 5,603 | |
9,123 | |||
India—1.0% | |||
Ascendas India Trust | 2,940,800 | 3,236 | |
Ireland—1.0% | |||
Irish Residential Properties REIT plc | 1,690,800 | 3,236 | |
Japan—9.6% | |||
Invesco Office J-REIT, Inc. | 25,727 | 4,050 | |
Kenedix Office Investment Corp. | 439 | 3,121 | |
Kenedix Residential Next Investment Corp. | 1,885 | 3,677 | |
Mitsubishi Estate Co., Ltd. | 541,400 | 9,449 | |
Mitsui Fudosan Logistics Park, Inc. | 1,252 | 6,185 | |
Nippon Prologis REIT, Inc. | 1,605 | 5,153 | |
31,635 | |||
Singapore—0.8% | |||
Mapletree Industrial Trust | 1,366,800 | 2,784 |
Shares | Value | ||
Spain—2.3% | |||
Inmobiliaria Colonial Socimi SA | 313,500 | $ 3,035 | |
Merlin Properties Socimi SA | 452,100 | 4,623 | |
7,658 | |||
Sweden—2.6% | |||
Catena AB | 85,000 | 3,747 | |
Kungsleden AB | 448,900 | 4,690 | |
8,437 | |||
United Kingdom—5.4% | |||
Derwent London plc | 71,810 | 3,196 | |
Safestore Holdings plc | 296,757 | 3,255 | |
Segro plc | 187,928 | 2,429 | |
UNITE Group plc (The)(2) | 393,500 | 5,788 | |
Workspace Group plc | 291,800 | 3,218 | |
17,886 | |||
United States—54.8% | |||
Alexandria Real Estate Equities, Inc. | 19,729 | 3,241 | |
American Homes 4 Rent Class A | 149,550 | 4,986 | |
Apartment Income REIT Corp. | 90,478 | 3,869 | |
AvalonBay Communities, Inc. | 46,565 | 8,592 | |
Boston Properties, Inc. | 46,685 | 4,727 | |
Brixmor Property Group, Inc. | 314,033 | 6,353 | |
Cousins Properties, Inc. | 160,900 | 5,688 | |
CubeSmart | 191,175 | 7,232 | |
CyrusOne, Inc. | 46,985 | 3,182 | |
Douglas Emmett, Inc. | 99,405 | 3,121 | |
Duke Realty Corp. | 191,366 | 8,024 | |
Equinix, Inc. | 12,025 | 8,172 | |
Equity Residential | 96,465 | 6,910 | |
Extra Space Storage, Inc. | 55,165 | 7,312 | |
Healthcare Trust of America, Inc. Class A | 142,600 | 3,933 | |
Healthpeak Properties, Inc. | 229,900 | 7,297 | |
Host Hotels & Resorts, Inc.(2) | 104,806 | 1,766 | |
Invitation Homes, Inc. | 152,710 | 4,885 | |
Mid-America Apartment Communities, Inc. | 38,800 | 5,601 | |
Prologis, Inc. | 153,434 | 16,264 | |
Regency Centers Corp. | 71,850 | 4,075 | |
Rexford Industrial Realty, Inc. | 59,700 | 3,009 | |
RLJ Lodging Trust | 141,507 | 2,191 | |
Ryman Hospitality Properties, Inc.(2) | 47,635 | 3,692 | |
SBA Communications, Corp. | 15,100 | 4,191 | |
Simon Property Group, Inc. | 64,131 | 7,296 | |
Spirit Realty Capital, Inc. | 152,216 | 6,469 | |
STORE Capital Corp. | 146,035 | 4,892 |
Shares | Value | ||
United States—continued | |||
Sun Communities, Inc. | 53,906 | $ 8,088 | |
VEREIT, Inc. | 125,880 | 4,862 | |
VICI Properties, Inc. | 110,250 | 3,113 | |
Welltower, Inc. | 101,300 | 7,256 | |
180,289 | |||
Total Common Stocks (Identified Cost $263,451) | 316,059 | ||
Total Long-Term Investments—96.1% (Identified Cost $263,451) | 316,059 | ||
Short-Term Investment—1.0% | |||
Money Market Mutual Fund—1.0% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(3) | 3,172,288 | 3,172 | |
Total Short-Term Investment (Identified Cost $3,172) | 3,172 | ||
TOTAL INVESTMENTS—97.1% (Identified Cost $266,623) | $319,231 | ||
Other assets and liabilities, net—2.9% | 9,453 | ||
NET ASSETS—100.0% | $328,684 |
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) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 58% |
Japan | 10 |
United Kingdom | 6 |
Germany | 5 |
Canada | 4 |
Australia | 3 |
Hong Kong | 3 |
Other | 11 |
Total | 100% |
† % of total investments as of March 31, 2021. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | Level 3 Significant Unobservable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $316,059 | $316,059 | $— (1) | ||
Money Market Mutual Fund | 3,172 | 3,172 | — | ||
Total Investments | $319,231 | $319,231 | $— |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Shares | Value | ||
Common Stocks—98.5% | |||
Australia—8.6% | |||
Dexus | 127,718 | $ 946 | |
GPT Group (The) - In Specie(1)(2) | 588,920 | — | |
National Storage REIT | 401,504 | 610 | |
NEXTDC Ltd.(2) | 54,339 | 430 | |
Scentre Group | 240,000 | 514 | |
2,500 | |||
Belgium—1.6% | |||
Warehouses De Pauw CVA | 13,766 | 455 | |
Canada—8.4% | |||
Allied Properties Real Estate Investment Trust | 22,300 | 721 | |
Boardwalk Real Estate Investment Trust | 29,600 | 855 | |
Granite Real Estate Investment Trust | 7,176 | 437 | |
Summit Industrial Income REIT | 37,900 | 430 | |
2,443 | |||
China—1.0% | |||
GDS Holdings Ltd. ADR(2) | 3,600 | 292 | |
France—2.6% | |||
Klepierre SA | 31,831 | 742 | |
Germany—10.5% | |||
Aroundtown SA | 146,640 | 1,044 | |
Deutsche Wohnen SE | 14,100 | 658 | |
Vonovia SE | 20,749 | 1,355 | |
3,057 | |||
Hong Kong—12.5% | |||
Hysan Development Co., Ltd. | 168,000 | 657 | |
Link REIT | 176,441 | 1,607 | |
Swire Properties Ltd. | 446,000 | 1,379 | |
3,643 | |||
India—1.9% | |||
Ascendas India Trust | 504,100 | 555 | |
Ireland—2.7% | |||
Irish Residential Properties REIT plc | 416,000 | 796 |
Shares | Value | ||
Japan—24.2% | |||
Ichigo Office REIT Investment Corp. | 525 | $ 450 | |
Invesco Office J-REIT, Inc. | 5,234 | 824 | |
Kenedix Office Investment Corp. | 132 | 938 | |
Kenedix Residential Next Investment Corp. | 426 | 831 | |
Mitsubishi Estate Co., Ltd. | 111,200 | 1,941 | |
Mitsui Fudosan Logistics Park, Inc. | 199 | 983 | |
Nippon Prologis REIT, Inc. | 338 | 1,085 | |
7,052 | |||
Singapore—2.6% | |||
Mapletree Industrial Trust | 372,000 | 758 | |
Spain—5.2% | |||
Inmobiliaria Colonial Socimi SA | 58,500 | 566 | |
Merlin Properties Socimi SA | 92,800 | 949 | |
1,515 | |||
Sweden—4.5% | |||
Catena AB | 9,300 | 410 | |
Kungsleden AB | 85,500 | 893 | |
1,303 | |||
United Kingdom—12.2% | |||
Derwent London plc | 14,331 | 638 | |
Safestore Holdings plc | 60,726 | 666 | |
Segro plc | 36,368 | 470 | |
UNITE Group plc (The)(2) | 60,000 | 883 | |
Workspace Group plc | 81,000 | 893 | |
3,550 | |||
Total Common Stocks (Identified Cost $22,559) | 28,661 | ||
Total Long-Term Investments—98.5% (Identified Cost $22,559) | 28,661 | ||
TOTAL INVESTMENTS—98.5% (Identified Cost $22,559) | $28,661 | ||
Other assets and liabilities, net—1.5% | 443 | ||
NET ASSETS—100.0% | $29,104 |
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. |
Country Weightings† | |
Japan | 25% |
Hong Kong | 13 |
United Kingdom | 12 |
Germany | 11 |
Australia | 9 |
Canada | 8 |
Spain | 5 |
Other | 17 |
Total | 100% |
† % of total investments as of March 31, 2021. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | Level 3 Significant Unobservable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $28,661 | $28,661 | $— (1) | ||
Total Investments | $28,661 | $28,661 | $— |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Shares | Value | ||
Affiliated Mutual Funds(1)—66.0% | |||
Equity Funds—57.9% | |||
Virtus Duff & Phelps Global Infrastructure Fund Class R6 | 315,044 | $ 4,997 | |
Virtus Duff & Phelps Global Real Estate Securities Fund Class R6 | 147,117 | 5,046 | |
Virtus Duff & Phelps Select MLP and Energy Fund Class I | 350,359 | 2,617 | |
12,660 | |||
Fixed Income Fund—8.1% | |||
Virtus Newfleet Senior Floating Rate Fund Class R6 | 197,017 | 1,756 | |
Total Affiliated Mutual Funds (Identified Cost $10,252) | 14,416 | ||
Exchange-Traded Funds(1)—31.2% | |||
Invesco DB Agriculture Fund(2) | 26,000 | 440 | |
Invesco DB Commodity Index Tracking Fund(2) | 123,224 | 2,047 | |
Invesco DB Gold Fund(2) | 17,500 | 864 |
Shares | Value | ||
Schwab U.S. TIPS ETF | 14,200 | $ 868 | |
SPDR S&P Global Natural Resources ETF | 51,750 | 2,601 | |
Total Exchange-Traded Funds (Identified Cost $6,074) | 6,820 | ||
Total Long-Term Investments—97.2% (Identified Cost $16,326) | 21,236 | ||
Short-Term Investment—3.0% | |||
Money Market Mutual Fund(1)—3.0% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%) | 655,354 | 655 | |
Total Short-Term Investment (Identified Cost $655) | 655 | ||
TOTAL INVESTMENTS—100.2% (Identified Cost $16,981) | $21,891 | ||
Other assets and liabilities, net—(0.2)% | (38) | ||
NET ASSETS—100.0% | $21,853 |
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 this fund are publicly offered, and its prospectus and annual report are publicly available. |
(2) | Non-income producing. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | ||
Assets: | |||
Affiliated Mutual Funds | $14,416 | $14,416 | |
Exchange-Traded Funds | 6,820 | 6,820 | |
Money Market Mutual Fund | 655 | 655 | |
Total Investments | $21,891 | $21,891 |
Shares | Value | ||
Short-Term Investments—95.2% | |||
Money Market Mutual Fund—5.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(1) | 9,935,372 | $ 9,935 | |
Total Money Market Mutual Fund (Identified Cost $9,935) | 9,935 | ||
Par Value | ||
U.S. Government Securities—89.6% | ||
U.S. Treasury Bills | ||
0.000%, 4/22/21 | $24,000 | 24,000 |
Par Value | Value | ||
0.000%, 5/20/21 | $25,000 | $ 24,999 | |
0.000%, 6/24/21 | 24,500 | 24,499 | |
0.000%, 7/8/21 | 28,000 | 27,999 | |
0.000%, 7/22/21 | 31,600 | 31,598 | |
0.000%, 8/26/21 | 27,200 | 27,198 | |
Total U.S. Government Securities (Identified Cost $160,269) | 160,293 | ||
Total Short-Term Investments (Identified Cost $170,204) | 170,228 | ||
TOTAL INVESTMENTS—95.2% (Identified Cost $170,204) | $170,228 | ||
Other assets and liabilities, net—4.8% | 8,557 | ||
NET ASSETS—100.0% | $178,785 |
Footnote Legend: | |
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Exchange-Traded Futures contracts as of March 31, 2021 were as follows: | |||||
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Value / Unrealized Appreciation | Value / Unrealized (Depreciation) |
CAC 40 Index Future | April 2021 | 22 | $ 1,565 | $ 8 | $ — |
FTSE Taiwan Index Future | April 2021 | 84 | 4,867 | 74 | — |
Hang Seng Index Future | April 2021 | 5 | 911 | 3 | — |
5,000-oz. Silver Future | May 2021 | (4) | (491) | 30 | — |
Copper Future | May 2021 | 6 | 599 | — | (19) |
Crude Oil Future | May 2021 | (30) | (1,775) | 54 | — |
Gasoline RBOB Future | May 2021 | (41) | (3,375) | 10 | — |
Low Sulphur Gasoil Future | May 2021 | (44) | (2,233) | — | (33) |
Natural Gas Future | May 2021 | (42) | (1,095) | — | (1) |
NY Harbor ULSD Future | May 2021 | (59) | (4,386) | 39 | — |
10 Year Euro-Bund Future | June 2021 | 137 | 27,518 | 1 | — |
10 Year Japanese Bond Future | June 2021 | 19 | 25,939 | 20 | — |
10 Year U.K. Gilt Future | June 2021 | 8 | 1,407 | — | (12) |
10 Year U.S. Treasury Note Future | June 2021 | 77 | 10,082 | — | (207) |
30 Year U.S. Treasury Bond Future | June 2021 | 66 | 10,203 | — | (292) |
5 Year U.S. Treasury Note Future | June 2021 | 202 | 24,927 | — | (69) |
ASX SPI 200TM Future | June 2021 | 13 | 1,670 | — (a) | — |
Brent Crude Future | June 2021 | (15) | (941) | 26 | — |
British Pound Future | June 2021 | 16 | 1,378 | — | (3) |
DAX Index Future | June 2021 | 3 | 1,322 | 28 | — |
Dow Jones Index E-Mini Future | June 2021 | 33 | 5,428 | 29 | — |
Euro Currency Future | June 2021 | (46) | (6,752) | 91 | — |
Euro Stoxx 50 Future | June 2021 | 85 | 3,854 | 81 | — |
Euro-Bobl Future | June 2021 | 454 | 71,917 | 28 | — |
Euro-Schatz Future | June 2021 | 511 | 67,176 | — | (2) |
FTSE 100 Index Future | June 2021 | 13 | 1,197 | — | (5) |
Gold Future | June 2021 | (4) | (686) | 8 | — |
Japanese Yen Future | June 2021 | (62) | (7,002) | 129 | — |
Nasdaq 100 E-Mini Future | June 2021 | 26 | 6,807 | 40 | — |
Nikkei 225 Stock Average Future | June 2021 | 5 | 1,318 | 24 | — |
Russell 2000 E-Mini Future | June 2021 | 9 | 1,000 | — | (48) |
S&P 500 E-Mini Future | June 2021 | 85 | 16,861 | 153 | — |
S&P MidCap 400 E-Mini Future | June 2021 | 4 | 1,042 | — | (5) |
S&P/TSX 60 Index Future | June 2021 | 7 | 1,238 | — | (9) |
Swiss Franc Future | June 2021 | (54) | (7,152) | 125 | — |
TOPIX Index Future | June 2021 | 18 | 3,177 | 103 | — |
90-Day Sterling Future | September 2021 | (24) | (4,132) | 1 | — |
3-Month EURIBOR Future | September 2021 | 544 | 160,348 | 5 | — |
Exchange-Traded Futures contracts as of March 31, 2021 were as follows: | ||||||
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Value / Unrealized Appreciation | Value / Unrealized (Depreciation) | |
90-Day Eurodollar Future | September 2021 | 1,199 | $299,181 | $ — | $ (33) | |
90-Day Sterling Future | December 2021 | (244) | (41,993) | 10 | — | |
3-Month EURIBOR Future | December 2021 | 313 | 92,264 | — | (2) | |
90-Day Eurodollar Future | December 2021 | 502 | 125,167 | — | (6) | |
3-Month EURIBOR Future | March 2022 | 407 | 119,961 | — | (7) | |
90-Day Eurodollar Future | March 2022 | 60 | 14,965 | — | (3) | |
90-Day Sterling Future | March 2022 | 122 | 20,981 | — | — (a) | |
90-Day Sterling Future | June 2022 | (14) | (2,407) | — (a) | — | |
3-Month EURIBOR Future | June 2022 | 240 | 70,735 | — | (1) | |
90-Day Eurodollar Future | June 2022 | 146 | 36,394 | — | (8) | |
3-Month EURIBOR Future | September 2022 | 275 | 81,046 | — | (1) | |
90-Day Eurodollar Future | September 2022 | 336 | 83,689 | — | (33) | |
90-Day Sterling Future | September 2022 | 203 | 34,875 | — | (45) | |
3-Month EURIBOR Future | December 2022 | 297 | 87,513 | — | (3) | |
90-Day Eurodollar Future | December 2022 | 270 | 67,163 | — | (36) | |
90-Day Sterling Future | December 2022 | 220 | 37,769 | — | (80) | |
3-Month EURIBOR Future | March 2023 | 265 | 78,060 | 3 | — | |
90-Day Eurodollar Future | March 2023 | 246 | 61,128 | — | (39) | |
90-Day Sterling Future | March 2023 | 220 | 37,741 | — | (2) | |
Total | $1,123 | $(1,004) | ||||
Footnote Legend: | ||||||
(a)Amount is less than $500. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
U.S. Government Securities | $160,293 | $ — | $160,293 | ||
Money Market Mutual Fund | 9,935 | 9,935 | — | ||
Other Financial Instruments: | |||||
Futures Contracts | 1,123 | 1,123 | — | ||
Total Assets | 171,351 | 11,058 | 160,293 | ||
Liabilities: | |||||
Other Financial Instruments: | |||||
Futures Contracts | (1,004) | (1,004) | — | ||
Total Liabilities | (1,004) | (1,004) | — | ||
Total Investments | $170,347 | $ 10,054 | $160,293 |
Shares | Value | ||
Common Stocks—93.3% | |||
Communication Services—11.9% | |||
Addcn Technology Co., Ltd. (Taiwan) | 592,000 | $ 4,980 | |
Autohome, Inc. ADR (China) | 89,162 | 8,316 | |
Sarana Menara Nusantara Tbk PT (Indonesia) | 92,634,800 | 7,015 | |
Tongdao Liepin Group (China)(1) | 1,919,800 | 5,408 | |
Wirtualna Polska Holding SA (Poland)(1) | 400,438 | 10,032 | |
Yandex N.V. Class A (Russia)(1) | 115,804 | 7,418 | |
43,169 | |||
Consumer Discretionary—6.7% | |||
Allegro.eu SA (Poland)(1) | 164,175 | 2,308 | |
Union Auction PCL (Thailand)(2) | 30,130,000 | 10,606 | |
Vasta Platform Ltd. (Brazil)(1) | 874,745 | 8,616 | |
Vivo Energy plc (United Kingdom) | 1,880,608 | 2,515 | |
24,045 | |||
Consumer Staples—13.6% | |||
Anhui Gujing Distillery Co., Ltd. Class B (China) | 868,800 | 12,181 | |
BIM Birlesik Magazalar AS (Turkey) | 824,000 | 7,045 | |
Carlsberg Brewery Malaysia Bhd (Malaysia) | 1,507,700 | 8,676 | |
Clicks Group Ltd. (South Africa) | 321,123 | 5,230 | |
Heineken Malaysia Bhd (Malaysia) | 1,742,500 | 10,842 | |
Taisun International Holding Corp. (Taiwan) | 1,230,074 | 5,195 | |
49,169 | |||
Financials—9.6% | |||
Kaspi.KZ JSC GDR, 144A (Kazakhstan)(3) | 146,387 | 10,394 | |
Multi Commodity Exchange of India Ltd. (India) | 338,141 | 6,997 | |
VNV Global AB (Sweden)(1) | 1,390,730 | 17,389 | |
34,780 | |||
Health Care—2.6% | |||
Haw Par Corp., Ltd. (Singapore) | 977,114 | 9,552 | |
Industrials—33.1% | |||
Boa Vista Servicos SA (Brazil) | 4,188,336 | 8,654 | |
HeadHunter Group plc ADR (Russia) | 430,800 | 14,613 | |
IndiaMart InterMesh Ltd. (India) | 104,754 | 11,086 |
Shares | Value | ||
Industrials—continued | |||
Kerry TJ Logistics Co., Ltd. (Taiwan) | 5,731,631 | $ 8,879 | |
Marel HF (Iceland) | 1,298,773 | 8,895 | |
NICE Information Service Co., Ltd. (South Korea) | 551,305 | 12,349 | |
S-1 Corp. (South Korea) | 166,525 | 12,021 | |
SaraminHR Co., Ltd. (South Korea) | 331,017 | 10,295 | |
Sporton International, Inc. (Taiwan) | 1,130,720 | 9,748 | |
Taiwan Secom Co., Ltd. (Taiwan) | 1,137,874 | 3,721 | |
Tegma Gestao Logistica SA (Brazil) | 2,644,365 | 8,870 | |
Voltronic Power Technology Corp. (Taiwan) | 272,178 | 10,541 | |
119,672 | |||
Information Technology—13.7% | |||
Computer Age Management Services Ltd. (India) | 294,150 | 7,428 | |
Douzone Bizon Co., Ltd. (South Korea) | 36,709 | 3,185 | |
Humanica PCL Foreign Shares (Thailand) | 21,856,600 | 7,344 | |
Oracle Financial Services Software Ltd. (India) | 250,474 | 10,959 | |
TOTVS SA (Brazil) | 879,052 | 4,529 | |
Webcash Corp. (South Korea) | 181,389 | 11,460 | |
Younglimwon Soft Lab Co., Ltd. (South Korea)(2) | 407,309 | 4,733 | |
49,638 | |||
Materials—2.1% | |||
Corp. Moctezuma SAB de C.V. (Mexico) | 1,735,583 | 5,181 | |
Indigo Paints Ltd. (India)(1) | 70,693 | 2,316 | |
7,497 | |||
Total Common Stocks (Identified Cost $270,288) | 337,522 | ||
Warrant—0.1% | |||
Financials—0.1% | |||
VNV Global AB (Sweden)(1) | 231,788 | 511 | |
Total Warrant (Identified Cost $0) | 511 | ||
Total Long-Term Investments—93.4% (Identified Cost $270,288) | 338,033 | ||
Shares | Value | ||
Short-Term Investment—6.2% | |||
Money Market Mutual Fund—6.2% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(4) | 22,217,975 | $ 22,218 | |
Total Short-Term Investment (Identified Cost $22,218) | 22,218 | ||
TOTAL INVESTMENTS—99.6% (Identified Cost $292,506) | $360,251 | ||
Other assets and liabilities, net—0.4% | 1,512 | ||
NET ASSETS—100.0% | $361,763 |
Abbreviations: | |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
JSC | Joint Stock Company |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Affiliated company. See Note 4G in Notes to Financial Statements. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, these securities amounted to a value of $10,394 or 2.9% of net assets. |
(4) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
South Korea | 15% |
Taiwan | 12 |
India | 11 |
Brazil | 7 |
China | 7 |
United States | 6 |
Russia | 6 |
Other | 36 |
Total | 100% |
† % of total investments as of March 31, 2021. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $337,522 | $337,522 | |
Warrant | 511 | 511 | |
Money Market Mutual Fund | 22,218 | 22,218 | |
Total Investments | $360,251 | $360,251 |
Shares | Value | ||
Common Stocks—90.7% | |||
Communication Services—18.1% | |||
Adevinta ASA (Norway)(1) | 4,447,414 | $ 65,464 | |
Ascential plc (United Kingdom)(1) | 13,356,562 | 61,869 | |
Auto Trader Group plc (United Kingdom)(1) | 12,236,194 | 93,521 | |
CTS Eventim AG & Co. KGaA (Germany)(1) | 612,781 | 35,528 | |
Karnov Group AB (Sweden)(2) | 9,819,441 | 58,691 | |
MarkLines Co., Ltd. (Japan)(2) | 1,094,400 | 24,710 | |
New Work SE (Germany) | 237,930 | 61,803 | |
Rightmove plc (United Kingdom)(1) | 11,657,449 | 93,565 | |
495,151 | |||
Consumer Discretionary—6.7% | |||
Allegro.eu SA (Poland)(1) | 846,885 | 11,909 | |
Goldlion Holdings Ltd. (Hong Kong) | 21,115,882 | 4,862 | |
Max Stock Ltd. (Israel)(1)(2) | 7,952,458 | 31,994 | |
Mercari, Inc. (Japan)(1) | 1,042,800 | 47,278 | |
Moneysupermarket.com Group plc (United Kingdom) | 10,990,193 | 40,393 | |
Redbubble Ltd. (Australia)(1) | 12,274,673 | 46,709 | |
183,145 | |||
Consumer Staples—3.9% | |||
Anhui Gujing Distillery Co., Ltd. Class B (China) | 3,615,401 | 50,691 | |
Heineken Malaysia Bhd (Malaysia) | 8,825,500 | 54,914 | |
105,605 | |||
Energy—3.0% | |||
Computer Modelling Group Ltd. (Canada)(2) | 5,619,390 | 25,712 | |
Pason Systems, Inc. (Canada)(2) | 7,901,518 | 55,833 | |
81,545 | |||
Financials—17.9% | |||
Cerved Group SpA (Italy)(1) | 4,573,500 | 50,576 | |
Euroz Ltd. (Australia) | 6,426,441 | 7,590 | |
Gruppo Mutuionline SpA (Italy) | 1,547,597 | 81,578 |
Shares | Value | ||
Financials—continued | |||
Kaspi.KZ JSC GDR, 144A (Kazakhstan)(3) | 750,501 | $ 53,286 | |
Mortgage Advice Bureau Holdings Ltd. (United Kingdom)(2) | 5,218,095 | 80,929 | |
Nordnet AB publ (Sweden)(1) | 2,127,128 | 34,342 | |
Numis Corp. plc (United Kingdom) | 5,237,820 | 27,223 | |
Sabre Insurance Group plc (United Kingdom)(2) | 18,172,326 | 63,383 | |
VNV Global AB (Sweden)(1)(2) | 7,325,890 | 91,600 | |
490,507 | |||
Health Care—4.2% | |||
Haw Par Corp., Ltd. (Singapore) | 9,267,073 | 90,590 | |
Nakanishi, Inc. (Japan) | 1,173,200 | 24,423 | |
115,013 | |||
Industrials—26.3% | |||
AIT Corp. (Japan) | 286,865 | 2,593 | |
Boa Vista Servicos SA (Brazil) | 11,062,623 | 22,858 | |
BTS Group AB Class B (Sweden) | 849,029 | 25,276 | |
CAE, Inc. (Canada)(1) | 2,855,934 | 81,380 | |
Enento Group Oyj (Finland)(1)(2) | 1,674,508 | 68,926 | |
Golden Friends Corp. (Taiwan) | 1,363,036 | 2,771 | |
Haitian International Holdings Ltd. (Hong Kong) | 13,880,000 | 55,348 | |
HeadHunter Group plc ADR (Russia)(2) | 3,662,906 | 124,246 | |
Howden Joinery Group plc (United Kingdom)(1) | 3,915,226 | 39,564 | |
Kerry TJ Logistics Co., Ltd. (Taiwan) | 15,556,000 | 24,097 | |
Lumax International Corp., Ltd. (Taiwan)(2) | 7,818,259 | 20,578 | |
Marel HF (Iceland) | 11,643,556 | 79,742 | |
Meitec Corp. (Japan) | 162,280 | 8,955 | |
Rotork plc (United Kingdom) | 7,060,300 | 34,709 | |
S-1 Corp. (South Korea) | 832,034 | 60,064 | |
Voltronic Power Technology Corp. (Taiwan) | 1,743,027 | 67,502 | |
718,609 | |||
Shares | Value | ||
Information Technology—9.4% | |||
Alten SA (France)(1) | 557,686 | $ 65,465 | |
Bouvet ASA (Norway)(2) | 750,682 | 55,469 | |
Brockhaus Capital Management AG (Germany)(1)(2) | 761,996 | 21,759 | |
FDM Group Holdings plc (United Kingdom) | 2,599,590 | 36,125 | |
Fineos Corp., Ltd. CDI (Australia)(1) | 14,247,455 | 42,204 | |
SimCorp A/S (Denmark) | 220,886 | 27,353 | |
Webstep AS (Norway)(2) | 3,119,279 | 10,211 | |
258,586 | |||
Materials—1.2% | |||
Corp. Moctezuma SAB de C.V. (Mexico) | 11,417,218 | 34,079 | |
Total Common Stocks (Identified Cost $1,899,326) | 2,482,240 | ||
Warrant—0.1% | |||
Financials—0.1% | |||
VNV Global AB (Sweden)(1) | 1,738,308 | 3,831 | |
Total Warrant (Identified Cost $0) | 3,831 | ||
Total Long-Term Investments—90.8% (Identified Cost $1,899,326) | 2,486,071 | ||
Short-Term Investment—8.2% | |||
Money Market Mutual Fund—8.2% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(4) | 224,606,019 | 224,606 | |
Total Short-Term Investment (Identified Cost $224,606) | 224,606 | ||
TOTAL INVESTMENTS—99.0% (Identified Cost $2,123,932) | $2,710,677 | ||
Other assets and liabilities, net—1.0% | 26,668 | ||
NET ASSETS—100.0% | $2,737,345 |
Abbreviations: | |
ADR | American Depositary Receipt |
CDI | CREST Depositary Interest |
GDR | Global Depositary Receipt |
JSC | Joint Stock Company |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Affiliated company. See Note 4G in Notes to Financial Statements. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, these securities amounted to a value of $53,286 or 1.9% of net assets. |
(4) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United Kingdom | 21% |
United States | 8 |
Sweden | 8 |
Canada | 6 |
Italy | 5 |
Norway | 5 |
Russia | 5 |
Other | 42 |
Total | 100% |
† % of total investments as of March 31, 2021. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $2,482,240 | $2,482,240 | |
Warrant | 3,831 | 3,831 | |
Money Market Mutual Fund | 224,606 | 224,606 | |
Total Investments | $2,710,677 | $2,710,677 |
Shares | Value | ||
Common Stocks—90.4% | |||
Communication Services—21.6% | |||
Adevinta ASA (Norway)(1) | 74,696 | $ 1,099 | |
Ascential plc (United Kingdom)(1) | 164,935 | 764 | |
Auto Trader Group plc (United Kingdom)(1) | 165,870 | 1,268 | |
CTS Eventim AG & Co. KGaA (Germany)(1) | 10,857 | 629 | |
Infrastrutture Wireless Italiane SpA (Italy) | 51,850 | 578 | |
Karnov Group AB (Sweden) | 121,254 | 725 | |
MarkLines Co., Ltd. (Japan) | 14,100 | 318 | |
New Work SE (Germany) | 3,421 | 889 | |
Rightmove plc (United Kingdom)(1) | 166,878 | 1,339 | |
Yandex N.V. Class A (Russia)(1) | 8,703 | 558 | |
8,167 | |||
Consumer Discretionary—9.4% | |||
Allegro.eu SA (Poland)(1) | 13,500 | 190 | |
Max Stock Ltd. (Israel)(1) | 123,069 | 495 | |
Mercari, Inc. (Japan)(1) | 16,900 | 766 | |
Sonans Holding AS (Norway)(1) | 198,148 | 1,288 | |
Union Auction PCL (Thailand) | 935,000 | 329 | |
Vasta Platform Ltd. (Brazil)(1) | 50,591 | 498 | |
3,566 | |||
Consumer Staples—0.9% | |||
Heineken Malaysia Bhd (Malaysia) | 51,800 | 322 | |
Energy—2.1% | |||
Pason Systems, Inc. (Canada) | 112,022 | 792 | |
Financials—12.2% | |||
Cerved Group SpA (Italy)(1) | 32,164 | 356 | |
Gruppo Mutuionline SpA (Italy) | 19,061 | 1,005 | |
Kaspi.KZ JSC GDR, 144A (Kazakhstan)(2) | 10,152 | 721 | |
Mortgage Advice Bureau Holdings Ltd. (United Kingdom) | 48,115 | 746 | |
Nordnet AB publ (Sweden)(1) | 27,510 | 444 | |
Sabre Insurance Group plc (United Kingdom) | 149,420 | 521 | |
VNV Global AB (Sweden)(1) | 67,427 | 843 | |
4,636 | |||
Health Care—3.2% | |||
Haw Par Corp., Ltd. (Singapore) | 84,225 | 823 | |
Nakanishi, Inc. (Japan) | 19,500 | 406 | |
1,229 | |||
Shares | Value | ||
Industrials—29.7% | |||
Boa Vista Servicos SA (Brazil) | 163,043 | $ 337 | |
BTS Group AB Class B (Sweden) | 26,623 | 792 | |
CAE, Inc. (Canada)(1) | 35,937 | 1,024 | |
CTT Systems AB (Sweden) | 19,039 | 335 | |
Enento Group Oyj (Finland)(1) | 22,130 | 911 | |
Fintel plc (United Kingdom) | 350,066 | 1,057 | |
Haitian International Holdings Ltd. (Hong Kong) | 141,000 | 562 | |
HeadHunter Group plc ADR (Russia) | 51,463 | 1,746 | |
Knorr-Bremse AG (Germany) | 2,641 | 329 | |
Marel HF (Iceland) | 126,260 | 865 | |
Meitec Corp. (Japan) | 2,639 | 146 | |
MTU Aero Engines AG (Germany) | 1,982 | 466 | |
Rotork plc (United Kingdom) | 78,525 | 386 | |
S-1 Corp. (South Korea) | 11,386 | 822 | |
Tegma Gestao Logistica SA (Brazil) | 140,925 | 473 | |
Voltronic Power Technology Corp. (Taiwan) | 8,100 | 314 | |
Wolters Kluwer NV (Netherlands) | 7,971 | 693 | |
11,258 | |||
Information Technology—10.4% | |||
Admicom Oyj (Finland) | 2,298 | 258 | |
Alten SA (France)(1) | 6,918 | 812 | |
Atled Corp. (Japan) | 1,759 | 36 | |
Bouvet ASA (Norway) | 9,399 | 695 | |
Brockhaus Capital Management AG (Germany)(1) | 9,880 | 282 | |
FDM Group Holdings plc (United Kingdom) | 32,198 | 447 | |
Fineos Corp., Ltd. CDI (Australia)(1) | 48,425 | 143 | |
Mintra Holding AS (Norway)(1) | 607,271 | 440 | |
SimCorp A/S (Denmark) | 2,597 | 322 | |
Webcash Corp. (South Korea) | 4,795 | 303 | |
Webstep AS (Norway) | 61,541 | 202 | |
3,940 | |||
Materials—0.9% | |||
Corp. Moctezuma SAB de C.V. (Mexico) | 115,888 | 346 | |
Total Common Stocks (Identified Cost $26,501) | 34,256 | ||
Shares | Value | ||
Warrant—0.1% | |||
Financials—0.1% | |||
VNV Global AB (Sweden)(1) | 10,587 | $ 23 | |
Total Warrant (Identified Cost $0) | 23 | ||
Total Long-Term Investments—90.5% (Identified Cost $26,501) | 34,279 | ||
Short-Term Investment—9.3% | |||
Money Market Mutual Fund—9.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(3) | 3,523,292 | 3,523 | |
Total Short-Term Investment (Identified Cost $3,523) | 3,523 | ||
TOTAL INVESTMENTS—99.8% (Identified Cost $30,024) | $37,802 | ||
Other assets and liabilities, net—0.2% | 68 | ||
NET ASSETS—100.0% | $37,870 |
Abbreviations: | |
ADR | American Depositary Receipt |
CDI | CREST Depositary Interest |
GDR | Global Depositary Receipt |
JSC | Joint Stock Company |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, these securities amounted to a value of $721 or 1.9% of net assets. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United Kingdom | 17% |
Norway | 10 |
United States | 9 |
Sweden | 8 |
Germany | 7 |
Russia | 6 |
Italy | 6 |
Other | 37 |
Total | 100% |
† % of total investments as of March 31, 2021. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $34,256 | $34,256 | |
Warrant | 23 | 23 | |
Money Market Mutual Fund | 3,523 | 3,523 | |
Total Investments | $37,802 | $37,802 |
Shares | Value | ||
Common Stocks—99.9% | |||
Communication Services—7.9% | |||
Alphabet, Inc. Class C (United States)(1) | 6,706 | $ 13,872 | |
Comcast Corp. Class A (United States) | 74,927 | 4,054 | |
NetEase, Inc. (China) | 218,976 | 4,456 | |
Tencent Holdings Ltd. (China) | 84,900 | 6,662 | |
Walt Disney Co. (The) (United States)(1) | 21,236 | 3,919 | |
32,963 | |||
Consumer Discretionary—19.1% | |||
Alibaba Group Holding Ltd. (China)(1) | 381,947 | 10,809 | |
Amazon.com, Inc. (United States)(1) | 6,250 | 19,338 | |
Booking Holdings, Inc. (Netherlands)(1) | 3,099 | 7,220 | |
EssilorLuxottica SA (France) | 32,701 | 5,325 | |
Flutter Entertainment plc (Ireland)(1) | 57,382 | 12,335 | |
LVMH Moet Hennessy Louis Vuitton SE (France) | 13,700 | 9,127 | |
NIKE, Inc. Class B (United States) | 59,790 | 7,945 | |
Ross Stores, Inc. (United States) | 58,868 | 7,059 | |
79,158 | |||
Consumer Staples—12.8% | |||
Coca-Cola Co. (The) (United States) | 251,328 | 13,247 | |
Heineken NV (Netherlands) | 103,956 | 10,682 | |
Nestle S.A. Registered Shares (Switzerland) | 142,251 | 15,854 | |
PepsiCo, Inc. (United States) | 48,155 | 6,812 | |
Unilever plc (United Kingdom) | 115,994 | 6,472 | |
53,067 | |||
Financials—8.9% | |||
Berkshire Hathaway, Inc. Class B (United States)(1) | 37,601 | 9,606 |
Shares | Value | ||
Financials—continued | |||
CME Group, Inc. Class A (United States) | 62,865 | $ 12,839 | |
Housing Development Finance Corp., Ltd. (India) | 426,011 | 14,555 | |
37,000 | |||
Health Care—13.8% | |||
Becton Dickinson and Co. (United States) | 45,327 | 11,021 | |
Boston Scientific Corp. (United States)(1) | 292,347 | 11,299 | |
Hoya Corp. (Japan) | 76,159 | 8,945 | |
Intuitive Surgical, Inc. (United States)(1) | 5,393 | 3,985 | |
Johnson & Johnson (United States) | 51,659 | 8,490 | |
UnitedHealth Group, Inc. (United States) | 35,911 | 13,362 | |
57,102 | |||
Industrials—7.8% | |||
IHS Markit Ltd. (United States) | 52,349 | 5,066 | |
Otis Worldwide Corp. (United States) | 81,515 | 5,580 | |
Rentokil Initial plc (United Kingdom)(1) | 615,729 | 4,112 | |
Safran SA (France)(1) | 36,405 | 4,954 | |
Teleperformance (France) | 15,643 | 5,702 | |
Wolters Kluwer NV (Netherlands) | 78,934 | 6,861 | |
32,275 | |||
Information Technology—26.6% | |||
Adobe, Inc. (United States)(1) | 14,008 | 6,659 | |
Keysight Technologies, Inc. (United States)(1) | 51,317 | 7,359 | |
Mastercard, Inc. Class A (United States) | 42,769 | 15,228 | |
Microsoft Corp. (United States) | 95,399 | 22,492 | |
PayPal Holdings, Inc. (United States)(1) | 44,486 | 10,803 | |
SAP SE (Germany) | 39,925 | 4,889 | |
ServiceNow, Inc. (United States)(1) | 10,623 | 5,313 | |
Synopsys, Inc. (United States)(1) | 20,715 | 5,133 |
Shares | Value | ||
Information Technology—continued | |||
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 64,656 | $ 7,648 | |
Tata Consultancy Services Ltd. (India) | 118,790 | 5,163 | |
Teradyne, Inc. (United States) | 55,221 | 6,719 | |
Visa, Inc. Class A (United States) | 60,981 | 12,911 | |
110,317 | |||
Materials—3.0% | |||
Air Liquide SA (France) | 50,856 | 8,308 | |
Sherwin-Williams Co. (The) (United States) | 5,446 | 4,019 | |
12,327 | |||
Total Common Stocks (Identified Cost $261,912) | 414,209 | ||
Total Long-Term Investments—99.9% (Identified Cost $261,912) | 414,209 | ||
TOTAL INVESTMENTS—99.9% (Identified Cost $261,912) | $414,209 | ||
Other assets and liabilities, net—0.1% | 392 | ||
NET ASSETS—100.0% | $414,601 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
Country Weightings† | |
United States | 61% |
France | 8 |
Netherlands | 7 |
China | 5 |
India | 5 |
Switzerland | 4 |
Ireland | 3 |
Other | 7 |
Total | 100% |
† % of total investments as of March 31, 2021. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $414,209 | $414,209 | |
Total Investments | $414,209 | $414,209 |
Shares | Value | ||
Preferred Stock—1.0% | |||
Health Care—1.0% | |||
Grifols SA (Preference Shares), Class B, 0.000% (Spain) | 4,651 | $ 79 | |
Total Preferred Stock (Identified Cost $73) | 79 | ||
Common Stocks—95.5% | |||
Communication Services—3.1% | |||
Cellnex Telecom SA (Spain) | 2,527 | 146 | |
CTS Eventim AG & Co. KGaA (Germany)(1) | 1,695 | 98 | |
244 | |||
Consumer Discretionary—16.6% | |||
adidas AG (Germany)(1) | 459 | 143 | |
Booking Holdings, Inc. (Netherlands)(1) | 65 | 152 | |
Cie Financiere Richemont SA (Switzerland) | 826 | 79 | |
EssilorLuxottica SA (France) | 1,167 | 190 | |
Ferrari NV (Italy) | 618 | 129 | |
Flutter Entertainment plc (Ireland)(1) | 1,130 | 243 | |
La Francaise des Jeux SAEM (France) | 2,467 | 112 | |
LVMH Moet Hennessy Louis Vuitton SE (France) | 232 | 155 | |
Prosus NV (Netherlands)(1) | 1,096 | 122 | |
1,325 | |||
Consumer Staples—16.4% | |||
Anheuser-Busch InBev NV (Belgium) | 2,288 | 144 | |
Diageo plc (United Kingdom) | 3,877 | 160 | |
Heineken NV (Netherlands) | 1,393 | 143 | |
L’Oreal SA (France) | 224 | 86 | |
Nestle S.A. Registered Shares (Switzerland) | 3,187 | 355 | |
Pernod Ricard SA (France) | 600 | 113 | |
Unilever plc (United Kingdom) | 5,561 | 310 | |
1,311 | |||
Financials—6.2% | |||
Groupe Bruxelles Lambert SA (Belgium) | 1,495 | 155 | |
KBC Group NV (Belgium)(1) | 1,152 | 84 | |
London Stock Exchange Group plc (United Kingdom) | 2,165 | 207 |
Shares | Value | ||
Financials—continued | |||
UBS Group AG Registered Shares (Switzerland) | 3,169 | $ 49 | |
495 | |||
Health Care—12.3% | |||
Alcon, Inc. (Switzerland)(1) | 3,318 | 232 | |
Eurofins Scientific SE (Luxembourg)(1) | 2,317 | 221 | |
Lonza Group AG Registered Shares (Switzerland)(1) | 341 | 191 | |
Medtronic plc (United States) | 2,053 | 243 | |
Sartorius Stedim Biotech (France) | 227 | 93 | |
980 | |||
Industrials—23.1% | |||
Ashtead Group plc (United Kingdom) | 4,228 | 252 | |
DCC plc (Ireland) | 1,158 | 100 | |
Experian plc (Ireland) | 2,830 | 97 | |
IHS Markit Ltd. (United States) | 1,348 | 131 | |
IMCD NV (Netherlands) | 985 | 137 | |
RELX plc (United Kingdom) | 4,573 | 115 | |
Rentokil Initial plc (United Kingdom)(1) | 28,160 | 188 | |
Safran SA (France)(1) | 954 | 130 | |
Teleperformance (France) | 755 | 275 | |
Vinci SA (France) | 1,493 | 153 | |
Wolters Kluwer NV (Netherlands) | 3,064 | 266 | |
1,844 | |||
Information Technology—10.0% | �� | ||
Accenture plc Class A (United States) | 1,054 | 291 | |
Adyen NV (Netherlands)(1) | 59 | 132 | |
Amadeus IT Group SA (Spain)(1) | 2,237 | 158 | |
Halma plc (United Kingdom) | 3,192 | 105 | |
SAP SE (Germany) | 916 | 112 | |
798 | |||
Materials—5.4% | |||
Air Liquide SA (France) | 1,351 | 220 | |
Sika AG Registered Shares (Switzerland) | 738 | 211 | |
431 | |||
Shares | Value | ||
Utilities—2.4% | |||
Energias de Portugal SA (Portugal) | 34,082 | $ 195 | |
Total Common Stocks (Identified Cost $5,504) | 7,623 | ||
Total Long-Term Investments—96.5% (Identified Cost $5,577) | 7,702 | ||
Short-Term Investment—0.9% | |||
Money Market Mutual Fund—0.9% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(2) | 73,797 | 74 | |
Total Short-Term Investment (Identified Cost $74) | 74 | ||
TOTAL INVESTMENTS—97.4% (Identified Cost $5,651) | $7,776 | ||
Other assets and liabilities, net—2.6% | 206 | ||
NET ASSETS—100.0% | $7,982 |
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† | |
France | 19% |
United Kingdom | 17 |
Switzerland | 15 |
Netherlands | 13 |
United States | 10 |
Ireland | 5 |
Belgium | 5 |
Other | 16 |
Total | 100% |
† % of total investments as of March 31, 2021. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $7,623 | $7,623 | |
Preferred Stock | 79 | 79 | |
Money Market Mutual Fund | 74 | 74 | |
Total Investments | $7,776 | $7,776 |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | Duff & Phelps International Real Estate Securities Fund | Duff & Phelps Real Asset Fund | ||||
Assets | |||||||
Investment in securities at value(1) | $ 86,488 | $ 319,231 | $ 28,661 | $ 7,475 | |||
Investment in affiliated funds at value(2) | — | — | — | 14,416 | |||
Foreign currency at value(3) | — (a) | — | — (a) | — | |||
Cash | 125 | 5,166 | 165 | — | |||
Receivables | |||||||
Investment securities sold | — | 324 | 200 | — | |||
Fund shares sold | 140 | 4,320 | 25 | — | |||
Dividends | 83 | 1,209 | 113 | 6 | |||
Tax reclaims | 39 | 109 | 35 | — | |||
Prepaid Trustees’ retainer | 1 | 3 | — (a) | — (a) | |||
Prepaid expenses | 31 | 36 | 19 | 17 | |||
Other assets | 8 | 28 | 3 | 2 | |||
Total assets | 86,915 | 330,426 | 29,221 | 21,916 | |||
Liabilities | |||||||
Due to custodian | — | 2 | — | — | |||
Payables | |||||||
Fund shares repurchased | 15 | 184 | — (a) | 28 | |||
Investment securities purchased | — | 1,160 | 56 | 6 | |||
Investment advisory fees | 46 | 185 | 19 | — | |||
Distribution and service fees | 13 | 10 | 1 | 3 | |||
Administration and accounting fees | 7 | 26 | 3 | 2 | |||
Transfer agent and sub-transfer agent fees and expenses | 17 | 113 | 9 | 7 | |||
Professional fees | 19 | 20 | 22 | 13 | |||
Trustee deferred compensation plan | 8 | 28 | 3 | 2 | |||
Interest expense and/or commitment fees | — (a) | — (a) | — (a) | — (a) | |||
Other accrued expenses | 6 | 14 | 4 | 2 | |||
Total liabilities | 131 | 1,742 | 117 | 63 | |||
Net Assets | $ 86,784 | $ 328,684 | $ 29,104 | $ 21,853 | |||
Net Assets Consist of: | |||||||
Capital paid in on shares of beneficial interest | $ 71,563 | $ 278,520 | $ 28,804 | $ 43,817 | |||
Accumulated earnings (loss) | 15,221 | 50,164 | 300 | (21,964) | |||
Net Assets | $ 86,784 | $ 328,684 | $ 29,104 | $ 21,853 | |||
Net Assets: | |||||||
Class A | $ 34,550 | $ 23,106 | $ 2,404 | $ 12,580 | |||
Class C | $ 6,901 | $ 5,577 | $ 339 | $ 377 | |||
Class I | $ 35,756 | $ 235,078 | $ 26,361 | $ 8,896 | |||
Class R6 | $ 9,577 | $ 64,923 | $ — | $ — | |||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||||
Class A | 2,181,750 | 656,376 | 304,990 | 1,088,351 | |||
Class C | 436,625 | 167,953 | 43,583 | 32,198 | |||
Class I | 2,257,203 | 6,884,870 | 3,346,756 | 772,650 | |||
Class R6 | 603,855 | 1,893,028 | — | — | |||
Net Asset Value and Redemption Price Per Share:* | |||||||
Class A | $ 15.84 | $ 35.20 | $ 7.88 | $ 11.56 | |||
Class C | $ 15.80 | $ 33.20 | $ 7.78 | $ 11.69 | |||
Class I | $ 15.84 | $ 34.14 | $ 7.88 | $ 11.51 | |||
Class R6 | $ 15.86 | $ 34.30 | $ — | $ — |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | Duff & Phelps International Real Estate Securities Fund | Duff & Phelps Real Asset Fund | ||||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||||
Class A | $ 16.76 | $ 37.25 | $ 8.34 | $ 12.23 | |||
Maximum Sales Charge - Class A | 5.50% | 5.50% | 5.50% | 5.50% | |||
(1) Investment in securities at cost | $ 72,245 | $ 266,623 | $ 22,559 | $ 6,729 | |||
(2) Investment in affiliated funds at cost | $ — | $ — | $ — | $ 10,252 | |||
(3) Foreign currency at cost | $ —(a) | $ — | $ —(a) | $ — |
(a) | Amount is less than $500. |
* | Net Asset Value and Redemption Price Per Share are calculated using unrounded net assets. |
FORT Trend Fund(a) | KAR Emerging Markets Small-Cap Fund | KAR International Small-Cap Fund | KAR International Small-Mid Cap Fund | ||||
Assets | |||||||
Investment in securities at value(1) | $ 170,228 | $ 344,912 | $ 1,976,636 | $ 37,802 | |||
Investment in affiliated securities at value(2) | — | 15,339 | 734,041 | — | |||
Foreign currency at value(3) | — | 605 | 137 | 2 | |||
Cash | — | 188 | 21,166 | — (b) | |||
Due from broker | 1,889 | — | — | — | |||
Cash pledged as collateral for futures | 7,391 | — | — | — | |||
Securities lending cash collateral received | — | — | — | — | |||
Variation margin receivable on futures contracts | 282 | — | — | — | |||
Receivables | |||||||
Investment securities sold | — | — | 2,636 | — | |||
Fund shares sold | 13 | 2,821 | 9,343 | 245 | |||
Dividends and interest | — (b) | 924 | 5,315 | 70 | |||
Tax reclaims | — | 3 | 243 | 6 | |||
Prepaid Trustees’ retainer | 1 | 5 | 35 | 1 | |||
Prepaid expenses | 83 | 50 | 140 | 30 | |||
Other assets | 16 | 32 | 245 | 3 | |||
Total assets | 179,903 | 364,879 | 2,749,937 | 38,159 | |||
Liabilities | |||||||
Due to broker | 346 | — | — | — | |||
Payables | |||||||
Fund shares repurchased | 481 | 169 | 2,515 | — | |||
Investment securities purchased | — | 836 | 6,600 | 252 | |||
Foreign capital gains tax | — | 1,539 | — | — | |||
Investment advisory fees | 154 | 388 | 2,239 | 24 | |||
Distribution and service fees | 52 | 14 | 56 | — (b) | |||
Administration and accounting fees | 14 | 32 | 227 | 4 | |||
Transfer agent and sub-transfer agent fees and expenses | 55 | 80 | 636 | 6 | |||
Professional fees | — | 19 | — | — | |||
Trustee deferred compensation plan | 16 | 32 | 245 | 3 | |||
Interest expense and/or commitment fees | — (b) | — (b) | 2 | — (b) | |||
Other accrued expenses | — | 7 | 72 | — | |||
Total liabilities | 1,118 | 3,116 | 12,592 | 289 | |||
Net Assets | $ 178,785 | $ 361,763 | $ 2,737,345 | $ 37,870 | |||
Net Assets Consist of: | |||||||
Capital paid in on shares of beneficial interest | $ 589,194 | $ 286,981 | $ 2,108,183 | $ 28,566 | |||
Accumulated earnings (loss) | (410,409) | 74,782 | 629,162 | 9,304 | |||
Net Assets | $ 178,785 | $ 361,763 | $ 2,737,345 | $ 37,870 | |||
Net Assets: | |||||||
Class A | $ 116,679 | $ 57,090 | $ 97,382 | $ 259 | |||
Class C | $ 27,574 | $ 2,237 | $ 40,681 | $ 302 | |||
Class I | $ 33,857 | $ 301,378 | $ 2,350,400 | $ 33,212 | |||
Class R6 | $ 675 | $ 1,058 | $ 248,882 | $ 4,097 | |||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||||
Class A | 8,010,663 | 3,345,490 | 4,162,223 | 17,140 | |||
Class C | 2,014,727 | 132,149 | 1,767,584 | 20,157 | |||
Class I | 2,284,660 | 17,579,192 | 100,031,804 | 2,196,487 | |||
Class R6 | 45,194 | 61,728 | 10,583,711 | 270,712 |
FORT Trend Fund(a) | KAR Emerging Markets Small-Cap Fund | KAR International Small-Cap Fund | KAR International Small-Mid Cap Fund | ||||
Net Asset Value and Redemption Price Per Share:* | |||||||
Class A | $ 14.57 | $ 17.06 | $ 23.40 | $ 15.09 | |||
Class C | $ 13.69 | $ 16.93 | $ 23.02 | $ 15.00 | |||
Class I | $ 14.82 | $ 17.14 | $ 23.50 | $ 15.12 | |||
Class R6 | $ 14.94 | $ 17.15 | $ 23.52 | $ 15.13 | |||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||||
Class A | $ 15.42 | $ 18.05 | $ 24.76 | $ 15.97 | |||
Maximum Sales Charge - Class A | 5.50% | 5.50% | 5.50% | 5.50% | |||
(1) Investment in securities at cost | $ 170,204 | $ 279,196 | $ 1,590,827 | $ 30,024 | |||
(2) Investment in affiliated securities at cost | $ — | $ 13,310 | $ 533,105 | $ — | |||
(3) Foreign currency at cost | $ — | $ 603 | $ 143 | $ 2 |
(a) | Consolidated Statement of Assets and Liabilities |
(b) | Amount is less than $500. |
* | Net Asset Value and Redemption Price Per Share are calculated using unrounded net assets. |
Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||
Assets | |||
Investment in securities at value(1) | $ 414,209 | $ 7,776 | |
Foreign currency at value(2) | — | — (a) | |
Cash | 4,328 | 258 | |
Receivables | |||
Fund shares sold | 152 | 29 | |
Receivable from adviser | — | 1 | |
Dividends | 168 | 5 | |
Tax reclaims | 202 | 22 | |
Prepaid Trustees’ retainer | 5 | — (a) | |
Prepaid expenses | 44 | 19 | |
Other assets | 37 | 1 | |
Total assets | 419,145 | 8,111 | |
Liabilities | |||
Due to custodian | 2 | — | |
Payables | |||
Fund shares repurchased | 188 | 5 | |
Investment securities purchased | 3,443 | 98 | |
Foreign capital gains tax | 363 | — | |
Investment advisory fees | 278 | — | |
Distribution and service fees | 46 | 1 | |
Administration and accounting fees | 34 | 1 | |
Transfer agent and sub-transfer agent fees and expenses | 63 | 1 | |
Professional fees | 26 | 21 | |
Trustee deferred compensation plan | 37 | 1 | |
Interest expense and/or commitment fees | 1 | — (a) | |
Other accrued expenses | 63 | 1 | |
Total liabilities | 4,544 | 129 | |
Net Assets | $ 414,601 | $ 7,982 | |
Net Assets Consist of: | |||
Capital paid in on shares of beneficial interest | $ 237,730 | $ 5,827 | |
Accumulated earnings (loss) | 176,871 | 2,155 | |
Net Assets | $ 414,601 | $ 7,982 | |
Net Assets: | |||
Class A | $ 126,280 | $ 2,135 | |
Class C | $ 21,877 | $ 460 | |
Class I | $ 178,213 | $ 5,387 | |
Class R6 | $ 88,231 | $ — | |
Shares Outstanding (unlimited number of shares authorized, no par value): | |||
Class A | 6,240,675 | 179,861 | |
Class C | 1,329,082 | 40,363 | |
Class I | 8,779,020 | 453,378 | |
Class R6 | 4,330,310 | — | |
Net Asset Value and Redemption Price Per Share:* | |||
Class A | $ 20.24 | $ 11.87 | |
Class C | $ 16.46 | $ 11.40 | |
Class I | $ 20.30 | $ 11.88 | |
Class R6 | $ 20.38 | $ — |
Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||
Class A | $ 21.42 | $ 12.56 | |
Maximum Sales Charge - Class A | 5.50% | 5.50% | |
(1) Investment in securities at cost | $ 261,912 | $ 5,651 | |
(2) Foreign currency at cost | $ — | $ —(a) |
(a) | Amount is less than $500. |
* | Net Asset Value and Redemption Price Per Share are calculated using unrounded net assets. |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | Duff & Phelps International Real Estate Securities Fund | Duff & Phelps Real Asset Fund | ||||
Investment Income | |||||||
Dividends | $ 877 | $ 3,836 | $ 450 | $ 45 | |||
Dividends from affiliated funds | — | — | — | 71 | |||
Foreign taxes withheld | (66) | (209) | (47) | — | |||
Total investment income | 811 | 3,627 | 403 | 116 | |||
Expenses | |||||||
Investment advisory fees | 276 | 1,156 | 144 | — | |||
Distribution and service fees, Class A | 40 | 26 | 3 | 15 | |||
Distribution and service fees, Class C | 46 | 31 | 2 | 3 | |||
Administration and accounting fees | 46 | 141 | 18 | 15 | |||
Transfer agent fees and expenses | 19 | 59 | 6 | 5 | |||
Sub-transfer agent fees and expenses, Class A | 16 | 151 | 1 | 7 | |||
Sub-transfer agent fees and expenses, Class C | 4 | 3 | — (1) | 1 | |||
Sub-transfer agent fees and expenses, Class I | 18 | 114 | 14 | 5 | |||
Custodian fees | 1 | 1 | 1 | — (1) | |||
Printing fees and expenses | 6 | 14 | 3 | 3 | |||
Professional fees | 14 | 16 | 15 | 14 | |||
Interest expense and/or commitment fees | — (1) | 1 | — (1) | — (1) | |||
Registration fees | 24 | 31 | 17 | 15 | |||
Trustees’ fees and expenses | 4 | 10 | 1 | 1 | |||
Miscellaneous expenses | 6 | 12 | 3 | 3 | |||
Total expenses | 520 | 1,766 | 228 | 87 | |||
Less net expenses reimbursed and/or waived by investment adviser(2) | (4) | (224) | (43) | — | |||
Less low balance account fees | — (1) | — (1) | — | — (1) | |||
Net expenses | 516 | 1,542 | 185 | 87 | |||
Net investment income (loss) | 295 | 2,085 | 218 | 29 | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Investments | 2,330 | 4,385 | 1,020 | 129 | |||
Affiliated funds | — | — | — | 602 | |||
Foreign currency transactions | (2) | (8) | — (1) | — | |||
Capital gain received from investments in underlying funds | — | — | — | 62 | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | 6,090 | 41,058 | 3,019 | 486 | |||
Affiliated funds | — | — | — | 1,780 | |||
Foreign currency transactions | — (1) | (9) | (2) | — | |||
Net realized and unrealized gain (loss) on investments | 8,418 | 45,426 | 4,037 | 3,059 | |||
Net increase (decrease) in net assets resulting from operations | $8,713 | $47,511 | $4,255 | $3,088 |
(1) | Amount is less than $500. |
(2) | See Note 4D in Notes to Financial Statements. |
FORT Trend Fund(1) | KAR Emerging Markets Small-Cap Fund | KAR International Small-Cap Fund | KAR International Small-Mid Cap Fund | ||||
Investment Income | |||||||
Dividends | $ — | $ 1,675 | $ 8,320 | $ 158 | |||
Dividends from affiliated securities | — | 22 | 5,546 | — | |||
Interest | 77 | — | — | — | |||
Foreign taxes withheld | — | (157) | (1,354) | (17) | |||
Total investment income | 77 | 1,540 | 12,512 | 141 | |||
Expenses | |||||||
Investment advisory fees | 957 (2) | 1,745 | 11,464 | 141 | |||
Distribution and service fees, Class A | 131 | 62 | 111 | — (3) | |||
Distribution and service fees, Class C | 251 | 9 | 192 | 1 | |||
Administration and accounting fees | 101 | 153 | 1,197 | 20 | |||
Transfer agent fees and expenses | 45 | 65 | 507 | 7 | |||
Sub-transfer agent fees and expenses, Class A | 45 | 28 | 48 | — (3) | |||
Sub-transfer agent fees and expenses, Class C | 32 | 1 | 16 | — (3) | |||
Sub-transfer agent fees and expenses, Class I | 21 | 137 | 1,055 | 18 | |||
Custodian fees | 2 | 2 | 9 | 1 | |||
Printing fees and expenses | 13 | 13 | 103 | 1 | |||
Professional fees | 20 | 19 | 71 | 14 | |||
Interest expense and/or commitment fees | 1 | 1 | 5 | — (3) | |||
Registration fees | 23 | 29 | 69 | 16 | |||
Trustees’ fees and expenses | 9 | 8 | 75 | 1 | |||
Miscellaneous expenses | 19 | 12 | 90 | 2 | |||
Total expenses | 1,670 | 2,284 | 15,012 | 222 | |||
Less net expenses reimbursed and/or waived by investment adviser(4) | (7) | — | — | (34) | |||
Less low balance account fees | — (3) | — | — | — | |||
Plus net expenses recaptured | — | 116 | — | — | |||
Net expenses | 1,663 | 2,400 | 15,012 | 188 | |||
Net investment income (loss) | (1,586) | (860) | (2,500) | (47) | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Investments | 51 | 13,122 | 36,461 | 1,762 | |||
Affiliated securities | — | — | 25,724 | — | |||
Foreign currency transactions | (28) | 139 | 42 | (4) | |||
Foreign capital gains tax | — | (16) | — | — | |||
Futures | 1,096 | — | — | — | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | 22 | 26,018 | 267,544 | 3,554 | |||
Affiliated securities | — | (2,567) | 136,876 | — | |||
Foreign currency transactions | 1 | (18) | (63) | — (3) | |||
Futures | 441 | — | — | — | |||
Foreign capital gains tax | — | (928) | — | — | |||
Net realized and unrealized gain (loss) on investments | 1,583 | 35,750 | 466,584 | 5,312 | |||
Net increase (decrease) in net assets resulting from operations | $ (3) | $34,890 | $464,084 | $5,265 |
(1) | Consolidated Statement of Operations. |
(2) | See Note 4A in Notes to Financial Statements. |
(3) | Amount is less than $500. |
(4) | See Note 4D in Notes to Financial Statements. |
Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||
Investment Income | |||
Dividends | $ 1,531 | $ 23 | |
Securities lending, net of fees | — | — (1) | |
Foreign taxes withheld | (53) | (1) | |
Total investment income | 1,478 | 22 | |
Expenses | |||
Investment advisory fees | 1,712 | 29 | |
Distribution and service fees, Class A | 150 | 2 | |
Distribution and service fees, Class C | 126 | 3 | |
Administration and accounting fees | 207 | 7 | |
Transfer agent fees and expenses | 92 | 2 | |
Sub-transfer agent fees and expenses, Class A | 42 | 1 | |
Sub-transfer agent fees and expenses, Class C | 10 | — (1) | |
Sub-transfer agent fees and expenses, Class I | 73 | 2 | |
Custodian fees | 2 | 1 | |
Printing fees and expenses | 19 | 1 | |
Professional fees | 15 | 14 | |
Interest expense and/or commitment fees | 1 | — (1) | |
Registration fees | 38 | 17 | |
Trustees’ fees and expenses | 15 | — (1) | |
Miscellaneous expenses | 30 | 2 | |
Total expenses | 2,532 | 81 | |
Less net expenses reimbursed and/or waived by investment adviser(2) | (131) | (37) | |
Less low balance account fees | (1) | — | |
Net expenses | 2,400 | 44 | |
Net investment income (loss) | (922) | (22) | |
Net Realized and Unrealized Gain (Loss) on Investments | |||
Net realized gain (loss) from: | |||
Investments | 29,170 | 101 | |
Foreign currency transactions | (32) | (1) | |
Foreign capital gains tax | (331) | — | |
Net change in unrealized appreciation (depreciation) on: | |||
Investments | 14,023 | 604 | |
Foreign currency transactions | (3) | (1) | |
Foreign capital gains tax | (300) | — | |
Net realized and unrealized gain (loss) on investments | 42,527 | 703 | |
Net increase (decrease) in net assets resulting from operations | $41,605 | $681 |
(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 | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 295 | $ 1,327 | $ 2,085 | $ 3,813 | |||
Net realized gain (loss) | 2,328 | 702 | 4,377 | (1,907) | |||
Net change in unrealized appreciation (depreciation) | 6,090 | (13,005) | 41,049 | (33,434) | |||
Increase (decrease) in net assets resulting from operations | 8,713 | (10,976) | 47,511 | (31,528) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (546) | (1,696) | — | (1,296) | |||
Class C | (124) | (554) | — | (598) | |||
Class I | (622) | (2,070) | (974) | (15,782) | |||
Class R6 | (180) | (498) | (407) | (223) | |||
Total dividends and distributions to shareholders | (1,472) | (4,818) | (1,381) | (17,899) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 1,653 | (3,035) | 722 | 875 | |||
Class C | (3,724) | (3,660) | (1,811) | (1,490) | |||
Class I | (545) | (8,104) | 35,653 | 3,586 | |||
Class R6 | 214 | 434 | (449) | 54,268 | |||
Increase (decrease) in net assets from capital transactions | (2,402) | (14,365) | 34,115 | 57,239 | |||
Net increase (decrease) in net assets | 4,839 | (30,159) | 80,245 | 7,812 | |||
Net Assets | |||||||
Beginning of period | 81,945 | 112,104 | 248,439 | 240,627 | |||
End of Period | $ 86,784 | $ 81,945 | $ 328,684 | $ 248,439 |
Duff & Phelps International Real Estate Securities Fund | Duff & Phelps Real Asset Fund | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 218 | $ 659 | $ 29 | $ 1,140 | |||
Net realized gain (loss) | 1,020 | (2,677) | 793 | 532 | |||
Net change in unrealized appreciation (depreciation) | 3,017 | (4,127) | 2,266 | (5,449) | |||
Increase (decrease) in net assets resulting from operations | 4,255 | (6,145) | 3,088 | (3,777) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | — | (194) | (84) | (481) | |||
Class C | — | (58) | — | (16) | |||
Class I | — | (4,068) | (81) | (823) | |||
Total dividends and distributions to shareholders | — | (4,320) | (165) | (1,320) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 268 | 71 | (1,034) | (2,123) | |||
Class C | (264) | (74) | (312) | (1,345) | |||
Class I | (3,054) | (15,747) | (1,051) | (9,149) | |||
Increase (decrease) in net assets from capital transactions | (3,050) | (15,750) | (2,397) | (12,617) | |||
Net increase (decrease) in net assets | 1,205 | (26,215) | 526 | (17,714) | |||
Net Assets | |||||||
Beginning of period | 27,899 | 54,114 | 21,327 | 39,041 | |||
End of Period | $ 29,104 | $ 27,899 | $ 21,853 | $ 21,327 |
FORT Trend Fund | KAR Emerging Markets Small-Cap Fund | ||||||
Six Months Ended March 31, 2021(1) (Unaudited) | Year Ended September 30, 2020(1) | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ (1,586) | $ (1,130) | $ (860) | $ 70 | |||
Net realized gain (loss) | 1,119 | 23,870 | 13,245 | 4,258 | |||
Net change in unrealized appreciation (depreciation) | 464 | (38,436) | 22,505 | 35,362 | |||
Increase (decrease) in net assets resulting from operations | (3) | (15,696) | 34,890 | 39,690 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | — | — | (503) | (540) | |||
Class C | — | — | (10) | (12) | |||
Class I | — | — | (2,695) | (2,019) | |||
Class R6 | — | — | (2) | (2) | |||
Total dividends and distributions to shareholders | — | — | (3,210) | (2,573) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 12,611 | (1,537) | 11,236 | 6,476 | |||
Class C | (34,035) | (58,300) | 846 | 287 | |||
Class I | (6,310) | (29,428) | 95,107 | 64,066 | |||
Class R6 | (47) | 148 | 933 | 3 | |||
Increase (decrease) in net assets from capital transactions | (27,781) | (89,117) | 108,122 | 70,832 | |||
Net increase (decrease) in net assets | (27,784) | (104,813) | 139,802 | 107,949 | |||
Net Assets | |||||||
Beginning of period | 206,569 | 311,382 | 221,961 | 114,012 | |||
End of Period | $ 178,785 | $ 206,569 | $ 361,763 | $ 221,961 |
(1) | Consolidated Statement of Changes in Net Assets. |
KAR International Small-Cap Fund | KAR International Small-Mid Cap Fund | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020(1) | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ (2,500) | $ 5,775 | $ (47) | $ 19 | |||
Net realized gain (loss) | 62,227 | 62,355 | 1,758 | 786 | |||
Net change in unrealized appreciation (depreciation) | 404,357 | 132,967 | 3,554 | 4,224 | |||
Increase (decrease) in net assets resulting from operations | 464,084 | 201,097 | 5,265 | 5,029 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (842) | (1,433) | (6) | — | |||
Class C | (123) | (432) | (6) | — | |||
Class I | (24,779) | (33,317) | (851) | — | |||
Class R6 | (2,466) | (943) | (127) | — | |||
Total dividends and distributions to shareholders | (28,210) | (36,125) | (990) | — | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 2,225 | (4,023) | 69 | 136 | |||
Class C | (350) | (7,229) | 104 | 135 | |||
Class I | 259,806 | 194,887 | 9,882 | 15,532 | |||
Class R6 | 147,517 | 22,080 | 2 | 2,706 | |||
Increase (decrease) in net assets from capital transactions | 409,198 | 205,715 | 10,057 | 18,509 | |||
Net increase (decrease) in net assets | 845,072 | 370,687 | 14,332 | 23,538 | |||
Net Assets | |||||||
Beginning of period | 1,892,273 | 1,521,586 | 23,538 | — | |||
End of Period | $ 2,737,345 | $ 1,892,273 | $ 37,870 | $ 23,538 |
(1) | Inception date October 1, 2019. |
Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ (922) | $ (459) | $ (22) | $ (4) | |||
Net realized gain (loss) | 28,807 | 9,094 | 100 | 331 | |||
Net change in unrealized appreciation (depreciation) | 13,720 | 42,213 | 603 | (17) | |||
Increase (decrease) in net assets resulting from operations | 41,605 | 50,848 | 681 | 310 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (2,494) | (2,055) | (67) | (172) | |||
Class C | (678) | (674) | (25) | (68) | |||
Class I | (3,522) | (3,014) | (229) | (268) | |||
Class R6 | (1,766) | (1,610) | — | — | |||
Total dividends and distributions to shareholders | (8,460) | (7,353) | (321) | (508) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 5,365 | (1,928) | 557 | 198 | |||
Class C | (5,676) | (5,447) | 5 | (126) | |||
Class I | 10,588 | 13,655 | 2,582 | 367 | |||
Class R6 | (9,593) | 12,855 | — | — | |||
Increase (decrease) in net assets from capital transactions | 684 | 19,135 | 3,144 | 439 | |||
Net increase (decrease) in net assets | 33,829 | 62,630 | 3,504 | 241 | |||
Net Assets | |||||||
Beginning of period | 380,772 | 318,142 | 4,478 | 4,237 | |||
End of Period | $ 414,601 | $ 380,772 | $ 7,982 | $ 4,478 |
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(3) | ||
Duff & Phelps Global Infrastructure Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $14.54 | 0.05 | — | 1.51 | 1.56 | (0.08) | (0.18) | (0.26) | — | 1.30 | $15.84 | 10.85 % | $ 34,550 | 1.28 % | 1.28 % | 0.61 % | 12 % | |
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 (7) | 37,401 | 1.29 (7) | 1.30 | 2.04 (7) | 56 | |
10/1/15 to 9/30/16 | 13.62 | 0.29 | — | 1.54 | 1.83 | (0.33) | (0.90) | (1.23) | — | 0.60 | 14.22 | 14.79 | 51,148 | 1.34 (8) | 1.34 | 2.16 | 17 | |
Class C | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $14.50 | — (9) | — | 1.49 | 1.49 | (0.01) | (0.18) | (0.19) | — | 1.30 | $15.80 | 10.38 % | $ 6,901 | 2.01 % | 2.01 % | (0.02) % | 12 % | |
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 (7) | 25,144 | 2.04 (7) | 2.05 | 1.30 (7) | 56 | |
10/1/15 to 9/30/16 | 13.57 | 0.19 | — | 1.53 | 1.72 | (0.22) | (0.90) | (1.12) | — | 0.60 | 14.17 | 13.94 | 29,616 | 2.08 (8) | 2.08 | 1.42 | 17 | |
Class I | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $14.54 | 0.07 | — | 1.51 | 1.58 | (0.10) | (0.18) | (0.28) | — | 1.30 | $15.84 | 10.98 % | $ 35,756 | 1.03 % | 1.03 % | 0.87 % | 12 % | |
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 (7) | 56,361 | 1.04 (7) | 1.04 | 2.29 (7) | 56 | |
10/1/15 to 9/30/16 | 13.63 | 0.32 | — | 1.54 | 1.86 | (0.36) | (0.90) | (1.26) | — | 0.60 | 14.23 | 15.07 | 41,056 | 1.08 (8) | 1.08 | 2.37 | 17 | |
Class R6 | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $14.55 | 0.08 | — | 1.52 | 1.60 | (0.11) | (0.18) | (0.29) | — | 1.31 | $15.86 | 11.10 % | $ 9,577 | 0.85 % | 0.93 % | 1.07 % | 12 % | |
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 (10) | 0.93 | 2.02 | 30 | |
1/30/18 (11) 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 (12) | |
Duff & Phelps Global Real Estate Securities Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $29.50 | 0.23 | — | 5.47 | 5.70 | — | — | — | — | 5.70 | $35.20 | 19.32 % | $ 23,106 | 1.40 % | 2.78 % | 1.42 % | 8 % | |
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 (8) | 1.54 | 1.45 | 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(3) | ||
Duff & Phelps Global Real Estate Securities Fund (Continued) | ||||||||||||||||||
Class C | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $27.93 | 0.20 | — | 5.07 | 5.27 | — | — | — | — | 5.27 | $33.20 | 18.87 % | $ 5,577 | 2.15 % | 2.17 % | 1.28 % | 8 % | |
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 (8) | 2.29 | 0.73 | 22 | |
Class I | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $28.73 | 0.22 | — | 5.36 | 5.58 | (0.17) | — | (0.17) | — | 5.41 | $34.14 | 19.49 % | $ 235,078 | 1.15 % | 1.18 % | 1.38 % | 8 % | |
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 (8) | 1.29 | 1.79 | 22 | |
Class R6 | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $28.86 | 0.33 | — | 5.32 | 5.65 | (0.21) | — | (0.21) | — | 5.44 | $34.30 | 19.65 % | $ 64,923 | 0.89 % | 1.06 % | 2.07 % | 8 % | |
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 (10) | 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 (10) | 1.09 | 2.92 | 41 | |
11/3/16 (11) 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 (12) | |
Duff & Phelps International Real Estate Securities Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $ 6.79 | 0.05 | — | 1.04 | 1.09 | — | — | — | — | 1.09 | $ 7.88 | 16.05 % | $ 2,404 | 1.50 % | 1.79 % | 1.37 % | 2 % | |
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 (8) | 1.91 | 1.60 | 26 | |
Class C | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $ 6.73 | 0.02 | — | 1.03 | 1.05 | — | — | — | — | 1.05 | $ 7.78 | 15.60 % | $ 339 | 2.25 % | 2.57 % | 0.46 % | 2 % | |
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 (8) | 2.68 | 0.97 | 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(3) | ||
Duff & Phelps International Real Estate Securities Fund (Continued) | ||||||||||||||||||
Class I | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $ 6.78 | 0.06 | — | 1.04 | 1.10 | — | — | — | — | 1.10 | $ 7.88 | 16.22 % | $ 26,361 | 1.25 % | 1.55 % | 1.55 % | 2 % | |
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 (8) | 1.68 | 1.98 | 26 | |
Duff & Phelps Real Asset Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $10.10 | 0.01 | 0.03 | 1.49 | 1.53 | (0.07) | — | (0.07) | — | 1.46 | $11.56 | 15.23 % | $ 12,580 | 0.88 % (8) | 0.88 % | 0.16 % | 11 % | |
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 (8) | 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 (8) | 0.74 | 0.80 | 56 | |
Class C | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $10.19 | (0.01) | 0.03 | 1.48 | 1.50 | — | — | — | — | 1.50 | $11.69 | 14.72 % | $ 377 | 1.71 % (8) | 1.71 % | (0.17) % | 11 % | |
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 (8) | 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 | — (9) | 0.31 | 0.56 | 0.87 | (0.04) | — | (0.04) | — | 0.83 | 10.73 | 8.86 | 19,611 | 1.49 (8) | 1.49 | 0.04 | 56 | |
Class I | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $10.07 | 0.02 | 0.03 | 1.49 | 1.54 | (0.10) | — | (0.10) | — | 1.44 | $11.51 | 15.35 % | $ 8,896 | 0.63 % (8) | 0.63 % | 0.44 % | 11 % | |
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 (8) | 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 (8) | 0.49 | 1.04 | 56 |
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(3) | ||
FORT Trend Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/20 to 3/31/21(6)(13) | $14.55 | (0.11) | — | 0.13 | 0.02 | — | — | — | — | 0.02 | $14.57 | 0.14 % | $ 116,679 | 1.58 % (14) | 1.58 % | (1.50) % | 0 % | |
10/1/19 to 9/30/20(13) | 15.16 | (0.04) | — | (0.57) | (0.61) | — | — | — | — | (0.61) | 14.55 | (4.02) | 104,017 | 1.59 (14) | 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 (14) | 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 (14) | 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 (10) | 1.60 | 0.23 | 92 | |
10/1/15 to 9/30/16 | 12.14 | (0.01) | — | 0.10 | 0.09 | — | — | — | — | 0.09 | 12.23 | 0.74 | 245,109 | 1.50 (8)(10) | 1.58 | (0.05) | 229 | |
Class C | ||||||||||||||||||
10/1/20 to 3/31/21(6)(13) | $13.73 | (0.15) | — | 0.11 | (0.04) | — | — | — | — | (0.04) | $13.69 | (0.29) % | $ 27,574 | 2.35 % | 2.37 % | (2.26) % | 0 % | |
10/1/19 to 9/30/20(13) | 14.41 | (0.13) | — | (0.55) | (0.68) | — | — | — | — | (0.68) | 13.73 | (4.72) | 61,735 | 2.34 (14) | 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 (14) | 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 (14) | 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 (10) | 2.35 | (0.47) | 92 | |
10/1/15 to 9/30/16 | 11.87 | (0.08) | — | 0.09 | 0.01 | — | — | — | — | 0.01 | 11.88 | 0.08 | 423,675 | 2.16 (8)(10) | 2.33 | (0.69) | 229 | |
Class I | ||||||||||||||||||
10/1/20 to 3/31/21(6)(13) | $14.79 | (0.09) | — | 0.12 | 0.03 | — | — | — | — | 0.03 | $14.82 | 0.20 % | $ 33,857 | 1.35 % | 1.36 % | (1.27) % | 0 % | |
10/1/19 to 9/30/20(13) | 15.37 | 0.01 | — | (0.59) | (0.58) | — | — | — | — | (0.58) | 14.79 | (3.77) | 40,098 | 1.33 (14) | 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 (14) | 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 (14) | 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 (10) | 1.35 | 0.45 | 92 | |
10/1/15 to 9/30/16 | 12.19 | 0.02 | — | 0.10 | 0.12 | — | — | — | — | 0.12 | 12.31 | 0.98 | 282,818 | 1.29 (8)(10) | 1.33 | 0.16 | 229 | |
Class R6 | ||||||||||||||||||
10/1/20 to 3/31/21(6)(13) | $14.90 | (0.09) | — | 0.13 | 0.04 | — | — | — | — | 0.04 | $14.94 | 0.27 % | $ 675 | 1.24 % (14) | 1.24 % | (1.16) % | 0 % | |
10/1/19 to 9/30/20(13) | 15.47 | 0.01 | — | (0.58) | (0.57) | — | — | — | — | (0.57) | 14.90 | (3.68) | 719 | 1.24 (14) | 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 (14) | 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 (14) | 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 (10) | 1.23 | 0.58 | 92 | |
10/1/15 to 9/30/16 | 12.20 | 0.06 | — | 0.08 | 0.14 | — | — | — | — | 0.14 | 12.34 | 1.15 | 182 | 1.10 (8)(10) | 1.25 | 0.49 | 229 | |
KAR Emerging Markets Small-Cap Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $14.93 | (0.07) | — | 2.37 | 2.30 | (0.17) | — | (0.17) | — | 2.13 | $17.06 | 15.43 % | $ 57,090 | 1.85 % (14)(15) | 1.78 % | (0.79) % | 10 % | |
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 (8) | 3.77 | 2.18 | 34 |
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(3) | ||
KAR Emerging Markets Small-Cap Fund (Continued) | ||||||||||||||||||
Class C | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $14.80 | (0.13) | — | 2.36 | 2.23 | (0.10) | — | (0.10) | — | 2.13 | $16.93 | 15.07 % | $ 2,237 | 2.60 % (14)(15) | 2.49 % | (1.55) % | 10 % | |
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 (8) | 4.51 | 1.39 | 34 | |
Class I | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $15.01 | (0.05) | — | 2.38 | 2.33 | (0.20) | — | (0.20) | — | 2.13 | $17.14 | 15.58 % | $ 301,378 | 1.60 % (14)(15) | 1.52 % | (0.54) % | 10 % | |
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 (8) | 3.53 | 2.44 | 34 | |
Class R6 | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $15.01 | (0.02) | — | 2.38 | 2.36 | (0.22) | — | (0.22) | — | 2.14 | $17.15 | 15.73 % | $ 1,058 | 1.42 % (14)(15) | 1.41 % | (0.12) % | 10 % | |
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 (11) to 9/30/19 | 12.36 | 0.03 | — | (0.23) | (0.20) | — | — | — | — | (0.20) | 12.16 | (1.62) | 98 | 1.51 (8) | 1.62 | 1.44 | 44 (12) | |
KAR International Small-Cap Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $19.15 | (0.05) | — | 4.51 | 4.46 | (0.16) | (0.05) | (0.21) | — | 4.25 | $23.40 | 23.34 % | $ 97,382 | 1.52 % (14) | 1.52 % | (0.47) % | 14 % | |
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 (14) | 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) | — (9) | (0.20) | 16.95 | (0.05) (16) | 70,958 | 1.55 (14) | 1.55 | 2.66 | 30 | |
10/1/17 to 9/30/18 | 16.22 | 0.16 | — | 1.01 | 1.17 | (0.08) | (0.16) | (0.24) | — | 0.93 | 17.15 | 7.31 | 47,909 | 1.60 | 1.56 | 0.92 | 21 | |
10/1/16 to 9/30/17 | 13.01 | 0.16 | — | 3.34 | 3.50 | (0.29) | — | (0.29) | — | 3.21 | 16.22 | 27.42 | 18,479 | 1.60 | 1.66 | 1.07 | 27 | |
10/1/15 to 9/30/16 | 10.85 | 0.21 | — | 2.38 | 2.59 | (0.20) | (0.23) | (0.43) | — | 2.16 | 13.01 | 24.58 | 1,985 | 1.61 (8) | 1.87 | 1.80 | 40 | |
Class C | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $18.78 | (0.13) | — | 4.44 | 4.31 | (0.02) | (0.05) | (0.07) | — | 4.24 | $23.02 | 22.96 % | $ 40,681 | 2.24 % (14) | 2.24 % | (1.20) % | 14 % | |
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 (14) | 2.27 | (0.65) | 48 | |
10/1/18 to 9/30/19 | 16.89 | 0.32 | — | (0.46) | (0.14) | — | (0.11) | (0.11) | — (9) | (0.25) | 16.64 | (0.78) (16) | 37,210 | 2.29 (14) | 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 (14) | 2.27 | 0.18 | 21 | |
10/1/16 to 9/30/17 | 12.92 | 0.06 | — | 3.29 | 3.35 | (0.23) | — | (0.23) | — | 3.12 | 16.04 | 26.41 | 13,442 | 2.35 | 2.41 | 0.38 | 27 | |
10/1/15 to 9/30/16 | 10.72 | 0.12 | — | 2.37 | 2.49 | (0.06) | (0.23) | (0.29) | — | 2.20 | 12.92 | 23.76 | 1,465 | 2.36 (8) | 2.63 | 1.02 | 40 |
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(3) | ||
KAR International Small-Cap Fund (Continued) | ||||||||||||||||||
Class I | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $19.25 | (0.02) | — | 4.54 | 4.52 | (0.22) | (0.05) | (0.27) | — | 4.25 | $23.50 | 23.54 % | $2,350,400 | 1.25 % (14) | 1.25 % | (0.19) % | 14 % | |
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 (14) | 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) | — (9) | (0.21) | 17.03 | 0.18 (16) | 1,372,552 | 1.30 (14) | 1.30 | 2.96 | 30 | |
10/1/17 to 9/30/18 | 16.28 | 0.21 | — | 1.01 | 1.22 | (0.10) | (0.16) | (0.26) | — | 0.96 | 17.24 | 7.58 | 773,571 | 1.35 | 1.29 | 1.20 | 21 | |
10/1/16 to 9/30/17 | 13.04 | 0.20 | — | 3.35 | 3.55 | (0.31) | — | (0.31) | — | 3.24 | 16.28 | 27.73 | 176,216 | 1.35 | 1.42 | 1.33 | 27 | |
10/1/15 to 9/30/16 | 10.89 | 0.23 | — | 2.40 | 2.63 | (0.25) | (0.23) | (0.48) | — | 2.15 | 13.04 | 24.94 | 40,424 | 1.36 (8) | 1.62 | 1.95 | 40 | |
Class R6 | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $19.27 | (0.01) | — | 4.55 | 4.54 | (0.24) | (0.05) | (0.29) | — | 4.25 | $23.52 | 23.62 % | $ 248,882 | 1.15 % (14) | 1.15 % | (0.07) % | 14 % | |
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 (14) | 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) | — (9) | (0.21) | 17.05 | 0.24 (16) | 40,866 | 1.19 (14) | 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 (14) | 1.20 | 1.06 | 21 | |
10/1/16 to 9/30/17 | 13.03 | 0.26 | — | 3.30 | 3.56 | (0.31) | — | (0.31) | — | 3.25 | 16.28 | 27.82 | 36,941 | 1.24 | 1.28 | 1.66 | 27 | |
10/1/15 to 9/30/16 | 10.89 | 0.25 | — | 2.39 | 2.64 | (0.27) | (0.23) | (0.50) | — | 2.14 | 13.03 | 25.06 | 112 | 1.27 (8) | 1.52 | 2.19 | 40 | |
KAR International Small-Mid Cap Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $12.93 | (0.04) | — | 2.64 | 2.60 | (0.09) | (0.35) | (0.44) | — | 2.16 | $15.09 | 20.15 % | $ 259 | 1.45 % | 1.56 % | (0.52) % | 18 % | |
10/1/19 (11) 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 (12) | |
Class C | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $12.83 | (0.09) | — | 2.62 | 2.53 | (0.01) | (0.35) | (0.36) | — | 2.17 | $15.00 | 19.75 % | $ 302 | 2.20 % | 2.31 % | (1.28) % | 18 % | |
10/1/19 (11) 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 (12) | |
Class I | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $12.96 | (0.02) | — | 2.64 | 2.62 | (0.11) | (0.35) | (0.46) | — | 2.16 | $15.12 | 20.30 % | $ 33,212 | 1.20 % | 1.42 % | (0.30) % | 18 % | |
10/1/19 (11) 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 (12) | |
Class R6 | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $12.97 | (0.02) | — | 2.65 | 2.63 | (0.12) | (0.35) | (0.47) | — | 2.16 | $15.13 | 20.36 % | $ 4,097 | 1.10 % | 1.30 % | (0.23) % | 18 % | |
10/1/19 (11) 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 (12) | |
Vontobel Global Opportunities Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $18.63 | (0.06) | — | 2.09 | 2.03 | — | (0.42) | (0.42) | — | 1.61 | $20.24 | 10.95 % | $ 126,280 | 1.36 % | 1.39 % | (0.62) % | 25 % | |
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 | — (9) | (1.64) | (1.64) | — | (0.65) | 16.37 | 7.62 | 99,951 | 1.37 (10) | 1.40 | 0.11 | 35 | |
10/1/17 to 9/30/18 | 16.22 | 0.02 | — | 1.68 | 1.70 | — (9) | (0.90) | (0.90) | — | 0.80 | 17.02 | 10.80 | 104,081 | 1.40 (14) | 1.40 | 0.12 | 38 | |
10/1/16 to 9/30/17 | 13.69 | 0.02 | — | 2.64 | 2.66 | (0.05) | (0.08) | (0.13) | — | 2.53 | 16.22 | 19.54 (7) | 113,151 | 1.45 (7) | 1.46 | 0.05 (7) | 37 | |
10/1/15 to 9/30/16 | 12.32 | 0.05 | — | 1.35 | 1.40 | (0.03) | — | (0.03) | — | 1.37 | 13.69 | 11.38 | 105,967 | 1.47 (8) | 1.48 | 0.37 | 29 |
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(3) | ||
Vontobel Global Opportunities Fund (Continued) | �� | |||||||||||||||||
Class C | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $15.28 | (0.11) | — | 1.71 | 1.60 | — | (0.42) | (0.42) | — | 1.18 | $16.46 | 10.52 % | $ 21,877 | 2.11 % | 2.13 % | (1.39) % | 25 % | |
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 (10) | 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 (14) | 2.16 | (0.61) | 38 | |
10/1/16 to 9/30/17 | 11.93 | (0.08) | — | 2.29 | 2.21 | — | (0.08) | (0.08) | — | 2.13 | 14.06 | 18.61 (7) | 30,065 | 2.21 (7) | 2.22 | (0.68) (7) | 37 | |
10/1/15 to 9/30/16 | 10.79 | (0.04) | — | 1.18 | 1.14 | — | — | — | — | 1.14 | 11.93 | 10.57 | 23,070 | 2.23 (8) | 2.24 | (0.34) | 29 | |
Class I | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $18.67 | (0.04) | — | 2.09 | 2.05 | — | (0.42) | (0.42) | — | 1.63 | $20.30 | 11.03 % | $ 178,213 | 1.09 % | 1.14 % | (0.36) % | 25 % | |
10/1/19 to 9/30/20 | 16.39 | — (9) | — | 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 (10) | 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 (14) | 1.16 | 0.43 | 38 | |
10/1/16 to 9/30/17 | 13.69 | 0.06 | — | 2.63 | 2.69 | (0.07) | (0.08) | (0.15) | — | 2.54 | 16.23 | 19.83 (7) | 76,222 | 1.20 (7) | 1.21 | 0.38 (7) | 37 | |
10/1/15 to 9/30/16 | 12.32 | 0.08 | — | 1.35 | 1.43 | (0.06) | — | (0.06) | — | 1.37 | 13.69 | 11.65 | 48,155 | 1.23 (8) | 1.23 | 0.64 | 29 | |
Class R6 | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $18.72 | (0.02) | — | 2.10 | 2.08 | — | (0.42) | (0.42) | — | 1.66 | $20.38 | 11.16 % | $ 88,231 | 0.90 % | 1.06 % | (0.17) % | 25 % | |
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 (10) | 1.08 | 0.80 | 35 | |
1/30/18 (11) to 9/30/18 | 17.27 | 0.06 | — | (0.30) | (0.24) | — | — | — | — | (0.24) | 17.03 | 1.39 | 425 | 1.11 (14) | 1.11 | 0.56 | 38 (12) | |
Vontobel Greater European Opportunities Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $11.24 | (0.05) | — | 1.23 | 1.18 | — | (0.55) | (0.55) | — | 0.63 | $11.87 | 10.55 % | $ 2,135 | 1.42 % (10) | 2.55 % | (0.77) % | 14 % | |
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 (8) | 1.82 | 1.06 | 49 | |
Class C | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $10.85 | (0.09) | — | 1.19 | 1.10 | — | (0.55) | (0.55) | — | 0.55 | $11.40 | 10.18 % | $ 460 | 2.17 % (10) | 3.29 % | (1.53) % | 14 % | |
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 (8) | 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(3) | ||
Vontobel Greater European Opportunities Fund (Continued) | ||||||||||||||||||
Class I | ||||||||||||||||||
10/1/20 to 3/31/21(6) | $11.23 | (0.03) | — | 1.23 | 1.20 | — | (0.55) | (0.55) | — | 0.65 | $11.88 | 10.74 % | $ 5,387 | 1.16 % (10) | 2.25 % | (0.51) % | 14 % | |
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 (8) | 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) | Unaudited. |
(7) | Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses and increase the Ratio of Net Investment Income (Loss) as follows: Duff & Phelps Global Infrastructure Fund No Impact (Class A), No Impact (Class C), No Impact (Class I) 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) Vontobel Global Opportunities Fund 0.06% (Class A), 0.05% (Class C), 0.05% (Class I) |
(8) | Net expense ratio includes extraordinary proxy expenses. |
(9) | Amount is less than $0.005 per share. |
(10) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(11) | Inception date. |
(12) | Portfolio turnover is representative of the Fund for the entire period. |
(13) | Consolidated Financial Highlights. |
(14) | The share class is currently under its expense limitation. |
(15) | See Note 4D in the Notes to Financial Statements for information on recapture of expenses previously reimbursed and/or waived. |
(16) | Payment from affiliate had no impact on total return. |
Fund | Investment objective(s) | |
Duff & Phelps Global Infrastructure Fund | Capital appreciation and current income. | |
Duff & Phelps Global Real Estate Securities Fund | Long-term capital appreciation, with a secondary investment objective of income. | |
Duff & Phelps International Real Estate Securities Fund | Long-term capital appreciation, with a secondary investment objective of income. | |
Duff & Phelps Real Asset Fund | Long-term capital appreciation. | |
FORT Trend Fund | Long-term capital appreciation. | |
KAR Emerging Markets Small-Cap Fund | Capital appreciation. | |
KAR International Small-Cap Fund | Capital appreciation. | |
KAR International Small-Mid Cap Fund | Capital appreciation. | |
Vontobel Global Opportunities Fund | Capital appreciation. | |
Vontobel Greater European Opportunities Fund | Long-term capital appreciation. |
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 March 31, 2021 were $24,225 and 14% 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 March 31, 2021, 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 which 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 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. | |
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 |
Effective October 1, 2020, the Funds may resume loaning 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 a Master Securities Lending Agreement (“MSLA”) which 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. |
At March 31, 2021, the Funds did not loan securities. |
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, presented in the financial statements as of March 31, 2021: |
Fair Values of Derivative Financial Instruments as of March 31, 2021 | ||
Derivative Assets | ||
FORT Trend Fund | ||
Primary Risk | Statement of Assets and Liabilities Location | Value |
Interest rate contracts | Unrealized appreciation on futures contracts(1) | $ 68 |
Foreign currency exchange contracts | Unrealized appreciation on futures contracts(1) | 345 |
Equity contracts | Unrealized appreciation on futures contracts(1) | 543 |
Commodity contracts | Unrealized appreciation on futures contracts(1) | 167 |
Total | $1,123 |
Fair Value of Derivative Financial Instruments as of March 31, 2021 | ||
Derivative Liabilities | ||
FORT Trend Fund | ||
Primary Risk | Statement of Assets and Liabilities Location | Value |
Interest rate contracts | Unrealized appreciation on futures contracts(1) | $ (881) |
Foreign currency exchange contracts | Unrealized appreciation on futures contracts(1) | (3) |
Equity contracts | Unrealized appreciation on futures contracts(1) | (67) |
Commodity contracts | Unrealized appreciation on futures contracts(1) | (53) |
Total | $(1,004) |
The Effect of Derivative Financial Instruments in the Statements of Operations for the Period Ended March 31, 2021 | |||
Net Realized Gain (Loss) From | |||
FORT Trend Fund | |||
Interest rate contracts: | |||
Futures contracts(1) | $(8,102) | ||
Foreign currency exchange contracts: | |||
Futures contacts(1) | 426 | ||
Equity contracts: | |||
Futures contracts(1) | 6,847 | ||
Commodity contracts: | |||
Futures contracts(1) | 1,925 | ||
Total | $ 1,096 |
(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 March 31, 2021 | |||
Net Change in Unrealized Appreciation/(Depreciation) on | |||
FORT Trend Fund | |||
Interest rate contracts: | |||
Futures contracts(1) | $(610) | ||
Foreign currency exchange contracts: | |||
Futures contracts(1) | 380 | ||
Equity contracts: | |||
Futures contracts(1) | 355 | ||
Commodity contracts: | |||
Futures contracts(1) | 316 | ||
Total | $ 441 |
(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) | $211,596 |
Futures Contracts - Short Positions(1) | 191,696 |
(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 FORT Trend Fund’s 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 March 31, 2021: |
At March 31, 2021, the Fund’s derivative assets and liabilities (by type) are as follows: | |||||
FORT Trend Fund | |||||
Assets | Liabilities | ||||
Derivative Financial Instruments: | |||||
Futures contracts | $ 282 | $— | |||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $ 282 | $— | |||
Derivatives not subject to a MNA or similar agreement | (282) | — | |||
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 advised by Virtus Alternative Investment Advisers, Inc. (each an “Adviser” and collectively, the “Advisers”). 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 $1 Billion | $1+ Billion | ||
FORT Trend Fund | 1.00 % | 0.95 % | |
KAR Emerging Markets Small-Cap Fund | 1.20 | 1.15 |
First $1 Billion | $1+ Billion | ||
KAR International Small-Cap Fund | 1.00 % | 0.95 % | |
KAR International Small-Mid Cap Fund | 0.90 | 0.85 | |
Vontobel Greater European Opportunities Fund | 0.85 | 0.80 |
First $1 Billion | $1+ Billion through $2 Billion | $2+ Billion | |||
Duff & Phelps Global Infrastructure Fund | 0.65 % | 0.60 % | 0.55 % | ||
Duff & Phelps Global Real Estate Securities Fund | 0.85 | 0.80 | 0.75 | ||
Duff & Phelps International Real Estate Securities Fund | 1.00 | 0.95 | 0.90 | ||
Vontobel Global Opportunities Fund | 0.85 | 0.80 | 0.75 |
B. | Subadvisers |
The subadvisers manage the investments of each Fund for which they are paid a fee by the 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 (1) | |
FORT Trend Fund | FORT (2) | |
KAR Emerging Markets Small-Cap Fund | KAR (3) | |
KAR International Small-Cap Fund | KAR (3) | |
KAR International Small-Mid Cap Fund | KAR (3) | |
Vontobel Global Opportunities Fund | Vontobel (4) | |
Vontobel Greater European Opportunities Fund | Vontobel (4) |
(1) | Duff & Phelps Investment Management Co. (“DPIM”), an indirect, wholly-owned subsidiary of Virtus. |
(2) | FORT, LP (“FORT”). |
(3) | Kayne Anderson Rudnick Investment Management, LLC (“KAR”), an indirect, wholly-owned subsidiary of Virtus. |
(4) | Vontobel Asset Management, Inc. (“Vontobel”). |
C. | Expense Limits and Fee Waivers |
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 February 1, 2022. 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 | ||||
Vontobel Global Opportunities Fund | 1.36 | 2.11 | 1.09 | 0.90 | ||||
Vontobel Greater European Opportunities Fund** | 1.40 | 2.15 | 1.15 | N/A |
* | Each share class is currently below its expense cap. |
** | Effective December 1, 2020. For the period October 1, 2020 through November 30, 2020, the expense caps were as follows for Class A shares, Class C shares, and Class I shares, respectively: 1.45%, 2.20%, and 1.20%. |
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 | 2024 | Total | |||||
Duff & Phelps Global Infrastructure Fund | ||||||||||
Class R6 | $ — | $ 2 | $ 9 | $ 4 | $ 15 | |||||
Duff & Phelps Global Real Estate Securities Fund | ||||||||||
Class A | 124 | 226 | 251 | 143 | 744 | |||||
Class C | 2 | 5 | 3 | 1 | 11 | |||||
Class I | 18 | 71 | 86 | 29 | 204 | |||||
Class R6 | 4 | 4 | 46 | 51 | 105 | |||||
Duff & Phelps International Real Estate Securities Fund | ||||||||||
Class A | 3 | 4 | 5 | 3 | 15 | |||||
Class C | 1 | 2 | 2 | 1 | 6 | |||||
Class I | 39 | 81 | 100 | 39 | 259 | |||||
FORT Trend Fund | ||||||||||
Class C | — | — | — | 6 | 6 | |||||
Class I | — | — | — | 1 | 1 | |||||
KAR Emerging Markets Small-Cap Fund | ||||||||||
Class A | — | — | 14 | — | 14 | |||||
KAR International Small-Mid Cap Fund | ||||||||||
Class A | — | — | 1 | — (1) | 1 | |||||
Class C | — | — | 1 | — (1) | 1 | |||||
Class I | — | — | 76 | 30 | 106 | |||||
Class R6 | — | — | 30 | 4 | 34 | |||||
Vontobel Global Opportunities Fund | ||||||||||
Class A | — | 34 | 52 | 15 | 101 | |||||
Class C | — | 13 | 4 | 3 | 20 | |||||
Class I | — | 66 | 109 | 43 | 218 | |||||
Class R6 | — | 55 | 134 | 70 | 259 | |||||
Vontobel Greater European Opportunities Fund | ||||||||||
Class A | 13 | 34 | 29 | 9 | 85 | |||||
Class C | 7 | 14 | 10 | 3 | 34 | |||||
Class I | 9 | 35 | 47 | 25 | 116 |
(1) | Amount is less than $500. |
Fund | Class A | Class C | Class I | Class R6 | Total | |||||
Duff & Phelps Global Real Estate Securities Fund | $ — | $ — (1) | $ — | $ — | $ — (1) | |||||
FORT Trend Fund | — (1) | — (1) | — (1) | — | — (1) | |||||
KAR Emerging Markets Small-Cap Fund | 17 | 1 | 98 | — (1) | 116 |
(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 six months (the “period”) ended March 31, 2021, it retained net commissions of $23 for Class A shares and CDSC of $9 for 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, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Funds. | |
For the period ended March 31, 2021, the Funds incurred administration fees totaling $1,717 which are included in the Statements of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
For the period ended March 31, 2021, the Funds incurred transfer agent fees totaling $778 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 |
The Funds are permitted to purchase assets from or sell assets to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. | |
During the period ended March 31, 2021, the Funds did not engage in Rule 17a-7 of the 1940 Act transactions. | |
A summary of the Duff & Phelps Real Asset Fund’s total long-term and short-term purchases and sales of the respective shares of the affiliated underlying funds(1) during the period ended March 31, 2021, 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—66.0%(3) | |||||||||||||||||
Equity Funds—57.9% | |||||||||||||||||
Virtus Duff & Phelps Global Infrastructure Fund Class R6 | $ 5,484 | $ 98 | $1,060 | $343 | $ 132 | $ 4,997 | 315,044 | $35 | $62 | ||||||||
Virtus Duff & Phelps Global Real Estate Securities Fund Class R6 | 5,464 | 36 | 1,375 | 210 | 711 | 5,046 | 147,117 | 36 | — | ||||||||
Virtus Duff & Phelps Select MLP and Energy Fund Class I | 1,673 | 47 | — | 2 | 895 | 2,617 | 350,359 | — | — | ||||||||
Fixed Income Fund—8.1% | |||||||||||||||||
Virtus Newfleet Senior Floating Rate Fund Class R6 | 2,392 | 40 | 765 | 47 | 42 | 1,756 | 197,017 | — | — | ||||||||
Total | $15,013 | $221 | $3,200 | $602 | $1,780 | $14,416 | $71 | $62 |
Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) on affiliated securities | Net change in unrealized appreciation (depreciation) on affiliated securities | Value, end of period | Shares | Dividend income | Distributions of realized gains | |||||||||
Common Stocks—4.2% | |||||||||||||||||
Union Auction PCL | $10,763 | $2,025 | $— | $— | $(2,182) | $10,606 | 30,130,000 | $ — | $— | ||||||||
Younglimwon Soft Lab Co., Ltd. | 3,392 | 1,726 | — | — | (385) | 4,733 | 407,309 | 22 | — | ||||||||
Total | $14,155 | $3,751 | $— | $— | $(2,567) | $15,339 | $22 | $— |
Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) on affiliated securities | Net change in unrealized appreciation (depreciation) on affiliated securities | Value, end of period | Shares | Dividend income | Distributions of realized gains | |||||||||
Common Stocks—26.5% | |||||||||||||||||
Bouvet ASA | $ 48,449 | $ — | $ — | $ — | $ 7,020 | $ 55,469 | 750,682 | $ 686 | $— | ||||||||
Brockhaus Capital Management AG | 26,802 | — | — | — | (5,043) | 21,759 | 761,996 | — | — | ||||||||
Computer Modelling Group Ltd. | 21,776 | — | — | — | 3,936 | 25,712 | 5,619,390 | 441 | — | ||||||||
Enento Group Oyj | 62,776 | 5,407 | 1,919 | 260 | 2,402 | 68,926 | 1,674,508 | 2,504 | — | ||||||||
HeadHunter Group plc ADR | 114,050 | — | 28,325 | 9,828 | 28,693 | 124,246 | 3,662,906 | — | — | ||||||||
Karnov Group AB Class B | 40,186 | 20,524 | — | — | (2,019) | 58,691 | 9,819,441 | — | — | ||||||||
Lumax International Corp., Ltd. | 17,126 | — | — | — | 3,452 | 20,578 | 7,818,259 | — | — | ||||||||
MarkLines Co., Ltd. | 24,763 | — | — | — | (53) | 24,710 | 1,094,400 | 221 | — | ||||||||
Max Stock Ltd. | 25,543 | 2,318 | — | — | 4,133 | 31,994 | 7,952,458 | — | — | ||||||||
Mortgage Advice Bureau Holdings Ltd. | 60,141 | — | 16,871 | 5,966 | 31,693 | 80,929 | 5,218,095 | 525 | — | ||||||||
Pason Systems, Inc. | 31,391 | — | — | — | 24,442 | 55,833 | 7,901,518 | 626 | — | ||||||||
Sabre Insurance Group plc | 36,542 | 23,319 | — | — | 3,522 | 63,383 | 18,172,326 | — | — | ||||||||
VNV Global AB | 83,617 | — | 33,331 | 9,670 | 31,644 | 91,600 | 7,325,890 | — | — | ||||||||
Webstep AS | 7,157 | — | — | — | 3,054 | 10,211 | 3,119,279 | 543 | — | ||||||||
Total | $ 600,319 | $ 51,568 | $ 80,446 | $ 25,724 | $ 136,876 | $ 734,041 | $ 5,546 | $— |
(1) | The Duff & Phelps Real Asset Fund does not invest in the underlying funds for the purpose of exercising management or control; however, investments made by the Fund within each of its principal investment strategies may represent a significant portion of an underlying fund’s net assets. At March 31, 2021, the Fund was the owner of record of 36% of the Virtus Duff & Phelps Select MLP and Energy Fund and the owner of record of less than 10% of all other affiliated underlying funds. |
(2) | Includes reinvested dividends from income and capital gain distributions. |
(3) | Shares of these funds are publicly offered, and the prospectus and annual reports of each are publicly available. |
H. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statements of Assets and Liabilities at March 31, 2021. |
Purchases | Sales | ||
Duff & Phelps Global Infrastructure Fund | $ 10,261 | $ 13,764 | |
Duff & Phelps Global Real Estate Securities Fund | 50,010 | 21,344 | |
Duff & Phelps International Real Estate Securities Fund | 658 | 3,555 | |
Duff & Phelps Real Asset Fund | 2,360 | 5,017 | |
KAR Emerging Markets Small-Cap Fund | 114,567 | 26,233 | |
KAR International Small-Cap Fund | 540,417 | 292,795 | |
KAR International Small-Mid Cap Fund | 12,423 | 5,136 | |
Vontobel Global Opportunities Fund | 95,942 | 99,610 | |
Vontobel Greater European Opportunities Fund | 3,660 | 872 |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | ||||||||||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 251 | $ 3,885 | 230 | $ 3,466 | 114 | $ 3,759 | 390 | $ 11,764 | |||||||
Reinvestment of distributions | 33 | 510 | 107 | 1,629 | — | — | 30 | 999 | |||||||
Shares repurchased and cross class conversions | (177) | (2,742) | (570) | (8,130) | (93) | (3,037) | (405) | (11,888) | |||||||
Net Increase / (Decrease) | 107 | $ 1,653 | (233) | $ (3,035) | 21 | $ 722 | 15 | $ 875 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 21 | $ 324 | 44 | $ 682 | 6 | $ 190 | 25 | $ 769 | |||||||
Reinvestment of distributions | 8 | 122 | 33 | 513 | — | — | 19 | 591 | |||||||
Shares repurchased and cross class conversions | (271) | (4,170) | (328) | (4,855) | (64) | (2,001) | (100) | (2,850) | |||||||
Net Increase / (Decrease) | (242) | $ (3,724) | (251) | $ (3,660) | (58) | $ (1,811) | (56) | $ (1,490) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 203 | $ 3,146 | 1,210 | $ 18,995 | 2,187 | $ 71,818 | 2,891 | $ 88,567 | |||||||
Reinvestment of distributions | 40 | 615 | 134 | 2,031 | 30 | 952 | 477 | 15,409 | |||||||
Shares repurchased and cross class conversions | (277) | (4,306) | (2,132) | (29,130) | (1,194) | (37,117) | (3,528) | (100,390) | |||||||
Net Increase / (Decrease) | (34) | $ (545) | (788) | $ (8,104) | 1,023 | $ 35,653 | (160) | $ 3,586 |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | ||||||||||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 83 | $ 1,322 | 213 | $ 3,301 | 43 | $ 1,321 | 1,926 | $ 57,252 | |||||||
Reinvestment of distributions | 12 | 179 | 33 | 492 | 13 | 402 | 5 | 161 | |||||||
Shares repurchased and cross class conversions | (83) | (1,287) | (234) | (3,359) | (68) | (2,172) | (109) | (3,145) | |||||||
Net Increase / (Decrease) | 12 | $ 214 | 12 | $ 434 | (12) | $ (449) | 1,822 | $ 54,268 |
Duff & Phelps International Real Estate Securities Fund | Duff & Phelps Real Asset Fund | ||||||||||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 77 | $ 594 | 169 | $ 1,235 | 30 | $ 342 | 155 | $ 1,633 | |||||||
Reinvestment of distributions | — | — | 24 | 185 | 7 | 75 | 38 | 438 | |||||||
Shares repurchased and cross class conversions | (43) | (326) | (213) | (1,349) | (134) | (1,451) | (405) | (4,194) | |||||||
Net Increase / (Decrease) | 34 | $ 268 | (20) | $ 71 | (97) | $ (1,034) | (212) | $ (2,123) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | — (1) | $ —(2) | 8 | $ 63 | 1 | $ 7 | 1 | $ 18 | |||||||
Reinvestment of distributions | — | — | 7 | 56 | — | — | 1 | 14 | |||||||
Shares repurchased and cross class conversions | (35) | (264) | (30) | (193) | (28) | (319) | (131) | (1,377) | |||||||
Net Increase / (Decrease) | (35) | $ (264) | (15) | $ (74) | (27) | $ (312) | (129) | $ (1,345) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 189 | $ 1,431 | 2,146 | $ 15,190 | 36 | $ 393 | 614 | $ 6,818 | |||||||
Reinvestment of distributions | — | — | 529 | 4,066 | 7 | 79 | 54 | 621 | |||||||
Shares repurchased and cross class conversions | (610) | (4,485) | (5,343) | (35,003) | (140) | (1,523) | (1,650) | (16,588) | |||||||
Net Increase / (Decrease) | (421) | $ (3,054) | (2,668) | $ (15,747) | (97) | $ (1,051) | (982) | $ (9,149) |
FORT Trend Fund | KAR Emerging Markets Small-Cap Fund | ||||||||||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 1,838 | $ 26,801 | 1,963 | $ 26,957 | 1,075 | $ 17,785 | 1,549 | $ 20,012 | |||||||
Reinvestment of distributions | — | — | — | — | 30 | 503 | 40 | 495 | |||||||
Shares repurchased and cross class conversions | (974) | (14,190) | (2,006) | (28,494) | (426) | (7,052) | (1,194) | (14,031) | |||||||
Net Increase / (Decrease) | 864 | $ 12,611 | (43) | $ (1,537) | 679 | $ 11,236 | 395 | $ 6,476 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 7 | $ 99 | 63 | $ 868 | 60 | $ 1,009 | 36 | $ 470 | |||||||
Reinvestment of distributions | — | — | — | — | 1 | 10 | 1 | 12 | |||||||
Shares repurchased and cross class conversions | (2,489) | (34,134) | (4,460) | (59,168) | (10) | (173) | (16) | (195) | |||||||
Net Increase / (Decrease) | (2,482) | $ (34,035) | (4,397) | $ (58,300) | 51 | $ 846 | 21 | $ 287 | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 83 | $ 1,232 | 299 | $ 4,390 | 7,287 | $ 124,243 | 10,200 | $ 127,501 | |||||||
Reinvestment of distributions | — | — | — | — | 161 | 2,693 | 159 | 1,996 | |||||||
Shares repurchased and cross class conversions | (509) | (7,542) | (2,380) | (33,818) | (1,919) | (31,829) | (5,358) | (65,431) | |||||||
Net Increase / (Decrease) | (426) | $ (6,310) | (2,081) | $ (29,428) | 5,529 | $ 95,107 | 5,001 | $ 64,066 | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 1 | $ 11 | 9 | $ 148 | 54 | $ 936 | — (1) | $ 3 | |||||||
Reinvestment of distributions | — | — | — | — | — | — | — (1) | — (2) | |||||||
Shares repurchased and cross class conversions | (4) | (58) | — | — | (—) | (3) | (—) (1) | (—) (2) | |||||||
Net Increase / (Decrease) | (3) | $ (47) | 9 | $ 148 | 54 | $ 933 | — | $ 3 |
KAR International Small-Cap Fund | KAR International Small-Mid Cap Fund | ||||||||||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020(a) | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 785 | $ 17,610 | 3,517 | $ 57,391 | 6 | $ 79 | 14 | $ 153 | |||||||
Reinvestment of distributions | 37 | 830 | 76 | 1,419 | — (1) | 1 | — | — | |||||||
Shares repurchased and cross class conversions | (739) | (16,215) | (3,699) | (62,833) | (1) | (11) | (2) | (17) | |||||||
Net Increase / (Decrease) | 83 | $ 2,225 | (106) | $ (4,023) | 5 | $ 69 | 12 | $ 136 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 160 | $ 3,503 | 295 | $ 5,310 | 7 | $ 105 | 13 | $ 135 | |||||||
Reinvestment of distributions | 6 | 122 | 23 | 428 | — (1) | 2 | — | — | |||||||
Shares repurchased and cross class conversions | (183) | (3,975) | (770) | (12,967) | (—) (1) | (3) | — | — | |||||||
Net Increase / (Decrease) | (17) | $ (350) | (452) | $ (7,229) | 7 | $ 104 | 13 | $ 135 |
KAR International Small-Cap Fund | KAR International Small-Mid Cap Fund | ||||||||||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020(a) | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 20,309 | $ 456,661 | 50,348 | $ 882,925 | 659 | $ 9,625 | 1,691 | $ 17,417 | |||||||
Reinvestment of distributions | 1,018 | 23,007 | 1,672 | 31,331 | 57 | 837 | — | — | |||||||
Shares repurchased and cross class conversions | (9,889) | (219,862) | (44,001) | (719,369) | (40) | (580) | (171) | (1,885) | |||||||
Net Increase / (Decrease) | 11,438 | $ 259,806 | 8,019 | $ 194,887 | 676 | $ 9,882 | 1,520 | $ 15,532 | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 7,083 | $ 156,447 | 3,624 | $ 58,808 | — (1) | $ 2 | 271 | $ 2,706 | |||||||
Reinvestment of distributions | 88 | 1,989 | 50 | 943 | — (1) | — (2) | — | — | |||||||
Shares repurchased and cross class conversions | (483) | (10,919) | (2,175) | (37,671) | — | — | — | — | |||||||
Net Increase / (Decrease) | 6,688 | $ 147,517 | 1,499 | $ 22,080 | — (1) | $ 2 | 271 | $ 2,706 |
Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||||||||||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 519 | $ 10,349 | 778 | $ 12,863 | 67 | $ 787 | 97 | $ 1,056 | |||||||
Reinvestment of distributions | 112 | 2,199 | 108 | 1,870 | 6 | 66 | 16 | 168 | |||||||
Shares repurchased and cross class conversions | (362) | (7,183) | (1,021) | (16,661) | (25) | (296) | (100) | (1,026) | |||||||
Net Increase / (Decrease) | 269 | $ 5,365 | (135) | $ (1,928) | 48 | $ 557 | 13 | $ 198 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 96 | $ 1,551 | 313 | $ 4,232 | 13 | $ 146 | 5 | $ 48 | |||||||
Reinvestment of distributions | 41 | 658 | 44 | 629 | 2 | 25 | 7 | 68 | |||||||
Shares repurchased and cross class conversions | (485) | (7,885) | (753) | (10,308) | (14) | (166) | (24) | (242) | |||||||
Net Increase / (Decrease) | (348) | $ (5,676) | (396) | $ (5,447) | 1 | $ 5 | (12) | $ (126) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 1,222 | $ 24,306 | 4,582 | $ 74,517 | 231 | $ 2,657 | 81 | $ 863 | |||||||
Reinvestment of distributions | 172 | 3,388 | 168 | 2,900 | 19 | 220 | 25 | 268 | |||||||
Shares repurchased and cross class conversions | (861) | (17,106) | (4,091) | (63,762) | (25) | (295) | (75) | (764) | |||||||
Net Increase / (Decrease) | 533 | $ 10,588 | 659 | $ 13,655 | 225 | $ 2,582 | 31 | $ 367 |
Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||||||||||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 413 | $ 8,327 | 1,453 | $ 23,913 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | 86 | 1,700 | 89 | 1,540 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (977) | (19,620) | (737) | (12,598) | — | — | — | — | |||||||
Net Increase / (Decrease) | (478) | $ (9,593) | 805 | $ 12,855 | — | $ — | — | $ — |
(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 | 54 | 3 | |
Duff & Phelps International Real Estate Securities Fund | 71 | 2 | |
Duff & Phelps Real Asset Fund | 28 | 2 | |
FORT Trend Fund | 15 | 1 | |
KAR Emerging Markets Small-Cap Fund | 55 | 3 | |
KAR International Small-Cap Fund | 52 | 4 | |
KAR International Small-Mid Cap Fund | 90 | 2 * | |
Vontobel Greater European Opportunities Fund | 47 | 2 |
* | Includes affiliated shareholder account(s). |
Fund | Sector | Percentage of Total Investments | ||
Duff & Phelps Global Infrastructure Fund | Utilities | 44% | ||
Duff & Phelps Global Infrastructure Fund | Industrials | 31 | ||
KAR Emerging Markets Small-Cap Fund | Industrials | 33 | ||
KAR International Small-Cap Fund | Industrials | 27 | ||
KAR International Small-Mid Cap Fund | Industrials | 30 | ||
Vontobel Global Opportunities Fund | Information Technology | 26 |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Duff & Phelps Global Infrastructure Fund | $ 72,923 | $ 16,105 | $ (2,540) | $ 13,565 | ||||
Duff & Phelps Global Real Estate Securities Fund | 271,338 | 53,339 | (5,446) | 47,893 | ||||
Duff & Phelps International Real Estate Securities Fund | 24,641 | 5,442 | (1,422) | 4,020 | ||||
Duff & Phelps Real Asset Fund | 25,285 | 4,923 | (8,317) | (3,394) | ||||
FORT Trend Fund | 181,067 | 21 | (1,705) | (1,684) | ||||
KAR Emerging Markets Small-Cap Fund | 293,771 | 78,417 | (11,937) | 66,480 | ||||
KAR International Small-Cap Fund | 2,132,373 | 647,531 | (69,227) | 578,304 | ||||
KAR International Small-Mid Cap Fund | 30,093 | 7,552 | (157) | 7,709 | ||||
Vontobel Global Opportunities Fund | 263,714 | 151,892 | (1,397) | 150,495 | ||||
Vontobel Greater European Opportunities Fund | 5,698 | 2,140 | (62) | 2,078 |
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 | — |
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) | |||
Vontobel Global Opportunities Fund | 123 | — | — | — |
and Statutory Prospectus, each dated February 1, 2021
1 Year | 5 Year | 10 Years | |
Class I | |||
Return Before Taxes | -2.71% | 4.43% | 2.25% |
Return After Taxes on Distributions | -2.82% | 3.81% | 1.79% |
Return After Taxes on Distributions and Sale of Fund Shares | -1.36% | 3.32% | 1.70% |
Class A | |||
Return Before Taxes | -8.26% | 3.00% | 1.42% |
Class C | |||
Return Before Taxes | -3.69% | 3.38% | 1.22% |
MSCI All-Country World Index (net) (reflects no deduction for fees, expenses or taxes) | 16.25% | 12.26% | 9.13% |
S&P 500® Index (reflects no deduction for fees, expenses or taxes) | 18.40% | 15.22% | 13.88% |
Prospectuses for future reference.
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.
8638 | 05-21 |
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President, Virtus Funds
Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,209.80 | 1.40 % | $ 7.71 | |||
Class C | 1,000.00 | 1,205.20 | 2.11 | 11.60 | |||
Class I | 1,000.00 | 1,211.40 | 1.11 | 6.12 | |||
Class R6 | 1,000.00 | 1,213.40 | 0.79 | 4.36 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,017.95 | 1.40 % | $ 7.04 | |||
Class C | 1,000.00 | 1,014.41 | 2.11 | 10.60 | |||
Class I | 1,000.00 | 1,019.40 | 1.11 | 5.59 | |||
Class R6 | 1,000.00 | 1,020.99 | 0.79 | 3.98 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
March 31, 2021
Industrial | 14% |
Apartments | 13 |
Data Centers | 11 |
Office | 11 |
Health Care | 10 |
Free Standing | 8 |
Self Storage | 7 |
Other | 26 |
Total | 100% |
Shares | Value | ||
Common Stocks—99.1% | |||
Real Estate Investment Trusts—99.1% | |||
Data Centers—11.4% | |||
CyrusOne, Inc. | 223,678 | $ 15,148 | |
Equinix, Inc. | 57,631 | 39,165 | |
54,313 | |||
Diversified—3.1% | |||
VEREIT, Inc. | 378,480 | 14,617 | |
Health Care—9.6% | |||
Healthcare Trust of America, Inc. Class A | 469,400 | 12,946 | |
Healthpeak Properties, Inc. | 512,600 | 16,270 | |
Welltower, Inc. | 236,580 | 16,946 | |
46,162 | |||
Industrial/Office—23.8% | |||
Industrial—14.2% | |||
Duke Realty Corp. | 521,193 | 21,854 |
Shares | Value | ||
Industrial/Office—continued | |||
Industrial—continued | |||
Prologis, Inc. | 371,744 | $ 39,405 | |
Rexford Industrial Realty, Inc. | 130,125 | 6,558 | |
67,817 | |||
Office—9.6% | |||
Alexandria Real Estate Equities, Inc. | 54,734 | 8,993 | |
Boston Properties, Inc. | 119,800 | 12,131 | |
Cousins Properties, Inc. | 462,603 | 16,353 | |
Douglas Emmett, Inc. | 274,668 | 8,624 | |
46,101 | |||
Total Industrial/Office | 113,918 | ||
Lodging/Resorts—3.5% | |||
Host Hotels & Resorts, Inc.(1) | 323,294 | 5,447 | |
RLJ Lodging Trust | 357,605 | 5,536 |
Shares | Value | ||
Lodging/Resorts—continued | |||
Ryman Hospitality Properties, Inc.(1) | 76,760 | $ 5,950 | |
16,933 | |||
Residential—22.3% | |||
Apartments—12.6% | |||
Apartment Income REIT Corp. | 265,495 | 11,353 | |
AvalonBay Communities, Inc. | 111,715 | 20,613 | |
Equity Residential | 220,054 | 15,762 | |
Mid-America Apartment Communities, Inc. | 86,480 | 12,484 | |
60,212 | |||
Manufactured Homes—4.3% | |||
Sun Communities, Inc. | 138,065 | 20,715 | |
Single Family Homes—5.4% | |||
American Homes 4 Rent Class A | 512,900 | 17,100 | |
Invitation Homes, Inc. | 267,360 | 8,553 | |
25,653 | |||
Total Residential | 106,580 | ||
Retail—15.6% | |||
Free Standing—5.3% | |||
Spirit Realty Capital, Inc. | 346,893 | 14,743 | |
STORE Capital Corp. | 315,050 | 10,554 | |
25,297 | |||
Regional Malls—3.4% | |||
Simon Property Group, Inc. | 144,741 | 16,467 | |
Shopping Centers—6.9% | |||
Brixmor Property Group, Inc. | 671,356 | 13,582 |
Shares | Value | ||
Shopping Centers—continued | |||
Regency Centers Corp. | 209,100 | $ 11,858 | |
Weingarten Realty Investors | 277,600 | 7,470 | |
32,910 | |||
Total Retail | 74,674 | ||
Self Storage—7.1% | |||
CubeSmart | 469,450 | 17,759 | |
Extra Space Storage, Inc. | 124,129 | 16,454 | |
34,213 | |||
Specialty—2.7% | |||
SBA Communications, Corp. | 25,600 | 7,105 | |
VICI Properties, Inc. | 203,800 | 5,755 | |
12,860 | |||
Total Common Stocks (Identified Cost $299,653) | 474,270 | ||
Total Long-Term Investments—99.1% (Identified Cost $299,653) | 474,270 | ||
TOTAL INVESTMENTS—99.1% (Identified Cost $299,653) | $474,270 | ||
Other assets and liabilities, net—0.9% | 4,092 | ||
NET ASSETS—100.0% | $478,362 |
Abbreviation: | |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | Non-income producing. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $474,270 | $474,270 | |
Total Investments | $474,270 | $474,270 |
Assets | |
Investment in securities at value(1) | $ 474,270 |
Cash | 3,324 |
Receivables | |
Investment securities sold | 480 |
Fund shares sold | 499 |
Dividends | 1,855 |
Prepaid Trustees’ retainer | 3 |
Prepaid expenses | 40 |
Other assets | 43 |
Total assets | 480,514 |
Liabilities | |
Payables | |
Fund shares repurchased | 1,050 |
Investment securities purchased | 529 |
Investment advisory fees | 284 |
Distribution and service fees | 32 |
Administration and accounting fees | 39 |
Transfer agent and sub-transfer agent fees and expenses | 129 |
Professional fees | 18 |
Trustee deferred compensation plan | 43 |
Interest expense and/or commitment fees | 1 |
Other accrued expenses | 27 |
Total liabilities | 2,152 |
Net Assets | $ 478,362 |
Net Assets Consist of: | |
Capital paid in on shares of beneficial interest | $ 306,006 |
Accumulated earnings (loss) | 172,356 |
Net Assets | $ 478,362 |
Net Assets: | |
Class A | $ 129,459 |
Class C | $ 6,035 |
Class I | $ 211,170 |
Class R6 | $ 131,698 |
Shares Outstanding (unlimited number of shares authorized, no par value): | |
Class A | 5,989,307 |
Class C | 279,688 |
Class I | 9,804,283 |
Class R6 | 6,090,700 |
Net Asset Value and Redemption Price Per Share:* | |
Class A | $ 21.62 |
Class C | $ 21.58 |
Class I | $ 21.54 |
Class R6 | $ 21.62 |
Maximum Offering Price per Share (NAV/(1-5.50%**)): | |
Class A | $ 22.88 |
(1) Investment in securities at cost | $ 299,653 |
* | Net Asset Value and Redemption Price Per Share are calculated using unrounded net assets. |
** | Maximum sales charge. |
Investment Income | |
Dividends | $ 6,284 |
Total investment income | 6,284 |
Expenses | |
Investment advisory fees | 1,822 |
Distribution and service fees, Class A | 187 |
Distribution and service fees, Class C | 36 |
Administration and accounting fees | 249 |
Transfer agent fees and expenses | 108 |
Sub-transfer agent fees and expenses, Class A | 146 |
Sub-transfer agent fees and expenses, Class C | 5 |
Sub-transfer agent fees and expenses, Class I | 170 |
Custodian fees | — (1) |
Printing fees and expenses | 34 |
Professional fees | 16 |
Interest expense and/or commitment fees | 1 |
Registration fees | 33 |
Trustees’ fees and expenses | 22 |
Miscellaneous expenses | 29 |
Total expenses | 2,858 |
Less net expenses reimbursed and/or waived by investment adviser(2) | (90) |
Less low balance account fees | — (1) |
Net expenses | 2,768 |
Net investment income (loss) | 3,516 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 8,553 |
Net change in unrealized appreciation (depreciation) on: | |
Investments | 82,585 |
Net realized and unrealized gain (loss) on investments | 91,138 |
Net increase (decrease) in net assets resulting from operations | $94,654 |
(1) | Amount is less than $500. |
(2) | See Note 3D in Notes to Financial Statements. |
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $ 3,516 | $ 7,234 | |
Net realized gain (loss) | 8,553 | 25,755 | |
Net change in unrealized appreciation (depreciation) | 82,585 | (102,595) | |
Increase (decrease) in net assets resulting from operations | 94,654 | (69,606) | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (6,873) | (29,177) | |
Class C | (339) | (1,965) | |
Class I | (11,159) | (63,465) | |
Class R6 | (6,568) | (7,100) | |
Total dividends and distributions to shareholders | (24,939) | (101,707) | |
Change in Net Assets from Capital Transactions | |||
Shares sold and cross class conversions: | |||
Class A (450 and 5,966 shares, respectively) | 9,210 | 114,435 | |
Class C (16 and 49 shares, respectively) | 331 | 1,039 | |
Class I (887 and 3,463 shares, respectively) | 18,078 | 69,626 | |
Class R6 (4,136 and 1,121 shares, respectively) | 79,426 | 22,360 | |
Reinvestment of distributions: | |||
Class A (332 and 1,331 shares, respectively) | 6,663 | 28,097 | |
Class C (17 and 87 shares, respectively) | 338 | 1,842 | |
Class I (549 and 3,010 shares, respectively) | 11,011 | 63,323 | |
Class R6 (326 and 338 shares, respectively) | 6,564 | 7,090 | |
Shares repurchased and cross class conversions: | |||
Class A ((5,917) and (2,822) shares, respectively) | (118,591) | (58,871) | |
Class C ((141) and (218) shares, respectively) | (2,917) | (4,382) | |
Class I ((6,147) and (6,185) shares, respectively) | (119,681) | (128,253) | |
Class R6 ((695) and (615) shares, respectively) | (14,327) | (12,604) | |
Increase (decrease) in net assets from capital transactions | (123,895) | 103,702 | |
Net increase (decrease) in net assets | (54,180) | (67,611) | |
Net Assets | |||
Beginning of period | 532,542 | 600,153 | |
End of Period | $ 478,362 | $ 532,542 |
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 | |||||||
10/1/20 to 3/31/21(6) | $18.82 | 0.18 | 3.68 | 3.86 | (0.32) | (0.74) | (1.06) |
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 | |||||||
10/1/20 to 3/31/21(6) | $18.79 | 0.14 | 3.64 | 3.78 | (0.25) | (0.74) | (0.99) |
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 | |||||||
10/1/20 to 3/31/21(6) | $18.76 | 0.14 | 3.74 | 3.88 | (0.36) | (0.74) | (1.10) |
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 | |||||||
10/1/20 to 3/31/21(6) | $18.81 | 0.10 | 3.83 | 3.93 | (0.38) | (0.74) | (1.12) |
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(2) |
2.80 | $21.62 | 20.98 % | $129,459 | 1.40 % | 1.40 % | 1.81 % | 5 % |
(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 (7) | 331,957 | 1.39 (7) | 1.39 | 1.21 (7) | 20 |
(1.58) | 36.87 | 15.58 | 530,135 | 1.39 (8) | 1.39 | 1.29 | 31 |
2.79 | $21.58 | 20.52 % | $ 6,035 | 2.11 % | 2.11 % | 1.41 % | 5 % |
(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) (7) | 43,219 | 2.13 (7) | 2.13 | 0.48 (7) | 20 |
(1.60) | 36.77 | 14.70 | 67,216 | 2.15 (8) | 2.15 | 0.55 | 31 |
2.78 | $21.54 | 21.14 % | $211,170 | 1.11 % | 1.11 % | 1.43 % | 5 % |
(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 (7) | 539,098 | 1.13 (7) | 1.13 | 1.49 (7) | 20 |
(1.59) | 36.83 | 15.85 | 619,818 | 1.14 (8) | 1.14 | 1.52 | 31 |
2.81 | $21.62 | 21.34 % | $131,698 | 0.79 % | 0.95 % | 0.98 % | 5 % |
(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 (9) | 0.95 | 2.11 | 30 |
(3.67) | 26.72 | 4.50 | 26,210 | 0.93 (9) | 0.95 | 1.75 | 12 |
(6.45) | 30.39 | 1.06 (7) | 19,880 | 0.98 (7) | 0.98 | 1.62 (7) | 20 |
(1.58) | 36.84 | 16.06 | 21,604 | 0.98 (8) | 0.98 | 1.93 | 31 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Sales charges, where applicable, are not reflected in the total return calculation. |
(4) | Annualized for periods less than one year. |
(5) | The Fund will also indirectly bear its prorated share of expenses of any underlying funds in which it invests. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | State Street Bank & Trust, custodian for the Fund through January 29, 2010, reimbursed the Fund for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses to Average Net Assets and increase the Ratio of Net Investment Income (Loss) to Average Net Assets by 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) | 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 March 31, 2021, 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 which 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 |
Effective October 1, 2020, the Fund may resume loaning 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”) which 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. | |
At March 31, 2021, the Fund did not loan securities. |
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 February 1, 2022. Following the contractual period, the Adviser may discontinue this expense reimbursement arrangement at any time. The waivers and reimbursements are accrued 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 | 2024 | Total | |||||
Class R6 | $4 | $26 | $64 | $90 | $184 | ||||
E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of the Fund’s shares. VP Distributors has advised the Fund that for the six months (the “period”) ended March 31, 2021, it retained net commissions of $2 for Class A shares and CDSC of $—* for Class C shares. | |
In addition, the Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the following annual rates: 0.25% for Class A shares and 1.00% for Class C shares. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. | |
* Amount is less than $500. | |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as administrator and transfer agent to the Fund. | |
For the period ended March 31, 2021, the Fund incurred administration fees totaling $227 which are included in the Statement of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
For the period ended March 31, 2021, the Fund incurred transfer agent fees totaling $102 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. | Investments in Affiliates |
The Fund is permitted to purchase assets from or sell assets to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Fund from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. | |
During the period ended March 31, 2021, the Fund did not engage in Rule 17a-7 of the 1940 Act transactions. |
H. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statement of Assets and Liabilities at March 31, 2021. |
Purchases | Sales | |
$24,297 | $152,445 |
% of Shares Outstanding | Number of Accounts* | |
27% | 2 |
* | The shareholders are not affiliated with Virtus. |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$305,479 | $169,756 | $ (965) | $168,791 |
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.
8023 | 05-21 |
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President, Virtus Funds
Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,078.00 | 1.39 % | $ 7.20 | |||
Class C | 1,000.00 | 1,074.50 | 2.05 | 10.60 | |||
Class I | 1,000.00 | 1,079.80 | 1.07 | 5.55 | |||
Class R6 | 1,000.00 | 1,080.20 | 0.95 | 4.93 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,018.00 | 1.39 % | $ 6.99 | |||
Class C | 1,000.00 | 1,014.71 | 2.05 | 10.30 | |||
Class I | 1,000.00 | 1,019.60 | 1.07 | 5.39 | |||
Class R6 | 1,000.00 | 1,020.19 | 0.95 | 4.78 |
* | 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 (182) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
March 31, 2021
Information Technology | 23% |
Industrials | 23 |
Consumer Staples | 15 |
Consumer Discretionary | 15 |
Health Care | 13 |
Financials | 4 |
Materials | 4 |
Other | 3 |
Total | 100% |
Shares | Value | ||
Common Stocks—98.2% | |||
Communication Services—2.8% | |||
CTS Eventim AG & Co. KGaA (Germany)(1) | 255,490 | $ 14,813 | |
NetEase, Inc. (China) | 712,196 | 14,493 | |
29,306 | |||
Consumer Discretionary—14.7% | |||
adidas AG (Germany)(1) | 80,128 | 25,014 | |
Ferrari NV (Italy) | 152,729 | 31,943 | |
Flutter Entertainment plc (Ireland)(1) | 152,315 | 32,741 | |
LVMH Moet Hennessy Louis Vuitton SE (France) | 53,786 | 35,833 | |
Yum China Holdings, Inc. (China) | 538,313 | 31,437 | |
156,968 | |||
Consumer Staples—14.7% | |||
Asahi Group Holdings Ltd. (Japan) | 384,166 | 16,186 | |
Budweiser Brewing Co. APAC Ltd. (Hong Kong) | 9,434,504 | 28,155 | |
Diageo plc (United Kingdom) | 678,108 | 27,947 |
Shares | Value | ||
Consumer Staples—continued | |||
Mondelez International, Inc. Class A (United States) | 289,357 | $ 16,936 | |
Nestle S.A. Registered Shares (Switzerland) | 335,193 | 37,358 | |
Unilever plc (United Kingdom) | 546,229 | 30,478 | |
157,060 | |||
Financials—4.4% | |||
Housing Development Finance Corp., Ltd. (India) | 921,257 | 31,477 | |
London Stock Exchange Group plc (United Kingdom) | 164,467 | 15,735 | |
47,212 | |||
Health Care—12.6% | |||
Alcon, Inc. (Switzerland)(1) | 436,967 | 30,597 | |
Eurofins Scientific SE (Luxembourg)(1) | 399,988 | 38,234 | |
Hoya Corp. (Japan) | 280,164 | 32,906 | |
Medtronic plc (United States) | 137,289 | 16,218 |
Shares | Value | ||
Health Care—continued | |||
Sartorius Stedim Biotech (France) | 40,047 | $ 16,493 | |
134,448 | |||
Industrials—22.1% | |||
Ashtead Group plc (United Kingdom) | 523,401 | 31,222 | |
Boyd Group Services, Inc. (Canada) | 126,077 | 21,363 | |
Canadian National Railway Co. (Canada) | 259,357 | 30,098 | |
Experian plc (Ireland) | 633,592 | 21,811 | |
IMCD NV (Netherlands) | 115,054 | 15,988 | |
Rentokil Initial plc (United Kingdom)(1) | 4,229,699 | 28,246 | |
Safran SA (France)(1) | 115,448 | 15,711 | |
Techtronic Industries Co., Ltd. (Hong Kong) | 1,058,143 | 18,103 | |
Teleperformance (France) | 59,204 | 21,578 | |
Wolters Kluwer NV (Netherlands) | 370,119 | 32,171 | |
236,291 | |||
Information Technology—22.9% | |||
Adyen NV (Netherlands)(1) | 9,087 | 20,284 | |
Constellation Software, Inc. (Canada) | 27,352 | 38,199 | |
Douzone Bizon Co., Ltd. (South Korea) | 51,243 | 4,446 | |
Halma plc (United Kingdom) | 1,014,215 | 33,193 | |
Keyence Corp. (Japan) | 46,305 | 21,023 | |
Mastercard, Inc. Class A (United States) | 100,885 | 35,920 | |
Obic Co. Ltd. (Japan) | 148,737 | 27,175 | |
Samsung Electronics Co., Ltd. (South Korea) | 369,032 | 26,542 |
Shares | Value | ||
Information Technology—continued | |||
Tata Consultancy Services Ltd. (India) | 858,901 | $ 37,332 | |
244,114 | |||
Materials—4.0% | |||
Air Liquide SA (France) | 188,878 | 30,855 | |
Asian Paints Ltd. (India) | 336,875 | 11,691 | |
42,546 | |||
Total Common Stocks (Identified Cost $757,118) | 1,047,945 | ||
Total Long-Term Investments—98.2% (Identified Cost $757,118) | 1,047,945 | ||
TOTAL INVESTMENTS—98.2% (Identified Cost $757,118) | $1,047,945 | ||
Other assets and liabilities, net—1.8% | 19,355 | ||
NET ASSETS—100.0% | $1,067,300 |
Footnote Legend: | |
(1) | Non-income producing. |
Country Weightings† | |
United Kingdom | 16% |
France | 12 |
Japan | 9 |
Canada | 9 |
India | 8 |
Netherlands | 7 |
United States | 6 |
Other | 33 |
Total | 100% |
† % of total investments as of March 31, 2021. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $1,047,945 | $1,047,945 | |
Total Investments | $1,047,945 | $1,047,945 |
Assets | |
Investment in securities at value(1) | $ 1,047,945 |
Foreign currency at value(2) | 158 |
Cash | 21,930 |
Receivables | |
Investment securities sold | 5,731 |
Fund shares sold | 851 |
Dividends | 922 |
Tax reclaims | 2,075 |
Prepaid Trustees’ retainer | 10 |
Prepaid expenses | 50 |
Other assets | 97 |
Total assets | 1,079,769 |
Liabilities | |
Payables | |
Fund shares repurchased | 1,121 |
Investment securities purchased | 8,252 |
Foreign capital gains tax | 1,784 |
Investment advisory fees | 750 |
Distribution and service fees | 59 |
Administration and accounting fees | 85 |
Transfer agent and sub-transfer agent fees and expenses | 202 |
Professional fees | 34 |
Trustee deferred compensation plan | 97 |
Interest expense and/or commitment fees | 2 |
Other accrued expenses | 83 |
Total liabilities | 12,469 |
Net Assets | $ 1,067,300 |
Net Assets Consist of: | |
Common stock $0.001 par value | $ 33 |
Capital paid in on shares of beneficial interest | 672,717 |
Accumulated earnings (loss) | 394,550 |
Net Assets | $ 1,067,300 |
Net Assets: | |
Class A | $ 189,654 |
Class C | $ 21,148 |
Class I | $ 786,312 |
Class R6 | $ 70,186 |
Shares Outstanding (unlimited number of shares authorized, $0.001 par value): | |
Class A | 5,933,609 |
Class C | 690,152 |
Class I | 24,615,578 |
Class R6 | 2,196,510 |
Net Asset Value and Redemption Price Per Share:* | |
Class A | $ 31.96 |
Class C | $ 30.64 |
Class I | $ 31.94 |
Class R6 | $ 31.95 |
Maximum Offering Price per Share (NAV/(1-5.50%**)): | |
Class A | $ 33.82 |
(1) Investment in securities at cost | $ 757,118 |
(2) Foreign currency at cost | $ 122 |
* | Net Asset Value and Redemption Price Per Share are calculated using unrounded net assets. |
** | Maximum sales charge. |
Investment Income | |
Dividends | $ 3,668 |
Securities lending, net of fees | 1 |
Foreign taxes withheld | (286) |
Total investment income | 3,383 |
Expenses | |
Investment advisory fees | 4,645 |
Distribution and service fees, Class A | 231 |
Distribution and service fees, Class C | 141 |
Administration and accounting fees | 552 |
Transfer agent fees and expenses | 242 |
Sub-transfer agent fees and expenses, Class A | 102 |
Sub-transfer agent fees and expenses, Class C | 12 |
Sub-transfer agent fees and expenses, Class I | 329 |
Custodian fees | 5 |
Printing fees and expenses | 33 |
Professional fees | 26 |
Interest expense and/or commitment fees | 3 |
Registration fees | 38 |
Trustees’ fees and expenses | 44 |
Miscellaneous expenses | 59 |
Total expenses | 6,462 |
Less net expenses reimbursed and/or waived by investment adviser(1) | (226) |
Less low balance account fees | (1) |
Net expenses | 6,235 |
Net investment income (loss) | (2,852) |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 137,272 |
Foreign currency transactions | (244) |
Foreign capital gains tax | (782) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | (48,094) |
Foreign currency transactions | (51) |
Foreign capital gains tax | (1,416) |
Net realized and unrealized gain (loss) on investments | 86,685 |
Net increase (decrease) in net assets resulting from operations | $ 83,833 |
(1) | See Note 3D in Notes to Financial Statements. |
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $ (2,852) | $ (1,006) | |
Net realized gain (loss) | 136,246 | 70,926 | |
Net change in unrealized appreciation (depreciation) | (49,561) | 46,475 | |
Increase (decrease) in net assets resulting from operations | 83,833 | 116,395 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (12,411) | (13,501) | |
Class C | (2,092) | (2,849) | |
Class I | (55,581) | (57,692) | |
Class R6 | (5,866) | (5,387) | |
Total dividends and distributions to shareholders | (75,950) | (79,429) | |
Change in Net Assets from Capital Transactions | |||
Shares sold and cross class conversions: | |||
Class A (599 and 956 shares, respectively) | 19,407 | 28,119 | |
Class C (25 and 63 shares, respectively) | 789 | 1,814 | |
Class I (1,910 and 7,330 shares, respectively) | 61,953 | 204,841 | |
Class R6 (570 and 551 shares, respectively) | 18,544 | 15,995 | |
Reinvestment of distributions: | |||
Class A (349 and 402 shares, respectively) | 11,130 | 12,115 | |
Class C (67 and 89 shares, respectively) | 2,045 | 2,601 | |
Class I (1,683 and 1,843 shares, respectively) | 53,587 | 55,430 | |
Class R6 (171 and 159 shares, respectively) | 5,460 | 4,770 | |
Shares repurchased and cross class conversions: | |||
Class A ((562) and (1,927) shares, respectively) | (18,187) | (54,470) | |
Class C ((391) and (572) shares, respectively) | (12,179) | (15,942) | |
Class I ((3,697) and (9,486) shares, respectively) | (119,715) | (266,050) | |
Class R6 ((1,214) and (315) shares, respectively) | (39,332) | (9,125) | |
Increase (decrease) in net assets from capital transactions | (16,498) | (19,902) | |
Net increase (decrease) in net assets | (8,615) | 17,064 | |
Net Assets | |||
Beginning of period | 1,075,915 | 1,058,851 | |
End of Period | $ 1,067,300 | $ 1,075,915 |
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 | |||||||
10/1/20 to 3/31/21(6) | $31.75 | (0.12) | 2.59 | 2.47 | — | (2.26) | (2.26) |
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 | |||||||
10/1/20 to 3/31/21(6) | $30.62 | (0.23) | 2.51 | 2.28 | — | (2.26) | (2.26) |
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 | |||||||
10/1/20 to 3/31/21(6) | $31.74 | (0.07) | 2.59 | 2.52 | (0.06) | (2.26) | (2.32) |
10/1/19 to 9/30/20 | 30.43 | — (10) | 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 | |||||||
10/1/20 to 3/31/21(6) | $31.76 | (0.06) | 2.60 | 2.54 | (0.09) | (2.26) | (2.35) |
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(2) |
0.21 | $31.96 | 7.80 % | $ 189,654 | 1.39 % | 1.40 % | (0.77) % | 48 % |
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 (7) | 1.44 | 0.38 | 64 |
0.67 | 34.62 | 2.17 | 211,755 | 1.43 | 1.43 | 0.27 | 39 |
4.33 | 33.95 | 15.41 (8) | 278,667 | 1.45 (8) | 1.46 | 0.28 (8) | 31 |
2.41 | 29.62 | 9.77 | 367,684 | 1.44 (9) | 1.45 | 0.68 | 25 |
0.02 | $30.64 | 7.45 % | $ 21,148 | 2.05 % | 2.12 % | (1.45) % | 48 % |
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 (7) | 2.13 | (0.34) | 64 |
0.49 | 33.83 | 1.47 | 75,379 | 2.10 | 2.10 | (0.41) | 39 |
4.11 | 33.34 | 14.55 (8) | 93,166 | 2.19 (8) | 2.20 | (0.39) (8) | 31 |
2.28 | 29.23 | 8.94 | 112,180 | 2.19 (9) | 2.20 | (0.06) | 25 |
0.20 | $31.94 | 7.98 % | $ 786,312 | 1.07 % | 1.11 % | (0.45) % | 48 % |
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 (7) | 1.13 | 0.68 | 64 |
0.67 | 34.70 | 2.48 | 984,802 | 1.12 | 1.12 | 0.57 | 39 |
4.40 | 34.03 | 15.69 (8) | 1,062,609 | 1.19 (8) | 1.20 | 0.64 (8) | 31 |
2.40 | 29.63 | 10.05 | 958,835 | 1.19 (9) | 1.20 | 0.90 | 25 |
0.19 | $31.95 | 8.02 % | $ 70,186 | 0.95 % | 1.03 % | (0.34) % | 48 % |
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 (7) | 1.04 | 0.97 | 64 |
0.66 | 34.72 | 2.55 | 33,573 | 1.03 | 1.03 | 0.66 | 39 |
4.43 | 34.06 | 15.82 (8) | 19,370 | 1.08 (8) | 1.09 | 0.75 (8) | 31 |
2.39 | 29.63 | 10.16 | 6,587 | 1.09 (9) | 1.10 | 1.14 | 25 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Sales charges, where applicable, are not reflected in the total return calculation. |
(4) | Annualized for periods less than one year. |
(5) | The Fund will also indirectly bear its prorated share of expenses of any underlying funds in which it invests. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(8) | State Street Bank & Trust, custodian for the Fund through January 29, 2010, reimbursed the Fund for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses to Average Net Assets and increase the Ratio of Net Investment Income (Loss) to Average Net Assets by 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%. |
(9) | Net expense ratio includes extraordinary proxy expenses. |
(10) | 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 March 31, 2021, 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 which 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 |
Effective October 1, 2020, the Fund may resume loaning 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”) which 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. | |
At March 31, 2021, the Fund did not loan securities. |
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 Limitations |
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 February 1, 2022. Following the contractual period, the Adviser may |
discontinue this expense reimbursement arrangement at any time. The waivers and reimbursements are accrued 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 | 2024 | Total | ||||
Class A | $ 57 | $ 77 | $ 11 | $ 145 | |||
Class C | 32 | 25 | 10 | 67 | |||
Class I | 383 | 415 | 172 | 970 | |||
Class R6 | 34 | 68 | 33 | 135 | |||
Class A |
$ — (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 the Fund’s shares. VP Distributors has advised the Fund that for the six months (the “period”) ended March 31, 2021, it retained net commissions of $6 for Class A shares and CDSC of $-* for Class C shares. | |
In addition, the Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the following annual rates: 0.25% for Class A shares and 1.00% for Class C shares. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the |
relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. | |
* Amount is less than $500. | |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as administrator and transfer agent to the Fund. | |
For the period ended March 31, 2021, the Fund incurred administration fees totaling $506 which are included in the Statement of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
For the period ended March 31, 2021, the Fund incurred transfer agent fees totaling $230 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. | Investments in Affiliates |
The Fund is permitted to purchase assets from or sell assets to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Fund from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. | |
During the period ended March 31, 2021, the Fund did not engage in Rule 17a-7 of the 1940 Act transactions. | |
H. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statement of Assets and Liabilities at March 31, 2021. |
Purchases | Sales | |
$499,497 | $591,321 |
% of Shares Outstanding | Number of Accounts* | |
31% | 1 |
* | The shareholders are not affiliated with Virtus. |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$ 760,057 | $ 307,666 | $ (19,778) | $ 287,888 |
Late Year Ordinary Losses Deferred |
$ 508 |
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.
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President, Virtus Funds
Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,017.50 | 0.96 % | $ 4.83 | |||
Class C | 1,000.00 | 1,018.10 | 1.21 | 6.09 | |||
Class C1 | 1,000.00 | 1,013.50 | 1.71 | 8.58 | |||
Class I | 1,000.00 | 1,020.90 | 0.71 | 3.58 | |||
Class R6 | 1,000.00 | 1,019.10 | 0.55 | 2.77 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,020.14 | 0.96 % | $ 4.84 | |||
Class C | 1,000.00 | 1,018.90 | 1.21 | 6.09 | |||
Class C1 | 1,000.00 | 1,016.40 | 1.71 | 8.60 | |||
Class I | 1,000.00 | 1,021.39 | 0.71 | 3.58 | |||
Class R6 | 1,000.00 | 1,022.19 | 0.55 | 2.77 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
March 31, 2021
Corporate Bonds and Notes | 29% | |
Financials | 7% | |
Energy | 4 | |
Communication Services | 3 | |
Consumer Discretionary | 3 | |
Information Technology | 2 | |
Industrials | 2 | |
Materials | 2 | |
All other Corporate Bonds and Notes | 6 | |
Mortgage-Backed Securities | 27 | |
Asset-Backed Securities | 24 | |
Leveraged Loans | 13 | |
Foreign Government Securities | 4 | |
Securities Lending Collateral | 1 | |
Other | 2 | |
Total | 100% |
Par Value | Value | ||
U.S. Government Securities—0.8% | |||
U.S. Treasury Notes | |||
0.125%, 5/31/22 | $19,155 | $ 19,161 | |
0.250%, 5/31/25 | 17,675 | 17,338 | |
0.625%, 12/31/27 | 15,150 | 14,426 | |
Total U.S. Government Securities (Identified Cost $51,794) | 50,925 | ||
Par Value | Value | ||
Municipal Bond—0.1% | |||
Virginia—0.1% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | $4,455 | $ 4,675 | |
Total Municipal Bond (Identified Cost $4,176) | 4,675 |
Par Value | Value | ||
Foreign Government Securities—3.9% | |||
Arab Republic of Egypt | |||
144A 5.750%, 5/29/24(1) | $ 1,000 | $ 1,048 | |
144A 5.875%, 6/11/25(1)(2) | 5,315 | 5,607 | |
Bolivarian Republic of Venezuela | |||
RegS 7.000%, 12/1/18(3)(4) | 20,999 | 2,047 | |
RegS 7.750%, 10/13/19(3)(4) | 9,851 | 961 | |
Dominican Republic | |||
144A 6.875%, 1/29/26(1) | 4,355 | 5,054 | |
144A 5.950%, 1/25/27(1) | 7,280 | 8,190 | |
Federal Republic of Brazil | |||
2.875%, 6/6/25 | 300 | 303 | |
4.625%, 1/13/28 | 8,370 | 8,844 | |
Kingdom of Saudi Arabia | |||
144A 4.000%, 4/17/25(1) | 15,800 | 17,383 | |
144A 3.250%, 10/26/26(1) | 10,800 | 11,616 | |
144A 2.500%, 2/3/27(1) | 11,000 | 11,353 | |
Republic of Angola 144A 9.500%, 11/12/25(1) | 4,050 | 4,232 | |
Republic of Argentine 0.125%, 7/9/30 | 11,365 | 3,802 | |
Republic of Colombia 4.000%, 2/26/24 | 5,800 | 6,165 | |
Republic of Cote d’Ivoire 144A 6.375%, 3/3/28(1) | 2,900 | 3,143 | |
Republic of Ecuador 144A 0.500%, 7/31/30(1) | 4,755 | 2,770 | |
Republic of Ghana 144A 7.875%, 3/26/27(1) | 4,200 | 4,271 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Republic of Indonesia | |||
144A 3.375%, 4/15/23(1) | $11,800 | $12,380 | |
144A 5.875%, 1/15/24(1) | 14,420 | 16,312 | |
144A 4.125%, 1/15/25(1) | 9,765 | 10,695 | |
144A 4.750%, 1/8/26(1) | 14,300 | 16,185 | |
Republic of Kazakhstan 144A 5.125%, 7/21/25(1) | 1,830 | 2,123 | |
Republic of Kenya 144A 7.000%, 5/22/27(1) | 4,650 | 4,933 | |
Republic of Nigeria 144A 6.500%, 11/28/27(1) | 6,965 | 7,180 | |
Republic of Pakistan 144A 8.250%, 9/30/25(1) | 3,165 | 3,503 | |
Republic of Panama 3.875%, 3/17/28 | 8,650 | 9,450 | |
Republic of Qatar 144A 3.250%, 6/2/26(1) | 4,500 | 4,887 | |
Republic of South Africa 4.850%, 9/27/27 | 8,645 | 8,917 | |
Republic of Turkey | |||
6.350%, 8/10/24 | 12,350 | 12,365 | |
7.375%, 2/5/25 | 4,510 | 4,650 | |
Russian Federation | |||
RegS 4.875%, 9/16/23(4) | 5,200 | 5,665 | |
RegS 4.750%, 5/27/26(4) | 4,800 | 5,376 | |
Sultanate of Oman | |||
144A 4.875%, 2/1/25(1) | 3,300 | 3,437 | |
144A 5.625%, 1/17/28(1) | 10,100 | 10,428 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Ukraine Government 144A 7.750%, 9/1/25(1) | $11,800 | $ 12,817 | |
United Mexican States 4.150%, 3/28/27 | 3,800 | 4,214 | |
Total Foreign Government Securities (Identified Cost $271,432) | 252,306 | ||
Mortgage-Backed Securities—27.0% | |||
Agency—1.1% | |||
Federal National Mortgage Association | |||
Pool #AD6058 4.000%, 8/1/25 | 1,778 | 1,893 | |
Pool #AO5149 3.000%, 6/1/27 | 193 | 204 | |
Pool #AS5927 3.000%, 10/1/30 | 7,702 | 8,141 | |
Pool #AZ4794 3.000%, 10/1/30 | 13,772 | 14,571 | |
Pool #890710 3.000%, 2/1/31 | 5,208 | 5,508 | |
Pool #254549 6.000%, 12/1/32 | 15 | 18 | |
Pool #695237 5.500%, 2/1/33 | 14 | 16 | |
Pool #773385 5.500%, 5/1/34 | 96 | 112 | |
Pool #725762 6.000%, 8/1/34 | 81 | 96 | |
Pool #806318 5.500%, 11/1/34 | 124 | 138 | |
Pool #806328 5.500%, 11/1/34 | 111 | 124 | |
Pool #800267 5.500%, 12/1/34 | 23 | 26 | |
Pool #808018 5.500%, 1/1/35 | 95 | 111 | |
Pool #941322 6.000%, 7/1/37 | 6 | 7 |
Par Value | Value | ||
Agency—continued | |||
Pool #889578 6.000%, 4/1/38 | $ 50 | $ 60 | |
Pool #AC6992 5.000%, 12/1/39 | 1,455 | 1,681 | |
Pool #AD3841 4.500%, 4/1/40 | 2,108 | 2,363 | |
Pool #AD4224 5.000%, 8/1/40 | 2,377 | 2,749 | |
Pool #AE4799 4.000%, 10/1/40 | 34 | 37 | |
Pool #AH4009 4.000%, 3/1/41 | 2,098 | 2,322 | |
Pool #AI2472 4.500%, 5/1/41 | 1,523 | 1,696 | |
Pool #AS6515 4.000%, 1/1/46 | 3,958 | 4,315 | |
Pool #AS9393 4.000%, 4/1/47 | 2,487 | 2,686 | |
Pool #CA4978 3.000%, 1/1/50 | 16,365 | 17,081 | |
Government National Mortgage Association Pool #563381 6.500%, 11/15/31 | 10 | 11 | |
65,966 | |||
Non-Agency—25.9% | |||
ACRES Commercial Realty Corp. 2020-RSO8, A (1 month LIBOR + 1.150%) 144A 1.258%, 3/15/35(1)(5) | 8,667 | 8,667 | |
Adjustable Rate Mortgage Trust 2005-1, 3A1 2.682%, 5/25/35(5) | 1,309 | 1,316 | |
Ajax Mortgage Loan Trust | |||
2021-A, A1 144A 1.065%, 9/25/65(1)(5) | 10,513 | 10,425 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-D, A1 144A 2.956%, 9/25/65(1)(5) | $ 5,819 | $ 5,887 | |
American Homes 4 Rent Trust | |||
2014-SFR3, A 144A 3.678%, 12/17/36(1) | 20,058 | 21,532 | |
2015-SFR1, A 144A 3.467%, 4/17/52(1) | 10,870 | 11,633 | |
AMSR Trust | |||
2020-SFR1, A 144A 1.819%, 4/17/37(1) | 8,627 | 8,729 | |
2020-SFR1, B 144A 2.120%, 4/17/37(1) | 6,739 | 6,766 | |
2020-SFR2, D 144A 3.282%, 7/17/37(1) | 1,680 | 1,732 | |
2020-SFR3, B 144A 1.806%, 9/17/37(1) | 4,362 | 4,341 | |
Angel Oak Mortgage Trust I LLC | |||
2018-3, A1 144A 3.649%, 9/25/48(1)(5) | 2,047 | 2,066 | |
2019-2, A1 144A 3.628%, 3/25/49(1)(5) | 3,240 | 3,300 | |
Angel Oak Mortgage Trust LLC | |||
2019-3, A1 144A 2.930%, 5/25/59(1)(5) | 4,025 | 4,048 | |
2020-6, A1 144A 1.261%, 5/25/65(1)(5) | 5,827 | 5,846 | |
2020-4, A1 144A 1.469%, 6/25/65(1)(5) | 14,260 | 14,311 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(1)(5) | 23,590 | 23,691 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(5) | 8,821 | 9,041 | |
2019-2, A1 144A 3.347%, 4/25/49(1)(5) | 8,951 | 9,140 | |
Banc of America Funding Trust | |||
2004-B, 2A1 2.673%, 11/20/34(5) | 237 | 257 | |
2004-D, 5A1 2.770%, 1/25/35(5) | 1,623 | 1,657 |
Par Value | Value | ||
Non-Agency—continued | |||
2005-1, 1A1 5.500%, 2/25/35 | $ 207 | $ 213 | |
2006-2, 3A1 6.000%, 3/25/36 | 781 | 788 | |
Bayview Koitere Fund Trust 2017-RT4, A 144A 3.500%, 7/28/57(1)(5) | 4,175 | 4,288 | |
Bayview Opportunity Master Fund IVa Trust | |||
2016-SPL1, B1 144A 4.250%, 4/28/55(1) | 8,108 | 8,474 | |
2017-RT1, A1 144A 3.000%, 3/28/57(1)(5) | 1,719 | 1,746 | |
2017-SPL5, B1 144A 4.000%, 6/28/57(1)(5) | 5,910 | 6,235 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(1)(5) | 5,822 | 6,075 | |
BBCMS Mortgage Trust 2018-TALL, A (1 month LIBOR + 0.722%) 144A 0.828%, 3/15/37(1)(5) | 5,490 | 5,435 | |
BPR Trust 2021-KEN, A (1 month LIBOR + 1.250%) 144A 1.356%, 2/15/29(1)(5) | 1,975 | 1,975 | |
BRAVO Residential Funding Trust 2021-A, A1 144A 1.991%, 1/25/24(1)(5)(6) | 9,119 | 9,111 | |
Bunker Hill Loan Depositary Trust 2019-2, A1 144A 2.879%, 7/25/49(1)(5) | 4,886 | 5,002 |
Par Value | Value | ||
Non-Agency—continued | |||
BX Commercial Mortgage Trust | |||
2019-XL, C (1 month LIBOR + 1.250%) 144A 1.356%, 10/15/36(1)(5) | $ 7,331 | $ 7,331 | |
2020-BXLP, D (1 month LIBOR + 1.250%) 144A 1.356%, 12/15/36(1)(5) | 9,047 | 9,039 | |
BX Trust | |||
2018-GW, B (1 month LIBOR + 1.020%) 144A 1.126%, 5/15/35(1)(5) | 19,910 | 19,898 | |
2019-OC11, B 144A 3.605%, 12/9/41(1) | 5,000 | 5,317 | |
2019-OC11, D 144A 4.075%, 12/9/41(1)(5) | 5,615 | 5,832 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(1) | 10,007 | 10,081 | |
Chase Home Lending Mortgage Trust 2019-ATR1, A4 144A 4.000%, 4/25/49(1)(5) | 173 | 173 | |
CHC Commercial Mortgage Trust 2019-CHC, A (1 month LIBOR + 1.120%) 144A 1.226%, 6/15/34(1)(5) | 17,536 | 17,442 | |
CHL Mortgage Pass-Through Trust 2004-6, 1A2 3.273%, 5/25/34(5) | 387 | 389 | |
Citigroup Commercial Mortgage Trust | |||
2019-SST2, A (1 month LIBOR + 0.920%) 144A 1.026%, 12/15/36(1)(5) | 7,195 | 7,197 |
Par Value | Value | ||
Non-Agency—continued | |||
2015-GC27, A4 2.878%, 2/10/48 | $ 8,835 | $ 9,218 | |
Citigroup Mortgage Loan Trust 2013-A, A 144A 3.000%, 5/25/42(1)(5) | 4,285 | 4,307 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2004-NCM2, 2CB2 6.750%, 8/25/34 | 5,598 | 6,060 | |
2014-A, A 144A 4.000%, 1/25/35(1)(5) | 2,787 | 2,934 | |
2015-PS1, A1 144A 3.750%, 9/25/42(1)(5) | 1,703 | 1,752 | |
2019-IMC1, A1 144A 2.720%, 7/25/49(1)(5) | 1,777 | 1,810 | |
2015-A, A1 144A 3.500%, 6/25/58(1)(5) | 336 | 341 | |
2020-EXP1, A1B 144A 1.804%, 5/25/60(1)(5) | 9,313 | 9,336 | |
2018-RP1, A1 144A 3.000%, 9/25/64(1)(5) | 9,156 | 9,439 | |
2019-RP1, A1 144A 3.500%, 1/25/66(1)(5) | 9,912 | 10,405 | |
COLT Mortgage Loan Trust Funding LLC | |||
2020-1, A1 144A 2.488%, 2/25/50(1)(5) | 9,098 | 9,182 | |
2020-1R, A1 144A 1.255%, 9/25/65(1)(5) | 3,250 | 3,263 | |
2020-2R, A1 144A 1.325%, 10/26/65(1)(5) | 4,286 | 4,290 | |
2021-2R, A1 144A 0.798%, 7/27/54(1)(5) | 8,381 | 8,347 | |
COLT Mortgage Pass-Through Certificates 2021-1R, A1 144A 0.857%, 5/25/65(1)(5) | 19,086 | 19,035 |
Par Value | Value | ||
Non-Agency—continued | |||
COLT Trust 2020-RPL1, A1 144A 1.390%, 1/25/65(1)(5) | $11,896 | $11,792 | |
CoreVest American Finance Trust | |||
2017-1, A 144A 2.968%, 10/15/49(1) | 1,461 | 1,471 | |
2020-4, A 144A 1.174%, 12/15/52(1) | 16,640 | 16,413 | |
2018-2, A 144A 4.026%, 11/15/52(1) | 6,255 | 6,685 | |
2020-1, A1 144A 1.832%, 3/15/50(1) | 16,703 | 16,973 | |
2020-3, A 144A 1.358%, 8/15/53(1) | 8,366 | 8,249 | |
Credit Suisse First Boston Mortgage Securities Corp. | |||
2003-27, 5A3 5.250%, 11/25/33 | 108 | 110 | |
2003-AR30, 5A1 2.704%, 1/25/34(5) | 1,601 | 1,622 | |
2004-8, 7A1 6.000%, 12/25/34 | 2,246 | 2,315 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 1.086%, 5/15/36(1)(5) | 27,050 | 27,075 | |
Credit Suisse Mortgage Capital Trust | |||
2013-HYB1, A16 144A 2.929%, 4/25/43(1)(5) | 398 | 405 | |
2014-IVR2, A2 144A 3.762%, 4/25/44(1)(5) | 3,539 | 3,611 | |
2020-RPL4, A1 144A 2.000%, 1/25/60(1)(5) | 19,595 | 20,113 |
Par Value | Value | ||
Non-Agency—continued | |||
2020-NQM1, A1 144A 1.208%, 5/25/65(1)(5) | $ 9,810 | $ 9,852 | |
2021-AFC1, A1 144A 0.830%, 3/25/56(1)(5) | 4,354 | 4,344 | |
2021-NQM1, A1 144A 0.809%, 5/25/65(1)(5) | 6,855 | 6,821 | |
2021-NQM2, A1 144A 1.179%, 2/25/66(1)(5) | 11,420 | 11,420 | |
CSMC Trust 2017-RPL1, A1 144A 2.750%, 7/25/57(1)(5) | 7,123 | 7,392 | |
Deephaven Residential Mortgage Trust | |||
2017-1A, A1 144A 2.725%, 12/26/46(1)(5) | 310 | 309 | |
2017-1A, A2 144A 2.928%, 12/26/46(1)(5) | 79 | 79 | |
2017-2A, A1 144A 2.453%, 6/25/47(1)(5) | 483 | 485 | |
2017-2A, A2 144A 2.606%, 6/25/47(1)(5) | 218 | 219 | |
Ellington Financial Mortgage Trust | |||
2019-2, A3 144A 3.046%, 11/25/59(1)(5) | 4,518 | 4,600 | |
2020-1, A1 144A 2.006%, 5/25/65(1)(5) | 8,260 | 8,383 | |
2020-2, A1 144A 1.178%, 10/25/65(1)(5) | 14,423 | 14,415 | |
2021-1, A2 144A 1.003%, 2/25/66(1)(5) | 3,054 | 3,046 | |
FirstKey Homes Trust | |||
2020-SFR1, B 144A 1.740%, 9/17/25(1) | 7,020 | 6,981 | |
2020-SFR2, A 144A 1.266%, 10/19/37(1) | 6,680 | 6,617 | |
2020-SFR2, B 144A 1.567%, 10/19/37(1) | 21,440 | 21,331 |
Par Value | Value | ||
Non-Agency—continued | |||
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(1)(5) | $ 4,909 | $ 4,976 | |
2018-1, A23 144A 3.500%, 11/25/57(1)(5) | 3,649 | 3,755 | |
2018-2, A41 144A 4.500%, 10/25/58(1)(5) | 1,976 | 1,997 | |
2019-2, A52 144A 3.500%, 6/25/59(1)(5) | 11,385 | 11,693 | |
2019-H1, A1 144A 2.657%, 10/25/59(1)(5) | 4,181 | 4,258 | |
2020-H1, A1 144A 2.310%, 1/25/60(1)(5) | 18,120 | 18,457 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(1)(5) | 7,355 | 7,380 | |
GCT Commercial Mortgage Trust 2021-GCT, A (1 month LIBOR + 0.800%) 144A 0.906%, 2/15/38(1)(5) | 5,700 | 5,701 | |
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(1) | 12,721 | 12,902 | |
GS Mortgage Securities Trust | |||
2020-TWN3, A (1 month LIBOR + 2.000%) 144A 2.106%, 11/15/37(1)(5) | 8,285 | 8,322 | |
2020-GC45, AS 3.173%, 2/13/53(5) | 4,075 | 4,315 | |
Hilton USA Trust 2016-SFP, B 144A 3.323%, 11/5/35(1) | 22,020 | 22,050 | |
Home Partners of America Trust 2020-2, A 144A 1.532%, 1/17/41(1) | 6,977 | 6,827 |
Par Value | Value | ||
Non-Agency—continued | |||
Homeward Opportunities Fund I Trust | |||
2018-2, A1 144A 3.985%, 11/25/58(1)(5) | $13,214 | $13,446 | |
2019-3, A1 144A 2.675%, 11/25/59(1)(5) | 11,418 | 11,558 | |
IMC Home Equity Loan Trust 1997-5, A9 7.310%, 11/20/28 | 1,014 | 1,020 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, AM 144A 3.358%, 6/25/29(1)(5) | 1,955 | 1,982 | |
2014-2, 2A2 144A 3.500%, 6/25/29(1)(5) | 3,140 | 3,207 | |
2014-5, B1 144A 2.930%, 10/25/29(1)(5) | 1,882 | 1,898 | |
2014-5, B2 144A 2.930%, 10/25/29(1)(5) | 886 | 900 | |
2006-A2, 4A1 3.053%, 8/25/34(5) | 384 | 403 | |
2005-A2, 4A1 2.154%, 4/25/35(5) | 295 | 295 | |
2006-A6, 3A3L 2.602%, 10/25/36(5) | 452 | 389 | |
2014-1, 2A12 144A 3.500%, 1/25/44(1)(5) | 1,689 | 1,708 | |
2015-1, AM1 144A 2.126%, 12/25/44(1)(5) | 2,633 | 2,677 | |
2016-SH1, M2 144A 3.750%, 4/25/45(1)(5) | 6,739 | 6,846 | |
2015-5, A2 144A 2.482%, 5/25/45(1)(5) | 3,363 | 3,487 | |
2016-SH2, M2 144A 3.750%, 12/25/45(1)(5) | 8,352 | 8,658 | |
2017-3, 2A2 144A 2.500%, 8/25/47(1)(5) | 3,967 | 4,014 | |
2017-5, A1 144A 3.115%, 10/26/48(1)(5) | 14,671 | 15,090 |
Par Value | Value | ||
Non-Agency—continued | |||
JPMorgan Chase WaMu Mortgage Pass-Through Certificates Trust | |||
2003-AR6, A1 3.072%, 6/25/33(5) | $ 226 | $ 235 | |
2004-CB1, 2A 5.000%, 6/25/34 | 710 | 734 | |
KKR Industrial Portfolio Trust | |||
2021-KDIP, C (1 month LIBOR + 1.000%) 144A 1.106%, 12/15/37(1)(5) | 2,235 | 2,232 | |
2021-KDIP, D (1 month LIBOR + 1.250%) 144A 1.356%, 12/15/37(1)(5) | 5,000 | 5,000 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%) 144A 0.906%, 5/15/36(1)(5) | 5,740 | 5,745 | |
LHOME Mortgage Trust | |||
2019-RTL1, A1 144A 4.580%, 10/25/23(1)(5) | 11,380 | 11,438 | |
2021-RTL1, A1 144A 2.090%, 9/25/26(1)(5) | 10,065 | 10,059 | |
MASTR Alternative Loan Trust | |||
2004-4, 6A1 5.500%, 4/25/34 | 1,044 | 1,075 | |
2004-7, 9A1 6.000%, 8/25/34 | 5,206 | 5,430 | |
2005-2, 2A1 6.000%, 1/25/35 | 1,626 | 1,715 | |
2005-2, 1A1 6.500%, 3/25/35 | 3,993 | 4,175 | |
Mello Warehouse Securitization Trust | |||
2019-1, C (1 month LIBOR + 1.200%) 144A 1.309%, 6/25/52(1)(5) | 18,395 | 18,407 |
Par Value | Value | ||
Non-Agency—continued | |||
2021-1, C (1 month LIBOR + 1.100%) 144A 1.209%, 2/25/55(1)(5) | $ 7,335 | $ 7,334 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.553%, 4/25/55(1)(5) | 7,930 | 8,308 | |
2018-1A, A 144A 3.750%, 3/25/57(1)(5) | 5,072 | 5,312 | |
2019-1A, A1A 144A 3.750%, 4/25/58(1)(5) | 13,961 | 14,504 | |
MFA Trust | |||
2020-NQM3, A1 144A 1.014%, 1/26/65(1)(5) | 6,986 | 6,982 | |
2021-INV1, A1 144A 0.852%, 1/25/56(1)(5) | 4,012 | 3,999 | |
Mill City Mortgage Loan Trust | |||
2017-1, M2 144A 3.250%, 11/25/58(1)(5) | 1,983 | 2,095 | |
2021-NMR1, A1 144A 1.125%, 11/25/60(1)(5) | 9,085 | 9,129 | |
2019-1, M2 144A 3.500%, 10/25/69(1)(5) | 12,131 | 12,714 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2013-C13, AS 4.266%, 11/15/46 | 1,735 | 1,854 | |
Morgan Stanley Capital Barclays Bank Trust 2016-MART, A 144A 2.200%, 9/13/31(1) | 14,805 | 14,814 | |
Morgan Stanley Capital I Trust 2017-CLS, A (1 month LIBOR + 0.700%) 144A 0.806%, 11/15/34(1)(5) | 11,154 | 11,158 |
Par Value | Value | ||
Non-Agency—continued | |||
Morgan Stanley Mortgage Loan Trust 2004-2AR, 3A 2.176%, 2/25/34(5) | $ 486 | $ 512 | |
Morgan Stanley Residential Mortgage Loan Trust 2014-1A, B2 144A 2.522%, 6/25/44(1)(5) | 3,987 | 4,136 | |
National City Mortgage Capital Trust 2008-1, 2A1 6.000%, 3/25/38 | 408 | 412 | |
New Residential Mortgage Loan Trust | |||
2017-2A, A3 144A 4.000%, 3/25/57(1)(5) | 14,679 | 15,665 | |
2018-2A, A1 144A 4.500%, 2/25/58(1)(5) | 11,116 | 11,857 | |
2020-NPL2, A1 144A 3.228%, 8/25/60(1)(5) | 4,350 | 4,385 | |
2014-1A, A 144A 3.750%, 1/25/54(1)(5) | 5,790 | 6,118 | |
2014-2A, A3 144A 3.750%, 5/25/54(1)(5) | 529 | 561 | |
2014-3A, AFX3 144A 3.750%, 11/25/54(1)(5) | 4,911 | 5,231 | |
2015-2A, A1 144A 3.750%, 8/25/55(1)(5) | 5,271 | 5,588 | |
2016-1A, A1 144A 3.750%, 3/25/56(1)(5) | 3,009 | 3,178 | |
2016-2A, A1 144A 3.750%, 11/26/35(1)(5) | 6,997 | 7,410 | |
2016-3A, A1 144A 3.750%, 9/25/56(1)(5) | 3,490 | 3,721 | |
2016-4A, A1 144A 3.750%, 11/25/56(1)(5) | 4,417 | 4,702 | |
2018-1A, A1A 144A 4.000%, 12/25/57(1)(5) | 12,341 | 13,174 | |
2020-1A, A1B 144A 3.500%, 10/25/59(1)(5) | 8,542 | 9,016 |
Par Value | Value | ||
Non-Agency—continued | |||
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%) 1.834%, 3/25/35(5) | $ 628 | $ 631 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(1)(5) | 3,573 | 3,710 | |
2018-1, A2 (1 month LIBOR + 0.650%) 144A 0.759%, 6/25/57(1)(5) | 2,660 | 2,665 | |
2018-EXP2, 1A1 144A 4.000%, 7/25/58(1)(5) | 4,983 | 5,042 | |
2019-EXP3, 1A8 144A 3.500%, 10/25/59(1)(5) | 3,954 | 4,031 | |
2021-NQM1, A1 144A 1.072%, 2/25/66(1)(5)(7) | 8,900 | 8,911 | |
Preston Ridge Partners Mortgage LLC | |||
2020-1A, A1 144A 2.981%, 2/25/25(1)(5) | 14,139 | 14,171 | |
2020-2, A1 144A 3.671%, 8/25/25(1)(5) | 5,016 | 5,072 | |
2020-3, A1 144A 2.857%, 9/25/25(1)(5) | 15,509 | 15,619 | |
2020-6, A1 144A 2.363%, 11/25/25(1)(5) | 8,322 | 8,342 | |
2021-2, A1 144A 2.115%, 3/25/26(1)(5)(6) | 4,000 | 4,000 | |
Pretium Mortgage Credit Partners I LLC | |||
2020-NPL3, A1 144A 3.105%, 6/27/60(1)(5) | 16,353 | 16,512 | |
2021-NPL1, A1 144A 2.240%, 9/27/60(1)(5)(7) | 10,215 | 10,220 |
Par Value | Value | ||
Non-Agency—continued | |||
Progress Residential Trust | |||
2020-SFR2, E 144A 5.115%, 6/17/37(1) | $ 3,250 | $ 3,421 | |
2021-SFR2, D 144A 2.197%, 4/19/38(1) | 11,495 | 11,475 | |
2017-SFR1, B 144A 3.017%, 8/17/34(1) | 4,000 | 4,024 | |
2018-SFR2, B 144A 3.841%, 8/17/35(1) | 9,350 | 9,396 | |
2019-SFR2, A 144A 3.147%, 5/17/36(1) | 16,398 | 16,770 | |
2019-SFR3, B 144A 2.571%, 9/17/36(1) | 10,340 | 10,446 | |
2020-SFR3, A 144A 1.294%, 10/17/27(1) | 3,655 | 3,622 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(1)(5) | 4,338 | 4,386 | |
Provident Funding Mortgage Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.150%) 144A 1.260%, 2/25/55(1)(5)(7) | 11,350 | 11,343 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(1)(5) | 11,052 | 11,266 | |
RCO V Mortgage LLC 2019-2, A1 144A 3.475%, 11/25/24(1)(5) | 10,745 | 10,806 | |
Residential Asset Mortgage Products Trust | |||
2004-SL2, A3 7.000%, 10/25/31 | 757 | 796 | |
2004-SL1, A8 6.500%, 11/25/31 | 1,134 | 1,132 | |
Residential Asset Securitization Trust | |||
2003-A11, A9 5.750%, 11/25/33 | 1,199 | 1,262 |
Par Value | Value | ||
Non-Agency—continued | |||
2004-A1, A5 5.500%, 4/25/34 | $ 4,803 | $ 4,956 | |
Residential Mortgage Loan Trust | |||
2020-1, A1 144A 2.376%, 2/25/24(1)(5) | 7,341 | 7,428 | |
2019-2, A1 144A 2.913%, 5/25/59(1)(5) | 5,819 | 5,924 | |
Seasoned Credit Risk Transfer Trust 2016-1, M1 144A 3.000%, 9/25/55(1)(5) | 2,938 | 2,948 | |
Sequoia Mortgage Trust 2013-8, B1 3.511%, 6/25/43(5) | 3,320 | 3,422 | |
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(1)(5) | 5,911 | 5,996 | |
Spruce Hill Mortgage Loan Trust | |||
2019-SH1, A1 144A 3.395%, 4/29/49(1)(5) | 2,088 | 2,119 | |
2020-SH1, A1 144A 2.521%, 1/28/50(1)(5) | 4,027 | 4,099 | |
STAR Trust 2021-1, A1 144A 1.219%, 5/25/65(1)(5)(7) | 12,515 | 12,515 | |
Starwood Mortgage Residential Trust | |||
2019-IMC1, A1 144A 3.468%, 2/25/49(1)(5) | 11,173 | 11,169 | |
2020-1, A1 144A 2.275%, 2/25/50(1)(5) | 4,652 | 4,738 | |
2020-2, A1 144A 2.718%, 4/25/60(1)(5) | 13,194 | 13,419 | |
2020-3, A1 144A 1.486%, 4/25/65(1)(5) | 9,065 | 9,162 | |
Structured Adjustable Rate Mortgage Loan Trust 2004-14, 7A 2.524%, 10/25/34(5) | 2,893 | 2,991 |
Par Value | Value | ||
Non-Agency—continued | |||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates 2003-34A, 6A 2.521%, 11/25/33(5) | $ 1,051 | $ 1,022 | |
Sutherland Commercial Mortgage Loans 2017-SBC6, A 144A 3.192%, 5/25/37(1)(5) | 1,437 | 1,430 | |
Towd Point Mortgage Trust | |||
2016-4, B1 144A 3.848%, 7/25/56(1)(5) | 8,095 | 8,657 | |
2018-SJ1, M2 144A 4.750%, 10/25/58(1)(5) | 3,000 | 3,066 | |
2015-3, A1B 144A 3.000%, 3/25/54(1)(5) | 46 | 46 | |
2015-5, A2 144A 3.500%, 5/25/55(1)(5) | 3,901 | 3,979 | |
2017-1, M1 144A 3.750%, 10/25/56(1)(5) | 3,665 | 3,933 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(1)(5) | 820 | 820 | |
2018-6, A1B 144A 3.750%, 3/25/58(1)(5) | 1,705 | 1,829 | |
2020-MH1, A2 144A 2.500%, 2/25/60(1)(5) | 14,281 | 14,361 | |
2015-2, 1M1 144A 3.250%, 11/25/60(1)(5) | 8,448 | 8,721 | |
Towd Point Trust | |||
2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 1.009%, 4/25/48(1)(5) | 11,208 | 11,228 | |
2021-HE1, M1 144A 1.500%, 2/25/63(1)(5) | 5,336 | 5,358 | |
Tricon American Homes Trust | |||
2017-SFR1, A 144A 2.716%, 9/17/34(1) | 10,452 | 10,521 |
Par Value | Value | ||
Non-Agency—continued | |||
2020-SFR2, D 144A 2.281%, 11/17/39(1) | $ 5,243 | $ 5,087 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(1) | 7,960 | 8,015 | |
UBS Commercial Mortgage Trust 2012-C1, D 144A 5.570%, 5/10/45(1)(5) | 7,206 | 5,674 | |
VCAT LLC | |||
2020-NPL1, A1 144A 3.671%, 8/25/50(1)(5) | 4,675 | 4,721 | |
2021-NPL1, A1 144A 2.289%, 12/26/50(1)(5) | 11,528 | 11,548 | |
2021-NPL1, A2 144A 4.826%, 12/26/50(1)(5) | 1,600 | 1,597 | |
2021-NPL2, A1 144A 2.115%, 3/27/51(1)(5) | 12,735 | 12,735 | |
Velocity Commercial Capital Loan Trust | |||
2017-1, AFX 144A 3.000%, 5/25/47(1)(5) | 17 | 17 | |
2020-1, AFX 144A 2.610%, 2/25/50(1)(5) | 10,692 | 10,814 | |
Vericrest Opportunity Loan Transferee 2021-NPL7, A1 144A 2.116%, 4/25/51(1)(5) | 11,830 | 11,830 | |
Vericrest Opportunity Loan Trust | |||
2020-NPL2, A1A 144A 2.981%, 2/25/50(1)(5) | 8,853 | 8,883 | |
2020-NPL5, A2 144A 3.967%, 3/25/50(1)(5) | 3,760 | 3,682 |
Par Value | Value | ||
Non-Agency—continued | |||
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(1)(5) | $15,432 | $15,430 | |
Vericrest Opportunity Loan Trust XCIV LLC 2021-NPL3, A1 144A 2.240%, 2/27/51(1)(5) | 7,766 | 7,760 | |
Vericrest Opportunity Loan Trust XCV LLC 2021-NPL4, A1 144A 2.240%, 3/27/51(1)(5) | 9,355 | 9,349 | |
Verus Securitization Trust | |||
2019-2, A1 144A 3.211%, 5/25/59(1)(5) | 9,167 | 9,189 | |
2019-INV1, A1 144A 3.402%, 12/25/59(1)(5) | 7,769 | 7,861 | |
2019-INV2, A1 144A 2.913%, 7/25/59(1)(5) | 13,644 | 13,902 | |
2020-1, A1 144A 2.417%, 1/25/60(1)(5) | 10,429 | 10,541 | |
2020-4, A1 144A 1.502%, 5/25/65(1)(5) | 21,187 | 21,359 | |
2021-1, A1 144A 0.815%, 1/25/66(1)(5) | 3,537 | 3,524 | |
2021-R1, A1 144A 0.820%, 10/25/63(1)(5) | 15,720 | 15,710 | |
2021-R2, A1 144A 0.918%, 2/25/64(1)(5)(7) | 10,552 | 10,558 | |
Visio Trust 2019-1, A1 144A 3.572%, 6/25/54(1)(5) | 2,029 | 2,042 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 6,689 | 7,081 |
Par Value | Value | ||
Non-Agency—continued | |||
Wells Fargo Mortgage Backed Securities Trust | |||
2004-U, A1 3.273%, 10/25/34(5) | $ 252 | $ 250 | |
2020-4, A1 144A 3.000%, 7/25/50(1)(5) | 6,042 | 6,146 | |
1,649,831 | |||
Total Mortgage-Backed Securities (Identified Cost $1,700,629) | 1,715,797 | ||
Asset-Backed Securities—23.8% | |||
Automobiles—13.0% | |||
ACC Trust | |||
2019-1, A 144A 3.750%, 5/20/22(1) | 1,389 | 1,394 | |
2019-1, B 144A 4.470%, 10/20/22(1) | 3,355 | 3,403 | |
2019-2, A 144A 2.820%, 2/21/23(1) | 1,231 | 1,239 | |
2019-2, B 144A 3.630%, 8/21/23(1) | 8,030 | 8,180 | |
2020-A, A 144A 6.000%, 3/20/23(1) | 6,933 | 7,145 | |
American Credit Acceptance Receivables Trust | |||
2018-3, C 144A 3.750%, 10/15/24(1) | 667 | 668 | |
2018-4, C 144A 3.970%, 1/13/25(1) | 959 | 966 | |
2019-1, C 144A 3.500%, 4/14/25(1) | 7,571 | 7,673 | |
2019-2, C 144A 3.170%, 6/12/25(1) | 12,600 | 12,766 | |
2020-4, D 144A 1.770%, 12/14/26(1) | 13,725 | 13,946 | |
2021-1, C 144A 0.830%, 3/15/27(1) | 11,335 | 11,297 |
Par Value | Value | ||
Automobiles—continued | |||
AmeriCredit Automobile Receivables Trust | |||
2017-1, C 2.710%, 8/18/22 | $ 1,751 | $ 1,757 | |
2018-1, D 3.820%, 3/18/24 | 8,090 | 8,471 | |
2019-1, C 3.360%, 2/18/25 | 8,800 | 9,182 | |
Arivo Acceptance Auto Loan Receivables Trust 2021-1A, A 144A 1.190%, 1/15/27(1) | 16,574 | 16,637 | |
Avid Automobile Receivables Trust | |||
2018-1, B 144A 3.850%, 7/15/24(1) | 2,538 | 2,541 | |
2019-1, C 144A 3.140%, 7/15/26(1) | 3,180 | 3,263 | |
2019-1, D 144A 4.030%, 7/15/26(1) | 1,615 | 1,642 | |
Avis Budget Rental Car Funding LLC | |||
(AESOP) 2017-1A, A 144A 3.070%, 9/20/23(1) | 2,260 | 2,332 | |
(AESOP) 2019-3A, A 144A 2.360%, 3/20/26(1) | 8,205 | 8,537 | |
(AESOP) 2020-1A, A 144A 2.330%, 8/20/26(1) | 8,025 | 8,332 | |
(AESOP) 2020-2A, A 144A 2.020%, 2/20/27(1) | 9,980 | 10,183 | |
California Republic Auto Receivables Trust 2017-1, B 2.910%, 12/15/22 | 6,092 | 6,116 | |
Capital Auto Receivables Asset Trust | |||
2017-1, C 144A 2.700%, 9/20/22(1) | 3,630 | 3,653 |
Par Value | Value | ||
Automobiles—continued | |||
2017-1, D 144A 3.150%, 2/20/25(1) | $ 1,980 | $ 1,999 | |
Carnow Auto Receivables Trust 2019-1A, D 144A 4.620%, 12/16/24(1) | 4,140 | 4,259 | |
CarNow Auto Receivables Trust 2020-1A, B 144A 2.710%, 7/17/23(1) | 3,320 | 3,359 | |
Carvana Auto Receivables Trust | |||
2019-1A, D 144A 3.880%, 10/15/24(1) | 6,620 | 6,893 | |
2019-1A, E 144A 5.640%, 1/15/26(1) | 6,400 | 6,810 | |
2019-2A, D 144A 3.280%, 1/15/25(1) | 8,750 | 9,078 | |
2019-3A, C 144A 2.710%, 10/15/24(1) | 6,990 | 7,183 | |
2019-3A, D 144A 3.040%, 4/15/25(1) | 4,340 | 4,501 | |
2020-N1A, D 144A 3.430%, 1/15/26(1) | 11,730 | 12,222 | |
2020-P1, C 1.320%, 11/9/26 | 2,250 | 2,236 | |
2021-N1, C 1.300%, 1/10/28 | 8,500 | 8,493 | |
CIG Auto Receivables Trust | |||
2020-1A, D 144A 2.350%, 1/12/26(1) | 7,910 | 8,034 | |
2020-1A, E 144A 4.430%, 2/12/27(1) | 2,415 | 2,488 | |
CPS Auto Receivables Trust | |||
2018-C, D 144A 4.400%, 6/17/24(1) | 1,440 | 1,485 | |
2020-A, C 144A 2.540%, 12/15/25(1) | 4,200 | 4,293 | |
2020-C, C 144A 1.710%, 8/17/26(1) | 3,995 | 4,067 | |
2021-A, B 144A 0.610%, 2/18/25(1) | 5,110 | 5,110 |
Par Value | Value | ||
Automobiles—continued | |||
2021-A, C 144A 0.830%, 9/15/26(1) | $ 6,500 | $ 6,489 | |
Credit Acceptance Auto Loan Trust | |||
2018-2A, B 144A 3.940%, 7/15/27(1) | 5,500 | 5,546 | |
2019-1A, A 144A 3.330%, 2/15/28(1) | 2,992 | 3,032 | |
2019-3A, B 144A 2.860%, 1/16/29(1) | 10,550 | 10,974 | |
2020-1A, B 144A 2.390%, 4/16/29(1) | 4,650 | 4,788 | |
2020-3A, B 144A 1.770%, 12/17/29(1) | 11,195 | 11,373 | |
2021-2A, A 144A 0.960%, 2/15/30(1) | 3,715 | 3,711 | |
Drive Auto Receivables Trust | |||
2018-4, D 4.090%, 1/15/26 | 13,505 | 13,970 | |
2019-3, C 2.900%, 8/15/25 | 8,240 | 8,440 | |
2019-4, C 2.510%, 11/17/25 | 6,410 | 6,539 | |
DT Auto Owner Trust | |||
2019-1A, C 144A 3.610%, 11/15/24(1) | 3,900 | 3,948 | |
2019-2A, B 144A 2.990%, 4/17/23(1) | 1,968 | 1,976 | |
2019-2A, C 144A 3.180%, 2/18/25(1) | 3,655 | 3,715 | |
2019-4A, C 144A 2.730%, 7/15/25(1) | 13,370 | 13,646 | |
2021-1A, D 144A 1.160%, 11/16/26(1) | 3,930 | 3,914 | |
2021-1A, E 144A 2.380%, 1/18/28(1) | 2,000 | 1,986 | |
Exeter Automobile Receivables Trust | |||
2017-3A, D 144A 5.280%, 10/15/24(1) | 2,430 | 2,526 | |
2018-2A, C 144A 3.690%, 3/15/23(1) | 797 | 798 | |
2018-3A, C 144A 3.710%, 6/15/23(1) | 2,700 | 2,716 | |
2018-4A, D 144A 4.350%, 9/16/24(1) | 13,444 | 13,974 |
Par Value | Value | ||
Automobiles—continued | |||
2019-1A, D 144A 4.130%, 12/16/24(1) | $14,555 | $15,160 | |
2019-2A, C 144A 3.300%, 3/15/24(1) | 6,775 | 6,887 | |
2019-2A, E 144A 4.680%, 5/15/26(1) | 11,735 | 12,406 | |
2019-3A, C 144A 2.790%, 5/15/24(1) | 4,580 | 4,665 | |
2019-4A, C 144A 2.440%, 9/16/24(1) | 5,020 | 5,102 | |
2020-1A, D 144A 2.730%, 12/15/25(1) | 8,775 | 9,037 | |
2021-1A, C 0.740%, 1/15/26 | 9,100 | 9,081 | |
FHF Trust 2020-1A, A 144A 2.590%, 12/15/23(1) | 9,770 | 9,844 | |
First Investors Auto Owner Trust | |||
2017-1A, D 144A 3.600%, 4/17/23(1) | 2,057 | 2,082 | |
2019-1A, C 144A 3.260%, 3/17/25(1) | 4,690 | 4,824 | |
2021-1A, C 144A 1.170%, 3/15/27(1) | 3,000 | 2,999 | |
Flagship Credit Auto Trust | |||
2016-3, D 144A 3.890%, 11/15/22(1) | 3,630 | 3,667 | |
2019-2, C 144A 3.090%, 5/15/25(1) | 2,360 | 2,452 | |
2020-1, C 144A 2.240%, 1/15/26(1) | 13,865 | 14,282 | |
2020-3, C 144A 1.730%, 9/15/26(1) | 3,490 | 3,559 | |
2020-4, C 144A 1.280%, 2/16/27(1) | 5,284 | 5,311 | |
2021-1, C 144A 0.910%, 3/15/27(1) | 2,930 | 2,910 | |
Foursight Capital Automobile Receivables Trust | |||
2018-1, D 144A 4.190%, 11/15/23(1) | 1,630 | 1,671 | |
2018-2, D 144A 4.330%, 7/15/24(1) | 4,650 | 4,860 |
Par Value | Value | ||
Automobiles—continued | |||
GLS Auto Receivables Issuer Trust | |||
2019-2A, A 144A 3.060%, 4/17/23(1) | $ 974 | $ 977 | |
2019-2A, B 144A 3.320%, 3/15/24(1) | 12,130 | 12,347 | |
2019-3A, B 144A 2.720%, 6/17/24(1) | 3,495 | 3,568 | |
2019-3A, D 144A 3.840%, 5/15/26(1) | 3,000 | 3,107 | |
2019-4A, B 144A 2.780%, 9/16/24(1) | 9,835 | 10,071 | |
2019-4A, C 144A 3.060%, 8/15/25(1) | 14,775 | 15,372 | |
2019-4A, D 144A 4.090%, 8/17/26(1) | 3,500 | 3,636 | |
2020-2A, B 144A 3.160%, 6/16/25(1) | 2,560 | 2,674 | |
2020-3A, D 144A 2.270%, 5/15/26(1) | 11,735 | 12,023 | |
2020-3A, E 144A 4.310%, 7/15/27(1) | 18,060 | 18,998 | |
2020-4A, C 144A 1.140%, 11/17/25(1) | 6,955 | 6,985 | |
GLS Auto Receivables Trust | |||
2017-1A, C 144A 3.500%, 7/15/22(1) | 2,671 | 2,679 | |
2018-1A, B 144A 3.520%, 8/15/23(1) | 12,181 | 12,324 | |
2018-3A, B 144A 3.780%, 8/15/23(1) | 1,673 | 1,693 | |
2018-3A, C 144A 4.180%, 7/15/24(1) | 4,740 | 4,912 | |
Hertz Vehicle Financing II LP | |||
2015-3A, A 144A 2.670%, 9/25/21(1) | 3,974 | 3,986 | |
2016-4A, A 144A 2.650%, 7/25/22(1) | 1,667 | 1,675 | |
2018-1A, A 144A 3.290%, 2/25/24(1) | 1,018 | 1,021 |
Par Value | Value | ||
Automobiles—continued | |||
2019-1A, A 144A 3.710%, 3/25/23(1) | $ 1,901 | $ 1,908 | |
Hyundai Auto Receivables Trust 2017-B, B 2.230%, 2/15/23 | 3,560 | 3,588 | |
OneMain Direct Auto Receivables Trust 2018-1A, C 144A 3.850%, 10/14/25(1) | 11,840 | 12,035 | |
Prestige Auto Receivables Trust | |||
2017-1A, C 144A 2.810%, 1/17/23(1) | 3,325 | 3,336 | |
2018-1A, D 144A 4.140%, 10/15/24(1) | 3,785 | 3,921 | |
2019-1A, D 144A 3.010%, 8/15/25(1) | 7,060 | 7,251 | |
2020-1A, C 144A 1.310%, 11/16/26(1) | 10,295 | 10,383 | |
Santander Drive Auto Receivables Trust | |||
2018-2, C 3.350%, 7/17/23 | 4,025 | 4,046 | |
2020-4, C 1.010%, 1/15/26 | 7,500 | 7,525 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(1) | 10,125 | 10,389 | |
TCF Auto Receivables Owner Trust 2016-PT1A, C 144A 3.210%, 1/17/23(1) | 10,900 | 10,911 | |
Tesla Auto Lease Trust | |||
2018-B, B 144A 4.120%, 10/20/21(1) | 2,410 | 2,430 | |
2018-B, C 144A 4.360%, 10/20/21(1) | 3,250 | 3,287 | |
2020-A, C 144A 1.680%, 2/20/24(1) | 3,045 | 3,086 |
Par Value | Value | ||
Automobiles—continued | |||
Tidewater Auto Receivables Trust 2020-AA, C 144A 1.910%, 9/15/26(1) | $10,470 | $ 10,666 | |
United Auto Credit Securitization Trust | |||
2019-1, D 144A 3.470%, 8/12/24(1) | 15,480 | 15,653 | |
2019-1, E 144A 4.290%, 8/12/24(1) | 4,605 | 4,703 | |
2020-1, C 144A 2.150%, 2/10/25(1) | 3,990 | 4,042 | |
2021-1, D 144A 1.140%, 6/10/26(1) | 10,160 | 10,143 | |
US Auto Funding LLC 2019-1A, B 144A 3.990%, 12/15/22(1) | 8,073 | 8,151 | |
USASF Receivables LLC | |||
2020-1A, B 144A 3.220%, 5/15/24(1) | 16,200 | 16,544 | |
2020-1A, C 144A 5.940%, 8/15/24(1) | 3,338 | 3,514 | |
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(1) | 17,745 | 17,913 | |
Westlake Automobile Receivables Trust | |||
2018-2A, D 144A 4.000%, 1/16/24(1) | 10,000 | 10,129 | |
2018-3A, C 144A 3.610%, 10/16/23(1) | 878 | 883 | |
2018-3A, D 144A 4.000%, 10/16/23(1) | 10,900 | 11,187 | |
2020-2A, C 144A 2.010%, 7/15/25(1) | 10,355 | 10,594 | |
2020-3A, C 144A 1.240%, 11/17/25(1) | 11,365 | 11,467 | |
826,426 | |||
Consumer Loans—0.8% | |||
CFMT Issuer Trust 2021-GRN1, A 144A 1.100%, 3/20/41(1) | 3,340 | 3,338 |
Par Value | Value | ||
Consumer Loans—continued | |||
Lendmark Funding Trust 2019-2A, A 144A 2.780%, 4/20/28(1) | $ 8,000 | $ 8,221 | |
LL ABS Trust 2020-1A, A 144A 2.330%, 1/17/28(1) | 3,138 | 3,160 | |
Marlette Funding Trust 2019-4A, A 144A 2.390%, 12/17/29(1) | 2,502 | 2,521 | |
Oportun Funding IX LLC 2018-B, A 144A 3.910%, 7/8/24(1) | 8,455 | 8,460 | |
Oportun Funding XIV LLC | |||
2021-A, A 144A 1.210%, 3/8/28(1) | 9,015 | 9,012 | |
2021-A, B 144A 1.760%, 3/8/28(1) | 6,795 | 6,792 | |
Prosper Marketplace Issuance Trust Series 2019-4A, A 144A 2.480%, 2/17/26(1) | 1,091 | 1,095 | |
Regional Management Issuance Trust 2021-1, A 144A 1.680%, 3/17/31(1) | 2,610 | 2,602 | |
Upstart Securitization Trust | |||
2019-3, A 144A 2.684%, 1/21/30(1) | 1,119 | 1,127 | |
2020-3, A 144A 1.702%, 11/20/30(1) | 6,090 | 6,138 | |
52,466 | |||
Credit Card—0.7% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(1) | 25,795 | 26,084 | |
Genesis Sales Finance Master Trust 2020-AA, A 144A 1.650%, 9/22/25(1) | 10,425 | 10,486 |
Par Value | Value | ||
Credit Card—continued | |||
Mercury Financial Credit Card Master Trust 2021-1A, A 144A 1.540%, 3/20/26(1) | $ 5,470 | $ 5,471 | |
42,041 | |||
Equipment—0.7% | |||
Amur Equipment Finance Receivables VIII LLC 2020-1A, C 144A 3.060%, 4/20/26(1) | 2,122 | 2,197 | |
BCC Funding Corp. XVI LLC 2019-1A, B 144A 2.640%, 9/20/24(1) | 8,410 | 8,497 | |
BCC Funding XVII LLC 2020-1, B 144A 1.460%, 9/22/25(1) | 4,575 | 4,583 | |
CLI Funding VI LLC 2020-1A, A 144A 2.080%, 9/18/45(1) | 9,452 | 9,423 | |
NMEF Funding LLC 2019-A, B 144A 3.060%, 8/17/26(1) | 5,620 | 5,720 | |
Pawnee Equipment Receivables Series LLC | |||
2019-1, B 144A 2.520%, 10/15/24(1) | 3,635 | 3,675 | |
2020-1, A 144A 1.370%, 11/17/25(1) | 10,046 | 10,076 | |
44,171 | |||
Other—8.3% | |||
Amur Equipment Finance Receivables V LLC 2018-1A, A2 144A 3.240%, 12/20/23(1) | 955 | 959 | |
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(1) | 4,724 | 4,860 |
Par Value | Value | ||
Other—continued | |||
2019-A, A 144A 3.140%, 7/16/40(1) | $ 9,275 | $ 9,517 | |
2019-A, C 144A 4.010%, 7/16/40(1) | 18,725 | 19,794 | |
2020-AA, D 144A 7.150%, 7/17/46(1) | 7,435 | 7,712 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(1) | 14,855 | 15,146 | |
Bankers Healthcare Group Securitization Trust 2020-A, A 144A 2.560%, 9/17/31(1) | 3,816 | 3,824 | |
BCC Funding Corp. XVI LLC 2019-1A, D 144A 3.940%, 7/20/27(1) | 3,900 | 3,940 | |
BCC Funding XVII LLC 2020-1, D 144A 4.890%, 9/22/25(1) | 3,554 | 3,559 | |
BRE Grand Islander Timeshare Issuer LLC | |||
2017-1A, A 144A 2.940%, 5/25/29(1) | 3,571 | 3,656 | |
2019-A, A 144A 3.280%, 9/26/33(1) | 5,191 | 5,434 | |
Business Jet Securities LLC | |||
2019-1, A 144A 4.212%, 7/15/34(1) | 9,230 | 9,398 | |
2020-1A, A 144A 2.981%, 11/15/35(1) | 4,835 | 4,894 | |
2021-1A, A 144A 2.162%, 4/15/36(1) | 4,875 | 4,861 | |
BXG Receivables Note Trust | |||
2013-A, A 144A 3.010%, 12/4/28(1) | 1,251 | 1,251 | |
2015-A, A 144A 2.880%, 5/2/30(1) | 1,416 | 1,438 | |
2017-A, A 144A 2.950%, 10/4/32(1) | 6,090 | 6,227 |
Par Value | Value | ||
Other—continued | |||
2020-A, B 144A 2.490%, 2/28/36(1) | $6,182 | $6,219 | |
CCG Receivables Trust | |||
2019-2, B 144A 2.550%, 3/15/27(1) | 5,405 | 5,558 | |
2021-1, C 144A 0.840%, 6/14/27(1) | 1,415 | 1,406 | |
Conn’s Receivables Funding LLC 2020-A, B 144A 4.270%, 6/16/25(1) | 8,845 | 8,935 | |
Consumer Loan Underlying Bond CLUB Credit Trust | |||
2019-P2, A 144A 2.470%, 10/15/26(1) | 1,256 | 1,261 | |
2019-P2, B 144A 2.830%, 10/15/26(1) | 5,250 | 5,317 | |
2020-P1, B 144A 2.920%, 3/15/28(1) | 4,000 | 4,074 | |
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(1) | 2,483 | 2,529 | |
Dext ABS LLC | |||
2020-1, A 144A 1.460%, 2/16/27(1) | 5,583 | 5,597 | |
2020-1, D 144A 7.210%, 2/15/28(1) | 6,258 | 6,294 | |
Diamond Resorts Owner Trust | |||
2017-1A, A 144A 3.270%, 10/22/29(1) | 2,730 | 2,784 | |
2018-1, B 144A 4.190%, 1/21/31(1) | 2,558 | 2,673 | |
2019-1A, B 144A 3.530%, 2/20/32(1) | 4,658 | 4,775 | |
Drug Royalty III LP 1 2017-1A, A1 (3 month LIBOR + 2.500%) 144A 2.741%, 4/15/27(1)(5) | 344 | 344 | |
Foundation Finance Trust | |||
2016-1A, A 144A 3.960%, 6/15/35(1) | 187 | 188 |
Par Value | Value | ||
Other—continued | |||
2017-1A, A 144A 3.300%, 7/15/33(1) | $ 3,140 | $ 3,193 | |
2019-1A, A 144A 3.860%, 11/15/34(1) | 3,581 | 3,706 | |
2021-1A, A 144A 1.270%, 5/15/41(1) | 8,980 | 8,934 | |
FREED ABS Trust | |||
2018-2, B 144A 4.610%, 10/20/25(1) | 11,605 | 11,708 | |
2019-1, B 144A 3.870%, 6/18/26(1) | 2,035 | 2,055 | |
2019-2, B 144A 3.190%, 11/18/26(1) | 7,320 | 7,436 | |
Global SC Finance VII Srl 2020-1A, A 144A 2.170%, 10/17/40(1) | 9,479 | 9,496 | |
Gold Key Resorts LLC 2014-A, A 144A 3.220%, 3/17/31(1) | 1,014 | 1,027 | |
GoldentTree Loan Management US CLO 1 Ltd. 2021-9A, A (3 month LIBOR + 1.070%) 144A 1.195%, 1/20/33(1)(5) | 18,315 | 18,321 | |
Hardee’s Funding LLC 2020-1A, A2 144A 3.981%, 12/20/50(1) | 17,421 | 17,980 | |
Hilton Grand Vacations Trust | |||
2017-AA, A 144A 2.660%, 12/26/28(1) | 2,040 | 2,092 | |
2018-AA, A 144A 3.540%, 2/25/32(1) | 3,734 | 3,936 | |
HIN Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(1) | 3,405 | 3,532 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(1) | 20,230 | 21,386 | |
Lendmark Funding Trust | |||
2018-2A, A 144A 4.230%, 4/20/27(1) | 8,445 | 8,609 |
Par Value | Value | ||
Other—continued | |||
2019-1A, A 144A 3.000%, 12/20/27(1) | $ 8,835 | $ 9,077 | |
Mariner Finance Issuance Trust | |||
2019-AA, A 144A 2.960%, 7/20/32(1) | 7,255 | 7,417 | |
2020-AA, A 144A 2.190%, 8/21/34(1) | 1,954 | 1,983 | |
Marlette Funding Trust 2019-2A, A 144A 3.130%, 7/16/29(1) | 1,371 | 1,381 | |
MVW Owner Trust | |||
2015-1A, B 144A 2.960%, 12/20/32(1) | 248 | 249 | |
2016-1A, A 144A 2.250%, 12/20/33(1) | 1,239 | 1,253 | |
2019-1A, A 144A 2.890%, 11/20/36(1) | 4,300 | 4,411 | |
NMEF Funding LLC 2019-A, C 144A 3.300%, 8/17/26(1) | 9,145 | 9,377 | |
Oasis LLC | |||
2020-1A, A 144A 3.820%, 1/15/32(1) | 3,951 | 3,972 | |
2020-2A, A 144A 4.262%, 5/15/32(1) | 1,959 | 1,979 | |
Oasis Securitization Funding LLC 2021-1A, A 144A 2.579%, 2/15/33(1) | 4,990 | 4,989 | |
Octane Receivables Trust | |||
2019-1A, A 144A 3.160%, 9/20/23(1) | 5,766 | 5,830 | |
2019-1A, B 144A 3.770%, 7/22/24(1) | 5,000 | 5,168 | |
2019-1A, C 144A 4.740%, 6/20/25(1) | 17,822 | 18,719 | |
2020-1A, A 144A 1.710%, 2/20/25(1) | 14,533 | 14,663 | |
OneMain Financial Issuance Trust | |||
2017-1A, A1 144A 2.370%, 9/14/32(1) | 484 | 485 | |
2018-1A, A 144A 3.300%, 3/14/29(1) | 21,424 | 21,498 |
Par Value | Value | ||
Other—continued | |||
Orange Lake Timeshare Trust | |||
2015-AA, A 144A 2.880%, 9/8/27(1) | $ 1,203 | $ 1,214 | |
2018-A, A 144A 3.100%, 11/8/30(1) | 2,209 | 2,277 | |
2019-A, B 144A 3.360%, 4/9/38(1) | 7,781 | 8,061 | |
Palmer Square Loan Funding Ltd. 2021-1A, A1 (3 month LIBOR + 0.900%) 144A 1.055%, 4/20/29(1)(5) | 3,360 | 3,362 | |
Planet Fitness Master Issuer LLC 2018-1A, A2II 144A 4.666%, 9/5/48(1) | 13,947 | 14,250 | |
Prosper Marketplace Issuance Trust 2019-3A, A 144A 3.190%, 7/15/25(1) | 126 | 126 | |
Republic Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(1) | 6,835 | 6,958 | |
Sierra Timeshare Receivables Funding LLC | |||
2017-1A, A 144A 2.910%, 3/20/34(1) | 1,629 | 1,654 | |
2018-2A, A 144A 3.500%, 6/20/35(1) | 2,140 | 2,222 | |
2019-1A, B 144A 3.420%, 1/20/36(1) | 2,006 | 2,072 | |
2019-2A, B 144A 2.820%, 5/20/36(1) | 7,047 | 7,180 | |
2020-2A, B 144A 2.320%, 7/20/37(1) | 5,604 | 5,702 | |
Small Business Lending Trust | |||
2019-A, A 144A 2.850%, 7/15/26(1) | 400 | 399 | |
2020-A, A 144A 2.620%, 12/15/26(1) | 1,471 | 1,477 |
Par Value | Value | ||
Other—continued | |||
SoFi Consumer Loan Program LLC | |||
2017-5, A2 144A 2.780%, 9/25/26(1) | $ 2,060 | $ 2,071 | |
2017-6, A2 144A 2.820%, 11/25/26(1) | 310 | 311 | |
Towd Point Mortgage Trust 2019-MH1, A1 144A 3.000%, 11/25/58(1)(5) | 1,703 | 1,744 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(1) | 16,155 | 16,522 | |
TRIP Rail Master Funding LLC 2017-1A, A1 144A 2.709%, 8/15/47(1) | 1,233 | 1,234 | |
Upgrade Master Pass-Thru Trust Series 2019-ST3, A 144A 3.750%, 11/15/25(1) | 3,335 | 3,377 | |
Upstart Pass-Through Trust 2020-ST1, A 144A 3.750%, 2/20/28(1) | 1,916 | 1,972 | |
Upstart Pass-Through Trust Series 2021-ST2, A 144A 2.500%, 4/20/27(1) | 7,215 | 7,284 | |
Upstart Securitization Trust | |||
2019-1, B 144A 4.190%, 4/20/26(1) | 385 | 385 | |
2019-2, A 144A 2.897%, 9/20/29(1) | 1,602 | 1,609 | |
2019-2, B 144A 3.734%, 9/20/29(1) | 7,487 | 7,638 | |
2021-1, A 144A 0.870%, 3/20/31(1) | 1,442 | 1,443 | |
Venture 41 CLO Ltd. 2021-41A, A1N (3 month LIBOR + 1.330%) 144A 1.533%, 1/20/34(1)(5) | 8,380 | 8,367 |
Par Value | Value | ||
Other—continued | |||
VSE VOI Mortgage LLC | |||
2016-A, A 144A 2.540%, 7/20/33(1) | $1,685 | $ 1,697 | |
2017-A, A 144A 2.330%, 3/20/35(1) | 3,456 | 3,522 | |
Welk Resorts LLC | |||
2013-AA, A 144A 3.100%, 3/15/29(1) | 369 | 370 | |
2015-AA, A 144A 2.790%, 6/16/31(1) | 1,094 | 1,095 | |
2019-AA, B 144A 2.990%, 6/15/38(1) | 4,863 | 5,030 | |
Westgate Resorts LLC | |||
2018-1A, A 144A 3.380%, 12/20/31(1) | 2,323 | 2,348 | |
2020-1A, A 144A 2.713%, 3/20/34(1) | 3,471 | 3,546 | |
528,805 | |||
Student Loan—0.3% | |||
Commonbond Student Loan Trust | |||
2019-AGS, A1 144A 2.540%, 1/25/47(1) | 7,446 | 7,639 | |
2020-1, A 144A 1.690%, 10/25/51(1) | 4,681 | 4,680 | |
Earnest Student Loan Program LLC 2017-A, A2 144A 2.650%, 1/25/41(1) | 913 | 919 | |
Navient Private Education Loan Trust 2017-A, A2A 144A 2.880%, 12/16/58(1) | 1,911 | 1,942 | |
Navient Private Education Refi Loan Trust 2021-A, A 144A 0.840%, 5/15/69(1) | 5,543 | 5,525 | |
20,705 | |||
Total Asset-Backed Securities (Identified Cost $1,489,814) | 1,514,614 |
Par Value | Value | ||
Corporate Bonds and Notes—29.4% | |||
Communication Services—3.1% | |||
Altice France S.A. 144A 7.375%, 5/1/26(1) | $11,710 | $12,180 | |
AT&T, Inc. (3 month LIBOR + 0.890%) 1.084%, 2/15/23(5) | 8,918 | 9,000 | |
Clear Channel Outdoor Holdings, Inc. 144A 7.750%, 4/15/28(1) | 185 | 183 | |
Clear Channel Worldwide Holdings, Inc. | |||
9.250%, 2/15/24 | 1,868 | 1,943 | |
144A 5.125%, 8/15/27(1) | 3,265 | 3,284 | |
Consolidated Communications, Inc. 144A 6.500%, 10/1/28(1) | 7,330 | 7,917 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(1) | 4,545 | 3,272 | |
144A 6.625%, 8/15/27(1)(2) | 4,370 | 2,272 | |
DISH DBS Corp. | |||
5.875%, 7/15/22 | 6,245 | 6,523 | |
5.000%, 3/15/23 | 6,445 | 6,724 | |
7.750%, 7/1/26 | 5,230 | 5,773 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 213 | 228 | |
Level 3 Financing, Inc. 144A 4.625%, 9/15/27(1) | 5,835 | 6,005 | |
Live Nation Entertainment, Inc. | |||
144A 5.625%, 3/15/26(1) | 3,005 | 3,121 | |
144A 4.750%, 10/15/27(1) | 9,355 | 9,425 |
Par Value | Value | ||
Communication Services—continued | |||
Radiate Holdco LLC | |||
144A 4.500%, 9/15/26(1) | $ 1,425 | $ 1,441 | |
144A 6.500%, 9/15/28(1) | 4,645 | 4,905 | |
Sirius XM Radio, Inc. 144A 4.625%, 7/15/24(1) | 3,565 | 3,672 | |
Sprint Corp. 7.875%, 9/15/23 | 11,690 | 13,362 | |
Sprint Spectrum Co. LLC | |||
144A 3.360%, 9/20/21(1) | 2,494 | 2,513 | |
144A 4.738%, 3/20/25(1) | 8,210 | 8,790 | |
Telesat Canada 144A 6.500%, 10/15/27(1) | 9,635 | 9,652 | |
T-Mobile USA, Inc. | |||
2.625%, 4/15/26 | 1,470 | 1,498 | |
144A 1.500%, 2/15/26(1) | 6,072 | 6,013 | |
144A 2.050%, 2/15/28(1) | 5,892 | 5,777 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(1) | 5,505 | 5,954 | |
Twitter, Inc. 144A 3.875%, 12/15/27(1) | 8,270 | 8,671 | |
Univision Communications, Inc. 144A 6.625%, 6/1/27(1) | 5,330 | 5,692 | |
Verizon Communications, Inc. | |||
1.450%, 3/20/26 | 10,712 | 10,713 | |
2.100%, 3/22/28 | 8,062 | 8,096 | |
(3 month LIBOR + 1.100%) 1.298%, 5/15/25(5) | 16,061 | 16,422 |
Par Value | Value | ||
Communication Services—continued | |||
VTR Comunicaciones SpA 144A 5.125%, 1/15/28(1) | $ 3,100 | $ 3,240 | |
194,261 | |||
Consumer Discretionary—2.8% | |||
Adtalem Global Education, Inc. 144A 5.500%, 3/1/28(1) | 6,060 | 5,983 | |
American Axle & Manufacturing, Inc. | |||
6.250%, 4/1/25(2) | 6,440 | 6,633 | |
6.500%, 4/1/27(2) | 2,965 | 3,076 | |
Aramark Services, Inc. 144A 6.375%, 5/1/25(1) | 8,460 | 8,968 | |
Boyd Gaming Corp. 6.375%, 4/1/26 | 12,395 | 12,798 | |
Caesars Entertainment, Inc. 144A 6.250%, 7/1/25(1) | 3,465 | 3,694 | |
Carnival Corp. | |||
144A 11.500%, 4/1/23(1) | 3,205 | 3,674 | |
144A 7.625%, 3/1/26(1) | 555 | 596 | |
Ford Motor Co. | |||
8.500%, 4/21/23 | 11,400 | 12,711 | |
9.000%, 4/22/25 | 1,137 | 1,377 | |
Ford Motor Credit Co. LLC 3.370%, 11/17/23 | 4,000 | 4,100 | |
General Motors Financial Co., Inc. | |||
3.550%, 4/9/21 | 2,847 | 2,848 | |
1.250%, 1/8/26 | 15,475 | 15,184 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(1) | 11,440 | 12,105 | |
International Game Technology plc | |||
144A 4.125%, 4/15/26(1) | 1,000 | 1,028 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
144A 5.250%, 1/15/29(1) | $ 840 | $ 876 | |
Legends Hospitality Holding Co. LLC 144A 5.000%, 2/1/26(1) | 6,195 | 6,303 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 5,890 | 6,100 | |
Marriott Ownership Resorts, Inc. 4.750%, 1/15/28 | 6,230 | 6,292 | |
MGM Growth Properties Operating Partnership LP | |||
5.750%, 2/1/27 | 6,370 | 7,023 | |
144A 4.625%, 6/15/25(1) | 1,305 | 1,376 | |
NCL Corp., Ltd. 144A 5.875%, 3/15/26(1) | 6,680 | 6,747 | |
Nissan Motor Co. Ltd. | |||
144A 3.522%, 9/17/25(1) | 6,300 | 6,674 | |
144A 4.345%, 9/17/27(1) | 7,000 | 7,613 | |
Royal Caribbean Cruises Ltd. | |||
144A 9.125%, 6/15/23(1) | 3,385 | 3,730 | |
144A 5.500%, 4/1/28(1) | 295 | 296 | |
Scientific Games International, Inc. | |||
144A 5.000%, 10/15/25(1) | 7,150 | 7,405 | |
144A 8.250%, 3/15/26(1) | 5,935 | 6,365 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 10,130 | 11,194 | |
Weekley Homes LLC 144A 4.875%, 9/15/28(1) | 2,885 | 2,957 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Wynn Macau Ltd. 144A 5.500%, 1/15/26(1) | $ 3,000 | $ 3,131 | |
178,857 | |||
Consumer Staples—0.9% | |||
Albertsons Cos., Inc. | |||
5.750%, 3/15/25 | 1,026 | 1,060 | |
144A 3.250%, 3/15/26(1) | 15,065 | 15,007 | |
144A 4.625%, 1/15/27(1) | 2,830 | 2,933 | |
Altria Group, Inc. 2.350%, 5/6/25 | 4,959 | 5,141 | |
BAT Capital Corp. | |||
4.700%, 4/2/27 | 11,000 | 12,382 | |
2.259%, 3/25/28 | 5,870 | 5,779 | |
Kraft Heinz Foods Co. 3.875%, 5/15/27 | 10,200 | 11,109 | |
Turning Point Brands, Inc. 144A 5.625%, 2/15/26(1) | 3,120 | 3,237 | |
Vector Group Ltd. 144A 5.750%, 2/1/29(1) | 2,155 | 2,222 | |
58,870 | |||
Energy—3.9% | |||
Aker BP ASA 144A 2.875%, 1/15/26(1) | 9,060 | 9,357 | |
Antero Midstream Partners LP 144A 5.750%, 1/15/28(1) | 5,910 | 5,910 | |
Ascent Resources Utica Holdings LLC 144A 8.250%, 12/31/28(1) | 2,960 | 3,078 | |
Boardwalk Pipelines LP 4.950%, 12/15/24 | 12,645 | 14,159 | |
BP Capital Markets plc 4.875% (6) | 8,705 | 9,325 |
Par Value | Value | ||
Energy—continued | |||
Callon Petroleum Co. 6.125%, 10/1/24 | $ 4,327 | $ 3,678 | |
Cheniere Energy Partners LP 5.625%, 10/1/26 | 14,860 | 15,539 | |
Chesapeake Energy Corp. 144A 5.500%, 2/1/26(1) | 9,555 | 9,946 | |
Citgo Holding, Inc. 144A 9.250%, 8/1/24(1) | 3,050 | 3,027 | |
Citgo Petroleum Corp. 144A 7.000%, 6/15/25(1) | 8,530 | 8,775 | |
CrownRock LP 144A 5.625%, 10/15/25(1) | 5,855 | 5,973 | |
Energy Transfer Partners LP | |||
5.000%, 10/1/22 | 4,794 | 5,035 | |
4.500%, 11/1/23 | 10,760 | 11,582 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(1) | 5,385 | 5,796 | |
144A 6.500%, 7/1/27(1) | 2,620 | 2,849 | |
Indigo Natural Resources LLC 144A 5.375%, 2/1/29(1) | 4,740 | 4,670 | |
KazMunayGas National Co. JSC 144A 4.750%, 4/24/25(1) | 3,000 | 3,371 | |
KazMunayGas National Co., JSC 144A 4.750%, 4/19/27(1) | 3,400 | 3,876 | |
Kinder Morgan, Inc. 144A 5.625%, 11/15/23(1) | 9,880 | 10,974 |
Par Value | Value | ||
Energy—continued | |||
Lukoil International Finance BV 144A 4.563%, 4/24/23(1) | $ 6,700 | $ 7,083 | |
Midwest Connector Capital Co. LLC 144A 3.625%, 4/1/22(1) | 6,145 | 6,233 | |
Occidental Petroleum Corp. | |||
2.700%, 8/15/22 | 5,850 | 5,852 | |
5.875%, 9/1/25 | 6,480 | 6,926 | |
5.500%, 12/1/25 | 3,620 | 3,828 | |
Ovintiv, Inc. 3.900%, 11/15/21 | 7,960 | 8,047 | |
Pertamina Persero PT 144A 4.300%, 5/20/23(1) | 6,000 | 6,354 | |
Petrobras Global Finance B.V. 5.999%, 1/27/28 | 3,675 | 4,038 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(3) | 9,545 | 415 | |
Petroleos Mexicanos | |||
4.625%, 9/21/23 | 15,820 | 16,314 | |
6.875%, 8/4/26 | 5,455 | 5,840 | |
6.500%, 3/13/27 | 13,310 | 13,909 | |
Sabine Pass Liquefaction LLC 6.250%, 3/15/22 | 11,580 | 12,026 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 5,555 | 5,815 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(1) | 2,867 | 2,509 | |
Transocean, Inc. 144A 11.500%, 1/30/27(1) | 655 | 562 | |
USA Compression Partners LP 6.875%, 4/1/26 | 6,910 | 7,087 | |
249,758 | |||
Par Value | Value | ||
Financials—7.3% | |||
Ares Capital Corp. | |||
3.500%, 2/10/23 | $ 7,365 | $ 7,680 | |
3.250%, 7/15/25 | 5,975 | 6,163 | |
Athene Global Funding 144A 2.450%, 8/20/27(1) | 14,530 | 14,703 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(1) | 14,195 | 15,908 | |
Banco BBVA Peru S.A. RegS 5.000%, 8/26/22(4) | 8,905 | 9,381 | |
Banco Santander Chile 144A 2.700%, 1/10/25(1) | 9,500 | 9,928 | |
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 144A 5.375%, 4/17/25(1) | 9,510 | 10,678 | |
Bank of America Corp. | |||
4.200%, 8/26/24 | 10,473 | 11,551 | |
3.950%, 4/21/25 | 6,325 | 6,935 | |
(3 month LIBOR + 0.770%) 0.965%, 2/5/26(5) | 11,312 | 11,365 | |
(3 month LIBOR + 1.000%) 1.218%, 4/24/23(5) | 14,445 | 14,568 | |
Brookfield Finance, Inc. 3.900%, 1/25/28 | 9,490 | 10,427 | |
Burford Capital Global Finance LLC 144A 6.250%, 4/15/28(1) | 755 | 774 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 6,325 | 6,872 |
Par Value | Value | ||
Financials—continued | |||
Charles Schwab Corp. (The) | |||
Series G 5.375%(6) | $ 4,332 | $ 4,786 | |
Series H 4.000%(6) | 8,541 | 8,396 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 6,370 | 6,758 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 24,642 | 26,480 | |
(3 month LIBOR + 1.430%) 1.621%, 9/1/23(5) | 7,115 | 7,229 | |
Corp Financiera de Desarrollo SA 144A 4.750%, 7/15/25(1) | 3,197 | 3,533 | |
Doric Nimrod Air Alpha Pass-Through Trust 2013-1, A 144A 5.250%, 5/30/23(1) | 6,996 | 6,821 | |
Doric Nimrod Air Finance Alpha Pass-Through Trust 2012-1, A 144A 5.125%, 11/30/22(1) | 4,564 | 4,547 | |
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(1) | 15,930 | 16,340 | |
Goldman Sachs Group, Inc. (The) | |||
4.250%, 10/21/25 | 24,315 | 27,140 | |
3.850%, 1/26/27 | 21,430 | 23,508 | |
ICAHN Enterprises LP | |||
4.750%, 9/15/24 | 12,395 | 12,871 | |
6.250%, 5/15/26 | 10,030 | 10,506 | |
Industrial & Commercial Bank of China Ltd. 2.957%, 11/8/22 | 9,450 | 9,761 | |
JPMorgan Chase & Co. (3 month LIBOR + 0.900%) 1.118%, 4/25/23(5) | 18,055 | 18,191 |
Par Value | Value | ||
Financials—continued | |||
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | $10,465 | $ 10,308 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 2.264%, 4/20/67(5) | 12,860 | 10,602 | |
Mizuho Financial Group, Inc. 3.922%, 9/11/24 | 5,000 | 5,366 | |
Morgan Stanley 3.875%, 4/29/24 | 23,825 | 26,026 | |
Navient Corp. 5.875%, 10/25/24 | 8,642 | 9,075 | |
OneMain Finance Corp. | |||
6.875%, 3/15/25 | 8,580 | 9,759 | |
7.125%, 3/15/26 | 2,695 | 3,108 | |
Prudential Financial, Inc. 5.625%, 6/15/43 | 13,774 | 14,761 | |
Santander Holdings USA, Inc. 3.244%, 10/5/26 | 13,830 | 14,622 | |
Spirit Realty LP | |||
4.450%, 9/15/26 | 6,686 | 7,416 | |
2.100%, 3/15/28 | 5,295 | 5,148 | |
Wells Fargo & Co. | |||
1.654%, 6/2/24 | 14,335 | 14,644 | |
4.100%, 6/3/26 | 8,375 | 9,309 | |
463,944 | |||
Health Care—1.5% | |||
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1) | 6,675 | 7,405 | |
Cheplapharm Arzneimittel GmbH 144A 5.500%, 1/15/28(1) | 7,050 | 7,323 | |
Community Health Systems, Inc. 144A 6.625%, 2/15/25(1) | 2,910 | 3,072 |
Par Value | Value | ||
Health Care—continued | |||
HCA, Inc. 5.375%, 2/1/25 | $ 7,250 | $ 8,087 | |
Jaguar Holding Co. II 144A 4.625%, 6/15/25(1) | 2,660 | 2,775 | |
Legacy LifePoint Health LLC | |||
144A 6.750%, 4/15/25(1) | 5,270 | 5,599 | |
144A 4.375%, 2/15/27(1) | 6,170 | 6,047 | |
Perrigo Finance Unlimited Co. 3.900%, 12/15/24 | 2,000 | 2,126 | |
Royalty Pharma plc | |||
144A 1.200%, 9/2/25(1) | 2,749 | 2,692 | |
144A 1.750%, 9/2/27(1) | 11,909 | 11,565 | |
Tenet Healthcare Corp. | |||
4.625%, 7/15/24 | 4,350 | 4,440 | |
144A 4.875%, 1/1/26(1) | 8,215 | 8,542 | |
144A 5.125%, 11/1/27(1) | 2,750 | 2,876 | |
144A 7.500%, 4/1/25(1) | 915 | 988 | |
Teva Pharmaceutical Finance Netherlands III B.V. | |||
6.000%, 4/15/24 | 800 | 852 | |
3.150%, 10/1/26 | 6,295 | 6,020 | |
Utah Acquisition Sub, Inc. 3.950%, 6/15/26 | 12,770 | 14,066 | |
94,475 | |||
Industrials—2.3% | |||
Alaska Airlines Pass-Through Trust 144A 4.800%, 8/15/27(1) | 12,593 | 13,788 | |
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(1) | 7,985 | 8,468 |
Par Value | Value | ||
Industrials—continued | |||
American Airlines, Inc. | |||
144A 5.500%, 4/20/26(1) | $ 1,205 | $ 1,254 | |
144A 5.750%, 4/20/29(1) | 590 | 628 | |
Ashtead Capital, Inc. 144A 5.250%, 8/1/26(1) | 12,525 | 13,140 | |
Aviation Capital Group LLC 144A 3.875%, 5/1/23(1) | 9,447 | 9,861 | |
Boeing Co. (The) | |||
2.350%, 10/30/21 | 5,740 | 5,765 | |
4.875%, 5/1/25 | 4,191 | 4,666 | |
5.040%, 5/1/27 | 6,336 | 7,223 | |
Bombardier, Inc. 144A 8.750%, 12/1/21(1) | 6,867 | 7,205 | |
Dycom Industries, Inc. 144A 4.500%, 4/15/29(1) | 3,335 | 3,343 | |
Fortress Transportation & Infrastructure Investors LLC 144A 6.500%, 10/1/25(1) | 725 | 758 | |
GFL Environmental, Inc. | |||
144A 3.750%, 8/1/25(1) | 5,210 | 5,288 | |
144A 4.000%, 8/1/28(1) | 3,280 | 3,173 | |
Howmet Aerospace, Inc. 6.875%, 5/1/25 | 4,115 | 4,768 | |
Navistar International Corp. 144A 6.625%, 11/1/25(1) | 6,040 | 6,267 | |
Spirit AeroSystems, Inc. 144A 5.500%, 1/15/25(1) | 11,835 | 12,516 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60 | 16,812 | 17,797 | |
TransDigm, Inc. 144A 6.250%, 3/15/26(1) | 9,780 | 10,369 |
Par Value | Value | ||
Industrials—continued | |||
Uber Technologies, Inc. 144A 7.500%, 5/15/25(1) | $ 7,620 | $ 8,223 | |
144,500 | |||
Information Technology—2.5% | |||
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(1) | 5,350 | 5,698 | |
Broadcom, Inc. | |||
3.150%, 11/15/25 | 15,630 | 16,659 | |
144A 1.950%, 2/15/28(1)(2) | 8,066 | 7,885 | |
Flex Ltd. 3.750%, 2/1/26 | 11,130 | 11,942 | |
Hewlett Packard Enterprise Co. | |||
2.250%, 4/1/23 | 9,470 | 9,754 | |
(3 month LIBOR + 0.720%) 0.958%, 10/5/21(5) | 2,830 | 2,830 | |
Leidos, Inc. 144A 3.625%, 5/15/25(1) | 10,350 | 11,230 | |
Microchip Technology, Inc. 144A 2.670%, 9/1/23(1) | 14,475 | 15,075 | |
NCR Corp. 144A 5.125%, 4/15/29(1) | 5,400 | 5,441 | |
Open Text Corp. 144A 3.875%, 2/15/28(1) | 10,905 | 10,978 | |
Oracle Corp. 2.300%, 3/25/28 | 15,875 | 16,072 | |
SK Hynix, Inc. 144A 1.500%, 1/19/26(1) | 12,305 | 12,109 | |
Viasat, Inc. 144A 5.625%, 9/15/25(1) | 10,250 | 10,419 | |
Vontier Corp. | |||
144A 1.800%, 4/1/26(1) | 5,276 | 5,248 |
Par Value | Value | ||
Information Technology—continued | |||
144A 2.400%, 4/1/28(1) | $ 6,156 | $ 6,048 | |
Xerox Holdings Corp. 144A 5.000%, 8/15/25(1) | 7,600 | 7,932 | |
155,320 | |||
Materials—2.0% | |||
Anglo American Capital plc 144A 3.625%, 9/11/24(1) | 12,120 | 13,109 | |
Ardagh Packaging Finance plc 144A 5.250%, 8/15/27(1) | 12,065 | 12,307 | |
Avient Corp. 144A 5.750%, 5/15/25(1) | 11,748 | 12,482 | |
Celanese US Holdings LLC 3.500%, 5/8/24 | 9,870 | 10,583 | |
Chemours Co. (The) 144A 5.750%, 11/15/28(1) | 7,105 | 7,481 | |
Cleveland-Cliffs, Inc. | |||
144A 6.750%, 3/15/26(1) | 2,585 | 2,811 | |
144A 4.625%, 3/1/29(1) | 3,215 | 3,210 | |
Glencore Funding LLC 144A 1.625%, 9/1/25(1) | 14,745 | 14,740 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(1) | 3,110 | 3,110 | |
NOVA Chemicals Corp. 144A 5.000%, 5/1/25(1) | 7,820 | 8,152 |
Par Value | Value | ||
Materials—continued | |||
Nutrition & Biosciences, Inc. | |||
144A 1.230%, 10/1/25(1) | $ 7,666 | $ 7,535 | |
144A 1.832%, 10/15/27(1) | 8,106 | 7,926 | |
OCP SA | |||
144A 5.625%, 4/25/24(1) | 3,065 | 3,329 | |
RegS 5.625%, 4/25/24(4) | 2,800 | 3,042 | |
Silgan Holdings, Inc. 144A 1.400%, 4/1/26(1) | 11,513 | 11,268 | |
Syngenta Finance NV 144A 3.933%, 4/23/21(1) | 8,635 | 8,651 | |
129,736 | |||
Real Estate—1.4% | |||
GLP Capital LP | |||
5.250%, 6/1/25 | 13,175 | 14,770 | |
5.750%, 6/1/28 | 1,863 | 2,149 | |
5.300%, 1/15/29 | 2,731 | 3,061 | |
iStar, Inc. 4.250%, 8/1/25 | 9,325 | 9,389 | |
Office Properties Income Trust | |||
4.150%, 2/1/22 | 18,910 | 19,329 | |
4.000%, 7/15/22 | 7,345 | 7,533 | |
Retail Opportunity Investments Partnership LP 5.000%, 12/15/23 | 4,474 | 4,815 | |
Service Properties Trust | |||
4.500%, 6/15/23 | 10,780 | 10,951 | |
4.350%, 10/1/24 | 9,585 | 9,529 | |
Uniti Group LP 144A 7.875%, 2/15/25(1) | 5,455 | 5,895 |
Par Value | Value | ||
Real Estate—continued | |||
Uniti Group, Inc. 144A 7.125%, 12/15/24(1) | $ 2,910 | $ 2,994 | |
90,415 | |||
Utilities—1.7% | |||
American Electric Power Co., Inc. Series N 1.000%, 11/1/25 | 4,468 | 4,378 | |
Dominion Energy, Inc. Series A 1.450%, 4/15/26 | 15,850 | 15,787 | |
DPL, Inc. 144A 4.125%, 7/1/25(1) | 7,835 | 8,300 | |
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(1) | 9,400 | 9,686 | |
Exelon Corp. 3.497%, 6/1/22 | 9,135 | 9,422 | |
Ferrellgas Escrow LLC 144A 5.375%, 4/1/26(1) | 3,050 | 3,030 | |
FirstEnergy Transmission LLC 144A 2.866%, 9/15/28(1) | 8,208 | 8,274 | |
NRG Energy, Inc. 144A 3.750%, 6/15/24(1) | 14,667 | 15,707 | |
Pacific Gas and Electric Co. (3 month LIBOR + 1.375%) 1.573%, 11/15/21(5) | 15,708 | 15,738 | |
TerraForm Power Operating LLC 144A 4.250%, 1/31/23(1) | 18,640 | 19,246 |
Par Value | Value | ||
Utilities—continued | |||
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20(1)(7) | $ 5,925 | $ — | |
109,568 | |||
Total Corporate Bonds and Notes (Identified Cost $1,816,911) | 1,869,704 | ||
Leveraged Loans—13.2% | |||
Aerospace—0.6% | |||
AI Convoy (Luxembourg) S.a.r.l. Tranche B (6 month LIBOR + 3.500%) 4.500%, 1/18/27 | 9,870 | 9,853 | |
American Airlines, Inc. (3 month LIBOR + 4.750%) 0.000%, 4/20/28(8) | 10,340 | 10,582 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27 | 8,790 | 9,330 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 2.359%, 5/30/25 | 3,246 | 3,176 | |
Tranche F (1 month LIBOR + 2.250%) 2.359%, 12/9/25 | 3,775 | 3,693 | |
36,634 | |||
Chemicals—0.5% | |||
Gemini HDPE LLC 2027 (3 month LIBOR + 3.000%) 3.500%, 12/31/27 | 3,515 | 3,495 |
Par Value | Value | ||
Chemicals—continued | |||
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 2.109%, 4/1/24 | $ 5,914 | $ 5,843 | |
Ineos U.S. Petrochem LLC 2026, Tranche B (3 month LIBOR + 2.750%) 3.250%, 1/29/26 | 8,055 | 8,025 | |
Starfruit Finco B.V. (1 month LIBOR + 2.750%) 2.860%, 10/1/25 | 11,693 | 11,505 | |
Trinseo Materials Operating SCA Tranche B-2, First Lien (3 month LIBOR + 2.500%) 0.000%, 3/17/28(8) | 5,690 | 5,626 | |
34,494 | |||
Consumer Durables—0.2% | |||
CP Atlas Buyer, Inc. Tranche B (3 month LIBOR + 3.750%) 4.250%, 11/23/27 | 2,905 | 2,884 | |
Resideo Funding, Inc. Tranche B (3 month LIBOR + 2.250%) 2.750%, 2/11/28 | 5,585 | 5,564 | |
Weber-Stephen Products LLC Tranche B (3 month LIBOR + 3.250%) 4.000%, 10/30/27 | 6,633 | 6,625 | |
15,073 | |||
Par Value | Value | ||
Consumer Non-Durables—0.2% | |||
HLF Financing Sarl LLC Tranche B (3 month LIBOR + 2.500%) 0.000%, 8/18/25(7)(8) | $ 2,978 | $ 2,963 | |
Kronos Acquisition Holdings, Inc. Tranche B-1 (3 month LIBOR + 3.750%) 4.250%, | 7,950 | 7,828 | |
10,791 | |||
Energy—0.0% | |||
Paragon Offshore Finance Co. (3 month PRIME + 0.000%) 3.250%, 7/16/21(3)(7) | 66 | — | |
Financial—1.2% | |||
Asurion LLC | |||
Tranche B-6 (1 month LIBOR + 3.000%) 3.109%, 11/3/23 | 4,562 | 4,546 | |
Tranche B-8 (1 month LIBOR + 3.250%) 0.000%, 12/23/26(8) | 5,988 | 5,946 | |
Avolon TLB Borrower 1 US LLC Tranche B-5 (1 month LIBOR + 2.500%) 3.250%, 12/1/27 | 17,322 | 17,300 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 3.109%, 6/16/25 | 3,957 | 3,896 | |
Citadel Securities LP 2021 (3 month LIBOR + 2.500%) 2.615%, 2/2/28 | 9,180 | 9,073 |
Par Value | Value | ||
Financial—continued | |||
Delos Finance S.a.r.l. 2018 (3 month LIBOR + 1.750%) 1.953%, 10/6/23 | $ 5,774 | $ 5,758 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 2.854%, 6/28/23 | 9,153 | 9,130 | |
RealPage, Inc. First Lien (3 month LIBOR + 3.750%) 0.000%, 2/18/28(8) | 5,525 | 5,497 | |
Sedgwick Claims Management Services, Inc. 2019 (1 month LIBOR + 3.750%) 3.859%, 9/3/26 | 12,940 | 12,855 | |
74,001 | |||
Food / Tobacco—1.0% | |||
Aramark Services, Inc. | |||
Tranche B-2 (1 month LIBOR + 1.750%) 1.859%, 3/28/24 | 3,575 | 3,560 | |
Tranche B-3 (1 month LIBOR + 1.750%) 1.859%, 3/11/25 | 1,909 | 1,886 | |
Tranche B-4 (1 month LIBOR + 1.750%) 1.859%, 1/15/27 | 3,455 | 3,399 | |
Arterra Wines Canada, Inc. Tranche B-1 (3 month LIBOR + 3.500%) 4.250%, 11/24/27 | 6,728 | 6,725 | |
Chobani LLC (1 month LIBOR + 3.500%) 4.500%, 10/20/27 | 3,294 | 3,288 |
Par Value | Value | ||
Food / Tobacco—continued | |||
City Brewing Co. LLC First Lien (3 month LIBOR + 3.500%) 0.000%, 10/1/26(8) | $ 1,815 | $ 1,806 | |
Froneri US, Inc. Tranche B-2 (1 month LIBOR + 2.250%) 2.359%, 1/29/27 | 12,133 | 11,958 | |
Hostess Brands LLC 2019, Tranche B (3 month LIBOR + 3.000%) 3.000%, 8/3/25 | 8,820 | 8,766 | |
JBS USA Lux S.A. (3 month LIBOR + 2.000%) 0.000%, 5/1/26(8) | 9,376 | 9,312 | |
Shearer’s Foods LLC First Lien (3 month LIBOR + 3.500%) 4.250%, 9/23/27 | 6,455 | 6,438 | |
Triton Water Holdings, Inc. First Lien (3 month LIBOR + 3.500%) 0.000%, 3/31/28(8) | 6,500 | 6,470 | |
63,608 | |||
Forest Prod / Containers—0.6% | |||
Berry Global, Inc. Tranche Z (3 month LIBOR + 1.750%) 1.898%, 7/1/26 | 9,657 | 9,571 | |
BWay Holding Co. (3 month LIBOR + 3.250%) 3.443%, 4/3/24 | 8,333 | 8,146 |
Par Value | Value | ||
Forest Prod / Containers—continued | |||
Graham Packaging Co., Inc. (1 month LIBOR + 3.000%) 3.750%, 8/4/27 | $6,495 | $ 6,450 | |
Reynolds Group Holdings, Inc. (3 month LIBOR + 2.750%) 0.000%, 2/6/23(8) | 9,500 | 9,454 | |
Spectrum Holdings III Corp. First Lien (3 month LIBOR + 3.250%) 4.250%, 1/31/25 | 2,622 | 2,491 | |
36,112 | |||
Gaming / Leisure—1.1% | |||
Aristocrat Technologies, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/19/24 | 1,587 | 1,591 | |
Boyd Gaming Corp. Tranche B (weekly LIBOR + 2.250%) 2.331%, 9/15/23 | 6,095 | 6,076 | |
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 2.859%, 12/23/24 | 5,959 | 5,867 | |
Carnival Corp. (1 month LIBOR + 7.500%) 8.500%, 6/30/25 | 1,588 | 1,636 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
CityCenter Holdings LLC (3 month LIBOR + 2.250%) 0.000%, 4/18/24(8) | $9,505 | $ 9,376 | |
Hilton Worldwide Finance LLC Tranche B-2 (3 month LIBOR + 1.750%) 1.868%, 6/22/26 | 9,796 | 9,701 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24 | 6,584 | 6,312 | |
Playtika Holding Corp. Tranche B-1 (3 month LIBOR + 2.750%) 0.000%, 3/5/28(8) | 7,480 | 7,433 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 2.859%, 8/14/24 | 4,188 | 4,104 | |
Seminole Tribe of Florida (1 month LIBOR + 1.750%) 1.859%, 7/8/24 | 9,430 | 9,407 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.500%, 2/8/27 | 3,158 | 3,104 | |
UFC Holdings LLC Tranche B-3 (3 month LIBOR + 3.000%) 3.750%, 4/29/26 | 8,898 | 8,856 | |
73,463 | |||
Par Value | Value | ||
Healthcare—1.0% | |||
Agiliti Health, Inc. (3 month LIBOR + 2.750%) 3.500%, 1/5/26 | $2,653 | $2,620 | |
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 2.859%, 11/27/25 | 1,583 | 1,572 | |
(1 month LIBOR + 3.000%) 3.109%, 6/2/25 | 5,015 | 4,996 | |
Catalent Pharma Solutions, Inc. Tranche B-3 (1 month LIBOR + 2.000%) 2.500%, 2/22/28 | 1,658 | 1,658 | |
Change Healthcare Holdings LLC (3 month LIBOR + 2.500%) 3.500%, 3/1/24 | 8,066 | 8,053 | |
Elanco Animal Health, Inc. (1 month LIBOR + 1.750%) 1.865%, 8/1/27 | 951 | 938 | |
Horizon Therapeutics USA, Inc Tranche B-2 (3 month LIBOR + 2.000%) 2.500%, 2/26/28 | 9,470 | 9,437 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 1.953%, 6/11/25 | 7,577 | 7,527 | |
Phoenix Guarantor, Inc. Tranche B (1 month LIBOR + 3.750%) 4.250%, 3/5/26 | 7,242 | 7,178 |
Par Value | Value | ||
Healthcare—continued | |||
PPD, Inc. (1 month LIBOR + 2.250%) 2.750%, 1/13/28 | $9,365 | $ 9,310 | |
Select Medical Corp. Tranche B (1 month LIBOR + 2.250%) 0.000%, 3/6/25(8) | 6,265 | 6,221 | |
Sterigenics-Nordion Holdings LLC (3 month LIBOR + 2.750%) 3.250%, 12/13/26 | 2,650 | 2,640 | |
62,150 | |||
Housing—0.4% | |||
84 Lumber Co. Tranche B-1 (3 month LIBOR + 3.000%) 3.750%, 11/13/26 | 4,516 | 4,508 | |
CPG International LLC (3 month LIBOR + 2.500%) 3.250%, 5/6/24(7) | 6,863 | 6,855 | |
Hillman Group, Inc. (The) | |||
(3 month LIBOR + 2.750%) 0.000%, 2/24/28(8)(9) | 487 | 485 | |
(3 month LIBOR + 2.750%) 0.000%, 2/24/28(8) | 487 | 484 | |
Tranche B-1 (3 month LIBOR + 2.750%) 0.000%, 2/24/28(8) | 4,798 | 4,770 | |
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 0.000%, 11/21/24(8) | 6,080 | 6,053 | |
23,155 | |||
Par Value | Value | ||
Information Technology—1.1% | |||
Applied Systems, Inc. First Lien (3 month LIBOR + 3.000%) 3.500%, 9/19/24 | $14,684 | $14,618 | |
Boxer Parent Co., Inc. 2021 (1 month LIBOR + 3.750%) 3.859%, 10/2/25 | 5,546 | 5,519 | |
Dell International LLC Tranche B-2 (1 month LIBOR + 1.750%) 2.000%, 9/19/25 | 13,014 | 12,996 | |
SS&C Technologies, Inc. | |||
Tranche B-3 (1 month LIBOR + 1.750%) 1.859%, 4/16/25 | 2,285 | 2,258 | |
Tranche B-4 (1 month LIBOR + 1.750%) 1.859%, 4/16/25 | 1,706 | 1,686 | |
Tranche B-5 (1 month LIBOR + 1.750%) 1.859%, 4/16/25 | 9,328 | 9,223 | |
UKG, Inc. 2021 (3 month LIBOR + 3.250%) 4.000%, 5/4/26 | 14,069 | 14,069 | |
Ultimate Software Group, Inc. (The) Second Lien (3 month LIBOR + 6.750%) 7.500%, 5/3/27 | 235 | 240 |
Par Value | Value | ||
Information Technology—continued | |||
Vertiv Group Corp. Tranche B (1 month LIBOR + 2.750%) 2.869%, 3/2/27 | $11,152 | $11,058 | |
71,667 | |||
Manufacturing—0.8% | |||
Alliance Laundry Systems LLC Tranche B (3 month LIBOR + 3.500%) 4.250%, 10/8/27 | 5,735 | 5,722 | |
Backyard Acquireco, Inc. (3 month LIBOR + 4.000%) 4.750%, 11/2/27 | 7,825 | 7,835 | |
Gardner Denver, Inc. Tranche A (1 month LIBOR + 2.750%) 2.859%, 3/1/27 | 769 | 767 | |
Gates Global LLC Tranche B-3 (1 month LIBOR + 2.750%) 3.500%, 3/31/27 | 12,469 | 12,427 | |
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 1.859%, 3/1/27 | 7,059 | 6,962 | |
NCR Corp. (3 month LIBOR + 2.500%) 2.720%, 8/28/26 | 7,897 | 7,798 | |
Ozark Holdings LLC 2020 (1 month LIBOR + 4.000%) 4.750%, 12/10/27 | 6,240 | 6,236 | |
Titan Acquisition Ltd. (3 month LIBOR + 3.000%) 3.267%, 3/28/25 | 6,315 | 6,178 | |
53,925 | |||
Par Value | Value | ||
Media / Telecom - Broadcasting—0.3% | |||
Diamond Sports Group LLC (1 month LIBOR + 3.250%) 3.360%, 8/24/26 | $ 3,615 | $ 2,467 | |
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 2.615%, 9/18/26 | 10,956 | 10,865 | |
Sinclair Television Group, Inc. Tranche B (1 month LIBOR + 2.250%) 2.360%, 1/3/24 | 6,734 | 6,683 | |
20,015 | |||
Media / Telecom - Cable/Wireless Video—0.6% | |||
Charter Communications Operating LLC Tranche B2 (1 month LIBOR + 1.750%) 1.870%, 2/1/27 | 9,332 | 9,280 | |
CSC Holdings LLC | |||
2017 (1 month LIBOR + 2.250%) 2.356%, 7/17/25 | 4,367 | 4,302 | |
2018 (1 month LIBOR + 2.250%) 2.356%, 1/15/26 | 7,183 | 7,076 | |
2019 (1 month LIBOR + 2.500%) 2.606%, 4/15/27 | 3,926 | 3,875 | |
Radiate Holdco LLC Tranche B (1 month LIBOR + 3.500%) 4.250%, 9/25/26 | 1,090 | 1,088 |
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(8) | $9,320 | $ 9,295 | |
Ziggo Financing Partnership Tranche I (1 month LIBOR + 2.500%) 2.606%, 4/30/28 | 3,145 | 3,111 | |
38,027 | |||
Media / Telecom - Diversified Media—0.3% | |||
Clear Channel Outdoor Holdings, Inc. Tranche B (3 month LIBOR + 3.500%) 3.712%, 8/21/26 | 6,373 | 6,113 | |
Newco Financing Partnership Tranche AV1 (1 month LIBOR + 3.500%) 3.606%, 1/31/29 | 6,055 | 6,035 | |
UPC Financing Partnership Tranche AV (1 month LIBOR + 3.500%) 3.606%, 1/31/29 | 6,055 | 6,036 | |
18,184 | |||
Media / Telecom - Telecommunications—0.5% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.359%, 3/15/27 | 9,422 | 9,312 | |
Consolidated Communications, Inc. (1 month LIBOR + 4.750%) 5.750%, 10/2/27 | 3,784 | 3,782 |
Par Value | Value | ||
Media / Telecom - Telecommunications—continued | |||
Level 3 Financing, Inc. 2027, Tranche B (1 month LIBOR + 1.750%) 1.859%, 3/1/27 | $9,084 | $ 8,959 | |
Zayo Group Holdings, Inc. (1 month LIBOR + 3.000%) 3.109%, 3/9/27 | 7,982 | 7,912 | |
29,965 | |||
Retail—0.4% | |||
Harbor Freight Tools USA, Inc. 2020 (1 month LIBOR + 3.000%) 3.750%, 10/19/27 | 9,047 | 9,031 | |
Michaels Stores, Inc. 2020, Tranche B (1 month LIBOR + 3.500%) 4.250%, 10/1/27 | 9,104 | 9,090 | |
PetsMart LLC (3 month LIBOR + 3.750%) 4.500%, 2/12/28 | 6,040 | 6,026 | |
24,147 | |||
Service—1.3% | |||
Adtalem Global Education, Inc. Tranche B, First Lien (3 month LIBOR + 4.500%) 0.000%, 2/14/28(8) | 6,570 | 6,499 | |
AlixPartners LLP (1 month LIBOR + 2.750%) 3.250%, 2/4/28 | 5,660 | 5,636 |
Par Value | Value | ||
Service—continued | |||
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 3.250%) 0.000%, 2/6/26(8) | $9,282 | $ 9,224 | |
GFL Environmental, Inc. 2020 (3 month LIBOR + 3.000%) 3.500%, 5/30/25 | 8,345 | 8,345 | |
Hoya Midco LLC First Lien (1 month LIBOR + 3.500%) 4.500%, 6/30/24 | 8,200 | 8,028 | |
Peraton Corp. | |||
(3 month LIBOR + 3.750%) 0.000%, 2/1/28(8) | 5,139 | 5,135 | |
Tranche B, First Lien (3 month LIBOR + 3.750%) 4.500%, 2/1/28 | 2,920 | 2,917 | |
Pike Corp. 2028 (3 month LIBOR + 3.000%) 3.130%, 1/21/28 | 9,253 | 9,215 | |
PODS LLC (3 month LIBOR + 3.000%) 0.000%, 3/31/28(8) | 7,825 | 7,782 | |
TKC Holdings, Inc. First Lien (6 month LIBOR + 3.750%) 4.750%, 2/1/23 | 5,888 | 5,745 | |
Trans Union LLC Tranche B-5 (1 month LIBOR + 1.750%) 1.859%, 11/16/26 | 7,661 | 7,603 | |
WEX, Inc. Tranche B, First Lien (3 month LIBOR + 2.250%) 0.000%, 3/20/28(8) | 5,035 | 5,016 | |
81,145 | |||
Par Value | Value | ||
Transportation - Automotive—0.2% | |||
Clarios Global LP First Lien (1 month LIBOR + 3.250%) 3.359%, 4/30/26 | $ 6,722 | $ 6,647 | |
PAI Holdco, Inc. Tranche B (3 month LIBOR + 4.000%) 5.000%, 10/28/27 | 1,160 | 1,163 | |
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) 3.109%, 10/1/25 | 5,983 | 5,819 | |
13,629 | |||
Transportation - Land Transportation—0.1% | |||
Genesee & Wyoming, Inc. (3 month LIBOR + 2.000%) 0.000%, 12/30/26(8) | 9,770 | 9,731 | |
Utility—0.8% | |||
Astoria Energy LLC Tranche B (3 month LIBOR + 3.500%) 4.500%, 12/10/27 | 4,152 | 4,151 | |
Brookfield WEC Holdings, Inc. (1 month LIBOR + 2.750%) 3.250%, 8/1/25 | 13,976 | 13,847 | |
Calpine Corp. | |||
2019 (1 month LIBOR + 2.000%) 2.110%, 4/5/26 | 9,678 | 9,563 | |
2020 (1 month LIBOR + 2.500%) 2.610%, 12/2/27 | 1,910 | 1,897 | |
PG&E Corp. Tranche B (3 month LIBOR + 3.000%) 3.500%, 6/23/25 | 1,926 | 1,921 |
Par Value | Value | ||
Utility—continued | |||
Vistra Operations Co. LLC 2018 (1 month LIBOR + 1.750%) 1.858%, 12/31/25 | $16,833 | $ 16,703 | |
48,082 | |||
Total Leveraged Loans (Identified Cost $839,924) | 837,998 |
Shares | ||
Preferred Stocks—0.4% | ||
Financials—0.3% | ||
Bank of New York Mellon Corp. (The) Series E, 3.607%(5) | 12,070 (10) | 12,067 |
JPMorgan Chase & Co. Series Z, 4.005%(5) | 3,985 (10) | 3,993 |
JPMorgan Chase & Co. Series HH, 4.600% | 4,159 (10) | 4,206 |
20,266 | ||
Industrials—0.1% | ||
General Electric Co. Series D, 3.514%(5) | 6,235 (10) | 5,892 |
Total Preferred Stocks (Identified Cost $26,162) | 26,158 | |
Common Stocks—0.0% | ||
Communication Services—0.0% | ||
Clear Channel Outdoor Holdings, Inc. Class A(11) | 48,842 | 88 |
Energy—0.0% | ||
Frontera Energy Corp. | 148,014 | 755 |
Total Common Stocks (Identified Cost $2,826) | 843 | |
Shares | Value | ||
Exchange-Traded Funds—0.7% | |||
Invesco Senior Loan ETF(12) | 963,563 | $ 21,324 | |
iShares iBoxx High Yield Corporate Bond ETF(2)(12) | 278,883 | 24,313 | |
Total Exchange-Traded Funds (Identified Cost $45,163) | 45,637 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(7)(11) | 98,789 | 108 | |
Total Rights (Identified Cost $84) | 108 | ||
Warrant—0.0% | |||
Communication Services—0.0% | |||
iHeartMedia, Inc.(7) | 20,771 | 254 | |
Total Warrant (Identified Cost $361) | 254 | ||
Total Long-Term Investments—99.3% (Identified Cost $6,249,276) | 6,319,019 | ||
Securities Lending Collateral—0.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(12)(13) | 36,512,199 | 36,512 | |
Total Securities Lending Collateral (Identified Cost $36,512) | 36,512 |
Value | ||
TOTAL INVESTMENTS—99.9% (Identified Cost $6,285,788) | $6,355,531 | |
Other assets and liabilities, net—0.1% | 6,039 | |
NET ASSETS—100.0% | $6,361,570 |
Abbreviations: | |
ABS | Asset-Backed Securities |
DB | Deutsche Bank AG |
ETF | Exchange-Traded Fund |
GS | Goldman Sachs & Co. |
JSC | Joint Stock Company |
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 |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, these securities amounted to a value of $4,062,922 or 63.9% of net assets. |
(2) | All or a portion of security is on loan. |
(3) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(4) | Regulation S security. Security is offered and sold outside of the United States; it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(5) | Variable rate security. Rate disclosed is as of March 31, 2021. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(6) | No contractual maturity date. |
(7) | 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. |
(8) | This loan will settle after March 31, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(9) | Represents unfunded portion of security and commitment fee earned on this portion. |
(10) | Value shown as par value. |
(11) | Non-income producing. |
(12) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(13) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | |
United States | 89% |
Canada | 2 |
Indonesia | 1 |
Mexico | 1 |
Netherlands | 1 |
United Kingdom | 1 |
Saudi Arabia | 1 |
Other | 4 |
Total | 100% |
† % of total investments as of March 31, 2021. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $1,514,614 | $ — | $1,514,614 | $ — | |||
Corporate Bonds and Notes | 1,869,704 | — | 1,869,704 | — (1) | |||
Foreign Government Securities | 252,306 | — | 252,306 | — | |||
Leveraged Loans | 837,998 | — | 828,180 | 9,818 (1) | |||
Mortgage-Backed Securities | 1,715,797 | — | 1,662,250 | 53,547 | |||
Municipal Bond | 4,675 | — | 4,675 | — | |||
U.S. Government Securities | 50,925 | — | 50,925 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 26,158 | — | 26,158 | — | |||
Common Stocks | 843 | 843 | — | — | |||
Rights | 108 | — | — | 108 | |||
Warrant | 254 | — | — | 254 | |||
Securities Lending Collateral | 36,512 | 36,512 | — | — | |||
Exchange-Traded Funds | 45,637 | 45,637 | — | — | |||
Total Investments | $6,355,531 | $82,992 | $6,208,812 | $63,727 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Corporate Bonds And Notes | Leveraged Loans | Mortgage-Backed Securities | Right | Warrant | ||||||
Investments in Securities | |||||||||||
Balance as of September 30, 2020: | $ 166 | $ 2(a) | $ —(a) | $ — | $ — | $ 164 | |||||
Accrued discount/(premium) | — (b) | — | — (b) | — (b) | — | — | |||||
Realized gain (loss) | (4,672) | (4,672) | — | — | — | — | |||||
Change in unrealized appreciation (depreciation)(c) | 4,775 | 4,670 | (10) | 25 | — | 90 | |||||
Purchases | 56,495 | — | 2,973 | 53,522 | — | — | |||||
Transfers into Level 3(d) | 6,963 | — | 6,855 | — | 108 | — | |||||
Balance as of March 31, 2021 | $ 63,727 | $ —(a) | $ 9,818(a) | $ 53,547 | $ 108 | $ 254 |
Assets | |
Investment in securities at value(1)(2) | $ 6,355,531 |
Cash | 192,526 |
Receivables | |
Investment securities sold | 54,276 |
Fund shares sold | 16,804 |
Dividends and interest | 28,397 |
Securities lending income | 57 |
Prepaid Trustees’ retainer | 56 |
Prepaid expenses | 138 |
Other assets | 567 |
Total assets | 6,648,352 |
Liabilities | |
Payables | |
Fund shares repurchased | 9,086 |
Investment securities purchased | 234,403 |
Collateral on securities loaned | 36,512 |
Dividend distributions | 1,484 |
Investment advisory fees | 2,534 |
Distribution and service fees | 418 |
Administration and accounting fees | 506 |
Transfer agent and sub-transfer agent fees and expenses | 1,070 |
Professional fees | 35 |
Trustee deferred compensation plan | 567 |
Interest expense and/or commitment fees | 11 |
Other accrued expenses | 156 |
Total liabilities | 286,782 |
Net Assets | $ 6,361,570 |
Net Assets Consist of: | |
Capital paid in on shares of beneficial interest | $ 6,471,158 |
Accumulated earnings (loss) | (109,588) |
Net Assets | $ 6,361,570 |
Net Assets: | |
Class A | $ 954,050 |
Class C | $ 322,697 |
Class C1 | $ 77,297 |
Class I | $ 4,977,880 |
Class R6 | $ 29,646 |
Shares Outstanding (unlimited number of shares authorized, no par value): | |
Class A | 200,516,616 |
Class C | 66,875,059 |
Class C1 | 16,056,922 |
Class I | 1,044,556,409 |
Class R6 | 6,211,310 |
Net Asset Value and Redemption Price Per Share:* | |
Class A | $ 4.76 |
Class C | $ 4.83 |
Class C1 | $ 4.81 |
Class I | $ 4.77 |
Class R6 | $ 4.77 |
Maximum Offering Price per Share (NAV/(1-2.25%**)): | |
Class A | $ 4.87 |
(1) Investment in securities at cost | $ 6,285,788 |
(2) Market value of securities on loan | $ 35,607 |
* | Net Asset Value and Redemption Price Per Share are calculated using unrounded net assets. |
** | Maximum sales charge. |
Investment Income | |
Dividends | $ 1,686 |
Interest | 95,008 |
Securities lending, net of fees | 122 |
Total investment income | 96,816 |
Expenses | |
Investment advisory fees | 14,523 |
Distribution and service fees, Class A | 1,103 |
Distribution and service fees, Class C | 993 |
Distribution and service fees, Class C1 | 528 |
Administration and accounting fees | 3,085 |
Transfer agent fees and expenses | 1,306 |
Sub-transfer agent fees and expenses, Class A | 287 |
Sub-transfer agent fees and expenses, Class C | 132 |
Sub-transfer agent fees and expenses, Class C1 | 34 |
Sub-transfer agent fees and expenses, Class I | 1,625 |
Custodian fees | 5 |
Printing fees and expenses | 179 |
Professional fees | 52 |
Interest expense and/or commitment fees | 17 |
Registration fees | 95 |
Trustees’ fees and expenses | 243 |
Miscellaneous expenses | 201 |
Total expenses | 24,408 |
Less net expenses reimbursed and/or waived by investment adviser(1) | (11) |
Less low balance account fees | (1) |
Net expenses | 24,396 |
Net investment income (loss) | 72,420 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 17,418 |
Foreign currency transactions | (2,237) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | 22,721 |
Foreign currency transactions | (1) |
Net realized and unrealized gain (loss) on investments | 37,901 |
Net increase (decrease) in net assets resulting from operations | $110,321 |
(1) | See Note 3D in Notes to Financial Statements. |
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $ 72,420 | $ 165,470 | |
Net realized gain (loss) | 15,181 | (12,627) | |
Net change in unrealized appreciation (depreciation) | 22,720 | 6,679 | |
Increase (decrease) in net assets resulting from operations | 110,321 | 159,522 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (9,773) | (21,578) | |
Class C | (3,852) | (11,346) | |
Class C1 | (764) | (3,010) | |
Class I | (57,859) | (127,738) | |
Class R6 | (299) | (320) | |
Return of Capital: | |||
Class A | — | (2,308) | |
Class C | — | (1,356) | |
Class C1 | — | (455) | |
Class I | — | (12,460) | |
Class R6 | — | (30) | |
Total dividends and distributions to shareholders | (72,547) | (180,601) | |
Change in Net Assets from Capital Transactions | |||
Shares sold and cross class conversions: | |||
Class A (43,012 and 45,831 shares, respectively) | 205,212 | 214,777 | |
Class C (—(1) and 3 shares, respectively) | — (2) | 15 | |
Class C1 (2,597 and 4,727 shares, respectively) | 12,538 | 22,398 | |
Class I (195,496 and 328,899 shares, respectively) | 934,882 | 1,539,304 | |
Class R6 (4,479 and 2,223 shares, respectively) | 21,386 | 10,419 | |
Reinvestment of distributions: | |||
Class A (1,755 and 4,513 shares, respectively) | 8,361 | 21,038 | |
Class C (792 and 2,666 shares, respectively) | 3,830 | 12,596 | |
Class C1 (138 and 487 shares, respectively) | 665 | 2,295 | |
Class I (10,552 and 26,392 shares, respectively) | 50,395 | 123,234 | |
Class R6 (51 and 49 shares, respectively) | 244 | 231 | |
Shares repurchased and cross class conversions: | |||
Class A ((25,581) and (59,515) shares, respectively) | (122,025) | (276,484) | |
Class C ((24,301) and (32,673) shares, respectively) | (117,592) | (154,019) | |
Class C1 ((10,668) and (22,152) shares, respectively) | (51,443) | (104,849) | |
Class I ((120,417) and (390,608) shares, respectively) | (575,504) | (1,799,312) | |
Class R6 ((716) and (1,232) shares, respectively) | (3,431) | (5,763) | |
Increase (decrease) in net assets from capital transactions | 367,518 | (394,120) | |
Net increase (decrease) in net assets | 405,292 | (415,199) | |
Net Assets | |||
Beginning of period | 5,956,278 | 6,371,477 | |
End of Period | $ 6,361,570 | $ 5,956,278 |
(1) | Amount is less than 500 shares. |
(2) | Amount is less than $500. |
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 | |||||||
10/1/20 to 3/31/21(6) | $4.73 | 0.05 | 0.03 | 0.08 | (0.05) | — | (0.05) |
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 | |||||||
10/1/20 to 3/31/21(6) | $4.79 | 0.05 | 0.04 | 0.09 | (0.05) | — | (0.05) |
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 | |||||||
10/1/20 to 3/31/21(6) | $4.78 | 0.04 | 0.02 | 0.06 | (0.03) | — | (0.03) |
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 | |||||||
10/1/20 to 3/31/21(6) | $4.73 | 0.06 | 0.04 | 0.10 | (0.06) | — | (0.06) |
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 | |||||||
10/1/20 to 3/31/21(6) | $4.74 | 0.06 | 0.03 | 0.09 | (0.06) | — | (0.06) |
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 (11) 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(3) |
0.03 | $4.76 | 1.75 % | $ 954,050 | 0.96 % (7) | 0.96 % | 2.20 % | 34 % |
0.01 | 4.73 | 3.10 | 857,107 | 0.98 (7) | 0.98 | 2.58 | 70 |
0.07 | 4.72 | 4.62 | 898,392 | 0.97 (7) | 0.98 | 3.01 | 58 |
(0.13) | 4.65 | 0.05 | 711,425 | 0.97 (7) | 0.98 | 2.88 | 55 |
— | 4.78 | 3.07 (8) | 925,677 | 1.00 (7)(8) | 1.01 | 3.04 (8) | 69 |
0.09 | 4.78 | 4.90 | 1,307,484 | 1.00 (7)(9) | 1.01 | 3.19 | 53 |
0.04 | $4.83 | 1.81 % | $ 322,697 | 1.21 % (7) | 1.21 % | 1.96 % | 34 % |
0.01 | 4.79 | 2.81 | 433,279 | 1.21 (7) | 1.21 | 2.35 | 70 |
0.07 | 4.78 | 4.31 | 575,524 | 1.21 (7) | 1.21 | 2.78 | 58 |
(0.13) | 4.71 | (0.18) | 1,039,109 | 1.20 (7) | 1.21 | 2.66 | 55 |
— | 4.84 | 2.78 (8) | 1,266,378 | 1.25 (7)(8) | 1.25 | 2.80 (8) | 69 |
0.09 | 4.84 | 4.58 | 1,321,202 | 1.25 (7)(9) | 1.26 | 2.94 | 53 |
0.03 | $4.81 | 1.35 % | $ 77,297 | 1.71 % (7) | 1.71 % | 1.46 % | 34 % |
0.01 | 4.78 | 2.31 | 114,699 | 1.71 (7) | 1.71 | 1.85 | 70 |
0.07 | 4.77 | 3.80 | 195,185 | 1.71 (7) | 1.72 | 2.28 | 58 |
(0.13) | 4.70 | (0.68) | 304,444 | 1.70 (7) | 1.71 | 2.16 | 55 |
— | 4.83 | 2.28 (8) | 377,835 | 1.75 (7)(8) | 1.75 | 2.30 (8) | 69 |
0.10 | 4.83 | 4.29 | 489,924 | 1.75 (7)(9) | 1.76 | 2.44 | 53 |
0.04 | $4.77 | 2.09 % | $4,977,880 | 0.71 % (7) | 0.71 % | 2.45 % | 34 % |
0.01 | 4.73 | 3.36 | 4,539,835 | 0.72 (7) | 0.72 | 2.83 | 70 |
0.06 | 4.72 | 4.66 | 4,695,968 | 0.72 (7) | 0.72 | 3.26 | 58 |
(0.13) | 4.66 | 0.32 | 4,981,559 | 0.71 (7) | 0.71 | 3.16 | 55 |
0.01 | 4.79 | 3.54 (8) | 4,811,684 | 0.75 (7)(8) | 0.76 | 3.30 (8) | 69 |
0.09 | 4.78 | 5.16 | 4,033,610 | 0.75 (7)(9) | 0.76 | 3.44 | 53 |
0.03 | $4.77 | 1.91 % | $ 29,646 | 0.55 % | 0.64 % | 2.60 % | 34 % |
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 (10) | 0.65 | 3.29 | 55 |
0.02 | 4.78 | 3.54 (8) | 2,533 | 0.70 (8) | 0.71 | 3.05 (8) | 69 (12) |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | Not annualized for periods less than one year. |
(4) | Annualized for periods less than one year. |
(5) | The Fund will also indirectly bear its prorated share of expenses of any underlying funds in which it invests. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | The share class is currently under its expense limitation. |
(8) | Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and the Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses and increase the Ratio of Net Investment Income (Loss) by 0.01%. Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return by 0.01%. |
(9) | Net expense ratio includes extraordinary proxy expenses. |
(10) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(11) | Inception date. |
(12) | Portfolio turnover is representative of the Fund for the entire period. |
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 March 31, 2021, 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 which 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. | |
As of March 31, 2021, the Fund had unfunded loan commitments: |
Borrower | Unfunded Loan Commitment | |
Hillman Group, Inc. (The) (3 month LIBOR + 2.750%) 0.000%, 2/24/28 | $485 |
I. | Securities Lending |
Effective October 1, 2020, the Fund may resume loaning 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”) which 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. |
At March 31, 2021, the securities loaned were subject to a MSLA on a net payment basis as follows: |
Counterparty | Value of Securities on Loan | Cash Collateral Received(1) | Net Amount(2) | |||
BNYM | $ 35,607 | $ 35,607 | $ — |
(1) | Collateral received in excess of the market value of securities on loan is not presented in this table. The cash collateral received in connection with securities lending transactions has been used for the purchase of securities as disclosed in the Fund’s Schedule of Investments. |
(2) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
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 Limitations |
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 February 1, 2022. 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. |
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 | 2024 | Total | |||||
Class R6 | $ 2 | $ 5 | $ 11 | $ 11 | $ 29 | ||||
E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of the Fund’s shares. VP Distributors has advised the Fund that for the six months (the “period”) ended March 31, 2021, it retained net commissions of $11 for Class A shares, and CDSC of $22, $—* and $8 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 March 31, 2021, the Fund incurred administration fees totaling $2,840 which are included in the Statement of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
For the period ended March 31, 2021, the Fund incurred transfer agent fees totaling $1,290 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. | Investments in Affiliates |
The Fund is permitted to purchase assets from or sell assets to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Fund from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. | |
During the period ended March 31, 2021, the Fund did not engage in Rule 17a-7 of the 1940 Act transactions. | |
H. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statement of Assets and Liabilities at March 31, 2021. |
Purchases | Sales | |
$2,294,830 | $1,866,569 |
Purchases | Sales | |
$123,820 | $223,605 |
% of Shares Outstanding | Number of Accounts* | |
46% | 3 |
* | The shareholders are not affiliated with Virtus. |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$6,287,074 | $ 119,912 | $ (51,455) | $ 68,457 |
Short-Term | Long-Term | ||
$70,491 | $114,199 |
Capital Loss Deferred | Capital Loss Recognized | |
$ 5,933 | $ (44,562) |
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.
8024 | 05-21 |
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President, Virtus Funds
Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,194.30 | 1.56 % | $ 8.53 | |||
Class C | 1,000.00 | 1,191.10 | 2.24 | 12.24 | |||
Class I | 1,000.00 | 1,197.00 | 1.25 | 6.85 | |||
Class R6 | 1,000.00 | 1,198.70 | 0.98 | 5.37 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,017.15 | 1.56 % | $ 7.85 | |||
Class C | 1,000.00 | 1,013.76 | 2.24 | 11.25 | |||
Class I | 1,000.00 | 1,018.70 | 1.25 | 6.29 | |||
Class R6 | 1,000.00 | 1,020.04 | 0.98 | 4.94 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
March 31, 2021
Information Technology | 30% |
Consumer Staples | 18 |
Consumer Discretionary | 17 |
Communication Services | 15 |
Financials | 15 |
Industrials | 3 |
Utilities | 2 |
Total | 100% |
Shares | Value | ||
Common Stocks—98.6% | |||
Communication Services—14.8% | |||
Autohome, Inc. ADR (China) | 754,978 | $ 70,417 | |
NAVER Corp. (South Korea) | 468,209 | 155,966 | |
NCSoft Corp. (South Korea) | 47,894 | 36,944 | |
NetEase, Inc. (China) | 5,060,913 | 102,988 | |
NetEase, Inc. ADR (China) | 670,537 | 69,240 | |
Telekom Indonesia Persero Tbk PT (Indonesia) | 481,259,740 | 113,315 | |
Tencent Holdings Ltd. (China) | 5,032,118 | 394,848 | |
943,718 | |||
Consumer Discretionary—16.3% | |||
Alibaba Group Holding Ltd. (China)(1) | 7,458,060 | 211,056 | |
Baozun, Inc. Sponsored ADR (China)(1) | 1,041,923 | 39,739 | |
China Tourism Group Duty Free Corp. Ltd. Class A (China) | 1,430,575 | 66,800 | |
Eicher Motors Ltd. (India) | 1,699,958 | 60,544 |
Shares | Value | ||
Consumer Discretionary—continued | |||
Lojas Renner S.A. (Brazil) | 17,817,102 | $ 134,563 | |
Meituan Class B (China)(1) | 744,326 | 28,551 | |
Naspers Ltd. Class N (South Africa) | 766,559 | 183,419 | |
Shenzhou International Group Holdings Ltd. (China) | 1,752,542 | 36,317 | |
Yum China Holdings, Inc. (China) | 2,567,963 | 152,049 | |
Yum China Holdings, Inc. (China) | 2,104,726 | 122,914 | |
1,035,952 | |||
Consumer Staples—18.2% | |||
Ambev S.A. ADR (Brazil) | 8,957,814 | 24,544 | |
Anheuser-Busch InBev NV (Belgium) | 1,013,913 | 63,910 | |
Budweiser Brewing Co. APAC Ltd. (Hong Kong) | 48,239,699 | 143,960 | |
Chacha Food Co. Ltd. Class A (China) | 9,058,591 | 67,729 | |
CP ALL PCL (Thailand)(1) | 55,928,372 | 123,937 |
Shares | Value | ||
Consumer Staples—continued | |||
Fomento Economico Mexicano SAB de C.V. Sponsored ADR (Mexico) | 1,168,773 | $ 88,044 | |
Foshan Haitian Flavouring & Food Co. Ltd. Class A (China) | 1,211,848 | 29,543 | |
Heineken NV (Netherlands) | 908,396 | 93,339 | |
LG Household & Health Care Ltd. (South Korea) | 60,224 | 83,545 | |
Toly Bread Co., Ltd. (China) | 8,623,461 | 62,910 | |
Unilever plc (United Kingdom) | 1,506,803 | 84,075 | |
Vietnam Dairy Products JSC (Vietnam) | 6,780,442 | 28,914 | |
Vitasoy International Holdings Ltd. (Hong Kong) | 9,477,109 | 36,450 | |
Wal-Mart de Mexico SAB de C.V. (Mexico) | 27,435,870 | 86,645 | |
Wuliangye Yibin Co., Ltd. Class A (China) | 3,354,592 | 137,142 | |
1,154,687 | |||
Financials—14.2% | |||
B3 SA - Brasil Bolsa Balcao (Brazil) | 4,739,835 | 46,037 | |
Bank Central Asia Tbk PT (Indonesia) | 47,759,939 | 102,178 | |
Bank Rakyat Persero Tbk PT (Indonesia)(1) | 383,279,453 | 116,105 | |
HDFC Bank Ltd. (India)(1) | 3,382,214 | 69,096 | |
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | 861,781 | 50,704 | |
Housing Development Finance Corp., Ltd. (India) | 4,008,551 | 136,962 | |
Kotak Mahindra Bank Ltd. (India)(1) | 4,127,876 | 98,972 |
Shares | Value | ||
Financials—continued | |||
Public Bank Bhd (Malaysia) | 89,860,708 | $ 91,020 | |
United Overseas Bank Ltd. (Singapore) | 7,835,221 | 150,449 | |
XP, Inc. Class A (Brazil)(1) | 1,175,772 | 44,291 | |
�� | 905,814 | ||
Health Care—0.4% | |||
Notre Dame Intermedica Participacoes SA (Brazil) | 1,770,365 | 26,074 | |
Industrials—3.2% | |||
Airports of Thailand PCL (Thailand) | 26,283,353 | 58,034 | |
BOC Aviation Ltd. (Singapore) | 2,742,155 | 26,560 | |
MTR Corp., Ltd. (Hong Kong) | 9,577,044 | 54,266 | |
Shanghai M&G Stationery, Inc. Class A (China) | 2,143,713 | 27,932 | |
Techtronic Industries Co., Ltd. (Hong Kong) | 2,079,364 | 35,574 | |
202,366 | |||
Information Technology—29.6% | |||
HCL Technologies Ltd. (India) | 15,877,321 | 213,392 | |
Hundsun Technologies, Inc. (China) | 6,413,513 | 82,187 | |
Largan Precision Co., Ltd. (Taiwan) | 528,495 | 59,456 | |
Realtek Semiconductor Corp. (Taiwan) | 3,630,387 | 62,854 | |
Samsung Electronics Co., Ltd. (South Korea) | 2,735,753 | 196,766 | |
SK Hynix, Inc. (South Korea) | 3,061,197 | 358,391 |
Shares | Value | ||
Information Technology—continued | |||
Sunny Optical Technology Group Co., Ltd. (China) | 2,473,797 | $ 56,387 | |
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) | 21,474,555 | 441,789 | |
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 597,801 | 70,708 | |
Tata Consultancy Services Ltd. (India) | 4,916,227 | 213,681 | |
Win Semiconductors Corp. (Taiwan) | 8,978,945 | 123,042 | |
1,878,653 | |||
Utilities—1.9% | |||
ENN Energy Holdings Ltd. (China) | 7,487,698 | 120,106 | |
Total Common Stocks (Identified Cost $4,839,035) | 6,267,370 | ||
Total Long-Term Investments—98.6% (Identified Cost $4,839,035) | 6,267,370 |
Value | ||
TOTAL INVESTMENTS—98.6% (Identified Cost $4,839,035) | $6,267,370 | |
Other assets and liabilities, net—1.4% | 88,057 | |
NET ASSETS—100.0% | $6,355,427 |
Abbreviations: | |
ADR | American Depositary Receipt |
JSC | Joint Stock Company |
Footnote Legend: | |
(1) | Non-income producing. |
Country Weightings† | |
China | 30% |
South Korea | 13 |
India | 13 |
Taiwan | 12 |
Indonesia | 6 |
Hong Kong | 6 |
Brazil | 4 |
Other | 16 |
Total | 100% |
† % of total investments as of March 31, 2021. |
Total Value at March 31, 2021 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $6,267,370 | $6,267,370 | |
Total Investments | $6,267,370 | $6,267,370 |
Assets | |
Investment in securities at value(1) | $ 6,267,370 |
Foreign currency at value(2) | 7,748 |
Cash | 105,687 |
Receivables | |
Investment securities sold | 23,986 |
Fund shares sold | 7,748 |
Dividends | 10,300 |
Tax reclaims | 2,723 |
Prepaid Trustees’ retainer | 73 |
Prepaid expenses | 113 |
Other assets | 592 |
Total assets | 6,426,340 |
Liabilities | |
Payables | |
Fund shares repurchased | 3,838 |
Investment securities purchased | 29,338 |
Foreign capital gains tax | 28,780 |
Investment advisory fees | 5,325 |
Distribution and service fees | 172 |
Administration and accounting fees | 537 |
Transfer agent and sub-transfer agent fees and expenses | 1,911 |
Professional fees | 49 |
Trustee deferred compensation plan | 592 |
Interest expense and/or commitment fees | 11 |
Other accrued expenses | 360 |
Total liabilities | 70,913 |
Net Assets | $ 6,355,427 |
Net Assets Consist of: | |
Common stock $0.001 par value | $ 470 |
Capital paid in on shares of beneficial interest | 4,726,468 |
Accumulated earnings (loss) | 1,628,489 |
Net Assets | $ 6,355,427 |
Net Assets: | |
Class A | $ 420,111 |
Class C | $ 89,587 |
Class I | $ 5,606,901 |
Class R6 | $ 238,828 |
Shares Outstanding (unlimited number of shares authorized, no par value): | |
Class A | 32,074,249 |
Class C | 7,084,118 |
Class I | 413,332,265 |
Class R6 | 17,553,182 |
Net Asset Value and Redemption Price Per Share:* | |
Class A | $ 13.10 |
Class C | $ 12.65 |
Class I | $ 13.57 |
Class R6 | $ 13.61 |
Maximum Offering Price per Share (NAV/(1-5.50%**)): | |
Class A | $ 13.86 |
(1) Investment in securities at cost | $ 4,839,035 |
(2) Foreign currency at cost | $ 7,766 |
* | Net Asset Value and Redemption Price Per Share are calculated using unrounded net assets. |
** | Maximum sales charge. |
Investment Income | |
Dividends | $ 31,706 |
Securities lending, net of fees | 32 |
Foreign taxes withheld | (3,856) |
Total investment income | 27,882 |
Expenses | |
Investment advisory fees | 30,840 |
Distribution and service fees, Class A | 505 |
Distribution and service fees, Class C | 528 |
Administration and accounting fees | 3,253 |
Transfer agent fees and expenses | 1,384 |
Sub-transfer agent fees and expenses, Class A | 347 |
Sub-transfer agent fees and expenses, Class C | 54 |
Sub-transfer agent fees and expenses, Class I | 3,162 |
Custodian fees | 159 |
Printing fees and expenses | 227 |
Professional fees | 69 |
Interest expense and/or commitment fees | 17 |
Registration fees | 69 |
Trustees’ fees and expenses | 243 |
Miscellaneous expenses | 324 |
Total expenses | 41,181 |
Less net expenses reimbursed and/or waived by investment adviser(1) | (177) |
Less low balance account fees | — (2) |
Net expenses | 41,004 |
Net investment income (loss) | (13,122) |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 638,347 |
Foreign currency transactions | (1,510) |
Foreign capital gains tax | (1,167) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | 502,623 |
Foreign currency transactions | (212) |
Foreign capital gains tax | (8,579) |
Net realized and unrealized gain (loss) on investments | 1,129,502 |
Net increase (decrease) in net assets resulting from operations | $1,116,380 |
(1) | See Note 3D in Notes to Financial Statements. |
(2) | Amount is less than $500. |
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $ (13,122) | $ 21,845 | |
Net realized gain (loss) | 635,670 | (151,418) | |
Net change in unrealized appreciation (depreciation) | 493,832 | 342,789 | |
Increase (decrease) in net assets resulting from operations | 1,116,380 | 213,216 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (1,489) | (8,478) | |
Class C | — | (1,441) | |
Class I | (35,907) | (133,209) | |
Class R6 | (1,604) | (2,708) | |
Total dividends and distributions to shareholders | (39,000) | (145,836) | |
Change in Net Assets from Capital Transactions | |||
Shares sold and cross class conversions: | |||
Class A (5,257 and 9,057 shares, respectively) | 68,366 | 93,018 | |
Class C (463 and 420 shares, respectively) | 5,992 | 4,358 | |
Class I (35,482 and 100,907 shares, respectively) | 479,328 | 1,037,831 | |
Class R6 (2,821 and 10,515 shares, respectively) | 38,135 | 114,095 | |
Reinvestment of distributions: | |||
Class A (96 and 623 shares, respectively) | 1,203 | 6,968 | |
Class C (— and 123 shares, respectively) | — | 1,335 | |
Class I (2,444 and 9,993 shares, respectively) | 31,633 | 115,621 | |
Class R6 (98 and 191 shares, respectively) | 1,270 | 2,205 | |
Shares repurchased and cross class conversions: | |||
Class A ((6,810) and (21,189) shares, respectively) | (86,213) | (211,952) | |
Class C ((2,712) and (4,422) shares, respectively) | (34,223) | (43,221) | |
Class I ((78,423) and (221,600) shares, respectively) | (1,036,803) | (2,260,192) | |
Class R6 ((2,890) and (4,043) shares, respectively) | (38,011) | (43,156) | |
Increase (decrease) in net assets from capital transactions | (569,323) | (1,183,090) | |
Net increase (decrease) in net assets | 508,057 | (1,115,710) | |
Net Assets | |||
Beginning of period | 5,847,370 | 6,963,080 | |
End of Period | $ 6,355,427 | $ 5,847,370 |
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 | |||||||
10/1/20 to 3/31/21(6) | $11.01 | (0.04) | 2.18 | 2.14 | (0.05) | — | (0.05) |
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(7) | 8.68 | 0.03 | 1.19 | 1.22 | — | — | — |
1/1/15 to 12/31/15 | 9.58 | 0.07 | (0.91) | (0.84) | (0.06) | — | (0.06) |
Class C | |||||||
10/1/20 to 3/31/21(6) | $10.62 | (0.09) | 2.12 | 2.03 | — | — | — |
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(7) | 8.49 | (0.02) | 1.16 | 1.14 | — | — | — |
1/1/15 to 12/31/15 | 9.37 | — | (0.88) | (0.88) | — | — | — |
Class I | |||||||
10/1/20 to 3/31/21(6) | $11.41 | (0.03) | 2.27 | 2.24 | (0.08) | — | (0.08) |
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(7) | 8.96 | 0.04 | 1.24 | 1.28 | — | — | — |
1/1/15 to 12/31/15 | 9.89 | 0.10 | (0.95) | (0.85) | (0.08) | — | (0.08) |
Class R6 | |||||||
10/1/20 to 3/31/21(6) | $11.44 | (0.01) | 2.28 | 2.27 | (0.10) | — | (0.10) |
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(7) | 8.96 | 0.05 | 1.24 | 1.29 | — | — | — |
1/1/15 to 12/31/15 | 9.89 | 0.08 | (0.91) | (0.83) | (0.10) | — | (0.10) |
Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) |
2.09 | $13.10 | 19.43 % | $ 420,111 | 1.56 % | �� 1.56 % | (0.69) % | 27 % |
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 (8) | 1.60 | 0.40 | 25 |
(0.90) | 8.68 | (8.77) | 745,947 | 1.56 | 1.56 | 0.73 | 27 |
2.03 | $12.65 | 19.11 % | $ 89,587 | 2.24 % | 2.24 % | (1.39) % | 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 (8) | 2.35 | (0.31) | 25 |
(0.88) | 8.49 | (9.50) | 223,303 | 2.31 | 2.31 | (0.01) | 27 |
2.16 | $13.57 | 19.70 % | $5,606,901 | 1.25 % | 1.25 % | (0.38) % | 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 (8) | 1.34 | 0.64 | 25 |
(0.93) | 8.96 | (8.55) | 8,726,303 | 1.31 | 1.32 | 0.99 | 27 |
2.17 | $13.61 | 19.87 % | $ 238,828 | 0.98 % | 1.14 % | (0.12) % | 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 (9) | 1.13 | 1.80 | 30 |
(0.66) | 10.82 | (5.34) | 125,809 | 1.15 | 1.15 | 1.01 | 38 |
1.23 | 11.48 | 13.15 | 126,422 | 1.20 | 1.21 | 0.92 | 27 |
1.29 | 10.25 | 14.40 | 45,197 | 1.21 (8) | 1.22 | 0.72 | 25 |
(0.93) | 8.96 | (8.44) | 34,379 | 1.21 | 1.21 | 0.90 | 27 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Sales charges, where applicable, are not reflected in the total return calculation. |
(4) | Annualized for periods less than one year. |
(5) | The Fund will also indirectly bear its prorated share of expenses of any underlying funds in which it invests. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | The Fund changed its fiscal year end to September 30 during the period. |
(8) | Net expense ratio includes extraordinary proxy expenses. |
(9) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
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 March 31, 2021, 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 which 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 |
Effective October 1, 2020, the Fund may resume loaning 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”) which 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. | |
At March 31, 2021, the Fund did not loan securities. |
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 February 1, 2022. Following the contractual period, the Adviser may discontinue this expense reimbursement arrangement at any time. The waivers and reimbursements are accrued 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 | 2024 | Total | ||||
Class A | $ 118 | $ 241 | $ 177 | $ 536 | |||
E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of the Fund’s shares. VP Distributors has advised the Fund that for the six months (the “period”) ended March 31, 2021, it retained net commissions of $7 for Class A shares and CDSC of $10 for Class A shares and $2 for Class C shares. | |
In addition, the Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the following annual rates: 0.25% for Class A shares and 1.00% for Class C shares. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. | |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as administrator and transfer agent to the Fund. | |
For the period ended March 31, 2021, the Fund incurred administration fees totaling $2,994 which are included in the Statement of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
For the period ended March 31, 2021, the Fund incurred transfer agent fees totaling $1,357 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. | Investments in Affiliates |
The Fund is permitted to purchase assets from or sell assets to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the |
Fund from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. | |
During the period ended March 31, 2021, the Fund did not engage in Rule 17a-7 of the 1940 Act transactions. | |
H. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statement of Assets and Liabilities at March 31, 2021. |
Purchases | Sales | |
$1,652,922 | $2,318,909 |
% of Shares Outstanding | Number of Accounts* | |
47% | 2 |
* | The shareholders are not affiliated with Virtus. |
Sector | Percentage of Total Investments | |
Information Technology | 30% |
Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | |||
$1 | $11,550 | 1.30% | 2 |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$ 4,889,565 | $ 1,529,994 | $ (152,189) | $ 1,377,805 |
Short-Term | Long-Term | ||
$88,600 | $83,520 |
Capital Loss Deferred |
$ 147,736 |
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.
8005 | 05-21 |
Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) 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) | Not applicable. | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | |
(a)(3) | Not applicable. | |
(a)(4) | Not applicable. | |
(b) | Certifications pursuant to 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 | 6/3/2021 |
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ George R. Aylward | |||
George R. Aylward, President | ||||
(principal executive officer) |
Date | 6/3/2021 |
By (Signature and Title)* | /s/ W. Patrick Bradley | |||
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer | ||||
(principal financial officer) |
Date | 6/3/2021 |
|
* | Print the name and title of each signing officer under his or her signature. |