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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-07705
Virtus Asset 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 06103-4506
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800)243-1574
Date of fiscal year end: December 31
Date of reporting period: December 31, 2019
FormN-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
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Item 1. | Reports to Stockholders. |
The Report to Shareholders is attached herewith.
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Virtus Seix Core Bond Fund |
Virtus Seix Corporate Bond Fund |
Virtus Seix Floating Rate High Income Fund* |
Virtus Seix High Grade Municipal Bond Fund |
Virtus Seix High Income Fund |
Virtus Seix High Yield Fund |
Virtus Seix Investment Grade Tax-Exempt Bond Fund* |
Virtus Seix Short-Term Bond Fund |
Virtus Seix Short-Term Municipal Bond Fund |
Virtus Seix Total Return Bond Fund |
Virtus Seix U.S. Government Securities Ultra-Short Bond Fund |
Virtus Seix U.S. Mortgage Fund |
Virtus Seix Ultra-Short Bond Fund |
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1 | ||
2 | ||
5 | ||
Fund | Fund Summary | Schedule of Investments |
8 | 41 | |
11 | 44 | |
14 | 47 | |
16 | 57 | |
18 | 59 | |
20 | 65 | |
22 | 71 | |
24 | 74 | |
27 | 76 | |
29 | 78 | |
32 | 82 | |
35 | 85 | |
38 | 87 | |
90 | ||
95 | ||
100 | ||
107 | ||
115 | ||
136 | ||
137 | ||
138 | ||
143 |
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President, Virtus Funds
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Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Seix Core Bond Fund | ||||||||
Class A | $ 1,000.00 | $ 1,020.00 | 0.64 % | $ 3.26 | ||||
Class I | 1,000.00 | 1,020.70 | 0.50 | 2.55 | ||||
Class R6 | 1,000.00 | 1,021.40 | 0.36 | 1.83 | ||||
Seix Corporate Bond Fund | ||||||||
Class A | 1,000.00 | 1,034.30 | 0.95 | 4.87 | ||||
Class C | 1,000.00 | 1,029.80 | 1.82 | 9.31 | ||||
Class I | 1,000.00 | 1,035.70 | 0.70 | 3.59 | ||||
Seix Floating Rate High Income Fund | ||||||||
Class A | 1,000.00 | 1,013.60 | 0.95 | 4.82 | ||||
Class C | 1,000.00 | 1,009.50 | 1.53 | 7.75 | ||||
Class I | 1,000.00 | 1,015.30 | 0.63 | 3.20 | ||||
Class R6 | 1,000.00 | 1,014.60 | 0.53 | 2.69 | ||||
Seix High Grade Municipal Bond Fund | ||||||||
Class A | 1,000.00 | 1,023.80 | 0.75 | 3.83 | ||||
Class I | 1,000.00 | 1,024.50 | 0.60 | 3.06 | ||||
Seix High Income Fund | ||||||||
Class A | 1,000.00 | 1,028.10 | 0.93 | 4.75 | ||||
Class I | 1,000.00 | 1,027.80 | 0.68 | 3.48 | ||||
Class R6 | 1,000.00 | 1,028.20 | 0.59 | 3.02 | ||||
Seix High Yield Fund | ||||||||
Class A | 1,000.00 | 1,034.10 | 0.82 | 4.20 | ||||
Class I | 1,000.00 | 1,036.00 | 0.64 | 3.28 | ||||
Class R6 | 1,000.00 | 1,036.60 | 0.53 | 2.72 | ||||
Seix Investment Grade Tax-Exempt Bond Fund | ||||||||
Class A | 1,000.00 | 1,019.60 | 0.75 | 3.82 | ||||
Class I | 1,000.00 | 1,019.50 | 0.60 | 3.05 | ||||
Seix Short-Term Bond Fund | ||||||||
Class A | 1,000.00 | 1,007.30 | 0.80 | 4.05 | ||||
Class C | 1,000.00 | 1,004.30 | 1.57 | 7.93 | ||||
Class I | 1,000.00 | 1,008.30 | 0.60 | 3.04 | ||||
Seix Short-Term Municipal Bond Fund | ||||||||
Class A | 1,000.00 | 1,010.70 | 0.65 | 3.29 | ||||
Class I | 1,000.00 | 1,012.50 | 0.48 | 2.43 |
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Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Seix Total Return Bond Fund | ||||||||
Class A | $1,000.00 | $1,013.80 | 0.70% | $3.55 | ||||
Class I | 1,000.00 | 1,016.30 | 0.46 | 2.34 | ||||
Class R6 | 1,000.00 | 1,016.10 | 0.31 | 1.58 | ||||
Seix U.S. Government Securities Ultra-Short Bond Fund | ||||||||
Class A | 1,000.00 | 1,009.10 | 0.65 | 3.29 | ||||
Class I | 1,000.00 | 1,010.40 | 0.41 | 2.08 | ||||
Class R6 | 1,000.00 | 1,011.10 | 0.26 | 1.32 | ||||
Seix U.S. Mortgage Fund | ||||||||
Class A | 1,000.00 | 1,017.60 | 0.90 | 4.58 | ||||
Class C | 1,000.00 | 1,014.30 | 1.74 | 8.83 | ||||
Class I | 1,000.00 | 1,018.50 | 0.70 | 3.56 | ||||
Seix Ultra-Short Bond Fund | ||||||||
Class A | 1,000.00 | 1,010.00 | 0.65 | 3.29 | ||||
Class I | 1,000.00 | 1,011.30 | 0.40 | 2.03 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (184) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Seix Core Bond Fund | ||||||||
Class A | $ 1,000.00 | $ 1,021.98 | 0.64 % | $ 3.26 | ||||
Class I | 1,000.00 | 1,022.68 | 0.50 | 2.55 | ||||
Class R6 | 1,000.00 | 1,023.39 | 0.36 | 1.84 | ||||
Seix Corporate Bond Fund | ||||||||
Class A | 1,000.00 | 1,020.42 | 0.95 | 4.84 | ||||
Class C | 1,000.00 | 1,016.03 | 1.82 | 9.25 | ||||
Class I | 1,000.00 | 1,021.68 | 0.70 | 3.57 | ||||
Seix Floating Rate High Income Fund | ||||||||
Class A | 1,000.00 | 1,020.42 | 0.95 | 4.84 | ||||
Class C | 1,000.00 | 1,017.49 | 1.53 | 7.78 | ||||
Class I | 1,000.00 | 1,022.03 | 0.63 | 3.21 | ||||
Class R6 | 1,000.00 | 1,022.53 | 0.53 | 2.70 | ||||
Seix High Grade Municipal Bond Fund | ||||||||
Class A | 1,000.00 | 1,021.42 | 0.75 | 3.82 | ||||
Class I | 1,000.00 | 1,022.18 | 0.60 | 3.06 | ||||
Seix High Income Fund | ||||||||
Class A | 1,000.00 | 1,020.52 | 0.93 | 4.74 | ||||
Class I | 1,000.00 | 1,021.78 | 0.68 | 3.47 | ||||
Class R6 | 1,000.00 | 1,022.23 | 0.59 | 3.01 |
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Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Seix High Yield Fund | ||||||||
Class A | $1,000.00 | $1,021.07 | 0.82% | $4.18 | ||||
Class I | 1,000.00 | 1,021.98 | 0.64 | 3.26 | ||||
Class R6 | 1,000.00 | 1,022.53 | 0.53 | 2.70 | ||||
Seix Investment Grade Tax-Exempt Bond Fund | ||||||||
Class A | 1,000.00 | 1,021.43 | 0.75 | 3.82 | ||||
Class I | 1,000.00 | 1,022.18 | 0.60 | 3.06 | ||||
Seix Short-Term Bond Fund | ||||||||
Class A | 1,000.00 | 1,021.17 | 0.80 | 4.08 | ||||
Class C | 1,000.00 | 1,017.29 | 1.57 | 7.98 | ||||
Class I | 1,000.00 | 1,022.18 | 0.60 | 3.06 | ||||
Seix Short-Term Municipal Bond Fund | ||||||||
Class A | 1,000.00 | 1,021.93 | 0.65 | 3.31 | ||||
Class I | 1,000.00 | 1,022.79 | 0.48 | 2.45 | ||||
Seix Total Return Bond Fund | ||||||||
Class A | 1,000.00 | 1,021.68 | 0.70 | 3.57 | ||||
Class I | 1,000.00 | 1,022.89 | 0.46 | 2.35 | ||||
Class R6 | 1,000.00 | 1,023.64 | 0.31 | 1.58 | ||||
Seix U.S. Government Securities Ultra-Short Bond Fund | ||||||||
Class A | 1,000.00 | 1,021.93 | 0.65 | 3.31 | ||||
Class I | 1,000.00 | 1,023.14 | 0.41 | 2.09 | ||||
Class R6 | 1,000.00 | 1,023.90 | 0.26 | 1.33 | ||||
Seix U.S. Mortgage Fund | ||||||||
Class A | 1,000.00 | 1,020.67 | 0.90 | 4.58 | ||||
Class C | 1,000.00 | 1,016.43 | 1.74 | 8.84 | ||||
Class I | 1,000.00 | 1,021.68 | 0.70 | 3.57 | ||||
Seix Ultra-Short Bond Fund | ||||||||
Class A | 1,000.00 | 1,021.93 | 0.65 | 3.31 | ||||
Class I | 1,000.00 | 1,023.19 | 0.40 | 2.04 |
* | 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 (184) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
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December 31, 2019
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December 31, 2019
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Ticker Symbols: | |
Class A: STGIX | |
Class I: STIGX | |
Class R6: STGZX |
Seix Investment Advisors LLC
■ | The Fund is diversified and has an investment objective of seeking to maximize long term total return through a combination of current income and capital appreciation, consistent with capital preservation.There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 7.48%, Class I shares at NAV returned 7.63%, and Class R6 shares at NAV returned 7.78%. For the same period, the Bloomberg Barclays U.S. Aggregate Bond Index, the Fund’s style-specific benchmark appropriate for comparison, returned 8.72%. |
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U.S. Government Securities | 42% | |
Mortgage-Backed Securities | 39 | |
Agency | 35% | |
Non-Agency | 4 | |
Corporate Bonds and Notes | 14 | |
Financials | 7 | |
Energy | 3 | |
All other Corporate Bonds and Notes | 4 | |
Asset-Backed Securities | 5 | |
Credit Card | 4 | |
All other Asset-Backed Securities | 1 | |
Total | 100% |
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1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 7.48 % | 2.54 % | 3.33 % | — % | — | |||||||
Class A shares at POP3,4 | 3.45 | 1.76 | 2.94 | — | — | |||||||
Class I shares at NAV2 | 7.63 | 2.70 | 3.56 | — | — | |||||||
Class R6 shares at NAV2 | 7.78 | — | — | 2.99 | 8/3/15 | |||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 3.75 | 3.275 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 0.89%, Net 0.64%; Class I shares: Gross 0.62%, Net 0.50%; Class R6 shares: Gross 0.48%, Net 0.36%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 3.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
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Ticker Symbols: | |
Class A: SAINX | |
Class C: STIFX | |
Class I: STICX |
Seix Investment Advisors LLC
■ | The Fund is diversified and has an investment objective of seeking to maximize long term total return through a combination of current income and capital appreciation, consistent with capital preservation.There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 12.47%, Class C shares at NAV returned 11.60%, and Class I shares at NAV returned 12.66%. For the same period, the Bloomberg Barclays U.S. Corporate Investment Grade Bond Index, the Fund’s style-specific benchmark appropriate for comparison, returned 14.54%. |
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Corporate Bonds and Notes | 97% | |
Financials | 30% | |
Energy | 18 | |
Utilities | 9 | |
Health Care | 9 | |
Consumer Staples | 7 | |
Consumer Discretionary | 7 | |
Industrials | 6 | |
All other Corporate Bonds and Notes | 11 | |
Short-Term Investment | 3 | |
Total | 100% |
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1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 12.47% | 4.10% | 4.84% | |||||
Class A shares at POP3,4 | 8.25 | 3.30 | 4.44 | |||||
Class C shares at NAV2 and with CDSC4 | 11.60 | 3.36 | 4.13 | |||||
Class I shares at NAV2 | 12.66 | 4.31 | 5.13 | |||||
Bloomberg Barclays U.S. Corporate Investment Grade Bond Index | 14.54 | 4.60 | 5.54 | |||||
Fund Expense Ratios5: Class A shares: Gross 1.36%, Net 0.96%; Class C shares: Gross 2.13%, Net 1.66%; Class I shares: Gross 1.04%, Net 0.71%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 3.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
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Ticker Symbols: | |
Class A: SFRAX | |
Class C: SFRCX | |
Class I: SAMBX | |
Class R6: SFRZX |
Seix Investment Advisors LLC
■ | The Fund is diversified and has an investment objective of attempting to provide a high level of current income.There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 6.30%, Class C shares at NAV returned 5.68%, Class I shares at NAV returned 6.63%, and Class R6 shares at NAV returned 6.74%. For the same period, the Credit Suisse Leveraged Loan Index, the Fund’s style-specific benchmark appropriate for comparison, returned 8.17%. |
Leveraged Loans | 98% | |
Media / Telecom - Telecommunications | 9% | |
Chemicals | 9 | |
Media / Telecom - Cable/Wireless Video | 8 | |
Financial | 8 | |
Information Technology | 7 | |
Media / Telecom - Diversified Media | 7 | |
Healthcare | 7 | |
All other Leveraged Loans | 43 | |
Common Stocks | 1 | |
Corporate Bonds and Notes | 1 | |
Total | 100% |
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1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 6.30 % | 3.72 % | 4.38 % | — % | — | |||||||
Class A shares at POP3,4 | 3.37 | 3.15 | 4.09 | — | — | |||||||
Class C shares at NAV2 and with CDSC42 | 5.68 | 3.12 | 3.74 | — | — | |||||||
Class I shares at NAV2 | 6.63 | 4.04 | 4.70 | — | — | |||||||
Class R6 shares at NAV2 | 6.74 | — | — | 4.16 | 2/1/15 | |||||||
Credit Suisse Leveraged Loan Index | 8.17 | 4.54 | 5.18 | 4.565 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 0.95%, Net 0.94%; Class C shares: Gross 1.62%, Net 1.52%; Class I shares: Gross 0.70%, Net 0.62%; Class R6 shares: Gross 0.58%, Net 0.52%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 2.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
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Ticker Symbols: | |
Class A: SFLTX | |
Class I: SCFTX |
Seix Investment Advisors LLC
■ | The Fund is diversified and has an investment objective of seeking to maximize total return through (i) current income that is exempt from federal income taxes and (ii) capital appreciation consistent with capital preservation.There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 7.67% and Class I shares at NAV returned 7.83%. For the same period, the Bloomberg Barclays U.S. Municipal Bond Index, the Fund’s style-specific benchmark appropriate for comparison, returned 7.54%. |
Municipal Bonds | 87% |
Short-Term Investments | 13 |
Total | 100% |
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1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 7.67% | 3.38% | 4.78% | |||||
Class A shares at POP3,4 | 4.71 | 2.80 | 4.49 | |||||
Class I shares at NAV2 | 7.83 | 3.53 | 4.95 | |||||
Bloomberg Barclays U.S. Municipal Bond Index | 7.54 | 3.53 | 4.34 | |||||
Fund Expense Ratios5: Class A shares: Gross 0.96%, Net 0.76%; Class I shares: Gross 0.86%, Net 0.61%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 2.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
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Ticker Symbols: | |
Class A: SAHIX | |
Class I: STHTX | |
Class R6: STHZX |
Seix Investment Advisors LLC
■ | The Fund is diversified and has an investment objective of seeking high current income and, secondarily, total return (comprised of capital appreciation and income).There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 11.84%†, Class I shares at NAV returned 12.12%, and Class R6 shares at NAV returned 12.08%. For the same period, the Bloomberg Barclays U.S. Corporate High Yield Bond Index, the Fund’s style-specific benchmark appropriate for comparison, returned 14.32%. |
Corporate Bonds and Notes | 94% | |
Financials | 21% | |
Communication Services | 20 | |
Health Care | 10 | |
Consumer Discretionary | 10 | |
Energy | 9 | |
Industrials | 7 | |
Materials | 5 | |
All other Corporate Bonds and Notes | 12 | |
Leveraged Loans | 4 | |
Securities Lending Collateral | 2 | |
Total | 100% |
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1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 11.84 %3 | 4.96 % | 6.63 % | — % | — | |||||||
Class A shares at POP4,5 | 7.65 | 4.16 | 6.22 | — | — | |||||||
Class I shares at NAV2 | 12.12 | 5.17 | 6.89 | — | — | |||||||
Class R6 shares at NAV2 | 12.08 | 5.30 | — | 4.41 | 8/1/14 | |||||||
Bloomberg Barclays U.S. Corporate High Yield Bond Index | 14.32 | 6.13 | 7.57 | 5.456 | — | |||||||
Fund Expense Ratios7: Class A shares: Gross 1.11%, Net 0.93%; Class I shares: Gross 0.88%, Net 0.68%; Class R6 shares: Gross 0.75%, Net 0.59%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
4 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 3.75% sales charge. |
5 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
6 | The since inception index return is from the inception date of Class R6 shares. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
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Ticker Symbols: | |
Class A: HYPSX | |
Class I: SAMHX | |
Class R6: HYIZX |
Seix Investment Advisors LLC
■ | The Fund is diversified and has an investment objective of seeking high income and, secondarily, capital appreciation.There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 12.64%, Class I shares at NAV returned 12.91%, and Class R6 shares at NAV returned 13.03%. For the same period, the ICE BofA U.S. High Yield BB-B Constrained Index, the Fund’s style-specific benchmark appropriate for comparison, returned 15.10%. |
Corporate Bonds and Notes | 97% | |
Financials | 21% | |
Communication Services | 19 | |
Consumer Discretionary | 13 | |
Health Care | 10 | |
Industrials | 9 | |
Energy | 7 | |
Materials | 5 | |
All other Corporate Bonds and Notes | 13 | |
Leveraged Loans | 2 | |
Other | 1 | |
Total | 100% |
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1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 12.64 % | 4.83 % | 6.36 % | — % | — | |||||||
Class A shares at POP3,4 | 8.41 | 4.03 | 5.95 | — | — | |||||||
Class I shares at NAV2 | 12.91 | 5.05 | 6.59 | — | — | |||||||
Class R6 shares at NAV2 | 13.03 | — | — | 6.46 | 8/1/16 | |||||||
ICE BofA U.S. High Yield BB-B Constrained Index | 15.10 | 6.11 | 7.40 | 6.825 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 1.02%, Net 0.82%; Class I shares: Gross 0.76%, Net 0.64%; Class R6 shares: Gross 0.64%, Net 0.53%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 3.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
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Ticker Symbols: | |
Class A: SISIX | |
Class I: STTBX |
Seix Investment Advisors LLC
■ | The Fund is diversified and has an investment objective of seeking to maximize high total return through (i) current income that is exempt from federal income taxes and (ii) capital appreciation consistent with capital preservation.There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 6.54% and Class I shares at NAV returned 6.71%. For the same period, the Bloomberg Barclays U.S. Municipal Bond 1-15 Year Blend (1-17) Index, the Fund’s style-specific benchmark appropriate for comparison, returned 6.44%. |
Municipal Bonds | 100% |
Total | 100% |
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1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 6.54% | 2.52% | 3.50% | |||||
Class A shares at POP3,4 | 3.61 | 1.95 | 3.21 | |||||
Class I shares at NAV2 | 6.71 | 2.68 | 3.68 | |||||
Bloomberg Barclays U.S. Municipal Bond 1-15 Year Blend (1-17) Index | 6.44 | 3.01 | 3.66 | |||||
Fund Expense Ratios5: Class A shares: Gross 1.01%, Net 0.74%; Class I shares: Gross 0.81%, Net 0.59%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 2.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
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Ticker Symbols: | |
Class A: STSBX | |
Class C: SCBSX | |
Class I: SSBTX |
Seix Investment Advisors LLC
■ | The Fund is diversified and has an investment objective of seeking to maximize long term total return through a combination of current income and capital appreciation, consistent with capital preservation.There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 3.08%, Class C shares at NAV returned 2.29%, and Class I shares at NAV returned 3.29%. For the same period, the Bloomberg Barclays 1-3 Year U.S. Government/Credit Index, the Fund’s style-specific benchmark appropriate for comparison, returned 4.03%. |
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U.S. Government Securities | 68% | |
Corporate Bonds and Notes | 14 | |
Financials | 5% | |
Consumer Discretionary | 2 | |
Health Care | 2 | |
Utilities | 2 | |
Consumer Staples | 2 | |
Communication Services | 1 | |
Mortgage-Backed Securities | 13 | |
Asset-Backed Securities | 5 | |
Total | 100% |
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1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 3.08% | 1.05% | 1.32% | |||||
Class A shares at POP3,4 | 0.76 | 0.59 | 1.09 | |||||
Class C shares at NAV2 and with CDSC4 | 2.29 | 0.40 | 0.65 | |||||
Class I shares at NAV2 | 3.29 | 1.23 | 1.54 | |||||
Bloomberg Barclays 1-3 Year U.S. Government/Credit Index | 4.03 | 1.67 | 1.54 | |||||
Fund Expense Ratios5: Class A shares: Gross 1.68%, Net 0.80%; Class C shares: Gross 2.48%, Net 1.57%; Class I shares: Gross 1.43%, Net 0.60%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 2.25% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
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Ticker Symbols: | |
Class A: SMMAX | |
Class I: CMDTX |
Seix Investment Advisors LLC
■ | The Fund is diversified and has an investment objective of seeking to maximize total return through (i) current income that is exempt from federal income taxes and (ii) capital appreciation consistent with capital preservation.There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 3.54% and Class I shares at NAV returned 3.71%. For the same period, the Bloomberg Barclays Municipal Bond 1-5 Year Index, the Fund’s style-specific benchmark appropriate for comparison, returned 3.66%. |
Municipal Bonds | 89% |
Short-Term Investments | 11 |
Total | 100% |
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1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 3.54% | 1.17% | 2.03% | |||||
Class A shares at POP3,4 | 1.21 | 0.71 | 1.80 | |||||
Class I shares at NAV2 | 3.71 | 1.36 | 2.20 | |||||
Bloomberg Barclays Municipal Bond 1-5 Year Index | 3.66 | 1.66 | 1.78 | |||||
Fund Expense Ratios5: Class A shares: Gross 1.07%, Net 0.67%; Class I shares: Gross 0.91%, Net 0.50%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 2.25% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
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Ticker Symbols: | |
Class A: CBPSX | |
Class I: SAMFX | |
Class R6: SAMZX |
Seix Investment Advisors LLC
■ | The Fund is diversified and has an investment objective of seeking to maximize long term total return through a combination of current income and capital appreciation, consistent with capital preservation.There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 6.69%, Class I shares at NAV returned 7.12%, and Class R6 shares at NAV returned 7.18%. For the same period, the Bloomberg Barclays U.S. Aggregate Bond Index, the Fund’s style-specific benchmark appropriate for comparison, returned 8.72%. |
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U.S. Government Securities | 42% | |
Mortgage-Backed Securities | 39 | |
Agency | 35% | |
Non-Agency | 4 | |
Corporate Bonds and Notes | 14 | |
Financials | 7 | |
Energy | 3 | |
All other Corporate Bonds and Notes | 4 | |
Asset-Backed Securities | 5 | |
Credit Card | 3 | |
All other Asset-Backed Securities | 2 | |
Total | 100% |
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1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 6.69 % | 2.24 % | 3.38 % | — % | — | |||||||
Class A shares at POP3,4 | 2.69 | 1.46 | 2.99 | — | — | |||||||
Class I shares at NAV2 | 7.12 | 2.51 | 3.66 | — | — | |||||||
Class R6 shares at NAV2 | 7.18 | 2.63 | — | 2.73 | 8/1/14 | |||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 3.75 | 3.185 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 0.85%, Net 0.70%; Class I shares: Gross 0.55%, Net 0.46%; Class R6 shares: Gross 0.44%, Net 0.31%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 3.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
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Ticker Symbols: | |
Class A: SSAGX | |
Class I: SIGVX | |
Class R6: SIGZX |
Seix Investment Advisors LLC
■ | The Fund is diversified and has an investment objective of seeking to maximize current income consistent with capital preservation.There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 2.11%, Class I shares at NAV returned 2.36%, and class R6 shares at NAV returned 2.51%. For the same period, the Bloomberg Barclays 3-6 Month U.S. Treasury Bill Index, the Fund’s style-specific benchmark appropriate for comparison, returned 2.41%. |
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Mortgage-Backed Securities | 88% | |
Agency | 88% | |
U.S. Government Securities | 7 | |
Short-Term Investment | 3 | |
Asset-Backed Security | 2 | |
Student Loan | 2 | |
Total | 100% |
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1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 2.11 % | — % | — % | 2.02 % | 7/24/18 | |||||||
Class I shares at NAV2 | 2.36 | 1.20 | 1.17 | — | — | |||||||
Class R6 shares at NAV2 | 2.51 | — | — | 1.82 | 8/1/16 | |||||||
Bloomberg Barclays 3-6 Month U.S. Treasury Bill Index | 2.41 | 1.15 | 0.65 | —3 | — | |||||||
Fund Expense Ratios4: Class A shares: Gross 0.63%, Net 0.63%; Class I shares: Gross 0.50%, Net 0.41%; Class R6 shares: Gross 0.37%, Net 0.26%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | The index return is 1.57% since inception of Class A shares and 2.36% since inception of Class R6 shares. |
4 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
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Ticker Symbols: | |
Class A: SLTMX | |
Class C: SCLFX | |
Class I: SLMTX |
Seix Investment Advisors LLC
■ | The Fund is diversified and has an investment objective of seeking to maximize long term total return through a combination of current income and capital appreciation, consistent with capital preservation.There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 5.94%, Class C shares at NAV returned 5.09%, and Class I shares at NAV returned 6.13%. For the same period, the Bloomberg Barclays U.S. Mortgage Backed Securities Index, the Fund’s style-specific benchmark appropriate for comparison, returned 6.35%. |
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Mortgage-Backed Securities | 98% | |
Agency | 98% | |
U.S. Government Securities | 2 | |
Total | 100% |
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1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 5.94% | 2.15% | 2.97% | |||||
Class A shares at POP3,4 | 3.55 | 1.68 | 2.73 | |||||
Class C shares at NAV2 and with CDSC4 | 5.09 | 1.38 | 2.17 | |||||
Class I shares at NAV2 | 6.13 | 2.35 | 3.17 | |||||
Bloomberg Barclays U.S. Mortgage Backed Securities Index | 6.35 | 2.58 | 3.15 | |||||
Fund Expense Ratios5: Class A shares: Gross 2.01%, Net 0.90%; Class C shares: Gross 2.00%, Net 1.65%; Class I shares: Gross 1.08%, Net 0.70%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 2.25% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
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Ticker Symbols: | |
Class A: SASSX | |
Class I: SISSX |
Seix Investment Advisors LLC
■ | The Fund is diversified and has an investment objective of seeking to maximize current income consistent with capital preservation.There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 2.58% and Class I shares at NAV returned 2.84%. For the same period, the Bloomberg Barclays 3-6 Month U.S. Treasury Bill Index, the Fund’s style-specific benchmark appropriate for comparison, returned 2.41%. |
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Mortgage-Backed Securities | 48% | |
Agency | 38% | |
Non-Agency | 10 | |
Corporate Bonds and Notes | 36 | |
Financials | 22 | |
Health Care | 5 | |
Consumer Discretionary | 5 | |
Energy | 3 | |
Communication Services | 1 | |
Asset-Backed Securities | 15 | |
Automobiles | 7 | |
Credit Card | 6 | |
Other | 2 | |
U.S. Government Security | 1 | |
Total | 100% |
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1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 2.58 % | — % | — % | 2.12 % | 7/24/2018 | |||||||
Class I shares at NAV2 | 2.84 | 1.57 | 1.42 | — | — | |||||||
Bloomberg Barclays 3-6 Month U.S. Treasury Bill Index | 2.41 | 1.15 | 0.65 | 2.363 | — | |||||||
Fund Expense Ratios4: Class A shares: Gross 0.84%, Net 0.65%; Class I shares: Gross 0.62%, Net 0.40%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | The since inception index return is from the inception date of Class A shares. |
4 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
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December 31, 2019
Par Value | Value | ||
U.S. Government Securities—41.4% | |||
U.S. Treasury Bond 2.250%, 8/15/49 | $ 9,146 | $8,862 | |
U.S. Treasury Note | |||
1.250%, 3/31/21 | 1,356 | 1,350 | |
1.750%, 5/31/22 | 4,912 | 4,929 | |
1.875%, 7/31/22 | 3,110 | 3,131 | |
2.375%, 1/31/23 | 1,916 | 1,958 | |
2.750%, 7/31/23 | 119 | 123 | |
2.500%, 1/31/24 | 13,972 | 14,420 | |
1.750%, 11/15/29 | 8,736 | 8,597 | |
Total U.S. Government Securities (Identified Cost $43,298) | 43,370 | ||
Mortgage-Backed Securities—38.7% | |||
Agency—35.1% | |||
Federal Home Loan Mortgage Corp. | |||
Pool #C04123 4.000%, 7/1/42 | 366 | 394 | |
Pool #G60019 4.500%, 3/1/44 | 295 | 319 | |
Pool #Q31645 4.000%, 2/1/45 | 72 | 76 | |
Pool #Q35611 4.000%, 9/1/45 | 690 | 729 | |
Pool #V81992 4.000%, 10/1/45 | 531 | 563 | |
Pool #G60661 4.000%, 7/1/46 | 1,616 | 1,709 | |
Pool #Q42921 3.500%, 9/1/46 | 931 | 984 | |
Pool #ZM5226 3.500%, 12/1/47 | 1,062 | 1,112 | |
Pool #ZM5394 4.000%, 1/1/48 | 746 | 783 | |
Pool #Q53881 4.500%, 1/1/48 | 773 | 836 | |
Pool #Q54813 3.500%, 3/1/48 | 358 | 372 | |
Pool #Q61115 4.000%, 1/1/49 | 613 | 638 | |
Pool #Q61677 4.000%, 2/1/49 | 1,153 | 1,212 | |
Pool #Q61680 4.000%, 2/1/49 | 1,068 | 1,126 | |
Pool #QA0108 3.500%, 6/1/49 | 1,412 | 1,455 | |
Pool #QA3079 3.500%, 10/1/49 | 436 | 453 | |
Pool #SD8025 3.500%, 11/1/49 | 1,121 | 1,153 | |
Pool #SD0164 3.500%, 12/1/49 | 3,042 | 3,159 | |
Pool #SD0176 3.500%, 12/1/49 | 655 | 675 | |
Federal National Mortgage Association | |||
Pool #FM1039 3.500%, 4/1/39 | 1,125 | 1,166 | |
Pool #AL7497 3.500%, 9/1/40 | 688 | 718 | |
Pool #AW8154 3.500%, 1/1/42 | 398 | 420 |
Par Value | Value | ||
Agency—continued | |||
Pool #AS9571 3.500%, 5/1/42 | $1,126 | $1,186 | |
Pool #CA2629 4.000%, 11/1/43 | 570 | 597 | |
Pool #AL6223 4.500%, 8/1/44 | 67 | 72 | |
Pool #CA4144 3.000%, 9/1/44 | 1,142 | 1,163 | |
Pool #MA2341 4.500%, 6/1/45 | 34 | 36 | |
Pool #BE5050 4.000%, 9/1/45 | 672 | 715 | |
Pool #AZ9213 4.000%, 10/1/45 | 789 | 840 | |
Pool #AS6515 4.000%, 1/1/46 | 114 | 120 | |
Pool #BA4799 4.000%, 2/1/46 | 336 | 356 | |
Pool #BE3774 4.000%, 7/1/47 | 433 | 455 | |
Pool #BH7587 4.500%, 8/1/47 | 171 | 180 | |
Pool #BH7058 3.500%, 12/1/47 | 1,049 | 1,089 | |
Pool #BJ0650 3.500%, 3/1/48 | 306 | 318 | |
Pool #BJ8599 3.500%, 4/1/48 | 184 | 190 | |
Pool #BN0636 4.000%, 9/1/48 | 607 | 633 | |
Pool #BN4050 4.000%, 1/1/49 | 374 | 389 | |
Pool #BN4542 4.500%, 2/1/49 | 221 | 232 | |
Pool #BO2843 3.500%, 10/1/49 | 1,361 | 1,409 | |
Pool #BO3024 3.500%, 10/1/49 | 1,030 | 1,077 | |
Pool #BO4386 3.500%, 11/1/49 | 1,198 | 1,239 | |
Government National Mortgage Association | |||
Pool #MA4262 3.500%, 2/20/47 | 228 | 237 | |
Pool #MA4586 3.500%, 7/20/47 | 1,136 | 1,180 | |
Pool #MA5019 3.500%, 2/20/48 | 447 | 464 | |
Pool #MA5596 4.500%, 11/20/48 | 580 | 609 | |
Pool #MA5652 4.500%, 12/20/48 | 195 | 204 | |
Pool #MA5819 5.000%, 3/20/49 | 533 | 561 | |
Pool #MA6284 3.500%, 11/20/49 | 1,088 | 1,127 | |
36,730 | |||
Non-Agency—3.6% | |||
BB-UBS Trust 2012-SHOW, B 144A 3.882%, 11/5/36(1) | 605 | 630 | |
Century Plaza Towers 2019-CPT, B 144A 2.997%, 11/13/39(1)(2) | 635 | 638 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
Goldman Sachs Mortgage Securities Trust 2005-ROCK, A 144A 5.366%, 5/3/32(1) | $325 | $369 | |
MAD Mortgage Trust 2017-330M, A 144A 3.188%, 8/15/34(1)(2) | 260 | 266 | |
Morgan Stanley Capital I Trust | |||
2014-CPT, AM 144A 3.402%, 7/13/29(1)(2) | 615 | 622 | |
2014-150E, A 144A 3.912%, 9/9/32(1) | 455 | 479 | |
Wells Fargo Commercial Mortgage Trust 2013-BTC, A 144A 3.544%, 4/16/35(1) | 190 | 197 | |
WFRBS Commercial Mortgage Trust 2012-C10, AS 3.241%, 12/15/45 | 600 | 611 | |
3,812 | |||
Total Mortgage-Backed Securities (Identified Cost $40,016) | 40,542 | ||
Asset-Backed Securities—5.2% | |||
Automobiles—0.5% | |||
Nissan Master Owner Trust Receivables 2019-A, A (1 month LIBOR + 0.560%) 2.300%, 2/15/24(2) | 480 | 482 | |
Credit Card—3.7% | |||
Cabela’s Credit Card Master Note Trust 2015-2, A2 (1 month LIBOR + 0.670%) 2.410%, 7/17/23(2) | 310 | 311 | |
Capital One Multi-Asset Execution Trust 2005-B3, B3 (3 month LIBOR + 0.550%) 2.536%, 5/15/28(2) | 1,075 | 1,052 | |
Citibank Credit Card Issuance Trust 2017-A6, A6 (1 month LIBOR + 0.770%) 2.510%, 5/14/29(2) | 875 | 869 | |
Discover Card Execution Note Trust 2017-A5, A5 (1 month LIBOR + 0.600%) 2.340%, 12/15/26(2) | 790 | 793 | |
World Financial Network Credit Card Master Trust 2019-A, A 3.140%, 12/15/25 | 855 | 873 | |
3,898 | |||
Other—1.0% | |||
Five Guys Funding LLC 2017-1A, A2 144A 4.600%, 7/25/47(1) | 357 | 370 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(1) | 680 | 681 | |
1,051 | |||
Total Asset-Backed Securities (Identified Cost $5,394) | 5,431 | ||
Corporate Bonds and Notes—13.9% | |||
Communication Services—0.5% | |||
Comcast Corp. 2.650%, 2/1/30 | 519 | 520 |
Par Value | Value | ||
Consumer Staples—0.4% | |||
Walmart, Inc. 3.700%, 6/26/28 | $403 | $444 | |
Energy—2.7% | |||
Baker Hughes a GE Co. LLC 4.080%, 12/15/47 | 329 | 336 | |
Boardwalk Pipelines LP 4.450%, 7/15/27 | 115 | 119 | |
Enterprise Products Operating LLC 5.375%, 2/15/78 | 334 | 332 | |
Occidental Petroleum Corp. 4.400%, 8/15/49 | 317 | 326 | |
Schlumberger Holdings Corp. 144A 3.900%, 5/17/28(1) | 602 | 641 | |
Shell International Finance B.V. 1.750%, 9/12/21 | 402 | 402 | |
TechnipFMC plc 3.450%, 10/1/22 | 85 | 87 | |
Transcanada Trust 5.300%, 3/15/77 | 48 | 49 | |
Woodside Finance Ltd. 144A 4.600%, 5/10/21(1) | 550 | 563 | |
2,855 | |||
Financials—6.7% | |||
Bank of America Corp. 3.366%, 1/23/26 | 192 | 201 | |
British Airways plc Pass-Through-Trust 2018-1, AA 144A 3.800%, 9/20/31(1) | 194 | 205 | |
Citigroup, Inc. 3.980%, 3/20/30 | 421 | 460 | |
Credit Suisse AG 2.100%, 11/12/21 | 715 | 718 | |
Fifth Third Bank 2.200%, 10/30/20 | 326 | 327 | |
JPMorgan Chase & Co. | |||
3.207%, 4/1/23 | 318 | 326 | |
2.301%, 10/15/25 | 301 | 300 | |
3.540%, 5/1/28 | 289 | 307 | |
Lazard Group LLC 4.375%, 3/11/29 | 302 | 329 | |
Morgan Stanley | |||
3.591%, 7/22/28 | 212 | 225 | |
3.971%, 7/22/38 | 253 | 280 | |
Nationwide Financial Services, Inc. | |||
144A 5.375%, 3/25/21(1) | 556 | 577 | |
144A 3.900%, 11/30/49(1) | 475 | 493 | |
Santander UK Group Holdings plc 3.373%, 1/5/24 | 409 | 419 | |
Travelers Cos., Inc. (The) 4.050%, 3/7/48 | 348 | 396 | |
Truist Financial Corp. 4.000%, 5/1/25 | 745 | 807 | |
United Airlines Pass-Through-Trust 2016-1, A 3.450%, 7/7/28 | 116 | 118 | |
US Bank NA 2.050%, 10/23/20 | 374 | 375 |
Table of Contents
Par Value | Value | ||
Financials—continued | |||
Wells Fargo & Co. 3.069%, 1/24/23 | $164 | $167 | |
7,030 | |||
Health Care—0.8% | |||
AbbVie, Inc. 144A 4.250%, 11/21/49(1) | 501 | 527 | |
Bristol-Myers Squibb Co. 144A 4.250%, 10/26/49(1) | 128 | 152 | |
CommonSpirit Health 4.187%, 10/1/49 | 177 | 176 | |
855 | |||
Industrials—0.5% | |||
ERAC USA Finance LLC 144A 5.250%, 10/1/20(1) | 283 | 290 | |
General Dynamics Corp. 3.375%, 5/15/23 | 193 | 201 | |
491 | |||
Information Technology—0.5% | |||
Corning, Inc. 5.450%, 11/15/79 | 474 | 518 | |
Materials—1.1% | |||
Barrick PD Australia Finance Pty Ltd. 5.950%, 10/15/39 | 454 | 575 | |
Newmont Goldcorp Corp. 6.250%, 10/1/39 | 347 | 458 | |
Packaging Corporation of America 4.050%, 12/15/49 | 143 | 148 | |
1,181 | |||
Utilities—0.7% | |||
Cheniere Corpus Christi Holdings LLC 144A 3.700%, 11/15/29(1) | 457 | 466 |
Par Value | Value | ||
Utilities—continued | |||
Duke Energy Corp. 3.750%, 9/1/46 | $258 | $266 | |
732 | |||
Total Corporate Bonds and Notes (Identified Cost $13,773) | 14,626 | ||
Total Long-Term Investments—99.2% (Identified Cost $102,481) | 103,969 | ||
TOTAL INVESTMENTS—99.2% (Identified Cost $102,481) | $103,969 | ||
Other assets and liabilities, net—0.8% | 815 | ||
NET ASSETS—100.0% | $104,784 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
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 December 31, 2019, these securities amounted to a value of $8,166 or 7.8% of net assets. |
(2) | Variable rate security. Rate disclosed is as of December 31, 2019. 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. |
Total Value at December 31, 2019 | Level 2 Significant Observable Inputs | ||
Assets: | |||
Debt Securities: | |||
Asset-Backed Securities | $5,431 | $5,431 | |
Corporate Bonds and Notes | 14,626 | 14,626 | |
Mortgage-Backed Securities | 40,542 | 40,542 | |
U.S. Government Securities | 43,370 | 43,370 | |
Total Investments | $103,969 | $103,969 |
Table of Contents
December 31, 2019
Par Value | Value | ||
Corporate Bonds and Notes—98.6% | |||
Communication Services—4.1% | |||
Comcast Corp. 2.650%, 2/1/30 | $793 | $795 | |
Verizon Communications, Inc. 4.125%, 3/16/27 | 715 | 793 | |
1,588 | |||
Consumer Discretionary—7.0% | |||
American Honda Finance Corp. 2.200%, 6/27/22 | 1,060 | 1,068 | |
BMW US Capital LLC 144A 3.150%, 4/18/24(1) | 771 | 797 | |
Daimler Finance North America LLC (3 month LIBOR + 0.550%) 144A 2.452%, 5/4/21(1)(2) | 870 | 871 | |
2,736 | |||
Consumer Staples—7.5% | |||
Archer-Daniels-Midland Co. 3.375%, 3/15/22 | 983 | 1,014 | |
Costco Wholesale Corp. 2.300%, 5/18/22 | 1,107 | 1,121 | |
Walmart, Inc. 3.400%, 6/26/23 | 752 | 790 | |
2,925 | |||
Energy—18.4% | |||
Baker Hughes a GE Co. LLC 2.773%, 12/15/22 | 1,110 | 1,132 | |
Boardwalk Pipelines LP 4.450%, 7/15/27 | 765 | 791 | |
BP Capital Markets America, Inc. 2.112%, 9/16/21 | 408 | 410 | |
BP Capital Markets plc 3.814%, 2/10/24 | 642 | 685 | |
Enterprise Products Operating LLC 5.375%, 2/15/78 | 814 | 809 | |
Occidental Petroleum Corp. 4.400%, 8/15/49 | 780 | 803 | |
Schlumberger Holdings Corp. 144A 3.900%, 5/17/28(1) | 756 | 804 | |
Shell International Finance B.V. 3.875%, 11/13/28 | 720 | 798 | |
TechnipFMC plc 3.450%, 10/1/22 | 273 | 278 | |
Transcanada Trust 5.300%, 3/15/77 | 668 | 686 | |
7,196 | |||
Financials—30.6% | |||
Bank of America Corp. 3.366%, 1/23/26 | 757 | 791 | |
British Airways plc Pass-Through-Trust 2018-1, AA 144A 3.800%, 9/20/31(1) | 339 | 359 | |
Citigroup, Inc. 3.980%, 3/20/30 | 727 | 795 | |
Credit Suisse AG 2.100%, 11/12/21 | 865 | 869 |
Par Value | Value | ||
Financials—continued | |||
JPMorgan Chase & Co. | |||
3.207%, 4/1/23 | $610 | $624 | |
2.301%, 10/15/25 | 437 | 436 | |
Lazard Group LLC 4.375%, 3/11/29 | 727 | 791 | |
Mastercard, Inc. 3.650%, 6/1/49 | 714 | 790 | |
Morgan Stanley | |||
3.875%, 4/29/24 | 603 | 641 | |
3.971%, 7/22/38 | 663 | 735 | |
Nationwide Financial Services, Inc. 144A 3.900%, 11/30/49(1) | 781 | 811 | |
Penske Truck Leasing Co., LP 144A 3.450%, 7/1/24(1) | 755 | 784 | |
Travelers Cos., Inc. (The) 4.050%, 3/7/48 | 692 | 787 | |
Truist Financial Corp. 4.000%, 5/1/25 | 737 | 798 | |
U.S. Bancorp 3.600%, 9/11/24 | 750 | 797 | |
United Airlines Pass-Through-Trust 2016-1, A 3.450%, 7/7/28 | 287 | 293 | |
Wells Fargo & Co. 3.069%, 1/24/23 | 877 | 895 | |
11,996 | |||
Health Care—8.5% | |||
AbbVie, Inc. 144A 4.250%, 11/21/49(1) | 761 | 801 | |
Bristol-Myers Squibb Co. 144A 4.250%, 10/26/49(1) | 673 | 796 | |
Cigna Corp. 4.900%, 12/15/48 | 658 | 784 | |
CommonSpirit Health | |||
2.760%, 10/1/24 | 450 | 454 | |
4.187%, 10/1/49 | 495 | 493 | |
3,328 | |||
Industrials—6.1% | |||
General Dynamics Corp. 3.375%, 5/15/23 | 762 | 796 | |
L3Harris Technologies, Inc. 144A 3.850%, 12/15/26(1) | 734 | 787 | |
Union Pacific Corp. 3.950%, 8/15/59 | 757 | 791 | |
2,374 | |||
Information Technology—2.9% | |||
Corning, Inc. 5.450%, 11/15/79 | 732 | 799 | |
Western Union Co. (The) 2.850%, 1/10/25 | 350 | 351 | |
1,150 | |||
Materials—4.1% | |||
Barrick PD Australia Finance Pty Ltd. 5.950%, 10/15/39 | 423 | 535 | |
Newmont Goldcorp Corp. | |||
2.800%, 10/1/29 | 265 | 262 |
Table of Contents
Par Value | Value | ||
Materials—continued | |||
6.250%, 10/1/39 | $400 | $529 | |
Packaging Corporation of America 4.050%, 12/15/49 | 285 | 295 | |
1,621 | |||
Utilities—9.4% | |||
Berkshire Hathaway Energy Co. 3.750%, 11/15/23 | 753 | 797 | |
Cheniere Corpus Christi Holdings LLC 144A 3.700%, 11/15/29(1) | 788 | 804 | |
Consumers Energy Co. 4.350%, 4/15/49 | 661 | 800 | |
Duke Energy Corp. 3.750%, 9/1/46 | 764 | 788 | |
Emera US Finance LP 2.700%, 6/15/21 | 500 | 504 | |
3,693 | |||
Total Corporate Bonds and Notes (Identified Cost $36,512) | 38,607 | ||
Total Long-Term Investments—98.6% (Identified Cost $36,512) | 38,607 | ||
Shares | ||
Short-Term Investment—2.9% | ||
Money Market Mutual Fund—2.9% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(3) | 1,138,442 | 1,138 |
Total Short-Term Investment (Identified Cost $1,138) | 1,138 | |
TOTAL INVESTMENTS—101.5% (Identified Cost $37,650) | $39,745 | |
Other assets and liabilities, net—(1.5)% | (579) | |
NET ASSETS—100.0% | $39,166 |
Abbreviations: | |
CDX.NA.HY | Credit Default Swap National Association High Yield |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
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 December 31, 2019, these securities amounted to a value of $7,614 or 19.4% of net assets. |
(2) | Variable rate security. Rate disclosed is as of December 31, 2019. 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) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Counterparties: | |
ICE | Intercontinental Exchange |
JPM | JPMorgan Chase Bank N.A. |
Country Weightings (Unaudited)† | |
United States | 90% |
United Kingdom | 3 |
Switzerland | 2 |
Netherlands | 2 |
Canada | 2 |
Australia | 1 |
Total | 100% |
† % of total investments as of December 31, 2019. |
Centrally Cleared credit default swaps - buy protection(1) outstanding as of December 31, 2019 were as follows: | |||||||||||||
Reference Entity | Payment Frequency | Counterparty | Fixed Rate | Expiration Date | Notional Amount(2) | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized (Depreciation) | ||||
CDX.NA.HY.32 | Quarterly | ICE | 5.000% | 06/20/24 | (4,782) USD | $(481) | $(290) | $— | $(191) | ||||
Total | $(481) | $(290) | $— | $(191) |
Over-the-counter credit default swaps - buy protection(1) outstanding as of December 31, 2019 were as follows: | |||||||||||||
Reference Entity | Payment Frequency | Counterparty | Fixed Rate | Expiration Date | Notional Amount(2) | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized (Depreciation) | ||||
Westpac Banking Corp. | Quarterly | JPM | 1.000% | 12/20/24 | (1,690) USD | $(54) | $(52) | $— | $(2) | ||||
Total | $(54) | $(52) | $— | $(2) |
Table of Contents
Footnote Legend: | |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either: (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying investments comprising the referenced index; or (ii) receive a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Total Value at December 31, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Corporate Bonds and Notes | $38,607 | $— | $38,607 | ||
Money Market Mutual Fund | 1,138 | 1,138 | — | ||
Total Assets | 39,745 | 1,138 | 38,607 | ||
Liabilities: | |||||
Other Financial Instruments: | |||||
Centrally Cleared Credit Default Swap | (481) | — | (481) | ||
Over-the-Counter Credit Default Swap | (54) | — | (54) | ||
Total Liabilities | (535) | — | (535) | ||
Total Investments | $39,210 | $1,138 | $38,072 |
Table of Contents
December 31, 2019
Par Value | Value | ||
Asset-Backed Security—0.1% | |||
Collateralized Loan Obligation—0.1% | |||
Dryden 37 Senior Loan Fund 2015-37A, FR (3 month LIBOR + 7.480%) 144A 9.481%, 1/15/31(1)(2) | $3,000 | $2,536 | |
Total Asset-Backed Security (Identified Cost $2,949) | 2,536 | ||
Corporate Bonds and Notes—1.0% | |||
Communication Services—0.3% | |||
Altice Luxembourg S.A. | |||
144A 7.625%, 2/15/25(1) | 3,000 | 3,120 | |
144A 10.500%, 5/15/27(1) | 4,800 | 5,472 | |
Trilogy International Partners LLC 144A 8.875%, 5/1/22(1) | 610 | 573 | |
9,165 | |||
Consumer Discretionary—0.0% | |||
Motors Liquidation Co. Escrow(3) | 20,000 | — | |
Consumer Staples—0.1% | |||
Rite Aid Corp. 144A 6.125%, 4/1/23(1) | 2,000 | 1,840 | |
Energy—0.4% | |||
Glenn Pool Oil & Gas Trust 6.000%, 8/2/21(3) | 15,113 | 14,962 | |
Financials—0.1% | |||
Refinitiv US Holdings, Inc. 144A 6.250%, 5/15/26(1) | 3,000 | 3,274 | |
Utilities—0.1% | |||
Talen Energy Supply LLC 6.500%, 6/1/25 | 4,558 | 3,890 | |
Total Corporate Bonds and Notes (Identified Cost $32,069) | 33,131 | ||
Leveraged Loans(2)—93.7% | |||
Aerospace—4.2% | |||
American Airlines, Inc. | |||
2017 (1 month LIBOR + 2.000%) 3.715%, 10/10/21 | 12,795 | 12,832 | |
2017, Tranche B (1 month LIBOR + 2.000%) 3.805%, 4/28/23 | 11,567 | 11,589 | |
2017, Tranche B (1 month LIBOR + 2.000%) 3.740%, 12/14/23 | 16,989 | 17,039 | |
2018 (3 month LIBOR + 1.750%) 3.542%, 6/27/25 | 5,658 | 5,662 | |
Autokiniton US Holdings, Inc. 2019, Tranche B (1 month LIBOR + 5.750%) 7.549%, 5/22/25 | 4,670 | 4,623 | |
Ducommun, Inc. Tranche B (3 month LIBOR + 4.000%) 5.911%, 11/21/25 | 7,575 | 7,575 | |
Kestrel Bidco, Inc. (1 month LIBOR + 3.000%) 0.000%, 12/11/26(4) | 4,190 | 4,224 |
Par Value | Value | ||
Aerospace—continued | |||
MB Aerospace Holdings II Corp. First Lien (1 month LIBOR + 3.500%) 5.299%, 1/22/25 | $1,815 | $1,738 | |
Science Applications International Corp. Tranche B (1 month LIBOR + 1.750%) 3.549%, 10/31/25 | 11,873 | 11,901 | |
TransDigm, Inc. | |||
2018, Tranche E (1 month LIBOR + 2.500%) 4.299%, 5/30/25 | 23,369 | 23,419 | |
2018, Tranche F (1 month LIBOR + 2.500%) 4.299%, 6/9/23 | 18,187 | 18,236 | |
WP CPP Holdings LLC | |||
First Lien (1 month LIBOR + 3.750%) 5.680%, 4/30/25 | 15,702 | 15,565 | |
Second Lien (3 month LIBOR + 7.750%) 9.680%, 4/30/26 | 4,635 | 4,557 | |
138,960 | |||
Chemicals—8.2% | |||
Ascend Performance Materials Operations LLC (3 month LIBOR + 5.250%) 7.195%, 8/27/26 | 2,888 | 2,909 | |
ASP Chromaflo Intermediate Holdings, Inc. | |||
Second Lien (1 month LIBOR + 8.000%) 9.799%, 11/18/24 | 645 | 619 | |
Tranche B-1 (1 month LIBOR + 3.500%) 5.299%, 11/20/23 | 1,008 | 963 | |
Tranche B-2, First Lien (1 month LIBOR + 3.500%) 5.299%, 11/18/23 | 1,311 | 1,252 | |
Consolidated Energy Finance S.A. (1 month LIBOR + 2.500%) 4.547%, 5/7/25 | 9,753 | 9,558 | |
Cyanco Intermediate 2 Corp. First Lien (1 month LIBOR + 3.500%) 5.299%, 3/16/25 | 4,375 | 4,380 | |
Emerald Performance Materials LLC Second Lien (1 month LIBOR + 7.750%) 9.549%, 8/1/22 | 12,901 | 12,579 | |
Ferro Corp. | |||
Tranche B-1 (3 month LIBOR + 2.250%) 4.195%, 2/14/24 | 5,305 | 5,292 | |
Tranche B-2 (3 month LIBOR + 2.250%) 4.195%, 2/14/24 | 2,799 | 2,793 | |
Tranche B-3 (3 month LIBOR + 2.250%) 4.195%, 2/14/24 | 2,350 | 2,345 | |
Gemini HDPE LLC 2024 (3 month LIBOR + 2.500%) 4.430%, 8/7/24 | 14,351 | 14,369 | |
H.B. Fuller Co. Tranche B (1 month LIBOR + 2.000%) 3.765%, 10/20/24 | 18,796 | 18,840 | |
Ineos Enterprises Holdings US Finco LLC Tranche B (3 month LIBOR + 4.000%) 5.914%, 7/31/26 | 3,721 | 3,728 | |
Ineos Styrolution US Holding LLC 2024 (1 month LIBOR + 2.000%) 3.799%, 3/29/24 | 7,239 | 7,239 | |
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 3.799%, 4/1/24 | 62,019 | 61,977 | |
Kraton Polymers LLC (1 month LIBOR + 2.500%) 4.299%, 3/8/25 | 5,359 | 5,340 |
Table of Contents
Par Value | Value | ||
Chemicals—continued | |||
Minerals Technologies, Inc. | |||
Tranche B-1 (1 month LIBOR + 2.250%) 4.062%, 2/14/24 | $6,894 | $6,905 | |
Tranche B-2 4.750%, 5/7/21(5) | 9,973 | 9,973 | |
New Arclin U.S. Holding Corp. (1 month LIBOR + 3.500%) 5.299%, 2/14/24 | 6,419 | 6,401 | |
PQ Corp. Tranche B-1 (3 month LIBOR + 2.500%) 4.427%, 2/8/25 | 17,298 | 17,381 | |
Starfruit Finco B.V. (1 month LIBOR + 3.250%) 4.960%, 10/1/25 | 37,363 | 37,332 | |
Trinseo Materials Operating SCA 2018 (1 month LIBOR + 2.000%) 3.799%, 9/6/24 | 8,947 | 8,950 | |
Tronox Finance LLC First Lien (1 month LIBOR + 2.750%) 4.610%, 9/23/24 | 15,849 | 15,869 | |
Vantage Specialty Chemicals, Inc. | |||
First Lien (1 month LIBOR + 3.500%) 5.361%, 10/28/24 | 7,349 | 6,828 | |
Second Lien (3 month LIBOR + 8.250%) 10.159%, 10/27/25 | 7,470 | 6,424 | |
Venator Materials LLC (1 month LIBOR + 3.000%) 4.799%, 8/8/24 | 1,968 | 1,950 | |
272,196 | |||
Consumer Non-Durables—0.7% | |||
ABG Intermediate Holdings 2 LLC First Lien (1 month LIBOR + 3.500%) 5.299%, 9/27/24 | 10,132 | 10,153 | |
Coty, Inc. Tranche A (1 month LIBOR + 1.750%) 3.460%, 4/5/23 | 13,614 | 13,205 | |
23,358 | |||
Energy—2.7% | |||
Apergy Corp. (1 month LIBOR + 2.500%) 4.422%, 5/9/25 | 3,986 | 3,991 | |
APR Operating LLC Second Lien (1 month LIBOR + 7.000%) 8.799%, 5/27/24 | 8,330 | 8,150 | |
BCP Raptor II LLC (1 month LIBOR + 4.750%) 6.549%, 11/3/25 | 3,771 | 3,469 | |
BCP Raptor LLC (1 month LIBOR + 4.250%) 6.049%, 6/24/24 | 7,932 | 7,297 | |
Blackbrush Oil & Gas LP (6 month LIBOR + 8.000%) 9.890%, 1/29/24 | 12,490 | 12,240 | |
Crestwood Holdings LLC (1 month LIBOR + 7.500%) 9.270%, 3/6/23 | 17,222 | 15,980 | |
FTS International, Inc. (1 month LIBOR + 4.750%) 6.549%, 4/16/21 | 6,426 | 5,494 | |
Keane Group Holdings LLC (1 month LIBOR + 3.750%) 5.563%, 5/26/25 | 9,606 | 9,186 | |
McDermott International, Inc. (3 month LIBOR + 5.000%) 6.945%, 5/12/25(6) | 11,513 | 6,704 | |
Osum Production Corp. 2022 (3 month LIBOR + 9.500%) 11.445%, 7/31/22 | 5,548 | 5,049 |
Par Value | Value | ||
Energy—continued | |||
Sheridan Investment Partners II LP (3 month LIBOR + 5.500%) 0.000%, 12/16/20(7) | $6,050 | $1,513 | |
Sheridan Production Partners II-A LP (3 month LIBOR + 5.500%) 0.000%, 12/16/20(7) | 842 | 210 | |
Sheridan Production Partners II-M LP (3 month LIBOR + 3.500%) 0.000%, 12/16/20(7) | 314 | 79 | |
West Deptford Energy Holdings LLC (1 month LIBOR + 3.750%) 5.549%, 7/30/26 | 4,729 | 4,646 | |
Woodford Express LLC (1 month LIBOR + 5.000%) 6.799%, 1/27/25 | 8,184 | 7,095 | |
91,103 | |||
Financial—7.5% | |||
AltiSource Solutions S.a.r.l. Tranche B (3 month LIBOR + 4.000%) 5.945%, 4/3/24 | 5,845 | 5,545 | |
Aretec Group, Inc. | |||
First Lien (1 month LIBOR + 4.250%) 6.049%, 10/1/25 | 12,909 | 12,723 | |
Second Lien (1 month LIBOR + 8.250%) 10.049%, 10/1/26 | 5,930 | 5,831 | |
Asurion LLC | |||
Tranche B-2, Second Lien (1 month LIBOR + 6.500%) 8.299%, 8/4/25 | 36,590 | 37,011 | |
Tranche B-4 (1 month LIBOR + 3.000%) 4.799%, 8/4/22 | 30,570 | 30,729 | |
Tranche B-6 (1 month LIBOR + 3.000%) 4.799%, 11/3/23 | 25,820 | 25,954 | |
Citadel Securities LP (1 month LIBOR + 3.500%) 5.299%, 2/27/26 | 2,985 | 2,991 | |
Ditech Holding Corp. Tranche B (3 month PRIME + 0.000%) 4.750%, 6/30/22(3)(7) | 6,332 | 2,557 | |
EVO Payments International LLC First Lien (1 month LIBOR + 3.250%) 5.060%, 12/22/23 | 4,888 | 4,914 | |
Financial & Risk US Holdings, Inc. (1 month LIBOR + 3.250%) 0.000%, 10/1/25(4) | 21,639 | 21,823 | |
FinCo I LLC 2018 (1 month LIBOR + 2.000%) 3.799%, 12/27/22 | 7,723 | 7,759 | |
First Eagle Holdings, Inc. (3 month LIBOR + 2.750%) 4.695%, 12/2/24 | 4,440 | 4,460 | |
Franklin Square Holdings LP Tranche B (1 month LIBOR + 2.250%) 4.063%, 8/1/25 | 5,569 | 5,590 | |
Invitation Homes Operating Partnership LP (1 month LIBOR + 1.700%) 3.492%, 2/7/22 | 31,767 | 31,191 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 4.475%, 6/28/23 | 20,057 | 20,157 | |
Jane Street Group LLC (1 month LIBOR + 3.000%) 4.799%, 8/25/22 | 2,434 | 2,428 | |
Mitchell International, Inc. | |||
First Lien (1 month LIBOR + 3.250%) 5.049%, 11/29/24 | 7,206 | 7,135 |
Table of Contents
Par Value | Value | ||
Financial—continued | |||
Second Lien (1 month LIBOR + 7.250%) 9.049%, 12/1/25 | $1,070 | $1,025 | |
Nexus Buyer LLC (1 month LIBOR + 3.750%) 5.460%, 11/9/26 | 2,750 | 2,766 | |
Russell Investments US Institutional Holdco, Inc. (1 month LIBOR + 3.250%) 5.049%, 6/1/23 | 4,316 | 4,316 | |
VFH Parent LLC (1 month LIBOR + 3.500%) 0.000%, 3/1/26(4) | 14,037 | 14,080 | |
250,985 | |||
Food / Tobacco—2.1% | |||
BC Unlimited Liability Co. Tranche B-4 (1 month LIBOR + 1.750%) 3.549%, 11/19/26 | 12,520 | 12,533 | |
CHG PPC Parent LLC First Lien (1 month PRIME + 2.750%) 4.549%, 3/31/25 | 3,228 | 3,232 | |
JBS USA Lux S.A. (3 month LIBOR + 2.500%) 3.702%, 5/1/26 | 9,925 | 9,983 | |
K-Mac Holdings Corp. Second Lien (1 month LIBOR + 6.750%) 8.549%, 3/16/26 | 1,652 | 1,593 | |
NPC International, Inc. Second Lien (3 month LIBOR + 7.500%) 9.427%, 4/18/25(7) | 1,265 | 129 | |
Panera Bread Co. (1 month LIBOR + 1.750%) 3.563%, 6/13/22 | 40,213 | 39,132 | |
US Foods, Inc. 2019, Tranche B (1 month LIBOR + 2.000%) 3.799%, 9/13/26 | 3,391 | 3,403 | |
70,005 | |||
Food and Drug—0.2% | |||
United Natural Foods, Inc. (1 month LIBOR + 4.250%) 6.049%, 10/22/25 | 6,441 | 5,496 | |
Forest Prod / Containers—0.2% | |||
BWay Holding Co. (3 month LIBOR + 3.250%) 5.234%, 4/3/24 | 7,163 | 7,132 | |
Gaming / Leisure—5.9% | |||
Aristocrat Technologies, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 3.716%, 10/19/24 | 18,756 | 18,826 | |
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 4.549%, 12/23/24 | 16,558 | 16,576 | |
CEOC LLC Tranche B (1 month LIBOR + 2.000%) 3.799%, 10/7/24 | 10,675 | 10,730 | |
CityCenter Holdings LLC (1 month LIBOR + 2.250%) 4.049%, 4/18/24 | 12,764 | 12,807 | |
Eldorado Resorts, Inc. (1 month LIBOR + 2.250%) 4.047%, 4/17/24 | 4,544 | 4,540 | |
ESH Hospitality, Inc. (1 month LIBOR + 2.000%) 3.799%, 9/18/26 | 4,189 | 4,222 | |
Everi Payments, Inc. Tranche B (1 month LIBOR + 2.750%) 4.549%, 5/9/24 | 12,926 | 12,968 | |
Four Seasons Hotels Ltd. (1 month LIBOR + 2.000%) 3.702%, 11/30/23 | 10,443 | 10,509 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
GLP Capital LP (1 month LIBOR + 1.500%) 3.191%, 4/29/21 | $24,236 | $24,175 | |
Golden Entertainment, Inc. Tranche B, First Lien (1 month LIBOR + 3.000%) 4.800%, 10/21/24 | 3,264 | 3,272 | |
GVC Holdings plc Tranche B-2 (6 month LIBOR + 2.250%) 4.446%, 3/29/24 | 4,349 | 4,368 | |
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 3.542%, 6/22/26 | 42,052 | 42,315 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 4.550%, 4/29/24 | 6,138 | 6,115 | |
Station Casinos LLC Tranche B (1 month LIBOR + 2.500%) 4.300%, 6/8/23 | 5,914 | 5,937 | |
UFC Holdings LLC Tranche B (1 month LIBOR + 3.250%) 5.050%, 4/29/26 | 4,576 | 4,603 | |
VICI Properties 1 LLC Tranche B (1 month LIBOR + 2.000%) 3.785%, 12/20/24 | 16,116 | 16,183 | |
198,146 | |||
Healthcare—6.5% | |||
Acadia Healthcare Co., Inc. | |||
Tranche B-3 (1 month LIBOR + 2.500%) 4.299%, 2/11/22 | 905 | 907 | |
Tranche B-4 (1 month LIBOR + 2.500%) 4.299%, 2/16/23 | 1,961 | 1,964 | |
AHP Health Partners, Inc. (1 month LIBOR + 4.500%) 6.299%, 6/30/25 | 9,111 | 9,171 | |
Amneal Pharmaceuticals LLC (1 month LIBOR + 3.500%) 0.000%, 5/4/25(4) | 7,214 | 6,460 | |
Bausch Health Cos., Inc. (1 month LIBOR + 3.000%) 4.740%, 6/2/25 | 5,408 | 5,435 | |
Change Healthcare Holdings, Inc. (1 month LIBOR + 2.500%) 4.299%, 3/1/24 | 17,958 | 18,006 | |
Endo Luxembourg Finance Co. S.a.r.l. (3 month LIBOR + 4.250%) 6.063%, 4/29/24 | 15,050 | 14,373 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 5.549%, 10/10/25 | 5,040 | 4,287 | |
Explorer Holdings, Inc. (2 month LIBOR + 3.750%) 5.599%, 5/2/23 | 4,502 | 4,536 | |
Gentiva Health Services, Inc. First Lien (1 month LIBOR + 3.750%) 5.563%, 7/2/25 | 8,414 | 8,450 | |
Grifols Worldwide Operations USA, Inc. Tranche B (1 month LIBOR + 2.000%) 3.740%, 11/15/27 | 4,900 | 4,938 | |
HCA, Inc. Tranche B-12 (1 month LIBOR + 1.750%) 3.549%, 3/13/25 | 26,429 | 26,555 | |
Indivior Finance LLC 2017 (3 month LIBOR + 4.500%) 6.430%, 12/19/22 | 13,376 | 12,283 | |
IQVIA, Inc. | |||
Tranche B-1 (3 month LIBOR + 1.750%) 3.695%, 3/7/24 | 2,162 | 2,171 | |
Tranche B-3 (3 month LIBOR + 1.750%) 3.695%, 6/11/25 | 14,095 | 14,157 |
Table of Contents
Par Value | Value | ||
Healthcare—continued | |||
Kindred Healthcare, Inc. (1 month LIBOR + 5.000%) 6.813%, 7/2/25 | $6,813 | $6,847 | |
Lannett Co., Inc. Tranche A (1 month LIBOR + 5.000%) 6.799%, 11/25/20 | 7,411 | 7,332 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 4.500%) 6.304%, 11/16/25 | 9,488 | 9,557 | |
Owens & Minor, Inc. Tranche B (1 month LIBOR + 4.500%) 6.191%, 5/2/25 | 9,359 | 8,302 | |
RPI Finance Trust | |||
Tranche A-4 (1 month LIBOR + 1.500%) 3.299%, 5/4/22 | 9,406 | 9,398 | |
Tranche B-6 (1 month LIBOR + 2.000%) 3.799%, 3/27/23 | 33,754 | 34,012 | |
Syneos Health, Inc. Tranche B (1 month LIBOR + 2.000%) 3.799%, 8/1/24 | 3,913 | 3,932 | |
Team Health Holdings, Inc. (1 month LIBOR + 2.750%) 4.549%, 2/6/24 | 6,558 | 5,290 | |
218,363 | |||
Housing—5.5% | |||
American Builders & Contractors Supply Co., Inc. (1 month LIBOR + 2.000%) 3.799%, 1/15/27 | 10,648 | 10,695 | |
Brookfield Property REIT, Inc. | |||
Tranche A-2 (1 month LIBOR + 2.250%) 4.049%, 8/28/23 | 6,833 | 6,799 | |
Tranche B (1 month LIBOR + 2.500%) 4.299%, 8/27/25 | 56,348 | 55,937 | |
Canam Steel Corp. (1 month LIBOR + 5.000%) 6.805%, 7/1/24 | 8,449 | 8,406 | |
Capital Automotive LP | |||
2017, Tranche B-2 (1 month LIBOR + 2.500%) 4.300%, 3/25/24 | 25,507 | 25,563 | |
Tranche B, Second Lien (1 month LIBOR + 6.000%) 7.800%, 3/24/25 | 27,223 | 27,264 | |
DTZ US Borrower LLC (1 month LIBOR + 3.250%) 5.049%, 8/21/25 | 22,327 | 22,334 | |
Forest City Enterprises LP Tranche B (1 month LIBOR + 3.500%) 5.299%, 12/8/25 | 5,387 | 5,409 | |
Realogy Group LLC Tranche A (1 month LIBOR + 2.250%) 4.049%, 2/8/23 | 14,704 | 14,428 | |
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 3.799%, 11/21/24 | 6,417 | 6,444 | |
183,279 | |||
Information Technology—7.0% | |||
Applied Systems, Inc. First Lien (3 month LIBOR + 3.250%) 5.195%, 9/19/24 | 5,332 | 5,349 | |
Avaya, Inc. Tranche B (1 month LIBOR + 4.250%) 5.990%, 12/15/24 | 20,782 | 20,356 | |
Barracuda Networks, Inc. First Lien (3 month LIBOR + 3.250%) 5.042%, 2/12/25 | 2,518 | 2,528 |
Par Value | Value | ||
Information Technology—continued | |||
Brave Parent Holdings, Inc. (3 month LIBOR + 4.000%) 5.927%, 4/18/25 | $855 | $833 | |
Ciena Corp. 2018 (1 month LIBOR + 2.000%) 3.765%, 9/26/25 | 3,825 | 3,836 | |
Dell International LLC Tranche B-1 (1 month LIBOR + 2.000%) 3.800%, 9/19/25 | 48,165 | 48,461 | |
Dynatrace LLC First Lien (1 month LIBOR + 2.750%) 4.549%, 8/22/25 | 2,973 | 2,989 | |
EIG Investors Corp. 2018 (3 month LIBOR + 3.750%) 0.000%, 2/9/23(4) | 12,291 | 12,125 | |
Ensono LP First Lien (1 month LIBOR + 5.250%) 7.049%, 6/27/25 | 4,417 | 4,417 | |
Gigamon, Inc. First Lien (3 month LIBOR + 4.250%) 5.918%, 12/27/24 | 5,238 | 5,173 | |
GlobalFoundries, Inc. (3 month LIBOR + 4.750%) 6.750%, 6/5/26 | 8,010 | 7,739 | |
Internap Corp. (1 month LIBOR + 7.000%) 8.040%, 4/6/22 | 6,212 | 3,810 | |
Iron Mountain Information Management LLC Tranche B (1 month LIBOR + 1.750%) 3.549%, 1/2/26 | 8,238 | 8,210 | |
MA Financeco LLC | |||
Tranche B-2 (1 month LIBOR + 2.250%) 4.049%, 11/19/21 | 6,778 | 6,811 | |
Tranche B-3 (1 month LIBOR + 2.500%) 4.299%, 6/21/24 | 1,320 | 1,320 | |
Mavenir Systems, Inc. (3 month LIBOR + 6.000%) 7.910%, 5/8/25 | 7,008 | 6,938 | |
MaxLinear, Inc. Tranche B (1 month LIBOR + 2.500%) 4.240%, 5/12/24 | 2,295 | 2,295 | |
McAfee LLC Tranche B (1 month LIBOR + 3.750%) 5.555%, 9/30/24 | 10,397 | 10,436 | |
Microchip Technology, Inc. (1 month LIBOR + 2.000%) 3.800%, 5/29/25 | 4,513 | 4,536 | |
ON Semiconductor Corp. 2019, Tranche B-4 (1 month LIBOR + 2.000%) 3.799%, 9/16/26 | 2,863 | 2,881 | |
Rackspace Hosting, Inc. Tranche B, First Lien (3 month LIBOR + 3.000%) 4.902%, 11/3/23 | 7,497 | 7,265 | |
Salient CRGT, Inc. (3 month LIBOR + 6.500%) 8.292%, 2/28/22 | 9,204 | 8,652 | |
Seattle Escrow Borrower LLC (1 month LIBOR + 2.500%) 4.299%, 6/21/24 | 8,912 | 8,916 | |
SolarWinds Holdings, Inc. 2018 (1 month LIBOR + 2.750%) 4.549%, 2/5/24 | 7,752 | 7,797 | |
SS&C Technologies, Inc. | |||
Tranche B-3 (1 month LIBOR + 2.250%) 4.049%, 4/16/25 | 3,159 | 3,179 | |
Tranche B-4 (1 month LIBOR + 2.250%) 4.049%, 4/16/25 | 2,190 | 2,204 | |
TierPoint LLC First Lien (1 month LIBOR + 3.750%) 5.549%, 5/6/24 | 6,157 | 5,985 | |
Ultra Clean Holdings, Inc. Tranche B (1 month LIBOR + 4.500%) 6.299%, 8/27/25 | 6,758 | 6,741 | |
Vertiv Group Corp. Tranche B (3 month LIBOR + 4.000%) 5.927%, 11/30/23 | 13,441 | 13,395 |
Table of Contents
Par Value | Value | ||
Information Technology—continued | |||
Western Digital Corp. Tranche B-4 (3 month LIBOR + 1.750%) 3.452%, 4/29/23 | $7,315 | $7,344 | |
232,521 | |||
Manufacturing—1.2% | |||
Big River Steel LLC (3 month LIBOR + 5.000%) 6.945%, 8/23/23 | 8,964 | 8,941 | |
Bright Bidco B.V. 2018, Tranche B (1 month LIBOR + 3.500%) 5.397%, 6/30/24 | 10,802 | 6,304 | |
Clark Equipment Co. Tranche B (3 month LIBOR + 1.750%) 3.695%, 5/20/24 | 4,095 | 4,108 | |
CPM Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 5.549%, 11/17/25 | 4,070 | 4,021 | |
Dynacast International LLC Tranche B-1, First Lien (3 month LIBOR + 3.250%) 5.195%, 1/28/22 | 2,715 | 2,634 | |
Gates Global LLC Tranche B-2 (1 month LIBOR + 2.750%) 0.000%, 4/1/24(4) | 8,399 | 8,399 | |
TecoStar Holdings, Inc. 2017, First Lien (3 month LIBOR + 3.250%) 4.995%, 5/1/24 | 7,373 | 7,383 | |
41,790 | |||
Media / Telecom - Broadcasting—1.8% | |||
Gray Television, Inc. Tranche C (1 month LIBOR + 2.500%) 4.197%, 1/2/26 | 12,834 | 12,906 | |
LCPR Loan Financing LLC (1 month LIBOR + 5.000%) 6.740%, 10/15/26 | 12,540 | 12,681 | |
Mission Broadcasting, Inc. Tranche B-3 (1 month LIBOR + 2.250%) 3.941%, 1/17/24 | 2,489 | 2,496 | |
Nexstar Broadcasting, Inc. | |||
Tranche A-4 (1 month LIBOR + 1.500%) 3.441%, 10/26/23 | 13,021 | 12,913 | |
Tranche B-3 (1 month LIBOR + 2.250%) 4.055%, 1/17/24 | 12,523 | 12,563 | |
Tranche B-4 (3 month LIBOR + 2.750%) 4.452%, 9/18/26 | 4,120 | 4,139 | |
Quincy Newspapers, Inc. Tranche B (1 month LIBOR + 3.000%) 4.806%, 11/2/22 | 3,394 | 3,385 | |
WXXA-TV LLC Tranche A-4 (1 month LIBOR + 1.500%) 3.441%, 10/20/23 | 360 | 358 | |
61,441 | |||
Media / Telecom - Cable/Wireless Video—7.7% | |||
Cogeco Communications (USA) II LP Tranche B (1 month LIBOR + 2.250%) 4.049%, 1/3/25 | 20,902 | 20,959 | |
Coral US Co-Borrower LLC Tranche B-4 (1 month LIBOR + 3.250%) 5.049%, 2/2/26 | 29,302 | 29,462 |
Par Value | Value | ||
Media / Telecom - Cable/Wireless Video—continued | |||
CSC Holdings LLC | |||
2017 (1 month LIBOR + 2.250%) 3.990%, 7/17/25 | $15,258 | $15,267 | |
2019 (1 month LIBOR + 2.500%) 4.240%, 4/15/27 | 7,482 | 7,507 | |
Intelsat Jackson Holdings S.A. Tranche B-3 (6 month LIBOR + 3.750%) 5.682%, 11/27/23 | 20,995 | 21,014 | |
Mediacom Illinois LLC Tranche N (weekly LIBOR + 1.750%) 3.380%, 2/15/24 | 7,525 | 7,544 | |
Radiate Holdco LLC (1 month LIBOR + 3.000%) 4.799%, 2/1/24 | 8,260 | 8,285 | |
Telenet Financing USD LLC (1 month LIBOR + 2.250%) 3.990%, 8/15/26 | 22,015 | 22,120 | |
Terrier Media Buyer, Inc. (3 month LIBOR + 4.250%) 0.000%, 12/12/26(4) | 2,070 | 2,089 | |
Virgin Media Bristol LLC Tranche N (1 month LIBOR + 2.500%) 4.240%, 1/31/28 | 31,345 | 31,522 | |
WideOpenWest Finance LLC Tranche B (1 month LIBOR + 3.250%) 5.030%, 8/18/23 | 24,065 | 23,864 | |
Ziggo Secured Finance Partnership Tranche E (1 month LIBOR + 2.500%) 4.240%, 4/15/25 | 67,360 | 67,537 | |
257,170 | |||
Media / Telecom - Diversified Media—6.6% | |||
Alliance Data Systems Corp. 2017 (1 month LIBOR + 1.500%) 3.299%, 6/14/22(3) | 9,168 | 9,069 | |
Alpha Topco Ltd. 2018, Tranche B-3 (1 month LIBOR + 2.500%) 4.299%, 2/1/24 | 5,277 | 5,295 | |
AP NMT Acquisition B.V. Tranche B, First Lien (3 month LIBOR + 5.750%) 7.835%, 8/13/21 | 16,998 | 17,031 | |
Crown Finance US, Inc. | |||
(1 month LIBOR + 2.250%) 0.000%, 2/28/25(4) | 10,432 | 10,417 | |
(1 month LIBOR + 2.500%) 4.299%, 9/30/26 | 4,249 | 4,247 | |
Deluxe Entertainment Services Group, Inc. Second Lien (3 month LIBOR + 8.500%) 10.445%, 9/25/24 | 4,049 | 3,037 | |
Harland Clarke Holdings Corp. (3 month LIBOR + 4.750%) 6.695%, 11/3/23 | 71,693 | 56,906 | |
Lamar Media Corp. Tranche B (1 month LIBOR + 1.750%) 3.563%, 3/14/25 | 3,439 | 3,453 | |
Lions Gate Capital Holdings LLC | |||
Tranche A (1 month LIBOR + 1.750%) 3.549%, 3/22/23 | 9,577 | 9,469 | |
Tranche B (1 month LIBOR + 2.250%) 4.049%, 3/24/25 | 16,964 | 16,911 | |
Merrill Communications LLC Tranche B, First Lien (3 month LIBOR + 5.000%) 7.089%, 10/5/26 | 3,040 | 3,063 |
Table of Contents
Par Value | Value | ||
Media / Telecom - Diversified Media—continued | |||
MH Sub I LLC | |||
First Lien (1 month LIBOR + 3.750%) 5.549%, 9/13/24 | $15,549 | $15,566 | |
Tranche B, Second Lien (1 month LIBOR + 7.500%) 9.299%, 9/15/25 | 1,695 | 1,688 | |
Nielsen Finance LLC Tranche B-4 (1 month LIBOR + 2.000%) 3.710%, 10/4/23 | 14,495 | 14,533 | |
William Morris Endeavor Entertainment LLC Tranche B-1 (1 month LIBOR + 2.750%) 4.606%, 5/19/25 | 51,529 | 51,218 | |
221,903 | |||
Media / Telecom - Telecommunications—8.5% | |||
Altice Financing S.A. | |||
2017 (1 month LIBOR + 2.750%) 4.490%, 7/15/25 | 11,120 | 11,075 | |
2017 (1 month LIBOR + 2.750%) 4.515%, 1/31/26 | 13,344 | 13,252 | |
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.750%) 4.549%, 1/31/25 | 31,402 | 31,512 | |
Charter Communications Operating LLC Tranche B-2 (1 month LIBOR + 1.750%) 3.550%, 2/1/27 | 65,695 | 66,065 | |
Connect US Finco LLC | |||
(1 month LIBOR + 4.500%) 0.000%, 12/11/26(4)(8) | 6,874 | 6,902 | |
(1 month LIBOR + 4.500%) 0.000%, 12/11/26(4) | 4,756 | 4,775 | |
Cyxtera DC Holdings, Inc. | |||
First Lien (1 month LIBOR + 3.000%) 4.740%, 5/1/24 | 2,285 | 2,010 | |
Second Lien (1 month LIBOR + 7.250%) 8.990%, 5/1/25 | 2,400 | 1,445 | |
Level 3 Financing, Inc. 2027, Tranche B (1 month LIBOR + 1.750%) 3.549%, 3/1/27 | 42,723 | 42,856 | |
Neustar, Inc. | |||
Second Lien (1 month LIBOR + 8.000%) 9.799%, 8/8/25 | 2,539 | 2,149 | |
Tranche B-4, First Lien (1 month LIBOR + 3.500%) 5.299%, 8/8/24 | 8,743 | 8,042 | |
Numericable U.S. LLC | |||
Tranche B-11 (1 month LIBOR + 2.750%) 0.000%, 7/31/25(4) | 36,869 | 36,554 | |
Tranche B-12 (1 month LIBOR + 3.688%) 5.427%, 1/31/26 | 23,262 | 23,262 | |
Tranche B-13 (1 month LIBOR + 4.000%) 5.740%, 8/14/26 | 21,062 | 21,080 | |
West Corp. Tranche B (3 month LIBOR + 4.000%) 5.702%, 10/10/24 | 4,104 | 3,468 | |
Zacapa LLC (3 month LIBOR + 5.000%) 6.945%, 7/2/25 | 8,991 | 9,051 | |
283,498 | |||
Media / Telecom - Wireless Communications—0.8% | |||
Sprint Communications, Inc. (1 month LIBOR + 2.500%) 4.313%, 2/2/24 | 26,378 | 26,121 |
Par Value | Value | ||
Metals / Minerals—2.6% | |||
American Rock Salt Co. LLC 2018 (1 month LIBOR + 3.750%) 5.549%, 3/21/25 | $2,599 | $2,616 | |
Atkore International, Inc. First Lien (3 month LIBOR + 2.750%) 4.700%, 12/22/23 | 14,805 | 14,849 | |
CNX Resources Corp. Tranche B (1 month LIBOR + 4.500%) 6.300%, 9/27/24 | 5,580 | 4,925 | |
Covia Holdings Corp. (3 month LIBOR + 4.000%) 6.043%, 6/2/25 | 7,257 | 5,562 | |
GrafTech Finance, Inc. (1 month LIBOR + 3.500%) 5.299%, 2/12/25 | 26,091 | 25,993 | |
Metallurg, Inc. (1 month LIBOR + 3.000%) 4.799%, 2/1/25 | 7,012 | 6,883 | |
TMS International Corp. Tranche B-2 (1 month LIBOR + 2.750%) 4.625%, 8/14/24 | 4,285 | 4,253 | |
U.S. Silica Co. | |||
(1 month LIBOR + 4.000%) 5.813%, 5/1/25 | 14,186 | 12,498 | |
(3 month LIBOR + 0.500%) 0.500%, 5/1/23(3)(8) | 2,250 | 1,890 | |
Zekelman Industries, Inc. (1 month LIBOR + 2.250%) 4.035%, 6/14/21 | 6,994 | 7,002 | |
86,471 | |||
Real Estate—0.3% | |||
Hill Street Properties LLC PIK Interest Capitalization | |||
8.750%, 3/8/23(3)(9) | 4,790 | 4,766 | |
9.500%, 2/5/24(3)(9) | 3,690 | 3,708 | |
8,474 | |||
Retail—0.9% | |||
Ascena Retail Group, Inc. Tranche B (1 month LIBOR + 4.500%) 6.313%, 8/19/22 | 3,274 | 2,202 | |
ASHCO LLC (1 month LIBOR + 5.000%) 6.799%, 9/25/24 | 7,395 | 7,367 | |
Belk, Inc. (3 month LIBOR + 6.750%) 8.803%, 7/31/25 | 9,837 | 6,806 | |
CWGS Group LLC (1 month LIBOR + 2.750%) 4.444%, 11/8/23 | 7,218 | 6,808 | |
J.C. Penney Corp., Inc. Tranche B (3 month LIBOR + 4.250%) 6.159%, 6/23/23 | 5,589 | 4,914 | |
Petco Animal Supplies, Inc. (3 month LIBOR + 3.250%) 5.177%, 1/26/23 | 2,977 | 2,523 | |
30,620 | |||
Service—6.4% | |||
Adtalem Global Education, Inc. Tranche B (1 month LIBOR + 3.000%) 4.799%, 4/9/25 | 5,516 | 5,509 | |
AECOM Tranche B (1 month LIBOR + 1.750%) 3.549%, 2/21/25 | 4,962 | 4,967 |
Table of Contents
Par Value | Value | ||
Service—continued | |||
American Teleconferencing Services Ltd. (2 month LIBOR + 6.500%) 8.403%, 6/8/23(3) | $2,395 | $1,421 | |
APi Group DE, Inc. (1 month LIBOR + 2.500%) 4.299%, 10/1/26 | 3,085 | 3,107 | |
Ascend Learning LLC (1 month LIBOR + 3.000%) 4.799%, 7/12/24 | 6,527 | 6,564 | |
Conduent Business Services LLC Tranche B (1 month LIBOR + 2.500%) 4.299%, 12/7/23 | 8,456 | 8,414 | |
DG Investment Intermediate Holdings 2, Inc. | |||
First Lien (1 month LIBOR + 3.000%) 4.799%, 2/3/25 | 4,737 | 4,713 | |
Second Lien (1 month LIBOR + 6.750%) 8.549%, 2/2/26 | 845 | 811 | |
Exela Intermediate LLC 2018 (3 month LIBOR + 6.500%) 8.379%, 7/12/23 | 6,867 | 3,013 | |
GFL Environmental, Inc. 2018 (1 month LIBOR + 3.000%) 4.799%, 5/30/25 | 11,186 | 11,194 | |
iQor US, Inc. Tranche B, First Lien (3 month LIBOR + 5.000%) 7.099%, 4/1/21 | 21,804 | 18,691 | |
KAR Auction Services, Inc. Tranche B-6 (1 month LIBOR + 2.250%) 4.063%, 9/21/26 | 5,032 | 5,064 | |
MHI Holdings LLC First Lien (1 month LIBOR + 5.000%) 6.799%, 9/18/26 | 4,000 | 3,995 | |
National Intergovernmental Purchasing Alliance Co. | |||
First Lien (3 month LIBOR + 3.750%) 5.695%, 5/23/25 | 6,665 | 6,654 | |
Second Lien (3 month LIBOR + 7.500%) 9.604%, 5/22/26 | 3,375 | 3,308 | |
Pi US Mergerco, Inc. Tranche B-1 (1 month LIBOR + 3.250%) 5.049%, 1/3/25 | 11,864 | 11,901 | |
PricewaterhouseCoopers Public Sector LLP (1 month LIBOR + 4.500%) 6.299%, 5/1/25 | 17,492 | 17,317 | |
Prime Security Services Borrower LLC 2019, Tranche B-1 (1 month LIBOR + 3.250%) 4.944%, 9/23/26 | 3,721 | 3,728 | |
Red Ventures LLC Tranche B-1, First Lien (1 month LIBOR + 3.000%) 4.799%, 11/8/24 | 23,524 | 23,667 | |
Sedgwick Claims Management Services, Inc. (1 month LIBOR + 3.250%) 5.049%, 12/31/25 | 10,500 | 10,496 | |
ServiceMaster Co. LLC (The) Tranche D (1 month LIBOR + 1.750%) 3.563%, 11/5/26 | 1,430 | 1,435 | |
SGS Cayman LP (3 month LIBOR + 5.375%) 7.320%, 4/23/21 | 2,862 | 2,824 | |
St. George’s University Scholastic Services LLC (1 month LIBOR + 3.500%) 5.300%, 7/17/25 | 4,868 | 4,910 | |
Sutherland Global Services, Inc. (3 month LIBOR + 5.375%) 7.320%, 4/23/21 | 12,298 | 12,133 | |
Tempo Acquisition LLC (1 month LIBOR + 2.750%) 4.549%, 5/1/24 | 13,615 | 13,685 |
Par Value | Value | ||
Service—continued | |||
TKC Holdings, Inc. | |||
First Lien (1 month LIBOR + 3.750%) 5.550%, 2/1/23 | $5,123 | $4,728 | |
Second Lien (1 month LIBOR + 8.000%) 9.800%, 2/1/24 | 2,172 | 1,955 | |
Trans Union LLC Tranche B-5 (1 month LIBOR + 1.750%) 3.549%, 11/16/26 | 2,191 | 2,198 | |
Travelport Finance Luxembourg S.a.r.l. First Lien (3 month LIBOR + 5.000%) 6.945%, 5/30/26 | 6,581 | 6,134 | |
Tunnel Hill Partners LP (1 month LIBOR + 3.500%) 5.299%, 2/6/26 | 2,263 | 2,249 | |
Ventia Finco Pty Ltd. 2019, Tranche B (3 month LIBOR + 3.500%) 5.445%, 5/21/26 | 2,875 | 2,886 | |
Weight Watchers International, Inc. (3 month LIBOR + 4.750%) 6.720%, 11/29/24 | 3,629 | 3,633 | |
213,304 | |||
Transportation - Automotive—2.2% | |||
Adient US LLC (3 month LIBOR + 4.250%) 6.182%, 5/6/24 | 3,980 | 3,999 | |
American Axle & Manufacturing, Inc. Tranche B (1 month LIBOR + 2.250%) 4.068%, 4/6/24 | 7,528 | 7,528 | |
Autokiniton US Holdings, Inc. Tranche B (1 month LIBOR + 6.375%) 8.174%, 5/22/25 | 4,925 | 4,876 | |
Belron Finance 2019 LLC (3 month LIBOR + 2.500%) 4.436%, 10/30/26 | 3,270 | 3,280 | |
Dana, Inc. 2018, Tranche B (1 month LIBOR + 2.250%) 4.050%, 2/27/26 | 4,462 | 4,470 | |
DexKo Global, Inc. Tranche B (1 month LIBOR + 3.500%) 5.299%, 7/24/24 | 7,093 | 7,084 | |
Holley Purchaser, Inc. First Lien (3 month LIBOR + 5.000%) 6.927%, 10/24/25 | 4,148 | 3,878 | |
Navistar, Inc. Tranche B (1 month LIBOR + 3.500%) 5.240%, 11/6/24 | 9,106 | 9,068 | |
Superior Industries International, Inc. (1 month LIBOR + 4.000%) 5.799%, 5/22/24 | 7,792 | 7,520 | |
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) 4.799%, 10/1/25 | 13,692 | 13,363 | |
Wabash National Corp. Tranche B-4 (1 month LIBOR + 2.250%) 3.990%, 3/18/22 | 8,252 | 8,273 | |
73,339 | |||
Transportation - Land Transportation—0.5% | |||
Daseke Companies, Inc. (1 month LIBOR + 5.000%) 6.799%, 2/27/24 | 7,507 | 7,103 | |
Savage Enterprises LLC (1 month LIBOR + 4.000%) 5.740%, 8/1/25 | 7,984 | 8,073 | |
15,176 | |||
Table of Contents
Par Value | Value | ||
Transportation - Shipping—0.2% | |||
Commercial Barge Line Co. (3 month LIBOR + 8.750%) 10.676%, 11/12/20 | $2,844 | $1,433 | |
Hornblower Sub LLC First Lien (3 month LIBOR + 4.500%) 6.445%, 4/28/25 | 2,204 | 2,207 | |
REP WWEX Acquisition Parent LLC First Lien (3 month LIBOR + 4.000%) 5.945%, 2/5/24 | 1,851 | 1,843 | |
5,483 | |||
Utility—3.3% | |||
AES Corp. 2018 (3 month LIBOR + 1.750%) 3.659%, 5/31/22 | 607 | 607 | |
Brookfield WEC Holdings, Inc. First Lien (1 month LIBOR + 3.500%) 5.299%, 8/1/25 | 19,320 | 19,437 | |
Calpine Construction Finance Co. LP Tranche B (1 month LIBOR + 2.500%) 4.299%, 1/15/25 | 10,228 | 10,269 | |
Calpine Corp. | |||
(3 month LIBOR + 2.250%) 4.200%, 1/15/24 | 5,404 | 5,429 | |
Tranche B-10 (1 month LIBOR + 2.500%) 4.299%, 8/12/26 | 5,089 | 5,117 | |
Eastern Power LLC Tranche B (1 month LIBOR + 3.750%) 5.549%, 10/2/23 | 13,929 | 13,940 | |
Granite Generation LLC (1 month LIBOR + 3.750%) 5.571%, 11/9/26 | 1,000 | 990 | |
Invenergy Thermal Operating I LLC (1 month LIBOR + 3.500%) 5.299%, 8/28/25 | 7,022 | 7,097 | |
Longview Power LLC Tranche B (3 month LIBOR + 6.000%) 0.000%, 4/13/21(4) | 10,912 | 5,838 | |
Summit Midstream Partners Holdings LLC (1 month LIBOR + 6.000%) 7.799%, 5/13/22 | 8,021 | 7,570 | |
Talen Energy Supply LLC (1 month LIBOR + 3.750%) 0.000%, 7/8/26(4) | 6,085 | 6,082 | |
Vistra Operations Co. LLC 2018 (1 month LIBOR + 1.750%) 3.537%, 12/31/25 | 28,284 | 28,438 | |
110,814 | |||
Total Leveraged Loans (Identified Cost $3,191,892) | 3,127,148 | ||
Shares | ||
Preferred Stocks—0.0% | ||
Energy—0.0% | ||
Templar Energy LLC Class A, 0.000%(3)(10) | 8,569 | — |
Shares | Value | ||
Financials—0.0% | |||
GMAC Capital Trust I Series 2, 7.695% | 34,000 | $886 | |
Total Preferred Stocks (Identified Cost $908) | 886 | ||
Common Stocks—1.2% | |||
Communication Services—0.0% | |||
Desg Holdings, Inc.(3) | 477,100 | 1,327 | |
Consumer Discretionary—0.5% | |||
Caesars Entertainment Corp.(10) | 767,654 | 10,440 | |
TRU Kids, Inc.(3)(10) | 2,073 | 6,219 | |
Wayne Services Legacy, Inc.(3)(10) | 2,073 | — | |
16,659 | |||
Energy—0.2% | |||
Blackhawk Mining(3) | 56,299 | 5,208 | |
Templar Energy LLC Class A(3)(10) | 1,608,573 | 16 | |
5,224 | |||
Information Technology—0.4% | |||
Avaya Holdings Corp.(10) | 1,101,677 | 14,872 | |
Real Estate—0.1% | |||
Hill Street Properties(3)(10) | 82,213 | 2,220 | |
Total Common Stocks (Identified Cost $96,705) | 40,302 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Texas Competitive Electric Holdings Co. LLC(10) | 410,667 | 401 | |
Total Rights (Identified Cost $554) | 401 | ||
Warrant—0.0% | |||
Real Estate—0.0% | |||
Hill Street Properties(10) | 139,986 | — | |
Total Warrant (Identified Cost $2) | — | ||
Total Long-Term Investments—96.0% (Identified Cost $3,325,079) | 3,204,404 | ||
TOTAL INVESTMENTS—96.0% (Identified Cost $3,325,079) | $3,204,404 | ||
Other assets and liabilities, net—4.0% | 134,673 | ||
NET ASSETS—100.0% | $3,339,077 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
REIT | Real Estate Investment Trust |
Table of Contents
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, these securities amounted to a value of $16,815 or 0.5% of net assets. |
(2) | Variable rate security. Rate disclosed is as of December 31, 2019. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(3) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(4) | This loan will settle after December 31, 2019, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(5) | Security is fixed rate. |
(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) | 100% of the income received was in PIK. |
(10) | Non-income producing. |
Country Weightings (Unaudited)† | |
United States | 88% |
Luxembourg | 4 |
France | 3 |
Canada | 2 |
Cayman Islands | 1 |
Netherlands | 1 |
Australia | 1 |
Total | 100% |
† % of total investments as of December 31, 2019. |
Table of Contents
Total Value at December 31, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Security | $2,536 | $— | $2,536 | $— | |||
Corporate Bonds and Notes | 33,131 | — | 18,169 | 14,962 | |||
Leveraged Loans | 3,127,148 | — | 3,103,737 | 23,411 | |||
Equity Securities: | |||||||
Common Stocks | 40,302 | 25,312 | — | 14,990 | |||
Preferred Stocks | 886 | 886 | — | — | |||
Rights | 401 | — | 401 | — | |||
Warrant | — | — | — | — | |||
Total Investments | $3,204,404 | $26,198 | $3,124,843 | $53,363 |
Total | Corporate Bonds And Notes | Leveraged Loans | Common Stocks | Preferred Stocks | Right | ||||||
Investments in Securities | |||||||||||
Balance as of December 31, 2018: | $44,847 | $25,372 | $15,047 | $4,115 | $21 | $292 | |||||
Accrued discount/(premium) | 40 | 49 | (9) | — | — | — | |||||
Realized gain (loss) | (2,793) | 19 | 41 | (2,853) | — | — | |||||
Change in unrealized appreciation (depreciation)(a) | (4,323) | 299 | 793 | (5,503) | (21) | 109 | |||||
Purchases | 37,840 | — | 17,796 | 20,044 | — | — | |||||
Sales(b) | (35,363) | (10,777) | (23,773) | (813) | — | — | |||||
Transfers into Level 3(c) | 13,516 | — | 13,516 | — | — | — | |||||
Transfers from Level 3(c) | (401) | — | — | — | — | (401) | |||||
Balance as of December 31, 2019 | $53,363 | $14,962(d) | $23,411 | $14,990(d) | $—(d) | $— |
Table of Contents
December 31, 2019
Par Value | Value | ||
Municipal Bonds(1)—86.3% | |||
Alabama—4.0% | |||
Jefferson County, | |||
Sales Tax Revenue 5.000%, 9/15/33 | $1,000 | $1,197 | |
Sales Tax Revenue 5.000%, 9/15/35 | 1,000 | 1,192 | |
2,389 | |||
Arizona—2.2% | |||
Salt River Project Agricultural Improvement & Power District Revenue 5.000%, 1/1/32 | 1,000 | 1,308 | |
California—14.7% | |||
California Infrastructure & Economic Development Bank Revenue 5.000%, 10/1/48 | 2,000 | 2,429 | |
California Municipal Finance Authority, Bowles Hall Foundation Revenue 5.000%, 6/1/50 | 1,750 | 1,940 | |
California, State of, General Obligation 5.000%, 9/1/30 | 1,000 | 1,065 | |
Riverside Unified School District, General Obligation 4.000%, 8/1/42 | 2,075 | 2,338 | |
San Diego Redevelopment Agency Successor Agency | |||
5.000%, 9/1/28 | 500 | 604 | |
5.000%, 9/1/29 | 405 | 488 | |
8,864 | |||
Colorado—2.8% | |||
Colorado, State of, 4.000%, 3/15/37 | 1,500 | 1,702 | |
District of Columbia—2.0% | |||
District of Columbia, General Obligation 5.000%, 6/1/31 | 1,000 | 1,220 | |
Florida—2.0% | |||
Collier County, Water-Sewer District Revenue 5.000%, 7/1/33 | 1,000 | 1,210 | |
Georgia—4.2% | |||
Atlanta, City of, Water & Wastewater Revenue 5.000%, 11/1/35 | 1,000 | 1,232 | |
Development Authority for Fulton County, Georgia Tech Athletic Association Revenue (Pre-Refunded 4/1/21 @ 100) 5.750%, 10/1/36 | 1,250 | 1,322 | |
2,554 | |||
Louisiana—1.8% | |||
Parish of East Baton Rouge Capital Improvements District, Sales Tax Revenue 4.000%, 8/1/44 | 1,000 | 1,117 | |
Maryland—4.8% | |||
Washington Suburban Sanitary Commission Revenue (CNTY GTD Insured) 5.000%, 6/15/30 | 2,320 | 2,887 |
Par Value | Value | ||
Minnesota—2.0% | |||
Minnesota, State of, General Obligation 5.000%, 8/1/29 | $1,000 | $1,192 | |
New Jersey—1.7% | |||
New Jersey Higher Education Student Assistance Authority Revenue 3.250%, 12/1/39 | 1,000 | 1,016 | |
New York—3.8% | |||
New York City Transitional Finance Authority Future Tax Secured, Sales Tax Revenue 5.000%, 2/1/28 | 1,000 | 1,150 | |
New York State Dormitory Authority, Sales Tax Revenue (Pre-Refunded 3/15/23 @ 100) 5.000%, 3/15/29 | 1,000 | 1,127 | |
2,277 | |||
North Carolina—1.6% | |||
North Carolina, State of, Build Revenue 5.000%, 5/1/22 | 900 | 981 | |
Ohio—3.0% | |||
Ohio, State of, General Obligation 5.000%, 5/1/36 | 1,500 | 1,821 | |
Oregon—2.0% | |||
Portland, Port of, Airport Revenue 5.000%, 7/1/47 | 1,000 | 1,180 | |
Tennessee—2.1% | |||
Tennessee, State of, General Obligation 5.000%, 9/1/30 | 1,000 | 1,256 | |
Texas—19.6% | |||
Arlington Higher Education Finance Corp., Life School Revenue (PSF-GTD Insured) 5.000%, 8/15/39 | 1,000 | 1,124 | |
Eagle Mountain & Saginaw Independent School District, General Obligation (PSF-GTD Insured) 4.000%, 8/15/50 | 2,500 | 2,781 | |
Fort Worth, City of, Water & Sewer System Revenue 5.000%, 2/15/30 | 1,000 | 1,253 | |
Hurst-Euless-Bedford Independent School District, General Obligation (PSF-GTD Insured) 5.000%, 8/15/31 | 1,810 | 2,285 | |
North Texas Municipal Water District Water System Revenue 5.000%, 9/1/32 | 750 | 946 | |
Round Rock Independent School District, General Obligation (PSF-GTD Insured) 5.000%, 8/1/26 | 1,000 | 1,232 | |
Texas, State of, | |||
General Obligation 5.000%, 10/1/20 | 1,000 | 1,029 | |
General Obligation 5.000%, 8/1/27 | 1,000 | 1,154 | |
11,804 | |||
Table of Contents
Par Value | Value | ||
Virginia—4.0% | |||
Virginia Resources Authority Revenue 5.000%, 10/1/29 | $2,000 | $2,402 | |
Washington—8.0% | |||
Energy Northwest Revenue | |||
5.000%, 7/1/33 | 2,000 | 2,457 | |
5.000%, 7/1/34 | 2,000 | 2,340 | |
4,797 | |||
Total Municipal Bonds (Identified Cost $50,148) | 51,977 | ||
Total Long-Term Investments—86.3% (Identified Cost $50,148) | 51,977 | ||
Shares | ||
Short-Term Investment—13.2% | ||
Money Market Mutual Fund—13.2% | ||
Dreyfus AMT-Free Tax Exempt Cash Management (seven-day effective yield 1.290%)(2) | 7,912,963 | 7,913 |
Total Short-Term Investment (Identified Cost $7,921) | 7,913 | |
Value | ||
TOTAL INVESTMENTS—99.5% (Identified Cost $58,069) | $59,890 | |
Other assets and liabilities, net—0.5% | 309 | |
NET ASSETS—100.0% | $60,199 |
Abbreviations: | |
CNTY GTD | County Guarantee Program |
PSF-GTD | Permanent School Fund Guarantee Program |
Footnote Legend: | |
(1) | At December 31, 2019, 17.2% 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) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at December 31, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Municipal Bonds | $51,977 | $— | $51,977 | ||
Money Market Mutual Fund | 7,913 | 7,913 | — | ||
Total Investments | $59,890 | $7,913 | $51,977 |
Table of Contents
December 31, 2019
Par Value | Value | ||
Corporate Bonds and Notes—93.8% | |||
Communication Services—19.6% | |||
Altice Financing S.A. 144A 6.625%, 2/15/23(1) | $1,970 | $2,004 | |
Altice France S.A. 144A 8.125%, 2/1/27(1) | 1,565 | 1,763 | |
Altice Luxembourg S.A. 144A 10.500%, 5/15/27(1) | 3,480 | 3,967 | |
C&W Senior Financing DAC 144A 7.500%, 10/15/26(1) | 1,820 | 1,971 | |
CCO Holdings LLC | |||
5.750%, 1/15/24 | 224 | 228 | |
144A 5.875%, 5/1/27(1) | 2,370 | 2,506 | |
144A 4.750%, 3/1/30(1) | 415 | 423 | |
CenturyLink, Inc. | |||
6.750%, 12/1/23 | 1,070 | 1,194 | |
7.500%, 4/1/24 | 1,365 | 1,539 | |
Cincinnati Bell, Inc. | |||
144A 7.000%, 7/15/24(1) | 310 | 325 | |
144A 8.000%, 10/15/25(1) | 1,004 | 1,064 | |
Cogent Communications Group, Inc. | |||
144A 5.625%, 4/15/21(1) | 745 | 752 | |
144A 5.375%, 3/1/22(1) | 520 | 543 | |
CSC Holdings LLC | |||
5.250%, 6/1/24 | 547 | 589 | |
144A 7.750%, 7/15/25(1) | 755 | 805 | |
144A 6.625%, 10/15/25(1) | 680 | 722 | |
144A 5.500%, 4/15/27(1) | 1,195 | 1,283 | |
144A 6.500%, 2/1/29(1) | 990 | 1,104 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(1) | 3,045 | 3,080 | |
144A 6.625%, 8/15/27(1)(2) | 1,218 | 1,185 | |
DISH DBS Corp. | |||
5.125%, 5/1/20 | 2,150 | 2,163 | |
6.750%, 6/1/21 | 1,155 | 1,214 | |
7.750%, 7/1/26 | 374 | 396 | |
DISH Network Corp. 3.375%, 8/15/26 | 325 | 313 | |
Embarq Corp. 7.995%, 6/1/36 | 295 | 312 | |
Frontier Communications Corp. 144A 8.000%, 4/1/27(1) | 3,100 | 3,240 | |
Intelsat Jackson Holdings S.A. 144A 9.750%, 7/15/25(1) | 1,725 | 1,596 | |
LCPR Senior Secured Financing DAC 144A 6.750%, 10/15/27(1) | 2,425 | 2,571 | |
Level 3 Financing, Inc. 5.375%, 5/1/25 | 1,000 | 1,035 | |
Live Nation Entertainment, Inc. 144A 4.875%, 11/1/24(1) | 1,230 | 1,273 | |
Netflix, Inc. 5.875%, 2/15/25 | 1,410 | 1,572 | |
Sprint Communications, Inc. 11.500%, 11/15/21 | 1,690 | 1,931 | |
Sprint Corp. | |||
7.875%, 9/15/23 | 1,390 | 1,534 | |
7.625%, 2/15/25 | 1,405 | 1,542 | |
Telenet Finance Luxembourg Notes S.a.r.l. 144A 5.500%, 3/1/28(1) | 1,400 | 1,495 | |
T-Mobile USA, Inc. | |||
6.000%, 4/15/24 | 3,060 | 3,159 | |
6.500%, 1/15/26 | 925 | 992 |
Par Value | Value | ||
Communication Services—continued | |||
Trilogy International Partners LLC 144A 8.875%, 5/1/22(1) | $80 | $75 | |
ViacomCBS, Inc. 6.250%, 2/28/57 | 1,025 | 1,137 | |
Ziggo B.V. 144A 5.500%, 1/15/27(1) | 3,175 | 3,373 | |
57,970 | |||
Consumer Discretionary—9.8% | |||
Adient Global Holdings Ltd. 144A 4.875%, 8/15/26(1) | 685 | 611 | |
Adient US LLC 144A 7.000%, 5/15/26(1) | 990 | 1,079 | |
American Axle & Manufacturing, Inc. 6.250%, 4/1/25 | 1,250 | 1,302 | |
Asbury Automotive Group, Inc. 6.000%, 12/15/24 | 340 | 351 | |
Boyd Gaming Corp. 6.000%, 8/15/26 | 1,160 | 1,246 | |
Century Communities, Inc. | |||
5.875%, 7/15/25 | 1,598 | 1,664 | |
144A 6.750%, 6/1/27(1) | 2,450 | 2,627 | |
Dana, Inc. 5.375%, 11/15/27 | 285 | 294 | |
Delphi Technologies plc 144A 5.000%, 10/1/25(1) | 795 | 735 | |
Eldorado Resorts, Inc. | |||
6.000%, 4/1/25 | 1,045 | 1,100 | |
6.000%, 9/15/26 | 660 | 727 | |
General Motors Co. 6.600%, 4/1/36 | 1,210 | 1,425 | |
Graham Holdings Co. 144A 5.750%, 6/1/26(1) | 945 | 1,009 | |
Hilton Grand Vacations Borrower LLC 6.125%, 12/1/24 | 855 | 923 | |
IAA, Inc. 144A 5.500%, 6/15/27(1) | 550 | 584 | |
J.B. Poindexter & Co., Inc. 144A 7.125%, 4/15/26(1) | 1,135 | 1,198 | |
Lennar Corp. 5.875%, 11/15/24 | 1,255 | 1,396 | |
Liberty Interactive LLC 8.250%, 2/1/30 | 1,145 | 1,131 | |
MGM Resorts International 7.750%, 3/15/22 | 1,140 | 1,271 | |
Motors Liquidation Co. Escrow(3) | 53,982 | — | |
New Red Finance, Inc. 144A 5.000%, 10/15/25(1) | 1,565 | 1,616 | |
Penske Automotive Group, Inc. 5.375%, 12/1/24 | 915 | 941 | |
Scientific Games International, Inc. 144A 7.000%, 5/15/28(1) | 1,170 | 1,252 | |
Shea Homes LP 144A 5.875%, 4/1/23(1) | 1,665 | 1,696 | |
Taylor Morrison Communities, Inc. 144A 5.750%, 1/15/28(1) | 418 | 456 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 2,175 | 2,365 |
Table of Contents
Par Value | Value | ||
Consumer Discretionary—continued | |||
Wolverine World Wide, Inc. 144A 5.000%, 9/1/26(1) | $140 | $142 | |
29,141 | |||
Consumer Staples—1.8% | |||
Pilgrim’s Pride Corp. 144A 5.750%, 3/15/25(1) | 2,390 | 2,470 | |
Rite Aid Corp. 144A 6.125%, 4/1/23(1) | 690 | 635 | |
US Foods, Inc. 144A 5.875%, 6/15/24(1) | 1,741 | 1,793 | |
Vector Group Ltd. 144A 10.500%, 11/1/26(1) | 430 | 445 | |
5,343 | |||
Energy—9.2% | |||
Antero Midstream Partners LP 144A 5.750%, 3/1/27(1) | 985 | 866 | |
Apergy Corp. 6.375%, 5/1/26 | 1,491 | 1,573 | |
California Resources Corp. 144A 8.000%, 12/15/22(1)(2) | 2,732 | 1,175 | |
Centennial Resource Production LLC 144A 6.875%, 4/1/27(1) | 1,200 | 1,248 | |
Chesapeake Energy Corp. 144A 11.500%, 1/1/25(1) | 775 | 732 | |
Diamond Offshore Drilling, Inc. | |||
7.875%, 8/15/25(2) | 540 | 470 | |
5.700%, 10/15/39 | 1,200 | 702 | |
Endeavor Energy Resources LP 144A 5.500%, 1/30/26(1) | 820 | 847 | |
Ensign Drilling, Inc. 144A 9.250%, 4/15/24(1) | 1,545 | 1,458 | |
Glenn Pool Oil & Gas Trust 6.000%, 8/2/21(3) | 154 | 153 | |
Hilcorp Energy I LP 144A 6.250%, 11/1/28(1) | 2,365 | 2,247 | |
MEG Energy Corp. | |||
144A 6.375%, 1/30/23(1) | 445 | 446 | |
144A 6.500%, 1/15/25(1) | 1,390 | 1,446 | |
Montage Resources Corp. 8.875%, 7/15/23 | 695 | 641 | |
Nabors Industries, Inc. 5.750%, 2/1/25(2) | 740 | 666 | |
Oceaneering International, Inc. 6.000%, 2/1/28 | 1,200 | 1,176 | |
Parkland Fuel Corp. 144A 5.875%, 7/15/27(1) | 1,635 | 1,749 | |
Precision Drilling Corp. 7.750%, 12/15/23 | 315 | 314 | |
Pride International LLC 7.875%, 8/15/40 | 945 | 477 | |
Rowan Cos., Inc. 5.850%, 1/15/44(2) | 300 | 147 | |
SandRidge Energy, Inc. 8.125%, 10/15/22(3) | 1,935 | — | |
Shelf Drilling Holdings Ltd. 144A 8.250%, 2/15/25(1) | 1,000 | 952 | |
Southwestern Energy Co. 7.750%, 10/1/27 | 1,040 | 963 |
Par Value | Value | ||
Energy—continued | |||
Transocean Proteus Ltd. 144A 6.250%, 12/1/24(1) | $987 | $1,017 | |
Transocean Sentry Ltd. 144A 5.375%, 5/15/23(1) | 390 | 397 | |
Transocean, Inc. 144A 7.500%, 1/15/26(1) | 310 | 306 | |
USA Compression Partners LP 6.875%, 4/1/26 | 940 | 987 | |
Valaris plc 5.750%, 10/1/44 | 1,830 | 823 | |
Viper Energy Partners LP 144A 5.375%, 11/1/27(1) | 1,122 | 1,167 | |
Weatherford International Ltd. 144A 11.000%, 12/1/24(1) | 365 | 395 | |
WPX Energy, Inc. | |||
8.250%, 8/1/23 | 735 | 845 | |
5.250%, 10/15/27 | 885 | 934 | |
27,319 | |||
Financials—21.0% | |||
Alliant Holdings Intermediate LLC 144A 6.750%, 10/15/27(1) | 1,100 | 1,178 | |
Ally Financial, Inc. | |||
4.250%, 4/15/21 | 1,360 | 1,391 | |
5.125%, 9/30/24 | 1,490 | 1,643 | |
5.750%, 11/20/25 | 1,335 | 1,494 | |
Altice Finco S.A. 144A 8.125%, 1/15/24(1) | 530 | 546 | |
Ascent Resources Utica Holdings LLC 144A 10.000%, 4/1/22(1) | 734 | 730 | |
C&W Senior Financing DAC 144A 6.875%, 9/15/27(1) | 855 | 914 | |
Charter Communications Operating LLC 4.908%, 7/23/25 | 3,015 | 3,319 | |
Cimpress plc 144A 7.000%, 6/15/26(1) | 3,367 | 3,611 | |
Comstock Resources, Inc. 9.750%, 8/15/26 | 17 | 15 | |
Credit Acceptance Corp. | |||
7.375%, 3/15/23 | 690 | 708 | |
144A 5.125%, 12/31/24(1) | 370 | 384 | |
144A 6.625%, 3/15/26(1) | 2,775 | 3,000 | |
Dell International LLC | |||
144A 7.125%, 6/15/24(1) | 1,470 | 1,551 | |
144A 8.350%, 7/15/46(1) | 1,070 | 1,471 | |
Ford Motor Credit Co. LLC 5.875%, 8/2/21 | 2,895 | 3,030 | |
Hilcorp Energy I LP | |||
144A 5.000%, 12/1/24(1) | 180 | 174 | |
144A 5.750%, 10/1/25(1) | 3,235 | 3,154 | |
HUB International Ltd. 144A 7.000%, 5/1/26(1) | 1,443 | 1,526 | |
Ladder Capital Finance Holdings LLLP | |||
144A 5.250%, 3/15/22(1) | 825 | 857 | |
144A 5.250%, 10/1/25(1) | 595 | 617 | |
Level 3 Financing, Inc. 144A 4.625%, 9/15/27(1) | 882 | 903 | |
MGIC Investment Corp. 5.750%, 8/15/23 | 1,415 | 1,564 | |
Nationstar Mortgage Holdings, Inc. | |||
144A 8.125%, 7/15/23(1) | 830 | 879 | |
144A 9.125%, 7/15/26(1) | 1,420 | 1,573 |
Table of Contents
Par Value | Value | ||
Financials—continued | |||
Nationstar Mortgage LLC 6.500%, 7/1/21 | $1,389 | $1,392 | |
Navient Corp. 8.000%, 3/25/20 | 845 | 854 | |
Provident Funding Associates LP 144A 6.375%, 6/15/25(1) | 2,121 | 2,079 | |
Quicken Loans, Inc. | |||
144A 5.750%, 5/1/25(1) | 3,485 | 3,603 | |
144A 5.250%, 1/15/28(1) | 1,245 | 1,289 | |
Radian Group, Inc. | |||
4.500%, 10/1/24 | 1,575 | 1,666 | |
4.875%, 3/15/27 | 1,505 | 1,584 | |
Refinitiv US Holdings, Inc. 144A 6.250%, 5/15/26(1) | 1,205 | 1,315 | |
Springleaf Finance Corp. 7.750%, 10/1/21 | 415 | 451 | |
Sprint Capital Corp. 8.750%, 3/15/32 | 970 | 1,177 | |
Starwood Property Trust, Inc. 5.000%, 12/15/21 | 2,513 | 2,607 | |
Terrier Media Buyer, Inc. 144A 8.875%, 12/15/27(1) | 1,950 | 2,062 | |
Teva Pharmaceutical Finance Co. B.V. 2.950%, 12/18/22 | 1,385 | 1,323 | |
Transocean Pontus Ltd. 144A 6.125%, 8/1/25(1) | 1,063 | 1,089 | |
US Airways, Inc. Pass-Through-Trust 2012-2, B 6.750%, 6/3/21 | 2,307 | 2,421 | |
USI, Inc. 144A 6.875%, 5/1/25(1) | 1,150 | 1,175 | |
62,319 | |||
Health Care—10.2% | |||
Bausch Health Americas, Inc. 144A 9.250%, 4/1/26(1) | 2,640 | 3,032 | |
Bausch Health Cos., Inc. | |||
144A 5.875%, 5/15/23(1) | 885 | 893 | |
144A 9.000%, 12/15/25(1) | 1,135 | 1,291 | |
144A 5.750%, 8/15/27(1) | 1,370 | 1,487 | |
Centene Corp. 144A 5.375%, 6/1/26(1) | 1,365 | 1,449 | |
DaVita, Inc. 5.000%, 5/1/25 | 2,200 | 2,263 | |
HCA Healthcare, Inc. 6.250%, 2/15/21 | 2,875 | 2,997 | |
HCA, Inc. | |||
5.250%, 4/15/25 | 2,955 | 3,303 | |
7.500%, 11/15/95 | 455 | 530 | |
IQVIA, Inc. 144A 5.000%, 10/15/26(1) | 1,060 | 1,118 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(1) | 3,235 | 3,219 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1) | 930 | 1,007 | |
Teva Pharmaceutical Finance Netherlands III B.V. | |||
6.000%, 4/15/24(2) | 2,340 | 2,368 | |
6.750%, 3/1/28(2) | 2,325 | 2,360 | |
WellCare Health Plans, Inc. | |||
5.250%, 4/1/25 | 1,185 | 1,233 |
Par Value | Value | ||
Health Care—continued | |||
144A 5.375%, 8/15/26(1) | $1,605 | $1,709 | |
30,259 | |||
Industrials—7.5% | |||
AECOM 5.875%, 10/15/24 | 725 | 802 | |
Air Canada Pass-Through-Trust 2015-1, C 144A 5.000%, 3/15/20(1) | 543 | 545 | |
American Airlines Group, Inc. 144A 5.000%, 6/1/22(1) | 3,320 | 3,473 | |
Beacon Roofing Supply, Inc. 144A 4.875%, 11/1/25(1) | 735 | 739 | |
CSC Holdings LLC 144A 10.875%, 10/15/25(1) | 3,030 | 3,386 | |
Gates Global LLC 144A 6.250%, 1/15/26(1) | 870 | 885 | |
GFL Environmental, Inc. 144A 5.125%, 12/15/26(1) | 186 | 196 | |
KAR Auction Services, Inc. 144A 5.125%, 6/1/25(1) | 1,680 | 1,747 | |
Manitowoc Co., Inc. (The) 144A 9.000%, 4/1/26(1) | 835 | 875 | |
Moog, Inc. 144A 4.250%, 12/15/27(1) | 390 | 397 | |
Tms International Holding Corp. 144A 7.250%, 8/15/25(1) | 908 | 821 | |
TransDigm UK Holdings plc 6.875%, 5/15/26 | 1,640 | 1,747 | |
TransDigm, Inc. 7.500%, 3/15/27 | 2,125 | 2,324 | |
Triumph Group, Inc. 144A 6.250%, 9/15/24(1) | 570 | 599 | |
Univar Solutions USA, Inc. 144A 5.125%, 12/1/27(1) | 188 | 196 | |
Vizient, Inc. 144A 6.250%, 5/15/27(1) | 291 | 311 | |
Wabash National Corp. 144A 5.500%, 10/1/25(1) | 700 | 700 | |
WESCO Distribution, Inc. 5.375%, 6/15/24 | 720 | 747 | |
XPO Logistics, Inc. 144A 6.750%, 8/15/24(1) | 1,570 | 1,706 | |
22,196 | |||
Information Technology—4.7% | |||
Broadcom Corp. 3.625%, 1/15/24 | 1,175 | 1,217 | |
Broadcom, Inc. | |||
144A 4.250%, 4/15/26(1) | 2,190 | 2,327 | |
144A 4.750%, 4/15/29(1) | 855 | 935 | |
CommScope, Inc. | |||
144A 5.500%, 3/1/24(1) | 865 | 902 | |
144A 5.500%, 6/15/24(1) | 305 | 309 | |
144A 8.250%, 3/1/27(1) | 260 | 273 | |
Dell International LLC | |||
144A 6.020%, 6/15/26(1) | 1,540 | 1,771 | |
144A 5.300%, 10/1/29(1) | 1,880 | 2,117 | |
144A 8.100%, 7/15/36(1) | 785 | 1,030 | |
Micron Technology, Inc. 4.640%, 2/6/24 | 2,617 | 2,838 |
Table of Contents
Par Value | Value | ||
Information Technology—continued | |||
Western Digital Corp. 4.750%, 2/15/26 | $280 | $292 | |
14,011 | |||
Materials—5.1% | |||
Axalta Coating Systems LLC 144A 4.875%, 8/15/24(1) | 2,270 | 2,349 | |
Berry Global, Inc. 6.000%, 10/15/22 | 456 | 465 | |
Big River Steel LLC 144A 7.250%, 9/1/25(1) | 1,010 | 1,066 | |
Blue Cube Spinco LLC 9.750%, 10/15/23 | 1,318 | 1,417 | |
First Quantum Minerals Ltd. | |||
144A 7.000%, 2/15/21(1) | 421 | 422 | |
144A 6.875%, 3/1/26(1) | 710 | 719 | |
Freeport-McMoRan, Inc. | |||
3.550%, 3/1/22 | 1,277 | 1,293 | |
4.550%, 11/14/24 | 700 | 740 | |
OCI NV 144A 5.250%, 11/1/24(1) | 1,200 | 1,245 | |
Reynolds Group Issuer, Inc. 144A 5.125%, 7/15/23(1) | 1,875 | 1,920 | |
Summit Materials LLC | |||
144A 5.125%, 6/1/25(1) | 1,070 | 1,099 | |
144A 6.500%, 3/15/27(1) | 665 | 715 | |
USG Corp. 144A 5.500%, 3/1/25(1) | 825 | 827 | |
Valvoline, Inc. 5.500%, 7/15/24 | 802 | 832 | |
15,109 | |||
Real Estate—2.9% | |||
Brookfield Property REIT, Inc. 144A 5.750%, 5/15/26(1) | 1,722 | 1,817 | |
Crown Castle International Corp. 5.250%, 1/15/23 | 1,320 | 1,433 | |
Howard Hughes Corp. (The) 144A 5.375%, 3/15/25(1) | 2,332 | 2,431 | |
iStar, Inc. | |||
4.750%, 10/1/24 | 965 | 1,000 | |
4.250%, 8/1/25 | 980 | 991 | |
Realogy Group LLC | |||
144A 5.250%, 12/1/21(1) | 555 | 560 | |
144A 9.375%, 4/1/27(1) | 320 | 334 | |
8,566 | |||
Utilities—2.0% | |||
NextEra Energy Operating Partners LP 144A 4.250%, 7/15/24(1) | 2,730 | 2,843 | |
Talen Energy Supply LLC | |||
6.500%, 6/1/25 | 800 | 683 | |
144A 7.250%, 5/15/27(1) | 605 | 636 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(1) | 800 | 846 |
Par Value | Value | ||
Utilities—continued | |||
Vistra Operations Co. LLC 144A 5.625%, 2/15/27(1) | $815 | $859 | |
5,867 | |||
Total Corporate Bonds and Notes (Identified Cost $269,252) | 278,100 | ||
Leveraged Loans(4)—3.9% | |||
Aerospace—0.3% | |||
American Airlines, Inc. 2017, Tranche B (1 month LIBOR + 2.000%) 3.805%, 4/28/23 | 1,014 | 1,016 | |
Chemicals—0.6% | |||
Axalta Coating Systems US Holdings, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 3.695%, 6/1/24 | 1,683 | 1,685 | |
Energy—0.3% | |||
Crestwood Holdings LLC (1 month LIBOR + 7.500%) 9.270%, 3/6/23 | 875 | 812 | |
Financial—0.1% | |||
Ditech Holding Corp. Tranche B (3 month PRIME + 0.000%) 6.000%, 6/30/22(3)(5) | 436 | 176 | |
Gaming / Leisure—0.7% | |||
Eldorado Resorts, Inc. (1 month LIBOR + 2.250%) 4.047%, 4/17/24 | 459 | 459 | |
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 0.000%, 6/22/26(6) | 1,685 | 1,695 | |
2,154 | |||
Healthcare—0.5% | |||
HCA, Inc. Tranche B-13 (1 month LIBOR + 1.750%) 3.549%, 3/18/26 | 1,461 | 1,469 | |
Information Technology—0.5% | |||
Dell International LLC Tranche B-1 (1 month LIBOR + 2.000%) 3.800%, 9/19/25 | 1,500 | 1,509 | |
Media / Telecom - Telecommunications—0.9% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.750%) 4.549%, 1/31/25 | 1,309 | 1,313 | |
Charter Communications Operating LLC Tranche B-2 (1 month LIBOR + 1.750%) 3.550%, 2/1/27 | 1,496 | 1,505 | |
2,818 | |||
Total Leveraged Loans (Identified Cost $11,854) | 11,639 | ||
Table of Contents
Shares | Value | ||
Preferred Stock—0.4% | |||
Financials—0.4% | |||
GMAC Capital Trust I Series 2, 7.695% | 42,810 | $1,115 | |
Total Preferred Stock (Identified Cost $1,070) | 1,115 | ||
Common Stock—0.0% | |||
Energy—0.0% | |||
Templar Energy LLC Class A(3)(7) | 159,460 | 1 | |
Total Common Stock (Identified Cost $5,605) | 1 | ||
Warrants—0.0% | |||
Energy—0.0% | |||
SandRidge Energy, Inc.(7) | 3,760 | —(8) | |
SandRidge Energy, Inc.(7) | 1,583 | —(8) | |
—(8) | |||
Total Warrants (Identified Cost $0) | —(8) | ||
Total Long-Term Investments—98.1% (Identified Cost $287,781) | 290,855 | ||
Securities Lending Collateral—2.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(9)(10) | 6,822,082 | 6,822 | |
Total Securities Lending Collateral (Identified Cost $6,822) | 6,822 | ||
TOTAL INVESTMENTS—100.4% (Identified Cost $294,603) | $297,677 | ||
Other assets and liabilities, net—(0.4)% | (1,326) | ||
NET ASSETS—100.0% | $296,351 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
REIT | Real Estate Investment Trust |
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 December 31, 2019, these securities amounted to a value of $169,729 or 57.3% of net assets. |
(2) | All or a portion of security is on loan. |
(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 December 31, 2019. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(6) | This loan will settle after December 31, 2019, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(7) | Non-income producing. |
(8) | Amount is less than $500. |
(9) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(10) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
United States | 83% |
Netherlands | 5 |
Canada | 4 |
Luxembourg | 3 |
Ireland | 2 |
Cayman Islands | 1 |
United Kingdom | 1 |
Other | 1 |
Total | 100% |
† % of total investments as of December 31, 2019. |
Table of Contents
Total Value at December 31, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $278,100 | $— | $277,947 | $153 | |||
Leveraged Loans | 11,639 | — | 11,463 | 176 | |||
Equity Securities: | |||||||
Preferred Stock | 1,115 | 1,115 | — | — | |||
Warrants | —(1) | —(1) | — | — | |||
Common Stock | 1 | — | — | 1 | |||
Securities Lending Collateral | 6,822 | 6,822 | — | — | |||
Total Investments | $297,677 | $7,937 | $289,410 | $330 |
(1) | Amount is less than $500. |
Table of Contents
December 31, 2019
Par Value | Value | ||
Corporate Bonds and Notes—92.1% | |||
Communication Services—18.2% | |||
Altice Financing S.A. 144A 6.625%, 2/15/23(1) | $1,465 | $1,491 | |
Altice France S.A. 144A 8.125%, 2/1/27(1) | 1,535 | 1,729 | |
AMC Networks, Inc. 4.750%, 12/15/22 | 1,440 | 1,453 | |
C&W Senior Financing DAC 144A 7.500%, 10/15/26(1) | 1,490 | 1,613 | |
CCO Holdings LLC | |||
5.750%, 1/15/24 | 288 | 293 | |
144A 5.875%, 5/1/27(1) | 2,220 | 2,348 | |
144A 4.750%, 3/1/30(1) | 395 | 403 | |
CenturyLink, Inc. | |||
6.750%, 12/1/23 | 1,850 | 2,065 | |
7.500%, 4/1/24 | 1,310 | 1,477 | |
Charter Communications Operating LLC 5.050%, 3/30/29 | 1,300 | 1,473 | |
Cincinnati Bell, Inc. 144A 8.000%, 10/15/25(1) | 650 | 689 | |
Cogent Communications Group, Inc. 144A 5.375%, 3/1/22(1) | 1,055 | 1,103 | |
CSC Holdings LLC | |||
144A 7.750%, 7/15/25(1) | 720 | 768 | |
144A 6.625%, 10/15/25(1) | 1,125 | 1,194 | |
144A 5.500%, 4/15/27(1) | 1,140 | 1,224 | |
144A 6.500%, 2/1/29(1) | 1,680 | 1,873 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(1) | 1,710 | 1,730 | |
144A 6.625%, 8/15/27(1)(2) | 606 | 589 | |
DISH DBS Corp. | |||
5.125%, 5/1/20 | 2,110 | 2,123 | |
7.750%, 7/1/26 | 372 | 394 | |
Embarq Corp. 7.995%, 6/1/36 | 287 | 304 | |
Frontier Communications Corp. 144A 8.000%, 4/1/27(1) | 2,025 | 2,116 | |
Lamar Media Corp. 5.375%, 1/15/24 | 1,455 | 1,484 | |
LCPR Senior Secured Financing DAC 144A 6.750%, 10/15/27(1) | 2,080 | 2,205 | |
Level 3 Financing, Inc. | |||
5.375%, 8/15/22 | 1,118 | 1,122 | |
5.375%, 5/1/25 | 755 | 781 | |
Live Nation Entertainment, Inc. 144A 4.875%, 11/1/24(1) | 1,148 | 1,188 | |
Netflix, Inc. 5.875%, 2/15/25 | 1,345 | 1,500 | |
Quebecor Media, Inc. 5.750%, 1/15/23 | 463 | 503 | |
Sprint Communications, Inc. | |||
11.500%, 11/15/21 | 1,550 | 1,771 | |
9.250%, 4/15/22 | 280 | 320 | |
Sprint Corp. | |||
7.875%, 9/15/23 | 1,300 | 1,434 | |
7.625%, 2/15/25 | 1,345 | 1,476 | |
Telenet Finance Luxembourg Notes S.a.r.l. 144A 5.500%, 3/1/28(1) | 2,200 | 2,349 | |
T-Mobile USA, Inc. | |||
6.000%, 4/15/24 | 2,865 | 2,958 | |
6.500%, 1/15/26 | 865 | 927 |
Par Value | Value | ||
Communication Services—continued | |||
Trilogy International Partners LLC 144A 8.875%, 5/1/22(1) | $76 | $71 | |
ViacomCBS, Inc. 6.250%, 2/28/57 | 830 | 921 | |
Videotron Ltd. 144A 5.375%, 6/15/24(1) | 463 | 509 | |
WMG Acquisition Corp. | |||
144A 5.000%, 8/1/23(1) | 600 | 614 | |
144A 5.500%, 4/15/26(1) | 405 | 426 | |
Zayo Group LLC | |||
6.375%, 5/15/25 | 495 | 510 | |
144A 5.750%, 1/15/27(1) | 500 | 508 | |
Ziggo B.V. 144A 5.500%, 1/15/27(1) | 2,950 | 3,134 | |
55,163 | |||
Consumer Discretionary—12.0% | |||
Adient US LLC 144A 7.000%, 5/15/26(1) | 1,435 | 1,564 | |
American Axle & Manufacturing, Inc. 6.250%, 4/1/25 | 1,055 | 1,099 | |
Asbury Automotive Group, Inc. 6.000%, 12/15/24 | 600 | 620 | |
Boyd Gaming Corp. 6.000%, 8/15/26 | 1,105 | 1,187 | |
Century Communities, Inc. | |||
5.875%, 7/15/25 | 1,580 | 1,645 | |
144A 6.750%, 6/1/27(1) | 2,280 | 2,445 | |
Dana, Inc. 5.375%, 11/15/27 | 280 | 288 | |
Delphi Technologies plc 144A 5.000%, 10/1/25(1) | 800 | 740 | |
Eldorado Resorts, Inc. | |||
6.000%, 4/1/25 | 985 | 1,037 | |
6.000%, 9/15/26 | 620 | 683 | |
Fiat Chrysler Automobiles NV 5.250%, 4/15/23 | 1,465 | 1,566 | |
General Motors Co. 6.600%, 4/1/36 | 1,150 | 1,355 | |
Graham Holdings Co. 144A 5.750%, 6/1/26(1) | 880 | 939 | |
Hilton Grand Vacations Borrower LLC 6.125%, 12/1/24 | 825 | 891 | |
Hilton Worldwide Finance LLC 4.625%, 4/1/25 | 778 | 799 | |
IAA, Inc. 144A 5.500%, 6/15/27(1) | 535 | 568 | |
J.B. Poindexter & Co., Inc. 144A 7.125%, 4/15/26(1) | 1,115 | 1,176 | |
Lennar Corp. | |||
5.875%, 11/15/24 | 1,391 | 1,547 | |
5.000%, 6/15/27 | 440 | 477 | |
Liberty Interactive LLC 8.250%, 2/1/30 | 710 | 701 | |
MGM Resorts International 7.750%, 3/15/22 | 1,080 | 1,204 | |
New Red Finance, Inc. 144A 5.000%, 10/15/25(1) | 1,545 | 1,595 | |
Penske Automotive Group, Inc. 5.375%, 12/1/24 | 910 | 936 | |
PulteGroup, Inc. | |||
4.250%, 3/1/21 | 1,527 | 1,552 |
Table of Contents
Par Value | Value | ||
Consumer Discretionary—continued | |||
5.500%, 3/1/26 | $1,000 | $1,118 | |
7.875%, 6/15/32 | 400 | 514 | |
Shea Homes LP | |||
144A 5.875%, 4/1/23(1) | 1,755 | 1,788 | |
144A 6.125%, 4/1/25(1) | 440 | 455 | |
Six Flags Entertainment Corp. 144A 5.500%, 4/15/27(1) | 960 | 1,024 | |
Taylor Morrison Communities, Inc. 144A 5.750%, 1/15/28(1) | 390 | 425 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 2,840 | 3,089 | |
William Carter Co. (The) 144A 5.625%, 3/15/27(1) | 963 | 1,035 | |
Wolverine World Wide, Inc. 144A 5.000%, 9/1/26(1) | 131 | 133 | |
36,195 | |||
Consumer Staples—1.6% | |||
Pilgrim’s Pride Corp. 144A 5.750%, 3/15/25(1) | 2,225 | 2,300 | |
US Foods, Inc. 144A 5.875%, 6/15/24(1) | 2,045 | 2,106 | |
Vector Group Ltd. 144A 6.125%, 2/1/25(1) | 440 | 433 | |
4,839 | |||
Energy—7.1% | |||
Antero Midstream Partners LP 144A 5.750%, 3/1/27(1) | 745 | 655 | |
Apergy Corp. 6.375%, 5/1/26 | 1,147 | 1,210 | |
Centennial Resource Production LLC 144A 6.875%, 4/1/27(1) | 755 | 785 | |
Cheniere Corpus Christi Holdings LLC 7.000%, 6/30/24 | 1,305 | 1,504 | |
Endeavor Energy Resources LP 144A 5.500%, 1/30/26(1) | 760 | 785 | |
Ensign Drilling, Inc. 144A 9.250%, 4/15/24(1) | 655 | 618 | |
Glenn Pool Oil & Gas Trust 6.000%, 8/2/21(3) | 165 | 163 | |
Hilcorp Energy I LP 144A 6.250%, 11/1/28(1) | 2,255 | 2,142 | |
MEG Energy Corp. | |||
144A 6.375%, 1/30/23(1) | 440 | 441 | |
144A 6.500%, 1/15/25(1) | 1,385 | 1,441 | |
Montage Resources Corp. 8.875%, 7/15/23 | 351 | 324 | |
Murphy Oil Corp. 6.875%, 8/15/24 | 1,285 | 1,356 | |
Nabors Industries, Inc. 5.750%, 2/1/25 | 725 | 652 | |
Oceaneering International, Inc. 6.000%, 2/1/28 | 1,204 | 1,180 | |
Parkland Fuel Corp. 144A 5.875%, 7/15/27(1) | 1,515 | 1,621 | |
Precision Drilling Corp. 7.750%, 12/15/23 | 300 | 299 | |
Southwestern Energy Co. 7.750%, 10/1/27(2) | 830 | 769 |
Par Value | Value | ||
Energy—continued | |||
Transocean Proteus Ltd. 144A 6.250%, 12/1/24(1) | $921 | $948 | |
Transocean Sentry Ltd. 144A 5.375%, 5/15/23(1) | 360 | 366 | |
USA Compression Partners LP 6.875%, 4/1/26 | 878 | 922 | |
Viper Energy Partners LP 144A 5.375%, 11/1/27(1) | 1,120 | 1,165 | |
Weatherford International Ltd. 144A 11.000%, 12/1/24(1) | 365 | 395 | |
WPX Energy, Inc. | |||
8.250%, 8/1/23 | 680 | 782 | |
5.250%, 10/15/27 | 875 | 923 | |
21,446 | |||
Financials—19.8% | |||
Ally Financial, Inc. | |||
7.500%, 9/15/20 | 2,750 | 2,846 | |
5.125%, 9/30/24 | 1,380 | 1,522 | |
5.750%, 11/20/25 | 2,345 | 2,623 | |
8.000%, 11/1/31 | 1,225 | 1,700 | |
Anheuser-Busch InBev Finance, Inc. 3.700%, 2/1/24 | 1,375 | 1,458 | |
Ascent Resources Utica Holdings LLC 144A 10.000%, 4/1/22(1) | 735 | 731 | |
C&W Senior Financing DAC 144A 6.875%, 9/15/27(1) | 800 | 855 | |
Charter Communications Operating LLC 4.908%, 7/23/25 | 3,340 | 3,677 | |
Cimpress plc 144A 7.000%, 6/15/26(1) | 2,705 | 2,901 | |
Comstock Resources, Inc. 9.750%, 8/15/26 | 17 | 15 | |
Credit Acceptance Corp. | |||
7.375%, 3/15/23 | 645 | 662 | |
144A 5.125%, 12/31/24(1) | 370 | 384 | |
144A 6.625%, 3/15/26(1) | 2,192 | 2,370 | |
Dell International LLC | |||
144A 7.125%, 6/15/24(1) | 1,395 | 1,472 | |
144A 8.350%, 7/15/46(1) | 995 | 1,368 | |
Ford Motor Credit Co. LLC 5.875%, 8/2/21 | 2,765 | 2,894 | |
Hilcorp Energy I LP | |||
144A 5.000%, 12/1/24(1) | 175 | 169 | |
144A 5.750%, 10/1/25(1) | 3,015 | 2,940 | |
ILFC E-Capital Trust I 144A 3.900%, 12/21/65(1)(4) | 1,390 | 1,098 | |
Ladder Capital Finance Holdings LLLP | |||
144A 5.250%, 3/15/22(1) | 770 | 800 | |
144A 5.250%, 10/1/25(1) | 580 | 602 | |
Level 3 Financing, Inc. | |||
5.125%, 5/1/23 | 620 | 624 | |
144A 4.625%, 9/15/27(1) | 855 | 875 | |
MGIC Investment Corp. 5.750%, 8/15/23 | 980 | 1,083 | |
MSCI, Inc. 144A 5.250%, 11/15/24(1) | 292 | 300 | |
Nationstar Mortgage Holdings, Inc. | |||
144A 8.125%, 7/15/23(1) | 810 | 857 | |
144A 9.125%, 7/15/26(1) | 1,355 | 1,501 | |
Nationstar Mortgage LLC 6.500%, 7/1/21 | 1,317 | 1,320 |
Table of Contents
Par Value | Value | ||
Financials—continued | |||
Navient Corp. 8.000%, 3/25/20 | $468 | $473 | |
Provident Funding Associates LP 144A 6.375%, 6/15/25(1) | 2,020 | 1,980 | |
Quicken Loans, Inc. | |||
144A 5.750%, 5/1/25(1) | 3,315 | 3,427 | |
144A 5.250%, 1/15/28(1) | 1,250 | 1,294 | |
Radian Group, Inc. | |||
4.500%, 10/1/24 | 1,453 | 1,537 | |
4.875%, 3/15/27 | 1,420 | 1,495 | |
Refinitiv US Holdings, Inc. 144A 6.250%, 5/15/26(1) | 1,155 | 1,260 | |
Silversea Cruise Finance Ltd. 144A 7.250%, 2/1/25(1) | 587 | 621 | |
Springleaf Finance Corp. | |||
7.750%, 10/1/21 | 405 | 440 | |
6.875%, 3/15/25 | 780 | 887 | |
Sprint Capital Corp. 8.750%, 3/15/32 | 950 | 1,153 | |
Starwood Property Trust, Inc. 5.000%, 12/15/21 | 1,660 | 1,722 | |
Teva Pharmaceutical Finance Co. B.V. 2.950%, 12/18/22 | 1,315 | 1,256 | |
Transocean Pontus Ltd. 144A 6.125%, 8/1/25(1) | 1,047 | 1,073 | |
US Airways, Inc. Pass-Through-Trust 2012-2, B 6.750%, 6/3/21 | 1,424 | 1,495 | |
59,760 | |||
Health Care—9.8% | |||
AMN Healthcare, Inc. 144A 5.125%, 10/1/24(1) | 760 | 787 | |
Bausch Health Americas, Inc. 144A 9.250%, 4/1/26(1) | 1,940 | 2,228 | |
Bausch Health Cos., Inc. | |||
144A 5.500%, 3/1/23(1) | 639 | 642 | |
144A 5.875%, 5/15/23(1) | 829 | 836 | |
144A 7.000%, 3/15/24(1) | 900 | 936 | |
144A 9.000%, 12/15/25(1) | 1,035 | 1,177 | |
144A 5.750%, 8/15/27(1) | 1,330 | 1,443 | |
144A 5.000%, 1/30/28(1) | 195 | 200 | |
144A 5.250%, 1/30/30(1) | 195 | 202 | |
Centene Corp. | |||
6.125%, 2/15/24 | 590 | 612 | |
144A 5.375%, 6/1/26(1) | 1,345 | 1,427 | |
Charles River Laboratories International, Inc. 144A 5.500%, 4/1/26(1) | 900 | 968 | |
DaVita, Inc. 5.000%, 5/1/25 | 3,255 | 3,349 | |
HCA Healthcare, Inc. 6.250%, 2/15/21 | 2,660 | 2,773 | |
HCA, Inc. | |||
5.250%, 4/15/25 | 2,745 | 3,069 | |
7.500%, 11/15/95 | 455 | 530 | |
IQVIA, Inc. 144A 5.000%, 10/15/26(1) | 995 | 1,050 | |
MEDNAX, Inc. 144A 5.250%, 12/1/23(1) | 1,045 | 1,069 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(1) | 1,533 | 1,525 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1) | 925 | 1,001 |
Par Value | Value | ||
Health Care—continued | |||
Teva Pharmaceutical Finance Netherlands III B.V. 6.000%, 4/15/24(2) | $1,185 | $1,199 | |
WellCare Health Plans, Inc. | |||
5.250%, 4/1/25 | 1,105 | 1,149 | |
144A 5.375%, 8/15/26(1) | 1,490 | 1,587 | |
29,759 | |||
Industrials—8.2% | |||
AECOM 5.875%, 10/15/24 | 1,405 | 1,555 | |
Air Canada Pass-Through-Trust 2015-1, C 144A 5.000%, 3/15/20(1) | 490 | 492 | |
Allison Transmission, Inc. 144A 5.000%, 10/1/24(1) | 1,565 | 1,602 | |
American Airlines Group, Inc. 144A 5.000%, 6/1/22(1) | 3,095 | 3,238 | |
Beacon Roofing Supply, Inc. 144A 4.875%, 11/1/25(1) | 690 | 693 | |
CSC Holdings LLC 144A 10.875%, 10/15/25(1) | 2,877 | 3,215 | |
Gates Global LLC 144A 6.250%, 1/15/26(1) | 855 | 870 | |
GFL Environmental, Inc. 144A 5.125%, 12/15/26(1) | 185 | 195 | |
Hilton Domestic Operating Co., Inc. 5.125%, 5/1/26 | 491 | 517 | |
KAR Auction Services, Inc. 144A 5.125%, 6/1/25(1) | 1,560 | 1,622 | |
Manitowoc Co., Inc. (The) 144A 9.000%, 4/1/26(1) | 780 | 817 | |
Moog, Inc. 144A 4.250%, 12/15/27(1) | 390 | 397 | |
Ritchie Bros. Auctioneers, Inc. 144A 5.375%, 1/15/25(1) | 645 | 672 | |
Sensata Technologies B.V. 144A 5.000%, 10/1/25(1) | 470 | 511 | |
Sensata Technologies UK Financing Co. plc 144A 6.250%, 2/15/26(1) | 475 | 512 | |
TransDigm UK Holdings plc 6.875%, 5/15/26 | 1,530 | 1,630 | |
TransDigm, Inc. 7.500%, 3/15/27 | 2,015 | 2,204 | |
Triumph Group, Inc. 144A 6.250%, 9/15/24(1) | 550 | 578 | |
Univar Solutions USA, Inc. 144A 5.125%, 12/1/27(1) | 184 | 192 | |
Vizient, Inc. 144A 6.250%, 5/15/27(1) | 272 | 291 | |
Wabash National Corp. 144A 5.500%, 10/1/25(1) | 670 | 670 | |
WESCO Distribution, Inc. 5.375%, 6/15/24 | 700 | 726 | |
XPO Logistics, Inc. 144A 6.750%, 8/15/24(1) | 1,460 | 1,586 | |
24,785 | |||
Information Technology—4.7% | |||
Broadcom Corp. 3.625%, 1/15/24 | 1,140 | 1,180 | |
Broadcom, Inc. | |||
144A 4.250%, 4/15/26(1) | 2,125 | 2,258 |
Table of Contents
Par Value | Value | ||
Information Technology—continued | |||
144A 4.750%, 4/15/29(1) | $835 | $913 | |
CommScope, Inc. 144A 5.500%, 3/1/24(1) | 1,110 | 1,157 | |
Dell International LLC | |||
144A 6.020%, 6/15/26(1) | 1,430 | 1,645 | |
144A 5.300%, 10/1/29(1) | 865 | 974 | |
144A 8.100%, 7/15/36(1) | 735 | 965 | |
Gartner, Inc. 144A 5.125%, 4/1/25(1) | 655 | 682 | |
Micron Technology, Inc. 4.975%, 2/6/26 | 1,630 | 1,808 | |
VeriSign, Inc. 5.250%, 4/1/25 | 1,320 | 1,455 | |
Western Digital Corp. 4.750%, 2/15/26 | 1,130 | 1,178 | |
14,215 | |||
Materials—5.3% | |||
Axalta Coating Systems LLC 144A 4.875%, 8/15/24(1) | 3,035 | 3,141 | |
Berry Global, Inc. 6.000%, 10/15/22 | 450 | 458 | |
Big River Steel LLC 144A 7.250%, 9/1/25(1) | 985 | 1,039 | |
Blue Cube Spinco LLC 9.750%, 10/15/23 | 1,150 | 1,237 | |
First Quantum Minerals Ltd. 144A 7.000%, 2/15/21(1) | 403 | 404 | |
Freeport-McMoRan, Inc. | |||
3.550%, 3/1/22 | 1,209 | 1,224 | |
3.875%, 3/15/23 | 1,460 | 1,487 | |
4.550%, 11/14/24 | 705 | 745 | |
OCI NV 144A 5.250%, 11/1/24(1) | 640 | 664 | |
Reynolds Group Issuer, Inc. 144A 5.125%, 7/15/23(1) | 1,003 | 1,027 | |
Steel Dynamics, Inc. 5.125%, 10/1/21 | 1,010 | 1,011 | |
Summit Materials LLC | |||
144A 5.125%, 6/1/25(1) | 1,000 | 1,027 | |
144A 6.500%, 3/15/27(1) | 660 | 709 | |
USG Corp. 144A 5.500%, 3/1/25(1) | 775 | 777 | |
Valvoline, Inc. 5.500%, 7/15/24 | 922 | 957 | |
15,907 | |||
Real Estate—3.8% | |||
Brookfield Property REIT, Inc. 144A 5.750%, 5/15/26(1) | 1,587 | 1,674 | |
Crown Castle International Corp. 5.250%, 1/15/23 | 1,250 | 1,357 | |
Equinix, Inc. 5.875%, 1/15/26 | 725 | 769 | |
Howard Hughes Corp. (The) 144A 5.375%, 3/15/25(1) | 2,260 | 2,356 | |
iStar, Inc. | |||
4.750%, 10/1/24 | 955 | 990 | |
4.250%, 8/1/25 | 975 | 986 | |
Realogy Group LLC 144A 5.250%, 12/1/21(1) | 450 | 455 |
Par Value | Value | ||
Real Estate—continued | |||
SBA Communications Corp. | |||
4.000%, 10/1/22 | $2,036 | $2,074 | |
4.875%, 9/1/24 | 905 | 939 | |
11,600 | |||
�� | |||
Utilities—1.6% | |||
NextEra Energy Operating Partners LP 144A 4.250%, 7/15/24(1) | 2,600 | 2,707 | |
Talen Energy Supply LLC 144A 7.250%, 5/15/27(1) | 580 | 610 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(1) | 760 | 804 | |
Vistra Operations Co. LLC 144A 5.625%, 2/15/27(1) | 800 | 843 | |
4,964 | |||
Total Corporate Bonds and Notes (Identified Cost $268,742) | 278,633 | ||
Leveraged Loans(4)—2.2% | |||
Aerospace—0.3% | |||
American Airlines, Inc. 2017, Tranche B (1 month LIBOR + 2.000%) 3.805%, 4/28/23 | 1,024 | 1,026 | |
Energy—0.3% | |||
Crestwood Holdings LLC (1 month LIBOR + 7.500%) 9.270%, 3/6/23 | 953 | 885 | |
Financial—0.1% | |||
Ditech Holding Corp. Tranche B (3 month PRIME + 0.000%) 6.000%, 6/30/22(3)(5) | 439 | 177 | |
Gaming / Leisure—0.1% | |||
Eldorado Resorts, Inc. (1 month LIBOR + 2.250%) 4.047%, 4/17/24 | 452 | 452 | |
Healthcare—0.5% | |||
HCA, Inc. Tranche B-13 (1 month LIBOR + 1.750%) 3.549%, 3/18/26 | 1,432 | 1,438 | |
Media / Telecom - Telecommunications—0.9% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.750%) 4.549%, 1/31/25 | 1,289 | 1,293 | |
Charter Communications Operating LLC Tranche B-2 (1 month LIBOR + 1.750%) 3.550%, 2/1/27 | 1,396 | 1,405 | |
2,698 | |||
Total Leveraged Loans (Identified Cost $6,945) | 6,676 | ||
Table of Contents
Shares | Value | ||
Common Stock—0.0% | |||
Energy—0.0% | |||
Templar Energy LLC Class A(3)(6) | 134,055 | $1 | |
Total Common Stock (Identified Cost $4,860) | 1 | ||
Total Long-Term Investments—94.3% (Identified Cost $280,547) | 285,310 | ||
Short-Term Investment—0.1% | |||
Money Market Mutual Fund—0.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(7) | 387,806 | 388 | |
Total Short-Term Investment (Identified Cost $388) | 388 | ||
Securities Lending Collateral—0.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(7)(8) | 2,272,139 | 2,272 | |
Total Securities Lending Collateral (Identified Cost $2,272) | 2,272 | ||
TOTAL INVESTMENTS—95.2% (Identified Cost $283,207) | $287,970 | ||
Other assets and liabilities, net—4.8% | 14,582 | ||
NET ASSETS—100.0% | $302,552 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
REIT | Real Estate Investment Trust |
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 December 31, 2019, these securities amounted to a value of $150,902 or 49.9% of net assets. |
(2) | All or a portion of security is on loan. |
(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 December 31, 2019. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(6) | Non-income producing. |
(7) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(8) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
United States | 85% |
Canada | 5 |
Netherlands | 4 |
Ireland | 2 |
Luxembourg | 1 |
Cayman Islands | 1 |
United Kingdom | 1 |
Other | 1 |
Total | 100% |
† % of total investments as of December 31, 2019. |
Table of Contents
Total Value at December 31, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $278,633 | $— | $278,470 | $163 | |||
Leveraged Loans | 6,676 | — | 6,499 | 177 | |||
Equity Securities: | |||||||
Common Stock | 1 | — | — | 1 | |||
Securities Lending Collateral | 2,272 | 2,272 | — | — | |||
Money Market Mutual Fund | 388 | 388 | — | — | |||
Total Investments | $287,970 | $2,660 | $284,969 | $341 |
Table of Contents
December 31, 2019
Par Value | Value | ||
Municipal Bonds(1)—90.2% | |||
Alabama—0.6% | |||
Jefferson County, Sales Tax Revenue 5.000%, 9/15/33 | $1,500 | $1,796 | |
Arizona—5.0% | |||
Salt River Project Agricultural Improvement & Power District Revenue | |||
5.000%, 1/1/30 | 1,750 | 2,312 | |
5.000%, 1/1/32 | 7,235 | 9,463 | |
5.000%, 12/1/32 | 3,020 | 3,558 | |
15,333 | |||
California—8.9% | |||
California Infrastructure & Economic Development Bank Revenue 5.000%, 10/1/35 | 5,725 | 7,219 | |
California Infrastructure & Economic Development Bank Revenue, Mandatory Put 4/1/20 1.705%, 4/1/38(2) | 3,825 | 3,826 | |
California, State of, General Obligation 5.000%, 4/1/37 | 4,000 | 4,603 | |
East Bay Municipal Utility District Water System Revenue 5.000%, 6/1/33 | 1,940 | 2,416 | |
Riverside Unified School District, | |||
General Obligation 4.000%, 8/1/34 | 1,000 | 1,151 | |
General Obligation 4.000%, 8/1/35 | 1,000 | 1,148 | |
General Obligation 4.000%, 8/1/42 | 3,000 | 3,380 | |
San Diego Association of Governments Revenue 5.000%, 11/15/25 | 1,000 | 1,181 | |
Santa Monica-Malibu Unified School District, | |||
General Obligation (Pre-Refunded 8/1/23 @ 100) 5.000%, 8/1/39 | 400 | 459 | |
General Obligation (Pre-Refunded 8/1/23 @ 100) 5.000%, 8/1/43 | 1,500 | 1,719 | |
27,102 | |||
District of Columbia—1.1% | |||
District of Columbia, General Obligation 5.000%, 6/1/31 | 2,825 | 3,446 | |
Florida—1.0% | |||
Greater Orlando Aviation Authority Revenue 5.000%, 10/1/25 | 2,500 | 2,980 | |
Georgia—1.5% | |||
Atlanta, City of, Water & Wastewater Revenue | |||
5.000%, 11/1/31 | 1,000 | 1,244 | |
5.000%, 11/1/35 | 2,585 | 3,187 | |
4,431 | |||
Hawaii—1.7% | |||
Hawaii, State of, | |||
General Obligation (Pre-Refunded 11/1/22 @ 100) 5.000%, 11/1/29 | 60 | 67 |
Par Value | Value | ||
Hawaii—continued | |||
General Obligation (Pre-Refunded 11/1/22 @ 100) 5.000%, 11/1/29 | $160 | $177 | |
General Obligation (Pre-Refunded 11/1/22 @ 100) 5.000%, 11/1/29 | 4,495 | 4,974 | |
5,218 | |||
Illinois—0.8% | |||
Chicago O’Hare International Airport Revenue, Senior Lien 5.000%, 1/1/26 | 2,000 | 2,393 | |
Louisiana—0.5% | |||
New Orleans, City of, General Obligation 5.000%, 12/1/22 | 1,500 | 1,661 | |
Maryland—6.0% | |||
Anne Arundel County, General Obligation 5.000%, 10/1/30 | 3,615 | 4,411 | |
Maryland, State of, General Obligation (Pre-Refunded 8/1/22 @ 100) 5.000%, 8/1/25 | 5,920 | 6,513 | |
Montgomery County, General Obligation 5.000%, 11/1/27 | 3,000 | 3,516 | |
Washington Suburban Sanitary Commission Revenue (CNTY GTD Insured) 5.000%, 6/15/30 | 3,000 | 3,734 | |
18,174 | |||
Minnesota—4.2% | |||
Edina Independent School District No. 273, General Obligation (SD CRED PROG Insured) 5.000%, 2/1/30 | 4,700 | 5,562 | |
Hennepin County, General Obligation 5.000%, 12/1/25 | 2,000 | 2,435 | |
Minnesota, State of, General Obligation 5.000%, 8/1/29 | 4,000 | 4,770 | |
12,767 | |||
New York—6.8% | |||
New York, City of, General Obligation 5.000%, 8/1/26 | 1,000 | 1,232 | |
New York City Transitional Finance Authority Future Tax Secured Revenue 5.000%, 2/1/30 | 6,400 | 6,892 | |
New York City Transitional Finance Authority Future Tax Secured, Sales Tax Revenue 5.000%, 2/1/28 | 4,000 | 4,599 | |
New York State Dormitory Authority, | |||
Sales Tax Revenue 5.000%, 3/15/28 | 2,500 | 2,892 | |
Sales Tax Revenue (Pre-Refunded 3/15/23 @ 100) 5.000%, 3/15/29 | 4,500 | 5,072 | |
20,687 | |||
North Carolina—1.2% | |||
County of Mecklenburg, General Obligation 5.000%, 3/1/28 | 2,000 | 2,565 |
Table of Contents
Par Value | Value | ||
North Carolina—continued | |||
North Carolina, State of, Build Revenue 5.000%, 5/1/22 | $1,000 | $1,090 | |
3,655 | |||
North Dakota—1.2% | |||
North Dakota Public Finance Authority Revenue 5.000%, 10/1/28 | 3,000 | 3,513 | |
Ohio—4.4% | |||
Ohio, State of, | |||
General Obligation 5.000%, 6/15/32 | 7,735 | 9,268 | |
General Obligation 5.000%, 5/1/36 | 3,500 | 4,250 | |
13,518 | |||
Oregon—1.1% | |||
Portland, Port of, Airport Revenue | |||
5.000%, 7/1/26 | 750 | 907 | |
5.000%, 7/1/30 | 1,000 | 1,200 | |
Washington County School District No. 1 West Union, General Obligation (SCH BD GTY Insured) 5.000%, 6/15/31 | 1,000 | 1,234 | |
3,341 | |||
Pennsylvania—2.8% | |||
Commonwealth of Pennsylvania, General Obligation 5.000%, 3/15/28 | 3,775 | 4,434 | |
Philadelphia, City of, Airport Revenue | |||
5.000%, 7/1/22 | 1,765 | 1,925 | |
5.000%, 7/1/23 | 2,000 | 2,247 | |
8,606 | |||
Tennessee—1.9% | |||
Tennessee, State of, | |||
General Obligation 5.000%, 8/1/28 | 1,595 | 1,921 | |
General Obligation 5.000%, 9/1/30 | 3,005 | 3,773 | |
5,694 | |||
Texas—18.0% | |||
Dallas County Hospital District, General Obligation 5.000%, 8/15/28 | 3,880 | 4,897 | |
Dallas, City of, Waterworks & Sewer System Revenue 5.000%, 10/1/31 | 6,845 | 8,295 | |
Eagle Mountain & Saginaw Independent School District, | |||
General Obligation (PSF-GTD Insured) 4.000%, 8/15/40 | 1,700 | 1,923 | |
General Obligation (PSF-GTD Insured) 4.000%, 8/15/50 | 6,055 | 6,736 | |
North Texas Municipal Water District Water System Revenue 5.000%, 9/1/31 | 500 | 636 | |
Northwest Independent School District, | |||
General Obligation (PSF-GTD Insured) 5.000%, 2/15/27 | 2,600 | 3,067 |
Par Value | Value | ||
Texas—continued | |||
General Obligation (PSF-GTD Insured) 5.000%, 2/15/28 | $5,785 | $6,798 | |
Round Rock Independent School District, General Obligation (PSF-GTD Insured) 5.000%, 8/1/26 | 6,240 | 7,689 | |
San Antonio, City of, General Obligation 5.000%, 8/1/28 | 1,000 | 1,281 | |
San Antonio, City of, Electric & Gas Systems Revenue 5.000%, 2/1/26 | 1,000 | 1,212 | |
Texas Water Development Board Revenue 5.000%, 4/15/26 | 900 | 1,101 | |
Texas, State of, General Obligation 5.000%, 8/1/27 | 5,425 | 6,261 | |
Travis County, General Obligation 5.000%, 3/1/29 | 1,750 | 2,265 | |
Trinity River Authority Central Regional Wastewater System Revenue | |||
5.000%, 8/1/25 | 1,250 | 1,499 | |
5.000%, 8/1/27 | 1,000 | 1,253 | |
54,913 | |||
Virginia—7.9% | |||
County of Fairfax, General Obligation (State AID Withholding Insured) 5.000%, 10/1/25 | 2,580 | 3,135 | |
County of Henrico, General Obligation (State AID Withholding Insured) 5.000%, 8/1/26 | 3,165 | 3,922 | |
County of Loudoun, General Obligation (State AID Withholding Insured) 5.000%, 12/1/27 | 2,405 | 3,071 | |
Virginia College Building Authority Revenue 5.000%, 2/1/29 | 4,750 | 5,732 | |
Virginia Resources Authority Revenue 5.000%, 10/1/29 | 6,920 | 8,310 | |
24,170 | |||
Washington—12.9% | |||
Energy Northwest Revenue | |||
5.000%, 7/1/33 | 1,570 | 1,929 | |
5.000%, 7/1/34 | 8,000 | 9,362 | |
Seattle, City of, Drainage & Wastewater Revenue 4.000%, 4/1/36 | 5,000 | 5,573 | |
Seattle, City of, Washington Municipal Light & Power Revenue | |||
5.000%, 4/1/25 | 3,450 | 4,118 | |
5.000%, 4/1/26 | 3,875 | 4,732 | |
Washington, State of, | |||
General Obligation 5.000%, 6/1/29 | 1,250 | 1,529 | |
General Obligation 5.000%, 2/1/30 | 5,000 | 6,004 | |
General Obligation 5.000%, 6/1/33 | 500 | 612 | |
General Obligation 5.000%, 6/1/36 | 1,000 | 1,213 | |
General Obligation (Pre-Refunded 8/1/21 @ 100) 5.000%, 8/1/24 | 3,880 | 4,116 | |
39,188 | |||
Table of Contents
Par Value | Value | ||
Wisconsin—0.7% | |||
Wisconsin, State of, General Obligation 4.000%, 5/1/30 | $1,895 | $2,200 | |
Total Municipal Bonds (Identified Cost $268,041) | 274,786 | ||
Total Long-Term Investments—90.2% (Identified Cost $268,041) | 274,786 | ||
TOTAL INVESTMENTS—90.2% (Identified Cost $268,041) | $274,786 | ||
Other assets and liabilities, net—9.8% | 29,823 | ||
NET ASSETS—100.0% | $304,609 |
Abbreviations: | |
CNTY GTD | County Guarantee Program |
PSF-GTD | Permanent School Fund Guarantee Program |
SCH BD GTY | School Bond Guaranty |
SD CRED PROG | State Credit Enhancement Program |
Footnote Legend: | |
(1) | At December 31, 2019, 17.1% 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 December 31, 2019. 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. |
Total Value at December 31, 2019 | Level 2 Significant Observable Inputs | ||
Assets: | |||
Debt Securities: | |||
Municipal Bonds | $274,786 | $274,786 | |
Total Investments | $274,786 | $274,786 |
Table of Contents
December 31, 2019
Par Value | Value | ||
U.S. Government Securities—67.8% | |||
U.S. Treasury Note | |||
1.250%, 3/31/21 | $660 | $657 | |
1.125%, 7/31/21 | 1,717 | 1,704 | |
1.875%, 1/31/22 | 1,114 | 1,120 | |
1.750%, 5/31/22 | 1,378 | 1,383 | |
2.000%, 10/31/22 | 680 | 687 | |
Total U.S. Government Securities (Identified Cost $5,479) | 5,551 | ||
Mortgage-Backed Securities—12.7% | |||
Agency—7.9% | |||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates KJ27, A1 2.092%, 7/25/24 | 360 | 358 | |
Federal National Mortgage Association | |||
Pool #AN0853 2.465%, 12/1/21 | 47 | 47 | |
Pool #BM6007 2.473%, 5/1/23 | 243 | 245 | |
650 | |||
Non-Agency—4.8% | |||
COMM Mortgage Trust | |||
2012-CR2, A3 144A 2.841%, 8/15/45(1) | 100 | 101 | |
2012-CR5, A3 2.540%, 12/10/45 | 80 | 81 | |
FRESB Mortgage Trust 2016-SB17, A5H 2.160%, 5/25/36(2) | 108 | 108 | |
GS Mortgage Securities Corp. II 2012-BWTR, A 144A 2.954%, 11/5/34(1) | 100 | 101 | |
391 | |||
Total Mortgage-Backed Securities (Identified Cost $1,042) | 1,041 | ||
Asset-Backed Securities—5.1% | |||
Automobiles—2.5% | |||
BMW Vehicle Owner Trust 2019-A, A3 1.920%, 1/25/24 | 100 | 100 | |
Mercedes-Benz Master Owner Trust 2019-BA, A 144A 2.610%, 5/15/24(1) | 100 | 101 | |
201 | |||
Credit Card—2.6% | |||
Citibank Credit Card Issuance Trust 2018-A1, A1 2.490%, 1/20/23 | 100 | 101 | |
Discover Card Execution Note Trust 2019-A3, A 1.890%, 10/15/24 | 65 | 65 | |
World Financial Network Credit Card Master Trust 2016-A, M 2.330%, 4/15/25 | 50 | 50 | |
216 | |||
Total Asset-Backed Securities (Identified Cost $415) | 417 | ||
Par Value | Value | ||
Corporate Bonds and Notes—13.4% | |||
Communication Services—0.6% | |||
AT&T, Inc. (3 month LIBOR + 1.180%) 3.067%, 6/12/24(2) | $48 | $49 | |
Consumer Discretionary—2.5% | |||
Daimler Finance North America LLC 144A 3.000%, 2/22/21(1) | 200 | 202 | |
Consumer Staples—1.7% | |||
Walmart, Inc. 2.850%, 6/23/20 | 135 | 136 | |
Financials—4.7% | |||
Citigroup, Inc. 2.650%, 10/26/20 | 76 | 76 | |
Goldman Sachs Bank USA 3.200%, 6/5/20 | 95 | 95 | |
New York Life Global Funding 144A 3.250%, 8/6/21(1) | 80 | 82 | |
PACCAR Financial Corp. 2.800%, 3/1/21 | 86 | 87 | |
Truist Bank 2.800%, 5/17/22 | 41 | 42 | |
382 | |||
Health Care—2.2% | |||
AbbVie, Inc. 144A 2.300%, 11/21/22(1) | 79 | 79 | |
Bristol-Myers Squibb Co. 144A 2.600%, 5/16/22(1) | 104 | 106 | |
185 | |||
Utilities—1.7% | |||
Dominion Energy, Inc. 2.579%, 7/1/20 | 140 | 140 | |
Total Corporate Bonds and Notes (Identified Cost $1,083) | 1,094 | ||
Total Long-Term Investments—99.0% (Identified Cost $8,019) | 8,103 | ||
TOTAL INVESTMENTS—99.0% (Identified Cost $8,019) | $8,103 | ||
Other assets and liabilities, net—1.0% | 85 | ||
NET ASSETS—100.0% | $8,188 |
Abbreviations: | |
GS | Goldman Sachs & Co. |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
Table of Contents
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, these securities amounted to a value of $772 or 9.4% of net assets. |
(2) | Variable rate security. Rate disclosed is as of December 31, 2019. 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. |
Total Value at December 31, 2019 | Level 2 Significant Observable Inputs | ||
Assets: | |||
Debt Securities: | |||
Asset-Backed Securities | $417 | $417 | |
Corporate Bonds and Notes | 1,094 | 1,094 | |
Mortgage-Backed Securities | 1,041 | 1,041 | |
U.S. Government Securities | 5,551 | 5,551 | |
Total Investments | $8,103 | $8,103 |
Table of Contents
December 31, 2019
Par Value | Value | ||
Municipal Bonds(1)—89.2% | |||
California—16.6% | |||
California Infrastructure & Economic Development Bank Revenue, Mandatory Put 4/1/20 1.705%, 4/1/38(2) | $1,250 | $1,250 | |
California Municipal Finance Authority, Bowles Hall Foundation Revenue, 4.000%, 6/1/21 | 200 | 207 | |
San Diego Association of Governments Revenue 5.000%, 11/15/25 | 500 | 591 | |
2,048 | |||
Florida—4.8% | |||
Greater Orlando Aviation Authority Revenue 5.000%, 10/1/25 | 500 | 596 | |
Georgia—7.0% | |||
Georgia, State of, General Obligation 5.000%, 2/1/24 | 750 | 867 | |
Louisiana—4.5% | |||
New Orleans, City of, General Obligation 5.000%, 12/1/22 | 500 | 554 | |
Missouri—4.8% | |||
St Louis, City of, Lambert International Airport Revenue 5.000%, 7/1/25 | 500 | 598 | |
New York—7.8% | |||
New York City Transitional Finance Authority Future Tax Secured Revenue 5.000%, 8/1/22 | 665 | 732 | |
New York City Water & Sewer System Revenue 5.000%, 6/15/25 | 200 | 229 | |
961 | |||
North Carolina—7.5% | |||
North Carolina, State of, Build Revenue 5.000%, 5/1/22 | 350 | 381 | |
Wake County, General Obligation 5.000%, 3/1/22 | 500 | 542 | |
923 | |||
Texas—24.2% | |||
Austin Convention Enterprises, Inc., Convention Center Hotel Revenue 5.000%, 1/1/22 | 300 | 321 | |
Houston Independent School District, General Obligation (PSF-GTD Insured) 2.250%, 6/1/39(2) | 500 | 513 | |
North Texas Tollway Authority, | |||
Toll Highway Revenue 5.000%, 1/1/25 | 625 | 693 | |
Toll Highway Revenue 5.000%, 1/1/26 | 500 | 555 |
Par Value | Value | ||
Texas—continued | |||
Texas Water Development Board Revenue 5.000%, 4/15/26 | $250 | $306 | |
Texas, State of, Tax and Revenue Anticipation Notes 4.000%, 8/27/20 | 600 | 611 | |
2,999 | |||
Utah—2.5% | |||
University of Utah Revenue 5.000%, 8/1/26 | 250 | 308 | |
Washington—9.5% | |||
Energy Northwest, Project 3 Electric Revenue 5.000%, 7/1/24 | 500 | 584 | |
Seattle, City of, Washington Municipal Light & Power Revenue 5.000%, 4/1/25 | 500 | 597 | |
1,181 | |||
Total Municipal Bonds (Identified Cost $10,888) | 11,035 | ||
Total Long-Term Investments—89.2% (Identified Cost $10,888) | 11,035 | ||
Shares | ||
Short-Term Investment—10.6% | ||
Money Market Mutual Fund—10.6% | ||
Dreyfus AMT-Free Tax Exempt Cash Management (seven-day effective yield 1.290%)(3) | 1,303,296 | 1,303 |
Total Short-Term Investment (Identified Cost $1,303) | 1,303 | |
TOTAL INVESTMENTS—99.8% (Identified Cost $12,191) | $12,338 | |
Other assets and liabilities, net—0.2% | 30 | |
NET ASSETS—100.0% | $12,368 |
Abbreviation: | |
PSF-GTD | Permanent School Fund Guarantee Program |
Footnote Legend: | |
(1) | At December 31, 2019, 4.2% of the securities in the portfolio are backed by insurance of financial institutions and financial guaranty assurance agencies. |
(2) | Variable or step coupon security; interest rate shown reflects the rate in effect at December 31, 2019. 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) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Table of Contents
Total Value at December 31, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Municipal Bonds | $11,035 | $— | $11,035 | ||
Money Market Mutual Fund | 1,303 | 1,303 | — | ||
Total Investments | $12,338 | $1,303 | $11,035 |
Table of Contents
December 31, 2019
Par Value | Value | ||
U.S. Government Securities—41.4% | |||
U.S. Treasury Bond 2.250%, 8/15/49 | $ 27,356 | $26,505 | |
U.S. Treasury Note | |||
1.250%, 3/31/21 | 3,809 | 3,791 | |
2.750%, 8/15/21(1) | 5,850 | 5,956 | |
1.750%, 5/31/22 | 15,037 | 15,089 | |
2.375%, 1/31/23 | 6,093 | 6,228 | |
2.750%, 7/31/23 | 1,794 | 1,862 | |
2.500%, 1/31/24 | 40,545 | 41,846 | |
1.750%, 11/15/29 | 25,868 | 25,457 | |
Total U.S. Government Securities (Identified Cost $126,472) | 126,734 | ||
Mortgage-Backed Securities—39.0% | |||
Agency—34.7% | |||
Federal Home Loan Mortgage Corp. | |||
Pool #C04123 4.000%, 7/1/42 | 825 | 886 | |
Pool #G60019 4.500%, 3/1/44 | 854 | 923 | |
Pool #Q31645 4.000%, 2/1/45 | 2,501 | 2,631 | |
Pool #Q35611 4.000%, 9/1/45 | 2,945 | 3,112 | |
Pool #V81992 4.000%, 10/1/45 | 2,656 | 2,816 | |
Pool #G60661 4.000%, 7/1/46 | 3,515 | 3,717 | |
Pool #Q42921 3.500%, 9/1/46 | 2,709 | 2,861 | |
Pool #ZM5226 3.500%, 12/1/47 | 2,721 | 2,849 | |
Pool #Q53881 4.500%, 1/1/48 | 3,099 | 3,352 | |
Pool #Q54813 3.500%, 3/1/48 | 957 | 994 | |
Pool #Q61115 4.000%, 1/1/49 | 1,850 | 1,926 | |
Pool #Q61677 4.000%, 2/1/49 | 3,603 | 3,786 | |
Pool #Q61680 4.000%, 2/1/49 | 3,363 | 3,546 | |
Pool #QA0108 3.500%, 6/1/49 | 4,143 | 4,269 | |
Pool #QA3079 3.500%, 10/1/49 | 1,156 | 1,200 | |
Pool #SD8025 3.500%, 11/1/49 | 5,608 | 5,770 | |
Pool #SD0164 3.500%, 12/1/49 | 7,348 | 7,631 | |
Pool #SD0176 3.500%, 12/1/49 | 2,082 | 2,145 | |
Federal National Mortgage Association | |||
Pool #FM1039 3.500%, 4/1/39 | 2,620 | 2,715 | |
Pool #AL7497 3.500%, 9/1/40 | 1,721 | 1,795 | |
Pool #AW8154 3.500%, 1/1/42 | 984 | 1,037 | |
Pool #AS9571 3.500%, 5/1/42 | 5,014 | 5,279 |
Par Value | Value | ||
Agency—continued | |||
Pool #CA2629 4.000%, 11/1/43 | $1,787 | $1,870 | |
Pool #CA4144 3.000%, 9/1/44 | 2,716 | 2,766 | |
Pool #BE5050 4.000%, 9/1/45 | 3,092 | 3,290 | |
Pool #AZ9213 4.000%, 10/1/45 | 804 | 856 | |
Pool #AS6515 4.000%, 1/1/46 | 1,037 | 1,099 | |
Pool #BE7213 4.000%, 4/1/47 | 24 | 25 | |
Pool #BE3774 4.000%, 7/1/47 | 1,576 | 1,657 | |
Pool #BH7587 4.500%, 8/1/47 | 703 | 743 | |
Pool #BH7058 3.500%, 12/1/47 | 2,720 | 2,825 | |
Pool #BH9277 3.500%, 2/1/48 | 169 | 176 | |
Pool #BJ0650 3.500%, 3/1/48 | 362 | 376 | |
Pool #BN0636 4.000%, 9/1/48 | 1,983 | 2,065 | |
Pool #BN4050 4.000%, 1/1/49 | 748 | 778 | |
Pool #BN8510 3.500%, 5/1/49 | 1,118 | 1,152 | |
Pool #BO2843 3.500%, 10/1/49 | 1,525 | 1,579 | |
Pool #BO3024 3.500%, 10/1/49 | 2,686 | 2,810 | |
Pool #BO4386 3.500%, 11/1/49 | 4,401 | 4,551 | |
Government National Mortgage Association | |||
Pool #MA4262 3.500%, 2/20/47 | 628 | 652 | |
Pool #MA4586 3.500%, 7/20/47 | 3,303 | 3,430 | |
Pool #MA5019 3.500%, 2/20/48 | 1,294 | 1,343 | |
Pool #MA5596 4.500%, 11/20/48 | 1,400 | 1,470 | |
Pool #MA5652 4.500%, 12/20/48 | 523 | 549 | |
Pool #MA5819 5.000%, 3/20/49 | 1,154 | 1,214 | |
Pool #MA6284 3.500%, 11/20/49 | 3,597 | 3,726 | |
106,242 | |||
Non-Agency—4.3% | |||
BB-UBS Trust 2012-SHOW, B 144A 3.882%, 11/5/36(2) | 1,465 | 1,526 | |
Century Plaza Towers 2019-CPT, B 144A 2.997%, 11/13/39(2)(3) | 1,600 | 1,606 | |
Goldman Sachs Mortgage Securities Trust 2005-ROCK, A 144A 5.366%, 5/3/32(2) | 1,445 | 1,642 | |
MAD Mortgage Trust 2017-330M, A 144A 3.188%, 8/15/34(2)(3) | 635 | 649 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
Morgan Stanley Capital I Trust | |||
2014-CPT, AM 144A 3.402%, 7/13/29(2)(3) | $2,530 | $2,560 | |
2014-150E, A 144A 3.912%, 9/9/32(2) | 1,175 | 1,238 | |
Wells Fargo Commercial Mortgage Trust 2013-BTC, A 144A 3.544%, 4/16/35(2) | 1,320 | 1,366 | |
WFRBS Commercial Mortgage Trust 2012-C10, AS 3.241%, 12/15/45 | 2,510 | 2,556 | |
13,143 | |||
Total Mortgage-Backed Securities (Identified Cost $117,741) | 119,385 | ||
Asset-Backed Securities—4.6% | |||
Automobiles—0.4% | |||
Nissan Master Owner Trust Receivables 2019-A, A (1 month LIBOR + 0.560%) 2.300%, 2/15/24(3) | 1,395 | 1,400 | |
Credit Card—3.2% | |||
Cabela’s Credit Card Master Note Trust 2015-2, A2 (1 month LIBOR + 0.670%) 2.410%, 7/17/23(3) | 940 | 942 | |
Capital One Multi-Asset Execution Trust 2005-B3, B3 (3 month LIBOR + 0.550%) 2.536%, 5/15/28(3) | 2,584 | 2,529 | |
Citibank Credit Card Issuance Trust 2017-A6, A6 (1 month LIBOR + 0.770%) 2.510%, 5/14/29(3) | 1,915 | 1,901 | |
Discover Card Execution Note Trust 2017-A5, A5 (1 month LIBOR + 0.600%) 2.340%, 12/15/26(3) | 2,365 | 2,375 | |
World Financial Network Credit Card Master Trust 2019-A, A 3.140%, 12/15/25 | 2,085 | 2,129 | |
9,876 | |||
Other—1.0% | |||
Five Guys Funding LLC 2017-1A, A2 144A 4.600%, 7/25/47(2) | 983 | 1,019 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(2) | 1,975 | 1,977 | |
2,996 | |||
Total Asset-Backed Securities (Identified Cost $14,147) | 14,272 | ||
Corporate Bonds and Notes—14.3% | |||
Communication Services—0.5% | |||
Comcast Corp. 2.650%, 2/1/30 | 1,528 | 1,532 | |
Consumer Staples—0.4% | |||
Walmart, Inc. 3.700%, 6/26/28 | 1,138 | 1,254 |
Par Value | Value | ||
Energy—2.8% | |||
Baker Hughes a GE Co. LLC 4.080%, 12/15/47 | $891 | $911 | |
Boardwalk Pipelines LP 4.450%, 7/15/27 | 324 | 335 | |
Enterprise Products Operating LLC 5.375%, 2/15/78 | 907 | 901 | |
Occidental Petroleum Corp. 4.400%, 8/15/49 | 934 | 962 | |
Schlumberger Holdings Corp. 144A 3.900%, 5/17/28(2) | 1,784 | 1,898 | |
Shell International Finance B.V. 1.750%, 9/12/21 | 968 | 967 | |
TechnipFMC plc 3.450%, 10/1/22 | 243 | 248 | |
Transcanada Trust 5.300%, 3/15/77 | 138 | 142 | |
Woodside Finance Ltd. 144A 4.600%, 5/10/21(2) | 2,086 | 2,135 | |
8,499 | |||
Financials—6.9% | |||
Bank of America Corp. 3.366%, 1/23/26 | 568 | 594 | |
British Airways plc Pass-Through-Trust 2018-1, AA 144A 3.800%, 9/20/31(2) | 572 | 606 | |
Citigroup, Inc. 3.980%, 3/20/30 | 1,236 | 1,351 | |
Credit Suisse AG 2.100%, 11/12/21 | 1,250 | 1,256 | |
Fifth Third Bank 2.200%, 10/30/20 | 1,428 | 1,430 | |
JPMorgan Chase & Co. | |||
3.207%, 4/1/23 | 1,100 | 1,126 | |
2.301%, 10/15/25 | 840 | 838 | |
3.540%, 5/1/28 | 804 | 853 | |
Lazard Group LLC 4.375%, 3/11/29 | 887 | 966 | |
Morgan Stanley | |||
3.875%, 4/29/24 | 579 | 616 | |
3.591%, 7/22/28 | 606 | 644 | |
3.971%, 7/22/38 | 696 | 771 | |
Nationwide Financial Services, Inc. | |||
144A 5.375%, 3/25/21(2) | 1,746 | 1,813 | |
144A 3.900%, 11/30/49(2) | 1,398 | 1,452 | |
Santander UK Group Holdings plc 3.373%, 1/5/24 | 861 | 882 | |
Travelers Cos., Inc. (The) 4.050%, 3/7/48 | 927 | 1,054 | |
Truist Financial Corp. 4.000%, 5/1/25 | 2,196 | 2,379 | |
United Airlines Pass-Through-Trust 2016-1, A 3.450%, 7/7/28 | 322 | 328 | |
US Bank NA 2.050%, 10/23/20 | 1,636 | 1,638 | |
Wells Fargo & Co. 3.069%, 1/24/23 | 444 | 453 | |
21,050 | |||
Table of Contents
Par Value | Value | ||
Health Care—0.8% | |||
AbbVie, Inc. 144A 4.250%, 11/21/49(2) | $1,476 | $1,553 | |
Bristol-Myers Squibb Co. 144A 4.250%, 10/26/49(2) | 375 | 444 | |
CommonSpirit Health 4.187%, 10/1/49 | 522 | 520 | |
2,517 | |||
Industrials—0.6% | |||
ERAC USA Finance LLC 144A 5.250%, 10/1/20(2) | 1,149 | 1,177 | |
General Dynamics Corp. 3.375%, 5/15/23 | 574 | 599 | |
1,776 | |||
Information Technology—0.5% | |||
Corning, Inc. 5.450%, 11/15/79 | 1,392 | 1,520 | |
Materials—1.1% | |||
Barrick PD Australia Finance Pty Ltd. 5.950%, 10/15/39 | 1,319 | 1,669 | |
Newmont Goldcorp Corp. 6.250%, 10/1/39 | 1,022 | 1,351 | |
Packaging Corporation of America 4.050%, 12/15/49 | 422 | 437 | |
3,457 | |||
Utilities—0.7% | |||
Cheniere Corpus Christi Holdings LLC 144A 3.700%, 11/15/29(2) | 1,346 | 1,373 | |
Duke Energy Corp. 3.750%, 9/1/46 | 756 | 779 | |
2,152 | |||
Total Corporate Bonds and Notes (Identified Cost $41,257) | 43,757 | ||
Total Long-Term Investments—99.3% (Identified Cost $299,617) | 304,148 | ||
Value | ||
TOTAL INVESTMENTS—99.3% (Identified Cost $299,617) | $304,148 | |
Other assets and liabilities, net—0.7% | 2,062 | |
NET ASSETS—100.0% | $306,210 |
Abbreviations: | |
CDX.NA.HY | Credit Default Swap National Association High Yield |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
Footnote Legend: | |
(1) | All or a portion of the security is segregated as collateral for open swap contracts. |
(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 December 31, 2019, these securities amounted to a value of $26,034 or 8.5% of net assets. |
(3) | Variable rate security. Rate disclosed is as of December 31, 2019. 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. |
Counterparties: | |
ICE | Intercontinental Exchange |
JPM | JPMorgan Chase Bank N.A. |
Centrally Cleared credit default swaps - buy protection(1) outstanding as of December 31, 2019 were as follows: | |||||||||||||
Reference Entity | Payment Frequency | Counterparty | Fixed Rate | Expiration Date | Notional Amount(2) | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized (Depreciation) | ||||
CDX.NA.HY.32 | Quarterly | ICE | 5.000% | 06/20/24 | (33,707) USD | $(3,388) | $(2,044) | $— | $(1,344) | ||||
Total | $(3,388) | $(2,044) | $— | $(1,344) |
Table of Contents
Over-the-counter credit default swaps - buy protection(1) outstanding as of December 31, 2019 were as follows: | |||||||||||||
Reference Entity | Payment Frequency | Counterparty | Fixed Rate | Expiration Date | Notional Amount(2) | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized (Depreciation) | ||||
Westpac Banking Corp. | Quarterly | JPM | 1.000% | 12/20/24 | (17,160) USD | $(547) | $(531) | $— | $(16) | ||||
Total | $(547) | $(531) | $— | $(16) |
Footnote Legend: | |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either: (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying investments comprising the referenced index; or (ii) receive a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Total Value at December 31, 2019 | Level 2 Significant Observable Inputs | ||
Assets: | |||
Debt Securities: | |||
Asset-Backed Securities | $14,272 | $14,272 | |
Corporate Bonds and Notes | 43,757 | 43,757 | |
Mortgage-Backed Securities | 119,385 | 119,385 | |
U.S. Government Securities | 126,734 | 126,734 | |
Total Assets | 304,148 | 304,148 | |
Liabilities: | |||
Other Financial Instruments: | |||
Centrally Cleared Credit Default Swaps | (3,388) | (3,388) | |
Over-the-Counter Credit Default Swaps | (547) | (547) | |
Total Liabilities | (3,935) | (3,935) | |
Total Investments | $300,213 | $300,213 |
Table of Contents
December 31, 2019
Par Value | Value | ||
U.S. Government Securities—6.6% | |||
U.S. Treasury Bill | |||
0.000%, 1/16/20 | $20,000 | $19,989 | |
0.000%, 2/20/20 | 40,000 | 39,917 | |
Total U.S. Government Securities (Identified Cost $59,904) | 59,906 | ||
Mortgage-Backed Securities—88.6% | |||
Agency—88.6% | |||
Federal Home Loan Mortgage Corp. | |||
Pool #848744 (12 month LIBOR + 1.789%) 4.262%, 5/1/34(1) | 6,824 | 7,157 | |
Pool #848736 (12 month LIBOR + 1.750%) 4.243%, 5/1/35(1) | 10,099 | 10,591 | |
Pool #848747 (12 month LIBOR + 1.863%) 4.498%, 7/1/36(1) | 5,658 | 5,949 | |
Pool #1Q1195 (12 month LIBOR + 1.620%) 4.460%, 5/1/37(1) | 4,075 | 4,260 | |
Pool #848796 (12 month LIBOR + 1.814%) 4.641%, 5/1/37(1) | 10,662 | 11,219 | |
Pool #1Q1420 (12 month LIBOR + 1.864%) 4.451%, 9/1/39(1) | 4,855 | 5,132 | |
Pool #2B3257 (12 month LIBOR + 1.630%) 3.172%, 10/1/44(1) | 3,584 | 3,648 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | |||
K017, A2 2.873%, 12/25/21 | 1,865 | 1,888 | |
KS05, A (1 month LIBOR + 0.500%) 2.197%, 1/25/23(1) | 5,760 | 5,753 | |
KF15, A (1 month LIBOR + 0.670%) 2.367%, 2/25/23(1) | 2,257 | 2,254 | |
KF22, A (1 month LIBOR + 0.500%) 2.197%, 7/25/23(1) | 2,772 | 2,769 | |
KF29, A (1 month LIBOR + 0.360%) 2.057%, 2/25/24(1) | 12,044 | 11,993 | |
KJ27, A1 2.092%, 7/25/24 | 4,992 | 4,968 | |
W5FL, AFL (1 month LIBOR + 0.220%) 1.917%, 5/25/25(1) | 1,227 | 1,220 | |
KL3W, AFLW (1 month LIBOR + 0.450%) 2.147%, 8/25/25(1) | 9,285 | 9,295 | |
KL4L, ACR (1 month LIBOR + 0.500%) 2.197%, 11/25/25(1) | 5,211 | 5,199 | |
X3FL, AFL (1 month LIBOR + 0.240%) 1.937%, 3/25/27(1) | 1,128 | 1,110 | |
4203, PF (1 month LIBOR + 0.250%) 1.990%, 9/15/42(1) | 12,761 | 12,695 | |
Federal Home Loan Mortgage Corp. REMIC | |||
2781, FA (1 month LIBOR + 0.350%) 2.090%, 4/15/34(1) | 5,216 | 5,194 | |
2796, F (1 month LIBOR + 0.500%) 2.240%, 5/15/34(1) | 3,288 | 3,294 | |
4057, CF (1 month LIBOR + 0.450%) 2.190%, 4/15/39(1) | 3,870 | 3,878 | |
3820, FA (1 month LIBOR + 0.350%) 2.090%, 3/15/41(1) | 12,859 | 12,813 | |
3990, GF (1 month LIBOR + 0.400%) 2.140%, 3/15/41(1) | 5,829 | 5,847 | |
Federal National Mortgage Association | |||
Pool #AM3610 1.780%, 6/1/20 | 2,888 | 2,885 |
Par Value | Value | ||
Agency—continued | |||
Pool #AM4069 2.920%, 8/1/20 | $975 | $975 | |
Pool #465872 4.150%, 8/1/20 | 850 | 848 | |
2013-M13, APT 2.447%, 9/25/20(1) | 1,797 | 1,795 | |
Pool #AE0918 3.666%, 10/1/20 | 202 | 202 | |
Pool #AL4705 2.985%, 11/1/20 | 651 | 655 | |
2012-M13, A2 2.377%, 5/25/22 | 1,907 | 1,922 | |
Pool #AM9651 (1 month LIBOR + 0.300%) 1.997%, 8/1/22(1) | 14,002 | 13,988 | |
Pool #AN3414 (1 month LIBOR + 0.600%) 2.297%, 1/1/23(1) | 3,497 | 3,478 | |
2016-M3, ASQ2 2.263%, 2/25/23 | 933 | 931 | |
2013-M10, AFL (1 month LIBOR + 0.300%) 2.092%, 6/25/23(1) | 4,081 | 4,076 | |
Pool #109518 (1 month LIBOR + 0.320%) 2.017%, 9/1/23(1) | 17,020 | 17,041 | |
Pool #109523 (1 month LIBOR + 0.320%) 2.017%, 9/1/23(1) | 21,760 | 21,787 | |
Pool #AN1582 (1 month LIBOR + 0.440%) 2.137%, 9/1/23(1) | 14,449 | 14,468 | |
2016-M9, FA (1 month LIBOR + 0.590%) 2.323%, 9/25/23(1) | 8,892 | 8,895 | |
Pool #BL0422 (1 month LIBOR + 0.370%) 2.067%, 11/1/23(1) | 21,000 | 21,032 | |
2016-M13, FA (1 month LIBOR + 0.670%) 2.516%, 11/25/23(1) | 4,395 | 4,395 | |
Pool #AN3845 (1 month LIBOR + 0.540%) 2.325%, 12/1/23(1) | 15,704 | 15,690 | |
Pool #AN4364 (1 month LIBOR + 0.590%) 2.287%, 1/1/24(1) | 2,941 | 2,946 | |
Pool #AN4300 (1 month LIBOR + 0.560%) 2.345%, 1/1/24(1) | 13,972 | 13,960 | |
2017-M2, FA (1 month LIBOR + 0.530%) 2.376%, 2/25/24(1) | 4,817 | 4,809 | |
2017-M11, FA (1 month LIBOR + 0.470%) 2.316%, 9/25/24(1) | 4,502 | 4,505 | |
2015-M14, FA (1 month LIBOR + 0.620%) 2.412%, 10/25/25(1) | 6,448 | 6,459 | |
Pool #BL4613 (1 month LIBOR + 0.660%) 2.357%, 9/1/26(1) | 8,700 | 8,673 | |
Pool #AN3661 (1 month LIBOR + 0.580%) 2.277%, 11/1/26(1) | 2,933 | 2,947 | |
Pool #AD0064 (6 month LIBOR + 1.547%) 3.851%, 1/1/35(1) | 2,594 | 2,683 | |
Pool #AL2202 (12 month LIBOR + 1.709%) 4.551%, 6/1/36(1) | 2,988 | 3,128 | |
Pool #AL0960 (12 month LIBOR + 1.690%) 4.161%, 7/1/37(1) | 5,655 | 5,921 | |
Pool #AL0270 (12 month LIBOR + 1.686%) 4.390%, 8/1/38(1) | 2,347 | 2,464 | |
Pool #AL6516 (12 month LIBOR + 1.752%) 4.332%, 4/1/40(1) | 4,483 | 4,722 | |
Pool #AE0544 (12 month LIBOR + 1.745%) 3.824%, 11/1/40(1) | 3,088 | 3,233 | |
Pool #AL7812 (12 month LIBOR + 1.729%) 3.910%, 11/1/40(1) | 7,660 | 8,022 |
Table of Contents
Par Value | Value | ||
Agency—continued | |||
Pool #AL7477 (12 month LIBOR + 1.797%) 4.097%, 12/1/40(1) | $3,442 | $3,627 | |
Pool #AL0323 (12 month LIBOR + 1.815%) 4.693%, 6/1/41(1) | 3,181 | 3,332 | |
Pool #AL8796 (12 month LIBOR + 1.815%) 4.561%, 9/1/41(1) | 10,346 | 10,834 | |
Pool #AL8872 (12 month LIBOR + 1.797%) 4.357%, 7/1/42(1) | 15,181 | 15,926 | |
Pool #BM4557 (12 month LIBOR + 1.755%) 4.206%, 5/1/45(1) | 5,063 | 5,229 | |
Pool #BO7214 (U.S. Treasury Yield Curve CMT 1 year + 1.525%) 2.530%, 7/1/47(1) | 8,235 | 8,284 | |
Pool #BO6296 (U.S. Treasury Yield Curve CMT 1 year + 1.525%) 2.994%, 7/1/47(1) | 2,217 | 2,243 | |
Pool #BM1805 (12 month LIBOR + 1.602%) 2.823%, 9/1/47(1) | 24,047 | 24,358 | |
Pool #CA4499 (12 month LIBOR + 1.600%) 2.815%, 9/1/48(1) | 9,628 | 9,747 | |
Pool #BM4556 (12 month LIBOR + 1.599%) 3.292%, 10/1/48(1) | 14,912 | 15,135 | |
Pool #BO7215 (U.S. Treasury Yield Curve CMT 1 year + 1.650%) 3.146%, 4/1/49(1) | 2,445 | 2,493 | |
Pool #BO7216 (U.S. Treasury Yield Curve CMT 1 year + 1.650%) 2.854%, 5/1/49(1) | 1,195 | 1,207 | |
Federal National Mortgage Association REMIC | |||
2011-62, LF (1 month LIBOR + 0.400%) 2.192%, 1/25/32(1) | 9,944 | 9,924 | |
2013-62, FQ (1 month LIBOR + 0.250%) 2.042%, 9/25/32(1) | 7,226 | 7,216 | |
2018-92, AF (1 month LIBOR + 0.400%) 2.192%, 5/25/33(1) | 10,064 | 10,043 | |
2016-32, FA (1 month LIBOR + 0.400%) 2.192%, 10/25/34(1) | 16,256 | 16,222 | |
2005-17, FA (1 month LIBOR + 0.300%) 2.092%, 3/25/35(1) | 7,811 | 7,792 | |
2005-74, NA (1 month LIBOR + 0.420%) 2.212%, 5/25/35(1) | 13,100 | 13,109 | |
2005-58, KF (1 month LIBOR + 0.500%) 2.292%, 7/25/35(1) | 4,895 | 4,903 | |
2018-96, FC (1 month LIBOR + 0.450%) 2.242%, 10/25/35(1) | 10,959 | 10,985 | |
2006-63, FD (1 month LIBOR + 0.450%) 2.242%, 7/25/36(1) | 5,967 | 5,967 | |
2006-113, NF (1 month LIBOR + 0.350%) 2.142%, 9/25/36(1) | 5,130 | 5,114 | |
2007-106, FN (1 month LIBOR + 0.590%) 2.382%, 11/25/37(1) | 5,697 | 5,708 | |
2011-117, PF (1 month LIBOR + 0.350%) 2.142%, 7/25/39(1) | 3,528 | 3,524 | |
2010-137, WB 4.498%, 7/25/40(1) | 2,263 | 2,336 | |
2012-71, FP (1 month LIBOR + 0.350%) 2.142%, 3/25/41(1) | 6,051 | 6,035 | |
2013-34, PF (1 month LIBOR + 0.350%) 2.142%, 8/25/42(1) | 8,298 | 8,289 | |
2013-58, FY (1 month LIBOR + 0.250%) 2.042%, 2/25/43(1) | 5,425 | 5,385 |
Par Value | Value | ||
Agency—continued | |||
FRESB Mortgage Trust | |||
2016-SB16, A5F 1.830%, 4/25/21(1) | $3,577 | $3,568 | |
2016-SB15, A7F 2.190%, 3/25/23(1) | 1,184 | 1,183 | |
2015-SB6, A5 2.270%, 9/25/35(1) | 6,499 | 6,497 | |
2015-SB9, A5 (1 month LIBOR + 0.700%) 2.430%, 11/25/35(1) | 28,643 | 28,716 | |
2016-SB13, A5H 2.060%, 1/25/36(1) | 19,018 | 18,964 | |
2016-SB18, A5H (1 month LIBOR + 2.110%) 2.110%, 5/25/36(1) | 11,592 | 11,563 | |
2016-SB16, A5H 2.130%, 5/25/36(1) | 10,867 | 10,845 | |
2016-SB23, A5H 1.980%, 9/25/36(1) | 2,000 | 1,996 | |
2016-SB22, A7H 2.190%, 9/25/36(1) | 1,152 | 1,151 | |
2016-SB23, A7H 2.200%, 9/25/36(1) | 10,204 | 10,188 | |
2018-SB50, A5H 3.000%, 4/25/38(1) | 1,144 | 1,168 | |
2015-SB3, A5 2.012%, 8/25/42(1) | 2,937 | 2,937 | |
2016-SB19, A5H 2.180%, 1/25/46(1) | 3,322 | 3,317 | |
Government National Mortgage Association | |||
2003-57, FA (1 month LIBOR + 0.450%) 2.190%, 7/16/33(1) | 4,817 | 4,836 | |
2003-67, FP (1 month LIBOR + 0.900%) 2.665%, 8/20/33(1) | 4,153 | 4,239 | |
2004-38, FA (1 month LIBOR + 0.400%) 2.140%, 5/16/34(1) | 6,338 | 6,378 | |
2004-106, F (1 month LIBOR + 0.250%) 1.990%, 12/16/34(1) | 5,021 | 5,002 | |
2005-41, FC (1 month LIBOR + 0.300%) 2.065%, 5/20/35(1) | 8,483 | 8,436 | |
2014-94, FB (1 month LIBOR + 0.250%) 2.015%, 9/20/35(1) | 10,808 | 10,736 | |
2009-88, FA (1 month LIBOR + 0.750%) 2.490%, 10/16/39(1) | 8,217 | 8,283 | |
2016-H22, FJ (1 month LIBOR + 0.390%) 2.164%, 10/20/66(1) | 4,645 | 4,641 | |
2017-H13, FJ (1 month LIBOR + 0.200%) 1.974%, 5/20/67(1) | 534 | 533 | |
2017-H24, FJ (1 month LIBOR + 0.250%) 2.024%, 10/20/67(1) | 1,315 | 1,313 | |
NCUA Guaranteed Notes Trust | |||
2011-R1, 1A (1 month LIBOR + 0.450%) 2.163%, 1/8/20(1) | 8,427 | 8,427 | |
2010-R2, 2A (1 month LIBOR + 0.470%) 2.183%, 11/5/20(1) | 1,374 | 1,374 | |
2010-R3, 1A (1 month LIBOR + 0.560%) 2.273%, 12/8/20(1) | 14,493 | 14,506 | |
Small Business Administration | |||
Pool #510076 (PRIME minus 2.650%) 2.100%, 5/25/27(1) | 5,279 | 5,265 | |
Pool #510083 (PRIME minus 2.650%) 2.350%, 9/25/27(1) | 1,336 | 1,331 | |
Pool #510241 (PRIME minus 2.600%) 2.400%, 10/25/27(1) | 4,615 | 4,612 |
Table of Contents
Par Value | Value | ||
Agency—continued | |||
Pool #510254 (PRIME minus 2.600%) 2.400%, 5/25/28(1) | $8,335 | $8,326 | |
Pool #510228 (PRIME minus 2.500%) 2.500%, 7/25/28(1) | 1,332 | 1,333 | |
Pool #510219 (PRIME minus 2.650%) 2.350%, 11/25/28(1) | 4,174 | 4,160 | |
Pool #510273 (PRIME minus 2.500%) 2.500%, 11/25/28(1) | 7,900 | 7,903 | |
Pool #510256 (PRIME minus 2.600%) 2.400%, 12/25/28(1) | 9,405 | 9,397 | |
Pool #510032 (PRIME minus 2.650%) 2.350%, 6/25/34(1) | 5,224 | 5,206 | |
800,958 | |||
Total Mortgage-Backed Securities (Identified Cost $797,611) | 800,958 | ||
Asset-Backed Security—2.1% | |||
Student Loan—2.1% | |||
NCUA Guaranteed Notes Trust 2010-A1, A (1 month LIBOR + 0.350%) 2.068%, 12/7/20(1) | 18,917 | 18,911 | |
Total Asset-Backed Security (Identified Cost $18,916) | 18,911 | ||
Total Long-Term Investments—97.3% (Identified Cost $876,431) | 879,775 | ||
Shares | ||
Short-Term Investment—2.8% | ||
Money Market Mutual Fund—2.8% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(2) | 25,011,516 | 25,012 |
Total Short-Term Investment (Identified Cost $25,012) | 25,012 | |
Value | ||
TOTAL INVESTMENTS—100.1% (Identified Cost $901,443) | $904,787 | |
Other assets and liabilities, net—(0.1)% | (977) | |
NET ASSETS—100.0% | $903,810 |
Abbreviations: | |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
REMIC | Real Estate Mortgage Investment Conduit |
Footnote Legend: | |
(1) | Variable rate security. Rate disclosed is as of December 31, 2019. 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. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at December 31, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Asset-Backed Security | $18,911 | $— | $18,911 | ||
Mortgage-Backed Securities | 800,958 | — | 800,958 | ||
U.S. Government Securities | 59,906 | — | 59,906 | ||
Money Market Mutual Fund | 25,012 | 25,012 | — | ||
Total Investments | $904,787 | $25,012 | $879,775 |
Table of Contents
December 31, 2019
Par Value | Value | ||
U.S. Government Securities—2.3% | |||
U.S. Treasury Note | |||
2.750%, 7/31/23 | $210 | $218 | |
2.500%, 1/31/24 | 81 | 83 | |
1.750%, 11/15/29 | 200 | 197 | |
Total U.S. Government Securities (Identified Cost $498) | 498 | ||
Mortgage-Backed Securities—94.9% | |||
Agency—94.9% | |||
Federal Home Loan Mortgage Corp. | |||
Pool #G07031 4.000%, 5/1/42 | 325 | 349 | |
Pool #C04123 4.000%, 7/1/42 | 206 | 221 | |
Pool #Q10929 3.500%, 9/1/42 | 267 | 281 | |
Pool #G60019 4.500%, 3/1/44 | 221 | 239 | |
Pool #Q26366 4.000%, 5/1/44 | 130 | 139 | |
Pool #V81283 4.000%, 7/1/44 | 277 | 294 | |
Pool #G60183 4.000%, 12/1/44 | 117 | 124 | |
Pool #Q31645 4.000%, 2/1/45 | 55 | 58 | |
Pool #V81992 4.000%, 10/1/45 | 362 | 384 | |
Pool #Q38473 4.000%, 1/1/46 | 405 | 430 | |
Pool #Q39440 4.000%, 3/1/46 | 436 | 456 | |
Pool #G08706 3.500%, 5/1/46 | 344 | 359 | |
Pool #Q40815 3.500%, 6/1/46 | 374 | 397 | |
Pool #G60661 4.000%, 7/1/46 | 65 | 68 | |
Pool #G61721 3.500%, 11/1/46 | 87 | 91 | |
Pool #Q46110 3.500%, 2/1/47 | 277 | 291 | |
Pool #V83115 4.500%, 3/1/47 | 345 | 365 | |
Pool #Q51962 3.500%, 11/1/47 | 190 | 197 | |
Pool #Q51951 4.000%, 11/1/47 | 88 | 92 | |
Pool #Q53881 4.500%, 1/1/48 | 404 | 437 | |
Pool #Q54449 3.500%, 2/1/48 | 90 | 95 | |
Pool #G08804 3.500%, 3/1/48 | 204 | 212 | |
Pool #ZM6076 4.000%, 4/1/48 | 519 | 543 | |
Pool #Q61677 4.000%, 2/1/49 | 188 | 197 | |
Pool #SD8025 3.500%, 11/1/49 | 491 | 505 |
Par Value | Value | ||
Agency—continued | |||
Pool #SD0164 3.500%, 12/1/49 | $425 | $441 | |
Federal National Mortgage Association | |||
Pool #BM6011 3.353%, 11/1/26 | 195 | 205 | |
Pool #BL1788 3.920%, 5/1/29 | 709 | 773 | |
Pool #MA3575 3.500%, 12/1/38 | 196 | 204 | |
Pool #AL7497 3.500%, 9/1/40 | 983 | 1,026 | |
Pool #MA0639 4.000%, 2/1/41 | 376 | 403 | |
Pool #AL0215 4.500%, 4/1/41 | 133 | 144 | |
Pool #890381 3.500%, 10/1/41 | 239 | 252 | |
Pool #AW8154 3.500%, 1/1/42 | 446 | 470 | |
Pool #AS9571 3.500%, 5/1/42 | 362 | 381 | |
Pool #AO8632 3.500%, 7/1/42 | 332 | 350 | |
Pool #AL6223 4.500%, 8/1/44 | 133 | 144 | |
Pool #CA4144 3.000%, 9/1/44 | 222 | 226 | |
Pool #AX2491 4.000%, 10/1/44 | 425 | 451 | |
Pool #MA2190 4.000%, 2/1/45 | 603 | 639 | |
Pool #MA2341 4.500%, 6/1/45 | 104 | 111 | |
Pool #AY8851 4.000%, 8/1/45 | 176 | 186 | |
Pool #BE5050 4.000%, 9/1/45 | 156 | 166 | |
Pool #AZ9213 4.000%, 10/1/45 | 403 | 429 | |
Pool #AS6515 4.000%, 1/1/46 | 54 | 57 | |
Pool #AS6640 3.500%, 2/1/46 | 227 | 238 | |
Pool #BA4799 4.000%, 2/1/46 | 387 | 411 | |
Pool #BE7155 3.500%, 2/1/47 | 501 | 524 | |
Pool #BE7213 4.000%, 4/1/47 | 299 | 314 | |
Pool #BE9598 4.000%, 5/1/47 | 372 | 391 | |
Pool #BE3695 3.500%, 6/1/47 | 145 | 151 | |
Pool #BH7587 4.500%, 8/1/47 | 121 | 128 | |
Pool #BH9313 3.500%, 9/1/47 | 90 | 95 | |
Pool #BH7058 3.500%, 12/1/47 | 399 | 414 | |
Pool #FM1222 3.500%, 1/1/48 | 103 | 107 | |
Pool #BH9277 3.500%, 2/1/48 | 278 | 288 |
Table of Contents
Par Value | Value | ||
Agency—continued | |||
Pool #BJ9252 4.000%, 6/1/48 | $230 | $239 | |
Pool #BO2843 3.500%, 10/1/49 | 233 | 242 | |
Government National Mortgage Association | |||
Pool #MA1521 3.500%, 12/20/43 | 71 | 74 | |
Pool #AE8170 4.000%, 2/15/44 | 72 | 78 | |
Pool #626962 4.000%, 7/15/45 | 594 | 650 | |
Pool #MA3310 3.500%, 12/20/45 | 257 | 268 | |
Pool #MA4586 3.500%, 7/20/47 | 566 | 588 | |
Pool #MA5019 3.500%, 2/20/48 | 55 | 57 | |
Pool #MA5596 4.500%, 11/20/48 | 296 | 311 | |
Pool #MA5652 4.500%, 12/20/48 | 243 | 255 |
Par Value | Value | ||
Agency—continued | |||
Pool #MA5819 5.000%, 3/20/49 | $294 | $309 | |
Pool #MA6284 3.500%, 11/20/49 | 384 | 398 | |
20,412 | |||
Total Mortgage-Backed Securities (Identified Cost $19,909) | 20,412 | ||
Total Long-Term Investments—97.2% (Identified Cost $20,407) | 20,910 | ||
TOTAL INVESTMENTS—97.2% (Identified Cost $20,407) | $20,910 | ||
Other assets and liabilities, net—2.8% | 606 | ||
NET ASSETS—100.0% | $21,516 |
Total Value at December 31, 2019 | Level 2 Significant Observable Inputs | ||
Assets: | |||
Debt Securities: | |||
Mortgage-Backed Securities | $20,412 | $20,412 | |
U.S. Government Securities | 498 | 498 | |
Total Investments | $20,910 | $20,910 |
Table of Contents
December 31, 2019
Par Value | Value | ||
U.S. Government Security—1.2% | |||
U.S. Treasury Note 2.250%, 3/31/20 | $ 600 | $601 | |
Total U.S. Government Security (Identified Cost $600) | 601 | ||
Mortgage-Backed Securities—45.8% | |||
Agency—36.0% | |||
Federal National Mortgage Association | |||
Pool #AM3442 1.750%, 5/1/20 | 600 | 599 | |
Pool #465721 4.040%, 10/1/20 | 150 | 151 | |
Pool #AN0777 2.750%, 11/1/21 | 469 | 474 | |
Pool #AM8254 2.710%, 6/1/22 | 554 | 562 | |
Pool #AN3414 (1 month LIBOR + 0.600%) 2.297%, 1/1/23(1) | 291 | 289 | |
Pool #AN1582 (1 month LIBOR + 0.440%) 2.137%, 9/1/23(1) | 995 | 996 | |
Pool #BL0422 (1 month LIBOR + 0.370%) 2.067%, 11/1/23(1) | 1,500 | 1,502 | |
Pool #AN3845 (1 month LIBOR + 0.540%) 2.325%, 12/1/23(1) | 1,464 | 1,463 | |
Pool #AN4364 (1 month LIBOR + 0.590%) 2.287%, 1/1/24(1) | 984 | 985 | |
Pool #AN4300 (1 month LIBOR + 0.560%) 2.345%, 1/1/24(1) | 474 | 474 | |
2017-M5, FA (1 month LIBOR + 0.490%) 2.336%, 4/25/24(1) | 299 | 300 | |
FRESB Mortgage Trust | |||
2016-SB16, A5F 1.830%, 4/25/21(1) | 795 | 793 | |
2016-SB21, A5F 1.810%, 9/25/21(1) | 522 | 520 | |
2015-SB5, A5 2.110%, 9/25/35(1) | 1,048 | 1,046 | |
2015-SB7, A5 2.370%, 9/25/35(1) | 393 | 393 | |
2016-SB13, A5H 2.060%, 1/25/36(1) | 1,148 | 1,144 | |
2016-SB16, A5H 2.130%, 5/25/36(1) | 714 | 713 | |
2016-SB23, A5H 1.980%, 9/25/36(1) | 771 | 770 | |
2016-SB23, A7H 2.200%, 9/25/36(1) | 835 | 833 | |
2018-SB50, A5H 3.000%, 4/25/38(1) | 457 | 467 | |
NCUA Guaranteed Notes Trust | |||
2011-R2, 1A (1 month LIBOR + 0.400%) 2.113%, 2/6/20(1) | 455 | 455 | |
2010-R2, 2A (1 month LIBOR + 0.470%) 2.183%, 11/5/20(1) | 1,948 | 1,948 | |
Small Business Administration Pool #510273 (PRIME minus 2.500%) 2.500%, 11/25/28(1) | 1,580 | 1,581 | |
18,458 | |||
Par Value | Value | ||
Non-Agency—9.8% | |||
BBCMS Mortgage Trust 2018-TALL, A (1 month LIBOR + 0.722%) 144A 2.462%, 3/15/37(1)(2) | $1,000 | $995 | |
Hawaii Hotel Trust 2019-MAUI, A (1 month LIBOR + 1.150%) 144A 2.890%, 5/15/38(1)(2) | 680 | 680 | |
SLIDE 2018-FUN, A (1 month LIBOR + 0.900%) 144A 2.640%, 6/15/31(1)(2) | 966 | 966 | |
VNDO Mortgage Trust 2013-PENN, B 144A 3.947%, 12/13/29(1)(2) | 830 | 838 | |
WFRBS Commercial Mortgage Trust 2012-C8, AFL (1 month LIBOR + 1.000%) 144A 2.737%, 8/15/45(1)(2) | 1,539 | 1,545 | |
5,024 | |||
Total Mortgage-Backed Securities (Identified Cost $23,455) | 23,482 | ||
Asset-Backed Securities—14.7% | |||
Automobiles—6.6% | |||
BMW Vehicle Owner Trust 2019-A, A3 1.920%, 1/25/24 | 800 | 800 | |
Canadian Pacer Auto Receivables Trust 2017-1A, A3 144A 2.050%, 3/19/21(2) | 291 | 291 | |
Ford Credit Auto Owner Trust | |||
2015-1, A 144A 2.120%, 7/15/26(2) | 1,000 | 1,000 | |
2015-2, A 144A 2.440%, 1/15/27(2) | 205 | 206 | |
Mercedes-Benz Master Owner Trust 2018-BA, A (1 month LIBOR + 0.340%) 144A 2.080%, 5/15/23(1)(2) | 1,090 | 1,091 | |
3,388 | |||
Credit Card—6.2% | |||
Capital One Multi-Asset Execution Trust 2005-B3, B3 (3 month LIBOR + 0.550%) 2.536%, 5/15/28(1) | 1,253 | 1,226 | |
Master Credit Card Trust II 2017-1A, B 144A 2.560%, 7/21/21(2) | 1,000 | 998 | |
World Financial Network Credit Card Master Trust 2016-A, M 2.330%, 4/15/25 | 945 | 942 | |
3,166 | |||
Other—1.9% | |||
Domino’s Pizza Master Issuer LLC 2017-1A, A2I (3 month LIBOR + 1.250%) 144A 3.190%, 7/25/47(1)(2) | 980 | 981 | |
Total Asset-Backed Securities (Identified Cost $7,498) | 7,535 | ||
Corporate Bonds and Notes—34.3% | |||
Communication Services—1.4% | |||
AT&T, Inc. (3 month LIBOR + 0.930%) 2.891%, 6/30/20(1) | 700 | 703 |
Table of Contents
Par Value | Value | ||
Consumer Discretionary—4.3% | |||
American Honda Finance Corp. (3 month LIBOR + 0.270%) 2.236%, 7/20/20(1) | $600 | $601 | |
BMW US Capital LLC (3 month LIBOR + 0.500%) 144A 2.401%, 8/13/21(1)(2) | 900 | 902 | |
Daimler Finance North America LLC (3 month LIBOR + 0.450%) 144A 2.349%, 2/22/21(1)(2) | 730 | 730 | |
2,233 | |||
Energy—2.4% | |||
Phillips 66 (3 month LIBOR + 0.600%) 2.517%, 2/26/21(1) | 665 | 665 | |
Woodside Finance Ltd. 144A 4.600%, 5/10/21(2) | 550 | 563 | |
1,228 | |||
Financials—21.1% | |||
American Express Co. (3 month LIBOR + 0.525%) 2.429%, 5/17/21(1) | 700 | 703 | |
Bank of Montreal (3 month LIBOR + 0.460%) 2.461%, 4/13/21(1) | 580 | 582 | |
BP Capital Markets plc 2.315%, 2/13/20 | 700 | 700 | |
Citigroup, Inc. 2.650%, 10/26/20 | 679 | 683 | |
Cooperatieve Rabobank UA (3 month LIBOR + 0.430%) 2.366%, 4/26/21(1) | 440 | 442 | |
Credit Suisse AG 2.100%, 11/12/21 | 550 | 552 | |
Diageo Capital plc (3 month LIBOR + 0.240%) 2.144%, 5/18/20(1) | 585 | 585 | |
Goldman Sachs Group, Inc. (The) (3 month LIBOR + 1.160%) 3.094%, 4/23/20(1) | 250 | 251 | |
John Deere Capital Corp. (3 month LIBOR + 0.400%) 2.285%, 6/7/21(1) | 840 | 843 | |
JPMorgan Chase & Co. (3 month LIBOR + 1.205%) 3.133%, 10/29/20(1) | 400 | 403 | |
JPMorgan Chase Bank NA (3 month LIBOR + 0.340%) 2.276%, 4/26/21(1) | 600 | 600 | |
Lloyds Bank plc (3 month LIBOR + 0.490%) 2.384%, 5/7/21(1) | 450 | 451 | |
Metropolitan Life Global Funding I (SOFRRATE + 0.570%) 144A 2.110%, 9/7/20(1)(2) | 420 | 421 | |
Morgan Stanley (3 month LIBOR + 0.550%) 2.451%, 2/10/21(1) | 590 | 590 | |
New York Life Global Funding (3 month LIBOR + 0.320%) 144A 2.228%, 8/6/21(1)(2) | 440 | 441 | |
PNC Bank NA (3 month LIBOR + 0.430%) 2.315%, 12/9/22(1) | 750 | 751 | |
Toyota Motor Credit Corp. (3 month LIBOR + 0.280%) 2.281%, 4/13/21(1) | 590 | 591 | |
US Bank NA (3 month LIBOR + 0.320%) 2.256%, 4/26/21(1) | 580 | 581 |
Par Value | Value | ||
Financials—continued | |||
Wells Fargo Bank NA (3 month LIBOR + 0.380%) 2.275%, 5/21/21(1) | $650 | $651 | |
10,821 | |||
Health Care—5.1% | |||
AbbVie, Inc. (3 month LIBOR + 0.460%) 144A 2.355%, 11/19/21(1)(2) | 800 | 802 | |
Bristol-Myers Squibb Co. (3 month LIBOR + 0.200%) 144A 2.104%, 11/16/20(1)(2) | 600 | 600 | |
GlaxoSmithKline Capital plc (3 month LIBOR + 0.350%) 2.259%, 5/14/21(1) | 840 | 842 | |
UnitedHealth Group, Inc. (3 month LIBOR + 0.260%) 2.154%, 6/15/21(1) | 383 | 383 | |
2,627 | |||
Total Corporate Bonds and Notes (Identified Cost $17,588) | 17,612 | ||
Total Long-Term Investments—96.0% (Identified Cost $49,141) | 49,230 | ||
TOTAL INVESTMENTS—96.0% (Identified Cost $49,141) | $49,230 | ||
Other assets and liabilities, net—4.0% | 2,064 | ||
NET ASSETS—100.0% | $51,294 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
Footnote Legend: | |
(1) | Variable rate security. Rate disclosed is as of December 31, 2019. 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. |
(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 December 31, 2019, these securities amounted to a value of $14,050 or 27.4% of net assets. |
Country Weightings (Unaudited)† | |
United States | 88% |
United Kingdom | 5 |
Canada | 4 |
Australia | 1 |
Switzerland | 1 |
Netherlands | 1 |
Total | 100% |
† % of total investments as of December 31, 2019. |
Table of Contents
Total Value at December 31, 2019 | Level 2 Significant Observable Inputs | ||
Assets: | |||
Debt Securities: | |||
Asset-Backed Securities | $7,535 | $7,535 | |
Corporate Bonds and Notes | 17,612 | 17,612 | |
Mortgage-Backed Securities | 23,482 | 23,482 | |
U.S. Government Security | 601 | 601 | |
Total Investments | $49,230 | $49,230 |
Table of Contents
December 31, 2019
Seix Core Bond Fund | Seix Corporate Bond Fund | Seix Floating Rate High Income Fund | |||
Assets | |||||
Investment in securities at value(1) | $103,969 | $39,745 | $3,204,404 | ||
Cash | 2,494 | 163 | 116,636 | ||
Deposits with prime broker | — | 150 | — | ||
Margin due from counterparty on cleared swaps | — | 644 | — | ||
Receivables | |||||
Investment securities sold | — | — | 59,342 | ||
Fund shares sold | 52 | 27 | 30,663 | ||
Dividends and interest | 554 | 317 | 6,354 | ||
Prepaid expenses | 27 | 27 | 101 | ||
Other assets | 8 | 3 | 230 | ||
Total assets | 107,104 | 41,076 | 3,417,730 | ||
Liabilities | |||||
Swaps at value(2) | — | 535 | — | ||
Payables | |||||
Fund shares repurchased | 235 | 2 | 20,224 | ||
Investment securities purchased | 1,979 | 1,312 | 53,614 | ||
Dividend distributions | 10 | — | 2,225 | ||
Investment advisory fees | 5 | 10 | 1,011 | ||
Distribution and service fees | 2 | 2 | 42 | ||
Administration and accounting fees | 11 | 4 | 297 | ||
Transfer agent and sub-transfer agent fees and expenses | 38 | 16 | 707 | ||
Professional fees | 23 | 23 | 25 | ||
Trustee deferred compensation plan | 8 | 3 | 230 | ||
Interest expense and/or commitment fees | —(a) | —(a) | — | ||
Other accrued expenses | 9 | 3 | 278 | ||
Total liabilities | 2,320 | 1,910 | 78,653 | ||
Net Assets | $104,784 | $39,166 | $3,339,077 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $103,388 | $36,584 | $3,895,139 | ||
Accumulated earnings (loss) | 1,396 | 2,582 | (556,062) | ||
Net Assets | $104,784 | $39,166 | $3,339,077 | ||
Net Assets: | |||||
Class A | $9,183 | $5,599 | $47,938 | ||
Class C | $— | $671 | $37,586 | ||
Class I | $93,576 | $32,896 | $2,701,126 | ||
Class R6 | $2,025 | $— | $552,427 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 841,999 | 625,690 | 5,707,495 | ||
Class C | — | 75,350 | 4,473,088 | ||
Class I | 8,576,996 | 3,695,333 | 321,574,640 | ||
Class R6 | 185,570 | — | 65,728,032 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $10.91 | $8.95 | $8.40 | ||
Class C | $— | $8.91 | $8.40 | ||
Class I | $10.91 | $8.90 | $8.40 | ||
Class R6 | $10.91 | $— | $8.40 | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $11.34 | $9.30 | $8.64 | ||
Maximum Sales Charge - Class A | 3.75% | 3.75% | 2.75% | ||
(1)Investment in securities at cost | $102,481 | $37,650 | $3,325,079 | ||
(2) Includes premiums paid (received) on swaps | — | (342) | — |
(a) | Amount is less than $500. |
Table of Contents
Seix High Grade Municipal Bond Fund | Seix High Income Fund | Seix High Yield Fund | |||
Assets | |||||
Investment in securities at value(1)(2) | $59,890 | $297,677 | $287,970 | ||
Cash | —(a) | 2,056 | 10,577 | ||
Receivables | |||||
Investment securities sold | 1,228 | 3,946 | 925 | ||
Fund shares sold | 151 | 74 | 3,829 | ||
Dividends and interest | 602 | 4,413 | 4,192 | ||
Securities lending income | — | 15 | 2 | ||
Prepaid expenses | 17 | 34 | 52 | ||
Other assets | 4 | 21 | 20 | ||
Total assets | 61,892 | 308,236 | 307,567 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 188 | 808 | 763 | ||
Investment securities purchased | 1,218 | 3,884 | 1,618 | ||
Collateral on securities loaned | — | 6,822 | 2,272 | ||
Dividend distributions | 226 | 111 | 124 | ||
Investment advisory fees | 13 | 81 | 79 | ||
Distribution and service fees | 1 | 6 | 1 | ||
Administration and accounting fees | 6 | 27 | 27 | ||
Transfer agent and sub-transfer agent fees and expenses | 11 | 81 | 67 | ||
Professional fees | 23 | 23 | 25 | ||
Trustee deferred compensation plan | 4 | 21 | 20 | ||
Interest expense and/or commitment fees | —(a) | 1 | 1 | ||
Other accrued expenses | 3 | 20 | 18 | ||
Total liabilities | 1,693 | 11,885 | 5,015 | ||
Net Assets | $60,199 | $296,351 | $302,552 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $58,117 | $384,844 | $358,505 | ||
Accumulated earnings (loss) | 2,082 | (88,493) | (55,953) | ||
Net Assets | $60,199 | $296,351 | $302,552 | ||
Net Assets: | |||||
Class A | $6,893 | $25,338 | $4,623 | ||
Class I | $53,306 | $234,101 | $292,284 | ||
Class R6 | $— | $36,912 | $5,645 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 571,987 | 3,999,956 | 564,351 | ||
Class I | 4,424,169 | 37,011,771 | 34,773,284 | ||
Class R6 | — | 5,837,359 | 671,086 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $12.05 | $6.33 | $8.19 | ||
Class I | $12.05 | $6.33 | $8.41 | ||
Class R6 | $— | $6.32 | $8.41 | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $12.39 | $6.58 | $8.51 | ||
Maximum Sales Charge - Class A | 2.75% | 3.75% | 3.75% | ||
(1)Investment in securities at cost | $58,069 | $294,603 | $283,207 | ||
(2) Market value of securities on loan | $— | $6,545 | $2,180 |
(a) | Amount is less than $500. |
Table of Contents
Seix Investment Grade Tax-Exempt Bond Fund | Seix Short-Term Bond Fund | Seix Short-Term Municipal Bond Fund | |||
Assets | |||||
Investment in securities at value(1) | $274,786 | $8,103 | $12,338 | ||
Cash | 33,869 | 34 | — | ||
Receivables | |||||
Investment securities sold | 1,222 | — | — | ||
Fund shares sold | 1,103 | 30 | 1 | ||
Receivable from adviser | — | 5 | 4 | ||
Dividends and interest | 3,159 | 34 | 135 | ||
Prepaid expenses | 20 | 24 | 14 | ||
Other assets | 21 | 1 | 1 | ||
Total assets | 314,180 | 8,231 | 12,493 | ||
Liabilities | |||||
Cash overdraft | — | — | —(a) | ||
Payables | |||||
Fund shares repurchased | 2,886 | 14 | 90 | ||
Investment securities purchased | 4,509 | — | — | ||
Dividend distributions | 1,917 | —(a) | 5 | ||
Investment advisory fees | 72 | — | — | ||
Distribution and service fees | 2 | 1 | —(a) | ||
Administration and accounting fees | 28 | 1 | 2 | ||
Transfer agent and sub-transfer agent fees and expenses | 91 | 2 | 3 | ||
Professional fees | 22 | 23 | 23 | ||
Trustee deferred compensation plan | 21 | 1 | 1 | ||
Interest expense and/or commitment fees | 1 | —(a) | —(a) | ||
Other accrued expenses | 18 | 1 | 1 | ||
Other liabilities | 4 | — | — | ||
Total liabilities | 9,571 | 43 | 125 | ||
Net Assets | $304,609 | $8,188 | $12,368 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $296,986 | $8,363 | $12,210 | ||
Accumulated earnings (loss) | 7,623 | (175) | 158 | ||
Net Assets | $304,609 | $8,188 | $12,368 | ||
Net Assets: | |||||
Class A | $9,329 | $2,300 | $1,535 | ||
Class C | $— | $733 | $— | ||
Class I | $295,280 | $5,155 | $10,833 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 796,071 | 230,908 | 153,028 | ||
Class C | — | 73,611 | — | ||
Class I | 25,227,180 | 519,026 | 1,079,223 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $11.72 | $9.96 | $10.03 | ||
Class C | $— | $9.96 | $— | ||
Class I | $11.70 | $9.93 | $10.04 | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $12.05 | $10.19 | $10.26 | ||
Maximum Sales Charge - Class A | 2.75% | 2.25% | 2.25% | ||
(1)Investment in securities at cost | $268,041 | $8,019 | $12,191 |
(a) | Amount is less than $500. |
Table of Contents
Seix Total Return Bond Fund | Seix U.S. Government Securities Ultra-Short Bond Fund | Seix U.S. Mortgage Fund | |||
Assets | |||||
Investment in securities at value(1) | $304,148 | $904,787 | $20,910 | ||
Cash | 7,659 | 19,638 | 706 | ||
Deposits with prime broker | 1,055 | — | — | ||
Margin due from counterparty on cleared swaps | 3,428 | — | — | ||
Receivables | |||||
Investment securities sold | 3,050 | 2,066 | — | ||
Fund shares sold | 10,675 | 2,408 | 54 | ||
Receivable from adviser | — | — | 3 | ||
Dividends and interest | 1,638 | 1,668 | 66 | ||
Securities lending income | 4 | — | — | ||
Prepaid expenses | 35 | 51 | 19 | ||
Other assets | 22 | 62 | 1 | ||
Total assets | 331,714 | 930,680 | 21,759 | ||
Liabilities | |||||
Swaps at value(2) | 3,935 | — | — | ||
Payables | |||||
Fund shares repurchased | 11,607 | 1,173 | 2 | ||
Investment securities purchased | 9,732 | 24,949 | 198 | ||
Dividend distributions | 8 | 179 | — | ||
Investment advisory fees | 34 | 48 | — | ||
Distribution and service fees | 5 | 3 | 1 | ||
Administration and accounting fees | 28 | 78 | 3 | ||
Transfer agent and sub-transfer agent fees and expenses | 84 | 295 | 13 | ||
Professional fees | 25 | 22 | 23 | ||
Trustee deferred compensation plan | 22 | 62 | 1 | ||
Interest expense and/or commitment fees | 1 | 2 | —(a) | ||
Other accrued expenses | 23 | 59 | 2 | ||
Total liabilities | 25,504 | 26,870 | 243 | ||
Net Assets | $306,210 | $903,810 | $21,516 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $312,708 | $905,757 | $21,112 | ||
Accumulated earnings (loss) | (6,498) | (1,947) | 404 | ||
Net Assets | $306,210 | $903,810 | $21,516 | ||
Net Assets: | |||||
Class A | $24,861 | $13,741 | $6,657 | ||
Class C | $— | $— | $383 | ||
Class I | $220,036 | $864,548 | $14,476 | ||
Class R6 | $61,313 | $25,521 | $— | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 2,253,127 | 1,374,602 | 589,917 | ||
Class C | — | — | 33,903 | ||
Class I | 20,610,630 | 86,492,106 | 1,280,500 | ||
Class R6 | 5,744,783 | 2,550,096 | — | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $11.03 | $10.00 | $11.28 | ||
Class C | $— | $— | $11.30 | ||
Class I | $10.68 | $10.00 | $11.30 | ||
Class R6 | $10.67 | $10.01 | $— | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $11.46 | $— | $11.54 | ||
Maximum Sales Charge - Class A | 3.75% | —% | 2.25% | ||
(1)Investment in securities at cost | $299,617 | $901,443 | $20,407 | ||
(2) Includes premiums paid (received) on swaps | (2,575) | — | — |
(a) | Amount is less than $500. |
Table of Contents
Seix Ultra-Short Bond Fund | |
Assets | |
Investment in securities at value(1) | $49,230 |
Cash | 1,647 |
Receivables | |
Investment securities sold | 24 |
Fund shares sold | 333 |
Receivable from adviser | 3 |
Dividends and interest | 126 |
Prepaid expenses | 18 |
Other assets | 4 |
Total assets | 51,385 |
Liabilities | |
Payables | |
Fund shares repurchased | 37 |
Dividend distributions | 4 |
Distribution and service fees | 1 |
Administration and accounting fees | 5 |
Transfer agent and sub-transfer agent fees and expenses | 13 |
Professional fees | 23 |
Trustee deferred compensation plan | 4 |
Interest expense and/or commitment fees | —(a) |
Other accrued expenses | 4 |
Total liabilities | 91 |
Net Assets | $51,294 |
Net Assets Consist of: | |
Capital paid in on shares of beneficial interest | $51,335 |
Accumulated earnings (loss) | (41) |
Net Assets | $51,294 |
Net Assets: | |
Class A | $3,111 |
Class I | $48,183 |
Shares Outstanding (unlimited number of shares authorized, no par value): | |
Class A | 312,397 |
Class I | 4,842,469 |
Net Asset Value and Redemption Price Per Share: | |
Class A | $9.96 |
Class I | $9.95 |
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |
Class A | $— |
Maximum Sales Charge - Class A | —% |
(1)Investment in securities at cost | $49,141 |
(a) | Amount is less than $500. |
Table of Contents
December 31, 2019
Seix Core Bond Fund | Seix Corporate Bond Fund | Seix Floating Rate High Income Fund | |||
Investment Income | |||||
Dividends | $54 | $23 | $3,090 | ||
Interest | 3,547 | 1,549 | 244,989 | ||
Security lending, net of fees | —(1) | — | — | ||
Total investment income | 3,601 | 1,572 | 248,079 | ||
Expenses | |||||
Investment advisory fees | 333 | 175 | 17,789 | ||
Distribution and service fees, Class A | 16 | 13 | 134 | ||
Distribution and service fees, Class C | — | 8 | 426 | ||
Distribution and service fees, Class R | 14 | — | — | ||
Administration and accounting fees | 146 | 53 | 4,503 | ||
Transfer agent fees and expenses | 58 | 19 | 1,896 | ||
Sub-transfer agent fees and expenses, Class A | 10 | 5 | 43 | ||
Sub-transfer agent fees and expenses, Class C | — | 1 | 17 | ||
Sub-transfer agent fees and expenses, Class I | 180 | 40 | 4,146 | ||
Custodian fees | 1 | 1 | — | ||
Printing fees and expenses | 12 | 5 | 322 | ||
Professional fees | 25 | 23 | 117 | ||
Interest expense and/or commitment fees | —(1) | —(1) | 251 | ||
Registration fees | 57 | 44 | 230 | ||
Trustees’ fees and expenses | 11 | 3 | 399 | ||
Miscellaneous expenses | 17 | 7 | 573 | ||
Total expenses | 880 | 397 | 30,846 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (194) | (71) | (3,959) | ||
Less low balance account fees | —(1) | — | — | ||
Net expenses | 686 | 326 | 26,887 | ||
Net investment income (loss) | 2,915 | 1,246 | 221,192 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 6,797 | 1,868 | (126,937) | ||
Foreign currency transactions | — | —(1) | — | ||
Swaps | — | (239) | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 188 | 2,375 | 212,166 | ||
Foreign currency transactions | — | —(1) | — | ||
Swaps | — | (197) | — | ||
Net realized and unrealized gain (loss) on investments | 6,985 | 3,807 | 85,229 | ||
Net increase (decrease) in net assets resulting from operations | $9,900 | $5,053 | $306,421 |
(1) | Amount is less than $500. |
(2) | See Note 4D in the Notes to Financial Statements. |
Table of Contents
Seix High Grade Municipal Bond Fund | Seix High Income Fund | Seix High Yield Fund | |||
Investment Income | |||||
Dividends | $88 | $347 | $232 | ||
Interest | 1,245 | 18,783 | 16,652 | ||
Security lending, net of fees | — | 33 | 3 | ||
Total investment income | 1,333 | 19,163 | 16,887 | ||
Expenses | |||||
Investment advisory fees | 265 | 1,750 | 1,363 | ||
Distribution and service fees, Class A | 11 | 44 | 9 | ||
Distribution and service fees, Class R | — | 50 | — | ||
Administration and accounting fees | 64 | 340 | 324 | ||
Transfer agent fees and expenses | 23 | 138 | 130 | ||
Sub-transfer agent fees and expenses, Class A | 2 | 21 | 4 | ||
Sub-transfer agent fees and expenses, Class I | 42 | 372 | 323 | ||
Custodian fees | —(1) | 1 | 1 | ||
Printing fees and expenses | 4 | 27 | 23 | ||
Professional fees | 24 | 28 | 29 | ||
Interest expense and/or commitment fees | —(1) | —(1) | — | ||
Registration fees | 32 | 66 | 80 | ||
Trustees’ fees and expenses | 4 | 26 | 25 | ||
Miscellaneous expenses | 6 | 38 | 33 | ||
Total expenses | 477 | 2,901 | 2,344 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (148) | (491) | (401) | ||
Net expenses | 329 | 2,410 | 1,943 | ||
Net investment income (loss) | 1,004 | 16,753 | 14,944 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 1,906 | (12,562) | (3,240) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 1,000 | 30,983 | 24,890 | ||
Net realized and unrealized gain (loss) on investments | 2,906 | 18,421 | 21,650 | ||
Net increase (decrease) in net assets resulting from operations | $3,910 | $35,174 | $36,594 |
(1) | Amount is less than $500. |
(2) | See Note 4D in the Notes to Financial Statements. |
Table of Contents
Seix Investment Grade Tax-Exempt Bond Fund | Seix Short-Term Bond Fund | Seix Short-Term Municipal Bond Fund | |||
Investment Income | |||||
Dividends | $399 | $4 | $21 | ||
Interest | 7,308 | 206 | 258 | ||
Total investment income | 7,707 | 210 | 279 | ||
Expenses | |||||
Investment advisory fees | 1,606 | 33 | 54 | ||
Distribution and service fees, Class A | 25 | 5 | 2 | ||
Distribution and service fees, Class C | — | 9 | — | ||
Administration and accounting fees | 343 | 16 | 24 | ||
Transfer agent fees and expenses | 138 | 4 | 7 | ||
Sub-transfer agent fees and expenses, Class A | 5 | 2 | 1 | ||
Sub-transfer agent fees and expenses, Class I | 372 | 4 | 15 | ||
Custodian fees | 1 | —(1) | —(1) | ||
Printing fees and expenses | 25 | 2 | 2 | ||
Professional fees | 27 | 23 | 23 | ||
Interest expense and/or commitment fees | —(1) | — | — | ||
Registration fees | 45 | 44 | 31 | ||
Trustees’ fees and expenses | 26 | 1 | 1 | ||
Miscellaneous expenses | 21 | 4 | 3 | ||
Total expenses | 2,634 | 147 | 163 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (697) | (84) | (87) | ||
Net expenses | 1,937 | 63 | 76 | ||
Net investment income (loss) | 5,770 | 147 | 203 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 10,942 | 26 | 221 | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 4,279 | 85 | 166 | ||
Net realized and unrealized gain (loss) on investments | 15,221 | 111 | 387 | ||
Net increase (decrease) in net assets resulting from operations | $20,991 | $258 | $590 |
(1) | Amount is less than $500. |
(2) | See Note 4D in the Notes to Financial Statements. |
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Seix Total Return Bond Fund | Seix U.S. Government Securities Ultra-Short Bond Fund | Seix U.S. Mortgage Fund | |||
Investment Income | |||||
Dividends | $161 | $505 | $24 | ||
Interest | 10,512 | 33,571 | 624 | ||
Security lending, net of fees | 4 | 1 | — | ||
Total investment income | 10,677 | 34,077 | 648 | ||
Expenses | |||||
Investment advisory fees | 958 | 2,434 | 90 | ||
Distribution and service fees, Class A | 26 | 23 | 12 | ||
Distribution and service fees, Class C | — | — | 7 | ||
Distribution and service fees, Class R | 120 | — | — | ||
Administration and accounting fees | 408 | 1,330 | 31 | ||
Transfer agent fees and expenses | 165 | 546 | 10 | ||
Sub-transfer agent fees and expenses, Class A | 25 | 3 | 39 | ||
Sub-transfer agent fees and expenses, Class I | 384 | 1,545 | 27 | ||
Custodian fees | 2 | 4 | 1 | ||
Printing fees and expenses | 28 | 79 | 3 | ||
Professional fees | 31 | 41 | 23 | ||
Interest expense and/or commitment fees | — | 2 | —(1) | ||
Registration fees | 63 | 100 | 45 | ||
Trustees’ fees and expenses | 34 | 108 | 2 | ||
Miscellaneous expenses | 45 | 100 | 4 | ||
Total expenses | 2,289 | 6,315 | 294 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (480) | (1,129) | (118) | ||
Net expenses | 1,809 | 5,186 | 176 | ||
Net investment income (loss) | 8,868 | 28,891 | 472 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 20,552 | 234 | 334 | ||
Foreign currency transactions | 1 | — | — | ||
Forward foreign currency transactions | 1,765 | — | — | ||
Swaps | (2,646) | — | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 855 | 927 | 516 | ||
Foreign currency transactions | (1) | — | — | ||
Forward foreign currency transactions | (100) | — | — | ||
Swaps | (1,432) | — | — | ||
Net realized and unrealized gain (loss) on investments | 18,994 | 1,161 | 850 | ||
Net increase (decrease) in net assets resulting from operations | $27,862 | $30,052 | $1,322 |
(1) | Amount is less than $500. |
(2) | See Note 4D in the Notes to Financial Statements. |
Table of Contents
Seix Ultra-Short Bond Fund | |
Investment Income | |
Dividends | $33 |
Interest | 1,680 |
Security lending, net of fees | —(1) |
Total investment income | 1,713 |
Expenses | |
Investment advisory fees | 134 |
Distribution and service fees, Class A | 5 |
Administration and accounting fees | 71 |
Transfer agent fees and expenses | 26 |
Sub-transfer agent fees and expenses, Class A | 1 |
Sub-transfer agent fees and expenses, Class I | 53 |
Custodian fees | 1 |
Printing fees and expenses | 6 |
Professional fees | 24 |
Interest expense and/or commitment fees | —(1) |
Registration fees | 46 |
Trustees’ fees and expenses | 5 |
Miscellaneous expenses | 5 |
Total expenses | 377 |
Less net expenses reimbursed and/or waived by investment adviser(2) | (128) |
Net expenses | 249 |
Net investment income (loss) | 1,464 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | (6) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | 250 |
Net realized and unrealized gain (loss) on investments | 244 |
Net increase (decrease) in net assets resulting from operations | $1,708 |
(1) | Amount is less than $500. |
(2) | See Note 4D in the Notes to Financial Statements. |
Table of Contents
Seix Core Bond Fund | Seix Corporate Bond Fund | ||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $2,915 | $3,962 | $1,246 | $685 | |||
Net realized gain (loss) | 6,797 | (5,286) | 1,629 | (1,088) | |||
Net change in unrealized appreciation (depreciation) | 188 | 206 | 2,178 | (616) | |||
Increase (decrease) in net assets resulting from operations | 9,900 | (1,118) | 5,053 | (1,019) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (128) | (164) | (122) | (11) | |||
Class C | — | — | (13) | (149) | |||
Class I | (2,730) | (3,680) | (992) | (536) | |||
Class R | (50) | (60) | — | — | |||
Class R6 | (7) | (60) | — | — | |||
Return of Capital: | |||||||
Class A | — | (8) | — | — | |||
Class I | — | (175) | — | — | |||
Class R | — | (3) | — | — | |||
Class R6 | — | (3) | — | — | |||
Total Dividends and Distributions to Shareholders | (2,915) | (4,153) | (1,127) | (696) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | 2,890 | (2,213) | 4,781 | 7 | |||
Class C | — | — | (4,852) | (618) | |||
Class I | (49,184) | (44,955) | (5,737) | 28,111 | |||
Class R | (3,262) | 24 | — | — | |||
Class R6 | 1,906 | (3,030) | — | — | |||
Increase (decrease) in net assets from capital transactions | (47,650) | (50,174) | (5,808) | 27,500 | |||
Net increase (decrease) in net assets | (40,665) | (55,445) | (1,882) | 25,785 | |||
Net Assets | |||||||
Beginning of period | 145,449 | 200,894 | 41,048 | 15,263 | |||
End of Period | $104,784 | $145,449 | $39,166 | $41,048 |
Table of Contents
Seix Floating Rate High Income Fund | Seix High Grade Municipal Bond Fund | ||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $221,192 | $310,670 | $1,004 | $2,052 | |||
Net realized gain (loss) | (126,937) | (36,071) | 1,906 | (447) | |||
Net change in unrealized appreciation (depreciation) | 212,166 | (257,198) | 1,000 | (1,633) | |||
Increase (decrease) in net assets resulting from operations | 306,421 | 17,401 | 3,910 | (28) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (2,650) | (4,754) | (261) | (233) | |||
Class C | (1,849) | (1,990) | — | — | |||
Class I | (187,268) | (243,162) | (1,931) | (2,218) | |||
Class R6 | (34,576) | (60,756) | — | — | |||
Total Dividends and Distributions to Shareholders | (226,343) | (310,662) | (2,192) | (2,451) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (21,243) | (41,834) | (135) | (1,189) | |||
Class C | (8,593) | (3,691) | — | — | |||
Class I | (1,745,945) | 70,322 | 10,080 | (31,655) | |||
Class R6 | (264,859) | (421,336) | — | — | |||
Increase (decrease) in net assets from capital transactions | (2,040,640) | (396,539) | 9,945 | (32,844) | |||
Net increase (decrease) in net assets | (1,960,562) | (689,800) | 11,663 | (35,323) | |||
Net Assets | |||||||
Beginning of period | 5,299,639 | 5,989,439 | 48,536 | 83,859 | |||
End of Period | $3,339,077 | $5,299,639 | $60,199 | $48,536 |
Table of Contents
Seix High Income Fund | Seix High Yield Fund | ||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $16,753 | $21,583 | $14,944 | $20,005 | |||
Net realized gain (loss) | (12,562) | 2,701 | (3,240) | 2,160 | |||
Net change in unrealized appreciation (depreciation) | 30,983 | (34,758) | 24,890 | (27,367) | |||
Increase (decrease) in net assets resulting from operations | 35,174 | (10,474) | 36,594 | (5,202) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (871) | (1,095) | (164) | (205) | |||
Class I | (13,691) | (19,519) | (14,596) | (19,212) | |||
Class R | (486) | (691) | (2) | (4) | |||
Class R6 | (1,637) | (321) | (72) | (582) | |||
Total Dividends and Distributions to Shareholders | (16,685) | (21,626) | (14,834) | (20,003) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | 9,888 | (13,603) | 1,464 | (1,645) | |||
Class I | (46,460) | (97,416) | (16,055) | (92,163) | |||
Class R | (11,661) | 144 | (56) | (62) | |||
Class R6 | 31,240 | (485) | 4,537 | (43,185) | |||
Increase (decrease) in net assets from capital transactions | (16,993) | (111,360) | (10,110) | (137,055) | |||
Net increase (decrease) in net assets | 1,496 | (143,460) | 11,650 | (162,260) | |||
Net Assets | |||||||
Beginning of period | 294,855 | 438,315 | 290,902 | 453,162 | |||
End of Period | $296,351 | $294,855 | $302,552 | $290,902 |
Table of Contents
Seix Investment Grade Tax-Exempt Bond Fund | Seix Short-Term Bond Fund | ||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $5,770 | $10,943 | $147 | $145 | |||
Net realized gain (loss) | 10,942 | (2,831) | 26 | (123) | |||
Net change in unrealized appreciation (depreciation) | 4,279 | (7,836) | 85 | 50 | |||
Increase (decrease) in net assets resulting from operations | 20,991 | 276 | 258 | 72 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (385) | (318) | (41) | (28) | |||
Class C | — | — | (8) | (6) | |||
Class I | (12,595) | (13,182) | (98) | (111) | |||
Return of Capital: | |||||||
Class A | — | — | — | (2) | |||
Class C | — | — | — | (1) | |||
Class I | — | — | — | (5) | |||
Total Dividends and Distributions to Shareholders | (12,980) | (13,500) | (147) | (153) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (930) | (792) | 240 | (167) | |||
Class C | — | — | (739) | 211 | |||
Class I | (19,472) | (144,018) | (632) | (2,140) | |||
Increase (decrease) in net assets from capital transactions | (20,402) | (144,810) | (1,131) | (2,096) | |||
Net increase (decrease) in net assets | (12,391) | (158,034) | (1,020) | (2,177) | |||
Net Assets | |||||||
Beginning of period | 317,000 | 475,034 | 9,208 | 11,385 | |||
End of Period | $304,609 | $317,000 | $8,188 | $9,208 |
Table of Contents
Seix Short-Term Municipal Bond Fund | Seix Total Return Bond Fund | ||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $203 | $276 | $8,868 | $16,042 | |||
Net realized gain (loss) | 221 | (57) | 19,672 | (27,237) | |||
Net change in unrealized appreciation (depreciation) | 166 | 56 | (678) | 1,866 | |||
Increase (decrease) in net assets resulting from operations | 590 | 275 | 27,862 | (9,329) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (37) | (15) | (123) | (216) | |||
Class I | (317) | (265) | (4,117) | (10,381) | |||
Class R | — | — | (229) | (475) | |||
Class R6 | — | — | (1,061) | (2,860) | |||
Return of Capital: | |||||||
Class A | — | — | (61) | — | |||
Class I | — | — | (1,635) | — | |||
Class R | — | — | (149) | — | |||
Class R6 | — | — | (375) | — | |||
Total Dividends and Distributions to Shareholders | (354) | (280) | (7,750) | (13,932) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | 106 | (355) | 13,692 | (2,204) | |||
Class I | (8,428) | (12,240) | (130,692) | (327,882) | |||
Class R | — | — | (28,882) | (3,749) | |||
Class R6 | — | — | (12,799) | (69,417) | |||
Increase (decrease) in net assets from capital transactions | (8,322) | (12,595) | (158,681) | (403,252) | |||
Net increase (decrease) in net assets | (8,086) | (12,600) | (138,569) | (426,513) | |||
Net Assets | |||||||
Beginning of period | 20,454 | 33,054 | 444,779 | 871,292 | |||
End of Period | $12,368 | $20,454 | $306,210 | $444,779 |
Table of Contents
Seix U.S. Government Securities Ultra-Short Bond Fund | Seix U.S. Mortgage Fund | ||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $28,891 | $25,161 | $472 | $467 | |||
Net realized gain (loss) | 234 | 32 | 334 | (368) | |||
Net change in unrealized appreciation (depreciation) | 927 | (2,000) | 516 | (11) | |||
Increase (decrease) in net assets resulting from operations | 30,052 | 23,193 | 1,322 | 88 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (174) | (6) | (125) | (58) | |||
Class C | — | — | (9) | (38) | |||
Class I | (28,008) | (24,392) | (339) | (371) | |||
Class R6 | (716) | (782) | — | — | |||
Return of Capital: | |||||||
Class A | — | (1) | (5) | (15) | |||
Class C | — | — | —(1) | (16) | |||
Class I | — | (1,434) | (12) | (85) | |||
Class R6 | — | (43) | — | — | |||
Total Dividends and Distributions to Shareholders | (28,898) | (26,658) | (490) | (583) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | 8,243 | 5,497 | 2,692 | 1,205 | |||
Class C | — | — | (2,813) | (471) | |||
Class I | (369,064) | (107,201) | (3,711) | (978) | |||
Class R6 | (7,433) | (10,035) | — | — | |||
Increase (decrease) in net assets from capital transactions | (368,254) | (111,739) | (3,832) | (244) | |||
Net increase (decrease) in net assets | (367,100) | (115,204) | (3,000) | (739) | |||
Net Assets | |||||||
Beginning of period | 1,270,910 | 1,386,114 | 24,516 | 25,255 | |||
End of Period | $903,810 | $1,270,910 | $21,516 | $24,516 |
(1) | Amount is less than $500. |
Table of Contents
Seix Ultra-Short Bond Fund | |||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $1,464 | $1,213 | |
Net realized gain (loss) | (6) | (111) | |
Net change in unrealized appreciation (depreciation) | 250 | (236) | |
Increase (decrease) in net assets resulting from operations | 1,708 | 866 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (42) | (7) | |
Class I | (1,420) | (1,198) | |
Total Dividends and Distributions to Shareholders | (1,462) | (1,205) | |
Change in Net Assets from Capital Transactions (See Note 6): | |||
Class A | 1,408 | 1,705 | |
Class I | (12,099) | 825 | |
Increase (decrease) in net assets from capital transactions | (10,691) | 2,530 | |
Net increase (decrease) in net assets | (10,445) | 2,191 | |
Net Assets | |||
Beginning of period | 61,739 | 59,548 | |
End of Period | $51,294 | $61,739 |
Table of Contents
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | 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) | ||
Seix Core Bond Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/19 to 12/31/19 | $10.36 | 0.22 | 0.55 | 0.77 | (0.22) | — | — | (0.22) | 0.55 | 10.91 | 7.48 % | $9,183 | 0.64 % | 0.91 % | 2.03 % | 197 % | |
1/1/18 to 12/31/18 | 10.63 | 0.22 | (0.25) | (0.03) | (0.23) | (0.01) | — | (0.24) | (0.27) | 10.36 | (0.28) | 5,993 | 0.64 | 0.89 | 2.18 | 172 | |
4/1/17 to 12/31/17(6) | 10.56 | 0.14 | 0.08 | 0.22 | (0.12) | (0.03) | — | (0.15) | 0.07 | 10.63 | 2.12 | 8,433 | 0.65 (7) | 0.79 | 1.73 | 130 | |
4/1/16 to 3/31/17 | 10.86 | 0.16 | (0.06) | 0.10 | (0.19) | — | (0.21) | (0.40) | (0.30) | 10.56 | 0.90 | 10,363 | 0.64 | 0.64 | 1.45 | 210 | |
4/1/15 to 3/31/16 | 11.04 | 0.18 | (0.07) | 0.11 | (0.20) | — | (0.09) | (0.29) | (0.18) | 10.86 | 1.01 | 10,170 | 0.65 | 0.65 | 1.65 | 232 | |
4/1/14 to 3/31/15 | 10.65 | 0.18 | 0.41 | 0.59 | (0.20) | — | — | (0.20) | 0.39 | 11.04 | 5.58 | 7,411 | 0.67 | 0.67 | 1.70 | 168 | |
Class I | |||||||||||||||||
1/1/19 to 12/31/19 | $10.36 | 0.24 | 0.54 | 0.78 | (0.23) | — | — | (0.23) | 0.55 | 10.91 | 7.63 % | $93,576 | 0.50 % | 0.64 % | 2.21 % | 197 % | |
1/1/18 to 12/31/18 | 10.63 | 0.24 | (0.26) | (0.02) | (0.24) | (0.01) | — | (0.25) | (0.27) | 10.36 | (0.14) | 136,247 | 0.50 | 0.62 | 2.31 | 172 | |
4/1/17 to 12/31/17(6) | 10.57 | 0.15 | 0.07 | 0.22 | (0.13) | (0.03) | — | (0.16) | 0.06 | 10.63 | 2.13 | 186,029 | 0.51 (7) | 0.58 | 1.87 | 130 | |
4/1/16 to 3/31/17 | 10.86 | 0.17 | (0.04) | 0.13 | (0.21) | — | (0.21) | (0.42) | (0.29) | 10.57 | 1.15 | 199,622 | 0.49 | 0.49 | 1.58 | 210 | |
4/1/15 to 3/31/16 | 11.04 | 0.20 | (0.08) | 0.12 | (0.21) | — | (0.09) | (0.30) | (0.18) | 10.86 | 1.18 | 255,522 | 0.48 | 0.48 | 1.82 | 232 | |
4/1/14 to 3/31/15 | 10.65 | 0.21 | 0.40 | 0.61 | (0.22) | — | — | (0.22) | 0.39 | 11.04 | 5.80 | 191,905 | 0.45 | 0.45 | 1.90 | 168 | |
Class R6* | |||||||||||||||||
1/1/19 to 12/31/19 | $10.36 | 0.23 | 0.57 | 0.80 | (0.25) | — | — | (0.25) | 0.55 | 10.91 | 7.78 % | $2,025 | 0.36 % | 0.50 % | 2.12 % | 197 % | |
1/1/18 to 12/31/18 | 10.63 | 0.25 | (0.26) | (0.01) | (0.25) | (0.01) | — | (0.26) | (0.27) | 10.36 | (0.02) | 114 | 0.36 | 0.48 | 2.40 | 172 | |
4/1/17 to 12/31/17(6) | 10.57 | 0.16 | 0.08 | 0.24 | (0.15) | (0.03) | — | (0.18) | 0.06 | 10.63 | 2.24 | 3,279 | 0.36 | 0.46 | 1.96 | 130 | |
4/1/16 to 3/31/17 | 10.86 | 0.19 | (0.05) | 0.14 | (0.22) | — | (0.21) | (0.43) | (0.29) | 10.57 | 1.29 | 1,352 | 0.35 | 0.35 | 1.78 | 210 | |
8/3/15 to 3/31/16(8) | 10.77 | 0.14 | 0.13 | 0.27 | (0.15) | — | (0.03) | (0.18) | 0.09 | 10.86 | 2.51 | 22 | 0.34 | 0.34 | 2.00 | 232 | |
Seix Corporate Bond Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/19 to 12/31/19 | $8.15 | 0.23 | 0.78 | 1.01 | (0.21) | — | — | (0.21) | 0.80 | 8.95 | 12.47 % | $5,599 | 0.95 % | 1.10 % | 2.69 % | 118 % | |
1/1/18 to 12/31/18 | 8.76 | 0.26 | (0.60) | (0.34) | (0.25) | — | (0.02) | (0.27) | (0.61) | 8.15 | (3.90) | 345 | 0.95 | 1.35 | 3.08 | 299 | |
4/1/17 to 12/31/17(6) | 8.69 | 0.18 | 0.21 | 0.39 | (0.16) | — | (0.16) | (0.32) | 0.07 | 8.76 | 4.53 | 363 | 0.95 | 1.34 | 2.68 | 80 | |
4/1/16 to 3/31/17 | 8.50 | 0.24 | 0.27 | 0.51 | (0.24) | — | (0.08) | (0.32) | 0.19 | 8.69 | 6.01 | 591 | 0.95 | 1.15 | 2.75 | 182 | |
4/1/15 to 3/31/16 | 8.99 | 0.23 | (0.29) | (0.06) | (0.22) | (0.01) | (0.20) | (0.43) | (0.49) | 8.50 | (0.52) | 500 | 0.95 | 1.11 | 2.68 | 84 | |
4/1/14 to 3/31/15 | 8.84 | 0.24 | 0.32 | 0.56 | (0.24) | — | (0.17) | (0.41) | 0.15 | 8.99 | 6.40 | 807 | 0.95 | 0.99 | 2.67 | 90 | |
Class C | |||||||||||||||||
1/1/19 to 12/31/19 | $8.11 | 0.16 | 0.78 | 0.94 | (0.14) | — | — | (0.14) | 0.80 | 8.91 | 11.60 % | $671 | 1.65 % | 1.84 % | 1.87 % | 118 % | |
1/1/18 to 12/31/18 | 8.72 | 0.20 | (0.60) | (0.40) | (0.19) | — | (0.02) | (0.21) | (0.61) | 8.11 | (4.61) | 5,459 | 1.65 | 2.12 | 2.37 | 299 | |
4/1/17 to 12/31/17(6) | 8.65 | 0.13 | 0.21 | 0.34 | (0.11) | — | (0.16) | (0.27) | 0.07 | 8.72 | 4.02 | 6,518 | 1.62 | 2.10 | 2.02 | 80 | |
4/1/16 to 3/31/17 | 8.46 | 0.18��� | 0.27 | 0.45 | (0.18) | — | (0.08) | (0.26) | 0.19 | 8.65 | 5.29 | 7,369 | 1.65 | 1.82 | 2.03 | 182 | |
4/1/15 to 3/31/16 | 8.95 | 0.17 | (0.29) | (0.12) | (0.16) | (0.01) | (0.20) | (0.37) | (0.49) | 8.46 | (1.22) | 8,105 | 1.65 | 1.80 | 2.01 | 84 | |
4/1/14 to 3/31/15 | 8.80 | 0.18 | 0.32 | 0.50 | (0.18) | — | (0.17) | (0.35) | 0.15 | 8.95 | 5.69 | 9,289 | 1.64 | 1.67 | 1.97 | 90 | |
Class I | |||||||||||||||||
1/1/19 to 12/31/19 | $8.11 | 0.25 | 0.77 | 1.02 | (0.23) | — | — | (0.23) | 0.79 | 8.90 | 12.66 % | $32,896 | 0.70 % | 0.86 % | 2.90 % | 118 % | |
1/1/18 to 12/31/18 | 8.73 | 0.27 | (0.60) | (0.33) | (0.27) | — | (0.02) | (0.29) | (0.62) | 8.11 | (3.81) | 35,244 | 0.70 | 1.03 | 3.33 | 299 | |
4/1/17 to 12/31/17(6) | 8.65 | 0.19 | 0.23 | 0.42 | (0.18) | — | (0.16) | (0.34) | 0.08 | 8.73 | 4.86 | 8,382 | 0.70 | 1.18 | 2.93 | 80 | |
4/1/16 to 3/31/17 | 8.46 | 0.26 | 0.27 | 0.53 | (0.26) | — | (0.08) | (0.34) | 0.19 | 8.65 | 6.29 | 12,651 | 0.70 | 0.93 | 2.99 | 182 | |
4/1/15 to 3/31/16 | 8.95 | 0.25 | (0.29) | (0.04) | (0.24) | (0.01) | (0.20) | (0.45) | (0.49) | 8.46 | (0.29) | 8,943 | 0.70 | 0.83 | 2.86 | 84 | |
4/1/14 to 3/31/15 | 8.80 | 0.26 | 0.32 | 0.58 | (0.26) | — | (0.17) | (0.43) | 0.15 | 8.95 | 6.73 | 24,172 | 0.66 | 0.69 | 2.95 | 90 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | 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) | ||
Seix Floating Rate High Income Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/19 to 12/31/19 | $8.30 | 0.41 | 0.11 | 0.52 | (0.42) | — | — | (0.42) | 0.10 | 8.40 | 6.30 % | $47,938 | 0.95 % (9)(10) | 0.93 % | 4.79 % | 17 % | |
1/1/18 to 12/31/18 | 8.70 | 0.40 | (0.40) | — | (0.40) | — | — | (0.40) | (0.40) | 8.30 | (0.11) | 68,213 | 0.94 | 0.95 | 4.58 | 75 | |
4/1/17 to 12/31/17(6) | 8.75 | 0.26 | (0.05) | 0.21 | (0.26) | — | — | (0.26) | (0.05) | 8.70 | 2.47 | 113,611 | 0.92 | 0.93 | 4.00 | 55 | |
4/1/16 to 3/31/17 | 8.33 | 0.39 | 0.41 | 0.80 | (0.38) | — | — | (0.38) | 0.42 | 8.75 | 9.78 | 135,833 | 0.94 | 0.94 | 4.51 | 79 | |
4/1/15 to 3/31/16 | 8.86 | 0.38 | (0.54) | (0.16) | (0.37) | — | — | (0.37) | (0.53) | 8.33 | (1.79) | 143,325 | 0.92 | 0.92 | 4.42 | 33 | |
4/1/14 to 3/31/15 | 9.06 | 0.36 | (0.19) | 0.17 | (0.37) | — | — | (0.37) | (0.20) | 8.86 | 1.88 | 147,560 | 0.91 | 0.91 | 4.06 | 29 | |
Class C | |||||||||||||||||
1/1/19 to 12/31/19 | $8.30 | 0.36 | 0.11 | 0.47 | (0.37) | — | — | (0.37) | 0.10 | 8.40 | 5.68 % | $37,586 | 1.53 % (10) | 1.65 % | 4.21 % | 17 % | |
1/1/18 to 12/31/18 | 8.70 | 0.35 | (0.40) | (0.05) | (0.35) | — | — | (0.35) | (0.40) | 8.30 | (0.68) | 45,588 | 1.52 | 1.62 | 4.01 | 75 | |
4/1/17 to 12/31/17(6) | 8.76 | 0.22 | (0.06) | 0.16 | (0.22) | — | — | (0.22) | (0.06) | 8.70 | 1.89 | 51,551 | 1.52 | 1.60 | 3.40 | 55 | |
4/1/16 to 3/31/17 | 8.33 | 0.34 | 0.42 | 0.76 | (0.33) | — | — | (0.33) | 0.43 | 8.76 | 9.28 | 56,981 | 1.52 | 1.52 | 3.94 | 79 | |
4/1/15 to 3/31/16 | 8.86 | 0.33 | (0.54) | (0.21) | (0.32) | — | — | (0.32) | (0.53) | 8.33 | (2.37) | 55,203 | 1.51 | 1.51 | 3.82 | 33 | |
4/1/14 to 3/31/15 | 9.07 | 0.31 | (0.21) | 0.10 | (0.31) | — | — | (0.31) | (0.21) | 8.86 | 1.16 | 64,445 | 1.50 | 1.50 | 3.46 | 29 | |
Class I | |||||||||||||||||
1/1/19 to 12/31/19 | $8.30 | 0.43 | 0.11 | 0.54 | (0.44) | — | — | (0.44) | 0.10 | 8.40 | 6.63 % | $2,701,126 | 0.63 % (10) | 0.72 % | 5.13 % | 17 % | |
1/1/18 to 12/31/18 | 8.70 | 0.43 | (0.40) | 0.03 | (0.43) | — | — | (0.43) | (0.40) | 8.30 | 0.22 | 4,380,792 | 0.62 | 0.70 | 4.92 | 75 | |
4/1/17 to 12/31/17(6) | 8.75 | 0.28 | (0.05) | 0.23 | (0.28) | — | — | (0.28) | (0.05) | 8.70 | 2.70 | 4,546,547 | 0.62 | 0.69 | 4.29 | 55 | |
4/1/16 to 3/31/17 | 8.33 | 0.41 | 0.42 | 0.83 | (0.41) | — | — | (0.41) | 0.42 | 8.75 | 10.13 | 4,459,175 | 0.63 | 0.63 | 4.80 | 79 | |
4/1/15 to 3/31/16 | 8.86 | 0.40 | (0.53) | (0.13) | (0.40) | — | — | (0.40) | (0.53) | 8.33 | (1.50) | 3,040,875 | 0.62 | 0.62 | 4.69 | 33 | |
4/1/14 to 3/31/15 | 9.06 | 0.39 | (0.20) | 0.19 | (0.39) | — | — | (0.39) | (0.20) | 8.86 | 2.17 | 6,048,771 | 0.61 | 0.61 | 4.34 | 29 | |
Class R6* | |||||||||||||||||
1/1/19 to 12/31/19 | $8.30 | 0.44 | 0.11 | 0.55 | (0.45) | — | — | (0.45) | 0.10 | 8.40 | 6.74 % | $552,427 | 0.53 % (10) | 0.61 % | 5.21 % | 17 % | |
1/1/18 to 12/31/18 | 8.71 | 0.43 | (0.40) | 0.03 | (0.44) | — | — | (0.44) | (0.41) | 8.30 | 0.20 | 805,046 | 0.52 | 0.58 | 5.00 | 75 | |
4/1/17 to 12/31/17(6) | 8.76 | 0.29 | (0.05) | 0.24 | (0.29) | — | — | (0.29) | (0.05) | 8.71 | 2.78 | 1,277,730 | 0.52 | 0.59 | 4.39 | 55 | |
4/1/16 to 3/31/17 | 8.33 | 0.43 | 0.42 | 0.85 | (0.42) | — | — | (0.42) | 0.43 | 8.76 | 10.37 | 1,307,701 | 0.52 | 0.52 | 4.94 | 79 | |
4/1/15 to 3/31/16 | 8.86 | 0.41 | (0.53) | (0.12) | (0.41) | — | — | (0.41) | (0.53) | 8.33 | (1.39) | 1,127,337 | 0.51 | 0.51 | 4.83 | 33 | |
2/1/15 to 3/31/15(11) | 8.74 | 0.07 | 0.12 | 0.19 | (0.07) | — | — | (0.07) | 0.12 | 8.86 | 2.15 | 12,629 | 0.47 | 0.47 | 5.08 | 29 | |
Seix High Grade Municipal Bond Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/19 to 12/31/19 | $11.62 | 0.21 | 0.67 | 0.88 | (0.21) | — | (0.24) | (0.45) | 0.43 | 12.05 | 7.67 % | $6,893 | 0.75 % | 0.98 % | 1.78 % | 233 % | |
1/1/18 to 12/31/18 | 11.94 | 0.31 | (0.26) | 0.05 | (0.31) | — | (0.06) | (0.37) | (0.32) | 11.62 | 0.44 | 6,767 | 0.80 (7) | 0.95 | 2.63 | 130 | |
4/1/17 to 12/31/17(6) | 11.69 | 0.21 | 0.27 | 0.48 | (0.22) | — | (0.01) | (0.23) | 0.25 | 11.94 | 4.12 | 8,175 | 0.80 | 0.91 | 2.39 | 173 | |
4/1/16 to 3/31/17 | 12.36 | 0.24 | (0.22) | 0.02 | (0.24) | — | (0.45) | (0.69) | (0.67) | 11.69 | 0.27 | 12,276 | 0.80 | 0.80 | 1.99 | 218 | |
4/1/15 to 3/31/16 | 12.29 | 0.25 | 0.19 | 0.44 | (0.25) | — | (0.12) | (0.37) | 0.07 | 12.36 | 3.70 | 13,996 | 0.79 | 0.79 | 2.07 | 171 | |
4/1/14 to 3/31/15 | 11.86 | 0.29 | 0.59 | 0.88 | (0.29) | — | (0.16) | (0.45) | 0.43 | 12.29 | 7.48 | 16,499 | 0.80 | 0.80 | 2.38 | 228 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | 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) | ||
Seix High Grade Municipal Bond Fund (Continued) | |||||||||||||||||
Class I | |||||||||||||||||
1/1/19 to 12/31/19 | $11.62 | 0.23 | 0.67 | 0.90 | (0.23) | — | (0.24) | (0.47) | 0.43 | 12.05 | 7.83 % | $53,306 | 0.60 % | 0.89 % | 1.91 % | 233 % | |
1/1/18 to 12/31/18 | 11.93 | 0.32 | (0.25) | 0.07 | (0.32) | — | (0.06) | (0.38) | (0.31) | 11.62 | 0.67 | 41,769 | 0.65 (7) | 0.85 | 2.77 | 130 | |
4/1/17 to 12/31/17(6) | 11.68 | 0.23 | 0.26 | 0.49 | (0.23) | — | (0.01) | (0.24) | 0.25 | 11.93 | 4.24 | 75,684 | 0.65 | 0.82 | 2.55 | 173 | |
4/1/16 to 3/31/17 | 12.36 | 0.26 | (0.23) | 0.03 | (0.26) | — | (0.45) | (0.71) | (0.68) | 11.68 | 0.33 | 78,729 | 0.65 | 0.71 | 2.12 | 218 | |
4/1/15 to 3/31/16 | 12.29 | 0.27 | 0.19 | 0.46 | (0.27) | — | (0.12) | (0.39) | 0.07 | 12.36 | 3.85 | 99,803 | 0.65 | 0.69 | 2.21 | 171 | |
4/1/14 to 3/31/15 | 11.86 | 0.31 | 0.59 | 0.90 | (0.31) | — | (0.16) | (0.47) | 0.43 | 12.29 | 7.64 | 95,761 | 0.65 | 0.69 | 2.53 | 228 | |
Seix High Income Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/19 to 12/31/19 | $5.96 | 0.32 | 0.37 | 0.69 | (0.32) | — | — | (0.32) | 0.37 | 6.33 | 11.67 % | $25,338 | 0.98 % (7) | 1.13 % | 5.03 % | 113 % | |
1/1/18 to 12/31/18 | 6.53 | 0.36 | (0.57) | (0.21) | (0.36) | — | — | (0.36) | (0.57) | 5.96 | (3.42) | 14,327 | 1.03 | 1.11 | 5.56 | 77 | |
4/1/17 to 12/31/17(6) | 6.46 | 0.28 | 0.07 | 0.35 | (0.28) | — (12) | — | (0.28) | 0.07 | 6.53 | 5.52 | 29,592 | 1.02 | 1.10 | 5.69 | 45 | |
4/1/16 to 3/31/17 | 5.92 | 0.38 | 0.53 | 0.91 | (0.37) | — | — | (0.37) | 0.54 | 6.46 | 15.69 | 63,104 | 1.04 | 1.04 | 5.92 | 95 | |
4/1/15 to 3/31/16 | 6.68 | 0.38 | (0.75) | (0.37) | (0.39) | — | — | (0.39) | (0.76) | 5.92 | (5.68) | 43,433 | 1.03 | 1.03 | 6.08 | 77 | |
4/1/14 to 3/31/15 | 7.27 | 0.38 | (0.38) | — | (0.38) | — | (0.21) | (0.59) | (0.59) | 6.68 | 0.26 | 65,121 | 0.99 | 0.99 | 5.34 | 86 | |
Class I | |||||||||||||||||
1/1/19 to 12/31/19 | $5.95 | 0.33 | 0.38 | 0.71 | (0.33) | — | — | (0.33) | 0.38 | 6.33 | 12.12 % | $234,101 | 0.74 % (7) | 0.90 % | 5.29 % | 113 % | |
1/1/18 to 12/31/18 | 6.52 | 0.37 | (0.57) | (0.20) | (0.37) | — | — | (0.37) | (0.57) | 5.95 | (3.20) | 264,435 | 0.80 | 0.88 | 5.87 | 77 | |
4/1/17 to 12/31/17(6) | 6.46 | 0.29 | 0.06 | 0.35 | (0.29) | — (12) | — | (0.29) | 0.06 | 6.52 | 5.53 | 390,665 | 0.81 (7) | 0.87 | 5.93 | 45 | |
4/1/16 to 3/31/17 | 5.92 | 0.39 | 0.54 | 0.93 | (0.39) | — | — | (0.39) | 0.54 | 6.46 | 15.95 | 456,928 | 0.80 | 0.81 | 6.15 | 95 | |
4/1/15 to 3/31/16 | 6.67 | 0.40 | (0.75) | (0.35) | (0.40) | — | — | (0.40) | (0.75) | 5.92 | (5.31) | 546,793 | 0.79 | 0.79 | 6.34 | 77 | |
4/1/14 to 3/31/15 | 7.26 | 0.40 | (0.38) | 0.02 | (0.40) | — | (0.21) | (0.61) | (0.59) | 6.67 | 0.47 | 753,851 | 0.77 | 0.77 | 5.63 | 86 | |
Class R6* | |||||||||||||||||
1/1/19 to 12/31/19 | $5.95 | 0.33 | 0.38 | 0.71 | (0.34) | — | — | (0.34) | 0.37 | 6.32 | 12.08 % | $36,912 | 0.61 % (7) | 0.76 % | 5.30 % | 113 % | |
1/1/18 to 12/31/18 | 6.52 | 0.38 | (0.57) | (0.19) | (0.38) | — | — | (0.38) | (0.57) | 5.95 | (3.05) | 4,927 | 0.64 | 0.75 | 6.03 | 77 | |
4/1/17 to 12/31/17(6) | 6.45 | 0.30 | 0.07 | 0.37 | (0.30) | — (12) | — | (0.30) | 0.07 | 6.52 | 5.82 | 5,898 | 0.64 | 0.73 | 6.09 | 45 | |
4/1/16 to 3/31/17 | 5.92 | 0.40 | 0.53 | 0.93 | (0.40) | — | — | (0.40) | 0.53 | 6.45 | 15.96 | 4,125 | 0.64 | 0.64 | 6.26 | 95 | |
4/1/15 to 3/31/16 | 6.68 | 0.40 | (0.75) | (0.35) | (0.41) | — | — | (0.41) | (0.76) | 5.92 | (5.30) | 1,117 | 0.63 | 0.63 | 6.27 | 77 | |
8/1/14 to 3/31/15(13) | 7.22 | 0.28 | (0.33) | (0.05) | (0.28) | — | (0.21) | (0.49) | (0.54) | 6.68 | (0.51) | 3,455 | 0.63 | 0.63 | 5.99 | 86 | |
Seix High Yield Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/19 to 12/31/19 | $7.62 | 0.38 | 0.57 | 0.95 | (0.38) | — | — | (0.38) | 0.57 | 8.19 | 12.64 % | $4,623 | 0.82 % | 1.04 % | 4.70 % | 98 % | |
1/1/18 to 12/31/18 | 8.21 | 0.43 | (0.59) | (0.16) | (0.43) | — | — | (0.43) | (0.59) | 7.62 | (2.07) | 2,910 | 0.82 | 1.02 | 5.32 | 59 | |
4/1/17 to 12/31/17(6) | 8.16 | 0.34 | 0.03 | 0.37 | (0.30) | (0.02) | — | (0.32) | 0.05 | 8.21 | 4.63 | 4,810 | 0.83 (7) | 0.97 | 5.43 | 41 | |
4/1/16 to 3/31/17 | 7.61 | 0.44 | 0.55 | 0.99 | (0.44) | — | — | (0.44) | 0.55 | 8.16 | 13.20 | 6,214 | 0.82 | 0.82 | 5.51 | 87 | |
4/1/15 to 3/31/16 | 8.51 | 0.44 | (0.89) | (0.45) | (0.45) | — | — | (0.45) | (0.90) | 7.61 | (5.36) | 7,463 | 0.84 | 0.84 | 5.48 | 76 | |
4/1/14 to 3/31/15 | 9.72 | 0.51 | (0.43) | 0.08 | (0.50) | — | (0.79) | (1.29) | (1.21) | 8.51 | 1.24 | 8,110 | 0.87 | 0.87 | 5.31 | 72 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | 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) | ||
Seix High Yield Fund (Continued) | |||||||||||||||||
Class I | |||||||||||||||||
1/1/19 to 12/31/19 | $7.82 | 0.41 | 0.58 | 0.99 | (0.40) | — | — | (0.40) | 0.59 | 8.41 | 12.91 % | $292,284 | 0.64 % | 0.77 % | 4.93 % | 98 % | |
1/1/18 to 12/31/18 | 8.41 | 0.45 | (0.58) | (0.13) | (0.46) | — | — | (0.46) | (0.59) | 7.82 | (1.70) | 286,931 | 0.64 | 0.76 | 5.53 | 59 | |
4/1/17 to 12/31/17(6) | 8.37 | 0.34 | 0.04 | 0.38 | (0.32) | (0.02) | — | (0.34) | 0.04 | 8.41 | 4.64 | 403,198 | 0.65 (7) | 0.73 | 5.38 | 41 | |
4/1/16 to 3/31/17 | 7.80 | 0.46 | 0.57 | 1.03 | (0.46) | — | — | (0.46) | 0.57 | 8.37 | 13.48 | 483,080 | 0.64 | 0.64 | 5.65 | 87 | |
4/1/15 to 3/31/16 | 8.73 | 0.47 | (0.92) | (0.45) | (0.48) | — | — | (0.48) | (0.93) | 7.80 | (5.23) | 523,206 | 0.61 | 0.61 | 5.71 | 76 | |
4/1/14 to 3/31/15 | 9.95 | 0.54 | (0.43) | 0.11 | (0.54) | — | (0.79) | (1.33) | (1.22) | 8.73 | 1.53 | 695,060 | 0.58 | 0.58 | 5.63 | 72 | |
Class R6* | |||||||||||||||||
1/1/19 to 12/31/19 | $7.82 | 0.40 | 0.60 | 1.00 | (0.41) | — | — | (0.41) | 0.59 | 8.41 | 13.03 % | $5,645 | 0.53 % | 0.67 % | 4.89 % | 98 % | |
1/1/18 to 12/31/18 | 8.42 | 0.44 | (0.58) | (0.14) | (0.46) | — | — | (0.46) | (0.60) | 7.82 | (1.74) | 1,009 | 0.53 | 0.64 | 5.31 | 59 | |
4/1/17 to 12/31/17(6) | 8.37 | 0.35 | 0.05 | 0.40 | (0.33) | (0.02) | — | (0.35) | 0.05 | 8.42 | 4.85 | 45,035 | 0.54 (7) | 0.62 | 5.50 | 41 | |
8/1/16 to 3/31/17(14) | 8.17 | 0.33 | 0.18 | 0.51 | (0.31) | — | — | (0.31) | 0.20 | 8.37 | 6.34 | 42,695 | 0.54 | 0.54 | 5.86 | 87 | |
Seix Investment Grade Tax-Exempt Bond Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/19 to 12/31/19 | $11.45 | 0.19 | 0.55 | 0.74 | (0.19) | — | (0.28) | (0.47) | 0.27 | 11.72 | 6.54 % | $9,329 | 0.75 % (7) | 1.00 % | 1.65 % | 203 % | |
1/1/18 to 12/31/18 | 11.75 | 0.28 | (0.23) | 0.05 | (0.28) | — | (0.07) | (0.35) | (0.30) | 11.45 | 0.45 | 9,999 | 0.80 (7) | 1.00 | 2.47 | 105 | |
4/1/17 to 12/31/17(6) | 11.65 | 0.22 | 0.10 | 0.32 | (0.22) | — | — | (0.22) | 0.10 | 11.75 | 2.76 | 11,066 | 0.80 | 0.96 | 2.46 | 130 | |
4/1/16 to 3/31/17 | 12.24 | 0.26 | (0.32) | (0.06) | (0.26) | — | (0.27) | (0.53) | (0.59) | 11.65 | (0.48) | 20,281 | 0.80 | 0.92 | 2.16 | 138 | |
4/1/15 to 3/31/16 | 12.30 | 0.26 | 0.08 | 0.34 | (0.26) | — | (0.14) | (0.40) | (0.06) | 12.24 | 2.89 | 24,861 | 0.80 | 0.93 | 2.17 | 139 | |
4/1/14 to 3/31/15 | 12.14 | 0.29 | 0.32 | 0.61 | (0.29) | — | (0.16) | (0.45) | 0.16 | 12.30 | 5.09 | 29,439 | 0.80 | 0.91 | 2.37 | 144 | |
Class I | |||||||||||||||||
1/1/19 to 12/31/19 | $11.43 | 0.21 | 0.55 | 0.76 | (0.21) | — | (0.28) | (0.49) | 0.27 | 11.70 | 6.71 % | $295,280 | 0.60 % (7) | 0.81 % | 1.80 % | 203 % | |
1/1/18 to 12/31/18 | 11.73 | 0.30 | (0.23) | 0.07 | (0.30) | — | (0.07) | (0.37) | (0.30) | 11.43 | 0.60 | 307,001 | 0.65 (7) | 0.80 | 2.61 | 105 | |
4/1/17 to 12/31/17(6) | 11.64 | 0.23 | 0.09 | 0.32 | (0.23) | — | — | (0.23) | 0.09 | 11.73 | 2.79 | 463,968 | 0.65 | 0.76 | 2.62 | 130 | |
4/1/16 to 3/31/17 | 12.22 | 0.28 | (0.31) | (0.03) | (0.28) | — | (0.27) | (0.55) | (0.58) | 11.64 | (0.24) | 519,784 | 0.65 | 0.70 | 2.30 | 138 | |
4/1/15 to 3/31/16 | 12.29 | 0.28 | 0.07 | 0.35 | (0.28) | — | (0.14) | (0.42) | (0.07) | 12.22 | 2.96 | 629,435 | 0.65 | 0.68 | 2.32 | 139 | |
4/1/14 to 3/31/15 | 12.13 | 0.31 | 0.32 | 0.63 | (0.31) | — | (0.16) | (0.47) | 0.16 | 12.29 | 5.25 | 657,851 | 0.65 | 0.68 | 2.53 | 144 | |
Seix Short-Term Bond Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/19 to 12/31/19 | $9.83 | 0.17 | 0.13 | 0.30 | (0.17) | — | — | (0.17) | 0.13 | 9.96 | 3.08 % | $2,300 | 0.80 % | 1.81 % | 1.73 % | 77 % | |
1/1/18 to 12/31/18 | 9.90 | 0.14 | (0.06) | 0.08 | (0.14) | (0.01) | — | (0.15) | (0.07) | 9.83 | 0.81 | 2,028 | 0.80 | 1.68 | 1.43 | 93 | |
4/1/17 to 12/31/17(6) | 9.95 | 0.07 | (0.04) | 0.03 | (0.07) | (0.01) | — | (0.08) | (0.05) | 9.90 | 0.27 | 2,210 | 0.80 | 1.26 | 0.89 | 145 | |
4/1/16 to 3/31/17 | 10.01 | 0.06 | (0.06) | — | (0.06) | — | — | (0.06) | (0.06) | 9.95 | 0.03 | 2,308 | 0.80 | 0.80 | 0.58 | 129 | |
4/1/15 to 3/31/16 | 10.00 | 0.04 | 0.02 | 0.06 | (0.05) | — | — | (0.05) | 0.01 | 10.01 | 0.58 | 2,104 | 0.80 | 0.81 | 0.38 | 87 | |
4/1/14 to 3/31/15 | 9.98 | 0.04 | 0.02 | 0.06 | (0.04) | — | — | (0.04) | 0.02 | 10.00 | 0.63 | 2,316 | 0.80 | 0.81 | 0.37 | 199 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | 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) | ||
Seix Short-Term Bond Fund (Continued) | |||||||||||||||||
Class C | |||||||||||||||||
1/1/19 to 12/31/19 | $9.83 | 0.09 | 0.13 | 0.22 | (0.09) | — | — | (0.09) | 0.13 | 9.96 | 2.29 % | $733 | 1.57 % | 2.58 % | 0.95 % | 77 % | |
1/1/18 to 12/31/18 | 9.89 | 0.07 | (0.06) | 0.01 | (0.06) | (0.01) | — | (0.07) | (0.06) | 9.83 | 0.14 | 1,461 | 1.57 | 2.48 | 0.66 | 93 | |
4/1/17 to 12/31/17(6) | 9.94 | 0.02 | (0.05) | (0.03) | (0.01) | (0.01) | — | (0.02) | (0.05) | 9.89 | (0.26) | 1,257 | 1.48 | 2.04 | 0.21 | 145 | |
4/1/16 to 3/31/17 | 10.00 | — (12) | (0.06) | (0.06) | — | — | — | — | (0.06) | 9.94 | (0.57) | 1,310 | 1.40 | 1.57 | (0.03) | 129 | |
4/1/15 to 3/31/16 | 10.00 | (0.01) | 0.01 | — | — (12) | — | — | — (12) | — | 10.00 | — | 1,742 | 1.29 | 1.58 | (0.10) | 87 | |
4/1/14 to 3/31/15 | 9.97 | (0.01) | 0.04 | 0.03 | — (12) | — | — | — (12) | 0.03 | 10.00 | 0.31 | 1,730 | 1.22 | 1.58 | (0.06) | 199 | |
Class I | |||||||||||||||||
1/1/19 to 12/31/19 | $9.80 | 0.19 | 0.13 | 0.32 | (0.19) | — | — | (0.19) | 0.13 | 9.93 | 3.29 % | $5,155 | 0.60 % | 1.61 % | 1.93 % | 77 % | |
1/1/18 to 12/31/18 | 9.86 | 0.16 | (0.05) | 0.11 | (0.16) | (0.01) | — | (0.17) | (0.06) | 9.80 | 1.11 | 5,719 | 0.60 | 1.43 | 1.62 | 93 | |
4/1/17 to 12/31/17(6) | 9.92 | 0.08 | (0.05) | 0.03 | (0.08) | (0.01) | — | (0.09) | (0.06) | 9.86 | 0.31 | 7,918 | 0.60 | 0.91 | 1.05 | 145 | |
4/1/16 to 3/31/17 | 9.98 | 0.08 | (0.06) | 0.02 | (0.08) | — | — | (0.08) | (0.06) | 9.92 | 0.23 | 52,024 | 0.60 | 0.69 | 0.77 | 129 | |
4/1/15 to 3/31/16 | 9.98 | 0.06 | 0.01 | 0.07 | (0.07) | — | — | (0.07) | — | 9.98 | 0.68 | 49,749 | 0.60 | 0.68 | 0.58 | 87 | |
4/1/14 to 3/31/15 | 9.95 | 0.05 | 0.04 | 0.09 | (0.06) | — | — | (0.06) | 0.03 | 9.98 | 0.93 | 50,689 | 0.60 | 0.67 | 0.52 | 199 | |
Seix Short-Term Municipal Bond Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/19 to 12/31/19 | $9.92 | 0.12 | 0.23 | 0.35 | (0.12) | — | (0.12) | (0.24) | 0.11 | 10.03 | 3.54 % | $1,535 | 0.65 % | 1.17 % | 1.15 % | 77 % | |
1/1/18 to 12/31/18 | 9.91 | 0.09 | 0.02 | 0.11 | (0.10) | — | — (12) | (0.10) | 0.01 | 9.92 | 1.10 | 1,411 | 0.65 | 1.05 | 0.96 | 50 | |
4/1/17 to 12/31/17(6) | 9.93 | 0.05 | (0.01) | 0.04 | (0.05) | — | (0.01) | (0.06) | (0.02) | 9.91 | 0.39 | 1,765 | 0.65 | 0.95 | 0.70 | 56 | |
4/1/16 to 3/31/17 | 9.98 | 0.05 | (0.03) | 0.02 | (0.06) | — | (0.01) | (0.07) | (0.05) | 9.93 | 0.26 | 1,810 | 0.65 | 0.74 | 0.54 | 59 | |
4/1/15 to 3/31/16 | 10.00 | 0.02 | — (12) | 0.02 | (0.02) | — | (0.02) | (0.04) | (0.02) | 9.98 | 0.23 | 7,354 | 0.67 | 0.72 | 0.24 | 82 | |
4/1/14 to 3/31/15 | 9.99 | 0.03 | 0.08 | 0.11 | (0.03) | — | (0.07) | (0.10) | 0.01 | 10.00 | 1.06 | 3,863 | 0.70 | 0.75 | 0.26 | 148 | |
Class I | |||||||||||||||||
1/1/19 to 12/31/19 | $9.93 | 0.13 | 0.23 | 0.36 | (0.13) | — | (0.12) | (0.25) | 0.11 | 10.04 | 3.71 % | $10,833 | 0.48 % | 1.05 % | 1.34 % | 77 % | |
1/1/18 to 12/31/18 | 9.91 | 0.11 | 0.02 | 0.13 | (0.11) | — | — (12) | (0.11) | 0.02 | 9.93 | 1.37 | 19,043 | 0.48 | 0.89 | 1.12 | 50 | |
4/1/17 to 12/31/17(6) | 9.93 | 0.07 | (0.01) | 0.06 | (0.07) | — | (0.01) | (0.08) | (0.02) | 9.91 | 0.52 | 31,289 | 0.48 | 0.81 | 0.87 | 56 | |
4/1/16 to 3/31/17 | 9.98 | 0.08 | (0.04) | 0.04 | (0.08) | — | (0.01) | (0.09) | (0.05) | 9.93 | 0.40 | 26,710 | 0.48 | 0.66 | 0.75 | 59 | |
4/1/15 to 3/31/16 | 10.00 | 0.04 | — (12) | 0.04 | (0.04) | — | (0.02) | (0.06) | (0.02) | 9.98 | 0.41 | 32,184 | 0.51 | 0.62 | 0.41 | 82 | |
4/1/14 to 3/31/15 | 9.99 | 0.04 | 0.08 | 0.12 | (0.04) | — | (0.07) | (0.11) | 0.01 | 10.00 | 1.21 | 38,669 | 0.55 | 0.62 | 0.42 | 148 | |
Seix Total Return Bond Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/19 to 12/31/19 | $10.52 | 0.22 | 0.48 | 0.70 | (0.13) | (0.06) | — | (0.19) | 0.51 | 11.03 | 6.69 % | $24,861 | 0.70 % | 0.94 % | 2.04 % | 190 % | |
1/1/18 to 12/31/18 | 10.77 | 0.23 | (0.28) | (0.05) | (0.20) | — | — | (0.20) | (0.25) | 10.52 | (0.48) | 10,717 | 0.70 | 0.85 | 2.18 | 169 | |
4/1/17 to 12/31/17(6) | 10.77 | 0.15 | — | 0.15 | (0.09) | (0.06) | — | (0.15) | — | 10.77 | 1.37 | 13,227 | 0.71 (7) | 0.84 | 1.86 | 150 | |
4/1/16 to 3/31/17 | 11.02 | 0.20 | (0.06) | 0.14 | (0.22) | — | (0.17) | (0.39) | (0.25) | 10.77 | 1.22 | 27,284 | 0.70 | 0.70 | 1.85 | 210 | |
4/1/15 to 3/31/16 | 11.11 | 0.17 | (0.06) | 0.11 | (0.19) | — | (0.01) | (0.20) | (0.09) | 11.02 | 1.02 | 32,366 | 0.71 | 0.71 | 1.55 | 181 | |
4/1/14 to 3/31/15 | 10.77 | 0.21 | 0.35 | 0.56 | (0.22) | — | — | (0.22) | 0.34 | 11.11 | 5.28 | 43,401 | 0.71 | 0.71 | 1.90 | 173 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | 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) | ||
Seix Total Return Bond Fund (Continued) | |||||||||||||||||
Class I | |||||||||||||||||
1/1/19 to 12/31/19 | $10.17 | 0.24 | 0.48 | 0.72 | (0.15) | (0.06) | — | (0.21) | 0.51 | 10.68 | 7.12 % | $220,036 | 0.46 % | 0.59 % | 2.32 % | 190 % | |
1/1/18 to 12/31/18 | 10.42 | 0.24 | (0.28) | (0.04) | (0.21) | — | — | (0.21) | (0.25) | 10.17 | (0.32) | 335,999 | 0.46 | 0.55 | 2.39 | 169 | |
4/1/17 to 12/31/17(6) | 10.42 | 0.17 | (0.01) | 0.16 | (0.10) | (0.06) | — | (0.16) | — | 10.42 | 1.56 | 681,009 | 0.46 | 0.53 | 2.15 | 150 | |
4/1/16 to 3/31/17 | 10.67 | 0.22 | (0.07) | 0.15 | (0.23) | — | (0.17) | (0.40) | (0.25) | 10.42 | 1.44 | 790,997 | 0.46 | 0.46 | 2.10 | 210 | |
4/1/15 to 3/31/16 | 10.75 | 0.19 | (0.05) | 0.14 | (0.21) | — | (0.01) | (0.22) | (0.08) | 10.67 | 1.35 | 971,159 | 0.45 | 0.45 | 1.82 | 181 | |
4/1/14 to 3/31/15 | 10.43 | 0.23 | 0.34 | 0.57 | (0.25) | — | — | (0.25) | 0.32 | 10.75 | 5.47 | 972,117 | 0.44 | 0.44 | 2.17 | 173 | |
Class R6* | |||||||||||||||||
1/1/19 to 12/31/19 | $10.17 | 0.26 | 0.46 | 0.72 | (0.16) | (0.06) | — | (0.22) | 0.50 | 10.67 | 7.18 % | $61,313 | 0.31 % | 0.45 % | 2.51 % | 190 % | |
1/1/18 to 12/31/18 | 10.42 | 0.26 | (0.28) | (0.02) | (0.23) | — | — | (0.23) | (0.25) | 10.17 | (0.17) | 70,626 | 0.31 | 0.44 | 2.55 | 169 | |
4/1/17 to 12/31/17(6) | 10.42 | 0.19 | (0.02) | 0.17 | (0.11) | (0.06) | — | (0.17) | — | 10.42 | 1.68 | 145,096 | 0.31 | 0.40 | 2.38 | 150 | |
4/1/16 to 3/31/17 | 10.67 | 0.25 | (0.08) | 0.17 | (0.25) | — | (0.17) | (0.42) | (0.25) | 10.42 | 1.58 | 101,022 | 0.31 | 0.31 | 2.40 | 210 | |
4/1/15 to 3/31/16 | 10.75 | 0.21 | (0.06) | 0.15 | (0.22) | — | (0.01) | (0.23) | (0.08) | 10.67 | 1.49 | 56,133 | 0.31 | 0.31 | 1.95 | 181 | |
8/1/14 to 3/31/15(13) | 10.56 | 0.16 | 0.20 | 0.36 | (0.17) | — | — | (0.17) | 0.19 | 10.75 | 3.39 | 71,520 | 0.31 | 0.31 | 2.20 | 173 | |
Seix U.S. Government Securities Ultra-Short Bond Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/19 to 12/31/19 | $9.99 | 0.19 | 0.02 | 0.21 | (0.20) | — | — | (0.20) | 0.01 | 10.00 | 2.11 % | $13,741 | 0.65 % (15) | 0.65 % | 1.91 % | 63 % | |
7/24/18 to 12/31/18(16) | 10.00 | 0.09 | (0.01) | 0.08 | (0.08) | (0.01) | — | (0.09) | (0.01) | 9.99 | 0.79 | 5,497 | 0.63 (15) | 0.63 | 2.10 | 28 (17) | |
Class I | |||||||||||||||||
1/1/19 to 12/31/19 | $9.99 | 0.23 | — | 0.23 | (0.22) | — | — | (0.22) | 0.01 | 10.00 | 2.36 % | $864,548 | 0.41 % | 0.50 % | 2.27 % | 63 % | |
1/1/18 to 12/31/18 | 10.01 | 0.19 | (0.01) | 0.18 | (0.19) | (0.01) | — | (0.20) | (0.02) | 9.99 | 1.83 | 1,232,473 | 0.41 | 0.50 | 1.89 | 28 | |
4/1/17 to 12/31/17(6) | 10.03 | 0.09 | (0.01) | 0.08 | (0.09) | (0.01) | — | (0.10) | (0.02) | 10.01 | 0.82 | 1,343,042 | 0.41 | 0.47 | 1.17 | 48 | |
4/1/16 to 3/31/17 | 10.03 | 0.07 | 0.03 | 0.10 | (0.10) | — | — | (0.10) | — | 10.03 | 0.98 | 1,367,242 | 0.42 | 0.42 | 0.72 | 77 | |
4/1/15 to 3/31/16 | 10.12 | 0.06 | (0.07) | (0.01) | (0.08) | — | — | (0.08) | (0.09) | 10.03 | (0.11) | 1,557,899 | 0.41 | 0.41 | 0.57 | 52 | |
4/1/14 to 3/31/15 | 10.12 | 0.06 | 0.02 | 0.08 | (0.08) | — | — | (0.08) | — | 10.12 | 0.77 | 1,665,888 | 0.39 | 0.39 | 0.55 | 34 | |
Class R6* | |||||||||||||||||
1/1/19 to 12/31/19 | $10.00 | 0.24 | 0.01 | 0.25 | (0.24) | — | — | (0.24) | 0.01 | 10.01 | 2.51 % | $25,521 | 0.26 % | 0.37 % | 2.39 % | 63 % | |
1/1/18 to 12/31/18 | 10.03 | 0.20 | (0.01) | 0.19 | (0.21) | (0.01) | — | (0.22) | (0.03) | 10.00 | 1.88 | 32,940 | 0.26 | 0.37 | 2.01 | 28 | |
4/1/17 to 12/31/17(6) | 10.04 | 0.10 | — (12) | 0.10 | (0.10) | (0.01) | — | (0.11) | (0.01) | 10.03 | 1.04 | 43,072 | 0.26 | 0.33 | 1.32 | 48 | |
8/1/16 to 3/31/17(14) | 10.04 | 0.08 | — | 0.08 | (0.08) | — | — | (0.08) | — | 10.04 | 0.77 | 32,657 | 0.26 | 0.26 | 1.12 | 77 | |
Seix U.S. Mortgage Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/19 to 12/31/19 | $10.87 | 0.22 | 0.42 | 0.64 | (0.22) | (0.01) | — | (0.23) | 0.41 | 11.28 | 5.94 % | $6,657 | 0.90 % | 1.74 % | 1.97 % | 101 % | |
1/1/18 to 12/31/18 | 11.09 | 0.20 | (0.17) | 0.03 | (0.20) | (0.05) | — | (0.25) | (0.22) | 10.87 | 0.31 | 3,727 | 0.90 | 2.01 | 1.88 | 129 | |
4/1/17 to 12/31/17(6) | 11.10 | 0.12 | 0.04 | 0.16 | (0.11) | (0.06) | — | (0.17) | (0.01) | 11.09 | 1.45 | 2,566 | 0.90 | 1.59 | 1.48 | 89 | |
4/1/16 to 3/31/17 | 11.31 | 0.05 | (0.04) | 0.01 | (0.18) | — | (0.04) | (0.22) | (0.21) | 11.10 | 0.04 | 3,594 | 0.90 | 0.98 | 0.41 | 118 | |
4/1/15 to 3/31/16 | 11.29 | 0.08 | 0.11 | 0.19 | (0.17) | — | — | (0.17) | 0.02 | 11.31 | 1.72 | 6,560 | 0.90 | 1.10 | 0.76 | 223 | |
4/1/14 to 3/31/15 | 10.88 | 0.16 | 0.47 | 0.63 | (0.22) | — | — | (0.22) | 0.41 | 11.29 | 5.86 | 5,201 | 0.89 | 1.43 | 1.45 | 165 |
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Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | 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) | ||
Seix U.S. Mortgage Fund (Continued) | |||||||||||||||||
Class C | |||||||||||||||||
1/1/19 to 12/31/19 | $10.89 | 0.14 | 0.41 | 0.55 | (0.13) | (0.01) | — | (0.14) | 0.41 | 11.30 | 5.09 % | $383 | 1.65 % | 1.99 % | 1.29 % | 101 % | |
1/1/18 to 12/31/18 | 11.11 | 0.12 | (0.17) | (0.05) | (0.12) | (0.05) | — | (0.17) | (0.22) | 10.89 | (0.43) | 3,174 | 1.65 | 2.00 | 1.09 | 129 | |
4/1/17 to 12/31/17(6) | 11.11 | 0.05 | 0.06 | 0.11 | (0.05) | (0.06) | — | (0.11) | — | 11.11 | 0.99 | 3,722 | 1.62 | 1.98 | 0.65 | 89 | |
4/1/16 to 3/31/17 | 11.33 | (0.03) | (0.06) | (0.09) | (0.09) | — | (0.04) | (0.13) | (0.22) | 11.11 | (0.79) | 4,301 | 1.65 | 1.71 | 0.26 | 118 | |
4/1/15 to 3/31/16 | 11.32 | — (12) | 0.10 | 0.10 | (0.09) | — | — | (0.09) | 0.01 | 11.33 | 0.88 | 5,478 | 1.65 | 1.79 | 0.01 | 223 | |
4/1/14 to 3/31/15 | 10.90 | 0.09 | 0.47 | 0.56 | (0.14) | — | — | (0.14) | 0.42 | 11.32 | 5.15 | 3,989 | 1.65 | 2.15 | 0.79 | 165 | |
Class I | |||||||||||||||||
1/1/19 to 12/31/19 | $10.89 | 0.24 | 0.42 | 0.66 | (0.24) | (0.01) | — | (0.25) | 0.41 | 11.30 | 6.13 % | $14,476 | 0.70 % | 1.10 % | 2.19 % | 101 % | |
1/1/18 to 12/31/18 | 11.11 | 0.22 | (0.17) | 0.05 | (0.22) | (0.05) | — | (0.27) | (0.22) | 10.89 | 0.52 | 17,615 | 0.70 | 1.08 | 2.05 | 129 | |
4/1/17 to 12/31/17(6) | 11.12 | 0.13 | 0.05 | 0.18 | (0.13) | (0.06) | — | (0.19) | (0.01) | 11.11 | 1.60 | 18,967 | 0.70 | 1.08 | 1.52 | 89 | |
4/1/16 to 3/31/17 | 11.33 | 0.07 | (0.04) | 0.03 | (0.20) | — | (0.04) | (0.24) | (0.21) | 11.12 | 0.24 | 17,620 | 0.70 | 0.86 | 0.66 | 118 | |
4/1/15 to 3/31/16 | 11.32 | 0.12 | 0.09 | 0.21 | (0.20) | — | — | (0.20) | 0.01 | 11.33 | 1.84 | 25,068 | 0.70 | 0.86 | 1.03 | 223 | |
4/1/14 to 3/31/15 | 10.90 | 0.19 | 0.48 | 0.67 | (0.25) | — | — | (0.25) | 0.42 | 11.32 | 6.16 | 3,650 | 0.69 | 1.26 | 1.75 | 165 | |
Seix Ultra-Short Bond Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/19 to 12/31/19 | $9.92 | 0.21 | 0.04 | 0.25 | (0.21) | — | — | (0.21) | 0.04 | 9.96 | 2.58 % | $3,111 | 0.65 % | 0.83 % | 2.07 % | 97 % | |
7/24/18 to 12/31/18(16) | 9.97 | 0.11 | (0.06) | 0.05 | (0.10) | — | — | (0.10) | (0.05) | 9.92 | 0.48 | 1,698 | 0.65 | 0.84 | 2.46 | 112 (17) | |
Class I | |||||||||||||||||
1/1/19 to 12/31/19 | $9.91 | 0.24 | 0.04 | 0.28 | (0.24) | — | — | (0.24) | 0.04 | 9.95 | 2.84 % | $48,183 | 0.40 % | 0.61 % | 2.42 % | 97 % | |
1/1/18 to 12/31/18 | 9.97 | 0.22 | (0.06) | 0.16 | (0.22) | — | — | (0.22) | (0.06) | 9.91 | 1.61 | 60,041 | 0.40 | 0.62 | 2.21 | 112 | |
4/1/17 to 12/31/17(6) | 9.96 | 0.11 | 0.01 | 0.12 | (0.11) | — | — | (0.11) | 0.01 | 9.97 | 1.21 | 59,548 | 0.42 (7) | 0.56 | 1.44 | 53 | |
4/1/16 to 3/31/17 | 9.93 | 0.10 | 0.04 | 0.14 | (0.11) | — | — | (0.11) | 0.03 | 9.96 | 1.41 | 87,344 | 0.40 | 0.40 | 1.05 | 142 | |
4/1/15 to 3/31/16 | 9.97 | 0.08 | (0.04) | 0.04 | (0.08) | — | — | (0.08) | (0.04) | 9.93 | 0.42 | 104,950 | 0.38 | 0.38 | 0.77 | 59 | |
4/1/14 to 3/31/15 | 9.98 | 0.06 | — (12) | 0.06 | (0.07) | — | — | (0.07) | (0.01) | 9.97 | 0.55 | 142,680 | 0.37 | 0.37 | 0.57 | 54 |
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Footnote Legend: | |
* | On September 18, 2017, Class IS shares were renamed Class R6 shares. |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Sales charges, where applicable, are not reflected in the total return calculation. |
(4) | Annualized for periods less than one year. |
(5) | The Funds will also indirectly bear their prorated share of expenses of any underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(6) | The Fund changed its fiscal year end to December 31 during the period. |
(7) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(8) | Class R6 (formerly IS) commenced operations on August 3, 2015 for the predecessor fund (see Note 1). |
(9) | See Note 4D in the Notes to Financial Statements for information on recapture of expenses previously reimbursed. |
(10) | Ratio of net expenses, before interest expense, was 0.94%, 1.52%, 0.62% and 0.52% for Class A, Class C, Class I, and Class R6, respectively, for the period ended December 31, 2019. |
(11) | Class R6 (formerly IS) commenced operations on February 2, 2015 for the predecessor fund (see Note 1). |
(12) | Amount is less than $0.005 per share. |
(13) | Class R6 (formerly IS) commenced operations on August 1, 2014 for the predecessor fund (see Note 1). |
(14) | Class R6 (formerly IS) commenced operations on August 1, 2016 for the predecessor fund (see Note 1). |
(15) | The share class is currently under its expense limitation. |
(16) | Class A commenced operations on July 24, 2018. |
(17) | Portfolio turnover is representative of the Fund for the entire period. |
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December 31, 2019
Predecessor Fund | Fund | |
RidgeWorth Seix Core Bond Fund | Seix Core Bond Fund | |
RidgeWorth Seix Corporate Bond Fund | Seix Corporate Bond Fund | |
RidgeWorth Seix Floating Rate High Income Fund | Seix Floating Rate High Income Fund | |
RidgeWorth Seix High Grade Municipal Bond Fund | Seix High Grade Municipal Bond Fund | |
RidgeWorth Seix High Income Fund | Seix High Income Fund | |
RidgeWorth Seix High Yield Fund | Seix High Yield Fund | |
RidgeWorth Seix Investment Grade Tax-Exempt Bond Fund | Seix Investment Grade Tax-Exempt Bond Fund | |
RidgeWorth Seix Short-Term Bond Fund | Seix Short-Term Bond Fund | |
RidgeWorth Seix Short-Term Municipal Bond Fund | Seix Short-Term Municipal Bond Fund | |
RidgeWorth Seix Total Return Bond Fund | Seix Total Return Bond Fund | |
RidgeWorth Seix U.S. Government Securities Ultra-Short Bond Fund | Seix U.S. Government Securities Ultra-Short Bond Fund | |
RidgeWorth Seix U.S. Mortgage Fund | Seix U.S. Mortgage Fund | |
RidgeWorth Seix Ultra-Short Bond Fund | Seix Ultra-Short Bond Fund |
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A. | Security Valuation |
Each Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Funds’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
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B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as 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 its 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 December 31, 2019, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 forward (with limited exceptions). | |
D. | Distributions to Shareholders |
Distributions are recorded by each Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each Fund or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that a Fund bears directly, the shareholders of a Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | Securities Traded on a To-Be-Announced Basis |
Certain Funds may trade securities on a to-be-announced (“TBA”) basis. In a TBA transaction, a Fund commits to purchasing or selling securities which have not yet been issued by the issuer and for which specific information, such as the face amount, maturity date and underlying pool of investments in U.S. government agency mortgage pass-through securities, is not announced. Securities purchased on a TBA basis are not settled until they are delivered to the Fund. Beginning on the date a Fund enters into a TBA transaction, cash, U.S. government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These securities are subject to market fluctuations and their current value is determined in the same manner as for other securities. |
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H. | 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. | |
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 December 31, 2019, the Funds had the following unfunded loan commitments: |
Unfunded Loan Commitment | ||
Seix Floating Rate | ||
High Income | ||
Borrower | Fund | |
Connect US Finco LLC | $6,902 | |
U.S. Silica Co. | 1,890 |
J. | Securities Lending |
The Funds may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities a Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by each Fund under Master Securities Lending Agreements (“MSLA”) which permit the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
At December 31, 2019, 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) | ||||
Seix High Income Fund | BNYM | $6,545 | $6,545 | $— | ||||
Seix High Yield Fund | BNYM | 2,180 | 2,180 | — |
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(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. | Forward Foreign Currency Exchange Contracts |
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by the Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of the contract changes unfavorably due to movements in the value of the referenced foreign currencies. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency. | |
During the fiscal period, the Seix Total Return Bond Fund entered into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk). Forward foreign currency contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments. | |
B. | Swaps |
Certain Funds enter into swap agreements, in which the Fund and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). The value of the swap is reflected on the Statements of Assets and Liabilities as “Swaps at value”. Swaps are marked-to-market daily and changes in value are recorded as “Net change in unrealized appreciation (depreciation) on swaps” in the Statements of Operations. | |
Any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown under “Swaps at value” in the Statements of Assets and Liabilities and are amortized over the term of the swap. When a swap is terminated, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any. Generally, the basis of the contracts is the unamortized premium received or paid. Cash settlements between the Fund and the counterparty are recognized as “Net realized gain (loss) on swaps” in the Statements of Operations. Swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments. | |
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is submitted to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a clearing broker. Upon entering into a centrally cleared swap, a Fund is required to deposit initial margin with the clearing broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. | |
Securities deposited as margin are designated on the Schedule of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as “Deposits with prime broker”. | |
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions. |
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Credit default swaps – A Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on a combination or basket of single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make specific payment should a negative credit event take place with respect to any of the referenced entities (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. The Funds may enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). | |
During the period, the Seix Corporate Bond Fund and Seix Total Return Bond Fund utilized both single name credit default swaps and credit index swaps to gain exposure to short individual securities or to gain exposure to a credit or asset-backed index. | |
The following is a summary of derivative instruments categorized by primary risk exposure, presented in the financial statements as of December 31, 2019: |
Fair Value of Derivative Financial Instruments as of December 31, 2019 | ||||
Derivative Liabilities | ||||
Seix Corporate Bond Fund | Seix Total Return Bond Fund | |||
Primary Risk | Statements of Assets and Liabilities Location | Value | Value | |
Credit contracts | Swaps at value | $535 | $3,935 | |
Total | $535 | $3,935 |
The Effect of Derivative Financial Instruments in the Statements of Operations for the Period Ended December 31, 2019 | |||||
Net Realized Gain (Loss) From | |||||
Seix Corporate Bond Fund | Seix Total Return Bond Fund | ||||
Foreign currency exchange contracts: | |||||
Forward foreign currency transactions(1) | $— | $1,765 | |||
Credit contracts: | |||||
Swaps(2) | (239) | (2,646) | |||
Total | $(239) | $(881) |
(1) Included in net realized gain (loss) from forward foreign currency transactions within the Statements of Operations. |
(2) Included in net realized gain (loss) from swaps within the Statements of Operations. |
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The Effect of Derivative Financial Instruments in the Statements of Operations for the Period Ended December 31, 2019 | |||||
Net Change in Unrealized Appreciation/(Depreciation) on | |||||
Seix Corporate Bond Fund | Seix Total Return Bond Fund | ||||
Foreign currency exchange contracts: | |||||
Forward foreign currency transactions(1) | $— | $(100) | |||
Credit contracts: | |||||
Swaps(2) | (197) | (1,432) | |||
Total | $(197) | $(1,532) |
(1) Included in net change in unrealized appreciation (depreciation) from forward foreign currency transactions within the Statements of Operations. |
(2) Included in net change in unrealized appreciation (depreciation) from swaps within the Statement of Operations. |
Seix Corporate Bond Fund | Seix Total Return Bond Fund | ||
Forward Foreign Currency Exchange Purchase Contracts(1) | $6 | $75,764 | |
Forward Foreign Currency Exchange Sale Contracts(2) | — | (33,979) | |
Credit Default Swap Agreements - Buy Protection(3) | 209 | 2,016 |
(1) Average value of currency purchased. |
(2) Average value of currency sold. |
(3) Notional amount. |
C. | 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. | |
A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Fund. For OTC purchased options, each Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by a Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund, and not the counterparty to perform. | |
With exchange traded purchased options and futures and centrally cleared swaps 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 and centrally cleared swaps 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. |
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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. | |
D. | 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. | |
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. |
At December 31, 2019, the Funds’ derivative assets and liabilities (by type) are as follows: | |||||||||||
Seix Corporate Bond Fund | Seix Total Return Bond Fund | ||||||||||
Assets | Liabilities | Assets | Liabilities | ||||||||
Derivative Financial Instruments: | |||||||||||
Swaps | $— | $535 | $— | $3,935 | |||||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $— | $535 | $— | $3,935 | |||||||
Derivatives not subject to a MNA or similar agreement | — | (481) | — | (3,388) | |||||||
Total assets and liabilities subject to a MNA | $— | $54 | $— | $547 |
Seix Corporate Bond Fund | ||||||||||
Counterparty | Derivatives Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Derivative Liabilities | |||||
JPMorgan Chase bank NA | $54 | $— | $— | $— | $54 | |||||
Total | $54 | $— | $— | $— | $54 |
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Seix Total Return Bond Fund | ||||||||||
Counterparty | Derivatives Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Derivative Liabilities(1) | |||||
JPMorgan Chase Bank NA | $547 | $— | $(547) | $— | $— | |||||
Total | $547 | $— | $(547) | $— | $— |
A. | Investment Adviser |
Virtus Fund Advisers, LLC (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 $500 Million | |
Seix Core Bond Fund | 0.25 % |
Seix Corporate Bond Fund | 0.40 |
Seix Floating Rate High Income Fund | 0.45 |
Seix High Grade Municipal Bond Fund | 0.50 |
Seix High Income Fund | 0.55 |
Seix High Yield Fund | 0.45 |
Seix Investment Grade Tax-Exempt Bond Fund | 0.50 |
Seix Short-Term Bond Fund | 0.40 |
Seix Short-Term Municipal Bond Fund | 0.35 |
Seix Total Return Bond Fund | 0.25 |
Seix U.S. Government Securities Ultra-Short Bond Fund | 0.20 |
Seix U.S. Mortgage Fund | 0.40 |
Seix Ultra-Short Bond Fund | 0.22 |
B. | Subadviser |
The subadviser manages the investments of each Fund, for which it is paid a fee by the Adviser. Seix Investment Advisors LLC, an indirect, wholly owned subsidiary of Virtus, is the subadviser to the Funds. | |
C. | Expense Limits and Fee Waivers |
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 April 30, 2020 (except as noted). Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. The waivers and reimbursements are accrued daily and received monthly. |
Fund | Class A | Class C | Class I | Class R6 | ||||
Seix Core Bond Fund | 0.64 % | N/A % | 0.50 % | 0.36 % | ||||
Seix Corporate Bond Fund | 0.95 | 1.65 | 0.70 | N/A | ||||
Seix Floating Rate High Income Fund | 0.94 ‡ | 1.52 | 0.62 | 0.52 | ||||
Seix High Grade Municipal Bond Fund | 0.75 | N/A | 0.60 | N/A |
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Fund | Class A | Class C | Class I | Class R6 | ||||
Seix High Income Fund(1) | 0.93 % | N/A % | 0.68 % | 0.59 % | ||||
Seix High Yield Fund | 0.82 | N/A | 0.64 | 0.53 | ||||
Seix Investment Grade Tax-Exempt Bond Fund(2) | 0.73 | N/A | 0.58 | N/A | ||||
Seix Short-Term Bond Fund | 0.80 | 1.57 | 0.60 | N/A | ||||
Seix Short-Term Municipal Bond Fund | 0.65 | N/A | 0.48 | N/A | ||||
Seix Total Return Bond Fund | 0.70 | N/A | 0.46 | 0.31 | ||||
Seix U.S. Government Securities Ultra-Short Bond Fund | 0.66 | N/A | 0.41 | 0.26 | ||||
Seix U.S. Mortgage Fund | 0.90 | 1.65 | 0.70 | N/A | ||||
Seix Ultra-Short Bond Fund | 0.65 | N/A | 0.40 | N/A |
‡ | Each share class is currently below its expense cap. |
(1) | Effective July 1, 2019 through April 30, 2020. For the period January 1, 2019 through June 30, 2019, the expense cap for Class A, Class I and Class R6 were as follows: 1.03%, 0.80% and 0.64%, respectively. |
(2) | Effective December 1, 2019 through April 30, 2021. For the period January 1, 2019 through November 30, 2019, the expense cap for Class A and Class I were as follows: 0.75% and 0.60%, respectively. |
D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending: |
Expiration | ||||||||
Fund | 2020 | 2021 | 2022 | Total | ||||
Seix Core Bond Fund | ||||||||
Class A | $ 10 | $ 19 | $17 | $46 | ||||
Class I | 115 | 190 | 174 | 479 | ||||
Class R6 | 2 | 3 | 1 | 6 | ||||
Seix Corporate Bond Fund | ||||||||
Class A | 2 | 1 | 8 | 11 | ||||
Class C | 18 | 28 | 2 | 48 | ||||
Class I | 47 | 53 | 61 | 161 | ||||
Seix Floating Rate High Income Fund | ||||||||
Class A | — | — | —(1) | —(1) | ||||
Class C | 15 | 49 | 51 | 115 | ||||
Class I | 2,269 | 3,727 | 3,400 | 9,396 | ||||
Class R6 | 709 | 733 | 514 | 1,956 | ||||
Seix High Grade Municipal Bond Fund | ||||||||
Class A | 7 | 11 | 16 | 34 | ||||
Class I | 102 | 135 | 132 | 369 | ||||
Seix High Income Fund | ||||||||
Class A | 14 | 17 | 26 | 57 | ||||
Class I | 179 | 282 | 413 | 874 | ||||
Class R6 | 3 | 6 | 46 | 55 | ||||
Seix High Yield Fund | ||||||||
Class A | 4 | 8 | 8 | 20 | ||||
Class I | 263 | 422 | 391 | 1,076 | ||||
Class R6 | 26 | 13 | 2 | 41 |
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Expiration | ||||||||
Fund | 2020 | 2021 | 2022 | Total | ||||
Seix Investment Grade Tax-Exempt Bond Fund | ||||||||
Class A | $20 | $22 | $25 | $67 | ||||
Class I | 481 | 616 | 672 | 1,769 | ||||
Seix Short-Term Bond Fund | ||||||||
Class A | 7 | 17 | 24 | 48 | ||||
Class C | 2 | 8 | 9 | 19 | ||||
Class I | 83 | 57 | 51 | 191 | ||||
Seix Short-Term Municipal Bond Fund | ||||||||
Class A | 5 | 6 | 8 | 19 | ||||
Class I | 90 | 95 | 78 | 263 | ||||
Seix Total Return Bond Fund | ||||||||
Class A | 17 | 19 | 26 | 62 | ||||
Class I | 334 | 485 | 362 | 1,181 | ||||
Class R6 | 78 | 162 | 92 | 332 | ||||
Seix U.S. Government Securities Ultra-Short Bond Fund | ||||||||
Class I | 560 | 1,107 | 1,095 | 2,762 | ||||
Class R6 | 29 | 42 | 34 | 105 | ||||
Seix U.S. Mortgage Fund | ||||||||
Class A | 16 | 35 | 53 | 104 | ||||
Class C | 5 | 12 | 2 | 19 | ||||
Class I | 64 | 69 | 63 | 196 | ||||
Seix Ultra-Short Bond Fund | ||||||||
Class A | — | 1 | 4 | 5 | ||||
Class I | 74 | 120 | 125 | 319 |
(1) | Amount is less than $500. |
Fund | Class A | Class C | Total | |||
Seix Corporate Bond Fund | $— | $—(1) | $—(1) | |||
Seix Floating Rate High Income Fund | 13 | — | 13 | |||
Seix U.S. Government Securities Ultra-Short Bond Fund | —(1) | — | —(1) | |||
Seix U.S. Mortgage Fund | — | —(1) | —(1) |
(1) | Amount is less than $500. |
E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of each Fund’s shares. VP Distributors has advised the Funds that for the fiscal year (the “period”) ended December 31, 2019, it retained net commissions of $7 for Class A shares and CDSC of $0 and $5 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 (0.15% for Seix High Grade Municipal Bond Fund and Seix Short-Term Municipal Bond Fund, and 0.20% for Seix Short-Term Bond Fund and Seix U.S. Mortgage Fund), and 1.00% for Class C shares; Class I shares and Class R6 shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. | |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Funds. | |
For the period ended December 31, 2019, the Funds incurred administration fees totaling $6,911 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 December 31, 2019, the Funds incurred transfer agent fees totaling $3,098 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. |
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G. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statements of Assets and Liabilities at December 31, 2019. |
Purchases | Sales | ||
Seix Core Bond Fund | $22,911 | $33,570 | |
Seix Corporate Bond Fund | 43,920 | 48,237 | |
Seix Floating Rate High Income Fund | 708,923 | 2,701,015 | |
Seix High Grade Municipal Bond Fund | 115,502 | 113,502 | |
Seix High Income Fund | 344,529 | 360,992 | |
Seix High Yield Fund | 283,484 | 295,316 | |
Seix Investment Grade Tax-Exempt Bond Fund | 617,745 | 670,213 | |
Seix Short-Term Bond Fund | 1,052 | 2,060 | |
Seix Short-Term Municipal Bond Fund | 10,753 | 19,385 | |
Seix Total Return Bond Fund | 64,982 | 101,412 | |
Seix U.S. Mortgage Fund | 190 | 913 | |
Seix Ultra-Short Bond Fund | 34,006 | 34,631 |
Purchases | Sales | ||
Seix Core Bond Fund | $234,935 | $269,075 | |
Seix Corporate Bond Fund | 5,229 | 5,261 | |
Seix Short-Term Bond Fund | 5,287 | 5,386 | |
Seix Total Return Bond Fund | 651,329 | 766,688 | |
Seix U.S. Government Securities Ultra-Short Bond Fund | 731,831 | 1,059,532 | |
Seix U.S. Mortgage Fund | 21,324 | 22,909 | |
Seix Ultra-Short Bond Fund | 16,725 | 12,139 |
Seix Core Bond Fund | Seix Corporate Bond Fund | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 351 | $3,828 | 82 | $845 | 716 | $5,945 | 11 | $90 | |||||||
Reinvestment of distributions | 9 | 99 | 14 | 144 | 14 | 122 | 1 | 10 | |||||||
Shares repurchased and cross class conversions | (97) | (1,037) | (311) | (3,202) | (147) | (1,286) | (11) | (93) | |||||||
Net Increase / (Decrease) | 263 | $2,890 | (215) | $(2,213) | 583 | $4,781 | 1 | $7 |
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Seix Core Bond Fund | Seix Corporate Bond Fund | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | — | $— | — | $— | 19 | $169 | 16 | $133 | |||||||
Reinvestment of distributions | — | — | — | — | 1 | 12 | 18 | 148 | |||||||
Shares repurchased and cross class conversions | — | — | — | — | (618) | (5,033) | (108) | (899) | |||||||
Net Increase / (Decrease) | — | $— | — | $— | (598) | $(4,852) | (74) | $(618) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 1,130 | $12,114 | 1,414 | $14,647 | 1,514 | $13,159 | 7,038 | $57,885 | |||||||
Reinvestment of distributions | 236 | 2,528 | 350 | 3,609 | 113 | 977 | 64 | 524 | |||||||
Shares repurchased and cross class conversions | (5,940) | (63,826) | (6,114) | (63,211) | (2,278) | (19,873) | (3,716) | (30,298) | |||||||
Net Increase / (Decrease) | (4,574) | $(49,184) | (4,350) | $(44,955) | (651) | $(5,737) | 3,386 | $28,111 | |||||||
Class R | |||||||||||||||
Shares sold and cross class conversions | 15 | $159 | 41 | $424 | — | $— | — | $— | |||||||
Reinvestment of distributions | 4 | 45 | 5 | 56 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (317) | (3,466) | (44) | (456) | — | — | — | — | |||||||
Net Increase / (Decrease) | (298) | $(3,262) | 2 | $24 | — | $— | — | $— | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 179 | $1,952 | 19 | $196 | — | $— | — | $— | |||||||
Reinvestment of distributions | 1 | 7 | 6 | 60 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (5) | (53) | (322) | (3,286) | — | — | — | — | |||||||
Net Increase / (Decrease) | 175 | $1,906 | (297) | $(3,030) | — | $— | — | $— |
Seix Floating Rate High Income Fund | Seix High Grade Municipal Bond Fund | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 1,755 | $14,862 | 4,455 | $38,698 | 69 | $830 | 9 | $100 | |||||||
Reinvestment of distributions | 264 | 2,236 | 492 | 4,263 | 21 | 258 | 20 | 228 | |||||||
Shares repurchased and cross class conversions | (4,530) | (38,341) | (9,784) | (84,795) | (101) | (1,223) | (132) | (1,517) | |||||||
Net Increase / (Decrease) | (2,511) | $(21,243) | (4,837) | $(41,834) | (11) | $(135) | (103) | $(1,189) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 573 | $4,850 | 1,161 | $10,053 | — | $— | — | $— | |||||||
Reinvestment of distributions | 192 | 1,628 | 203 | 1,755 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (1,783) | (15,071) | (1,797) | (15,499) | — | — | — | — | |||||||
Net Increase / (Decrease) | (1,018) | $(8,593) | (433) | $(3,691) | — | $— | — | $— |
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Seix Floating Rate High Income Fund | Seix High Grade Municipal Bond Fund | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 88,463 | $749,789 | 238,479 | $2,069,083 | 1,646 | $19,860 | 1,046 | $12,177 | |||||||
Reinvestment of distributions | 18,983 | 160,882 | 23,652 | 204,583 | 125 | 1,502 | 159 | 1,841 | |||||||
Shares repurchased and cross class conversions | (313,658) | (2,656,616) | (256,852) | (2,203,344) | (941) | (11,282) | (3,952) | (45,673) | |||||||
Net Increase / (Decrease) | (206,212) | $(1,745,945) | 5,279 | $70,322 | 830 | $10,080 | (2,747) | $(31,655) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 37,802 | $320,528 | 33,303 | $289,034 | — | $— | — | $— | |||||||
Reinvestment of distributions | 2,676 | 22,663 | 4,512 | 39,086 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (71,688) | (608,050) | (87,642) | (749,456) | — | — | — | — | |||||||
Net Increase / (Decrease) | (31,210) | $(264,859) | (49,827) | $(421,336) | — | $— | — | $— |
Seix High Income Fund | Seix High Yield Fund | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 2,702 | $16,827 | 1,984 | $12,703 | 611 | $4,900 | 396 | $3,224 | |||||||
Reinvestment of distributions | 130 | 816 | 160 | 1,019 | 19 | 153 | 24 | 194 | |||||||
Shares repurchased and cross class conversions | (1,236) | (7,755) | (4,271) | (27,325) | (447) | (3,589) | (624) | (5,063) | |||||||
Net Increase / (Decrease) | 1,596 | $9,888 | (2,127) | $(13,603) | 183 | $1,464 | (204) | $(1,645) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 7,914 | $49,385 | 11,602 | $74,417 | 7,527 | $62,140 | 5,892 | $48,557 | |||||||
Reinvestment of distributions | 2,175 | 13,628 | 3,020 | 19,157 | 1,570 | 12,975 | 2,153 | 17,646 | |||||||
Shares repurchased and cross class conversions | (17,508) | (109,473) | (30,092) | (190,990) | (11,029) | (91,170) | (19,276) | (158,366) | |||||||
Net Increase / (Decrease) | (7,419) | $(46,460) | (15,470) | $(97,416) | (1,932) | $(16,055) | (11,231) | $(92,163) | |||||||
Class R | |||||||||||||||
Shares sold and cross class conversions | 299 | $1,870 | 579 | $3,738 | 2 | $17 | — | $— | |||||||
Reinvestment of distributions | 74 | 462 | 104 | 661 | —(1) | 2 | 1 | 4 | |||||||
Shares repurchased and cross class conversions | (2,248) | (13,993) | (671) | (4,255) | (9) | (75) | (8) | (66) | |||||||
Net Increase / (Decrease) | (1,875) | $(11,661) | 12 | $144 | (7) | $(56) | (7) | $(62) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 5,927 | $36,986 | 203 | $1,288 | 558 | $4,670 | — | $— | |||||||
Reinvestment of distributions | 29 | 185 | 37 | 234 | 6 | 47 | 39 | 324 | |||||||
Shares repurchased and cross class conversions | (948) | (5,931) | (317) | (2,007) | (22) | (180) | (5,261) | (43,509) | |||||||
Net Increase / (Decrease) | 5,008 | $31,240 | (77) | $(485) | 542 | $4,537 | (5,222) | $(43,185) |
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Seix Investment Grade Tax-Exempt Bond Fund | Seix Short-Term Bond Fund | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 44 | $512 | 82 | $928 | 83 | $816 | 48 | $473 | |||||||
Reinvestment of distributions | 27 | 314 | 22 | 255 | 4 | 40 | 3 | 28 | |||||||
Shares repurchased and cross class conversions | (148) | (1,756) | (172) | (1,975) | (62) | (616) | (68) | (668) | |||||||
Net Increase / (Decrease) | (77) | $(930) | (68) | $(792) | 25 | $240 | (17) | $(167) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | — | $— | — | $— | 27 | $266 | 72 | $705 | |||||||
Reinvestment of distributions | — | — | — | — | 1 | 8 | 1 | 7 | |||||||
Shares repurchased and cross class conversions | — | — | — | — | (103) | (1,013) | (51) | (501) | |||||||
Net Increase / (Decrease) | — | $— | — | $— | (75) | $(739) | 22 | $211 | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 6,119 | $71,920 | 11,752 | $134,639 | 32 | $321 | 111 | $1,083 | |||||||
Reinvestment of distributions | 781 | 9,159 | 901 | 10,308 | 9 | 92 | 10 | 100 | |||||||
Shares repurchased and cross class conversions | (8,526) | (100,551) | (25,345) | (288,965) | (106) | (1,045) | (340) | (3,323) | |||||||
Net Increase / (Decrease) | (1,626) | $(19,472) | (12,692) | $(144,018) | (65) | $(632) | (219) | $(2,140) |
Seix Short-Term Municipal Bond Fund | Seix Total Return Bond Fund | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 51 | $512 | 89 | $872 | 2,054 | $22,739 | 242 | $2,529 | |||||||
Reinvestment of distributions | 3 | 30 | 1 | 14 | 14 | 152 | 16 | 166 | |||||||
Shares repurchased and cross class conversions | (43) | (436) | (126) | (1,241) | (834) | (9,199) | (467) | (4,899) | |||||||
Net Increase / (Decrease) | 11 | $106 | (36) | $(355) | 1,234 | $13,692 | (209) | $(2,204) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 91 | $924 | 207 | $2,047 | 3,913 | $40,873 | 4,792 | $48,667 | |||||||
Reinvestment of distributions | 31 | 309 | 23 | 225 | 540 | 5,680 | 1,020 | 10,330 | |||||||
Shares repurchased and cross class conversions | (961) | (9,661) | (1,468) | (14,512) | (16,875) | (177,245) | (38,154) | (386,879) | |||||||
Net Increase / (Decrease) | (839) | $(8,428) | (1,238) | $(12,240) | (12,422) | $(130,692) | (32,342) | $(327,882) | |||||||
Class R | |||||||||||||||
Shares sold and cross class conversions | — | $— | — | $— | 552 | $5,847 | 391 | $3,961 | |||||||
Reinvestment of distributions | — | — | — | — | 36 | 375 | 47 | 473 | |||||||
Shares repurchased and cross class conversions | — | — | — | — | (3,284) | (35,104) | (808) | (8,183) | |||||||
Net Increase / (Decrease) | — | $— | — | $— | (2,696) | $(28,882) | (370) | $(3,749) |
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Seix Short-Term Municipal Bond Fund | Seix Total Return Bond Fund | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | — | $— | — | $— | 3,554 | $36,876 | 533 | $5,399 | |||||||
Reinvestment of distributions | — | — | — | — | 117 | 1,226 | 259 | 2,621 | |||||||
Shares repurchased and cross class conversions | — | — | — | — | (4,869) | (50,901) | (7,775) | (77,437) | |||||||
Net Increase / (Decrease) | — | $— | — | $— | (1,198) | $(12,799) | (6,983) | $(69,417) |
Seix U.S. Government Securities Ultra-Short Bond Fund | Seix U.S. Mortgage Fund | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 1,940 | $19,389 | 580 | $5,801 | 303 | $3,320 | 139 | $1,500 | |||||||
Reinvestment of distributions | 17 | 167 | 1 | 5 | 11 | 119 | 6 | 64 | |||||||
Shares repurchased and cross class conversions | (1,132) | (11,313) | (31) | (309) | (67) | (747) | (33) | (359) | |||||||
Net Increase / (Decrease) | 825 | $8,243 | 550 | $5,497 | 247 | $2,692 | 112 | $1,205 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | — | $— | — | $— | 3 | $31 | 5 | $52 | |||||||
Reinvestment of distributions | — | — | — | — | 1 | 9 | 5 | 53 | |||||||
Shares repurchased and cross class conversions | — | — | — | — | (261) | (2,853) | (54) | (576) | |||||||
Net Increase / (Decrease) | — | $— | — | $— | (257) | $(2,813) | (44) | $(471) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 52,199 | $521,658 | 49,452 | $494,558 | 320 | $3,551 | 376 | $4,078 | |||||||
Reinvestment of distributions | 2,452 | 24,506 | 2,251 | 22,508 | 31 | 349 | 42 | 451 | |||||||
Shares repurchased and cross class conversions | (91,541) | (915,228) | (62,425) | (624,267) | (688) | (7,611) | (509) | (5,507) | |||||||
Net Increase / (Decrease) | (36,890) | $(369,064) | (10,722) | $(107,201) | (337) | $(3,711) | (91) | $(978) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 1,697 | $16,974 | 2,685 | $26,895 | — | $— | — | $— | |||||||
Reinvestment of distributions | 49 | 493 | 58 | 582 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (2,489) | (24,900) | (3,745) | (37,512) | — | — | — | — | |||||||
Net Increase / (Decrease) | (743) | $(7,433) | (1,002) | $(10,035) | — | $— | — | $— |
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Seix Ultra-Short Bond Fund | |||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Shares sold and cross class conversions | 279 | $2,780 | 554 | $5,513 | |||
Reinvestment of distributions | 4 | 40 | 1 | 6 | |||
Shares repurchased and cross class conversions | (142) | (1,412) | (384) | (3,814) | |||
Net Increase / (Decrease) | 141 | $1,408 | 171 | $1,705 | |||
Class I | |||||||
Shares sold and cross class conversions | 2,702 | $26,849 | 4,360 | $43,406 | |||
Reinvestment of distributions | 130 | 1,294 | 105 | 1,047 | |||
Shares repurchased and cross class conversions | (4,046) | (40,242) | (4,381) | (43,628) | |||
Net Increase / (Decrease) | (1,214) | $(12,099) | 84 | $825 |
(1) | Amount is less than 500 shares. |
% of Shares Outstanding | Number of Accounts | ||
Seix Core Bond Fund | 49% | 2 | |
Seix Corporate Bond Fund | 89 | 3 | |
Seix Floating Rate High Income Fund | 46 | 3 | |
Seix High Grade Municipal Bond Fund | 55 | 2 | |
Seix High Income Fund | 57 | 2 | |
Seix High Yield Fund | 66 | 3 | |
Seix Investment Grade Tax-Exempt Bond Fund | 63 | 3 | |
Seix Short-Term Bond Fund | 44 | 2 | |
Seix Short-Term Municipal Bond Fund | 79 | 3 | |
Seix Total Return Bond Fund | 41 | 1 | |
Seix U.S. Government Securities Ultra-Short Bond Fund | 38 | 1 | |
Seix U.S. Mortgage Fund | 60 | 2 | |
Seix Ultra-Short Bond Fund | 47 | 2 |
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Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Seix Core Bond Fund | $ 102,502 | $ 1,597 | $ (130) | $ 1,467 | ||||
Seix Corporate Bond Fund | 37,547 | 2,010 | (5) | 2,005 | ||||
Seix Floating Rate High Income Fund | 3,325,606 | 16,178 | (137,380) | (121,202) | ||||
Seix High Grade Municipal Bond Fund | 58,068 | 1,839 | (17) | 1,822 | ||||
Seix High Income Fund | 295,438 | 10,121 | (7,882) | 2,239 | ||||
Seix High Yield Fund | 283,253 | 10,074 | (5,357) | 4,717 | ||||
Seix Investment Grade Tax-Exempt Bond Fund | 268,035 | 6,908 | (159) | 6,751 | ||||
Seix Short-Term Bond Fund | 8,023 | 83 | (3) | 80 | ||||
Seix Short-Term Municipal Bond Fund | 12,191 | 147 | — | 147 | ||||
Seix Total Return Bond Fund | 298,292 | 4,868 | (372) | 4,496 | ||||
Seix U.S. Government Securities Ultra-Short Bond Fund | 901,443 | 4,245 | (901) | 3,344 | ||||
Seix U.S. Mortgage Fund | 20,407 | 506 | (3) | 503 | ||||
Seix Ultra-Short Bond Fund | 49,143 | 100 | (13) | 87 |
No Expiration | Total | ||||||
Short-Term | Long-Term | Short-Term | Long-Term | ||||
Seix Core Bond Fund | $— | $30 | $— | $30 | |||
Seix Floating Rate High Income Fund | 95,128 | 306,762 | 95,128 | 306,762 | |||
Seix High Income Fund | 22,048 | 64,072 | 22,048 | 64,072 |
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No Expiration | Total | ||||||
Short-Term | Long-Term | Short-Term | Long-Term | ||||
Seix High Yield Fund | $18,594 | $41,895 | $18,594 | $41,895 | |||
Seix Short-Term Bond Fund | 191 | 64 | 191 | 64 | |||
Seix Total Return Bond Fund | 10,080 | — | 10,080 | — | |||
Seix U.S. Government Securities Ultra-Short Bond Fund | 5,229 | — | 5,229 | — | |||
Seix U.S. Mortgage Fund | 3 | 93 | 3 | 93 | |||
Seix Ultra-Short Bond Fund | 133 | 2 | 133 | 2 |
Fund | |
Seix Core Bond Fund | $ 5,364 |
Seix Corporate Bond Fund | 850 |
Seix High Grade Municipal Bond Fund | 315 |
Seix Investment Grade Tax-Exempt Bond Fund | 2,415 |
Seix Short-Term Bond Fund | 20 |
Seix Short-Term Municipal Bond Fund | 58 |
Seix Total Return Bond Fund | 16,232 |
Seix U.S. Government Securities Ultra-Short Bond Fund | 193 |
Seix U.S. Mortgage Fund | 257 |
Seix Ultra-Short Bond Fund | 13 |
Late Year Ordinary Losses Deferred | Late Year Ordinary Losses Recognized | Capital Loss Deferred | Capital Loss Recognized | ||||
Seix Core Bond Fund | $ — | $ — | $ 33 | $ (1,291) | |||
Seix Corporate Bond Fund | — | — | — | (7) | |||
Seix Floating Rate High Income Fund | — | — | 35,120 | (27,078) | |||
Seix High Grade Municipal Bond Fund | — | — | — | (133) | |||
Seix High Income Fund | — | — | 4,640 | (784) | |||
Seix High Yield Fund | — | — | 206 | (748) | |||
Seix Investment Grade Tax-Exempt Bond Fund | — | — | — | (417) | |||
Seix Short-Term Bond Fund | — | — | — | (34) | |||
Seix Short-Term Municipal Bond Fund | — | — | 1 | — | |||
Seix Total Return Bond Fund | 484 | — | 394 | (5,287) | |||
Seix U.S. Government Securities Ultra-Short Bond Fund | — | — | — | (39) | |||
Seix U.S. Mortgage Fund | — | — | — | (77) | |||
Seix Ultra-Short Bond Fund | — | — | 1 | (61) |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Undistributed Tax-Exempt Income | |||
Seix Core Bond Fund | $3 | $— | $ — | ||
Seix Corporate Bond Fund | 139 | 440 | — | ||
Seix Floating Rate High Income Fund | 2,476 | — | — | ||
Seix High Grade Municipal Bond Fund | 264 | — | 1 | ||
Seix High Income Fund | 52 | — | — | ||
Seix High Yield Fund | 47 | — | — | ||
Seix Investment Grade Tax-Exempt Bond Fund | 668 | 216 | 13 |
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Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Undistributed Tax-Exempt Income | |||
Seix Short-Term Bond Fund | $—(1) | $— | $— | ||
Seix Short-Term Municipal Bond Fund | — | 13 | — | ||
Seix U.S. Government Securities Ultra-Short Bond Fund | 15 | — | — | ||
Seix Ultra-Short Bond Fund | 13 | — | — |
(1) | Amount is less than $500. |
Ordinary Income | Long-Term Capital Gains | Tax-Exempt Distributions | Return of Capital | Total | |||||
Seix Core Bond Fund | |||||||||
12/31/19 | $ 2,915 | $ — | $ — | $ — | $2,915 | ||||
12/31/18 | 3,964 | — | — | 189 | 4,153 | ||||
Seix Corporate Bond Fund | |||||||||
12/31/19 | 1,127 | — | — | — | 1,127 | ||||
12/31/18 | 691 | 5 | — | — | 696 | ||||
Seix Floating Rate High Income Fund | |||||||||
12/31/19 | 226,343 | — | — | — | 226,343 | ||||
12/31/18 | 310,662 | — | — | — | 310,662 | ||||
Seix High Grade Municipal Bond Fund | |||||||||
12/31/19 | 1,026 | 166 | 1,000 | — | 2,192 | ||||
12/31/18 | 18 | 380 | 2,053 | — | 2,451 | ||||
Seix High Income Fund | |||||||||
12/31/19 | 16,685 | — | — | — | 16,685 | ||||
12/31/18 | 21,626 | — | — | — | 21,626 | ||||
Seix High Yield Fund | |||||||||
12/31/19 | 14,834 | — | — | — | 14,834 | ||||
12/31/18 | 20,003 | — | — | — | 20,003 | ||||
Seix Investment Grade Tax-Exempt Bond Fund | |||||||||
12/31/19 | 5,263 | 1,960 | 5,757 | — | 12,980 | ||||
12/31/18 | —(1) | 2,554 | 10,946 | — | 13,500 | ||||
Seix Short-Term Bond Fund | |||||||||
12/31/19 | 147 | — | — | — | 147 | ||||
12/31/18 | 145 | — | — | 8 | 153 | ||||
Seix Short-Term Municipal Bond Fund | |||||||||
12/31/19 | 125 | 26 | 203 | — | 354 | ||||
12/31/18 | 2 | 2 | 276 | — | 280 | ||||
Seix Total Return Bond Fund | |||||||||
12/31/19 | 5,530 | — | — | 2,220 | 7,750 | ||||
12/31/18 | 13,932 | — | — | — | 13,932 | ||||
Seix U.S. Government Securities Ultra-Short Bond Fund | |||||||||
12/31/19 | 28,898 | — | — | — | 28,898 | ||||
12/31/18 | 25,180 | — | — | 1,478 | 26,658 | ||||
Seix U.S. Mortgage Fund | |||||||||
12/31/19 | 473 | — | — | 17 | 490 | ||||
12/31/18 | 467 | — | — | 116 | 583 | ||||
Seix Ultra-Short Bond Fund | |||||||||
12/31/19 | 1,462 | — | — | — | 1,462 | ||||
12/31/18 | 1,205 | — | — | — | 1,205 |
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(1) | Amount is less than $500. |
Capital Paid in on Shares of Beneficial Interest | Total Distributable Earnings (Accumulated Losses) | ||
Seix U.S. Government Securities Ultra-Short Bond Fund | $ —(1) | $ —(1) |
(1) | Amount is less than $500. |
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Virtus Seix Floating Rate High Income Fund, Virtus Seix High Grade Municipal Bond Fund, Virtus Seix High Income Fund, Virtus Seix High Yield Fund, Virtus Seix Investment Grade Tax-Exempt Bond Fund, Virtus Seix Short-Term Bond Fund, Virtus Seix Short-Term
Municipal Bond Fund, Virtus Seix Total Return Bond Fund, Virtus Seix U.S. Government Securities Ultra-Short Bond Fund, Virtus Seix U.S. Mortgage Fund and Virtus Seix Ultra-Short Bond Fund
constituting Virtus Asset Trust, hereafter collectively referred to as the “Funds”) as of December 31, 2019, the related statements of
operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial
position of each of the Funds as of December 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our
procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodians, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
began serving as auditor.
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LTCG | |
Seix Corporate Bond Fund | $ 440 |
Seix High Grade Municipal Bond Fund | 166 |
Seix Investment Grade Tax-Exempt Bond Fund | 2,176 |
Seix Short-Term Municipal Bond Fund | 39 |
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Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Brown, Thomas J. YOB: 1945 Served Since: 2017 70 Portfolios | Retired. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (56 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). |
Burke, Donald C. YOB: 1960 Served Since: 2017 74 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; and Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (56 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 70 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2018), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (56 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Director (1999 to 2019) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Mallin, John R. YOB: 1950 Served Since: 2017 70 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm) Real Property Practice Group; Member (since 2014), Counselors of Real Estate. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (56 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). |
McClellan, Hassell H. YOB: 1945 Served Since: 2017 70 Portfolios | Retired. Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Mutual Fund Family (56 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 70 Portfolios | Retired (since 2013). Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013), Vice President Global Finance Transformation (2007 to 2009), Vice President and Controller (1999 to 2007), The Coca-Cola Company. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Director (since 2019), Global Payments Inc.; Trustee (since 2017), Virtus Mutual Fund Family (56 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (2014 to 2019), Total System Services, Inc.; and Trustee (2005 to 2017), RidgeWorth Funds. |
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Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
McLoughlin, Philip Chairman YOB: 1946 Served Since: 1989 74 Portfolios | Retired. | Director and Chairman (since 2016), Virtus Total Return Fund Inc.; Director and Chairman (2016 to 2019), the former Virtus Total Return Fund Inc.; Director and Chairman (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (1991 to 2019) and Chairman (2010 to 2019), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (56 portfolios). |
McNamara, Geraldine M. YOB: 1951 Served Since: 2002 74 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (56 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2005 70 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). | Director (since 2016), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (56 portfolios). |
Segerson, Richard E. YOB: 1946 Served Since: 2005 70 Portfolios | Retired. Managing Director (1998 to 2013), Northway Management Company. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (56 portfolios). |
Walton, R. Keith YOB: 1964 Served Since: 2020 70 Portfolios | Senior Adviser (2018 to 2019), Vatic Labs, LLC; Venture Partner (since 2019) and Senior Adviser (2018 to 2019), Plexo, LLC; Executive Vice President, Strategy (2017 to 2019), Zero Mass Water, LLC; Vice President, Strategy (2013 to 2017), Arizona State University; Partner (since 2006), Global Infrastructure Partners. | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (56 portfolios); Director (since 2017), certain funds advised by Bessemer Investment Management LLC; Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (2006 to 2019), Systematica Investments Limited Funds; Director (2006 to 2017), BlueCrest Capital Management Limited Funds; Trustee (2014 to 2017), AZ Service; Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2004), Virtus Total Return Fund Inc.; Director (since 2004), Virtus Total Return Fund Inc.; Director (2004 to 2019), the former Virtus Total Return Fund Inc.; and Director (since 2006), Blue Crest Capital Management Funds. |
Zino, Brian T. YOB: 1952 Served Since: 2020 70 Portfolios | Retired. Various roles (1982 to 2008), J. & W. Seligman & Co. Incorporated, including President (1994 to 2008). | Retired; and various roles (1982 to 2008), J. & W. Seligman & Co. Incorporated, including President (1994 to 2008). Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (56 portfolios); Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2014), Virtus Total Return Fund Inc.; Director (2014 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2011), Bentley University; Director (1986 to 2008) and President (1994 to 2008), J&W Seligman Co. Inc.; Director (1998 to 2009), Chairman (2002 to 2004) and Vice Chairman (2000 to 2002), ICI Mutual Insurance Company; Member, Board of Governors of ICI (1998 to 2008). |
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Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Aylward, George R.* Director and President YOB: 1964 Served Since: 2006 72 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries, and various senior officer positions with Virtus affiliates (since 2005). | Chairman and Trustee (since 2015), Virtus ETF Trust II (2 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (4 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (56 portfolios); Director, President and Chief Executive Officer (since 2006), Virtus Total Return Fund Inc.; and Director, President and Chief Executive Officer (2006 to 2019), the former Virtus Total Return Fund Inc. |
Name, Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen | Principal Occupation(s) During Past 5 Years | Other Directorships Held During Past 5 Years |
Moyer, William R. YOB: 1944 Served Since: 2020 70 Portfolios | Private investor (since 2004); Financial and Operations Principal (2006 to 2017), Newcastle Distributors LLC (broker dealer). | Advisory Board Member (since 2020), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (56 portfolios); Advisory Board Member (since 2020) and Director (2016 to 2019), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Advisory Board Member (since 2020) and Director (2014 to 2019), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Advisory Board Member (since 2020) and Trustee (2011 to 2019), Virtus Global Multi-Sector Income Fund; Advisory Board Member (since 2020) and Trustee (2013 to 2016), Virtus Alternative Solutions Trust (4 portfolios). |
Name and Year of Birth | Position(s) Held with the Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter J. YOB: 1970 | Senior Vice President (since 2017), and Vice President (2013 to 2016). | Senior Vice President, Product Development (since 2017), Vice President, Product Development (2008 to 2016), and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2013 to 2016), Virtus Alternative Solutions Trust; and Senior Vice President (since 2017) and Vice President (2016 to 2017), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund. |
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Name and Year of Birth | Position(s) Held with the Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2006). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), and various officer positons (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Utility and Infrastructure Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. |
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2013), and Chief Legal Officer, Counsel and Secretary (since 2005). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), and various officer positions (since 2005), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), and Assistant Secretary (2013 to 2014 and since 2017), Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President (2013 to 2014), Vice President (2011 to 2013), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. |
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), and various officer positions (since 2003), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President (since 2018), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Senior Vice President (2018 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
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Name and Year of Birth | Position(s) Held with the Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013). | Executive Vice President, Product Development (since 2009), and various senior officer positions (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust; and Executive Vice President (since 2017), Virtus Total Return Fund Inc. |
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comanaged the fund since August 2019.
Virtus Seix Floating Rate High Income Fund | Vincent Flanagan (since 2011) George Goudelias (since 2006) Eric Guevara (since August 2019) |
Manager and Senior Leveraged Loan Trader. Mr. Guevara began his career as a trade flow
administrator and gained experience as a junior trader in the investment grade group before
moving into his current position in the leveraged loan group in 2006. He has worked in investment management
since 2000.
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a series of Virtus Asset Trust
(Unaudited)
Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) | Class A | Class I |
Management Fees | 0.50% | 0.50% |
Distribution and Shareholder Servicing (12b-1) Fees | 0.25% | None |
Other Expenses | 0.25% | 0.30% |
Acquired Fund Fees and Expenses | 0.01% | 0.01% |
Total Annual Fund Operating Expenses(a) | 1.01% | 0.81% |
Less: Fee Waiver and/or Expense Reimbursement(b) | (0.27)% | (0.22)% |
Total Annual Fund Operating Expenses After Expense Reimbursement(b) | 0.74% | 0.59% |
Share Status | 1 Year | 3 Years | 5 Years | 10 Years | |
Class A | Sold or Held | $348 | $562 | $792 | $1,453 |
Class I | Sold or Held | $60 | $237 | $428 | $981 |
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Accounting Firm
Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
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please contact us at1-800-243-1574, orVirtus.com.
8636 | 02-20 |
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Virtus Ceredex Large-Cap Value Equity Fund |
Virtus Ceredex Mid-Cap Value Equity Fund |
Virtus Ceredex Small-Cap Value Equity Fund |
Virtus SGA International Growth Fund* |
Virtus Silvant Large-Cap Growth Stock Fund |
Virtus Silvant Small-Cap Growth Stock Fund |
Virtus Zevenbergen Innovative Growth Stock Fund |
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1 | ||
2 | ||
4 | ||
Fund | Fund Summary | Schedule of Investments |
6 | 21 | |
8 | 22 | |
10 | 24 | |
12 | 26 | |
14 | 27 | |
16 | 28 | |
18 | 30 | |
31 | ||
34 | ||
36 | ||
40 | ||
45 | ||
58 | ||
59 | ||
60 | ||
61 | ||
65 |
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President, Virtus Funds
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Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Ceredex Large-Cap Value Equity Fund | ||||||||
Class A | $ 1,000.00 | $ 1,126.70 | 1.24 % | $ 6.65 | ||||
Class C | 1,000.00 | 1,124.00 | 1.72 | 9.21 | ||||
Class I | 1,000.00 | 1,128.40 | 0.97 | 5.20 | ||||
Class R6 | 1,000.00 | 1,129.80 | 0.72 | 3.87 | ||||
Ceredex Mid-Cap Value Equity Fund | ||||||||
Class A | 1,000.00 | 1,113.70 | 1.29 | 6.87 | ||||
Class C | 1,000.00 | 1,110.80 | 1.79 | 9.52 | ||||
Class I | 1,000.00 | 1,115.40 | 1.05 | 5.60 | ||||
Class R6 | 1,000.00 | 1,116.70 | 0.79 | 4.21 | ||||
Ceredex Small-Cap Value Equity Fund | ||||||||
Class A | 1,000.00 | 1,034.90 | 1.47 | 7.54 | ||||
Class C | 1,000.00 | 1,031.50 | 1.90 | 9.73 | ||||
Class I | 1,000.00 | 1,036.10 | 1.20 | 6.16 | ||||
Class R6 | 1,000.00 | 1,037.90 | 0.88 | 4.52 | ||||
SGA International Growth Fund | ||||||||
Class A | 1,000.00 | 1,041.60 | 1.53 | 7.87 | ||||
Class I | 1,000.00 | 1,041.80 | 1.30 | 6.69 | ||||
Class R6 | 1,000.00 | 1,043.60 | 1.21 | 6.23 | ||||
Silvant Large-Cap Growth Stock Fund | ||||||||
Class A | 1,000.00 | 1,090.80 | 1.23 | 6.48 | ||||
Class I | 1,000.00 | 1,092.30 | 0.97 | 5.12 | ||||
Class R6 | 1,000.00 | 1,092.70 | 0.90 | 4.75 | ||||
Silvant Small-Cap Growth Stock Fund | ||||||||
Class A | 1,000.00 | 1,036.90 | 1.27 | 6.52 | ||||
Class I | 1,000.00 | 1,037.50 | 1.15 | 5.91 | ||||
Zevenbergen Innovative Growth Stock Fund | ||||||||
Class A | 1,000.00 | 1,001.10 | 1.27 | 6.41 | ||||
Class I | 1,000.00 | 1,002.30 | 1.02 | 5.15 |
* | 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 (184) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
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Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Ceredex Large-Cap Value Equity Fund | ||||||||
Class A | $ 1,000.00 | $ 1,018.95 | 1.24 % | $ 6.31 | ||||
Class C | 1,000.00 | 1,016.53 | 1.72 | 8.74 | ||||
Class I | 1,000.00 | 1,020.32 | 0.97 | 4.94 | ||||
Class R6 | 1,000.00 | 1,021.58 | 0.72 | 3.67 | ||||
Ceredex Mid-Cap Value Equity Fund | ||||||||
Class A | 1,000.00 | 1,018.70 | 1.29 | 6.56 | ||||
Class C | 1,000.00 | 1,016.18 | 1.79 | 9.10 | ||||
Class I | 1,000.00 | 1,019.91 | 1.05 | 5.35 | ||||
Class R6 | 1,000.00 | 1,021.22 | 0.79 | 4.02 | ||||
Ceredex Small-Cap Value Equity Fund | ||||||||
Class A | 1,000.00 | 1,017.80 | 1.47 | 7.48 | ||||
Class C | 1,000.00 | 1,015.63 | 1.90 | 9.65 | ||||
Class I | 1,000.00 | 1,019.16 | 1.20 | 6.11 | ||||
Class R6 | 1,000.00 | 1,020.77 | 0.88 | 4.48 | ||||
SGA International Growth Fund | ||||||||
Class A | 1,000.00 | 1,017.49 | 1.53 | 7.78 | ||||
Class I | 1,000.00 | 1,018.65 | 1.30 | 6.61 | ||||
Class R6 | 1,000.00 | 1,019.11 | 1.21 | 6.16 | ||||
Silvant Large-Cap Growth Stock Fund | ||||||||
Class A | 1,000.00 | 1,019.00 | 1.23 | 6.26 | ||||
Class I | 1,000.00 | 1,020.32 | 0.97 | 4.94 | ||||
Class R6 | 1,000.00 | 1,020.67 | 0.90 | 4.58 | ||||
Silvant Small-Cap Growth Stock Fund | ||||||||
Class A | 1,000.00 | 1,018.80 | 1.27 | 6.46 | ||||
Class I | 1,000.00 | 1,019.41 | 1.15 | 5.85 | ||||
Zevenbergen Innovative Growth Stock Fund | ||||||||
Class A | 1,000.00 | 1,018.80 | 1.27 | 6.46 | ||||
Class I | 1,000.00 | 1,020.06 | 1.02 | 5.19 |
* | 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 (184) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
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December 31, 2019
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Ticker Symbols: | |
Class A: SVIIX | |
Class C: SVIFX | |
Class I: STVTX | |
Class R6: STVZX |
Ceredex Value Advisors LLC
■ | The Fund is diversified and has an investment objective of seeking to provide a high level of capital appreciation. As a secondary goal, the Fund also seeks to provide current income.There is no guarantee that the Fund will meet its objectives. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 30.56%, Class C shares at NAV returned 30.00%, Class I shares at NAV returned 30.94%, and Class R6 Shares at NAV returned 31.33%. For the same period, the Russell 1000® Value Index, the Fund’s style-specific benchmark appropriate for comparison, returned 26.54%. |
Industrials | 22% |
Financials | 20 |
Information Technology | 16 |
Health Care | 13 |
Energy | 12 |
Communication Services | 6 |
Real Estate | 3 |
Other (includes short-term investment) | 8 |
Total | 100% |
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1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 30.56 % | 8.16 % | 11.42 % | — % | — | |||||||
Class A shares at POP3,4 | 23.05 | 6.89 | 10.76 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 30.00 | 7.66 | 10.82 | — | — | |||||||
Class I shares at NAV2 | 30.94 | 8.47 | 11.74 | — | — | |||||||
Class R6 shares at NAV2 | 31.33 | 8.74 | — | 9.34 | 8/1/14 | |||||||
Russell 1000® Value Index | 26.54 | 8.29 | 11.80 | 8.96 5 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 1.27%, Net 1.24%; Class C shares: Gross 1.92%, Net 1.72%; Class I shares: Gross 1.02%, Net 0.97%; Class R6 shares: Gross 0.83%, Net 0.72%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
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Ticker Symbols: | |
Class A: SAMVX | |
Class C: SMVFX | |
Class I: SMVTX | |
Class R6: SMVZX |
Ceredex Value Advisors LLC
■ | The Fund is diversified and has an investment objective of seeking to provide capital appreciation. As a secondary goal, the Fund also seeks to provide current income.There is no guarantee that the Fund will meet its objectives. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 32.63%, Class C shares at NAV returned 32.08%, Class I shares at NAV returned 33.08%, and Class R6 Shares at NAV returned 33.31%. For the same period, the Russell Midcap® Value Index, the Fund’s style-specific benchmark appropriate for comparison, returned 27.06%. |
Financials | 20% |
Information Technology | 14 |
Health Care | 11 |
Real Estate | 9 |
Utilities | 9 |
Industrials | 9 |
Energy | 8 |
Other (includes short-term investment) | 20 |
Total | 100% |
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1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 32.63 % | 8.78 % | 12.16 % | — % | — | |||||||
Class A shares at POP3,4 | 25.01 | 7.50 | 11.50 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 32.08 | 8.32 | 11.62 | — | — | |||||||
Class I shares at NAV2 | 33.08 | 9.12 | 12.50 | — | — | |||||||
Class R6 shares at NAV2 | 33.31 | 9.43 | — | 9.89 | 8/1/14 | |||||||
Russell Midcap® Value Index | 27.06 | 7.62 | 12.41 | 8.27 5 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 1.31%, Net 1.38%; Class C shares: Gross 1.97%, Net 1.79%; Class I shares: 1.01%; Class R6 shares: Gross 0.87%, Net 0.79%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
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Ticker Symbols: | |
Class A: SASVX | |
Class C: STCEX | |
Class I: SCETX | |
Class R6: VVERX |
Ceredex Value Advisors LLC
■ | The Fund is diversified and has an investment objective of seeking to provide capital appreciation. As a secondary goal, the Fund also seeks to provide current income.There is no guarantee that the Fund will meet its objectives. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 17.21%, Class C shares at NAV returned 16.66%, Class I shares at NAV returned 17.58%, and Class R6 shares at NAV from February 26, 2019 (inception date) through December 31, 2019, returned 3.69%*. For the fiscal year ended December 31, 2019, the Russell 2000® Value Index, the Fund’s style-specific benchmark appropriate for comparison, returned 22.39%. |
Financials | 26% |
Information Technology | 19 |
Industrials | 19 |
Real Estate | 11 |
Consumer Discretionary | 11 |
Materials | 5 |
Consumer Staples | 5 |
Other | 4 |
Total | 100% |
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1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 17.21 % | 6.35 % | 10.35 % | — % | — | |||||||
Class A shares at POP3,4 | 10.47 | 5.09 | 9.70 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 16.66 | 5.91 | 9.81 | — | — | |||||||
Class I shares at NAV2 | 17.58 | 6.67 | 10.68 | — | — | |||||||
Class R6 shares at NAV2 | — | — | — | 3.69 | 2/26/19 | |||||||
Russell 2000® Value Index | 22.39 | 6.99 | 10.56 | 5.815 | — | |||||||
Fund Expense Ratios6: Class A shares: 1.46%; Class C shares: Gross 2.09%, Net 1.90%; Class I shares: 1.18%; Class R6 shares: Gross 1.02%, Net 0.88%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
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Ticker Symbols: | |
Class A: SCIIX | |
Class I: STITX | |
Class R6: SCIZX |
Sustainable Growth Advisers, LP
■ | The Fund is diversified and has an investment objective of seeking to provide long-term capital appreciation.There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 28.41%†, Class I shares at NAV returned 28.61%†, and Class R6 Shares at NAV returned 28.83%†. For the same period, the MSCI All Country World ex USA Index, the Fund’s style-specific benchmark appropriate for comparison, returned 21.51%. |
Consumer Staples | 25% |
Financials | 18 |
Consumer Discretionary | 16 |
Health Care | 13 |
Information Technology | 11 |
Materials | 9 |
Industrials | 5 |
Other (includes short-term investment) | 3 |
Total | 100% |
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1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 28.41 %3 | 9.75 % | 7.30 % | — % | — | |||||||
Class A shares at POP4,5 | 21.02 | 8.46 | 6.67 | — | — | |||||||
Class I shares at NAV2 | 28.61 3 | 9.99 | 7.52 | — | — | |||||||
Class R6 shares at NAV2 | 28.83 3 | — | — | 12.62 | 9/1/15 | |||||||
MSCI All Country World ex USA Index (net) | 21.51 | 5.51 | 4.97 | 8.026 | — | |||||||
Fund Expense Ratios7: Class A shares: Gross 1.44%, Net 1.39%; Class I shares: Gross 1.19%, Net 1.14%; Class R6 shares: Gross 1.11%, Net 1.04%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
4 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
5 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid. |
6 | The since inception index return is from the inception date of Class R6 shares. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Table of Contents
Ticker Symbols: | |
Class A: STCIX | |
Class I: STCAX | |
Class R6: STCZX |
Silvant Capital Management LLC
■ | The Fund is diversified and has an investment objective of seeking to provide capital appreciation.There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 33.95%, Class I shares at NAV returned 34.41%, and Class R6 shares at NAV returned 34.57%. For the same period, the Russell 1000® Growth Index, the Fund’s style-specific benchmark appropriate for comparison, returned 36.39%. |
Information Technology | 37% |
Communication Services | 16 |
Consumer Discretionary | 15 |
Health Care | 13 |
Industrials | 10 |
Consumer Staples | 4 |
Financials | 2 |
Other | 3 |
Total | 100% |
Table of Contents
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 33.95 % | 11.85 % | 13.53 % | — % | — | |||||||
Class A shares at POP3,4 | 26.25 | 10.53 | 12.86 | — | — | |||||||
Class I shares at NAV2 | 34.41 | 12.15 | 13.82 | — | — | |||||||
Class R6 shares at NAV2 | 34.57 | 12.28 | — | 12.47 | 8/1/14 | |||||||
Russell 1000® Growth Index | 36.39 | 14.63 | 15.22 | 15.105 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 1.60%, Net 1.23%; Class I shares: Gross 1.10%, Net 0.97%; Class R6 shares: Gross 0.95%, Net 0.90%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Table of Contents
Ticker Symbols: | |
Class A: SCGIX | |
Class I: SSCTX |
Silvant Capital Management LLC
■ | The Fund is diversified and has an investment objective of seeking to provide long-term capital appreciation.There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 35.81% and Class I shares at NAV returned 36.04%. For the same period, the Russell 2000® Growth Index, the Fund’s style-specific benchmark appropriate for comparison, returned 28.48%. |
Health Care | 28% |
Industrials | 20 |
Information Technology | 19 |
Consumer Discretionary | 10 |
Financials | 7 |
Materials | 5 |
Communication Services | 5 |
Other (includes short-term investment and securities lending collateral) | 6 |
Total | 100% |
Table of Contents
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 35.81% | 8.88% | 11.57% | |||||
Class A shares at POP3,4 | 28.00 | 7.59 | 10.91 | |||||
Class I shares at NAV2 | 36.04 | 8.99 | 11.73 | |||||
Russell 2000® Growth Index | 28.48 | 9.34 | 13.01 | |||||
Fund Expense Ratios5: Class A shares: Gross 1.69%, Net 1.28%; Class I shares: Gross 1.54%, Net 1.16%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid. |
5 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Table of Contents
Ticker Symbols: | |
Class A: SAGAX | |
Class I: SCATX |
Zevenbergen Capital Investments LLC
■ | The Fund is diversified and has an investment objective of seeking to provide long-term capital appreciation.There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Fund’s Class A shares at NAV returned 36.73% and Class I shares at NAV returned 37.02%. For the same period, the Russell 3000® Growth Index, the Fund’s style-specific benchmark appropriate for comparison, returned 35.85%. |
Table of Contents
Information Technology | 37% |
Consumer Discretionary | 28 |
Health Care | 14 |
Communication Services | 13 |
Industrials | 6 |
Financials | 1 |
Short-Term Investment | 1 |
Total | 100% |
Table of Contents
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 36.73% | 16.21% | 14.93% | |||||
Class A shares at POP3,4 | 28.86 | 14.84 | 14.25 | |||||
Class I shares at NAV2 | 37.02 | 16.44 | 15.18 | |||||
Russell 3000® Growth Index | 35.85 | 14.23 | 15.05 | |||||
Fund Expense Ratios5: Class A shares: Gross 1.43%, Net 1.26%; Class I shares: Gross 1.19%, Net 1.01%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid. |
5 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Table of Contents
December 31, 2019
Shares | Value | ||
Common Stocks—98.1% | |||
Communication Services—5.7% | |||
Interpublic Group of Cos., Inc. (The) | 919,483 | $21,240 | |
Verizon Communications, Inc. | 646,809 | 39,714 | |
Walt Disney Co. (The) | 87,524 | 12,659 | |
73,613 | |||
Consumer Discretionary—1.6% | |||
Marriott International, Inc. Class A | 137,258 | 20,785 | |
Energy—12.0% | |||
BP plc Sponsored ADR | 1,273,144 | 48,049 | |
Chevron Corp. | 401,878 | 48,430 | |
Diamondback Energy, Inc. | 290,932 | 27,016 | |
Marathon Petroleum Corp. | 502,373 | 30,268 | |
153,763 | |||
Financials—20.1% | |||
Bank of America Corp. | 1,517,928 | 53,461 | |
JPMorgan Chase & Co. | 458,117 | 63,861 | |
Progressive Corp. (The) | 719,667 | 52,097 | |
Wells Fargo & Co. | 963,879 | 51,857 | |
Willis Towers Watson plc | 182,623 | 36,879 | |
258,155 | |||
Health Care—13.0% | |||
Abbott Laboratories | 457,135 | 39,706 | |
Cigna Corp. | 129,078 | 26,395 | |
Humana, Inc. | 104,976 | 38,476 | |
Zimmer Biomet Holdings, Inc. | 416,133 | 62,287 | |
166,864 | |||
Shares | Value | ||
Industrials—21.7% | |||
Boeing Co. (The) | 136,540 | $44,479 | |
CSX Corp. | 630,967 | 45,657 | |
Deere & Co. | 223,329 | 38,694 | |
Emerson Electric Co. | 649,687 | 49,545 | |
FedEx Corp. | 114,721 | 17,347 | |
Honeywell International, Inc. | 253,898 | 44,940 | |
L3Harris Technologies, Inc. | 194,567 | 38,499 | |
279,161 | |||
Information Technology—15.4% | |||
Fidelity National Information Services, Inc. | 414,332 | 57,630 | |
Microsoft Corp. | 84,898 | 13,388 | |
Motorola Solutions, Inc. | 302,051 | 48,673 | |
QUALCOMM, Inc. | 342,845 | 30,249 | |
Xilinx, Inc. | 494,408 | 48,338 | |
198,278 | |||
Materials—2.3% | |||
Nucor Corp. | 510,675 | 28,741 | |
Real Estate—3.2% | |||
Crown Castle International Corp. | 288,549 | 41,017 | |
Utilities—3.1% | |||
NextEra Energy, Inc. | 164,446 | 39,822 | |
Total Common Stocks (Identified Cost $998,871) | 1,260,199 | ||
Total Long-Term Investments—98.1% (Identified Cost $998,871) | 1,260,199 | ||
Shares | Value | ||
Short-Term Investment—0.8% | |||
Money Market Mutual Fund—0.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(1) | 10,447,232 | $10,447 | |
Total Short-Term Investment (Identified Cost $10,447) | 10,447 | ||
TOTAL INVESTMENTS—98.9% (Identified Cost $1,009,318) | $1,270,646 | ||
Other assets and liabilities, net—1.1% | 14,564 | ||
NET ASSETS—100.0% | $1,285,210 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
United States | 93% |
United Kingdom | 4 |
Ireland | 3 |
Total | 100% |
† % of total investments as of December 31, 2019. |
Total Value at December 31, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $1,260,199 | $1,260,199 | |
Money Market Mutual Fund | 10,447 | 10,447 | |
Total Investments | $1,270,646 | $1,270,646 |
Table of Contents
December 31, 2019
Shares | Value | ||
Common Stocks—95.5% | |||
Communication Services—3.2% | |||
Interpublic Group of Cos., Inc. (The) | 2,900,000 | $66,990 | |
Omnicom Group, Inc. | 650,000 | 52,663 | |
119,653 | |||
Consumer Discretionary—5.4% | |||
Best Buy Co., Inc. | 350,000 | 30,730 | |
BorgWarner, Inc. | 1,200,000 | 52,056 | |
Ford Motor Co. | 4,300,000 | 39,990 | |
MGM Resorts International | 565,000 | 18,797 | |
PVH Corp. | 200,000 | 21,030 | |
Royal Caribbean Cruises Ltd. | 280,000 | 37,383 | |
199,986 | |||
Consumer Staples—4.0% | |||
Archer-Daniels-Midland Co. | 1,035,000 | 47,972 | |
Energizer Holdings, Inc. | 2,000,000 | 100,440 | |
148,412 | |||
Energy—7.5% | |||
Diamondback Energy, Inc. | 1,200,000 | 111,432 | |
Marathon Petroleum Corp. | 1,235,000 | 74,409 | |
Noble Energy, Inc. | 3,700,000 | 91,908 | |
277,749 | |||
Financials—19.7% | |||
Affiliated Managers Group, Inc. | 575,000 | 48,726 | |
Assurant, Inc. | 190,000 | 24,905 | |
Axis Capital Holdings Ltd. | 715,000 | 42,500 | |
Comerica, Inc. | 780,000 | 55,965 | |
Hartford Financial Services Group, Inc. (The) | 1,200,000 | 72,924 | |
PacWest Bancorp | 1,705,000 | 65,250 | |
Pinnacle Financial Partners, Inc. | 1,430,000 | 91,520 | |
Progressive Corp. (The) | 1,685,000 | 121,977 | |
Willis Towers Watson plc | 560,000 | 113,086 | |
Zions Bancorp NA | 1,730,000 | 89,822 | |
726,675 | |||
Shares | Value | ||
Health Care—11.3% | |||
Agilent Technologies, Inc. | 765,000 | $65,262 | |
Cooper Cos., Inc. (The) | 240,000 | 77,110 | |
Humana, Inc. | 265,000 | 97,128 | |
Zimmer Biomet Holdings, Inc. | 1,180,000 | 176,622 | |
416,122 | |||
Industrials—8.4% | |||
FedEx Corp. | 265,000 | 40,071 | |
Kennametal, Inc. | 1,450,000 | 53,490 | |
L3Harris Technologies, Inc. | 250,000 | 49,468 | |
Parker-Hannifin Corp. | 175,000 | 36,019 | |
Rockwell Automation, Inc. | 90,000 | 18,240 | |
Spirit AeroSystems Holdings, Inc. Class A | 900,000 | 65,592 | |
Xylem, Inc. | 600,000 | 47,274 | |
310,154 | |||
Information Technology—13.7% | |||
FLIR Systems, Inc. | 900,000 | 46,863 | |
KLA Corp. | 550,000 | 97,994 | |
Motorola Solutions, Inc. | 725,000 | 116,826 | |
Sabre Corp. | 2,450,000 | 54,978 | |
Western Digital Corp. | 1,200,000 | 76,164 | |
Xilinx, Inc. | 1,180,000 | 115,369 | |
508,194 | |||
Materials—4.7% | |||
Louisiana-Pacific Corp. | 800,000 | 23,736 | |
LyondellBasell Industries NV Class A | 535,000 | 50,547 | |
Nucor Corp. | 1,000,000 | 56,280 | |
PPG Industries, Inc. | 325,000 | 43,384 | |
173,947 | |||
Real Estate—8.9% | |||
American Campus Communities, Inc. | 1,330,000 | 62,550 | |
American Homes 4 Rent Class A | 2,250,000 | 58,972 | |
Cousins Properties, Inc. | 2,200,000 | 90,640 | |
Medical Properties Trust, Inc. | 3,200,000 | 67,552 | |
SBA Communications, Corp. | 205,000 | 49,403 | |
329,117 | |||
Shares | Value | ||
Utilities—8.7% | |||
CMS Energy Corp. | 900,000 | $56,556 | |
FirstEnergy Corp. | 1,925,000 | 93,555 | |
Public Service Enterprise Group, Inc. | 1,090,000 | 64,364 | |
Sempra Energy | 340,000 | 51,503 | |
Xcel Energy, Inc. | 885,000 | 56,189 | |
322,167 | |||
Total Common Stocks (Identified Cost $3,102,243) | 3,532,176 | ||
Total Long-Term Investments—95.5% (Identified Cost $3,102,243) | 3,532,176 | ||
Short-Term Investment—3.0% | |||
Money Market Mutual Fund—3.0% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(1) | 112,250,668 | 112,251 | |
Total Short-Term Investment (Identified Cost $112,251) | 112,251 | ||
TOTAL INVESTMENTS—98.5% (Identified Cost $3,214,494) | $3,644,427 | ||
Other assets and liabilities, net—1.5% | 53,715 | ||
NET ASSETS—100.0% | $3,698,142 |
Footnote Legend: | |
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
United States | 94% |
Ireland | 3 |
Netherlands | 2 |
Bermuda | 1 |
Total | 100% |
† % of total investments as of December 31, 2019. |
Table of Contents
Total Value at December 31, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $3,532,176 | $3,532,176 | |
Money Market Mutual Fund | 112,251 | 112,251 | |
Total Investments | $3,644,427 | $3,644,427 |
Table of Contents
December 31, 2019
Shares | Value | ||
Common Stocks—100.0% | |||
Communication Services—1.0% | |||
Emerald Expositions Events, Inc. | 5,726 | $60 | |
John Wiley & Sons, Inc. Class A | 76,294 | 3,702 | |
Scholastic Corp. | 48,725 | 1,874 | |
5,636 | |||
Consumer Discretionary—10.6% | |||
American Eagle Outfitters, Inc. | 1,052,042 | 15,465 | |
Bloomin’ Brands, Inc. | 59,033 | 1,303 | |
Children’s Place, Inc. (The) | 226,492 | 14,160 | |
Designer Brands, Inc. Class A | 494,518 | 7,784 | |
Lithia Motors, Inc. Class A | 1,913 | 281 | |
Movado Group, Inc. | 88,351 | 1,921 | |
Penske Automotive Group, Inc. | 294,420 | 14,786 | |
Standard Motor Products, Inc. | 49,860 | 2,653 | |
58,353 | |||
Consumer Staples—4.5% | |||
Energizer Holdings, Inc. | 496,844 | 24,951 | |
PriceSmart, Inc. | 1,656 | 118 | |
25,069 | |||
Energy—0.5% | |||
SM Energy Co. | 260,710 | 2,930 | |
Financials—26.4% | |||
AMERISAFE, Inc. | 59,561 | 3,933 | |
Artisan Partners Asset Management, Inc. Class A | 67,446 | 2,180 | |
Bank of Hawaii Corp. | 119,830 | 11,403 | |
Cathay General Bancorp | 161,253 | 6,136 | |
Cohen & Steers, Inc. | 2,104 | 132 | |
Evercore, Inc. Class A | 170,262 | 12,729 | |
First American Financial Corp. | 352,288 | 20,545 | |
First Hawaiian, Inc. | 424,000 | 12,232 | |
First Interstate BancSystem, Inc. Class A | 177,349 | 7,434 | |
Hanover Insurance Group, Inc. (The) | 73,747 | 10,079 | |
Horace Mann Educators Corp. | 139,292 | 6,082 | |
Kemper Corp. | 357,297 | 27,691 |
Shares | Value | ||
Financials—continued | |||
SLM Corp. | 2,760,737 | $24,598 | |
TrustCo Bank Corp. NY | 95,937 | 832 | |
146,006 | |||
Health Care—3.0% | |||
Hill-Rom Holdings, Inc. | 132,896 | 15,088 | |
Phibro Animal Health Corp. Class A | 46,156 | 1,146 | |
16,234 | |||
Industrials—18.8% | |||
Altra Industrial Motion Corp. | 25,165 | 911 | |
Apogee Enterprises, Inc. | 182,476 | 5,931 | |
Columbus McKinnon Corp. | 21,267 | 851 | |
Covanta Holding Corp. | 615,379 | 9,132 | |
Cubic Corp. | 302,812 | 19,250 | |
EnerSys | 95,716 | 7,162 | |
EnPro Industries, Inc. | 75,624 | 5,058 | |
Greenbrier Cos., Inc. (The) | 38,085 | 1,235 | |
Herman Miller, Inc. | 197,960 | 8,245 | |
Interface, Inc. | 211,836 | 3,514 | |
Kelly Services, Inc. Class A | 116,676 | 2,635 | |
Kforce, Inc. | 91,826 | 3,646 | |
Knoll, Inc. | 350,719 | 8,859 | |
Korn Ferry | 109,748 | 4,653 | |
Lindsay Corp. | 3,074 | 295 | |
Matson, Inc. | 44,085 | 1,799 | |
Matthews International Corp. Class A | 22,684 | 866 | |
Ritchie Bros. Auctioneers, Inc. | 185,110 | 7,951 | |
Simpson Manufacturing Co., Inc. | 3,379 | 271 | |
Tennant Co. | 37,911 | 2,954 | |
Tetra Tech, Inc. | 3,264 | 281 | |
Valmont Industries, Inc. | 21,400 | 3,205 | |
Wabash National Corp. | 350,963 | 5,156 | |
Werner Enterprises, Inc. | 7,261 | 264 | |
104,124 | |||
Information Technology—19.0% | |||
AVX Corp. | 13,660 | 280 | |
Cabot Microelectronics Corp. | 62,326 | 8,995 | |
Cohu, Inc. | 193,003 | 4,410 | |
Comtech Telecommunications Corp. | 188,937 | 6,705 | |
Daktronics, Inc. | 22,060 | 134 | |
Dolby Laboratories, Inc. Class A | 82,369 | 5,667 |
Shares | Value | ||
Information Technology—continued | |||
Littelfuse, Inc. | 38,047 | $7,278 | |
MKS Instruments, Inc. | 78,684 | 8,656 | |
Monolithic Power Systems, Inc. | 50,497 | 8,990 | |
Power Integrations, Inc. | 292,260 | 28,908 | |
Sabre Corp. | 1,122,701 | 25,193 | |
105,216 | |||
Materials—4.9% | |||
AptarGroup, Inc. | 12,151 | 1,405 | |
Boise Cascade Co. | 3,336 | 122 | |
Carpenter Technology Corp. | 92,301 | 4,595 | |
Commercial Metals Co. | 121,273 | 2,701 | |
Haynes International, Inc. | 21,240 | 760 | |
Neenah, Inc. | 3,943 | 277 | |
Sensient Technologies Corp. | 63,790 | 4,216 | |
W.R. Grace & Co. | 188,942 | 13,197 | |
27,273 | |||
Real Estate—11.3% | |||
Alexander & Baldwin, Inc. | 256,116 | 5,368 | |
American Campus Communities, Inc. | 183,464 | 8,628 | |
DiamondRock Hospitality Co. | 382,292 | 4,236 | |
Monmouth Real Estate Investment Corp. | 37,450 | 542 | |
Outfront Media, Inc. | 338,653 | 9,083 | |
Physicians Realty Trust | 1,181,378 | 22,375 | |
Tanger Factory Outlet Centers, Inc. | 738,935 | 10,885 | |
Taubman Centers, Inc. | 42,299 | 1,315 | |
62,432 | |||
Total Common Stocks (Identified Cost $468,279) | 553,273 | ||
Total Long-Term Investments—100.0% (Identified Cost $468,279) | 553,273 | ||
TOTAL INVESTMENTS—100.0% (Identified Cost $468,279) | $553,273 | ||
Other assets and liabilities, net—0.0% | 113 | ||
NET ASSETS—100.0% | $553,386 |
Table of Contents
Total Value at December 31, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $553,273 | $553,273 | |
Total Investments | $553,273 | $553,273 |
Table of Contents
December 31, 2019
Shares | Value | ||
Common Stocks—96.8% | |||
China—12.9% | |||
Alibaba Group Holding Ltd. Sponsored ADR(1) | 8,779 | $1,862 | |
Shandong Weigao Group Medical Polymer Co. Ltd. Class H | 1,081,412 | 1,296 | |
TAL Education Group ADR(1) | 21,536 | 1,038 | |
Tencent Holdings Ltd. | 25,872 | 1,247 | |
5,443 | |||
Denmark—6.9% | |||
Chr. Hansen Holding A/S | 15,626 | 1,242 | |
Novo Nordisk A/S Sponsored ADR | 28,779 | 1,665 | |
2,907 | |||
France—7.2% | |||
Dassault Systemes SE | 6,237 | 1,025 | |
L’Oreal SA | 6,833 | 2,024 | |
3,049 | |||
Germany—8.1% | |||
adidas AG | 5,259 | 1,710 | |
SAP SE Sponsored ADR | 12,519 | 1,677 | |
3,387 | |||
Hong Kong—5.0% | |||
AIA Group Ltd. | 201,245 | 2,113 | |
India—7.4% | |||
Asian Paints Ltd. | 42,368 | 1,060 | |
HDFC Bank Ltd. ADR | 32,244 | 2,043 | |
3,103 | |||
Ireland—3.0% | |||
Linde plc | 5,934 | 1,263 | |
Japan—4.9% | |||
Fast Retailing Co. Ltd. | 1,761 | 1,053 | |
Sysmex Corp. | 14,524 | 996 | |
2,049 | |||
Shares | Value | ||
Mexico—6.3% | |||
Fomento Economico Mexicano SAB de C.V. Sponsored ADR | 13,109 | $1,239 | |
Wal-Mart de Mexico SAB de C.V. | 484,081 | 1,390 | |
2,629 | |||
Netherlands—7.4% | |||
Adyen NV(1) | 1,268 | 1,040 | |
Heineken NV | 19,526 | 2,079 | |
3,119 | |||
South Africa—2.6% | |||
Sanlam Ltd. | 192,156 | 1,085 | |
Switzerland—9.0% | |||
Alcon, Inc.(1) | 21,855 | 1,236 | |
Nestle S.A. Registered Shares | 15,895 | 1,721 | |
Temenos AG Registered Shares(1) | 5,190 | 822 | |
3,779 | |||
United Kingdom—13.7% | |||
Aon plc | 9,696 | 2,020 | |
Diageo plc | 40,082 | 1,699 | |
IHS Markit Ltd.(1) | 27,066 | 2,039 | |
5,758 | |||
United States—2.4% | |||
MercadoLibre, Inc.(1) | 1,769 | 1,012 | |
Total Common Stocks (Identified Cost $33,001) | 40,696 | ||
Total Long-Term Investments—96.8% (Identified Cost $33,001) | 40,696 | ||
Shares | Value | ||
Short-Term Investment—0.2% | |||
Money Market Mutual Fund—0.2% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(2) | 99,864 | $100 | |
Total Short-Term Investment (Identified Cost $100) | 100 | ||
TOTAL INVESTMENTS—97.0% (Identified Cost $33,101) | $40,796 | ||
Other assets and liabilities, net—3.0% | 1,269 | ||
NET ASSETS—100.0% | $42,065 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
United Kingdom | 14% |
China | 13 |
Switzerland | 9 |
Germany | 8 |
Netherlands | 8 |
India | 8 |
France | 8 |
Other | 32 |
Total | 100% |
† % of total investments as of December 31, 2019. |
Total Value at December 31, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $40,696 | $40,696 | |
Money Market Mutual Fund | 100 | 100 | |
Total Investments | $40,796 | $40,796 |
Table of Contents
December 31, 2019
Shares | Value | ||
Common Stocks—99.6% | |||
Communication Services—16.0% | |||
Alphabet, Inc. Class A(1) | 2,853 | $3,821 | |
Alphabet, Inc. Class C(1) | 2,929 | 3,916 | |
Comcast Corp. Class A | 40,823 | 1,836 | |
Facebook, Inc. Class A(1) | 18,192 | 3,734 | |
Netflix, Inc.(1) | 6,118 | 1,980 | |
Walt Disney Co. (The) | 14,424 | 2,086 | |
17,373 | |||
Consumer Discretionary—14.8% | |||
Amazon.com, Inc.(1) | 4,169 | 7,704 | |
Chipotle Mexican Grill, Inc.(1) | 825 | 691 | |
Etsy, Inc.(1) | 7,055 | 312 | |
Home Depot, Inc. (The) | 10,507 | 2,294 | |
O’Reilly Automotive, Inc.(1) | 4,670 | 2,047 | |
Royal Caribbean Cruises Ltd. | 5,874 | 784 | |
TJX Cos., Inc. (The) | 27,218 | 1,662 | |
Tractor Supply Co. | 5,732 | 536 | |
16,030 | |||
Consumer Staples—4.6% | |||
Colgate-Palmolive Co. | 12,407 | 854 | |
Costco Wholesale Corp. | 8,097 | 2,380 | |
Estee Lauder Cos., Inc. (The) Class A | 8,526 | 1,761 | |
4,995 | |||
Energy—0.6% | |||
EOG Resources, Inc. | 8,261 | 692 | |
Financials—1.7% | |||
American Express Co. | 9,763 | 1,216 | |
Goldman Sachs Group, Inc. (The) | 2,545 | 585 | |
1,801 | |||
Shares | Value | ||
Health Care—12.9% | |||
Alexion Pharmaceuticals, Inc.(1) | 7,367 | $797 | |
Becton, Dickinson & Co. | 2,038 | 554 | |
Bristol-Myers Squibb Co. | 21,150 | 1,358 | |
DexCom, Inc.(1) | 3,131 | 685 | |
Edwards Lifesciences Corp.(1) | 8,654 | 2,019 | |
Exact Sciences Corp.(1) | 10,749 | 994 | |
Insulet Corp.(1) | 2,384 | 408 | |
Intuitive Surgical, Inc.(1) | 1,943 | 1,149 | |
Mettler-Toledo International, Inc.(1) | 1,411 | 1,119 | |
Teladoc Health, Inc.(1) | 3,906 | 327 | |
Thermo Fisher Scientific, Inc. | 2,033 | 660 | |
UnitedHealth Group, Inc. | 9,103 | 2,676 | |
Vertex Pharmaceuticals, Inc.(1) | 5,454 | 1,194 | |
13,940 | |||
Industrials—9.6% | |||
Boeing Co. (The) | 4,680 | 1,525 | |
Deere & Co. | 8,063 | 1,397 | |
Emerson Electric Co. | 9,528 | 727 | |
Fair Isaac Corp.(1) | 1,307 | 490 | |
Honeywell International, Inc. | 8,750 | 1,549 | |
IHS Markit Ltd.(1) | 13,041 | 983 | |
Knight-Swift Transportation Holdings, Inc. | 31,672 | 1,135 | |
Roper Technologies, Inc. | 1,712 | 606 | |
Waste Management, Inc. | 7,689 | 876 | |
Xylem, Inc. | 14,882 | 1,172 | |
10,460 | |||
Information Technology—36.7% | |||
Analog Devices, Inc. | 6,834 | 812 | |
Apple, Inc. | 25,618 | 7,523 | |
Applied Materials, Inc. | 24,342 | 1,486 |
Shares | Value | ||
Information Technology—continued | |||
Autodesk, Inc.(1) | 11,772 | $2,160 | |
Mastercard, Inc. Class A | 9,796 | 2,925 | |
Microsoft Corp. | 68,893 | 10,864 | |
NVIDIA Corp. | 6,508 | 1,531 | |
Paycom Software, Inc.(1) | 2,387 | 632 | |
QUALCOMM, Inc. | 9,234 | 815 | |
salesforce.com, Inc.(1) | 11,331 | 1,843 | |
Splunk, Inc.(1) | 5,242 | 785 | |
Universal Display Corp. | 6,169 | 1,271 | |
Visa, Inc. Class A | 30,843 | 5,795 | |
Workday, Inc. Class A(1) | 8,239 | 1,355 | |
39,797 | |||
Materials—1.6% | |||
Air Products & Chemicals, Inc. | 2,641 | 620 | |
Vulcan Materials Co. | 8,096 | 1,166 | |
1,786 | |||
Real Estate—1.1% | |||
Equinix, Inc. | 1,955 | 1,141 | |
Total Common Stocks (Identified Cost $50,757) | 108,015 | ||
Total Long-Term Investments—99.6% (Identified Cost $50,757) | 108,015 | ||
TOTAL INVESTMENTS—99.6% (Identified Cost $50,757) | $108,015 | ||
Other assets and liabilities, net—0.4% | 426 | ||
NET ASSETS—100.0% | $108,441 |
Footnote Legend: | |
(1) | Non-income producing. |
Total Value at December 31, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $108,015 | $108,015 | |
Total Investments | $108,015 | $108,015 |
Table of Contents
December 31, 2019
Shares | Value | ||
Common Stocks—97.6% | |||
Communication Services—4.7% | |||
Cable One, Inc. | 323 | $481 | |
Cardlytics, Inc.(1) | 5,273 | 331 | |
Roku, Inc.(1) | 4,488 | 601 | |
1,413 | |||
Consumer Discretionary—10.1% | |||
Boyd Gaming Corp. | 8,727 | 261 | |
Cavco Industries, Inc.(1) | 948 | 185 | |
Churchill Downs, Inc. | 2,700 | 371 | |
Etsy, Inc.(1) | 4,139 | 183 | |
Five Below, Inc.(1) | 2,702 | 346 | |
iRobot Corp.(1)(2) | 2,513 | 127 | |
Ollie’s Bargain Outlet Holdings, Inc.(1) | 3,378 | 221 | |
Planet Fitness, Inc. Class A(1) | 4,733 | 354 | |
Shake Shack, Inc. Class A(1) | 1,601 | 95 | |
Texas Roadhouse, Inc. | 9,290 | 523 | |
Wingstop, Inc. | 3,979 | 343 | |
3,009 | |||
Consumer Staples—3.9% | |||
Inter Parfums, Inc. | 3,773 | 274 | |
J&J Snack Foods Corp. | 1,376 | 254 | |
Simply Good Foods Co. (The)(1) | 9,949 | 284 | |
WD-40 Co. | 1,859 | 361 | |
1,173 | |||
Energy—0.5% | |||
Cactus, Inc. Class A | 4,352 | 149 | |
Financials—6.7% | |||
Ameris Bancorp | 6,270 | 267 | |
Ares Management Corp. Class A | 7,623 | 272 | |
Essent Group Ltd. | 3,238 | 168 | |
First Financial Bankshares, Inc. | 11,722 | 411 | |
Goosehead Insurance, Inc. Class A(2) | 2,317 | 98 | |
Heritage Commerce Corp. | 17,290 | 222 | |
NMI Holdings, Inc. Class A(1) | 6,766 | 225 | |
RLI Corp. | 3,834 | 345 | |
2,008 | |||
Health Care—28.2% | |||
Aimmune Therapeutics, Inc.(1) | 7,619 | 255 | |
Allakos, Inc.(1) | 2,242 | 214 | |
Bio-Techne Corp. | 2,301 | 505 | |
Chemed Corp. | 1,589 | 698 | |
Encompass Health Corp. | 8,195 | 568 | |
GW Pharmaceuticals plc ADR(1) | 2,095 | 219 | |
HealthEquity, Inc.(1) | 6,644 | 492 | |
Insmed, Inc.(1) | 5,270 | 126 | |
Inspire Medical Systems, Inc.(1) | 4,324 | 321 |
Shares | Value | ||
Health Care—continued | |||
Insulet Corp.(1) | 4,201 | $719 | |
Invitae Corp.(1) | 9,068 | 146 | |
LHC Group, Inc.(1) | 3,409 | 470 | |
Madrigal Pharmaceuticals, Inc.(1) | 1,291 | 118 | |
Natera, Inc.(1) | 9,493 | 320 | |
Novocure Ltd.(1) | 5,536 | 466 | |
Penumbra, Inc.(1) | 2,758 | 453 | |
Phreesia, Inc.(1) | 10,231 | 272 | |
Reata Pharmaceuticals, Inc. Class A(1) | 3,483 | 712 | |
REGENXBIO, Inc.(1) | 3,971 | 163 | |
Sarepta Therapeutics, Inc.(1) | 4,393 | 567 | |
Tandem Diabetes Care, Inc.(1) | 7,307 | 436 | |
Ultragenyx Pharmaceutical, Inc.(1) | 4,570 | 195 | |
8,435 | |||
Industrials—20.0% | |||
Air Transport Services Group, Inc.(1) | 12,216 | 287 | |
ASGN, Inc.(1) | 4,676 | 332 | |
Barnes Group, Inc. | 3,764 | 233 | |
Brink’s Co. (The) | 4,793 | 435 | |
BWX Technologies, Inc. | 3,626 | 225 | |
Casella Waste Systems, Inc. Class A(1) | 11,066 | 509 | |
Chart Industries, Inc.(1) | 5,212 | 352 | |
ESCO Technologies, Inc. | 2,104 | 195 | |
Forward Air Corp. | 5,419 | 379 | |
Herc Holdings, Inc.(1) | 3,226 | 158 | |
KAR Auction Services, Inc. | 4,917 | 107 | |
Kratos Defense & Security Solutions, Inc.(1) | 14,832 | 267 | |
Mercury Systems, Inc.(1) | 7,788 | 538 | |
Parsons Corp.(1) | 2,539 | 105 | |
Proto Labs, Inc.(1) | 2,883 | 293 | |
Saia, Inc.(1) | 3,663 | 341 | |
Simpson Manufacturing Co., Inc. | 3,603 | 289 | |
Teledyne Technologies, Inc.(1) | 2,687 | 931 | |
5,976 | |||
Information Technology—18.6% | |||
Cabot Microelectronics Corp. | 2,756 | 398 | |
Coupa Software, Inc.(1) | 3,351 | 490 | |
Everbridge, Inc.(1) | 4,521 | 353 | |
Five9, Inc.(1) | 9,094 | 596 | |
II-VI, Inc.(1) | 12,387 | 417 | |
LivePerson, Inc.(1) | 4,484 | 166 | |
Mimecast Ltd.(1) | 2,057 | 89 | |
Paycom Software, Inc.(1) | 880 | 233 | |
Proofpoint, Inc.(1) | 2,416 | 277 | |
PROS Holdings, Inc.(1) | 2,781 | 167 | |
Q2 Holdings, Inc.(1) | 13,572 | 1,101 | |
Rogers Corp.(1) | 1,773 | 221 | |
Tower Semiconductor Ltd.(1) | 7,787 | 187 |
Shares | Value | ||
Information Technology—continued | |||
Varonis Systems, Inc.(1) | 1,772 | $138 | |
ViaSat, Inc.(1) | 6,891 | 504 | |
Workiva, Inc.(1) | 5,063 | 213 | |
5,550 | |||
Materials—4.9% | |||
Ashland Global Holdings, Inc. | 2,663 | 204 | |
Balchem Corp. | 5,551 | 564 | |
Quaker Chemical Corp. | 2,493 | 410 | |
W.R. Grace & Co. | 4,143 | 290 | |
1,468 | |||
Total Common Stocks (Identified Cost $20,896) | 29,181 | ||
Total Long-Term Investments—97.6% (Identified Cost $20,896) | 29,181 | ||
Short-Term Investment—0.8% | |||
Money Market Mutual Fund—0.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(3) | 237,205 | 237 | |
Total Short-Term Investment (Identified Cost $237) | 237 | ||
Securities Lending Collateral—0.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(3)(4) | 181,431 | 181 | |
Total Securities Lending Collateral (Identified Cost $181) | 181 | ||
TOTAL INVESTMENTS—99.0% (Identified Cost $21,314) | $29,599 | ||
Other assets and liabilities, net—1.0% | 314 | ||
NET ASSETS—100.0% | $29,913 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | All or a portion of security is on loan. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(4) | Represents security purchased with cash collateral received for securities on loan. |
Table of Contents
Total Value at December 31, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $29,181 | $29,181 | |
Securities Lending Collateral | 181 | 181 | |
Money Market Mutual Fund | 237 | 237 | |
Total Investments | $29,599 | $29,599 |
Table of Contents
December 31, 2019
Shares | Value | ||
Common Stocks—99.5% | |||
Communication Services—12.6% | |||
Facebook, Inc. Class A(1) | 29,000 | $5,952 | |
Netflix, Inc.(1) | 22,000 | 7,118 | |
Zillow Group, Inc. Class C(1) | 91,000 | 4,181 | |
17,251 | |||
Consumer Discretionary—28.0% | |||
Alibaba Group Holding Ltd. Sponsored ADR(1) | 22,400 | 4,751 | |
Amazon.com, Inc.(1) | 3,700 | 6,837 | |
Chegg, Inc.(1) | 10,000 | 379 | |
Chewy, Inc. Class A(1) | 110,200 | 3,196 | |
lululemon athletica, Inc.(1) | 10,000 | 2,317 | |
MercadoLibre, Inc.(1) | 10,300 | 5,891 | |
Revolve Group, Inc.(1) | 45,000 | 826 | |
Shake Shack, Inc. Class A(1) | 38,500 | 2,294 | |
Tesla, Inc.(1) | 22,040 | 9,220 | |
Wayfair, Inc. Class A(1) | 28,100 | 2,539 | |
38,250 | |||
Financials—1.3% | |||
Goosehead Insurance, Inc. Class A | 41,000 | 1,739 | |
Health Care—14.3% | |||
Adaptive Biotechnologies Corp.(1) | 16,700 | 500 | |
BioMarin Pharmaceutical, Inc.(1) | 33,000 | 2,790 | |
Exact Sciences Corp.(1) | 83,100 | 7,685 | |
Sage Therapeutics, Inc.(1) | 10,900 | 787 | |
Teladoc Health, Inc.(1) | 88,000 | 7,367 | |
Tilray, Inc.(1) | 25,000 | 428 | |
19,557 | |||
Industrials—6.2% | |||
CoStar Group, Inc.(1) | 6,700 | 4,009 |
Shares | Value | ||
Industrials—continued | |||
Lyft, Inc. Class A(1) | 50,000 | $2,151 | |
Uber Technologies, Inc.(1) | 80,000 | 2,379 | |
8,539 | |||
Information Technology—37.1% | |||
Adobe, Inc.(1) | 11,300 | 3,727 | |
NVIDIA Corp. | 28,200 | 6,635 | |
Okta, Inc.(1) | 42,700 | 4,926 | |
Paylocity Holding Corp.(1) | 30,000 | 3,625 | |
PayPal Holdings, Inc.(1) | 38,000 | 4,110 | |
Pluralsight, Inc. Class A(1) | 75,000 | 1,291 | |
Q2 Holdings, Inc.(1) | 8,500 | 689 | |
RingCentral, Inc. Class A(1) | 28,500 | 4,807 | |
ServiceNow, Inc.(1) | 15,000 | 4,235 | |
Shopify, Inc. Class A(1) | 20,700 | 8,230 | |
Square, Inc. Class A(1) | 19,000 | 1,189 | |
Trade Desk, Inc. (The) Class A(1) | 27,990 | 7,271 | |
50,735 | |||
Total Common Stocks (Identified Cost $85,963) | 136,071 | ||
Total Long-Term Investments—99.5% (Identified Cost $85,963) | 136,071 | ||
Short-Term Investment—0.9% | |||
Money Market Mutual Fund—0.9% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(2) | 1,293,883 | 1,294 | |
Total Short-Term Investment (Identified Cost $1,294) | 1,294 | ||
Value | ||
TOTAL INVESTMENTS—100.4% (Identified Cost $87,257) | $137,365 | |
Other assets and liabilities, net—(0.4)% | (574) | |
NET ASSETS—100.0% | $136,791 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
United States | 91% |
Canada | 6 |
China | 3 |
Total | 100% |
† % of total investments as of December 31, 2019. |
Total Value at December 31, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $136,071 | $136,071 | |
Money Market Mutual Fund | 1,294 | 1,294 | |
Total Investments | $137,365 | $137,365 |
Table of Contents
December 31, 2019
Ceredex Large-Cap Value Equity Fund | Ceredex Mid-Cap Value Equity Fund | Ceredex Small-Cap Value Equity Fund | SGA International Growth Fund | ||||
Assets | |||||||
Investment in securities at value(1) | $1,270,646 | $3,644,427 | $553,273 | $40,796 | |||
Cash | 32,379 | 68,763 | 2,582 | 12 | |||
Receivables | |||||||
Investment securities sold | — | — | — | 480 | |||
Fund shares sold | 7,218 | 5,631 | 3,275 | 751 | |||
Dividends | 1,138 | 5,321 | 510 | 1 | |||
Tax reclaims | — | — | — | 159 | |||
Prepaid expenses | 48 | 85 | 45 | 36 | |||
Other assets | 87 | 248 | 38 | 3 | |||
Total assets | 1,311,516 | 3,724,475 | 559,723 | 42,238 | |||
Liabilities | |||||||
Due to custodian | — | — | — | 1 | |||
Payables | |||||||
Fund shares repurchased | 21,379 | 22,340 | 5,563 | 69 | |||
Investment securities purchased | 3,371 | — | — | — | |||
Foreign capital gains tax | — | — | — | 42 | |||
Investment advisory fees | 656 | 2,072 | 395 | 13 | |||
Distribution and service fees | 49 | 114 | 20 | 1 | |||
Administration and accounting fees | 114 | 326 | 50 | 4 | |||
Transfer agent and sub-transfer agent fees and expenses | 569 | 1,084 | 228 | 10 | |||
Professional fees | 18 | 19 | 20 | 10 | |||
Trustee deferred compensation plan | 87 | 248 | 38 | 3 | |||
Interest expense and/or commitment fees | 2 | 4 | 1 | —(a) | |||
Other accrued expenses | 61 | 126 | 22 | 20 | |||
Total liabilities | 26,306 | 26,333 | 6,337 | 173 | |||
Net Assets | $1,285,210 | $3,698,142 | $553,386 | $42,065 | |||
Net Assets Consist of: | |||||||
Capital paid in on shares of beneficial interest | $980,613 | $3,224,361 | $467,200 | $27,896 | |||
Accumulated earnings (loss) | 304,597 | 473,781 | 86,186 | 14,169 | |||
Net Assets | $1,285,210 | $3,698,142 | $553,386 | $42,065 | |||
Net Assets: | |||||||
Class A | $206,528 | $362,322 | $70,847 | $6,376 | |||
Class C | $5,531 | $45,867 | $5,457 | $— | |||
Class I | $668,846 | $2,469,800 | $460,284 | $35,641 | |||
Class R6 | $404,305 | $820,153 | $16,798 | $48 | |||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||||
Class A | 15,076,870 | 28,560,484 | 7,556,122 | 607,464 | |||
Class C | 417,238 | 3,710,050 | 666,108 | — | |||
Class I | 48,204,471 | 191,607,197 | 46,843,623 | 3,326,606 | |||
Class R6 | 28,965,227 | 63,471,526 | 1,707,348 | 4,448 | |||
Net Asset Value and Redemption Price Per Share: | |||||||
Class A | $13.70 | $12.69 | $9.38 | $10.50 | |||
Class C | $13.26 | $12.36 | $8.19 | $— | |||
Class I | $13.88 | $12.89 | $9.83 | $10.71 | |||
Class R6 | $13.96 | $12.92 | $9.84 | $10.74 |
Table of Contents
Ceredex Large-Cap Value Equity Fund | Ceredex Mid-Cap Value Equity Fund | Ceredex Small-Cap Value Equity Fund | SGA International Growth Fund | ||||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||||
Class A | $14.54 | $13.46 | $9.95 | $11.14 | |||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | 5.75% | |||
(1)Investment in securities at cost | $1,009,318 | $3,214,494 | $468,279 | $33,101 |
(a) | Amount is less than $500. |
Table of Contents
Silvant Large-Cap Growth Stock Fund | Silvant Small-Cap Growth Stock Fund | Zevenbergen Innovative Growth Stock Fund | |||
Assets | |||||
Investment in securities at value(1)(2) | $108,015 | $29,599 | $137,365 | ||
Cash | 2,283 | 573 | 350 | ||
Receivables | |||||
Investment securities sold | 2,352 | — | — | ||
Fund shares sold | 7 | 2 | 302 | ||
Dividends | 28 | 15 | 1 | ||
Securities lending income | — | —(a) | — | ||
Prepaid expenses | 25 | 22 | 29 | ||
Other assets | 8 | 2 | 9 | ||
Total assets | 112,718 | 30,213 | 138,056 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 252 | 69 | 954 | ||
Investment securities purchased | 3,862 | — | 150 | ||
Collateral on securities loaned | — | 181 | — | ||
Investment advisory fees | 79 | 10 | 64 | ||
Distribution and service fees | 20 | 3 | 10 | ||
Administration and accounting fees | 10 | 3 | 12 | ||
Transfer agent and sub-transfer agent fees and expenses | 20 | 11 | 39 | ||
Professional fees | 19 | 19 | 19 | ||
Trustee deferred compensation plan | 8 | 2 | 9 | ||
Interest expense and/or commitment fees | —(a) | —(a) | —(a) | ||
Other accrued expenses | 7 | 2 | 8 | ||
Total liabilities | 4,277 | 300 | 1,265 | ||
Net Assets | $108,441 | $29,913 | $136,791 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $47,910 | $21,263 | $105,337 | ||
Accumulated earnings (loss) | 60,531 | 8,650 | 31,454 | ||
Net Assets | $108,441 | $29,913 | $136,791 | ||
Net Assets: | |||||
Class A | $92,556 | $11,694 | $46,655 | ||
Class I | $15,720 | $18,219 | $90,136 | ||
Class R6 | $165 | $— | $— | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 17,241,895 | 1,697,113 | 1,638,066 | ||
Class I | 1,934,843 | 1,965,673 | 2,969,664 | ||
Class R6 | 20,121 | — | — | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $5.37 | $6.89 | $28.48 | ||
Class I | $8.12 | $9.27 | $30.35 | ||
Class R6 | $8.21 | $— | $— | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $5.70 | $7.31 | $30.22 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1)Investment in securities at cost | $50,757 | $21,314 | $87,257 | ||
(2) Market value of securities on loan | $— | $178 | $— |
(a) | Amount is less than $500. |
Table of Contents
YEAR ENDEDDecember 31, 2019
Ceredex Large-Cap Value Equity Fund | Ceredex Mid-Cap Value Equity Fund | Ceredex Small-Cap Value Equity Fund | SGA International Growth Fund | ||||
Investment Income | |||||||
Dividends | $29,163 | $64,708 | $14,392 | $960 | |||
Security lending, net of fees | 4 | 2 | — | 6 | |||
Foreign taxes withheld | (45) | — | (24) | (82) | |||
Total investment income | 29,122 | 64,710 | 14,368 | 884 | |||
Expenses | |||||||
Investment advisory fees | 8,598 | 21,617 | 4,923 | 596 | |||
Distribution and service fees, Class A | 520 | 827 | 195 | 31 | |||
Distribution and service fees, Class C | 51 | 435 | 68 | — | |||
Administration and accounting fees | 1,345 | 3,264 | 616 | 80 | |||
Transfer agent fees and expenses | 552 | 1,341 | 251 | 30 | |||
Sub-transfer agent fees and expenses, Class A | 386 | 578 | 144 | 7 | |||
Sub-transfer agent fees and expenses, Class C | 4 | 34 | 7 | — | |||
Sub-transfer agent fees and expenses, Class I | 1,372 | 3,602 | 807 | 44 | |||
Custodian fees | 3 | 7 | 2 | 4 | |||
Printing fees and expenses | 82 | 249 | 59 | 8 | |||
Professional fees | 42 | 62 | 34 | 56 | |||
Interest expense and/or commitment fees | 1 | 3 | —(1) | 9 | |||
Registration fees | 79 | 146 | 71 | 50 | |||
Trustees’ fees and expenses | 106 | 234 | 48 | 7 | |||
Miscellaneous expenses | 120 | 213 | 45 | 14 | |||
Total expenses | 13,261 | 32,612 | 7,270 | 936 | |||
Less net expenses reimbursed and/or waived by investment adviser(2) | (1,058) | (420) | (23) | (35) | |||
Less low balance account fees | —(1) | — | —(1) | — | |||
Net expenses | 12,203 | 32,192 | 7,247 | 901 | |||
Net investment income (loss) | 16,919 | 32,518 | 7,121 | (17) | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Investments | 125,177 | 283,559 | 27,892 | 23,946 | |||
Foreign currency transactions | — | — | — | (42) | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | 205,088 | 542,330 | 58,549 | (2,779) | |||
Foreign currency transactions | — | — | — | 1 | |||
Net realized and unrealized gain (loss) on investments | 330,265 | 825,889 | 86,441 | 21,126 | |||
Net increase (decrease) in net assets resulting from operations | $347,184 | $858,407 | $93,562 | $21,109 |
(1) | Amount is less than $500. |
(2) | See Note 3D in the Notes to Financial Statements. |
Table of Contents
Silvant Large-Cap Growth Stock Fund | Silvant Small-Cap Growth Stock Fund | Zevenbergen Innovative Growth Stock Fund | |||
Investment Income | |||||
Dividends | $1,050 | $147 | $123 | ||
Security lending, net of fees | —(1) | 1 | — | ||
Total investment income | 1,050 | 148 | 123 | ||
Expenses | |||||
Investment advisory fees | 747 | 248 | 1,435 | ||
Distribution and service fees, Class A | 200 | 27 | 122 | ||
Distribution and service fees, Class C | 83 | 9 | — | ||
Administration and accounting fees | 119 | 38 | 194 | ||
Transfer agent fees and expenses | 49 | 14 | 78 | ||
Sub-transfer agent fees and expenses, Class A | 30 | 9 | 59 | ||
Sub-transfer agent fees and expenses, Class C | 8 | 1 | — | ||
Sub-transfer agent fees and expenses, Class I | 27 | 31 | 155 | ||
Custodian fees | 1 | —(1) | 1 | ||
Printing fees and expenses | 10 | 4 | 14 | ||
Professional fees | 23 | 22 | 21 | ||
Interest expense and/or commitment fees | 1 | —(1) | 17 | ||
Registration fees | 59 | 44 | 55 | ||
Trustees’ fees and expenses | 8 | 2 | 14 | ||
Miscellaneous expenses | 18 | 8 | 21 | ||
Total expenses | 1,383 | 457 | 2,186 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (62) | (102) | (252) | ||
Less low balance account fees | —(1) | —(1) | — | ||
Net expenses | 1,321 | 355 | 1,934 | ||
Net investment income (loss) | (271) | (207) | (1,811) | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 12,609 | 2,992 | (9,063) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 18,668 | 5,654 | 43,895 | ||
Net realized and unrealized gain (loss) on investments | 31,277 | 8,646 | 34,832 | ||
Net increase (decrease) in net assets resulting from operations | $31,006 | $8,439 | $33,021 |
(1) | Amount is less than $500. |
(2) | See Note 3D in the Notes to Financial Statements. |
Table of Contents
Ceredex Large-Cap Value Equity Fund | Ceredex Mid-Cap Value Equity Fund | ||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $16,919 | $24,470 | $32,518 | $25,960 | |||
Net realized gain (loss) | 125,177 | 270,639 | 283,559 | 200,467 | |||
Net change in unrealized appreciation (depreciation) | 205,088 | (452,928) | 542,330 | (438,316) | |||
Increase (decrease) in net assets resulting from operations | 347,184 | (157,819) | 858,407 | (211,889) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (13,518) | (53,457) | (19,585) | (35,327) | |||
Class C | (339) | (3,328) | (2,225) | (7,006) | |||
Class I | (45,230) | (194,163) | (136,674) | (234,040) | |||
Class R6 | (25,235) | (65,935) | (46,058) | (51,699) | |||
Total Dividends and Distributions to Shareholders | (84,322) | (316,883) | (204,542) | (328,072) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (60,021) | (19,255) | 19,274 | 10,046 | |||
Class C | (10,334) | 1,976 | (17,758) | 17,005 | |||
Class I | (286,380) | (209,198) | 242,187 | (30,972) | |||
Class R6 | 68,747 | 33,668 | 287,970 | 110,772 | |||
Increase (decrease) in net assets from capital transactions | (287,988) | (192,809) | 531,673 | 106,851 | |||
Net increase (decrease) in net assets | (25,126) | (667,511) | 1,185,538 | (433,110) | |||
Net Assets | |||||||
Beginning of period | 1,310,336 | 1,977,847 | 2,512,604 | 2,945,714 | |||
End of Period | $1,285,210 | $1,310,336 | $3,698,142 | $2,512,604 |
Table of Contents
Ceredex Small-Cap Value Equity Fund | SGA International Growth Fund | ||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $7,121 | $6,726 | $(17) | $231 | |||
Net realized gain (loss) | 27,892 | 83,332 | 23,904 | 2,892 | |||
Net change in unrealized appreciation (depreciation) | 58,549 | (169,458) | (2,778) | (10,044) | |||
Increase (decrease) in net assets resulting from operations | 93,562 | (79,400) | 21,109 | (6,921) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (3,931) | (11,429) | (3,190) | (17) | |||
Class C | (300) | (2,616) | — | — | |||
Class I | (25,070) | (78,044) | (17,106) | (193) | |||
Class R6 | (736) | — | (15) | (28) | |||
Total Dividends and Distributions to Shareholders | (30,037) | (92,089) | (20,311) | (238) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (6,402) | (23,950) | (16,772) | 5,263 | |||
Class C | (10,278) | (1,347) | — | — | |||
Class I | (68,963) | (53,716) | (31,786) | 2,640 | |||
Class R6 | 17,217 | — | 1 | (9,108) | |||
Increase (decrease) in net assets from capital transactions | (68,426) | (79,013) | (48,557) | (1,205) | |||
Net increase (decrease) in net assets | (4,901) | (250,502) | (47,759) | (8,364) | |||
Net Assets | |||||||
Beginning of period | 558,287 | 808,789 | 89,824 | 98,188 | |||
End of Period | $553,386 | $558,287 | $42,065 | $89,824 |
Table of Contents
Silvant Large-Cap Growth Stock Fund | Silvant Small-Cap Growth Stock Fund | ||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $(271) | $(539) | $(207) | $(260) | |||
Net realized gain (loss) | 12,609 | 19,079 | 2,992 | 3,012 | |||
Net change in unrealized appreciation (depreciation) | 18,668 | (17,667) | 5,654 | (4,387) | |||
Increase (decrease) in net assets resulting from operations | 31,006 | 873 | 8,439 | (1,635) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (11,652) | (9,081) | (1,287) | (757) | |||
Class C | (1,787) | (13,661) | (38) | (1,343) | |||
Class I | (1,579) | (2,603) | (1,508) | (1,526) | |||
Class R6 | (14) | (35) | — | — | |||
Total Dividends and Distributions to Shareholders | (15,032) | (25,380) | (2,833) | (3,626) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 36,853 | (9,053) | 4,461 | 25 | |||
Class C | (33,736) | 8,694 | (4,040) | 865 | |||
Class I | (7,584) | (2,937) | 83 | (1,622) | |||
Class R6 | 29 | (358) | — | — | |||
Increase (decrease) in net assets from capital transactions | (4,438) | (3,654) | 504 | (732) | |||
Net increase (decrease) in net assets | 11,536 | (28,161) | 6,110 | (5,993) | |||
Net Assets | |||||||
Beginning of period | 96,905 | 125,066 | 23,803 | 29,796 | |||
End of Period | $108,441 | $96,905 | $29,913 | $23,803 |
Table of Contents
Zevenbergen Innovative Growth Stock Fund | |||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $(1,811) | $(904) | |
Net realized gain (loss) | (9,063) | (4,755) | |
Net change in unrealized appreciation (depreciation) | 43,895 | (6,273) | |
Increase (decrease) in net assets resulting from operations | 33,021 | (11,932) | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | — | (1,337) | |
Class I | — | (4,041) | |
Total Dividends and Distributions to Shareholders | — | (5,378) | |
Change in Net Assets from Capital Transactions (See Note 5): | |||
Class A | 13,124 | 23,715 | |
Class I | (6,660) | 67,787 | |
Increase (decrease) in net assets from capital transactions | 6,464 | 91,502 | |
Net increase (decrease) in net assets | 39,485 | 74,192 | |
Net Assets | |||
Beginning of period | 97,306 | 23,114 | |
End of Period | $136,791 | $97,306 |
Table of Contents
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | 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) | ||
Ceredex Large-Cap Value Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
1/1/19 to 12/31/19 | $11.21 | 0.13 | 3.30 | 3.43 | (0.17) | (0.77) | (0.94) | 2.49 | 13.70 | 30.56 % | $206,528 | 1.24 % | 1.29 % | 1.04 % | 118 % | |
1/1/18 to 12/31/18 | 16.20 | 0.18 | (1.81) | (1.63) | (0.24) | (3.12) | (3.36) | (4.99) | 11.21 | (10.63) | 223,853 | 1.24 | 1.27 | 1.16 | 128 | |
4/1/17 to 12/31/17(6) | 16.98 | 0.13 | 1.84 | 1.97 | (0.20) | (2.55) | (2.75) | (0.78) | 16.20 | 12.14 | 323,202 | 1.24 | 1.30 | 1.04 | 54 | |
4/1/16 to 3/31/17 | 14.60 | 0.23 | 2.43 | 2.66 | (0.22) | (0.06) | (0.28) | 2.38 | 16.98 | 18.31 | 335,256 | 1.25 | 1.36 | 1.45 | 77 | |
4/1/15 to 3/31/16 | 16.48 | 0.17 | (0.56) | (0.39) | (0.19) | (1.30) | (1.49) | (1.88) | 14.60 | (2.46) | 362,805 | 1.27 | 1.37 | 1.09 | 66 | |
4/1/14 to 3/31/15 | 16.90 | 0.18 | 0.99 | 1.17 | (0.18) | (1.41) | (1.59) | (0.42) | 16.48 | 6.98 | 461,642 | 1.25 | 1.36 | 1.03 | 73 | |
Class C | ||||||||||||||||
1/1/19 to 12/31/19 | $10.86 | 0.06 | 3.20 | 3.26 | (0.09) | (0.77) | (0.86) | 2.40 | 13.26 | 30.00 % | $5,531 | 1.72 % | 1.94 % | 0.51 % | 118 % | |
1/1/18 to 12/31/18 | 15.78 | 0.11 | (1.77) | (1.66) | (0.14) | (3.12) | (3.26) | (4.92) | 10.86 | (11.09) | 14,625 | 1.72 | 1.92 | 0.69 | 128 | |
4/1/17 to 12/31/17(6) | 16.59 | 0.08 | 1.78 | 1.86 | (0.12) | (2.55) | (2.67) | (0.81) | 15.78 | 11.76 | 17,744 | 1.68 | 1.86 | 0.61 | 54 | |
4/1/16 to 3/31/17 | 14.28 | 0.15 | 2.37 | 2.52 | (0.15) | (0.06) | (0.21) | 2.31 | 16.59 | 17.70 | 18,590 | 1.72 | 1.72 | 0.98 | 77 | |
4/1/15 to 3/31/16 | 16.15 | 0.10 | (0.55) | (0.45) | (0.12) | (1.30) | (1.42) | (1.87) | 14.28 | (2.88) | 19,053 | 1.71 | 1.71 | 0.65 | 66 | |
4/1/14 to 3/31/15 | 16.59 | 0.10 | 0.97 | 1.07 | (0.10) | (1.41) | (1.51) | (0.44) | 16.15 | 6.50 | 21,207 | 1.71 | 1.71 | 0.57 | 73 | |
Class I | ||||||||||||||||
1/1/19 to 12/31/19 | $11.34 | 0.17 | 3.34 | 3.51 | (0.20) | (0.77) | (0.97) | 2.54 | 13.88 | 30.94 % | $668,846 | 0.97 % | 1.04 % | 1.30 % | 118 % | |
1/1/18 to 12/31/18 | 16.35 | 0.23 | (1.84) | (1.61) | (0.28) | (3.12) | (3.40) | (5.01) | 11.34 | (10.39) | 799,262 | 0.97 | 1.02 | 1.43 | 128 | |
4/1/17 to 12/31/17(6) | 17.11 | 0.17 | 1.86 | 2.03 | (0.24) | (2.55) | (2.79) | (0.76) | 16.35 | 12.42 | 1,300,385 | 0.97 | 1.05 | 1.31 | 54 | |
4/1/16 to 3/31/17 | 14.71 | 0.28 | 2.45 | 2.73 | (0.27) | (0.06) | (0.33) | 2.40 | 17.11 | 18.63 | 1,432,996 | 0.97 | 1.09 | 1.73 | 77 | |
4/1/15 to 3/31/16 | 16.60 | 0.22 | (0.57) | (0.35) | (0.24) | (1.30) | (1.54) | (1.89) | 14.71 | (2.19) | 1,440,587 | 0.97 | 1.09 | 1.40 | 66 | |
4/1/14 to 3/31/15 | 17.02 | 0.23 | 0.99 | 1.22 | (0.23) | (1.41) | (1.64) | (0.42) | 16.60 | 7.25 | 1,927,039 | 0.95 | 1.07 | 1.33 | 73 | |
Class R6* | ||||||||||||||||
1/1/19 to 12/31/19 | $11.39 | 0.21 | 3.36 | 3.57 | (0.23) | (0.77) | (1.00) | 2.57 | 13.96 | 31.33 % | $404,305 | 0.72 % | 0.85 % | 1.55 % | 118 % | |
1/1/18 to 12/31/18 | 16.41 | 0.27 | (1.85) | (1.58) | (0.32) | (3.12) | (3.44) | (5.02) | 11.39 | (10.22) | 272,596 | 0.72 | 0.83 | 1.69 | 128 | |
4/1/17 to 12/31/17(6) | 17.18 | 0.21 | 1.85 | 2.06 | (0.28) | (2.55) | (2.83) | (0.77) | 16.41 | 12.60 | 336,516 | 0.72 | 0.80 | 1.57 | 54 | |
4/1/16 to 3/31/17 | 14.77 | 0.32 | 2.46 | 2.78 | (0.31) | (0.06) | (0.37) | 2.41 | 17.18 | 18.92 | 322,129 | 0.72 | 0.72 | 1.98 | 77 | |
4/1/15 to 3/31/16 | 16.66 | 0.23 | (0.53) | (0.30) | (0.29) | (1.30) | (1.59) | (1.89) | 14.77 | (1.90) | 272,861 | 0.72 | 0.72 | 1.48 | 66 | |
8/1/14(7) to 3/31/15 | 17.54 | 0.19 | 0.54 | 0.73 | (0.20) | (1.41) | (1.61) | (0.88) | 16.66 | 4.26 | 37,570 | 0.71 | 0.71 | 1.65 | 73 | |
Ceredex Mid-Cap Value Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
1/1/19 to 12/31/19 | $10.11 | 0.09 | 3.21 | 3.30 | (0.10) | (0.62) | (0.72) | 2.58 | 12.69 | 32.63 % | $362,322 | 1.34 % (8)(9) | 1.30 % | 0.73 % | 121 % | |
1/1/18 to 12/31/18 | 12.50 | 0.07 | (1.02) | (0.95) | (0.09) | (1.35) | (1.44) | (2.39) | 10.11 | (8.08) | 271,620 | 1.38 (8) | 1.31 | 0.55 | 109 | |
4/1/17 to 12/31/17(6) | 14.33 | 0.08 | 0.69 | 0.77 | (0.08) | (2.52) | (2.60) | (1.83) | 12.50 | 5.87 | 320,717 | 1.38 | 1.37 (10) | 0.75 (10) | 82 | |
4/1/16 to 3/31/17 | 12.22 | 0.11 | 2.63 | 2.74 | (0.13) | (0.50) | (0.63) | 2.11 | 14.33 | 22.69 | 369,102 | 1.39 | 1.45 | 0.81 | 108 | |
4/1/15 to 3/31/16 | 13.60 | 0.11 | (0.70) | (0.59) | (0.10) | (0.69) | (0.79) | (1.38) | 12.22 | (4.11) | 397,599 | 1.40 | 1.45 | 0.86 | 98 | |
4/1/14 to 3/31/15 | 13.96 | 0.09 | 0.92 | 1.01 | (0.08) | (1.29) | (1.37) | (0.36) | 13.60 | 7.45 | 590,327 | 1.38 | 1.41 | 0.64 | 94 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | 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) | ||
Ceredex Mid-Cap Value Equity Fund (Continued) | ||||||||||||||||
Class C | ||||||||||||||||
1/1/19 to 12/31/19 | $9.84 | 0.03 | 3.13 | 3.16 | (0.02) | (0.62) | (0.64) | 2.52 | 12.36 | 32.08 % | $45,867 | 1.79 % | 1.95 % | 0.26 % | 121 % | |
1/1/18 to 12/31/18 | 12.18 | 0.02 | (1.00) | (0.98) | (0.01) | (1.35) | (1.36) | (2.34) | 9.84 | (8.53) | 53,419 | 1.79 | 1.97 | 0.17 | 109 | |
4/1/17 to 12/31/17(6) | 14.02 | 0.03 | 0.68 | 0.71 | (0.03) | (2.52) | (2.55) | (1.84) | 12.18 | 5.52 | 48,877 | 1.80 | 1.92 | 0.33 | 82 | |
4/1/16 to 3/31/17 | 11.96 | 0.05 | 2.58 | 2.63 | (0.07) | (0.50) | (0.57) | 2.06 | 14.02 | 22.23 | 55,580 | 1.80 | 1.80 | 0.39 | 108 | |
4/1/15 to 3/31/16 | 13.34 | 0.06 | (0.68) | (0.62) | (0.07) | (0.69) | (0.76) | (1.38) | 11.96 | (4.49) | 64,160 | 1.78 | 1.78 | 0.50 | 98 | |
4/1/14 to 3/31/15 | 13.72 | 0.04 | 0.90 | 0.94 | (0.03) | (1.29) | (1.32) | (0.38) | 13.34 | 7.06 | 87,115 | 1.75 | 1.75 | 0.28 | 94 | |
Class I | ||||||||||||||||
1/1/19 to 12/31/19 | $10.25 | 0.13 | 3.26 | 3.39 | (0.13) | (0.62) | (0.75) | 2.64 | 12.89 | 33.08 % | $2,469,800 | 1.04 % (9) | 1.04 % | 1.04 % | 121 % | |
1/1/18 to 12/31/18 | 12.66 | 0.12 | (1.05) | (0.93) | (0.13) | (1.35) | (1.48) | (2.41) | 10.25 | (7.83) | 1,775,643 | 1.01 (9) | 1.01 | 0.92 | 109 | |
4/1/17 to 12/31/17(6) | 14.48 | 0.12 | 0.70 | 0.82 | (0.12) | (2.52) | (2.64) | (1.82) | 12.66 | 6.21 | 2,187,625 | 1.04 | 1.04 | 1.09 | 82 | |
4/1/16 to 3/31/17 | 12.34 | 0.15 | 2.66 | 2.81 | (0.17) | (0.50) | (0.67) | 2.14 | 14.48 | 23.08 | 2,716,560 | 1.08 | 1.08 | 1.12 | 108 | |
4/1/15 to 3/31/16 | 13.74 | 0.15 | (0.71) | (0.56) | (0.15) | (0.69) | (0.84) | (1.40) | 12.34 | (3.85) | 2,717,761 | 1.12 | 1.12 | 1.16 | 98 | |
4/1/14 to 3/31/15 | 14.09 | 0.13 | 0.93 | 1.06 | (0.12) | (1.29) | (1.41) | (0.35) | 13.74 | 7.76 | 3,552,288 | 1.10 | 1.10 | 0.92 | 94 | |
Class R6* | ||||||||||||||||
1/1/19 to 12/31/19 | $10.27 | 0.16 | 3.26 | 3.42 | (0.15) | (0.62) | (0.77) | 2.65 | 12.92 | 33.31 % | $820,153 | 0.79 % | 0.87 % | 1.28 % | 121 % | |
1/1/18 to 12/31/18 | 12.67 | 0.15 | (1.05) | (0.90) | (0.15) | (1.35) | (1.50) | (2.40) | 10.27 | (7.58) | 411,922 | 0.79 | 0.87 | 1.17 | 109 | |
4/1/17 to 12/31/17(6) | 14.49 | 0.15 | 0.70 | 0.85 | (0.15) | (2.52) | (2.67) | (1.82) | 12.67 | 6.41 | 388,495 | 0.80 | 0.85 | 1.37 | 82 | |
4/1/16 to 3/31/17 | 12.36 | 0.19 | 2.66 | 2.85 | (0.22) | (0.50) | (0.72) | 2.13 | 14.49 | 23.34 | 291,554 | 0.80 | 0.80 | 1.44 | 108 | |
4/1/15 to 3/31/16 | 13.76 | 0.21 | (0.72) | (0.51) | (0.20) | (0.69) | (0.89) | (1.40) | 12.36 | (3.45) | 192,640 | 0.80 | 0.80 | 1.68 | 98 | |
8/1/14(7) to 3/31/15 | 14.28 | 0.13 | 0.77 | 0.90 | (0.13) | (1.29) | (1.42) | (0.52) | 13.76 | 6.54 | 23,398 | 0.75 | 0.75 | 1.39 | 94 | |
Ceredex Small-Cap Value Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
1/1/19 to 12/31/19 | $8.45 | 0.09 | 1.37 | 1.46 | (0.14) | (0.39) | (0.53) | 0.93 | 9.38 | 17.21 % | $70,847 | 1.47 % (9) | 1.47 % | 0.99 % | 42 % | |
1/1/18 to 12/31/18 | 11.53 | 0.08 | (1.51) | (1.43) | (0.15) | (1.50) | (1.65) | (3.08) | 8.45 | (12.70) | 69,223 | 1.46 (9) | 1.46 | 0.68 | 44 | |
4/1/17 to 12/31/17(6) | 12.58 | 0.14 | 0.90 | 1.04 | (0.16) | (1.93) | (2.09) | (1.05) | 11.53 | 8.74 | 114,673 | 1.47 | 1.50 | 1.52 | 15 | |
4/1/16 to 3/31/17 | 10.96 | 0.07 | 2.20 | 2.27 | (0.09) | (0.56) | (0.65) | 1.62 | 12.58 | 20.81 | 123,495 | 1.55 | 1.55 | 0.58 | 29 | |
4/1/15 to 3/31/16 | 15.25 | 0.08 | (0.50) | (0.42) | (0.15) | (3.72) | (3.87) | (4.29) | 10.96 | (1.07) | 121,367 | 1.55 | 1.55 | 0.62 | 36 | |
4/1/14 to 3/31/15 | 17.61 | 0.15 | 0.38 | 0.53 | (0.10) | (2.79) | (2.89) | (2.36) | 15.25 | 3.79 | 162,732 | 1.52 | 1.52 | 0.89 | 10 | |
Class C | ||||||||||||||||
1/1/19 to 12/31/19 | $7.41 | 0.05 | 1.19 | 1.24 | (0.07) | (0.39) | (0.46) | 0.78 | 8.19 | 16.66 % | $5,457 | 1.90 % | 2.14 % | 0.61 % | 42 % | |
1/1/18 to 12/31/18 | 10.31 | 0.02 | (1.34) | (1.32) | (0.08) | (1.50) | (1.58) | (2.90) | 7.41 | (13.07) | 14,473 | 1.90 | 2.09 | 0.23 | 44 | |
4/1/17 to 12/31/17(6) | 11.46 | 0.09 | 0.80 | 0.89 | (0.11) | (1.93) | (2.04) | (1.15) | 10.31 | 8.28 | 20,658 | 1.90 | 2.07 | 1.05 | 15 | |
4/1/16 to 3/31/17 | 10.04 | 0.02 | 2.02 | 2.04 | (0.06) | (0.56) | (0.62) | 1.42 | 11.46 | 20.35 | 24,529 | 1.90 | 1.90 | 0.22 | 29 | |
4/1/15 to 3/31/16 | 14.31 | 0.03 | (0.47) | (0.44) | (0.11) | (3.72) | (3.83) | (4.27) | 10.04 | (1.34) | 27,410 | 1.90 | 1.90 | 0.28 | 36 | |
4/1/14 to 3/31/15 | 16.71 | 0.08 | 0.36 | 0.44 | (0.05) | (2.79) | (2.84) | (2.40) | 14.31 | 3.42 | 33,793 | 1.88 | 1.88 | 0.54 | 10 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | 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) | ||
Ceredex Small-Cap Value Equity Fund (Continued) | ||||||||||||||||
Class I | ||||||||||||||||
1/1/19 to 12/31/19 | $8.83 | 0.13 | 1.42 | 1.55 | (0.16) | (0.39) | (0.55) | 1.00 | 9.83 | 17.58 % | $460,284 | 1.20 % (9) | 1.20 % | 1.26 % | 42 % | |
1/1/18 to 12/31/18 | 11.98 | 0.12 | (1.58) | (1.46) | (0.19) | (1.50) | (1.69) | (3.15) | 8.83 | (12.50) | 474,591 | 1.18 (9) | 1.18 | 0.99 | 44 | |
4/1/17 to 12/31/17(6) | 12.99 | 0.16 | 0.94 | 1.10 | (0.18) | (1.93) | (2.11) | (1.01) | 11.98 | 8.94 | 673,458 | 1.22 | 1.22 | 1.72 | 15 | |
4/1/16 to 3/31/17 | 11.30 | 0.11 | 2.27 | 2.38 | (0.13) | (0.56) | (0.69) | 1.69 | 12.99 | 21.15 | 786,245 | 1.24 | 1.24 | 0.87 | 29 | |
4/1/15 to 3/31/16 | 15.59 | 0.13 | (0.50) | (0.37) | (0.20) | (3.72) | (3.92) | (4.29) | 11.30 | (0.64) | 820,124 | 1.21 | 1.21 | 0.93 | 36 | |
4/1/14 to 3/31/15 | 17.95 | 0.20 | 0.38 | 0.58 | (0.15) | (2.79) | (2.94) | (2.36) | 15.59 | 4.07 | 1,118,190 | 1.21 | 1.21 | 1.16 | 10 | |
Class R6 | ||||||||||||||||
2/26/19(11) to 12/31/19 | $10.04 | 0.15 | 0.22 | 0.37 | (0.18) | (0.39) | (0.57) | (0.20) | 9.84 | 3.69 % | $16,798 | 0.88 % | 1.04 % | 1.83 % | 42 % (12) | |
SGA International Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
1/1/19 to 12/31/19 | $10.95 | (0.02) | 2.92 | 2.90 | — | (3.35) | (3.35) | (0.45) | 10.50 | 28.28 % | $6,376 | 1.46 % (13)(14)(15) | 1.52 % | (0.20) % | 147 % (16) | |
1/1/18 to 12/31/18 | 11.90 | — (17) | (0.94) | (0.94) | (0.01) | — | (0.01) | (0.95) | 10.95 | (7.90) | 22,233 | 1.42 | 1.44 | 0.03 | 37 | |
4/1/17 to 12/31/17(6) | 10.05 | 0.02 | 1.84 | 1.86 | (0.01) | — | (0.01) | 1.85 | 11.90 | 18.50 | 18,567 | 1.43 | 1.56 | 0.20 | 17 | |
4/1/16 to 3/31/17 | 9.18 | 0.01 | 0.93 | 0.94 | (0.03) | (0.04) | (0.07) | 0.87 | 10.05 | 10.41 | 14,116 | 1.33 (18) | 1.43 (18) | 0.12 | 37 | |
4/1/15 to 3/31/16 | 10.34 | 0.09 | (0.27) | (0.18) | (0.06) | (0.92) | (0.98) | (1.16) | 9.18 | (1.77) | 3,756 | 1.51 | 1.77 | 0.89 | 114 | |
4/1/14 to 3/31/15 | 12.35 | 0.20 | (0.87) | (0.67) | (0.22) | (1.12) | (1.34) | (2.01) | 10.34 | (4.87) | 4,123 | 1.57 | 1.66 | 1.79 | 41 | |
Class I | ||||||||||||||||
1/1/19 to 12/31/19 | $11.13 | — (17) | 2.97 | 2.97 | (0.04) | (3.35) | (3.39) | (0.42) | 10.71 | 28.49 % | $35,641 | 1.25 % (13)(14)(15) | 1.30 % | 0.01 % | 147 % (16) | |
1/1/18 to 12/31/18 | 12.09 | 0.03 | (0.96) | (0.93) | (0.03) | — | (0.03) | (0.96) | 11.13 | (7.69) | 67,543 | 1.20 (8) | 1.19 | 0.28 | 37 | |
4/1/17 to 12/31/17(6) | 10.19 | 0.04 | 1.87 | 1.91 | (0.01) | — | (0.01) | 1.90 | 12.09 | 18.79 | 70,342 | 1.20 | 1.27 | 0.42 | 17 | |
4/1/16 to 3/31/17 | 9.30 | 0.03 | 0.94 | 0.97 | (0.04) | (0.04) | (0.08) | 0.89 | 10.19 | 10.54 | 51,120 | 1.14 (18) | 1.24 (18) | 0.34 | 37 | |
4/1/15 to 3/31/16 | 10.45 | 0.13 | (0.29) | (0.16) | (0.07) | (0.92) | (0.99) | (1.15) | 9.30 | (1.59) | 28,756 | 1.30 | 1.67 | 1.28 | 114 | |
4/1/14 to 3/31/15 | 12.45 | 0.25 | (0.90) | (0.65) | (0.23) | (1.12) | (1.35) | (2.00) | 10.45 | (4.59) | 19,023 | 1.37 | 1.48 | 2.15 | 41 | |
Class R6* | ||||||||||||||||
1/1/19 to 12/31/19 | $11.15 | — (17) | 2.99 | 2.99 | (0.05) | (3.35) | (3.40) | (0.41) | 10.74 | 28.59 % | $48 | 1.16 % (13)(14)(15) | 1.25 % | (0.02) % | 147 % (16) | |
1/1/18 to 12/31/18(19) | 12.11 | 0.05 | (0.97) | (0.92) | (0.04) | — | (0.04) | (0.96) | 11.15 | (7.63) | 48 | 1.10 | 1.11 | 0.43 | 37 | |
4/1/17 to 12/31/17(6) | 10.20 | 0.04 | 1.89 | 1.93 | (0.02) | — | (0.02) | 1.91 | 12.11 | 18.89 | 9,279 | 1.10 | 1.19 | 0.42 | 17 | |
4/1/16 to 3/31/17 | 9.31 | 0.05 | 0.93 | 0.98 | (0.05) | (0.04) | (0.09) | 0.89 | 10.20 | 10.62 | 6,558 | 1.03 (18) | 1.14 (18) | 0.49 | 37 | |
9/1/15(7) to 3/31/16 | 9.85 | — (17) | 0.38 | 0.38 | — | (0.92) | (0.92) | (0.54) | 9.31 | 3.81 | 5,832 | 1.14 | 1.54 | 0.09 | 114 | |
Silvant Large-Cap Growth Stock Fund | ||||||||||||||||
Class A | ||||||||||||||||
1/1/19 to 12/31/19 | $4.60 | (0.01) | 1.55 | 1.54 | — | (0.77) | (0.77) | 0.77 | 5.37 | 33.95 % | $92,556 | 1.23 % | 1.26 % | (0.25) % | 15 % | |
1/1/18 to 12/31/18 | 5.49 | (0.02) | 0.03 | 0.01 | — | (0.90) | (0.90) | (0.89) | 4.60 | (0.83) | 45,779 | 1.23 | 1.60 | (0.29) | 11 | |
4/1/17 to 12/31/17(6) | 7.20 | (0.01) | 1.21 | 1.20 | — | (2.91) | (2.91) | (1.71) | 5.49 | 17.88 | 63,051 | 1.23 | 1.46 | (0.09) | 14 | |
4/1/16 to 3/31/17 | 7.81 | (0.02) | 0.57 | 0.55 | — | (1.16) | (1.16) | (0.61) | 7.20 | 7.83 | 60,900 | 1.23 | 1.24 | (0.27) | 42 | |
4/1/15 to 3/31/16 | 8.75 | (0.03) | (0.11) | (0.14) | — | (0.80) | (0.80) | (0.94) | 7.81 | (2.13) | 62,115 | 1.20 | 1.21 | (0.39) | 10 | |
4/1/14 to 3/31/15 | 8.35 | (0.02) | 1.20 | 1.18 | — | (0.78) | (0.78) | 0.40 | 8.75 | 14.83 | 65,953 | 1.18 | 1.19 | (0.26) | 13 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | 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) | ||
Silvant Large-Cap Growth Stock Fund (Continued) | ||||||||||||||||
Class I | ||||||||||||||||
1/1/19 to 12/31/19 | $6.63 | — (17) | 2.26 | 2.26 | — | (0.77) | (0.77) | 1.49 | 8.12 | 34.41 % | $15,720 | 0.97 % | 1.12 % | 0.01 % | 15 % | |
1/1/18 to 12/31/18 | 7.53 | — (17) | — (17) | — | — | (0.90) | (0.90) | (0.90) | 6.63 | (0.75) | 19,234 | 0.97 | 1.10 | (0.02) | 11 | |
4/1/17 to 12/31/17(6) | 8.92 | 0.01 | 1.51 | 1.52 | — | (2.91) | (2.91) | (1.39) | 7.53 | 18.04 | 24,621 | 0.97 | 1.22 | 0.22 | 14 | |
4/1/16 to 3/31/17 | 9.38 | — (17) | 0.70 | 0.70 | — | (1.16) | (1.16) | (0.46) | 8.92 | 8.14 | 92,638 | 0.97 | 1.26 | (0.02) | 42 | |
4/1/15 to 3/31/16 | 10.32 | (0.02) | (0.12) | (0.14) | — | (0.80) | (0.80) | (0.94) | 9.38 | (1.79) | 110,562 | 0.97 | 1.24 | (0.15) | 10 | |
4/1/14 to 3/31/15 | 9.70 | — | 1.40 | 1.40 | — | (0.78) | (0.78) | 0.62 | 10.32 | 15.03 | 127,236 | 0.94 | 1.17 | (0.04) | 13 | |
Class R6* | ||||||||||||||||
1/1/19 to 12/31/19 | $6.69 | 0.01 | 2.28 | 2.29 | — | (0.77) | (0.77) | 1.52 | 8.21 | 34.57 % | $165 | 0.90 % | 0.98 % | 0.08 % | 15 % | |
1/1/18 to 12/31/18 | 7.59 | — (17) | — (17) | — | — | (0.90) | (0.90) | (0.90) | 6.69 | (0.73) | 110 | 0.90 | 0.95 | 0.03 | 11 | |
4/1/17 to 12/31/17(6) | 8.94 | 0.02 | 1.54 | 1.56 | — | (2.91) | (2.91) | (1.35) | 7.59 | 18.53 | 464 | 0.91 | 0.93 | 0.28 | 14 | |
4/1/16 to 3/31/17 | 9.39 | 0.01 | 0.70 | 0.71 | — | (1.16) | (1.16) | (0.45) | 8.94 | 8.23 | 2,426 | 0.90 | 0.90 | 0.05 | 42 | |
4/1/15 to 3/31/16 | 10.33 | (0.01) | (0.13) | (0.14) | — | (0.80) | (0.80) | (0.94) | 9.39 | (1.80) | 37,087 | 0.88 | 0.89 | (0.06) | 10 | |
8/1/14(7) to 3/31/15 | 9.97 | 0.01 | 1.13 | 1.14 | — | (0.78) | (0.78) | 0.36 | 10.33 | 12.02 | 52,967 | 0.85 | 0.87 | 0.16 | 13 | |
Silvant Small-Cap Growth Stock Fund | ||||||||||||||||
Class A | ||||||||||||||||
1/1/19 to 12/31/19 | $5.68 | (0.05) | 2.09 | 2.04 | — | (0.83) | (0.83) | 1.21 | 6.89 | 35.81 % | $11,694 | 1.27 % | 1.64 % | (0.76) % | 32 % | |
1/1/18 to 12/31/18 | 6.92 | (0.06) | (0.36) | (0.42) | — | (0.82) | (0.82) | (1.24) | 5.68 | (6.69) | 5,725 | 1.41 (13) | 1.68 | (0.88) | 36 | |
4/1/17 to 12/31/17(6) | 7.28 | (0.04) | 0.80 | 0.76 | — | (1.12) | (1.12) | (0.36) | 6.92 | 10.73 | 6,840 | 1.42 | 1.64 | (0.70) | 24 | |
4/1/16 to 3/31/17 | 7.13 | (0.04) | 1.38 | 1.34 | — | (1.19) | (1.19) | 0.15 | 7.28 | 19.30 | 7,008 | 1.41 | 1.43 | (0.55) | 56 | |
4/1/15 to 3/31/16 | 13.23 | (0.08) | (1.35) | (1.43) | — | (4.67) | (4.67) | (6.10) | 7.13 | (13.38) | 6,856 | 1.37 | 1.37 | (0.76) | 73 | |
4/1/14 to 3/31/15 | 15.30 | (0.13) | 0.56 | 0.43 | — | (2.50) | (2.50) | (2.07) | 13.23 | 4.21 | 9,889 | 1.32 | 1.32 | (0.96) | 31 | |
Class I | ||||||||||||||||
1/1/19 to 12/31/19 | $7.42 | (0.06) | 2.74 | 2.68 | — | (0.83) | (0.83) | 1.85 | 9.27 | 36.04 % | $18,219 | 1.15 % | 1.48 % | (0.64) % | 32 % | |
1/1/18 to 12/31/18 | 8.78 | (0.07) | (0.47) | (0.54) | — | (0.82) | (0.82) | (1.36) | 7.42 | (6.64) | 14,513 | 1.29 (13) | 1.53 | (0.76) | 36 | |
4/1/17 to 12/31/17(6) | 8.95 | (0.04) | 0.99 | 0.95 | — | (1.12) | (1.12) | (0.17) | 8.78 | 10.86 | 18,637 | 1.30 | 1.53 | (0.58) | 24 | |
4/1/16 to 3/31/17 | 8.52 | (0.04) | 1.66 | 1.62 | — | (1.19) | (1.19) | 0.43 | 8.95 | 19.45 | 26,929 | 1.29 | 1.43 | (0.44) | 56 | |
4/1/15 to 3/31/16 | 14.83 | (0.10) | (1.54) | (1.64) | — | (4.67) | (4.67) | (6.31) | 8.52 | (13.36) | 36,436 | 1.30 | 1.39 | (0.74) | 73 | |
4/1/14 to 3/31/15 | 16.82 | (0.14) | 0.65 | 0.51 | — | (2.50) | (2.50) | (1.99) | 14.83 | 4.31 | 126,223 | 1.28 | 1.34 | (0.92) | 31 | |
Zevenbergen Innovative Growth Stock Fund | ||||||||||||||||
Class A | ||||||||||||||||
1/1/19 to 12/31/19 | $20.83 | (0.32) | 7.97 | 7.65 | — | — | — | 7.65 | 28.48 | 36.73 % | $46,655 | 1.26 % (20) | 1.41 % | (1.20) % | 91 % | |
1/1/18 to 12/31/18 | 19.96 | (0.33) | 2.57 | 2.24 | — | (1.37) | (1.37) | 0.87 | 20.83 | 10.80 | 24,902 | 1.48 (8)(13) | 1.47 | (1.35) | 103 | |
4/1/17 to 12/31/17(6) | 18.56 | (0.21) | 3.74 | 3.53 | — | (2.13) | (2.13) | 1.40 | 19.96 | 19.18 | 5,484 | 1.51 | 1.66 | (1.40) | 50 | |
4/1/16 to 3/31/17 | 18.37 | (0.26) | 3.67 | 3.41 | — | (3.22) | (3.22) | 0.19 | 18.56 | 20.42 | 6,375 | 1.50 | 1.55 | (1.39) | 64 | |
4/1/15 to 3/31/16 | 20.76 | (0.29) | (0.57) | (0.86) | — | (1.53) | (1.53) | (2.39) | 18.37 | (4.96) | 8,127 | 1.49 | 1.49 | (1.38) | 59 | |
4/1/14 to 3/31/15 | 20.53 | (0.28) | 1.17 | 0.89 | — | (0.66) | (0.66) | 0.23 | 20.76 | 4.47 | 10,535 | 1.45 | 1.45 | (1.34) | 42 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | 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) | ||
Zevenbergen Innovative Growth Stock Fund (Continued) | ||||||||||||||||
Class I | ||||||||||||||||
1/1/19 to 12/31/19 | $22.15 | (0.26) | 8.46 | 8.20 | — | — | — | 8.20 | 30.35 | 37.02 % | $90,136 | 1.01 % (20) | 1.15 % | (0.94) % | 91 % | |
1/1/18 to 12/31/18 | 21.10 | (0.30) | 2.72 | 2.42 | — | (1.37) | (1.37) | 1.05 | 22.15 | 11.07 | 72,404 | 1.27 (8)(13) | 1.23 | (1.15) | 103 | |
4/1/17 to 12/31/17(6) | 19.49 | (0.19) | 3.93 | 3.74 | — | (2.13) | (2.13) | 1.61 | 21.10 | 19.34 | 17,630 | 1.31 | 1.50 | (1.19) | 50 | |
4/1/16 to 3/31/17 | 19.11 | (0.23) | 3.83 | 3.60 | — | (3.22) | (3.22) | 0.38 | 19.49 | 20.63 | 22,330 | 1.30 | 1.44 | (1.18) | 64 | |
4/1/15 to 3/31/16 | 21.49 | (0.26) | (0.59) | (0.85) | — | (1.53) | (1.53) | (2.38) | 19.11 | (4.74) | 18,203 | 1.31 | 1.39 | (1.20) | 59 | |
4/1/14 to 3/31/15 | 21.20 | (0.26) | 1.21 | 0.95 | — | (0.66) | (0.66) | 0.29 | 21.49 | 4.61 | 24,321 | 1.31 | 1.34 | (1.20) | 42 |
Footnote Legend: | |
* | On September 18, 2017, Class IS shares were renamed Class R6 shares. |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Sales charges, where applicable, are not reflected in the total return calculation. |
(4) | Annualized for periods less than one year. |
(5) | The Funds will also indirectly bear their prorated share of expenses of any underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(6) | The Fund changed its fiscal year end to December 31 during the period. |
(7) | Class R6 (formerly IS) commenced operations for the predecessor fund (see Note 1). |
(8) | See Note 3D in the Notes to Financial Statements for information on recapture of expenses previously reimbursed. |
(9) | The share class is currently under its expense limitation. |
(10) | The ratio excludes expenses waived/reimbursed net of amount recaptured. If expenses waived/reimbursed net of amount recaptured were included, the ratio would have been higher than the ratio shown. |
(11) | Inception date. |
(12) | Portfolio turnover is representative of the Fund for the entire year ended December 31, 2019. |
(13) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(14) | Net expense ratio includes extraordinary proxy expenses. |
(15) | Ratios of total expenses excluding interest expense on borrowings for the year ended December 31, 2019 were 1.45% (Class A), 1.24% (Class I) and 1.15% (Class R6). |
(16) | The Fund’s portfolio turnover rate increased substantially during the year ended December 31, 2019 due to a change in the Fund’s subadviser and associated repositioning. |
(17) | Amount is less than $0.005 per share. |
(18) | Net investment income per share and the ratio of net investment income to average net assets include a non-recurring refund for overbilling of prior years’ custodian out-of-pocket fees which amounted to $0.01 per share and 0.09%, 0.07%, and 0.07% of average net assets for the Class A, Class I and Class R6 (formerly IS), respectively. |
(19) | From November 9 through November 13, 2018, the Fund’s Class R6 shares did not have any investors, though the net asset value continued to be calculated using another share class adjusted for class expenses. |
(20) | Ratios of total expenses excluding interest expense on borrowings for the year ended December 31, 2019 were 1.25% (Class A) and 1.00% (Class I). |
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December 31, 2019
Predecessor Fund | Fund | |
RidgeWorth Ceredex Large-Cap Value Equity Fund | Ceredex Large-Cap Value Equity Fund | |
RidgeWorth Ceredex Mid-Cap Value Equity Fund | Ceredex Mid-Cap Value Equity Fund | |
RidgeWorth Ceredex Small-Cap Value Equity Fund | Ceredex Small-Cap Value Equity Fund | |
RidgeWorth International Equity Fund | SGA International Growth Fund | |
RidgeWorth Silvant Large-Cap Growth Stock Fund | Silvant Large-Cap Growth Stock Fund | |
RidgeWorth Silvant Small-Cap Growth Stock Fund | Silvant Small-Cap Growth Stock Fund | |
RidgeWorth Innovative Growth Stock Fund | Zevenbergen Innovative Growth Stock Fund |
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A. | Security Valuation |
Each Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Funds’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Fund is notified. Interest income is recorded on the accrual basis. Each Fund amortizes premiums and accretes discounts using the effective interest method. 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 its 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. |
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Management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of December 31, 2019, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 forward (with limited exceptions). | |
D. | Distributions to Shareholders |
Distributions are recorded by each Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each Fund or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that a Fund bears directly, the shareholders of a Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | Securities Lending |
The Funds may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities a Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by each Fund under Master Securities Lending Agreements (“MSLA”) which permit the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
At December 31, 2019, 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) | ||||
Silvant Small-Cap Growth Stock Fund | BNYM | $178 | $178 | $— |
(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 Fund Advisers, LLC (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Funds. The Adviser manages the Funds’ investment programs and general operations of the Funds, including oversight of the Funds’ subadvisers. | |
As compensation for its services to the Funds, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily net assets of each Fund: |
First $500 Million | |
Ceredex Large-Cap Value Equity Fund | 0.70 % |
Ceredex Mid-Cap Value Equity Fund | 0.75 |
Ceredex Small-Cap Value Equity Fund | 0.85 |
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First $500 Million | |
SGA International Growth Fund | 0.85% |
Silvant Large-Cap Growth Stock Fund | 0.70 |
Silvant Small-Cap Growth Stock Fund | 0.85 |
Zevenbergen Innovative Growth Stock Fund | 0.80 |
B. | Subadvisers |
The subadvisers manage the investments of each Fund for which they are paid a fee by the Adviser. A list of the subadvisers and the Funds they serve as of the end of the period is as follows: |
Fund | Subadviser | |
Ceredex Large-Cap Value Equity Fund | Ceredex(1) | |
Ceredex Mid-Cap Value Equity Fund | Ceredex(1) | |
Ceredex Small-Cap Value Equity Fund | Ceredex(1) | |
SGA International Growth Fund | SGA(2) | |
Silvant Large-Cap Growth Stock Fund | Silvant(3) | |
Silvant Small-Cap Growth Stock Fund | Silvant(3) | |
Zevenbergen Innovative Growth Stock Fund | Zevenbergen(4) |
(1) | Ceredex Value Advisors LLC, an indirect, wholly-owned subsidiary of Virtus. |
(2) | Sustainable Growth Advisers LP, an indirect, majority-owned subsidiary of Virtus. |
(3) | Silvant Capital Management LLC, an indirect, wholly-owned subsidiary of Virtus. |
(4) | Zevenbergen Capital Investments LLC, a minority-owned affiliate of the Adviser. |
C. | Expense Limits and Fee Waivers |
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 April 30, 2020 (except as noted). Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. The waivers and reimbursements are accrued daily and received monthly. |
Fund | Class A | Class C | Class I | Class R6 | ||||
Ceredex Large-Cap Value Equity Fund | 1.24 % | 1.72 % | 0.97 % | 0.72 % | ||||
Ceredex Mid-Cap Value Equity Fund | 1.38 ‡ | 1.79 | 1.08 ‡ | 0.79 | ||||
Ceredex Small-Cap Value Equity Fund(1) | 1.55 ‡ | 1.90 | 1.24 ‡ | 0.88 | ||||
SGA International Growth Fund(2) | 1.39 | N/A | 1.14 | 1.04 | ||||
Silvant Large-Cap Growth Stock Fund | 1.23 | N/A | 0.97 | 0.90 | ||||
Silvant Small-Cap Growth Stock Fund | 1.27 | N/A | 1.15 | N/A | ||||
Zevenbergen Innovative Growth Stock Fund | 1.25 | N/A | 1.00 | N/A |
‡ | Each share class is currently below its expense cap. |
(1) | Effective February 26, 2019 (inception date of class) for Class R6. |
(2) | Effective December 1, 2019 through April 30, 2021. For the period January 1, 2019 through November 30, 2019, the expense cap for Class A, Class I and Class R6 were as follows: 1.42%, 1.20% and 1.10%, respectively. |
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D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending: |
Expiration | ||||||||
Fund | 2020 | 2021 | 2022 | Total | ||||
Ceredex Large-Cap Value Equity Fund | ||||||||
Class A | $ 144 | $ 85 | $103 | $332 | ||||
Class C | 4 | 33 | 11 | 48 | ||||
Class I | 1,209 | 499 | 503 | 2,211 | ||||
Class R6 | 187 | 366 | 441 | 994 | ||||
Ceredex Mid-Cap Value Equity Fund | ||||||||
Class C | 35 | 114 | 68 | 217 | ||||
Class R6 | 129 | 335 | 485 | 949 | ||||
Ceredex Small-Cap Value Equity Fund | ||||||||
Class C | 21 | 36 | 17 | 74 | ||||
Class R6 | — | — | 6 | 6 | ||||
SGA International Growth Fund | ||||||||
Class A | 17 | 5 | 7 | 29 | ||||
Class I | 43 | 3 | 37 | 83 | ||||
Class R6 | 7 | 1 | —(1) | 8 | ||||
Silvant Large-Cap Growth Stock Fund | ||||||||
Class A | 34 | 236 | 77 | 347 | ||||
Class I | 157 | 32 | 27 | 216 | ||||
Class R6 | 2 | —(1) | —(1) | 2 | ||||
Silvant Small-Cap Growth Stock Fund | ||||||||
Class A | 7 | 19 | 40 | 66 | ||||
Class I | 41 | 43 | 58 | 142 | ||||
Zevenbergen Innovative Growth Stock Fund | ||||||||
Class A | 1 | 6 | 72 | 79 | ||||
Class I | 21 | 22 | 180 | 223 |
Fund | Class A | Class C | Class I | Class R6 | Total | |||||
Ceredex Mid-Cap Value Equity Fund | $ 133 | $ — | $ — | $ — | $ 133 | |||||
Ceredex Small-Cap Value Equity Fund | —(1) | — | — | — | —(1) | |||||
SGA International Growth Fund | —(1) | — | 9 | —(1) | 9 | |||||
Silvant Large-Cap Growth Stock Fund | 56 | — | —(1) | — | 56 |
(1) | Amount is less than $500. |
E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of each Fund’s shares. VP Distributors has advised the Funds that for the fiscal year (the “period”) ended December 31, 2019, it retained net commissions of $88 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. |
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F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Funds. | |
For the period ended December 31, 2019, the Funds incurred administration fees totaling $5,122 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 December 31, 2019, the Funds incurred transfer agent fees totaling $2,295 which are included in the Statements of Operations within the line item “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statements of Assets and Liabilities at December 31, 2019. |
Purchases | Sales | ||
Ceredex Large-Cap Value Equity Fund | $1,478,031 | $1,849,211 | |
Ceredex Mid-Cap Value Equity Fund | 3,893,389 | 3,623,848 | |
Ceredex Small-Cap Value Equity Fund | 239,106 | 324,372 | |
SGA International Growth Fund | 100,325 | 167,481 | |
Silvant Large-Cap Growth Stock Fund | 15,362 | 35,275 | |
Silvant Small-Cap Growth Stock Fund | 8,991 | 11,286 | |
Zevenbergen Innovative Growth Stock Fund | 161,240 | 154,792 |
Ceredex Large-Cap Value Equity Fund | Ceredex Mid-Cap Value Equity Fund | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 3,072 | $38,300 | 2,614 | $39,624 | 9,555 | $112,353 | 4,726 | $58,075 | |||||||
Shares issued-merger (See Note 12) | — | — | — | — | — | — | 5,225 | 66,645 | |||||||
Reinvestment of distributions | 924 | 12,649 | 4,320 | 50,367 | 1,459 | 18,481 | 3,073 | 33,047 | |||||||
Shares repurchased and cross class conversions | (8,895) | (110,970) | (6,911) | (109,246) | (9,329) | (111,560) | (11,799) | (147,721) | |||||||
Net Increase / (Decrease) | (4,899) | $(60,021) | 23 | $(19,255) | 1,685 | $19,274 | 1,225 | $10,046 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 128 | $1,615 | 163 | $2,076 | 799 | $9,255 | 534 | $6,218 | |||||||
Shares issued-merger (See Note 12) | — | — | — | — | — | — | 1,910 | 23,733 | |||||||
Reinvestment of distributions | 19 | 252 | 279 | 3,146 | 160 | 1,988 | 609 | 6,381 | |||||||
Shares repurchased and cross class conversions | (1,076) | (12,201) | (220) | (3,246) | (2,677) | (29,001) | (1,638) | (19,327) | |||||||
Net Increase / (Decrease) | (929) | $(10,334) | 222 | $1,976 | (1,718) | $(17,758) | 1,415 | $17,005 |
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Ceredex Large-Cap Value Equity Fund | Ceredex Mid-Cap Value Equity Fund | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 7,032 | $91,024 | 8,020 | $126,515 | 62,142 | $749,099 | 34,345 | $426,122 | |||||||
Shares issued-merger (See Note 12) | — | — | — | — | — | — | 2,755 | 35,576 | |||||||
Reinvestment of distributions | 3,239 | 44,928 | 16,369 | 193,176 | 10,010 | 128,823 | 20,645 | 224,582 | |||||||
Shares repurchased and cross class conversions | (32,573) | (422,332) | (33,432) | (528,889) | (53,728) | (635,735) | (57,387) | (717,252) | |||||||
Net Increase / (Decrease) | (22,302) | $(286,380) | (9,043) | $(209,198) | 18,424 | $242,187 | 358 | $(30,972) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 8,603 | $114,089 | 3,774 | $59,946 | 28,378 | $347,267 | 13,728 | $172,709 | |||||||
Shares issued-merger (See Note 12) | — | — | — | — | — | — | 11 | 136 | |||||||
Reinvestment of distributions | 1,732 | 24,166 | 5,265 | 62,237 | 3,455 | 44,568 | 4,531 | 49,173 | |||||||
Shares repurchased and cross class conversions | (5,295) | (69,508) | (5,622) | (88,515) | (8,484) | (103,865) | (8,818) | (111,246) | |||||||
Net Increase / (Decrease) | 5,040 | $68,747 | 3,417 | $33,668 | 23,349 | $287,970 | 9,452 | $110,772 |
Ceredex Small-Cap Value Equity Fund | SGA International Growth Fund | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 1,431 | $13,127 | 687 | $7,541 | 216 | $2,232 | 828 | $9,578 | |||||||
Reinvestment of distributions | 412 | 3,889 | 1,305 | 11,341 | 317 | 3,138 | 1 | 17 | |||||||
Shares repurchased and cross class conversions | (2,480) | (23,418) | (3,748) | (42,832) | (1,956) | (22,142) | (359) | (4,332) | |||||||
Net Increase / (Decrease) | (637) | $(6,402) | (1,756) | $(23,950) | (1,423) | $(16,772) | 470 | $5,263 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 27 | $227 | 24 | $230 | — | $— | — | $— | |||||||
Reinvestment of distributions | 34 | 280 | 335 | 2,552 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (1,347) | (10,785) | (410) | (4,129) | — | — | — | — | |||||||
Net Increase / (Decrease) | (1,286) | $(10,278) | (51) | $(1,347) | — | $— | — | $— | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 6,622 | $65,246 | 7,279 | $86,665 | 2,293 | $25,984 | 2,266 | $26,945 | |||||||
Reinvestment of distributions | 2,506 | 24,798 | 8,502 | 77,107 | 1,677 | 16,935 | 14 | 180 | |||||||
Shares repurchased and cross class conversions | (16,019) | (159,007) | (18,285) | (217,488) | (6,711) | (74,705) | (2,031) | (24,485) | |||||||
Net Increase / (Decrease) | (6,891) | $(68,963) | (2,504) | $(53,716) | (2,741) | $(31,786) | 249 | $2,640 |
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Ceredex Small-Cap Value Equity Fund | SGA International Growth Fund | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 1,691 | $17,061 | — | $— | —(1) | $1 | 68 | $823 | |||||||
Reinvestment of distributions | 74 | 736 | — | — | —(1) | —(2) | 2 | 28 | |||||||
Shares repurchased and cross class conversions | (58) | (580) | — | — | (—) (1) | (—) (2) | (832) | (9,959) | |||||||
Net Increase / (Decrease) | 1,707 | $17,217 | — | $— | — | $1 | (762) | $(9,108) |
Silvant Large-Cap Growth Stock Fund | Silvant Small-Cap Growth Stock Fund | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 7,178 | $36,377 | 796 | $4,546 | 803 | $5,317 | 54 | $390 | |||||||
Reinvestment of distributions | 2,134 | 11,472 | 1,575 | 8,045 | 183 | 1,273 | 121 | 744 | |||||||
Shares repurchased and cross class conversions | (2,031) | (10,996) | (3,890) | (21,644) | (297) | (2,129) | (154) | (1,109) | |||||||
Net Increase / (Decrease) | 7,281 | $36,853 | (1,519) | $(9,053) | 689 | $4,461 | 21 | $25 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 325 | $546 | 302 | $687 | 69 | $137 | 45 | $89 | |||||||
Reinvestment of distributions | 1,096 | 1,776 | 7,522 | 13,627 | 18 | 37 | 735 | 1,340 | |||||||
Shares repurchased and cross class conversions | (22,114) | (36,058) | (2,406) | (5,620) | (2,301) | (4,214) | (242) | (564) | |||||||
Net Increase / (Decrease) | (20,693) | $(33,736) | 5,418 | $8,694 | (2,214) | $(4,040) | 538 | $865 | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 162 | $1,242 | 294 | $2,350 | 282 | $2,596 | 327 | $3,033 | |||||||
Reinvestment of distributions | 170 | 1,366 | 319 | 2,320 | 158 | 1,477 | 187 | 1,493 | |||||||
Shares repurchased and cross class conversions | (1,296) | (10,192) | (984) | (7,607) | (430) | (3,990) | (680) | (6,148) | |||||||
Net Increase / (Decrease) | (964) | $(7,584) | (371) | $(2,937) | 10 | $83 | (166) | $(1,622) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 2 | $18 | 2 | $20 | — | $— | — | $— | |||||||
Reinvestment of distributions | 2 | 14 | 4 | 35 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (—) (1) | (3) | (51) | (413) | — | — | — | — | |||||||
Net Increase / (Decrease) | 4 | $29 | (45) | $(358) | — | $— | — | $— |
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Zevenbergen Innovative Growth Stock Fund | |||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Shares sold and cross class conversions | 1,974 | $53,101 | 1,662 | $41,024 | |||
Reinvestment of distributions | — | — | 59 | 1,297 | |||
Shares repurchased and cross class conversions | (1,532) | (39,977) | (801) | (18,606) | |||
Net Increase / (Decrease) | 442 | $13,124 | 920 | $23,715 | |||
Class I | |||||||
Shares sold and cross class conversions | 5,739 | $160,109 | 5,080 | $132,175 | |||
Reinvestment of distributions | — | — | 161 | 3,773 | |||
Shares repurchased and cross class conversions | (6,038) | (166,769) | (2,807) | (68,161) | |||
Net Increase / (Decrease) | (299) | $(6,660) | 2,434 | $67,787 |
(1) | Amount is less than 500 shares. |
(2) | Amount is less than $500. |
% of Shares Outstanding | Number of Accounts* | ||
Ceredex Large-Cap Value Equity Fund | 32% | 2 | |
Ceredex Mid-Cap Value Equity Fund | 38 | 2 | |
Ceredex Small-Cap Value Equity Fund | 49 | 3 | |
SGA International Growth Fund | 32 | 2 | |
Silvant Large-Cap Growth Stock Fund | 54 | 1 | |
Silvant Small-Cap Growth Stock Fund | 52 | 2 | |
Zevenbergen Innovative Growth Stock Fund | 33 | 2 |
* | None of the accounts are affiliated. |
Fund | Sector | Percentage of Total Investments | ||
Ceredex Small-Cap Value Equity Fund | Financials | 26% | ||
SGA International Growth Fund | Consumer Staples | 25 | ||
Silvant Large-Cap Growth Stock Fund | Information Technology | 37 | ||
Silvant Small-Cap Growth Stock Fund | Health Care | 28 | ||
Zevenbergen Innovative Growth Stock Fund | Information Technology | 37 | ||
Zevenbergen Innovative Growth Stock Fund | Consumer Discretionary | 28 |
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Fund | Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | ||||
SGA International Growth Fund | $9 | $7,845 | 3.66% | 11 | ||||
Zevenbergen Innovative Growth Stock Fund | 17 | 18,070 | 3.30 | 10 |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Ceredex Large-Cap Value Equity Fund | $ 1,013,101 | $ 269,205 | $ (11,660) | $ 257,545 | ||||
Ceredex Mid-Cap Value Equity Fund | 3,231,362 | 446,060 | (32,995) | 413,065 | ||||
Ceredex Small-Cap Value Equity Fund | 471,767 | 108,129 | (26,623) | 81,506 | ||||
SGA International Growth Fund | 33,169 | 7,995 | (368) | 7,626 | ||||
Silvant Large-Cap Growth Stock Fund | 50,893 | 57,569 | (447) | 57,122 | ||||
Silvant Small-Cap Growth Stock Fund | 21,346 | 9,542 | (1,289) | 8,253 | ||||
Zevenbergen Innovative Growth Stock Fund | 92,813 | 47,642 | (3,090) | 44,552 |
No Expiration | Total | ||||||
Short-Term | Long-Term | Short-Term | Long-Term | ||||
Zevenbergen Innovative Growth Stock Fund | $12,753 | $— | $12,753 | $— |
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Late Year Ordinary Losses Deferred | Late Year Ordinary Losses Recognized | Capital Loss Deferred | Capital Loss Recognized | ||||
Ceredex Large-Cap Value Equity Fund | $ — | $ — | $ — | $ (5,404) | |||
Ceredex Mid-Cap Value Equity Fund | — | — | — | (51,475) | |||
Ceredex Small-Cap Value Equity Fund | — | — | — | (569) | |||
Silvant Large-Cap Growth Stock Fund | — | — | — | (209) | |||
Zevenbergen Innovative Growth Stock Fund | — | — | 339 | (3,216) |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | ||
Ceredex Large-Cap Value Equity Fund | $20,468 | $26,686 | |
Ceredex Mid-Cap Value Equity Fund | 43,298 | 17,627 | |
Ceredex Small-Cap Value Equity Fund | — | 4,724 | |
SGA International Growth Fund | 2,685 | 3,905 | |
Silvant Large-Cap Growth Stock Fund | — | 3,416 | |
Silvant Small-Cap Growth Stock Fund | — | 399 |
Ordinary Income | Long-Term Capital Gains | Total | |||
Ceredex Large-Cap Value Equity Fund | |||||
12/31/19 | $ 26,548 | $ 57,774 | $84,322 | ||
12/31/18 | 35,701 | 281,182 | 316,883 | ||
Ceredex Mid-Cap Value Equity Fund | |||||
12/31/19 | 83,751 | 120,791 | 204,542 | ||
12/31/18 | 167,194 | 160,878 | 328,072 | ||
Ceredex Small-Cap Value Equity Fund | |||||
12/31/19 | 8,564 | 21,473 | 30,037 | ||
12/31/18 | 17,110 | 74,979 | 92,089 | ||
SGA International Growth Fund | |||||
12/31/19 | 1,909 | 18,402 | 20,311 | ||
12/31/18 | 238 | — | 238 | ||
Silvant Large-Cap Growth Stock Fund | |||||
12/31/19 | — | 15,032 | 15,032 | ||
12/31/18 | 371 | 25,009 | 25,380 | ||
Silvant Small-Cap Growth Stock Fund | |||||
12/31/19 | 17 | 2,816 | 2,833 | ||
12/31/18 | 381 | 3,245 | 3,626 | ||
Zevenbergen Innovative Growth Stock Fund | |||||
12/31/18 | 3,201 | 2,177 | 5,378 |
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Capital Paid in on Shares of Beneficial Interest | Total Distributable Earnings (Accumulated Losses) | ||
Ceredex Large-Cap Value Equity Fund | $ (556) | $ 556 | |
Silvant Large-Cap Growth Stock Fund | (133) | 133 | |
Silvant Small-Cap Growth Stock Fund | (201) | 201 | |
Zevenbergen Innovative Growth Stock Fund | (1,807) | 1,807 |
Merged Fund | Shares Outstanding | Acquiring Fund | Shares Converted | Merged Fund Net Asset Value of Converted Shares | ||||||
Virtus Contrarian Value Fund | Class A | 1,995 | Virtus Ceredex Mid-Cap Value Equity Fund | Class A | 5,225 | $66,645 | ||||
Class C | 747 | Class C | 1,910 | 23,733 | ||||||
Class I | 1,067 | Class I | 2,755 | 35,576 | ||||||
Class R6 | 4 | Class R6 | 11 | 136 |
Merged Fund | Net Assets | Unrealized Appreciation (Depreciation) | Acquiring Fund | Net Assets | ||||
Virtus Contrarian Value Fund | $126,090 | $51,560 | Virtus Ceredex Mid-Cap Value Equity Fund | $2,975,539 |
Net investment income (loss) | $26,073(a) |
Net realized and unrealized gain (loss) on investments | (225,475) (b) |
Net increase (decrease) in net assets resulting from operations | $(199,402) |
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Mid-Cap Value Equity Fund, Virtus Ceredex Small-Cap Value Equity Fund, Virtus SGA International Growth Fund, Virtus Silvant
Large-Cap Growth Stock Fund, Virtus Silvant Small-Cap Growth Stock Fund and Virtus Zevenbergen Innovative Growth Stock Fund
Zevenbergen Innovative Growth Stock Fund (seven of the Funds constituting Virtus Asset Trust, hereafter collectively referred to as the “Funds”) as of December 31, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our
procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
began serving as auditor.
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Qualified REIT Dividends | QDI | DRD | LTCG | ||||
Ceredex Large-Cap Value Equity Fund | — % | 98.90 % | 94.47 % | $ 84,460 | |||
Ceredex Mid-Cap Value Equity Fund | 5.94 | 72.54 | 70.12 | 139,398 | |||
Ceredex Small-Cap Value Equity Fund | — | 100.00 | 100.00 | 24,645 | |||
SGA International Growth Fund | — | 36.58 | — | 19,390 | |||
Silvant Large-Cap Growth Stock Fund | — | — | — | 12,244 | |||
Silvant Small-Cap Growth Stock Fund | — | 100.00 | 100.00 | 2,991 |
Foreign Source Income Recognized | Foreign Taxes Paid on Foreign Source Income | ||
SGA International Growth Fund | $ 903 | $ 82 |
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Proposal 1. |
Number of Eligible Votes: | FOR | AGAINST | ABSTAIN | |||
To approve a Subadvisory Agreement by and among the Trust, Virtus Fund Advisers, LLC and Sustainable Growth Advisers, LP | 45,387,597.66 | 498,100.23 | 176,340.87 |
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Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Brown, Thomas J. YOB: 1945 Served Since: 2017 70 Portfolios | Retired. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (56 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). |
Burke, Donald C. YOB: 1960 Served Since: 2017 74 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; and Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (56 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 70 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2018), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (56 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Director (1999 to 2019) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Mallin, John R. YOB: 1950 Served Since: 2017 70 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm) Real Property Practice Group; Member (since 2014), Counselors of Real Estate. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (56 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). |
McClellan, Hassell H. YOB: 1945 Served Since: 2017 70 Portfolios | Retired. Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Mutual Fund Family (56 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 70 Portfolios | Retired (since 2013). Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013), Vice President Global Finance Transformation (2007 to 2009), Vice President and Controller (1999 to 2007), The Coca-Cola Company. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Director (since 2019), Global Payments Inc.; Trustee (since 2017), Virtus Mutual Fund Family (56 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (2014 to 2019), Total System Services, Inc.; and Trustee (2005 to 2017), RidgeWorth Funds. |
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Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
McLoughlin, Philip Chairman YOB: 1946 Served Since: 1989 74 Portfolios | Retired. | Director and Chairman (since 2016), Virtus Total Return Fund Inc.; Director and Chairman (2016 to 2019), the former Virtus Total Return Fund Inc.; Director and Chairman (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (1991 to 2019) and Chairman (2010 to 2019), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (56 portfolios). |
McNamara, Geraldine M. YOB: 1951 Served Since: 2002 74 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (56 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2005 70 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). | Director (since 2016), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (56 portfolios). |
Segerson, Richard E. YOB: 1946 Served Since: 2005 70 Portfolios | Retired. Managing Director (1998 to 2013), Northway Management Company. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (56 portfolios). |
Walton, R. Keith YOB: 1964 Served Since: 2020 70 Portfolios | Senior Adviser (2018 to 2019), Vatic Labs, LLC; Venture Partner (since 2019) and Senior Adviser (2018 to 2019), Plexo, LLC; Executive Vice President, Strategy (2017 to 2019), Zero Mass Water, LLC; Vice President, Strategy (2013 to 2017), Arizona State University; Partner (since 2006), Global Infrastructure Partners. | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (56 portfolios); Director (since 2017), certain funds advised by Bessemer Investment Management LLC; Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (2006 to 2019), Systematica Investments Limited Funds; Director (2006 to 2017), BlueCrest Capital Management Limited Funds; Trustee (2014 to 2017), AZ Service; Director (since 2004), Virtus Total Return Fund Inc.; Director (since 2004), Virtus Total Return Fund Inc.; Director (2004 to 2019), the former Virtus Total Return Fund Inc.; and Director (since 2006), Blue Crest Capital Management Funds. |
Zino, Brian T. YOB: 1952 Served Since: 2020 70 Portfolios | Retired. Various roles (1982 to 2008), J. & W. Seligman & Co. Incorporated, including President (1994 to 2008). | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (56 portfolios); Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2014), Virtus Total Return Fund Inc.; Director (2014 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2011), Bentley University; Director (1986 to 2008) and President (1994 to 2008), J&W Seligman Co. Inc.; Director (1998 to 2009), Chairman (2002 to 2004) and Vice Chairman (2000 to 2002), ICI Mutual Insurance Company; Member, Board of Governors of ICI (1998 to 2008). |
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Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Aylward, George R.* YOB: 1964 Served since: 2006 72 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries, and various senior officer positions with Virtus affiliates (since 2005). | Chairman and Trustee (since 2015), Virtus ETF Trust II (2 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (4 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (56 portfolios); Director, President and Chief Executive Officer (since 2006), Virtus Total Return Fund Inc.; and Director, President and Chief Executive Officer (2006 to 2019), the former Virtus Total Return Fund Inc. |
Name, Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen | Principal Occupation(s) During Past 5 Years | Other Directorships Held During Past 5 Years |
Moyer, William R. YOB: 1944 Served Since: 2020 70 Portfolios | Private investor (since 2004); Financial and Operations Principal (2006 to 2017), Newcastle Distributors LLC (broker dealer). | Advisory Board Member (since 2020), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (56 portfolios); Advisory Board Member (since 2020) and Director (2016 to 2019), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Advisory Board Member (since 2020) and Director (2014 to 2019), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Advisory Board Member (since 2020) and Trustee (2011 to 2019), Virtus Global Multi-Sector Income Fund; Advisory Board Member (since 2020) and Trustee (2013 to 2016), Virtus Alternative Solutions Trust (4 portfolios). |
Name and Year of Birth | Position(s) Held with the Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter J. YOB: 1970 | Senior Vice President (since 2017), and Vice President (2013 to 2016). | Senior Vice President, Product Development (since 2017), Vice President, Product Development (2008 to 2016), and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2013 to 2016), Virtus Alternative Solutions Trust; and Senior Vice President (since 2017) and Vice President (2016 to 2017), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund. |
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Name and Year of Birth | Position(s) Held with the Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2006). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), and various officer positons (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Utility and Infrastructure Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. |
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2013), and Chief Legal Officer, Counsel and Secretary (since 2005). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), and various officer positions (since 2005), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), and Assistant Secretary (2013 to 2014 and since 2017), Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President (2013 to 2014), Vice President (2011 to 2013), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. |
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), and various officer positions (since 2003), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President (since 2018), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Senior Vice President (2018 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
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Name and Year of Birth | Position(s) Held with the Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013). | Executive Vice President, Product Development (since 2009), and various senior officer positions (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust; and Executive Vice President (since 2017), Virtus Total Return Fund Inc. |
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and the Virtus Asset Trust Statutory Prospectus,
Annual Fund Operating Expenses(expenses that you pay each year as a percentage of the value of your investment) | Class A | Class I | Class R6 |
Management Fees | 0.85% | 0.85% | 0.85% |
Distribution and Shareholder Servicing (12b-1) Fees | 0.25% | None | None |
Other Expenses | 0.34% | 0.34% | 0.26% |
Total Annual Fund Operating Expenses | 1.44% | 1.19% | 1.11% |
Less: Fee Waivers and/or Expense Reimbursements(a) | (0.05)% | (0.05)% | (0.07)% |
Total Annual Fund Operating Expenses After Expense Reimbursement(a) | 1.39% | 1.14% | 1.04% |
Share Status | 1 Year | 3 Years | 5 Years | 10 Years | |
Class A | Sold or Held | $708 | $1,000 | $1,312 | $2,196 |
Class I | Sold or Held | $116 | $373 | $650 | $1,439 |
Class R6 | Sold or Held | $106 | $346 | $605 | $1,345 |
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Class A Shares | Class C Shares | Class I Shares | Class R Shares | Class R6 Shares | |
Virtus SGA International Growth Fund* | 1.39% | N/A | 1.14% | N/A | 1.04% |
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Accounting Firm
Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
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please contact us at1-800-243-1574, orVirtus.com.
8635 | 02-20 |
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Item 2. | Code of Ethics. |
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | Other than certainnon-substantive changes, there have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics described in Item 2(b) of the instructions for completion of FormN-CSR. |
(d) | The registrant has not granted any waivers, during the period covered by this report, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of the instructions for completion of this Item. |
Item 3. | Audit Committee Financial Expert. |
(a)(1) | The Registrant’s Board of Trustees has determined that the Registrant has an “audit committee financial expert” serving on its Audit Committee. |
(a)(2) | As of the end of the period covered by the report, the Registrant’s Board of Trustees has determined that each of Thomas J. Brown, Donald C. Burke and Richard E. Segerson possesses the technical attributes identified in Instruction 2(b) of Item 3 to FormN-CSR to qualify as an “audit committee financial expert.” On January 14, 2020, the members of the audit committed changed and as a result the Registrant’s Board of Trustees reviewed the new membership to determine whether the members possess the technical attributes identified in Instruction 2(b) of Item 3 to FormN-CSR to qualify as an “audit committee financial expert” and determined that each of Thomas J. Brown, Donald C. Burke, Connie D. McDaniel and Brian T. Zino possesses such attributes. Each of Messrs. Brown, Burke, Segerson and Zino, and Ms. McDaniel, is an “independent” trustee pursuant to paragraph (a)(2) of Item 3 to FormN-CSR. |
(a)(3) | Not applicable. |
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Item 4. | Principal Accountant Fees and Services. |
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $425,494 for 2019 and $435,260 for 2018. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $32,311 for 2019 and $74,572 for 2018. Such audit-related fees include out of pocket expenses and system conversion fees. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $89,912 for 2019 and $168,642 for 2018. |
“Tax Fees” are those primarily associated with review of the Trust’s tax provision and qualification as a regulated investment company (RIC) in connection with audits of the Trust’s financial statement, review ofyear-end distributions by the Fund to avoid excise tax for the Trust, periodic discussion with management on tax issues affecting the Trust, and reviewing and signing the Fund’s federal income tax returns.
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2019 and $0 for 2018. |
(e)(1) | Disclose the audit committee’spre-approval policies and procedures described in paragraph (c)(7) of Rule2-01 of RegulationS-X. |
The Virtus Asset Trust (the “Fund”) Board has adopted policies and procedures with regard to thepre-approval of services provided by PwC. Audit, audit-related and tax compliance services provided to the Fund on an annual basis require specificpre-approval by the Audit Committee. The Audit Committee must also approve othernon-audit services provided to the Fund and thosenon-audit services provided to the Fund’s Affiliated Service Providers that relate directly to the operations and financial reporting of the Fund. Certain of thesenon-audit services that the Audit Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent auditors may be approved by the Audit Committee without consideration on a specificcase-by-case basis (“generalpre-approval”).
The Audit Committee has determined that Mr. Thomas J. Brown, Chair of the Audit Committee, may providepre-approval for such services that meet the above requirements in the event such approval is sought between regularly scheduled meetings. In any event, the Audit Committee is informed of each service approved subject to generalpre-approval at the next regularly scheduledin-person Audit Committee meeting.
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(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X are as follows: |
(b) | 0% |
(c) | 0% |
(d) | N/A |
(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent. |
(g) | The aggregatenon-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $122,223 for 2019 and $243,213 for 2018. |
(h) | The registrant’s audit committee of the board of directors has considered whether the provision ofnon-audit services that were rendered to the registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining the principal accountant’s independence. |
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
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Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of RegulationS-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR240.14a-101)), or this Item.
Item 11. | Controls and Procedures. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule30a-3(b) under the 1940 Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.13a-15(b) or240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3(d))) that occurred during the 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 forClosed-End Management Investment Companies. |
Not applicable.
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Item 13. | Exhibits. |
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Virtus Asset Trust |
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President (principal executive officer) |
Date | 3/5/2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President (principal executive officer) |
Date | 3/5/2020 |
By (Signature and Title)* | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, Chief Financial Officer and Treasurer (principal financial officer) |
Date | 3/5/2020 |
* | Print the name and title of each signing officer under his or her signature. |