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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-07705
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 06103-2608
(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: June 30, 2020
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
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Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
Table of Contents
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 | ||
7 | ||
Fund | Schedule of Investments | |
10 | ||
15 | ||
17 | ||
25 | ||
27 | ||
33 | ||
39 | ||
42 | ||
45 | ||
47 | ||
51 | ||
55 | ||
57 | ||
60 | ||
65 | ||
70 | ||
77 | ||
86 | ||
104 |
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President, Virtus Funds
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Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Seix Core Bond Fund | ||||||||
Class A | $ 1,000.00 | $ 1,072.30 | 0.64 % | $ 3.30 | ||||
Class I | 1,000.00 | 1,073.00 | 0.50 | 2.58 | ||||
Class R6 | 1,000.00 | 1,074.70 | 0.36 | 1.86 | ||||
Seix Corporate Bond Fund | ||||||||
Class A | 1,000.00 | 1,101.40 | 0.95 | 4.96 | ||||
Class C | 1,000.00 | 1,098.10 | 1.65 | 8.61 | ||||
Class I | 1,000.00 | 1,103.30 | 0.70 | 3.66 | ||||
Seix Floating Rate High Income Fund | ||||||||
Class A | 1,000.00 | 942.40 | 0.96 | 4.64 | ||||
Class C | 1,000.00 | 939.60 | 1.54 | 7.43 | ||||
Class I | 1,000.00 | 943.80 | 0.64 | 3.09 | ||||
Class R6 | 1,000.00 | 944.30 | 0.54 | 2.61 | ||||
Seix High Grade Municipal Bond Fund | ||||||||
Class A | 1,000.00 | 1,040.40 | 0.75 | 3.80 | ||||
Class I | 1,000.00 | 1,041.20 | 0.60 | 3.05 | ||||
Seix High Income Fund | ||||||||
Class A | 1,000.00 | 955.60 | 0.93 | 4.52 | ||||
Class I | 1,000.00 | 956.60 | 0.68 | 3.31 | ||||
Class R6 | 1,000.00 | 958.60 | 0.59 | 2.87 | ||||
Seix High Yield Fund | ||||||||
Class A | 1,000.00 | 990.90 | 0.82 | 4.06 | ||||
Class I | 1,000.00 | 990.30 | 0.64 | 3.17 | ||||
Class R6 | 1,000.00 | 990.80 | 0.53 | 2.62 | ||||
Seix Investment Grade Tax-Exempt Bond Fund | ||||||||
Class A | 1,000.00 | 1,035.40 | 0.73 | 3.69 | ||||
Class I | 1,000.00 | 1,036.20 | 0.58 | 2.94 | ||||
Seix Short-Term Bond Fund | ||||||||
Class A | 1,000.00 | 1,032.20 | 0.80 | 4.04 | ||||
Class C | 1,000.00 | 1,027.60 | 1.50 | 7.56 | ||||
Class I | 1,000.00 | 1,033.30 | 0.60 | 3.03 | ||||
Seix Short-Term Municipal Bond Fund | ||||||||
Class A | 1,000.00 | 1,019.30 | 0.65 | 3.26 | ||||
Class I | 1,000.00 | 1,019.20 | 0.48 | 2.41 |
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Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Seix Total Return Bond Fund | ||||||||
Class A | $1,000.00 | $1,086.00 | 0.70% | $3.63 | ||||
Class I | 1,000.00 | 1,087.00 | 0.46 | 2.39 | ||||
Class R6 | 1,000.00 | 1,087.90 | 0.31 | 1.61 | ||||
Seix U.S. Government Securities Ultra-Short Bond Fund | ||||||||
Class A | 1,000.00 | 1,008.30 | 0.66 | 3.30 | ||||
Class I | 1,000.00 | 1,009.50 | 0.41 | 2.05 | ||||
Class R6 | 1,000.00 | 1,010.30 | 0.26 | 1.30 | ||||
Seix U.S. Mortgage Fund | ||||||||
Class A | 1,000.00 | 1,030.10 | 0.90 | 4.54 | ||||
Class C | 1,000.00 | 1,026.20 | 1.65 | 8.31 | ||||
Class I | 1,000.00 | 1,031.00 | 0.70 | 3.53 | ||||
Seix Ultra-Short Bond Fund | ||||||||
Class A | 1,000.00 | 1,004.70 | 0.65 | 3.24 | ||||
Class I | 1,000.00 | 1,005.90 | 0.40 | 1.99 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Seix Core Bond Fund | ||||||||
Class A | $ 1,000.00 | $ 1,021.68 | 0.64 % | $ 3.22 | ||||
Class I | 1,000.00 | 1,022.38 | 0.50 | 2.51 | ||||
Class R6 | 1,000.00 | 1,023.07 | 0.36 | 1.81 | ||||
Seix Corporate Bond Fund | ||||||||
Class A | 1,000.00 | 1,020.14 | 0.95 | 4.77 | ||||
Class C | 1,000.00 | 1,016.66 | 1.65 | 8.27 | ||||
Class I | 1,000.00 | 1,021.38 | 0.70 | 3.52 | ||||
Seix Floating Rate High Income Fund | ||||||||
Class A | 1,000.00 | 1,020.09 | 0.96 | 4.82 | ||||
Class C | 1,000.00 | 1,017.21 | 1.54 | 7.72 | ||||
Class I | 1,000.00 | 1,021.68 | 0.64 | 3.22 | ||||
Class R6 | 1,000.00 | 1,022.18 | 0.54 | 2.72 | ||||
Seix High Grade Municipal Bond Fund | ||||||||
Class A | 1,000.00 | 1,021.13 | 0.75 | 3.77 | ||||
Class I | 1,000.00 | 1,021.88 | 0.60 | 3.02 | ||||
Seix High Income Fund | ||||||||
Class A | 1,000.00 | 1,020.24 | 0.93 | 4.67 | ||||
Class I | 1,000.00 | 1,021.48 | 0.68 | 3.42 | ||||
Class R6 | 1,000.00 | 1,021.93 | 0.59 | 2.97 |
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Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Seix High Yield Fund | ||||||||
Class A | $1,000.00 | $1,020.79 | 0.82% | $4.12 | ||||
Class I | 1,000.00 | 1,021.68 | 0.64 | 3.22 | ||||
Class R6 | 1,000.00 | 1,022.23 | 0.53 | 2.66 | ||||
Seix Investment Grade Tax-Exempt Bond Fund | ||||||||
Class A | 1,000.00 | 1,021.23 | 0.73 | 3.67 | ||||
Class I | 1,000.00 | 1,021.98 | 0.58 | 2.92 | ||||
Seix Short-Term Bond Fund | ||||||||
Class A | 1,000.00 | 1,020.89 | 0.80 | 4.02 | ||||
Class C | 1,000.00 | 1,017.40 | 1.50 | 7.52 | ||||
Class I | 1,000.00 | 1,021.88 | 0.60 | 3.02 | ||||
Seix Short-Term Municipal Bond Fund | ||||||||
Class A | 1,000.00 | 1,021.63 | 0.65 | 3.27 | ||||
Class I | 1,000.00 | 1,022.48 | 0.48 | 2.41 | ||||
Seix Total Return Bond Fund | ||||||||
Class A | 1,000.00 | 1,021.38 | 0.70 | 3.52 | ||||
Class I | 1,000.00 | 1,022.58 | 0.46 | 2.31 | ||||
Class R6 | 1,000.00 | 1,023.32 | 0.31 | 1.56 | ||||
Seix U.S. Government Securities Ultra-Short Bond Fund | ||||||||
Class A | 1,000.00 | 1,021.58 | 0.66 | 3.32 | ||||
Class I | 1,000.00 | 1,022.82 | 0.41 | 2.06 | ||||
Class R6 | 1,000.00 | 1,023.57 | 0.26 | 1.31 | ||||
Seix U.S. Mortgage Fund | ||||||||
Class A | 1,000.00 | 1,020.39 | 0.90 | 4.52 | ||||
Class C | 1,000.00 | 1,016.66 | 1.65 | 8.27 | ||||
Class I | 1,000.00 | 1,021.38 | 0.70 | 3.52 | ||||
Seix Ultra-Short Bond Fund | ||||||||
Class A | 1,000.00 | 1,021.63 | 0.65 | 3.27 | ||||
Class I | 1,000.00 | 1,022.87 | 0.40 | 2.01 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
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U.S. Government Securities | 37% | |
Mortgage-Backed Securities | 29 | |
Agency | 26% | |
Non-Agency | 3 | |
Corporate Bonds and Notes | 28 | |
Financials | 8 | |
Energy | 5 | |
Industrials | 3 | |
Utilities | 3 | |
Information Technology | 2 | |
Communication Services | 2 | |
Materials | 2 | |
All other Corporate Bonds and Notes | 3 | |
Asset-Backed Securities | 4 | |
Credit Card | 2 | |
All other Asset-Backed Securities | 2 | |
Short-Term Investment | 2 | |
Total | 100% |
Corporate Bonds and Notes | 89% | |
Financials | 25% | |
Energy | 18 | |
Industrials | 10 | |
Utilities | 8 | |
Information Technology | 8 | |
Materials | 7 | |
Consumer Discretionary | 7 | |
All other Corporate Bonds and Notes | 6 | |
Short-Term Investment | 11 | |
Total | 100% |
Leveraged Loans | 98% | |
Media / Telecom - Telecommunications | 9% | |
Media / Telecom - Diversified Media | 8 | |
Financial | 8 | |
Information Technology | 8 | |
Service | 7 | |
Chemicals | 7 | |
Media / Telecom - Cable/Wireless Video | 7 | |
All other Leveraged Loans | 44 | |
Corporate Bonds and Notes | 1 | |
Common Stocks | 1 | |
Total | 100% |
Municipal Bonds | 95% |
Short-Term Investment | 5 |
Total | 100% |
Corporate Bonds and Notes | 98% | |
Consumer Discretionary | 18% | |
Financials | 17 | |
Communication Services | 16 | |
Industrials | 12 | |
Energy | 11 | |
Health Care | 9 | |
Information Technology | 5 | |
All other Corporate Bonds and Notes | 10 | |
Other (includes short-term investment) | 2 | |
Total | 100% |
Corporate Bonds and Notes | 98% | |
Consumer Discretionary | 20% | |
Communication Services | 15 | |
Financials | 14 | |
Industrials | 11 | |
Health Care | 10 | |
Energy | 9 | |
Information Technology | 6 | |
All other Corporate Bonds and Notes | 13 | |
Other | 2 | |
Total | 100% |
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Municipal Bonds | 96% |
Short-Term Investment | 4 |
Total | 100% |
U.S. Government Securities | 56% | |
Corporate Bonds and Notes | 27 | |
Financials | 9% | |
Industrials | 6 | |
Energy | 4 | |
Consumer Discretionary | 3 | |
Utilities | 2 | |
Health Care | 1 | |
Consumer Staples | 1 | |
All other Corporate Bonds and Notes | 1 | |
Mortgage-Backed Securities | 13 | |
Asset-Backed Securities | 4 | |
Total | 100% |
Municipal Bonds | 87% |
Short-Term Investment | 13 |
Total | 100% |
Corporate Bonds and Notes | 33% | |
Financials | 9% | |
Energy | 6 | |
Industrials | 4 | |
Utilities | 3 | |
Information Technology | 3 | |
Consumer Discretionary | 2 | |
Communication Services | 2 | |
Materials | 2 | |
All other Corporate Bonds and Notes | 2 | |
Mortgage-Backed Securities | 33 | |
Agency | 30 | |
Non-Agency | 3 | |
U.S. Government Securities | 30 | |
Asset-Backed Securities | 4 | |
Credit Card | 2 | |
All other Asset-Backed Securities | 2 | |
Total | 100% |
Mortgage-Backed Securities | 94% | |
Agency | 94% | |
Short-Term Investment | 4 | |
Asset-Backed Security | 2 | |
Student Loan | 2 | |
Total | 100% |
Mortgage-Backed Securities | 94% | |
Agency | 94% | |
Short-Term Investment | 6 | |
Total | 100% |
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Corporate Bonds and Notes | 51% | |
Financials | 21% | |
Energy | 9 | |
Health Care | 7 | |
Consumer Discretionary | 6 | |
Industrials | 4 | |
Utilities | 2 | |
All other Corporate Bonds and Notes | 2 | |
Mortgage-Backed Securities | 29 | |
Agency | 15 | |
Non-Agency | 14 | |
Asset-Backed Securities | 19 | |
Credit Card | 10 | |
Other | 4 | |
Automobiles | 4 | |
Student Loan | 1 | |
Short-Term Investment | 1 | |
Total | 100% |
Table of Contents
Par Value | Value | ||
U.S. Government Securities—35.2% | |||
U.S. Treasury Bill | |||
0.000%, 7/30/20 | $ 6,855 | $ 6,854 | |
0.000%, 2/25/21 | 18,400 | 18,381 | |
U.S. Treasury Bonds 2.000%, 2/15/50 | 10,858 | 12,428 | |
U.S. Treasury Notes | |||
1.250%, 3/31/21 | 2,527 | 2,547 | |
2.375%, 1/31/23 | 13,715 | 14,491 | |
0.500%, 3/31/25 | 2,579 | 2,607 | |
0.625%, 5/15/30 | 1,388 | 1,384 | |
Total U.S. Government Securities (Identified Cost $58,301) | 58,692 | ||
Mortgage-Backed Securities—27.4% | |||
Agency—25.0% | |||
Federal Home Loan Mortgage Corp. | |||
Pool #C04123 4.000%, 7/1/42 | 324 | 355 | |
Pool #G60019 4.500%, 3/1/44 | 270 | 300 | |
Pool #Q31645 4.000%, 2/1/45 | 61 | 66 | |
Pool #Q35611 4.000%, 9/1/45 | 591 | 641 | |
Pool #V81992 4.000%, 10/1/45 | 453 | 490 | |
Pool #G60661 4.000%, 7/1/46 | 832 | 890 | |
Pool #Q42921 3.500%, 9/1/46 | 836 | 903 | |
Pool #Q51758 3.500%, 10/1/47 | 151 | 159 | |
Pool #Q52115 3.500%, 11/1/47 | 72 | 76 | |
Pool #Q52135 3.500%, 11/1/47 | 1,678 | 1,783 | |
Pool #ZM5226 3.500%, 12/1/47 | 972 | 1,062 | |
Pool #ZM5394 4.000%, 1/1/48 | 667 | 710 | |
Pool #Q53881 4.500%, 1/1/48 | 662 | 730 | |
Pool #Q54813 3.500%, 3/1/48 | 296 | 313 | |
Pool #Q61680 4.000%, 2/1/49 | 808 | 861 | |
Pool #QA3079 3.500%, 10/1/49 | 421 | 453 | |
Pool #QA4766 3.500%, 11/1/49 | 676 | 731 | |
Pool #SD0164 3.500%, 12/1/49 | 1,155 | 1,226 | |
Pool #SD0176 3.500%, 12/1/49 | 635 | 668 | |
Pool #QA7571 3.000%, 2/1/50 | 996 | 1,050 | |
Pool #QA8967 3.000%, 4/1/50 | 1,807 | 1,904 | |
Federal National Mortgage Association | |||
Pool #FM1039 3.500%, 4/1/39 | 926 | 984 |
Par Value | Value | ||
Agency—continued | |||
Pool #BO8589 3.000%, 3/1/40 | $ 123 | $ 130 | |
Pool #AL7497 3.500%, 9/1/40 | 337 | 364 | |
Pool #AW8154 3.500%, 1/1/42 | 369 | 401 | |
Pool #AS9571 3.500%, 5/1/42 | 880 | 931 | |
Pool #BK0396 3.000%, 11/1/44 | 236 | 250 | |
Pool #MA2341 4.500%, 6/1/45 | 27 | 29 | |
Pool #BE5050 4.000%, 9/1/45 | 623 | 684 | |
Pool #AZ9213 4.000%, 10/1/45 | 694 | 777 | |
Pool #AS6515 4.000%, 1/1/46 | 94 | 101 | |
Pool #BA4799 4.000%, 2/1/46 | 286 | 316 | |
Pool #BE3774 4.000%, 7/1/47 | 356 | 380 | |
Pool #BH7058 3.500%, 12/1/47 | 908 | 960 | |
Pool #MA3211 4.000%, 12/1/47 | 199 | 212 | |
Pool #BH9215 3.500%, 1/1/48 | 1,624 | 1,714 | |
Pool #MA3238 3.500%, 1/1/48 | 1,495 | 1,577 | |
Pool #BH9277 3.500%, 2/1/48 | 51 | 54 | |
Pool #BJ0650 3.500%, 3/1/48 | 263 | 279 | |
Pool #MA3305 3.500%, 3/1/48 | 447 | 472 | |
Pool #BJ8599 3.500%, 4/1/48 | 173 | 183 | |
Pool #BM5483 3.500%, 4/1/48 | 158 | 167 | |
Pool #BN4542 4.500%, 2/1/49 | 191 | 205 | |
Pool #BO1345 3.500%, 8/1/49 | 2,916 | 3,103 | |
Pool #BO1351 4.000%, 8/1/49 | 2,431 | 2,601 | |
Pool #BO2843 3.500%, 10/1/49 | 770 | 813 | |
Pool #BO3024 3.500%, 10/1/49 | 478 | 519 | |
Pool #BO5325 3.000%, 11/1/49 | 265 | 279 | |
Pool #BO4386 3.500%, 11/1/49 | 1,179 | 1,242 | |
Pool #BO8894 3.000%, 12/1/49 | 498 | 525 | |
Pool #BP5431 3.000%, 6/1/50 | 384 | 406 | |
Pool #BP5432 3.000%, 6/1/50 | 519 | 549 | |
Government National Mortgage Association I Pool #BQ1140 3.000%, 11/15/49 | 1,086 | 1,147 |
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Par Value | Value | ||
Agency—continued | |||
Government National Mortgage Association II | |||
Pool #MA4262 3.500%, 2/20/47 | $ 192 | $ 205 | |
Pool #MA4586 3.500%, 7/20/47 | 953 | 1,014 | |
Pool #MA5019 3.500%, 2/20/48 | 367 | 390 | |
Pool #MA5596 4.500%, 11/20/48 | 425 | 454 | |
Pool #MA6284 3.500%, 11/20/49 | 347 | 366 | |
Pool #MA6656 3.000%, 5/20/50 | 1,407 | 1,492 | |
41,646 | |||
Non-Agency—2.4% | |||
BB-UBS Trust 2012-SHOW, B 144A 3.882%, 11/5/36(1) | 605 | 570 | |
Century Plaza Towers 2019-CPT, B 144A 3.097%, 11/13/39(1)(2) | 635 | 666 | |
Goldman Sachs Mortgage Securities Corp. II | |||
2005-ROCK, A 144A 5.366%, 5/3/32(1) | 325 | 370 | |
2012-BWTR, A 144A 2.954%, 11/5/34(1) | 195 | 194 | |
Goldman Sachs Mortgage Securities Corp. Trust 2018-HULA, A (1 month LIBOR + 0.920%) 144A 1.105%, 7/15/25(1)(2) | 177 | 170 | |
JPMBB Commercial Mortgage Securities Trust 2013-C15, A4 4.096%, 11/15/45 | 543 | 584 | |
MAD Mortgage Trust 2017-330M, A 144A 3.294%, 8/15/34(1)(2) | 260 | 273 | |
Morgan Stanley Capital I Trust 2014-150E, A 144A 3.912%, 9/9/32(1) | 455 | 490 | |
Wells Fargo Commercial Mortgage Trust 2013-BTC, A 144A 3.544%, 4/16/35(1) | 190 | 191 | |
WFRBS Commercial Mortgage Trust 2012-C10, AS 3.241%, 12/15/45 | 600 | 596 | |
4,104 | |||
Total Mortgage-Backed Securities (Identified Cost $44,768) | 45,750 | ||
Asset-Backed Securities—3.2% | |||
Automobiles—0.9% | |||
Ford Credit Auto Owner Trust 2020-1, A 144A 2.040%, 8/15/31(1) | 815 | 828 | |
Mercedes-Benz Master Owner Trust 2019-BA, A 144A 2.610%, 5/15/24(1) | 215 | 219 | |
Nissan Master Owner Trust Receivables 2019-A, A (1 month LIBOR + 0.560%) 0.745%, 2/15/24(2) | 480 | 477 | |
1,524 | |||
Par Value | Value | ||
Credit Card—1.7% | |||
Capital One Multi-Asset Execution Trust 2005-B3, B3 (3 month LIBOR + 0.550%) 1.769%, 5/15/28(2) | $ 1,075 | $ 1,048 | |
Citibank Credit Card Issuance Trust 2017-A6, A6 (1 month LIBOR + 0.770%) 0.955%, 5/14/29(2) | 875 | 877 | |
Discover Card Execution Note Trust 2017-A5, A5 (1 month LIBOR + 0.600%) 0.785%, 12/15/26(2) | 790 | 794 | |
2,719 | |||
Other—0.6% | |||
Five Guys Funding LLC 2017-1A, A2 144A 4.600%, 7/25/47(1) | 357 | 360 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(1) | 680 | 669 | |
1,029 | |||
Total Asset-Backed Securities (Identified Cost $5,261) | 5,272 | ||
Corporate Bonds and Notes—26.5% | |||
Communication Services—1.8% | |||
AT&T, Inc. | |||
3.500%, 6/1/41 | 741 | 778 | |
3.650%, 6/1/51 | 778 | 812 | |
Comcast Corp. 2.650%, 2/1/30 | 686 | 746 | |
Verizon Communications, Inc. 3.150%, 3/22/30 | 203 | 229 | |
ViacomCBS, Inc. 4.200%, 5/19/32 | 327 | 363 | |
2,928 | |||
Consumer Discretionary—0.9% | |||
Dollar General Corp. 3.500%, 4/3/30 | 385 | 431 | |
NIKE, Inc. 3.375%, 3/27/50 | 361 | 414 | |
Ralph Lauren Corp. 2.950%, 6/15/30 | 562 | 580 | |
1,425 | |||
Consumer Staples—0.7% | |||
Coca-Cola Co. (The) 2.950%, 3/25/25 | 662 | 729 | |
Kroger Co. (The) 3.950%, 1/15/50 | 428 | 490 | |
1,219 | |||
Energy—4.6% | |||
Baker Hughes a GE Co. LLC 4.486%, 5/1/30 | 651 | 749 | |
Boardwalk Pipelines LP 4.450%, 7/15/27 | 147 | 155 | |
BP Capital Markets America, Inc. 3.633%, 4/6/30 | 1,121 | 1,266 |
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Par Value | Value | ||
Energy—continued | |||
Enterprise Products Operating LLC 5.375%, 2/15/78 | $ 334 | $ 299 | |
EOG Resources, Inc. 4.950%, 4/15/50 | 730 | 950 | |
Exxon Mobil Corp. 4.327%, 3/19/50 | 713 | 893 | |
Marathon Petroleum Corp. | |||
4.500%, 5/1/23 | 476 | 513 | |
4.700%, 5/1/25 | 296 | 331 | |
Phillips 66 3.700%, 4/6/23 | 177 | 189 | |
Plains All American Pipeline LP 3.800%, 9/15/30 | 966 | 951 | |
Shell International Finance B.V. 2.375%, 4/6/25 | 255 | 271 | |
TechnipFMC plc 3.450%, 10/1/22 | 85 | 87 | |
Valero Energy Corp. 2.850%, 4/15/25 | 367 | 387 | |
Woodside Finance Ltd. 144A 4.600%, 5/10/21(1) | 550 | 560 | |
7,601 | |||
Financials—7.5% | |||
Arch Capital Group Ltd. 3.635%, 6/30/50 | 693 | 725 | |
Bank of America Corp. 3.366%, 1/23/26 | 254 | 277 | |
Citigroup, Inc. | |||
3.106%, 4/8/26 | 480 | 515 | |
3.980%, 3/20/30 | 568 | 651 | |
Fidelity National Financial, Inc. 3.400%, 6/15/30 | 335 | 349 | |
Fifth Third Bancorp 2.550%, 5/5/27 | 1,017 | 1,087 | |
General Motors Financial Co., Inc. | |||
2.750%, 6/20/25 | 828 | 816 | |
3.600%, 6/21/30 | 834 | 810 | |
Hartford Financial Services Group, Inc. (The) 2.800%, 8/19/29 | 374 | 396 | |
JPMorgan Chase & Co. | |||
3.207%, 4/1/23 | 318 | 331 | |
2.301%, 10/15/25 | 398 | 417 | |
2.956%, 5/13/31 | 380 | 404 | |
Lazard Group LLC 4.375%, 3/11/29 | 396 | 443 | |
Morgan Stanley 3.971%, 7/22/38 | 322 | 384 | |
Nationwide Financial Services, Inc. 144A 3.900%, 11/30/49(1) | 627 | 626 | |
Newcrest Finance Pty Ltd. 144A 4.200%, 5/13/50(1) | 390 | 435 | |
Reinsurance Group of America, Inc. 3.150%, 6/15/30 | 392 | 404 | |
Schlumberger Investment S.A. 2.650%, 6/26/30 | 1,127 | 1,155 | |
Travelers Cos., Inc. (The) | |||
4.050%, 3/7/48 | 435 | 539 | |
2.550%, 4/27/50 | 353 | 349 | |
Truist Bank 2.250%, 3/11/30 | 500 | 505 |
Par Value | Value | ||
Financials—continued | |||
United Airlines Pass-Through-Trust 2016-1, A 3.450%, 7/7/28 | $ 113 | $ 94 | |
US Bank NA 2.050%, 1/21/25 | 500 | 530 | |
Wells Fargo & Co. 1.654%, 6/2/24 | 335 | 341 | |
12,583 | |||
Health Care—0.7% | |||
AbbVie, Inc. 144A 4.250%, 11/21/49(1) | 662 | 794 | |
Bristol-Myers Squibb Co. 144A 4.250%, 10/26/49(1) | 162 | 215 | |
CommonSpirit Health 4.187%, 10/1/49 | 236 | 240 | |
1,249 | |||
Industrials—3.5% | |||
3M Co. 3.700%, 4/15/50 | 203 | 241 | |
Boeing Co. (The) | |||
3.200%, 3/1/29 | 532 | 526 | |
5.805%, 5/1/50 | 1,127 | 1,330 | |
Carrier Global Corp. 144A 3.577%, 4/5/50(1) | 751 | 733 | |
General Dynamics Corp. 4.250%, 4/1/50 | 549 | 713 | |
General Electric Co. 4.350%, 5/1/50 | 758 | 751 | |
Honeywell International, Inc. 2.800%, 6/1/50 | 308 | 329 | |
United Parcel Service, Inc. 4.450%, 4/1/30 | 336 | 420 | |
Xylem, Inc. 2.250%, 1/30/31 | 715 | 719 | |
5,762 | |||
Information Technology—2.4% | |||
Dell International LLC 144A 6.200%, 7/15/30(1) | 244 | 284 | |
HP, Inc. | |||
3.000%, 6/17/27 | 369 | 387 | |
3.400%, 6/17/30 | 603 | 620 | |
Intel Corp. 3.100%, 2/15/60 | 711 | 781 | |
Intuit, Inc. 0.950%, 7/15/25 | 595 | 595 | |
NetApp, Inc. | |||
1.875%, 6/22/25 | 303 | 307 | |
2.700%, 6/22/30 | 1,066 | 1,068 | |
4,042 | |||
Materials—1.7% | |||
Barrick PD Australia Finance Pty Ltd. 5.950%, 10/15/39 | 626 | 840 | |
Bemis Co., Inc. 2.630%, 6/19/30 | 217 | 223 | |
Newmont Corp. | |||
2.250%, 10/1/30 | 541 | 548 |
Table of Contents
Par Value | Value | ||
Materials—continued | |||
6.250%, 10/1/39 | $ 457 | $ 647 | |
Nucor Corp. 2.000%, 6/1/25 | 289 | 300 | |
Packaging Corporation of America 4.050%, 12/15/49 | 183 | 218 | |
2,776 | |||
Utilities—2.7% | |||
Cheniere Corpus Christi Holdings LLC 144A 3.700%, 11/15/29(1) | 679 | 695 | |
Consolidated Edison Co. of New York, Inc. | |||
3.350%, 4/1/30 | 543 | 618 | |
3.950%, 4/1/50 | 369 | 439 | |
Dominion Energy, Inc. 3.375%, 4/1/30 | 537 | 594 | |
NiSource, Inc. 3.600%, 5/1/30 | 345 | 394 | |
Pacific Gas and Electric Co. 2.500%, 2/1/31 | 387 | 378 | |
Southern Co. (The) 3.700%, 4/30/30 | 894 | 1,021 | |
Transcontinental Gas Pipe Line Co. LLC 144A 3.950%, 5/15/50(1) | 394 | 422 | |
4,561 | |||
Total Corporate Bonds and Notes (Identified Cost $41,589) | 44,146 | ||
Total Long-Term Investments—92.3% (Identified Cost $149,919) | 153,860 | ||
Shares | ||
Short-Term Investment—2.2% | ||
Money Market Mutual Fund—2.2% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(3) | 3,660,127 | 3,660 |
Total Short-Term Investment (Identified Cost $3,660) | 3,660 | |
TOTAL INVESTMENTS—94.5% (Identified Cost $153,579) | $157,520 | |
Other assets and liabilities, net—5.5% | 9,080 | |
NET ASSETS—100.0% | $166,600 |
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 June 30, 2020, these securities amounted to a value of $9,764 or 5.9% of net assets. |
(2) | Variable rate security. Rate disclosed is as of June 30, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Table of Contents
Total Value at June 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Asset-Backed Securities | $ 5,272 | $ — | $ 5,272 | ||
Corporate Bonds and Notes | 44,146 | — | 44,146 | ||
Mortgage-Backed Securities | 45,750 | — | 45,750 | ||
U.S. Government Securities | 58,692 | — | 58,692 | ||
Money Market Mutual Fund | 3,660 | 3,660 | — | ||
Total Investments | $157,520 | $3,660 | $153,860 |
Table of Contents
Par Value | Value | ||
Corporate Bonds and Notes—97.6% | |||
Communication Services—6.0% | |||
AT&T, Inc. | |||
3.500%, 6/1/41 | $ 549 | $ 576 | |
3.650%, 6/1/51 | 827 | 863 | |
Verizon Communications, Inc. 4.125%, 3/16/27 | 1,565 | 1,845 | |
ViacomCBS, Inc. 4.200%, 5/19/32 | 1,064 | 1,180 | |
4,464 | |||
Consumer Discretionary—7.5% | |||
BMW US Capital LLC 144A 3.150%, 4/18/24(1) | 982 | 1,051 | |
Dollar General Corp. 3.500%, 4/3/30 | 624 | 699 | |
Ford Motor Co. | |||
8.500%, 4/21/23 | 685 | 724 | |
9.000%, 4/22/25 | 1,345 | 1,454 | |
Ralph Lauren Corp. 2.950%, 6/15/30 | 1,634 | 1,687 | |
5,615 | |||
Consumer Staples—1.4% | |||
Kroger Co. (The) 3.950%, 1/15/50 | 936 | 1,071 | |
Energy—19.3% | |||
Baker Hughes a GE Co. LLC 4.486%, 5/1/30 | 1,449 | 1,668 | |
Boardwalk Pipelines LP 4.450%, 7/15/27 | 1,518 | 1,594 | |
BP Capital Markets America, Inc. 3.633%, 4/6/30 | 1,293 | 1,460 | |
Enterprise Products Operating LLC 5.375%, 2/15/78 | 814 | 729 | |
EOG Resources, Inc. 4.950%, 4/15/50 | 1,332 | 1,733 | |
Exxon Mobil Corp. | |||
3.482%, 3/19/30 | 1,106 | 1,259 | |
4.327%, 3/19/50 | 693 | 868 | |
Marathon Petroleum Corp. | |||
4.500%, 5/1/23 | 879 | 947 | |
4.700%, 5/1/25 | 480 | 537 | |
Petroleos Mexicanos 6.875%, 8/4/26 | 1,236 | 1,169 | |
Plains All American Pipeline LP 3.800%, 9/15/30 | 1,535 | 1,512 | |
TechnipFMC plc 3.450%, 10/1/22 | 273 | 278 | |
Valero Energy Corp. 2.850%, 4/15/25 | 611 | 645 | |
14,399 | |||
Financials—27.4% | |||
AerCap Ireland Capital DAC 6.500%, 7/15/25 | 404 | 423 | |
Arch Capital Group Ltd. 3.635%, 6/30/50 | 1,200 | 1,256 |
Par Value | Value | ||
Financials—continued | |||
Citigroup, Inc. 3.106%, 4/8/26 | $1,104 | $ 1,184 | |
Fidelity National Financial, Inc. 3.400%, 6/15/30 | 612 | 637 | |
General Motors Financial Co., Inc. | |||
2.750%, 6/20/25 | 1,290 | 1,271 | |
3.600%, 6/21/30 | 1,310 | 1,272 | |
JPMorgan Chase & Co. 2.956%, 5/13/31 | 1,421 | 1,511 | |
Lazard Group LLC 4.375%, 3/11/29 | 1,428 | 1,598 | |
Morgan Stanley | |||
3.875%, 4/29/24 | 1,172 | 1,296 | |
3.971%, 7/22/38 | 735 | 876 | |
Nationwide Financial Services, Inc. 144A 3.900%, 11/30/49(1) | 1,293 | 1,291 | |
Newcrest Finance Pty Ltd. 144A 4.200%, 5/13/50(1) | 460 | 513 | |
Penske Truck Leasing Co., LP 144A 3.450%, 7/1/24(1) | 1,012 | 1,071 | |
Reinsurance Group of America, Inc. 3.150%, 6/15/30 | 841 | 867 | |
Schlumberger Investment S.A. 2.650%, 6/26/30 | 1,778 | 1,822 | |
Truist Bank 2.250%, 3/11/30 | 720 | 727 | |
United Airlines Pass-Through-Trust 2016-1, A 3.450%, 7/7/28 | 279 | 232 | |
Unum Group 4.500%, 3/15/25 | 697 | 749 | |
Wells Fargo & Co. 1.654%, 6/2/24 | 1,801 | 1,830 | |
20,426 | |||
Industrials—10.4% | |||
3M Co. 2.375%, 8/26/29 | 795 | 857 | |
Boeing Co. (The) | |||
3.200%, 3/1/29 | 740 | 732 | |
5.805%, 5/1/50 | 1,001 | 1,181 | |
Carrier Global Corp. 144A 3.577%, 4/5/50(1) | 943 | 920 | |
General Electric Co. | |||
3.625%, 5/1/30 | 1,134 | 1,135 | |
4.350%, 5/1/50 | 746 | 739 | |
L3Harris Technologies, Inc. 3.850%, 12/15/26 | 1,053 | 1,205 | |
Xylem, Inc. 2.250%, 1/30/31 | 948 | 954 | |
7,723 | |||
Information Technology—8.9% | |||
Dell International LLC 144A 6.200%, 7/15/30(1) | 536 | 624 | |
HP, Inc. | |||
3.000%, 6/17/27 | 604 | 633 | |
3.400%, 6/17/30 | 970 | 997 | |
Intuit, Inc. | |||
0.950%, 7/15/25 | 1,609 | 1,610 | |
1.650%, 7/15/30 | 600 | 598 |
Table of Contents
Par Value | Value | ||
Information Technology—continued | |||
NetApp, Inc. | |||
1.875%, 6/22/25 | $ 485 | $ 491 | |
2.700%, 6/22/30 | 1,674 | 1,677 | |
6,630 | |||
Materials—7.7% | |||
Barrick PD Australia Finance Pty Ltd. 5.950%, 10/15/39 | 478 | 642 | |
Bemis Co., Inc. 2.630%, 6/19/30 | 1,054 | 1,080 | |
Newmont Corp. | |||
2.250%, 10/1/30 | 1,001 | 1,014 | |
6.250%, 10/1/39 | 450 | 638 | |
Nucor Corp. 2.000%, 6/1/25 | 1,913 | 1,986 | |
Packaging Corporation of America 4.050%, 12/15/49 | 300 | 358 | |
5,718 | |||
Utilities—9.0% | |||
Cheniere Corpus Christi Holdings LLC 144A 3.700%, 11/15/29(1) | 1,569 | 1,607 | |
Consolidated Edison Co. of New York, Inc. | |||
3.350%, 4/1/30 | 883 | 1,005 | |
3.950%, 4/1/50 | 611 | 727 | |
Dominion Energy, Inc. 3.375%, 4/1/30 | 348 | 385 | |
NiSource, Inc. 3.600%, 5/1/30 | 569 | 650 | |
Pacific Gas and Electric Co. 2.500%, 2/1/31 | 1,254 | 1,226 | |
Transcontinental Gas Pipe Line Co. LLC 144A 3.950%, 5/15/50(1) | 1,017 | 1,088 | |
6,688 | |||
Total Corporate Bonds and Notes (Identified Cost $69,446) | 72,734 | ||
Total Long-Term Investments—97.6% (Identified Cost $69,446) | 72,734 | ||
Shares | Value | ||
Short-Term Investment—11.6% | |||
Money Market Mutual Fund—11.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(2) | 8,664,651 | $ 8,665 | |
Total Short-Term Investment (Identified Cost $8,665) | 8,665 | ||
TOTAL INVESTMENTS—109.2% (Identified Cost $78,111) | $81,399 | ||
Other assets and liabilities, net—(9.2)% | (6,833) | ||
NET ASSETS—100.0% | $74,566 |
Abbreviations: | |
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 June 30, 2020, these securities amounted to a value of $8,165 or 11.0% of net assets. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 94% |
Luxembourg | 2 |
Australia | 2 |
Bermuda | 1 |
Mexico | 1 |
Total | 100% |
† % of total investments as of June 30, 2020. |
Total Value at June 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Corporate Bonds and Notes | $72,734 | $ — | $72,734 | ||
Money Market Mutual Fund | 8,665 | 8,665 | — | ||
Total Investments | $81,399 | $8,665 | $72,734 |
Table of Contents
Par Value | Value | ||
Corporate Bonds and Notes—0.8% | |||
Consumer Discretionary—0.2% | |||
Carnival Corp. 144A 11.500%, 4/1/23(1) | $ 3,000 | $ 3,239 | |
Motors Liquidation Co. Escrow(2) | 20,000 | — | |
3,239 | |||
Energy—0.4% | |||
Glenn Pool Oil & Gas Trust 6.000%, 8/2/21 | 9,766 | 8,790 | |
Financials—0.2% | |||
Refinitiv US Holdings, Inc. 144A 6.250%, 5/15/26(1) | 3,000 | 3,180 | |
Total Corporate Bonds and Notes (Identified Cost $16,032) | 15,209 | ||
Leveraged Loans(3)—94.3% | |||
Aerospace—3.9% | |||
American Airlines, Inc. | |||
2017, Tranche B (1 month LIBOR + 2.000%) 2.184%, 4/28/23 | 7,252 | 5,711 | |
2017, Tranche B (1 month LIBOR + 2.000%) 2.185%, 12/14/23 | 16,989 | 13,516 | |
2018 (1 month LIBOR + 1.750%) 1.934%, 6/27/25 | 3,868 | 2,704 | |
2020 (1 month LIBOR + 1.750%) 1.934%, 1/29/27 | 2,022 | 1,519 | |
Ducommun, Inc. Tranche B (1 month LIBOR + 4.000%) 4.186%, 11/21/25 | 7,432 | 6,850 | |
Dynasty Acquisition Co., Inc. | |||
2020, Tranche B-1 (3 month LIBOR + 3.500%) 3.808%, 4/6/26 | 3,211 | 2,733 | |
2020, Tranche B-2 (3 month LIBOR + 3.500%) 4.950%, 4/6/26 | 1,726 | 1,470 | |
Kestrel Bidco, Inc. (3 month LIBOR + 3.000%) 4.000%, 12/11/26 | 2,993 | 2,391 | |
Longview Power LLC Tranche B (3 month LIBOR + 6.000%) 7.780%, 4/13/21(2) | 10,912 | 1,910 | |
MB Aerospace Holdings II Corp. First Lien (3 month LIBOR + 3.500%) 4.500%, 1/22/25 | 7,167 | 5,133 | |
Science Applications International Corp. Tranche B (1 month LIBOR + 1.875%) 2.053%, 10/31/25 | 6,826 | 6,600 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 2.428%, 5/30/25 | 13,904 | 12,453 | |
Tranche F (1 month LIBOR + 2.250%) 2.428%, 12/9/25 | 6,811 | 6,111 | |
WP CPP Holdings LLC First Lien (3 month LIBOR + 3.500%) 4.500%, 4/30/25 | 9,842 | 8,470 | |
77,571 | |||
Par Value | Value | ||
Chemicals—7.0% | |||
Ascend Performance Materials Operations LLC (3 month LIBOR + 5.250%) 6.250%, 8/27/26 | $ 2,873 | $ 2,813 | |
Consolidated Energy Finance S.A. (1 month LIBOR + 2.500%) 2.694%, 5/7/25 | 9,704 | 8,782 | |
Emerald Performance Materials LLC Second Lien (1 month LIBOR + 7.750%) 8.750%, 8/1/22 | 9,347 | 8,919 | |
Ferro Corp. | |||
Tranche B-1 (3 month LIBOR + 2.250%) 2.558%, 2/14/24 | 5,278 | 5,103 | |
Tranche B-2 (3 month LIBOR + 2.250%) 2.558%, 2/14/24 | 3,387 | 3,275 | |
Tranche B-3 (3 month LIBOR + 2.250%) 2.558%, 2/14/24 | 2,927 | 2,830 | |
Gemini HDPE LLC 2024 (3 month LIBOR + 2.500%) 3.270%, 8/7/24 | 14,028 | 13,385 | |
H.B. Fuller Co. Tranche B (1 month LIBOR + 2.000%) 2.190%, 10/21/24 | 8,483 | 8,173 | |
Ineos Enterprises Holdings US Finco LLC Tranche B (3 month LIBOR + 3.500%) 4.500%, 8/28/26 | 1,546 | 1,479 | |
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 2.178%, 4/1/24 | 29,206 | 27,627 | |
Minerals Technologies, Inc. Tranche B-1 (1 month LIBOR + 2.250%) 3.000%, 2/14/24 | 6,894 | 6,687 | |
New Arclin U.S. Holding Corp. (1 month LIBOR + 3.500%) 4.500%, 2/14/24 | 1,689 | 1,623 | |
PQ Corp. Tranche B (1 month LIBOR + 2.250%) 2.428%, 2/8/27 | 14,298 | 13,750 | |
Starfruit Finco B.V. (3 month LIBOR + 3.000%) 3.188%, 10/1/25 | 17,195 | 16,120 | |
Trinseo Materials Operating SCA 2018 (1 month LIBOR + 2.000%) 2.178%, 9/6/24 | 3,915 | 3,721 | |
Tronox Finance LLC First Lien (1 month LIBOR + 2.750%) 2.982%, 9/23/24 | 5,364 | 5,138 | |
Vantage Specialty Chemicals, Inc. | |||
First Lien (3 month LIBOR + 3.500%) 4.500%, 10/28/24 | 4,078 | 3,490 | |
Second Lien (3 month LIBOR + 8.250%) 9.250%, 10/27/25 | 7,470 | 5,180 | |
138,095 | |||
Consumer Non-Durables—0.9% | |||
ABG Intermediate Holdings 2 LLC First Lien (3 month LIBOR + 3.500%) 3.808%, 9/27/24 | 6,957 | 6,483 | |
Coty, Inc. Tranche A (1 month LIBOR + 1.500%) 1.925%, 4/5/23 | 13,246 | 11,921 | |
18,404 | |||
Table of Contents
Par Value | Value | ||
Energy—3.0% | |||
APR Operating LLC Second Lien (3 month LIBOR + 7.000%) 8.437%, 5/27/24 | $ 8,330 | $ 3,999 | |
BCP Raptor II LLC (1 month LIBOR + 4.750%) 0.000%, 11/3/25 | 3,752 | 2,420 | |
BCP Raptor LLC (3 month LIBOR + 4.250%) 5.250%, 6/24/24 | 7,891 | 5,642 | |
Blackbrush Oil & Gas LP (3 month LIBOR + 8.000%) 9.890%, 1/29/24 | 12,490 | 8,743 | |
ChampionX Holding, Inc. (1 month LIBOR + 5.000%) 6.000%, 6/3/27 | 2,800 | 2,751 | |
Crestwood Holdings LLC (1 month LIBOR + 7.500%) 7.700%, 3/6/23 | 17,017 | 11,128 | |
FTS International, Inc. (3 month LIBOR + 4.750%) 5.750%, 4/16/21 | 7,524 | 5,182 | |
Keane Group Holdings LLC (1 month LIBOR + 3.500%) 4.500%, 5/26/25 | 7,688 | 6,535 | |
Lealand Finance Co. B.V. (1 month LIBOR + 4.000%) 4.178%, 6/30/25 | 1,879 | 1,592 | |
Osum Production Corp. 2022 (3 month LIBOR + 7.500%) 8.950%, 7/31/22 | 4,696 | 3,522 | |
Summit Midstream Partners Holdings LLC (3 month LIBOR + 6.000%) 7.000%, 5/13/22 | 7,709 | 1,727 | |
Woodford Express LLC (1 month LIBOR + 5.000%) 6.000%, 1/27/25 | 8,140 | 5,400 | |
58,641 | |||
Financial—7.8% | |||
AltiSource Solutions S.a.r.l. Tranche B (3 month LIBOR + 4.000%) 5.000%, 4/3/24 | 3,845 | 2,858 | |
Aretec Group, Inc. | |||
First Lien (1 month LIBOR + 4.250%) 4.428%, 10/1/25 | 12,843 | 11,752 | |
Second Lien (1 month LIBOR + 8.250%) 8.428%, 10/1/26 | 5,930 | 4,798 | |
Asurion LLC | |||
Tranche B-2, Second Lien (1 month LIBOR + 6.500%) 6.678%, 8/4/25 | 7,875 | 7,816 | |
Tranche B-4 (1 month LIBOR + 3.000%) 3.178%, 8/4/22 | 30,376 | 29,515 | |
Tranche B-6 (1 month LIBOR + 3.000%) 3.178%, 11/3/23 | 17,713 | 17,108 | |
Blackstone Mortgage Trust, Inc. Tranche B-2 (1 month LIBOR + 4.750%) 5.750%, 5/20/26 | 3,400 | 3,315 | |
Ditech Holding Corp. Tranche B (3 month LIBOR + 6.000%) 7.739%, 6/30/22(4) | 6,332 | 2,612 | |
DRW Holdings LLC First Lien (1 month LIBOR + 4.250%) 4.428%, 11/26/26 | 1,995 | 1,935 | |
EVO Payments International LLC First Lien (1 month LIBOR + 3.250%) 3.440%, 12/22/23 | 7,855 | 7,630 | |
Financial & Risk US Holdings, Inc. (1 month LIBOR + 3.250%) 3.428%, 10/1/25 | 18,701 | 18,248 |
Par Value | Value | ||
Financial—continued | |||
First Eagle Holdings, Inc. 2018, Tranche B (3 month LIBOR + 2.500%) 2.808%, 2/1/27 | $ 4,020 | $ 3,868 | |
Franklin Square Holdings LP Tranche B (1 month LIBOR + 2.250%) 2.438%, 8/1/25 | 5,541 | 5,347 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 2.931%, 6/28/23 | 16,057 | 15,414 | |
Jane Street Group LLC (1 month LIBOR + 3.000%) 3.178%, 1/31/25 | 4,385 | 4,258 | |
Mitchell International, Inc. First Lien (1 month LIBOR + 3.250%) 3.428%, 11/29/24 | 5,175 | 4,816 | |
VFH Parent LLC (1 month LIBOR + 3.000%) 3.188%, 3/1/26 | 12,635 | 12,293 | |
153,583 | |||
Food / Tobacco—1.9% | |||
JBS USA Lux S.A. (3 month LIBOR + 2.000%) 3.072%, 5/1/26 | 9,675 | 9,219 | |
NPC International, Inc. Second Lien (1 month LIBOR + 7.500%) 8.500%, 4/18/25(4) | 1,265 | 25 | |
Panera Bread Co. (1 month LIBOR + 2.250%) 2.438%, 6/13/22 | 29,236 | 27,263 | |
US Foods, Inc. 2019, Tranche B (1 month LIBOR + 2.000%) 3.072%, 9/13/26 | 1,380 | 1,282 | |
37,789 | |||
Food and Drug—0.3% | |||
United Natural Foods, Inc. (1 month LIBOR + 4.250%) 4.428%, 10/22/25 | 6,911 | 6,575 | |
Forest Prod / Containers—0.5% | |||
Reynolds Group Holdings, Inc. (1 month LIBOR + 2.750%) 2.924%, 2/6/23 | 9,725 | 9,267 | |
Gaming / Leisure—5.6% | |||
Aristocrat Technologies, Inc. | |||
(3 month LIBOR + 3.750%) 4.750%, 10/19/24 | 900 | 891 | |
Tranche B-3 (3 month LIBOR + 1.750%) 2.859%, 10/19/24 | 5,148 | 4,878 | |
Bombardier Recreational Products, Inc. 2020 (3 month LIBOR + 5.000%) 6.000%, 5/24/27 | 1,500 | 1,509 | |
Caesars Resort Collection LLC | |||
(3 month LIBOR + 4.500%) 0.000%, 6/19/25(5) | 11,900 | 11,164 | |
Tranche B (1 month LIBOR + 2.750%) 2.928%, 12/23/24 | 17,765 | 15,750 | |
Carnival Corp. (3 month LIBOR + 7.500%) 0.000%, 6/26/25(5) | 2,370 | 2,281 | |
CEOC LLC Tranche B (1 month LIBOR + 2.000%) 2.178%, 10/7/24 | 14,642 | 14,564 | |
Everi Payments, Inc. Tranche B (3 month LIBOR + 2.750%) 3.822%, 5/9/24 | 12,693 | 11,603 |
Table of Contents
Par Value | Value | ||
Gaming / Leisure—continued | |||
GLP Capital LP Tranche C (1 month LIBOR + 1.500%) 1.679%, 4/29/21 | $24,236 | $ 23,994 | |
Golden Entertainment, Inc. Tranche B, First Lien (1 month LIBOR + 3.000%) 3.750%, 10/21/24 | 2,764 | 2,490 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24 | 4,426 | 3,714 | |
Playtika Holding Corp. Tranche B (3 month LIBOR + 6.000%) 7.072%, 12/10/24 | 8,511 | 8,490 | |
Stars Group Holdings B.V. (3 month LIBOR + 3.500%) 3.808%, 7/10/25 | 4,104 | 4,074 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.500%, 2/8/27 | 7,093 | 6,437 | |
111,839 | |||
Healthcare—5.3% | |||
Acadia Healthcare Co., Inc. | |||
Tranche B-3 (1 month LIBOR + 2.500%) 2.678%, 2/11/22 | 901 | 880 | |
Tranche B-4 (1 month LIBOR + 2.500%) 2.678%, 2/16/23 | 6,160 | 6,020 | |
AHP Health Partners, Inc. (1 month LIBOR + 4.500%) 5.500%, 6/30/25 | 8,941 | 8,583 | |
Amneal Pharmaceuticals LLC (1 month LIBOR + 3.500%) 3.688%, 5/4/25 | 6,187 | 5,638 | |
Bausch Health Cos., Inc. (1 month LIBOR + 3.000%) 3.190%, 6/2/25 | 2,322 | 2,253 | |
Elanco Animal Health, Inc. Tranche B (3 month LIBOR + 1.750%) 0.000%, 2/4/27(5) | 9,565 | 9,103 | |
Greatbatch Ltd. Tranche B (1 month LIBOR + 2.500%) 3.500%, 10/27/22 | 3,880 | 3,814 | |
Grifols Worldwide Operations USA, Inc. Tranche B (weekly LIBOR + 2.000%) 2.109%, 11/15/27 | 1,883 | 1,810 | |
HCA, Inc. Tranche B-12 (1 month LIBOR + 1.750%) 1.928%, 3/13/25 | 16,282 | 15,927 | |
Indivior Finance LLC 2017 (3 month LIBOR + 4.500%) 5.500%, 12/19/22 | 13,260 | 11,403 | |
Kindred Healthcare, Inc. (3 month LIBOR + 5.000%) 5.188%, 7/2/25 | 8,868 | 8,469 | |
Lannett Co., Inc. | |||
Tranche A (1 month LIBOR + 5.000%) 6.000%, 11/25/20 | 5,783 | 5,638 | |
Tranche B (1 month LIBOR + 5.375%) 6.375%, 11/25/22 | 4,351 | 4,257 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 3.928%, 11/17/25 | 4,015 | 3,754 | |
Owens & Minor, Inc. Tranche B (1 month LIBOR + 4.500%) 4.673%, 5/2/25 | 10,122 | 8,930 | |
Syneos Health, Inc. Tranche A, First Lien (1 month LIBOR + 1.500%) 1.674%, 3/25/24 | 2,962 | 2,814 |
Par Value | Value | ||
Healthcare—continued | |||
Team Health Holdings, Inc. (1 month LIBOR + 2.750%) 3.750%, 2/6/24 | $ 6,525 | $ 4,971 | |
104,264 | |||
Housing—3.9% | |||
Brookfield Property REIT, Inc. | |||
Tranche A-2 (1 month LIBOR + 2.500%) 2.678%, 8/28/23 | 6,833 | 6,076 | |
Tranche B (1 month LIBOR + 2.500%) 2.678%, 8/27/25 | 17,199 | 14,354 | |
Cushman & Wakefield US Borrower LLC (1 month LIBOR + 2.750%) 2.928%, 8/21/25 | 22,271 | 20,924 | |
Invitation Homes Operating Partnership LP (1 month LIBOR + 1.700%) 1.884%, 2/7/22 | 15,212 | 14,553 | |
Realogy Group LLC Tranche A (3 month LIBOR + 2.250%) 2.441%, 2/8/23 | 13,436 | 12,419 | |
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 2.178%, 11/21/24 | 8,379 | 8,033 | |
76,359 | |||
Information Technology—7.4% | |||
Avaya, Inc. Tranche B (1 month LIBOR + 4.250%) 4.435%, 12/15/24 | 19,803 | 18,229 | |
Brooks Automation, Inc. Tranche B (3 month LIBOR + 2.500%) 0.000%, 10/4/24(5) | 2,229 | 2,151 | |
Ciena Corp. 2020 (1 month LIBOR + 1.750%) 1.940%, 9/26/25 | 3,816 | 3,737 | |
Cornerstone OnDemand, Inc. (2 month LIBOR + 4.250%) 5.348%, 4/22/27 | 5,500 | 5,407 | |
Dell International LLC Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 9/19/25 | 7,925 | 7,710 | |
EIG Investors Corp. 2018 (3 month LIBOR + 3.750%) 4.750%, 2/9/23 | 10,415 | 10,033 | |
Gigamon, Inc. First Lien (3 month LIBOR + 4.250%) 5.250%, 12/27/24 | 5,212 | 4,951 | |
GlobalFoundries, Inc. (3 month LIBOR + 4.750%) 5.063%, 6/5/26 | 7,969 | 7,651 | |
Internap Holding LLC PIK Interest Capitalization (1 month LIBOR + 6.500%) 7.500%, 5/8/25(2)(6) | 3,076 | 1,692 | |
MA Financeco LLC Tranche B-3 (1 month LIBOR + 2.500%) 2.678%, 6/21/24 | 1,320 | 1,227 | |
MA FinanceCo LLC Tranche B-4 (3 month LIBOR + 4.250%) 5.250%, 6/5/25 | 6,850 | 6,667 | |
Macom Technology Solutions Holdings, Inc. (1 month LIBOR + 2.250%) 2.428%, 5/17/24 | 7,857 | 7,281 | |
Mavenir Systems, Inc. (3 month LIBOR + 6.000%) 7.000%, 5/8/25 | 6,972 | 6,903 | |
McAfee LLC Tranche B (1 month LIBOR + 3.750%) 3.934%, 9/30/24 | 9,014 | 8,756 |
Table of Contents
Par Value | Value | ||
Information Technology—continued | |||
Rackspace Hosting, Inc. Tranche B, First Lien (3 month LIBOR + 3.000%) 4.000%, 11/3/23 | $ 4,281 | $ 4,072 | |
Seattle Escrow Borrower LLC (1 month LIBOR + 2.500%) 2.678%, 6/21/24 | 8,912 | 8,288 | |
SolarWinds Holdings, Inc. 2018 (1 month LIBOR + 2.750%) 2.928%, 2/5/24 | 7,713 | 7,465 | |
Surf Holdings S.a.r.l First Lien (3 month LIBOR + 3.500%) 3.827%, 3/5/27 | 2,842 | 2,718 | |
Tech Data Corp. | |||
(3 month LIBOR + 3.500%) 0.000%, 6/26/25(5) | 4,740 | 4,691 | |
(3 month LIBOR + 5.500%) 0.000%, 6/26/25(5) | 4,740 | 4,550 | |
TierPoint LLC First Lien (1 month LIBOR + 3.750%) 4.750%, 5/6/24 | 2,937 | 2,788 | |
Ultimate Software Group, Inc. (The) | |||
2020 (3 month LIBOR + 4.000%) 0.000%, 5/4/26(5) | 2,500 | 2,466 | |
Second Lien (3 month LIBOR + 6.750%) 0.000%, 5/3/27(5) | 250 | 254 | |
Ultra Clean Holdings, Inc. Tranche B (1 month LIBOR + 4.500%) 4.678%, 8/27/25 | 6,659 | 6,459 | |
Vertiv Group Corp. (1 month LIBOR + 3.000%) 3.183%, 3/2/27 | 5,087 | 4,795 | |
Xperi Holding Corp. Tranche B (1 month LIBOR + 4.000%) 4.173%, 6/1/25 | 6,500 | 6,159 | |
147,100 | |||
Manufacturing—0.9% | |||
Bright Bidco B.V. 2018, Tranche B (3 month LIBOR + 3.500%) 4.572%, 6/30/24 | 10,747 | 4,628 | |
Clark Equipment Co. Tranche B (3 month LIBOR + 1.750%) 2.058%, 5/20/24 | 4,053 | 3,894 | |
Dynacast International LLC Tranche B-1, First Lien (3 month LIBOR + 3.250%) 4.250%, 1/28/22 | 2,701 | 2,187 | |
Gardner Denver, Inc. Tranche A (3 month LIBOR + 4.000%) 0.000%, 3/1/27(5) | 1,000 | 970 | |
TecoStar Holdings, Inc. 2017, First Lien (3 month LIBOR + 3.500%) 4.675%, 5/1/24 | 7,335 | 6,914 | |
18,593 | |||
Media / Telecom - Broadcasting—2.9% | |||
Gray Television, Inc. Tranche C (1 month LIBOR + 2.500%) 2.673%, 1/2/26 | 12,169 | 11,752 | |
Hubbard Radio LLC (3 month LIBOR + 3.500%) 4.500%, 3/28/25(2) | 7,000 | 6,230 | |
iHeartCommunications, Inc. (1 month LIBOR + 3.000%) 3.178%, 5/1/26 | 3,514 | 3,230 |
Par Value | Value | ||
Media / Telecom - Broadcasting—continued | |||
LCPR Loan Financing LLC (1 month LIBOR + 5.000%) 5.185%, 10/15/26 | $13,745 | $ 13,607 | |
Mission Broadcasting, Inc. Tranche B-3 (1 month LIBOR + 2.250%) 2.423%, 1/17/24 | 1,863 | 1,768 | |
Nexstar Broadcasting, Inc. | |||
Tranche A-4 (1 month LIBOR + 1.750%) 1.923%, 10/26/23 | 12,263 | 11,588 | |
Tranche B-3 (1 month LIBOR + 2.250%) 2.434%, 1/17/24 | 7,238 | 6,867 | |
Quincy Newspapers, Inc. Tranche B (1 month LIBOR + 3.000%) 4.000%, 11/2/22 | 2,381 | 2,191 | |
WXXA-TV LLC Tranche A-4 (1 month LIBOR + 2.000%) 2.173%, 10/20/23 | 351 | 332 | |
57,565 | |||
Media / Telecom - Cable/Wireless Video—6.8% | |||
Charter Communications Operating LLC Tranche B2 (1 month LIBOR + 1.750%) 1.930%, 2/1/27 | 6,656 | 6,391 | |
Cogeco Communications USA II LP Tranche B (1 month LIBOR + 2.000%) 2.178%, 1/3/25 | 5,433 | 5,184 | |
Coral-US Co-Borrower LLC Tranche B-5 (1 month LIBOR + 2.250%) 2.428%, 1/31/28 | 17,870 | 16,943 | |
CSC Holdings LLC | |||
2017 (1 month LIBOR + 2.250%) 2.435%, 7/17/25 | 15,180 | 14,326 | |
2019 (1 month LIBOR + 2.500%) 2.685%, 4/15/27 | 7,464 | 7,065 | |
Intelsat Jackson Holdings S.A. | |||
(3 month LIBOR + 4.550%) 5.050%, 7/14/21 | 1,219 | 1,235 | |
(3 month LIBOR + 4.550%) 5.050%, 7/14/21(7) | 1,219 | 1,235 | |
Tranche B-3 (3 month PRIME + 2.750%) 6.000%, 11/27/23(8) | 16,345 | 16,233 | |
Telenet Financing USD LLC Tranche AR (1 month LIBOR + 2.000%) 2.185%, 4/30/28 | 13,250 | 12,472 | |
Virgin Media Bristol LLC Tranche N (1 month LIBOR + 2.500%) 2.685%, 1/31/28 | 20,445 | 19,479 | |
Ziggo Financing Partnership Tranche I (1 month LIBOR + 2.500%) 2.685%, 4/30/28 | 35,265 | 33,201 | |
133,764 | |||
Media / Telecom - Diversified Media—8.0% | |||
Alliance Data Systems Corp. 2017 (1 month LIBOR + 1.750%) 1.928%, 6/14/22 | 8,939 | 8,805 | |
Alpha Topco Ltd. 2018, Tranche B-3 (3 month LIBOR + 2.500%) 3.500%, 2/1/24 | 4,277 | 4,061 | |
AP NMT Acquisition B.V. | |||
Tranche B, First Lien (3 month LIBOR + 5.750%) 7.201%, 8/13/21 | 16,909 | 16,507 |
Table of Contents
Par Value | Value | ||
Media / Telecom - Diversified Media—continued | |||
Tranche B, Second Lien (3 month LIBOR + 9.000%) 10.437%, 8/13/22 | $ 2,663 | $ 2,601 | |
Banijay Entertainment SAS (3 month LIBOR + 3.750%) 0.000%, 2/24/25(5) | 5,650 | 5,339 | |
Crown Finance US, Inc. | |||
(3 month LIBOR + 2.250%) 3.322%, 2/28/25 | 10,368 | 7,761 | |
(3 month LIBOR + 2.500%) 3.572%, 9/30/26 | 4,228 | 3,111 | |
Deluxe Entertainment Services Group, Inc. PIK Interest Capitalization, Second Lien (3 month LIBOR + 8.500%) 9.500%, 9/25/24(9) | 4,101 | 3,075 | |
Harland Clarke Holdings Corp. (3 month LIBOR + 4.750%) 5.750%, 11/3/23 | 22,846 | 16,567 | |
Lions Gate Capital Holdings LLC | |||
Tranche A (1 month LIBOR + 1.750%) 1.928%, 3/22/23 | 9,278 | 8,768 | |
Tranche B (1 month LIBOR + 2.250%) 2.428%, 3/24/25 | 13,864 | 13,075 | |
Meredith Corp. Tranche B-3 (3 month LIBOR + 4.250%) 0.000%, 1/31/25(5) | 2,000 | 1,905 | |
Merrill Communications LLC Tranche B, First Lien (6 month LIBOR + 5.000%) 6.195%, 10/5/26 | 3,025 | 2,949 | |
MH Sub I LLC | |||
First Lien (3 month LIBOR + 3.750%) 4.572%, 9/15/24 | 9,532 | 9,156 | |
Tranche B, Second Lien (3 month LIBOR + 7.500%) 8.572%, 9/15/25 | 1,695 | 1,605 | |
Nielsen Finance LLC | |||
Tranche B-4 (1 month LIBOR + 2.000%) 2.180%, 10/4/23 | 11,610 | 11,178 | |
Tranche B-5 (1 month LIBOR + 3.750%) 4.750%, 6/4/25 | 2,250 | 2,225 | |
WebMD Health Corp. 2020 (3 month LIBOR + 3.750%) 4.750%, 9/13/24 | 1,385 | 1,333 | |
William Morris Endeavor Entertainment LLC Tranche B-1 (1 month LIBOR + 2.750%) 2.930%, 5/19/25 | 47,856 | 38,866 | |
158,887 | |||
Media / Telecom - Telecommunications—8.7% | |||
Altice Financing S.A. | |||
2017 (1 month LIBOR + 2.750%) 2.935%, 7/15/25 | 10,682 | 10,084 | |
2017 (1 month LIBOR + 2.750%) 2.930%, 1/31/26 | 13,276 | 12,501 | |
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.428%, 3/15/27 | 27,890 | 26,232 | |
Cincinnati Bell, Inc. Tranche B (1 month LIBOR + 3.250%) 4.250%, 10/2/24 | 15,674 | 15,469 | |
Connect US Finco LLC (1 month LIBOR + 4.500%) 5.500%, 12/12/26 | 8,608 | 8,076 | |
Level 3 Financing, Inc. 2027, Tranche B (3 month LIBOR + 1.750%) 1.924%, 3/1/27 | 14,893 | 14,058 |
Par Value | Value | ||
Media / Telecom - Telecommunications—continued | |||
Neustar, Inc. Tranche B-4, First Lien (3 month LIBOR + 3.500%) 4.572%, 8/8/24 | $ 9,693 | $ 8,847 | |
Numericable U.S. LLC | |||
Tranche B-11 (1 month LIBOR + 2.750%) 2.928%, 7/31/25 | 31,680 | 29,936 | |
Tranche B-12 (1 month LIBOR + 3.688%) 3.872%, 1/31/26 | 20,143 | 19,272 | |
Tranche B-13 (1 month LIBOR + 4.000%) 4.185%, 8/14/26 | 20,956 | 20,106 | |
Zacapa LLC (3 month LIBOR + 4.500%) 5.572%, 7/2/25 | 8,946 | 8,610 | |
173,191 | |||
Media / Telecom - Wireless Communications—1.5% | |||
T-Mobile USA, Inc. (1 month LIBOR + 3.000%) 3.178%, 4/1/27 | 30,300 | 30,235 | |
Metals / Minerals—3.3% | |||
Atkore International, Inc. First Lien (3 month LIBOR + 2.750%) 3.750%, 12/22/23 | 14,805 | 14,446 | |
Big River Steel LLC (3 month LIBOR + 5.000%) 6.000%, 8/23/23 | 8,918 | 8,360 | |
CNX Resources Corp. Tranche B (1 month LIBOR + 4.500%) 4.680%, 9/27/24(2) | 5,552 | 4,386 | |
GrafTech Finance, Inc. (1 month LIBOR + 3.500%) 4.500%, 2/12/25 | 22,154 | 21,527 | |
Metallurg, Inc. (1 month LIBOR + 3.000%) 3.178%, 2/1/25 | 6,976 | 6,453 | |
Oxbow Carbon LLC Tranche B, First Lien (1 month LIBOR + 3.750%) 3.928%, 1/4/23 | 5,575 | 5,352 | |
TMS International Corp. Tranche B-2 (1 month LIBOR + 2.750%) 3.750%, 8/14/24 | 4,260 | 4,026 | |
U.S. Silica Co. | |||
(1 month LIBOR + 1.375%) 1.422%, 5/1/23(2) | 563 | 376 | |
(1 month LIBOR + 1.375%) 1.422%, 5/1/23(2)(7) | 1,687 | 1,127 | |
66,053 | |||
Real Estate—0.2% | |||
Hill Street Properties LLC PIK Interest Capitalization 12.500%, 2/5/24(2)(10) | 3,275 | 3,176 | |
Retail—1.3% | |||
Ascena Retail Group, Inc. Tranche B (1 month LIBOR + 4.500%) 5.250%, 8/19/22 | 3,273 | 1,090 | |
ASHCO LLC (3 month LIBOR + 5.000%) 6.072%, 9/25/24 | 8,503 | 8,160 | |
Belk, Inc. (3 month LIBOR + 6.750%) 7.750%, 7/31/25 | 9,660 | 3,403 | |
CWGS Group LLC (3 month LIBOR + 2.750%) 4.123%, 11/8/23 | 10,732 | 9,672 | |
J.C. Penney Corp., Inc. Tranche B (3 month LIBOR + 4.250%) 5.250%, 6/23/23(8) | 3,733 | 1,339 |
Table of Contents
Par Value | Value | ||
Retail—continued | |||
Petco Animal Supplies, Inc. (3 month LIBOR + 3.250%) 0.000%, 1/26/23(5) | $ 2,375 | $ 1,928 | |
25,592 | |||
Service—7.1% | |||
Adtalem Global Education, Inc. Tranche B (1 month LIBOR + 3.000%) 3.178%, 4/11/25 | 5,488 | 5,076 | |
APX Group, Inc. (1 month LIBOR + 5.000%) 5.180%, 12/31/25 | 6,114 | 5,665 | |
Ascend Learning LLC (1 month LIBOR + 3.000%) 4.000%, 7/12/24 | 6,790 | 6,446 | |
Cardtronics USA, Inc. (3 month LIBOR + 4.000%) 0.000%, 6/25/27(5) | 1,000 | 980 | |
Conduent Business Services LLC Tranche B (1 month LIBOR + 2.500%) 2.678%, 12/7/23 | 5,608 | 4,997 | |
Conservice Midco LLC Tranche B (3 month LIBOR + 4.250%) 4.558%, 5/7/27 | 3,165 | 3,078 | |
DG Investment Intermediate Holdings 2, Inc. | |||
First Lien (1 month LIBOR + 3.000%) 3.750%, 2/3/25 | 4,713 | 4,470 | |
Second Lien (1 month LIBOR + 6.750%) 7.500%, 2/2/26 | 845 | 752 | |
DiscoverOrg LLC First Lien (1 month LIBOR + 3.750%) 3.928%, 2/2/26 | 4,416 | 4,306 | |
Exela Intermediate LLC 2018 (6 month LIBOR + 6.500%) 7.500%, 7/12/23 | 6,684 | 1,758 | |
GFL Environmental, Inc. 2018 (3 month LIBOR + 3.000%) 4.000%, 5/30/25 | 6,919 | 6,713 | |
KAR Auction Services, Inc. Tranche B-6 (1 month LIBOR + 2.250%) 2.500%, 9/21/26 | 3,111 | 2,944 | |
MHI Holdings LLC First Lien (1 month LIBOR + 5.000%) 5.178%, 9/18/26 | 4,335 | 4,140 | |
National Intergovernmental Purchasing Alliance Co. | |||
First Lien (3 month LIBOR + 3.750%) 4.058%, 5/23/25 | 6,452 | 6,205 | |
Second Lien (3 month LIBOR + 7.500%) 7.808%, 5/22/26 | 3,375 | 2,734 | |
Pathway Vet Alliance LLC | |||
(3 month LIBOR + 3.250%) 0.000%, 3/31/27(5) | 729 | 707 | |
First Lien (3 month LIBOR + 4.000%) 0.000%, 3/31/27(5)(7) | 59 | 58 | |
Pi US Mergerco, Inc. Tranche B-1 (3 month LIBOR + 3.500%) 4.500%, 1/3/25 | 11,803 | 11,252 | |
PricewaterhouseCoopers Public Sector LLP (1 month LIBOR + 4.500%) 4.678%, 5/1/25 | 13,421 | 12,929 | |
Red Ventures LLC Tranche B-2 (1 month LIBOR + 2.500%) 2.678%, 11/8/24 | 4,857 | 4,576 | |
Sedgwick Claims Management Services, Inc. (1 month LIBOR + 3.250%) 3.428%, 12/31/25 | 5,462 | 5,144 |
Par Value | Value | ||
Service—continued | |||
SGS Cayman LP (3 month LIBOR + 5.375%) 6.375%, 4/23/21 | $ 2,847 | $ 2,425 | |
Shutterfly, Inc. | |||
Tranche B, First Lien (3 month LIBOR + 6.000%) 6.308%, 9/25/26 | 1,600 | 1,459 | |
Tranche B-1 (3 month LIBOR + 6.500%) 7.500%, 9/25/26 | 1,600 | 1,462 | |
St. George’s University Scholastic Services LLC (1 month LIBOR + 3.250%) 3.430%, 7/17/25 | 4,595 | 4,434 | |
STG-Fairway Holdings LLC First Lien (3 month LIBOR + 3.500%) 0.000%, 1/31/27(5) | 1,560 | 1,450 | |
Sutherland Global Services, Inc. (3 month LIBOR + 5.375%) 6.375%, 4/23/21 | 12,233 | 10,419 | |
TKC Holdings, Inc. | |||
First Lien (3 month LIBOR + 3.750%) 4.750%, 2/1/23 | 5,097 | 4,760 | |
Second Lien (3 month LIBOR + 8.000%) 9.000%, 2/1/24 | 2,172 | 1,824 | |
Travelport Finance (Luxembourg) S.a.r.l. First Lien (3 month LIBOR + 5.000%) 6.072%, 5/29/26 | 5,866 | 3,836 | |
Ventia Finco Pty Ltd. 2019, Tranche B (3 month LIBOR + 3.500%) 5.000%, 5/21/26 | 8,358 | 8,149 | |
Weight Watchers International, Inc. (1 month LIBOR + 4.750%) 5.500%, 11/29/24 | 5,884 | 5,762 | |
140,910 | |||
Transportation - Automotive—3.1% | |||
Adient US LLC (1 month LIBOR + 4.000%) 4.503%, 5/6/24 | 6,429 | 6,158 | |
Autokiniton US Holdings, Inc. | |||
2019, Tranche B (1 month LIBOR + 5.750%) 5.928%, 5/22/25 | 4,612 | 4,335 | |
Tranche B (1 month LIBOR + 6.375%) 6.553%, 5/22/25(2) | 4,900 | 4,606 | |
Dana, Inc. 2018, Tranche B (1 month LIBOR + 2.250%) 3.250%, 2/27/26 | 4,462 | 4,295 | |
DexKo Global, Inc. Tranche B (1 month LIBOR + 3.500%) 4.500%, 7/24/24 | 8,304 | 7,738 | |
Holley Purchaser, Inc. First Lien (3 month LIBOR + 5.000%) 5.760%, 10/24/25 | 4,127 | 3,364 | |
Navistar, Inc. Tranche B (1 month LIBOR + 3.500%) 3.700%, 11/6/24 | 9,059 | 8,557 | |
Superior Industries International, Inc. (1 month LIBOR + 4.000%) 4.178%, 5/22/24 | 7,319 | 6,587 | |
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) 3.178%, 10/1/25 | 8,677 | 7,477 | |
Wabash National Corp. Tranche B-4 (1 month LIBOR + 2.250%) 2.450%, 3/18/22 | 8,119 | 7,713 | |
60,830 | |||
Table of Contents
Par Value | Value | ||
Transportation - Land Transportation—0.6% | |||
Daseke Companies, Inc. (1 month LIBOR + 5.000%) 6.000%, 2/27/24 | $ 7,468 | $ 6,845 | |
Savage Enterprises LLC Tranche B, First Lien (1 month LIBOR + 3.000%) 3.190%, 8/1/25 | 5,594 | 5,374 | |
12,219 | |||
Utility—2.4% | |||
Brookfield WEC Holdings, Inc. (1 month LIBOR + 3.000%) 3.750%, 8/1/25 | 6,384 | 6,151 | |
Calpine Construction Finance Co. LP Tranche B (1 month LIBOR + 2.000%) 2.178%, 1/15/25 | 8,181 | 7,866 | |
Eastern Power LLC Tranche B (1 month LIBOR + 3.750%) 4.750%, 10/2/25 | 14,292 | 13,832 | |
Granite Generation LLC (1 month LIBOR + 3.750%) 4.750%, 11/9/26 | 6,916 | 6,721 | |
Invenergy Thermal Operating I LLC (1 month LIBOR + 3.000%) 3.178%, 8/28/25 | 3,892 | 3,814 | |
PG&E Corp. (3 month LIBOR + 4.500%) 5.500%, 6/18/25 | 3,560 | 3,493 | |
Talen Energy Supply LLC (3 month LIBOR + 3.750%) 3.928%, 7/8/26 | 3,215 | 3,135 | |
WaterBridge Midstream Operating LLC (3 month LIBOR + 5.750%) 6.750%, 6/22/26 | 3,990 | 3,247 | |
48,259 | |||
Total Leveraged Loans (Identified Cost $2,042,552) | 1,868,761 | ||
Shares | ||
Preferred Stock—0.0% | ||
Energy—0.0% | ||
Templar Energy LLC Class A, 0.000%(2)(11) | 9,283 | — |
Total Preferred Stock (Identified Cost $58) | — | |
Common Stocks—0.8% | ||
Communication Services—0.0% | ||
Desg Holdings, Inc.(2) | 477,100 | 298 |
Consumer Discretionary—0.4% | ||
TRU Kids, Inc.(2)(11) | 2,073 | 7,915 |
Wayne Services Legacy, Inc. (2)(11) | 2,073 | — |
7,915 | ||
Energy—0.2% | ||
McDermott International Ltd.(2)(11) | 830,806 | 2,775 |
Sunshine Oil & Gas, Inc.(2) | 120,539 | 603 |
Shares | Value | ||
Energy—continued | |||
Templar Energy LLC Class A(2)(11) | 1,608,573 | $ 16 | |
3,394 | |||
Information Technology—0.1% | |||
Internap Holding LLC(2) | 681,392 | 1,192 | |
Real Estate—0.1% | |||
Hill Street Properties(2)(11) | 84,879 | 2,122 | |
Total Common Stocks (Identified Cost $68,331) | 14,921 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(2)(11) | 410,667 | 339 | |
Total Rights (Identified Cost $554) | 339 | ||
Warrant—0.0% | |||
Real Estate—0.0% | |||
Hill Street Properties(11) | 144,525 | — | |
Total Warrant (Identified Cost $2) | — | ||
Total Long-Term Investments—95.9% (Identified Cost $2,127,529) | 1,899,230 | ||
TOTAL INVESTMENTS—95.9% (Identified Cost $2,127,529) | $1,899,230 | ||
Other assets and liabilities, net—4.1% | 81,918 | ||
NET ASSETS—100.0% | $1,981,148 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
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 June 30, 2020, these securities amounted to a value of $6,419 or 0.3% of net assets. |
(2) | 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. |
(3) | Variable rate security. Rate disclosed is as of June 30, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
Table of Contents
(4) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(5) | This loan will settle after June 30, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(6) | 53% of the income received was in cash and 47% was in PIK. |
(7) | Represents unfunded portion of security and commitment fee earned on this portion. |
(8) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(9) | 74% of the income received was in cash and 26% was in PIK. |
(10) | 100% of the income received was in PIK. |
(11) | Non-income producing. |
Country Weightings† | |
United States | 86% |
Luxembourg | 6 |
France | 4 |
Netherlands | 1 |
United Kingdom | 1 |
Canada | 1 |
Cayman Islands | 1 |
Total | 100% |
† % of total investments as of June 30, 2020. |
Total Value at June 30, 2020 | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Corporate Bonds and Notes | $ 15,209 | $ 15,209 | $ —(1) | ||
Leveraged Loans | 1,868,761 | 1,845,258 | 23,503 | ||
Equity Securities: | |||||
Common Stocks | 14,921 | — | 14,921 | ||
Preferred Stock | — | — | — (1) | ||
Rights | 339 | — | 339 | ||
Warrant | — | — | — | ||
Total Investments | $1,899,230 | $1,860,467 | $38,763 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Corporate Bonds and Notes | Leveraged Loans | Common Stocks | Preferred Stock | Rights | ||||||
Investments in Securities | |||||||||||
Balance as of December 31, 2019: | $ 53,363 | $14,962 (a) | $ 23,411 | $14,990 (a) | $— (a) | $ — | |||||
Accrued discount/(premium) | 142 | 21 | 121 | — | — | — | |||||
Realized gain (loss) | (6,585) | 11 | (263) | (6,333) | — | — | |||||
Change in unrealized appreciation (depreciation)(b) | 1,293 | (858) | 685 | 1,681 | — | (215) | |||||
Purchases | 12,825 | — | 7,488 | 4,783 | — | 554 | |||||
Sales (c) | (21,775) | (5,346) | (16,229) | (200) | — | — | |||||
Transfers into Level 3(d) | 10,902 | — | 10,902 | — | — | — | |||||
Transfers from Level 3(d) | (11,402) | (8,790) | (2,612) | — | — | — | |||||
Balance as of June 30, 2020 | $ 38,763 | $ —(a) | $ 23,503 | $14,921 (a) | $— (a) | $ 339 |
Table of Contents
Par Value | Value | ||
Municipal Bonds(1)—98.0% | |||
Alabama—3.4% | |||
Jefferson County, | |||
Sales Tax Revenue 5.000%, 9/15/33 | $1,000 | $ 1,219 | |
Sales Tax Revenue 5.000%, 9/15/35 | 1,000 | 1,211 | |
2,430 | |||
California—8.2% | |||
California Infrastructure & Economic Development Bank Revenue 5.000%, 10/1/48 | 2,000 | 2,478 | |
California, State of, General Obligation 5.000%, 9/1/30 | 1,000 | 1,053 | |
San Diego Redevelopment Agency Successor Agency | |||
5.000%, 9/1/28 | 500 | 594 | |
5.000%, 9/1/29 | 405 | 478 | |
San Mateo Foster, City of, Public Financing Authority Revenue | |||
4.000%, 5/1/45 | 500 | 579 | |
4.000%, 5/1/48 | 500 | 578 | |
5,760 | |||
Colorado—3.3% | |||
E-470 Public Highway Authority | |||
Toll Highway Revenue 5.000%, 9/1/35 | 800 | 1,046 | |
Toll Highway Revenue 5.000%, 9/1/36 | 1,000 | 1,302 | |
2,348 | |||
Connecticut—4.4% | |||
Connecticut, State of, | |||
Sales Tax Revenue 5.000%, 10/1/27 | 985 | 1,243 | |
Sales Tax Revenue 5.000%, 5/1/37 | 1,500 | 1,901 | |
3,144 | |||
District of Columbia—1.8% | |||
District of Columbia, General Obligation 5.000%, 6/1/31 | 1,000 | 1,247 | |
Florida—1.8% | |||
Collier County, Water-Sewer District Revenue 5.000%, 7/1/33 | 1,000 | 1,239 | |
Georgia—3.8% | |||
Development Authority for Fulton County, Georgia Tech Athletic Association Revenue (Pre-Refunded 4/1/21 @ 100) 5.750%, 10/1/36 | 1,250 | 1,301 | |
Forsyth County School District General Obligation 5.000%, 2/1/32 | 1,000 | 1,359 | |
2,660 | |||
Par Value | Value | ||
Illinois—1.8% | |||
Illinois Finance Authority Revenue 5.000%, 7/1/28 | $1,000 | $ 1,258 | |
Maryland—11.8% | |||
Maryland, State of, Transportation Authority | |||
Toll Highway Revenue 4.000%, 7/1/45 | 1,000 | 1,171 | |
Toll Highway Revenue 4.000%, 7/1/50 | 1,000 | 1,165 | |
Prince George’s County, General Obligation 5.000%, 7/15/32 | 2,310 | 3,001 | |
Washington Suburban Sanitary Commission Revenue (CNTY GTD Insured) 5.000%, 6/15/30 | 2,320 | 2,965 | |
8,302 | |||
Massachusetts—3.5% | |||
Massachusetts, State of, Bay Transportation Authority Sales Tax Revenue 5.000%, 7/1/45 | 2,000 | 2,468 | |
Minnesota—1.7% | |||
Minnesota, State of, General Obligation 5.000%, 8/1/29 | 1,000 | 1,215 | |
New York—6.0% | |||
New York City Transitional Finance Authority Future Tax Secured, Sales Tax Revenue 5.000%, 2/1/28 | 1,000 | 1,146 | |
New York State Dormitory Authority 5.000%, 7/1/31 | 500 | 693 | |
New York State Dormitory Authority, Sales Tax Revenue (Pre-Refunded 3/15/23 @ 100) 5.000%, 3/15/29 | 1,000 | 1,126 | |
Triborough Bridge & Tunnel Authority Toll Highway Revenue 5.000%, 11/15/49 | 1,000 | 1,253 | |
4,218 | |||
Oregon—1.6% | |||
Portland, Port of, Airport Revenue 5.000%, 7/1/47 | 1,000 | 1,160 | |
Tennessee—1.8% | |||
Tennessee, State of, General Obligation 5.000%, 9/1/30 | 1,000 | 1,285 | |
Texas—22.2% | |||
Arlington Higher Education Finance Corp., Life School Revenue (PSF-GTD Insured) 5.000%, 8/15/39 | 1,000 | 1,119 | |
Fort Worth, City of, Water & Sewer System Revenue 5.000%, 2/15/30 | 1,000 | 1,296 | |
Klein, City of, Independent School District General Obligation (PSF-GTD Insured) 4.000%, 8/1/34 | 1,000 | 1,129 | |
New Braunfels, City of, TX Utility System Revenue | |||
4.000%, 7/1/35 | 500 | 589 | |
4.000%, 7/1/37 | 1,500 | 1,754 |
Table of Contents
Par Value | Value | ||
Texas—continued | |||
North Texas Municipal Water District Water System Revenue 5.000%, 9/1/32 | $ 750 | $ 970 | |
Round Rock Independent School District, General Obligation (PSF-GTD Insured) 5.000%, 8/1/26 | 1,000 | 1,251 | |
Texas Water Development Board Implementation Revenue 5.000%, 10/15/31 | 5,000 | 6,404 | |
Texas, State of, General Obligation 5.000%, 8/1/27 | 1,000 | 1,178 | |
15,690 | |||
Virginia—3.5% | |||
Virginia Resources Authority Revenue 5.000%, 10/1/29 | 2,000 | 2,460 | |
Washington—13.3% | |||
Energy Northwest Revenue | |||
5.000%, 7/1/33 | 2,000 | 2,506 | |
5.000%, 7/1/34 | 2,000 | 2,367 | |
University of Washington | |||
5.000%, 4/1/33 | 500 | 661 | |
5.000%, 4/1/34 | 500 | 658 | |
5.000%, 4/1/35 | 500 | 656 | |
Washington, State of, General Obligation 5.000%, 8/1/29 | 2,000 | 2,564 | |
9,412 | |||
Wisconsin—4.1% | |||
Wisconsin, State of, | |||
General Obligation 5.000%, 5/1/28 | 1,250 | 1,591 | |
General Obligation 5.000%, 5/1/31 | 1,000 | 1,319 | |
2,910 | |||
Total Municipal Bonds (Identified Cost $66,357) | 69,206 | ||
Total Long-Term Investments—98.0% (Identified Cost $66,357) | 69,206 | ||
Shares | Value | ||
Short-Term Investment—4.9% | |||
Money Market Mutual Fund—4.9% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(2) | 3,431,741 | $ 3,432 | |
Total Short-Term Investment (Identified Cost $3,432) | 3,432 | ||
TOTAL INVESTMENTS—102.9% (Identified Cost $69,789) | $72,638 | ||
Other assets and liabilities, net—(2.9)% | (2,036) | ||
NET ASSETS—100.0% | $70,602 |
Abbreviations: | |
CNTY GTD | County Guarantee Program |
PSF-GTD | Permanent School Fund Guarantee Program |
Footnote Legend: | |
(1) | At June 30, 2020, 8.9% of the securities in the portfolio are backed by insurance of financial institutions and financial guaranty assurance agencies. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at June 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Municipal Bonds | $69,206 | $ — | $69,206 | ||
Money Market Mutual Fund | 3,432 | 3,432 | — | ||
Total Investments | $72,638 | $3,432 | $69,206 |
Table of Contents
Par Value | Value | ||
Corporate Bonds and Notes—95.5% | |||
Communication Services—16.2% | |||
Altice France S.A. 144A 8.125%, 2/1/27(1) | $ 1,565 | $ 1,714 | |
C&W Senior Financing DAC 144A 7.500%, 10/15/26(1) | 1,820 | 1,861 | |
CCO Holdings LLC | |||
144A 5.875%, 5/1/27(1) | 635 | 663 | |
144A 4.500%, 8/15/30(1) | 1,523 | 1,554 | |
144A 4.500%, 5/1/32(1) | 405 | 410 | |
CenturyLink, Inc. | |||
7.500%, 4/1/24 | 1,365 | 1,500 | |
7.600%, 9/15/39 | 432 | 465 | |
7.650%, 3/15/42 | 342 | 367 | |
Cincinnati Bell, Inc. 144A 8.000%, 10/15/25(1) | 1,869 | 1,951 | |
Cinemark USA, Inc. 144A 8.750%, 5/1/25(1) | 290 | 300 | |
CSC Holdings LLC 144A 7.750%, 7/15/25(1) | 755 | 785 | |
Diamond Sports Group LLC 144A 5.375%, 8/15/26(1) | 595 | 431 | |
DISH DBS Corp. 144A 7.375%, 7/1/28(1) | 408 | 405 | |
Frontier Communications Corp. 144A 8.000%, 4/1/27(1) | 4,225 | 4,288 | |
Intelsat Jackson Holdings S.A. 144A 8.000%, 2/15/24(1)(2) | 773 | 784 | |
LCPR Senior Secured Financing DAC 144A 6.750%, 10/15/27(1) | 2,125 | 2,167 | |
Level 3 Financing, Inc. 5.375%, 5/1/25 | 1,000 | 1,021 | |
Live Nation Entertainment, Inc. | |||
144A 4.875%, 11/1/24(1) | 325 | 293 | |
144A 5.625%, 3/15/26(1) | 330 | 300 | |
144A 6.500%, 5/15/27(1) | 940 | 968 | |
Meredith Corp. 144A 6.500%, 7/1/25(1) | 202 | 200 | |
Sirius XM Radio, Inc. 144A 5.500%, 7/1/29(1) | 241 | 255 | |
Sprint Communications, Inc. 11.500%, 11/15/21 | 2,405 | 2,664 | |
Sprint Corp. 7.625%, 2/15/25 | 1,025 | 1,183 | |
Telenet Finance Luxembourg Notes S.a.r.l. 144A 5.500%, 3/1/28(1) | 1,400 | 1,460 | |
ViacomCBS, Inc. 6.250%, 2/28/57 | 1,025 | 1,051 | |
WMG Acquisition Corp. 144A 3.875%, 7/15/30(1) | 493 | 498 | |
Ziggo B.V. 144A 5.500%, 1/15/27(1) | 1,850 | 1,880 | |
Ziggo Bond Co. B.V. 144A 5.125%, 2/28/30(1) | 665 | 660 | |
32,078 | |||
Consumer Discretionary—18.8% | �� | ||
Abercrombie & Fitch Management Co. 144A 8.750%, 7/15/25(1) | 502 | 495 | |
Boyd Gaming Corp. 6.000%, 8/15/26 | 495 | 460 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Carnival Corp. 144A 11.500%, 4/1/23(1) | $ 1,615 | $ 1,744 | |
Century Communities, Inc. | |||
5.875%, 7/15/25 | 1,598 | 1,590 | |
6.750%, 6/1/27 | 1,930 | 1,940 | |
Churchill Downs, Inc. 144A 5.500%, 4/1/27(1) | 980 | 953 | |
COLT Merger Sub, Inc. | |||
144A 6.250%, 7/1/25(1) | 505 | 501 | |
144A 8.125%, 7/1/27(1) | 610 | 593 | |
Expedia Group, Inc. 144A 6.250%, 5/1/25(1) | 860 | 918 | |
Ford Motor Co. | |||
9.000%, 4/22/25 | 1,260 | 1,362 | |
9.625%, 4/22/30 | 355 | 420 | |
5.291%, 12/8/46 | 585 | 481 | |
Ford Motor Credit Co. LLC | |||
3.470%, 4/5/21 | 455 | 445 | |
5.596%, 1/7/22 | 730 | 736 | |
5.584%, 3/18/24 | 400 | 404 | |
5.125%, 6/16/25 | 690 | 692 | |
Gap, Inc. (The) 144A 8.625%, 5/15/25(1) | 435 | 461 | |
General Motors Co. 6.750%, 4/1/46 | 1,510 | 1,646 | |
Hilton Grand Vacations Borrower LLC 6.125%, 12/1/24 | 855 | 859 | |
Jaguar Holding Co. II 144A 5.000%, 6/15/28(1) | 570 | 584 | |
Kohl’s Corp. 9.500%, 5/15/25 | 565 | 644 | |
L Brands, Inc. 144A 6.875%, 7/1/25(1) | 870 | 898 | |
Lear Corp. 5.250%, 5/15/49 | 1,760 | 1,819 | |
Lennar Corp. 5.875%, 11/15/24 | 1,255 | 1,371 | |
Liberty Interactive LLC 8.250%, 2/1/30 | 825 | 803 | |
Marriott International, Inc. 5.750%, 5/1/25 | 525 | 572 | |
Marriott Ownership Resorts, Inc. 144A 4.750%, 1/15/28(1) | 545 | 495 | |
Mattamy Group Corp. 144A 4.625%, 3/1/30(1) | 440 | 422 | |
MGM Growth Properties Operating Partnership LP 5.750%, 2/1/27 | 285 | 292 | |
MGM Resorts International | |||
7.750%, 3/15/22 | 280 | 285 | |
5.750%, 6/15/25 | 355 | 351 | |
Michaels Stores, Inc. 144A 8.000%, 7/15/27(1) | 330 | 287 | |
Motors Liquidation Co. Escrow(3) | 53,982 | — | |
Newell Brands, Inc. 4.875%, 6/1/25 | 271 | 284 | |
Nordstrom, Inc. 144A 8.750%, 5/15/25(1) | 450 | 484 | |
Prime Security Services Borrower LLC | |||
144A 5.250%, 4/15/24(1) | 662 | 677 | |
144A 5.750%, 4/15/26(1) | 1,627 | 1,686 | |
PulteGroup, Inc. 7.875%, 6/15/32 | 205 | 262 |
Table of Contents
Par Value | Value | ||
Consumer Discretionary—continued | |||
QVC, Inc. | |||
5.125%, 7/2/22 | $ 215 | $ 217 | |
4.750%, 2/15/27 | 990 | 957 | |
5.450%, 8/15/34 | 570 | 515 | |
Royal Caribbean Cruises Ltd. 144A 10.875%, 6/1/23(1) | 750 | 771 | |
Sally Holdings LLC 144A 8.750%, 4/30/25(1) | 908 | 983 | |
Shea Homes LP 144A 4.750%, 2/15/28(1) | 730 | 694 | |
Station Casinos LLC 144A 5.000%, 10/1/25(1) | 980 | 862 | |
TRI Pointe Group, Inc. | |||
5.875%, 6/15/24 | 810 | 836 | |
5.700%, 6/15/28 | 485 | 492 | |
Vail Resorts, Inc. 144A 6.250%, 5/15/25(1) | 140 | 147 | |
VOC Escrow Ltd. 144A 5.000%, 2/15/28(1) | 575 | 427 | |
Winnebago Industries, Inc. 144A 6.250%, 7/15/28(1) | 342 | 346 | |
Wyndham Destinations, Inc. 4.250%, 3/1/22 | 503 | 494 | |
Yum! Brands, Inc. 144A 7.750%, 4/1/25(1) | 545 | 588 | |
37,245 | |||
Consumer Staples—3.3% | |||
JBS USA LUX S.A. 144A 5.500%, 1/15/30(1) | 845 | 866 | |
Kraft Heinz Foods Co. | |||
6.875%, 1/26/39 | 175 | 216 | |
144A 4.625%, 10/1/39(1) | 1,395 | 1,400 | |
Pilgrim’s Pride Corp. 144A 5.750%, 3/15/25(1) | 1,880 | 1,875 | |
Sysco Corp. 6.600%, 4/1/50 | 785 | 1,078 | |
Vector Group Ltd. | |||
144A 6.125%, 2/1/25(1) | 500 | 480 | |
144A 10.500%, 11/1/26(1) | 715 | 718 | |
6,633 | |||
Energy—11.2% | |||
BP Capital Markets plc | |||
4.375% (4)(5) | 710 | 721 | |
4.875% (4)(5) | 710 | 733 | |
California Resources Corp. 144A 8.000%, 12/15/22(1)(2) | 2,682 | 114 | |
Canadian Natural Resources Ltd. 6.250%, 3/15/38 | 185 | 221 | |
ChampionX Corp. 6.375%, 5/1/26 | 931 | 865 | |
Cheniere Corpus Christi Holdings LLC 7.000%, 6/30/24 | 863 | 982 | |
DCP Midstream Operating LP 5.125%, 5/15/29 | 550 | 525 | |
Endeavor Energy Resources LP 144A 6.625%, 7/15/25(1) | 225 | 227 | |
Ensign Drilling, Inc. 144A 9.250%, 4/15/24(1) | 995 | 443 |
Par Value | Value | ||
Energy—continued | |||
EQM Midstream Partners LP | |||
6.500%, 7/15/48 | $ 449 | $ 410 | |
144A 6.000%, 7/1/25(1) | 505 | 510 | |
144A 6.500%, 7/1/27(1) | 505 | 517 | |
EQT Corp. | |||
6.125%, 2/1/25 | 285 | 284 | |
7.000%, 2/1/30 | 570 | 587 | |
Glenn Pool Oil & Gas Trust 6.000%, 8/2/21 | 100 | 90 | |
Hilcorp Energy I LP 144A 6.250%, 11/1/28(1) | 685 | 550 | |
Nabors Industries Ltd. 144A 7.250%, 1/15/26(1) | 881 | 542 | |
Occidental Petroleum Corp. | |||
6.450%, 9/15/36 | 558 | 478 | |
4.500%, 7/15/44 | 610 | 421 | |
6.600%, 3/15/46 | 1,435 | 1,249 | |
(3 month LIBOR + 0.950%) 1.398%, 2/8/21(6) | 405 | 399 | |
(3 month LIBOR + 1.250%) 1.684%, 8/13/21(6) | 765 | 731 | |
Series 1 4.100%, 2/1/21 | 655 | 658 | |
Oceaneering International, Inc. 6.000%, 2/1/28 | 640 | 448 | |
Parkland Corp. 144A 5.875%, 7/15/27(1) | 1,100 | 1,141 | |
Petroleos Mexicanos 6.875%, 8/4/26 | 690 | 653 | |
Rockies Express Pipeline LLC 144A 4.950%, 7/15/29(1) | 655 | 609 | |
SandRidge Energy, Inc. 8.125%, 10/15/22(3) | 1,935 | — | |
Targa Resources Partners LP 6.500%, 7/15/27 | 945 | 947 | |
Transocean Phoenix 2 Ltd. 144A 7.750%, 10/15/24(1) | 637 | 597 | |
Transocean Proteus Ltd. 144A 6.250%, 12/1/24(1) | 916 | 834 | |
USA Compression Partners LP 6.875%, 4/1/26 | 940 | 908 | |
Valaris plc 5.750%, 10/1/44(7) | 1,405 | 105 | |
Viper Energy Partners LP 144A 5.375%, 11/1/27(1) | 1,027 | 1,007 | |
Western Midstream Operating LP | |||
5.375%, 6/1/21 | 570 | 568 | |
5.250%, 2/1/50 | 695 | 602 | |
Whiting Petroleum Corp. 5.750%, 3/15/21(7) | 580 | 112 | |
WPX Energy, Inc. | |||
8.250%, 8/1/23 | 735 | 816 | |
5.250%, 10/15/27 | 770 | 719 | |
22,323 | |||
Financials—14.0% | |||
AerCap Ireland Capital DAC 6.500%, 7/15/25 | 1,475 | 1,545 | |
Ally Financial, Inc. 5.750%, 11/20/25 | 915 | 978 | |
Altice France Holding S.A. 144A 10.500%, 5/15/27(1) | 3,480 | 3,833 |
Table of Contents
Par Value | Value | ||
Financials—continued | |||
Ascent Resources Utica Holdings LLC 144A 10.000%, 4/1/22(1) | $ 568 | $ 484 | |
Charles Schwab Corp. (The) Series G 5.375% (5) | 780 | 833 | |
Cimpress plc 144A 7.000%, 6/15/26(1) | 1,787 | 1,648 | |
Credit Acceptance Corp. | |||
6.625%, 3/15/26 | 1,065 | 1,069 | |
144A 5.125%, 12/31/24(1) | 545 | 526 | |
Dell International LLC 144A 8.350%, 7/15/46(1) | 660 | 857 | |
Fidelity National Financial, Inc. 3.400%, 6/15/30 | 270 | 281 | |
General Motors Financial Co., Inc. 5.200%, 3/20/23 | 870 | 931 | |
HAT Holdings I LLC 144A 6.000%, 4/15/25(1) | 565 | 592 | |
Hilcorp Energy I LP | |||
144A 5.000%, 12/1/24(1) | 370 | 318 | |
144A 5.750%, 10/1/25(1) | 500 | 425 | |
Markel Corp. 6.000% (4)(5) | 1,975 | 2,010 | |
Nationstar Mortgage Holdings, Inc. | |||
144A 8.125%, 7/15/23(1) | 590 | 605 | |
144A 6.000%, 1/15/27(1) | 1,420 | 1,349 | |
Petrobras Global Finance B.V. 6.750%, 6/3/50 | 305 | 314 | |
Provident Funding Associates LP 144A 6.375%, 6/15/25(1) | 466 | 436 | |
Quicken Loans LLC 144A 5.750%, 5/1/25(1) | 1,935 | 1,978 | |
Radian Group, Inc. | |||
4.500%, 10/1/24 | 840 | 811 | |
4.875%, 3/15/27 | 1,505 | 1,415 | |
Sprint Capital Corp. 8.750%, 3/15/32 | 700 | 1,001 | |
Terrier Media Buyer, Inc. 144A 8.875%, 12/15/27(1) | 2,240 | 2,148 | |
Transocean Pontus Ltd. 144A 6.125%, 8/1/25(1) | 1,548 | 1,347 | |
27,734 | |||
Health Care—8.1% | |||
Bausch Health Americas, Inc. 144A 9.250%, 4/1/26(1) | 880 | 955 | |
Bausch Health Cos., Inc. 144A 5.750%, 8/15/27(1) | 1,195 | 1,267 | |
Charles River Laboratories International, Inc. 144A 5.500%, 4/1/26(1) | 453 | 471 | |
Encompass Health Corp. | |||
4.500%, 2/1/28 | 950 | 911 | |
4.750%, 2/1/30 | 710 | 678 | |
Endo Dac 144A 9.500%, 7/31/27(1) | 338 | 357 | |
HCA, Inc. 7.500%, 11/15/95 | 725 | 852 | |
LifePoint Health, Inc. 144A 4.375%, 2/15/27(1) | 493 | 466 | |
MEDNAX, Inc. 144A 6.250%, 1/15/27(1) | 770 | 770 | |
Molina Healthcare, Inc. 144A 4.375%, 6/15/28(1) | 755 | 757 |
Par Value | Value | ||
Health Care—continued | |||
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(1) | $ 2,099 | $ 2,154 | |
Teleflex, Inc. 144A 4.250%, 6/1/28(1) | 250 | 256 | |
Tenet Healthcare Corp. 4.625%, 7/15/24 | 1,915 | 1,877 | |
Teva Pharmaceutical Finance Netherlands III B.V. | |||
6.000%, 4/15/24 | 2,340 | 2,404 | |
6.750%, 3/1/28 | 1,785 | 1,887 | |
16,062 | |||
Industrials—11.8% | |||
AECOM 5.875%, 10/15/24 | 805 | 869 | |
American Airlines, Inc. 144A 11.750%, 7/15/25(1) | 950 | 893 | |
Boeing Co. (The) | |||
5.040%, 5/1/27 | 495 | 546 | |
5.705%, 5/1/40 | 485 | 549 | |
3.750%, 2/1/50 | 600 | 542 | |
5.930%, 5/1/60 | 489 | 578 | |
Carrier Global Corp. | |||
144A 2.700%, 2/15/31(1) | 975 | 969 | |
144A 3.377%, 4/5/40(1) | 465 | 452 | |
CSC Holdings LLC 144A 10.875%, 10/15/25(1) | 1,805 | 1,940 | |
Delta Air Lines, Inc. | |||
3.800%, 4/19/23 | 2,195 | 1,954 | |
144A 7.000%, 5/1/25(1) | 1,615 | 1,667 | |
General Electric Co. 4.250%, 5/1/40 | 1,015 | 998 | |
Hillenbrand, Inc. 5.750%, 6/15/25 | 585 | 605 | |
IAA, Inc. 144A 5.500%, 6/15/27(1) | 550 | 569 | |
Manitowoc Co., Inc. (The) 144A 9.000%, 4/1/26(1) | 565 | 559 | |
Sensata Technologies UK Financing Co. plc 144A 6.250%, 2/15/26(1) | 585 | 607 | |
Southwest Airlines Co. | |||
5.250%, 5/4/25 | 590 | 622 | |
5.125%, 6/15/27 | 449 | 465 | |
Spirit AeroSystems, Inc. 144A 7.500%, 4/15/25(1) | 1,025 | 1,011 | |
Tms International Holding Corp. 144A 7.250%, 8/15/25(1) | 908 | 740 | |
TransDigm UK Holdings plc 6.875%, 5/15/26 | 1,140 | 1,060 | |
TransDigm, Inc. 144A 6.250%, 3/15/26(1) | 2,045 | 2,044 | |
Univar Solutions USA, Inc. 144A 5.125%, 12/1/27(1) | 358 | 362 | |
Vertical Holdco GMBH 144A 7.625%, 7/15/28(1) | 200 | 200 | |
Vizient, Inc. 144A 6.250%, 5/15/27(1) | 601 | 630 | |
Wabash National Corp. 144A 5.500%, 10/1/25(1) | 700 | 642 | |
WESCO Distribution, Inc. | |||
144A 7.125%, 6/15/25(1) | 101 | 107 | |
144A 7.250%, 6/15/28(1) | 490 | 517 |
Table of Contents
Par Value | Value | ||
Industrials—continued | |||
XPO Logistics, Inc. 144A 6.750%, 8/15/24(1) | $ 750 | $ 786 | |
23,483 | |||
Information Technology—5.0% | |||
ams AG 7.000%, 7/31/25 | 630 | 624 | |
Dell International LLC | |||
144A 7.125%, 6/15/24(1) | 925 | 958 | |
144A 6.100%, 7/15/27(1) | 1,765 | 2,039 | |
144A 8.100%, 7/15/36(1) | 530 | 690 | |
Gartner, Inc. 144A 4.500%, 7/1/28(1) | 400 | 405 | |
Hewlett Packard Enterprise Co. 6.350%, 10/15/45 | 375 | 460 | |
HP, Inc. 6.000%, 9/15/41 | 300 | 356 | |
Microchip Technology, Inc. 144A 4.250%, 9/1/25(1) | 720 | 726 | |
Qorvo, Inc. 144A 4.375%, 10/15/29(1) | 485 | 497 | |
Sabre GLBL, Inc. 144A 9.250%, 4/15/25(1) | 586 | 617 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(1) | 590 | 588 | |
Sensata Technologies, Inc. 144A 4.375%, 2/15/30(1) | 370 | 366 | |
SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1) | 708 | 721 | |
ViaSat, Inc. 144A 6.500%, 7/15/28(1) | 505 | 505 | |
Xerox Corp. 4.500%, 5/15/21 | 305 | 307 | |
9,859 | |||
Materials—3.3% | |||
Ardagh Packaging Finance plc 144A 4.125%, 8/15/26(1) | 200 | 198 | |
Cleveland-Cliffs, Inc. 144A 9.875%, 10/17/25(1) | 1,027 | 1,077 | |
Freeport-McMoRan, Inc. | |||
4.550%, 11/14/24 | 700 | 711 | |
4.125%, 3/1/28 | 600 | 582 | |
5.400%, 11/14/34 | 500 | 494 | |
5.450%, 3/15/43 | 600 | 588 | |
Starfruit Finco B.V. 144A 8.000%, 10/1/26(1) | 635 | 650 | |
Summit Materials LLC | |||
144A 5.125%, 6/1/25(1) | 1,070 | 1,057 | |
144A 6.500%, 3/15/27(1) | 665 | 680 | |
United States Steel Corp. 144A 12.000%, 6/1/25(1) | 433 | 444 | |
6,481 | |||
Real Estate—2.9% | |||
Brookfield Property REIT, Inc. 144A 5.750%, 5/15/26(1) | 1,962 | 1,658 | |
GLP Capital LP 5.250%, 6/1/25 | 575 | 625 |
Par Value | Value | ||
Real Estate—continued | |||
Howard Hughes Corp. (The) 144A 5.375%, 3/15/25(1) | $ 517 | $ 481 | |
Realogy Group LLC 144A 5.250%, 12/1/21(1) | 1,145 | 1,161 | |
Sabra Health Care LP 3.900%, 10/15/29 | 690 | 627 | |
SBA Communications Corp. 144A 3.875%, 2/15/27(1) | 135 | 134 | |
VICI Properties LP 144A 4.250%, 12/1/26(1) | 1,120 | 1,075 | |
5,761 | |||
Utilities—0.9% | |||
Pacific Gas and Electric Co. | |||
2.500%, 2/1/31 | 745 | 728 | |
3.300%, 8/1/40 | 447 | 435 | |
PG&E Corp. | |||
5.000%, 7/1/28 | 285 | 284 | |
5.250%, 7/1/30 | 285 | 287 | |
1,734 | |||
Total Corporate Bonds and Notes (Identified Cost $189,395) | 189,393 | ||
Leveraged Loans(6)—1.3% | |||
Aerospace—0.2% | |||
American Airlines, Inc. 2017, Tranche B (1 month LIBOR + 2.000%) 2.184%, 4/28/23 | 504 | 397 | |
Energy—0.5% | |||
BCP Raptor II LLC (1 month LIBOR + 4.750%) 4.928%, 11/3/25 | 766 | 494 | |
BCP Raptor LLC (3 month LIBOR + 4.250%) 5.250%, 6/24/24 | 766 | 548 | |
1,042 | |||
Financial—0.1% | |||
Ditech Holding Corp. Tranche B (3 month LIBOR + 6.000%) 0.000%, 6/30/22(7)(8) | 435 | 179 | |
Media / Telecom - Telecommunications—0.5% | |||
Frontier Communications Corp. Tranche B-1 (3 month LIBOR + 3.750%) 5.352%, 6/17/24 | 983 | 955 | |
Total Leveraged Loans (Identified Cost $3,296) | 2,573 | ||
Shares | ||
Preferred Stocks—0.6% | ||
Financials—0.6% | ||
Regions Financial Corp., 5.750%(4) | 500 (9) | 514 |
Table of Contents
Shares | Value | ||
Financials—continued | |||
Truist Financial Corp. Series Q, 5.100%(4) | 695 (9) | $ 718 | |
1,232 | |||
Total Preferred Stocks (Identified Cost $1,198) | 1,232 | ||
Common Stock—0.0% | |||
Energy—0.0% | |||
Templar Energy LLC Class A(3)(10) | 159,460 | 1 | |
Total Common Stock (Identified Cost $5,605) | 1 | ||
Warrants—0.0% | |||
Energy—0.0% | |||
SandRidge Energy, Inc.(10) | 3,760 | — (11) | |
SandRidge Energy, Inc.(10) | 1,583 | — (11) | |
— (11) | |||
Total Warrants (Identified Cost $—) | — (11) | ||
Total Long-Term Investments—97.4% (Identified Cost $199,494) | 193,199 | ||
Short-Term Investment—0.3% | |||
Money Market Mutual Fund—0.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(12) | 649,694 | 650 | |
Total Short-Term Investment (Identified Cost $650) | 650 | ||
TOTAL INVESTMENTS—97.7% (Identified Cost $200,144) | $193,849 | ||
Other assets and liabilities, net—2.3% | 4,535 | ||
NET ASSETS—100.0% | $198,384 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
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 June 30, 2020, these securities amounted to a value of $107,694 or 54.3% of net assets. |
(2) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(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) | Interest payments may be deferred. |
(5) | No contractual maturity date. |
(6) | Variable rate security. Rate disclosed is as of June 30, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(7) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(8) | This loan will settle after June 30, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(9) | Value shown as par value. |
(10) | Non-income producing. |
(11) | Amount is less than $500. |
(12) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 79% |
Netherlands | 4 |
Luxembourg | 4 |
Ireland | 3 |
United Kingdom | 3 |
Canada | 2 |
Cayman Islands | 2 |
Other | 3 |
Total | 100% |
† % of total investments as of June 30, 2020. |
Table of Contents
Total Value at June 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $189,393 | $ — | $189,393 | $— (1) | |||
Leveraged Loans | 2,573 | — | 2,573 | — | |||
Equity Securities: | |||||||
Warrants | — (2) | — (2) | — | — | |||
Common Stock | 1 | — | — | 1 | |||
Preferred Stocks | 1,232 | — | 1,232 | — | |||
Money Market Mutual Fund | 650 | 650 | — | — | |||
Total Investments | $193,849 | $650 | $193,198 | $ 1 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
(2) | Amount is less than $500. |
Table of Contents
Par Value | Value | ||
Corporate Bonds and Notes—96.4% | |||
Communication Services—14.8% | |||
Altice France S.A. 144A 8.125%, 2/1/27(1) | $1,535 | $ 1,681 | |
C&W Senior Financing DAC 144A 7.500%, 10/15/26(1) | 1,490 | 1,524 | |
CCO Holdings LLC | |||
144A 5.000%, 2/1/28(1) | 950 | 981 | |
144A 4.750%, 3/1/30(1) | 855 | 875 | |
144A 4.500%, 8/15/30(1) | 2,728 | 2,784 | |
144A 4.500%, 5/1/32(1) | 700 | 709 | |
CenturyLink, Inc. | |||
6.750%, 12/1/23 | 1,850 | 1,988 | |
7.500%, 4/1/24 | 1,310 | 1,440 | |
7.600%, 9/15/39 | 504 | 542 | |
7.650%, 3/15/42 | 400 | 429 | |
144A 4.000%, 2/15/27(1) | 1,625 | 1,573 | |
Cinemark USA, Inc. 144A 8.750%, 5/1/25(1) | 465 | 481 | |
Cogent Communications Group, Inc. 144A 5.375%, 3/1/22(1) | 1,055 | 1,085 | |
CSC Holdings LLC | |||
144A 7.750%, 7/15/25(1) | 720 | 749 | |
144A 6.500%, 2/1/29(1) | 985 | 1,076 | |
Diamond Sports Group LLC 144A 5.375%, 8/15/26(1) | 960 | 696 | |
DISH DBS Corp. 144A 7.375%, 7/1/28(1) | 662 | 658 | |
Frontier Communications Corp. 144A 8.000%, 4/1/27(1) | 2,025 | 2,055 | |
Intelsat Jackson Holdings S.A. 144A 8.000%, 2/15/24(1)(2) | 985 | 999 | |
LCPR Senior Secured Financing DAC 144A 6.750%, 10/15/27(1) | 3,570 | 3,641 | |
Level 3 Financing, Inc. | |||
5.375%, 8/15/22 | 1,118 | 1,119 | |
5.375%, 5/1/25 | 755 | 771 | |
Live Nation Entertainment, Inc. 144A 6.500%, 5/15/27(1) | 1,524 | 1,570 | |
Meredith Corp. 144A 6.500%, 7/1/25(1) | 330 | 327 | |
Netflix, Inc. 144A 5.375%, 11/15/29(1) | 2,750 | 3,020 | |
Quebecor Media, Inc. 5.750%, 1/15/23 | 463 | 485 | |
Sirius XM Radio, Inc. 144A 5.500%, 7/1/29(1) | 282 | 298 | |
Sprint Communications, Inc. | |||
11.500%, 11/15/21 | 2,835 | 3,140 | |
9.250%, 4/15/22 | 280 | 309 | |
Sprint Corp. 7.625%, 2/15/25 | 950 | 1,096 | |
T-Mobile USA, Inc. 6.500%, 1/15/26 | 865 | 904 | |
ViacomCBS, Inc. 6.250%, 2/28/57 | 830 | 851 | |
Videotron Ltd. 144A 5.375%, 6/15/24(1) | 463 | 493 | |
WMG Acquisition Corp. 144A 3.875%, 7/15/30(1) | 809 | 817 | |
Ziggo B.V. 144A 5.500%, 1/15/27(1) | 2,650 | 2,693 |
Par Value | Value | ||
Communication Services—continued | |||
Ziggo Bond Co. B.V. 144A 5.125%, 2/28/30(1) | $ 785 | $ 779 | |
44,638 | |||
Consumer Discretionary—19.4% | |||
Abercrombie & Fitch Management Co. 144A 8.750%, 7/15/25(1) | 820 | 808 | |
Carnival Corp. 144A 11.500%, 4/1/23(1) | 2,595 | 2,802 | |
Century Communities, Inc. | |||
5.875%, 7/15/25 | 1,580 | 1,572 | |
6.750%, 6/1/27 | 2,075 | 2,085 | |
Churchill Downs, Inc. 144A 5.500%, 4/1/27(1) | 2,420 | 2,354 | |
COLT Merger Sub, Inc. 144A 6.250%, 7/1/25(1) | 1,155 | 1,146 | |
Expedia Group, Inc. 144A 6.250%, 5/1/25(1) | 1,396 | 1,491 | |
Ford Motor Co. | |||
9.000%, 4/22/25 | 2,195 | 2,373 | |
9.625%, 4/22/30 | 575 | 681 | |
5.291%, 12/8/46 | 943 | 775 | |
Ford Motor Credit Co. LLC | |||
3.470%, 4/5/21 | 930 | 909 | |
5.596%, 1/7/22 | 2,745 | 2,766 | |
5.584%, 3/18/24 | 525 | 530 | |
5.125%, 6/16/25 | 1,125 | 1,128 | |
Gap, Inc. (The) 144A 8.625%, 5/15/25(1) | 705 | 746 | |
General Motors Co. 6.750%, 4/1/46 | 1,920 | 2,093 | |
Hilton Grand Vacations Borrower LLC 6.125%, 12/1/24 | 825 | 829 | |
Jaguar Holding Co. II 144A 5.000%, 6/15/28(1) | 920 | 942 | |
Kohl’s Corp. 9.500%, 5/15/25 | 891 | 1,016 | |
L Brands, Inc. 144A 6.875%, 7/1/25(1) | 1,625 | 1,678 | |
Lear Corp. 5.250%, 5/15/49 | 2,860 | 2,955 | |
Lennar Corp. | |||
5.875%, 11/15/24 | 1,391 | 1,520 | |
5.000%, 6/15/27 | 440 | 475 | |
Liberty Interactive LLC 8.250%, 2/1/30 | 980 | 954 | |
Marriott International, Inc. 5.750%, 5/1/25 | 710 | 774 | |
Marriott Ownership Resorts, Inc. 144A 4.750%, 1/15/28(1) | 890 | 808 | |
Mattamy Group Corp. 144A 4.625%, 3/1/30(1) | 470 | 451 | |
MGM Growth Properties Operating Partnership LP 5.750%, 2/1/27 | 460 | 472 | |
MGM Resorts International | |||
7.750%, 3/15/22 | 355 | 361 | |
5.750%, 6/15/25 | 445 | 440 | |
New Red Finance, Inc. 144A 5.000%, 10/15/25(1) | 625 | 622 | |
Newell Brands, Inc. 4.875%, 6/1/25 | 1,241 | 1,300 |
Table of Contents
Par Value | Value | ||
Consumer Discretionary—continued | |||
Nordstrom, Inc. 144A 8.750%, 5/15/25(1) | $ 430 | $ 463 | |
Prime Security Services Borrower LLC | |||
144A 5.250%, 4/15/24(1) | 761 | 778 | |
144A 5.750%, 4/15/26(1) | 1,765 | 1,829 | |
PulteGroup, Inc. | |||
5.500%, 3/1/26 | 1,360 | 1,483 | |
7.875%, 6/15/32 | 1,105 | 1,412 | |
QVC, Inc. | |||
5.125%, 7/2/22 | 747 | 754 | |
4.750%, 2/15/27 | 1,005 | 972 | |
5.450%, 8/15/34 | 916 | 828 | |
Royal Caribbean Cruises Ltd. 144A 10.875%, 6/1/23(1) | 775 | 796 | |
Sally Holdings LLC 144A 8.750%, 4/30/25(1) | 1,108 | 1,199 | |
Shea Homes LP 144A 4.750%, 2/15/28(1) | 765 | 727 | |
TRI Pointe Group, Inc. | |||
5.875%, 6/15/24 | 1,030 | 1,063 | |
5.700%, 6/15/28 | 798 | 810 | |
Vail Resorts, Inc. 144A 6.250%, 5/15/25(1) | 1,195 | 1,250 | |
VOC Escrow Ltd. 144A 5.000%, 2/15/28(1) | 925 | 687 | |
William Carter Co. (The) 144A 5.625%, 3/15/27(1) | 963 | 992 | |
Winnebago Industries, Inc. 144A 6.250%, 7/15/28(1) | 525 | 532 | |
Wyndham Destinations, Inc. 4.250%, 3/1/22 | 809 | 795 | |
Yum! Brands, Inc. 144A 7.750%, 4/1/25(1) | 1,120 | 1,208 | |
58,434 | |||
Consumer Staples—3.2% | |||
JBS USA LUX S.A. 144A 5.500%, 1/15/30(1) | 1,305 | 1,338 | |
Kraft Heinz Foods Co. | |||
6.875%, 1/26/39 | 280 | 346 | |
144A 4.625%, 10/1/39(1) | 2,270 | 2,279 | |
Pilgrim’s Pride Corp. 144A 5.750%, 3/15/25(1) | 2,225 | 2,218 | |
Sysco Corp. 6.600%, 4/1/50 | 1,270 | 1,745 | |
Vector Group Ltd. 144A 6.125%, 2/1/25(1) | 1,815 | 1,742 | |
9,668 | |||
Energy—9.3% | |||
BP Capital Markets plc | |||
4.375% (3)(4) | 1,157 | 1,174 | |
4.875% (3)(4) | 1,157 | 1,195 | |
Canadian Natural Resources Ltd. 6.250%, 3/15/38 | 190 | 227 | |
ChampionX Corp. 6.375%, 5/1/26 | 730 | 678 | |
DCP Midstream Operating LP 5.125%, 5/15/29 | 868 | 829 | |
EQM Midstream Partners LP | |||
6.500%, 7/15/48 | 730 | 666 |
Par Value | Value | ||
Energy—continued | |||
144A 6.500%, 7/1/27(1) | $ 826 | $ 846 | |
EQT Corp. | |||
6.125%, 2/1/25 | 430 | 429 | |
7.000%, 2/1/30 | 870 | 896 | |
Glenn Pool Oil & Gas Trust 6.000%, 8/2/21 | 106 | 96 | |
Hilcorp Energy I LP 144A 6.250%, 11/1/28(1) | 1,345 | 1,079 | |
Murphy Oil Corp. 6.875%, 8/15/24 | 795 | 743 | |
Nabors Industries Ltd. 144A 7.250%, 1/15/26(1) | 547 | 336 | |
Occidental Petroleum Corp. | |||
6.450%, 9/15/36 | 905 | 775 | |
4.500%, 7/15/44 | 990 | 683 | |
6.600%, 3/15/46 | 2,290 | 1,993 | |
(3 month LIBOR + 0.950%) 1.398%, 2/8/21(5) | 515 | 507 | |
(3 month LIBOR + 1.250%) 1.684%, 8/13/21(5) | 945 | 903 | |
Series 1 4.100%, 2/1/21 | 830 | 833 | |
Oceaneering International, Inc. 6.000%, 2/1/28 | 1,049 | 734 | |
Parkland Corp. 144A 5.875%, 7/15/27(1) | 1,515 | 1,572 | |
Petroleos Mexicanos 6.875%, 8/4/26 | 1,108 | 1,048 | |
Rockies Express Pipeline LLC 144A 4.950%, 7/15/29(1) | 830 | 772 | |
Targa Resources Partners LP 6.500%, 7/15/27 | 1,514 | 1,518 | |
Transocean Phoenix 2 Ltd. 144A 7.750%, 10/15/24(1) | 751 | 704 | |
Transocean Proteus Ltd. 144A 6.250%, 12/1/24(1) | 855 | 778 | |
USA Compression Partners LP 6.875%, 4/1/26 | 958 | 926 | |
Viper Energy Partners LP 144A 5.375%, 11/1/27(1) | 1,650 | 1,619 | |
Western Midstream Operating LP | |||
5.375%, 6/1/21 | 905 | 903 | |
5.250%, 2/1/50 | 1,130 | 979 | |
WPX Energy, Inc. | |||
8.250%, 8/1/23 | 680 | 755 | |
5.250%, 10/15/27 | 965 | 902 | |
28,098 | |||
Financials—13.7% | |||
AerCap Ireland Capital DAC 6.500%, 7/15/25 | 2,371 | 2,484 | |
Ally Financial, Inc. | |||
5.750%, 11/20/25 | 1,370 | 1,464 | |
8.000%, 11/1/31 | 1,310 | 1,690 | |
Altice Financing S.A. 144A 5.000%, 1/15/28(1) | 6,125 | 6,084 | |
Charles Schwab Corp. (The) Series G 5.375% (4) | 1,199 | 1,281 | |
Cimpress plc 144A 7.000%, 6/15/26(1) | 2,795 | 2,578 | |
Credit Acceptance Corp. | |||
6.625%, 3/15/26 | 1,362 | 1,368 |
Table of Contents
Par Value | Value | ||
Financials—continued | |||
144A 5.125%, 12/31/24(1) | $ 725 | $ 700 | |
Dell International LLC 144A 8.350%, 7/15/46(1) | 1,855 | 2,409 | |
HAT Holdings I LLC 144A 6.000%, 4/15/25(1) | 920 | 964 | |
Hilcorp Energy I LP | |||
144A 5.000%, 12/1/24(1) | 360 | 310 | |
144A 5.750%, 10/1/25(1) | 780 | 663 | |
ILFC E-Capital Trust I 144A 3.020%, 12/21/65(1)(5) | 1,390 | 683 | |
Level 3 Financing, Inc. 5.125%, 5/1/23 | 620 | 620 | |
Markel Corp. 6.000% (3)(4) | 3,215 | 3,271 | |
Nationstar Mortgage Holdings, Inc. | |||
144A 8.125%, 7/15/23(1) | 960 | 985 | |
144A 6.000%, 1/15/27(1) | 1,615 | 1,534 | |
Petrobras Global Finance B.V. | |||
8.750%, 5/23/26 | 650 | 767 | |
6.750%, 6/3/50 | 495 | 509 | |
Quicken Loans LLC 144A 5.750%, 5/1/25(1) | 2,485 | 2,540 | |
Radian Group, Inc. | |||
4.500%, 10/1/24 | 1,078 | 1,040 | |
4.875%, 3/15/27 | 1,420 | 1,335 | |
Silversea Cruise Finance Ltd. 144A 7.250%, 2/1/25(1) | 587 | 553 | |
Sprint Capital Corp. 8.750%, 3/15/32 | 1,125 | 1,608 | |
Teva Pharmaceutical Finance Co. B.V. 2.950%, 12/18/22 | 2,270 | 2,191 | |
Transocean Pontus Ltd. 144A 6.125%, 8/1/25(1) | 1,809 | 1,574 | |
41,205 | |||
Health Care—10.3% | |||
AMN Healthcare, Inc. 144A 5.125%, 10/1/24(1) | 760 | 760 | |
Bausch Health Cos., Inc. | |||
144A 5.500%, 3/1/23(1) | 481 | 478 | |
144A 7.000%, 3/15/24(1) | 900 | 934 | |
144A 5.750%, 8/15/27(1) | 2,895 | 3,069 | |
Centene Corp. | |||
144A 5.250%, 4/1/25(1) | 1,105 | 1,138 | |
144A 5.375%, 6/1/26(1) | 1,345 | 1,394 | |
144A 5.375%, 8/15/26(1) | 1,490 | 1,550 | |
Charles River Laboratories International, Inc. 144A 5.500%, 4/1/26(1) | 900 | 936 | |
Encompass Health Corp. | |||
4.500%, 2/1/28 | 1,120 | 1,074 | |
4.750%, 2/1/30 | 1,895 | 1,810 | |
HCA, Inc. | |||
5.375%, 2/1/25 | 2,080 | 2,228 | |
7.500%, 11/15/95 | 1,380 | 1,622 | |
Hill-Rom Holdings, Inc. 144A 5.000%, 2/15/25(1) | 550 | 567 | |
LifePoint Health, Inc. 144A 4.375%, 2/15/27(1) | 800 | 756 | |
MEDNAX, Inc. 144A 6.250%, 1/15/27(1) | 1,205 | 1,205 | |
Molina Healthcare, Inc. 144A 4.375%, 6/15/28(1) | 1,210 | 1,213 |
Par Value | Value | ||
Health Care—continued | |||
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(1) | $1,533 | $ 1,573 | |
Teleflex, Inc. 144A 4.250%, 6/1/28(1) | 776 | 795 | |
Tenet Healthcare Corp. 4.625%, 7/15/24 | 2,455 | 2,406 | |
Teva Pharmaceutical Finance Netherlands III B.V. | |||
6.000%, 4/15/24 | 2,625 | 2,697 | |
6.750%, 3/1/28 | 2,800 | 2,959 | |
31,164 | |||
Industrials—11.1% | |||
AECOM 5.875%, 10/15/24 | 1,405 | 1,517 | |
Allison Transmission, Inc. 144A 5.000%, 10/1/24(1) | 1,565 | 1,561 | |
American Airlines, Inc. 144A 11.750%, 7/15/25(1) | 1,050 | 987 | |
Boeing Co. (The) | |||
5.040%, 5/1/27 | 766 | 845 | |
5.705%, 5/1/40 | 890 | 1,006 | |
3.750%, 2/1/50 | 770 | 695 | |
5.930%, 5/1/60 | 769 | 909 | |
Carrier Global Corp. | |||
144A 2.700%, 2/15/31(1) | 1,585 | 1,576 | |
144A 3.377%, 4/5/40(1) | 740 | 720 | |
CSC Holdings LLC 144A 10.875%, 10/15/25(1) | 2,942 | 3,163 | |
Delta Air Lines, Inc. 144A 7.000%, 5/1/25(1) | 3,070 | 3,169 | |
General Electric Co. 4.250%, 5/1/40 | 1,650 | 1,622 | |
Hillenbrand, Inc. 5.750%, 6/15/25 | 950 | 983 | |
Hilton Domestic Operating Co., Inc. 5.125%, 5/1/26 | 701 | 698 | |
IAA, Inc. 144A 5.500%, 6/15/27(1) | 535 | 553 | |
Manitowoc Co., Inc. (The) 144A 9.000%, 4/1/26(1) | 720 | 713 | |
Ritchie Bros. Auctioneers, Inc. 144A 5.375%, 1/15/25(1) | 645 | 664 | |
Sensata Technologies B.V. 144A 5.000%, 10/1/25(1) | 470 | 500 | |
Sensata Technologies UK Financing Co. plc 144A 6.250%, 2/15/26(1) | 1,130 | 1,172 | |
Southwest Airlines Co. 5.125%, 6/15/27 | 720 | 746 | |
Spirit AeroSystems, Inc. 144A 7.500%, 4/15/25(1) | 1,320 | 1,302 | |
TransDigm, Inc. 144A 6.250%, 3/15/26(1) | 3,395 | 3,393 | |
Univar Solutions USA, Inc. 144A 5.125%, 12/1/27(1) | 1,489 | 1,506 | |
Vizient, Inc. 144A 6.250%, 5/15/27(1) | 732 | 767 | |
Wabash National Corp. 144A 5.500%, 10/1/25(1) | 670 | 615 | |
WESCO Distribution, Inc. | |||
144A 7.125%, 6/15/25(1) | 161 | 170 | |
144A 7.250%, 6/15/28(1) | 790 | 833 |
Table of Contents
Par Value | Value | ||
Industrials—continued | |||
XPO Logistics, Inc. 144A 6.750%, 8/15/24(1) | $ 970 | $ 1,016 | |
33,401 | |||
Information Technology—5.6% | |||
ams AG 7.000%, 7/31/25 | 960 | 950 | |
CDK Global, Inc. 5.000%, 10/15/24 | 1,450 | 1,537 | |
CDW LLC 4.125%, 5/1/25 | 1,510 | 1,512 | |
Dell International LLC | |||
144A 7.125%, 6/15/24(1) | 1,180 | 1,222 | |
144A 8.100%, 7/15/36(1) | 655 | 853 | |
Gartner, Inc. 144A 4.500%, 7/1/28(1) | 650 | 658 | |
Hewlett Packard Enterprise Co. 6.350%, 10/15/45 | 610 | 748 | |
HP, Inc. 6.000%, 9/15/41 | 490 | 581 | |
Microchip Technology, Inc. 144A 4.250%, 9/1/25(1) | 1,160 | 1,170 | |
Qorvo, Inc. 144A 4.375%, 10/15/29(1) | 780 | 799 | |
Sabre GLBL, Inc. 144A 9.250%, 4/15/25(1) | 754 | 795 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(1) | 1,504 | 1,499 | |
Sensata Technologies, Inc. 144A 4.375%, 2/15/30(1) | 440 | 436 | |
SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1) | 1,475 | 1,502 | |
VeriSign, Inc. 5.250%, 4/1/25 | 1,320 | 1,462 | |
ViaSat, Inc. 144A 6.500%, 7/15/28(1) | 820 | 820 | |
Xerox Corp. 4.500%, 5/15/21 | 380 | 383 | |
16,927 | |||
Materials—4.6% | |||
Ardagh Packaging Finance plc | |||
144A 5.250%, 4/30/25(1) | 1,530 | 1,570 | |
144A 4.125%, 8/15/26(1) | 240 | 237 | |
Axalta Coating Systems LLC 144A 4.875%, 8/15/24(1) | 3,035 | 3,073 | |
Cleveland-Cliffs, Inc. 144A 9.875%, 10/17/25(1) | 1,650 | 1,731 | |
Freeport-McMoRan, Inc. | |||
4.550%, 11/14/24 | 705 | 716 | |
4.125%, 3/1/28 | 565 | 548 | |
5.400%, 11/14/34 | 825 | 815 | |
5.450%, 3/15/43 | 980 | 960 | |
Reynolds Group Issuer, Inc. 144A 5.125%, 7/15/23(1) | 1,003 | 1,015 | |
Sealed Air Corp. | |||
144A 5.500%, 9/15/25(1) | 720 | 774 | |
144A 6.875%, 7/15/33(1) | 655 | 775 | |
Summit Materials LLC | |||
144A 5.125%, 6/1/25(1) | 1,000 | 988 |
Par Value | Value | ||
Materials—continued | |||
144A 6.500%, 3/15/27(1) | $ 660 | $ 675 | |
13,877 | |||
Real Estate—2.8% | |||
Brookfield Property REIT, Inc. 144A 5.750%, 5/15/26(1) | 2,477 | 2,093 | |
GLP Capital LP 5.250%, 6/1/25 | 910 | 990 | |
Howard Hughes Corp. (The) 144A 5.375%, 3/15/25(1) | 850 | 791 | |
Iron Mountain, Inc. 144A 4.875%, 9/15/29(1) | 825 | 802 | |
Realogy Group LLC 144A 5.250%, 12/1/21(1) | 1,340 | 1,358 | |
Sabra Health Care LP 3.900%, 10/15/29 | 1,110 | 1,009 | |
SBA Communications Corp. 144A 3.875%, 2/15/27(1) | 220 | 219 | |
VICI Properties LP 144A 4.250%, 12/1/26(1) | 1,160 | 1,113 | |
8,375 | |||
Utilities—1.6% | |||
NextEra Energy Operating Partners LP 144A 4.250%, 7/15/24(1) | 1,920 | 1,942 | |
Pacific Gas and Electric Co. | |||
2.500%, 2/1/31 | 1,210 | 1,183 | |
3.300%, 8/1/40 | 725 | 705 | |
PG&E Corp. | |||
5.000%, 7/1/28 | 465 | 463 | |
5.250%, 7/1/30 | 465 | 467 | |
4,760 | |||
Total Corporate Bonds and Notes (Identified Cost $285,941) | 290,547 | ||
Leveraged Loans(5)—0.9% | |||
Aerospace—0.1% | |||
American Airlines, Inc. 2017, Tranche B (1 month LIBOR + 2.000%) 2.184%, 4/28/23 | 513 | 404 | |
Energy—0.4% | |||
BCP Raptor II LLC (1 month LIBOR + 4.750%) 4.928%, 11/3/25 | 826 | 533 | |
BCP Raptor LLC (3 month LIBOR + 4.250%) 5.250%, 6/24/24 | 826 | 590 | |
1,123 | |||
Financial—0.1% | |||
Ditech Holding Corp. Tranche B (3 month LIBOR + 6.000%) 0.000%, 6/30/22(6) | 439 | 181 |
Table of Contents
Par Value | Value | ||
Media / Telecom - Telecommunications—0.3% | |||
Frontier Communications Corp. Tranche B-1 (3 month LIBOR + 3.750%) 5.352%, 6/17/24 | $1,013 | $ 984 | |
Total Leveraged Loans (Identified Cost $3,448) | 2,692 | ||
Shares | ||
Preferred Stocks—0.6% | ||
Financials—0.6% | ||
Regions Financial Corp., 5.750%(3) | 817 (7) | 841 |
Truist Financial Corp. Series Q, 5.100%(3) | 1,125 (7) | 1,162 |
2,003 | ||
Total Preferred Stocks (Identified Cost $1,947) | 2,003 | |
Common Stock—0.0% | ||
Energy—0.0% | ||
Templar Energy LLC Class A(8)(9) | 134,055 | 1 |
Total Common Stock (Identified Cost $4,781) | 1 | |
Total Long-Term Investments—97.9% (Identified Cost $296,117) | 295,243 | |
TOTAL INVESTMENTS—97.9% (Identified Cost $296,117) | $295,243 | |
Other assets and liabilities, net—2.1% | 6,254 | |
NET ASSETS—100.0% | $301,497 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
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 June 30, 2020, these securities amounted to a value of $162,391 or 53.9% of net assets. |
(2) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(3) | Interest payments may be deferred. |
(4) | No contractual maturity date. |
(5) | Variable rate security. Rate disclosed is as of June 30, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(6) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(7) | Value shown as par value. |
(8) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(9) | Non-income producing. |
Country Weightings† | |
United States | 80% |
Netherlands | 5 |
Ireland | 4 |
United Kingdom | 3 |
Canada | 2 |
Luxembourg | 2 |
Cayman Islands | 1 |
Other | 3 |
Total | 100% |
† % of total investments as of June 30, 2020. |
Total Value at June 30, 2020 | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Corporate Bonds and Notes | $290,547 | $290,547 | $— | ||
Leveraged Loans | 2,692 | 2,692 | — | ||
Equity Securities: | |||||
Common Stock | 1 | — | 1 | ||
Preferred Stocks | 2,003 | 2,003 | — | ||
Total Investments | $295,243 | $295,242 | $ 1 |
Table of Contents
Table of Contents
Par Value | Value | ||
Municipal Bonds(1)—98.3% | |||
Alabama—0.6% | |||
Jefferson County, Sales Tax Revenue 5.000%, 9/15/33 | $1,500 | $ 1,828 | |
Arizona—2.0% | |||
Salt River Project Agricultural Improvement & Power District Revenue | |||
5.000%, 1/1/30 | 1,750 | 2,401 | |
5.000%, 12/1/32 | 3,020 | 3,597 | |
5,998 | |||
California—4.9% | |||
California County Tobacco Securitization Agency Revenue | |||
5.000%, 6/1/24 | 100 | 116 | |
5.000%, 6/1/25 | 200 | 239 | |
5.000%, 6/1/27 | 100 | 125 | |
5.000%, 6/1/28 | 100 | 127 | |
California, State of, | |||
General Obligation 5.000%, 8/1/29 | 4,000 | 4,982 | |
General Obligation 5.000%, 4/1/37 | 4,000 | 4,548 | |
East Bay Municipal Utility District Water System Revenue 5.000%, 6/1/33 | 1,940 | 2,432 | |
Southern California Public Power Authority Revenue 5.000%, 4/1/24 | 1,500 | 1,743 | |
14,312 | |||
Colorado—1.3% | |||
E-470 Public Highway Authority | |||
5.000%, 9/1/26 | 550 | 682 | |
5.000%, 9/1/34 | 1,000 | 1,314 | |
5.000%, 9/1/40 | 1,500 | 1,705 | |
3,701 | |||
Connecticut—0.9% | |||
State of Connecticut Special Tax Revenue | |||
5.000%, 5/1/25 | 825 | 986 | |
5.000%, 5/1/26 | 1,000 | 1,224 | |
4.000%, 5/1/39 | 500 | 570 | |
2,780 | |||
District of Columbia—1.2% | |||
District of Columbia, General Obligation 5.000%, 6/1/31 | 2,825 | 3,523 | |
Florida—1.0% | |||
Greater Orlando Aviation Authority Revenue 5.000%, 10/1/25 | 2,500 | 2,987 | |
Georgia—6.2% | |||
Atlanta, City of, Department of Aviation Revenue 5.000%, 1/1/28 | 1,000 | 1,132 | |
Atlanta, City of, Water & Wastewater Revenue 5.000%, 11/1/31 | 1,000 | 1,279 |
Par Value | Value | ||
Georgia—continued | |||
Forsyth County School District | |||
General Obligation 5.000%, 2/1/29 | $3,760 | $ 5,080 | |
General Obligation 5.000%, 2/1/30 | 3,970 | 5,482 | |
General Obligation 5.000%, 2/1/31 | 3,805 | 5,216 | |
18,189 | |||
Hawaii—0.1% | |||
Hawaii, State of, | |||
General Obligation (Pre-Refunded 11/1/22 @ 100) 5.000%, 11/1/29 | 60 | 67 | |
General Obligation (Pre-Refunded 11/1/22 @ 100) 5.000%, 11/1/29 | 160 | 177 | |
244 | |||
Illinois—1.9% | |||
Chicago O’Hare International Airport Revenue, Senior Lien 5.000%, 1/1/26 | 2,000 | 2,371 | |
Illinois Finance Authority Revenue 5.000%, 7/1/28 | 2,605 | 3,276 | |
5,647 | |||
Maryland—13.3% | |||
Anne Arundel County, General Obligation 5.000%, 10/1/30 | 2,615 | 3,260 | |
Maryland, State of, General Obligation (Pre-Refunded 8/1/22 @ 100) 5.000%, 8/1/25 | 5,920 | 6,490 | |
Montgomery County, General Obligation 5.000%, 11/1/27 | 3,000 | 3,556 | |
Prince George’s County, | |||
General Obligation 5.000%, 7/15/30 | 4,000 | 5,262 | |
General Obligation 5.000%, 9/15/30 | 5,675 | 7,911 | |
General Obligation 5.000%, 7/15/31 | 5,515 | 7,214 | |
General Obligation 5.000%, 7/15/32 | 1,000 | 1,299 | |
Washington Suburban Sanitary Commission Revenue (CNTY GTD Insured) 5.000%, 6/15/30 | 3,000 | 3,834 | |
38,826 | |||
Minnesota—3.6% | |||
Edina Independent School District No. 273, General Obligation (SD CRED PROG Insured) 5.000%, 2/1/30 | 4,700 | 5,618 | |
Minnesota, State of, General Obligation 5.000%, 8/1/29 | 4,000 | 4,859 | |
10,477 | |||
New York—8.9% | |||
New York, City of, General Obligation 5.000%, 8/1/26 | 1,000 | 1,242 |
Table of Contents
Par Value | Value | ||
New York—continued | |||
New York City Transitional Finance Authority Future Tax Secured Revenue 5.000%, 2/1/30 | $6,400 | $ 6,813 | |
New York City Transitional Finance Authority Future Tax Secured, Sales Tax Revenue 5.000%, 2/1/28 | 4,000 | 4,584 | |
New York City Water & Sewer System Revenue 5.000%, 6/15/29 | 2,050 | 2,658 | |
New York State Dormitory Authority, | |||
5.000%, 2/15/30 | 1,015 | 1,363 | |
5.000%, 7/1/30 | 1,000 | 1,395 | |
Sales Tax Revenue 5.000%, 3/15/28 | 2,500 | 2,872 | |
Sales Tax Revenue (Pre-Refunded 3/15/23 @ 100) 5.000%, 3/15/29 | 4,500 | 5,070 | |
25,997 | |||
North Carolina—0.9% | |||
County of Mecklenburg, General Obligation 5.000%, 3/1/28 | 2,000 | 2,640 | |
North Dakota—1.2% | |||
North Dakota Public Finance Authority Revenue 5.000%, 10/1/28 | 3,000 | 3,555 | |
Ohio—3.2% | |||
Ohio, State of, General Obligation 5.000%, 6/15/32 | 7,735 | 9,421 | |
Oregon—1.2% | |||
Hillsboro School District No. 1J, General Obligation (SCH BD GTY Insured) 5.000%, 6/15/31 | 1,000 | 1,268 | |
Portland, Port of, Airport Revenue | |||
5.000%, 7/1/26 | 750 | 907 | |
5.000%, 7/1/30 | 1,000 | 1,198 | |
3,373 | |||
Pennsylvania—2.9% | |||
Commonwealth of Pennsylvania, General Obligation 5.000%, 3/15/28 | 3,775 | 4,483 | |
Philadelphia, City of, Airport Revenue | |||
5.000%, 7/1/22 | 1,765 | 1,898 | |
5.000%, 7/1/23 | 2,000 | 2,221 | |
8,602 | |||
Tennessee—2.0% | |||
Tennessee, State of, | |||
General Obligation 5.000%, 8/1/28 | 1,595 | 1,947 | |
General Obligation 5.000%, 9/1/30 | 3,005 | 3,861 | |
5,808 | |||
Texas—17.4% | |||
Dallas, City of, Waterworks & Sewer System Revenue 5.000%, 10/1/31 | 6,845 | 8,471 | |
Fort Worth, City of, General Obligation 5.000%, 3/1/26 | 1,510 | 1,862 |
Par Value | Value | ||
Texas—continued | |||
Klein, City of, Independent School District General Obligation (PSF-GTD Insured) 4.000%, 8/1/34 | $4,815 | $ 5,436 | |
New Braunfels, City of, Utility System Revenue 4.000%, 7/1/32 | 1,210 | 1,443 | |
North Texas Municipal Water District Upper East Fork Wastewater Interceptor System Revenue 4.500%, 6/1/30 | 1,040 | 1,341 | |
North Texas Municipal Water District Water System Revenue 5.000%, 9/1/31 | 500 | 649 | |
Northwest Independent School District, | |||
General Obligation (PSF-GTD Insured) 5.000%, 2/15/27 | 2,600 | 3,119 | |
General Obligation (PSF-GTD Insured) 5.000%, 2/15/28 | 5,785 | 6,917 | |
Round Rock Independent School District, General Obligation (PSF-GTD Insured) 5.000%, 8/1/26 | 6,240 | 7,807 | |
San Antonio, City of, General Obligation 5.000%, 8/1/28 | 1,000 | 1,321 | |
San Antonio, City of, Electric & Gas Systems Revenue 5.000%, 2/1/26 | 1,000 | 1,234 | |
Texas Water Development Board Revenue 5.000%, 4/15/26 | 900 | 1,120 | |
Texas, State of, General Obligation 5.000%, 8/1/27 | 5,425 | 6,392 | |
Travis County, General Obligation 5.000%, 3/1/29 | 1,750 | 2,328 | |
Trinity River Authority Central Regional Wastewater System Revenue 5.000%, 8/1/25 | 1,250 | 1,519 | |
50,959 | |||
Virginia—8.4% | |||
County of Fairfax, General Obligation (State AID Withholding Insured) 5.000%, 10/1/28 | 1,000 | 1,341 | |
County of Henrico, General Obligation (State AID Withholding Insured) 5.000%, 8/1/26 | 3,165 | 3,996 | |
Virginia College Building Authority Revenue 5.000%, 2/1/29 | 4,750 | 5,855 | |
Virginia Public Building Authority Revenue | |||
5.000%, 8/1/27 | 1,500 | 1,937 | |
5.000%, 8/1/28 | 1,000 | 1,325 | |
5.000%, 8/1/30 | 1,055 | 1,461 | |
Virginia Resources Authority Revenue 5.000%, 10/1/29 | 6,920 | 8,513 | |
24,428 | |||
Washington—13.0% | |||
Energy Northwest Revenue | |||
5.000%, 7/1/30 | 1,000 | 1,377 | |
5.000%, 7/1/33 | 1,570 | 1,967 | |
5.000%, 7/1/34 | 8,000 | 9,469 | |
University of Washington | |||
5.000%, 4/1/27 | 700 | 875 | |
5.000%, 4/1/28 | 2,000 | 2,572 | |
5.000%, 4/1/29 | 1,750 | 2,308 | |
5.000%, 4/1/30 | 1,000 | 1,348 |
Table of Contents
Par Value | Value | ||
Washington—continued | |||
5.000%, 4/1/31 | $ 750 | $ 1,005 | |
5.000%, 4/1/32 | 500 | 665 | |
Washington, State of, | |||
General Obligation 5.000%, 6/1/29 | 1,250 | 1,640 | |
General Obligation 5.000%, 8/1/29 | 2,045 | 2,622 | |
General Obligation 5.000%, 2/1/30 | 5,000 | 6,114 | |
General Obligation 5.000%, 6/1/33 | 500 | 657 | |
General Obligation 5.000%, 6/1/36 | 1,000 | 1,298 | |
General Obligation (Pre-Refunded 8/1/21 @ 100) 5.000%, 8/1/24 | 3,880 | 4,076 | |
37,993 | |||
Wisconsin—2.2% | |||
Wisconsin, State of, | |||
General Obligation 5.000%, 5/1/26 | 1,000 | 1,214 | |
General Obligation 5.000%, 5/1/27 | 2,000 | 2,484 | |
General Obligation 5.000%, 5/1/29 | 1,000 | 1,303 | |
General Obligation 5.000%, 5/1/30 | 1,000 | 1,329 | |
6,330 | |||
Total Municipal Bonds (Identified Cost $275,998) | 287,618 | ||
Total Long-Term Investments—98.3% (Identified Cost $275,998) | 287,618 | ||
Shares | Value | ||
Short-Term Investment—3.8% | |||
Money Market Mutual Fund—3.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(2) | 11,005,791 | $ 11,006 | |
Total Short-Term Investment (Identified Cost $11,006) | 11,006 | ||
TOTAL INVESTMENTS—102.1% (Identified Cost $287,004) | $298,624 | ||
Other assets and liabilities, net—(2.1)% | (6,157) | ||
NET ASSETS—100.0% | $292,467 |
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 June 30, 2020, 13.2% 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 June 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Municipal Bonds | $287,618 | $ — | $287,618 | ||
Money Market Mutual Fund | 11,006 | 11,006 | — | ||
Total Investments | $298,624 | $11,006 | $287,618 |
Table of Contents
Par Value | Value | ||
U.S. Government Securities—54.7% | |||
U.S. Treasury Notes | |||
1.250%, 3/31/21 | $ 726 | $ 732 | |
1.125%, 7/31/21 | 2,197 | 2,219 | |
1.875%, 1/31/22 | 1,865 | 1,915 | |
1.750%, 5/31/22 | 1,993 | 2,053 | |
2.000%, 10/31/22 | 934 | 974 | |
0.500%, 3/15/23 | 2,604 | 2,627 | |
1.500%, 3/31/23 | 393 | 407 | |
Total U.S. Government Securities (Identified Cost $10,762) | 10,927 | ||
Mortgage-Backed Securities—13.0% | |||
Agency—9.6% | |||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates KJ27, A1 2.092%, 7/25/24 | 314 | 324 | |
Federal Home Loan Mortgage Corp. REMIC | |||
4309, B 3.000%, 8/15/39 | 112 | 115 | |
4612, HA 2.500%, 5/15/41 | 258 | 265 | |
Federal National Mortgage Association REMIC | |||
2014-74, AE 3.000%, 9/25/40 | 171 | 176 | |
2017-33, DA 3.500%, 7/25/43 | 276 | 286 | |
2018-76, NA 3.500%, 7/25/43 | 733 | 755 | |
1,921 | |||
Non-Agency—3.4% | |||
COMM Mortgage Trust | |||
2013-WWP, D 144A 3.898%, 3/10/31(1) | 170 | 183 | |
2012-CR2, A3 144A 2.841%, 8/15/45(1) | 100 | 102 | |
2012-CR5, A3 2.540%, 12/10/45 | 73 | 74 | |
2013-CR7, A4 3.213%, 3/10/46 | 111 | 115 | |
FRESB Mortgage Trust 2016-SB17, A5H 2.160%, 5/25/36(2) | 95 | 96 | |
Goldman Sachs Mortgage Securities Corp. II 2012-BWTR, A 144A 2.954%, 11/5/34(1) | 100 | 99 | |
669 | |||
Total Mortgage-Backed Securities (Identified Cost $2,566) | 2,590 | ||
Asset-Backed Securities—3.8% | |||
Automobiles—2.5% | |||
BMW Vehicle Owner Trust 2019-A, A3 1.920%, 1/25/24 | 100 | 102 | |
Ford Credit Auto Owner Trust 2020-B, A3 0.560%, 10/15/24 | 155 | 155 | |
Mercedes-Benz Master Owner Trust 2019-BA, A 144A 2.610%, 5/15/24(1) | 100 | 102 |
Par Value | Value | ||
Automobiles—continued | |||
Nissan Master Owner Trust Receivables 2019-B, A (1 month LIBOR + 0.430%) 0.615%, 11/15/23(2) | $ 140 | $ 139 | |
498 | |||
Credit Card—1.3% | |||
Barclays Dryrock Issuance Trust 2019-1, A 1.960%, 5/15/25 | 145 | 149 | |
Discover Card Execution Note Trust 2019-A3, A 1.890%, 10/15/24 | 65 | 67 | |
World Financial Network Credit Card Master Trust 2016-A, M 2.330%, 4/15/25 | 50 | 50 | |
266 | |||
Total Asset-Backed Securities (Identified Cost $754) | 764 | ||
Corporate Bonds and Notes—26.0% | |||
Communication Services—0.2% | |||
AT&T, Inc. (3 month LIBOR + 1.180%) 1.498%, 6/12/24(2) | 48 | 48 | |
Consumer Discretionary—2.5% | |||
Daimler Finance North America LLC 144A 3.000%, 2/22/21(1) | 200 | 202 | |
Ford Motor Co. 8.500%, 4/21/23 | 190 | 201 | |
Ralph Lauren Corp. 1.700%, 6/15/22 | 103 | 105 | |
508 | |||
Consumer Staples—0.9% | |||
Estee Lauder Cos., Inc. (The) 1.700%, 5/10/21 | 178 | 180 | |
Energy—4.3% | |||
BP Capital Markets America, Inc. 2.937%, 4/6/23 | 117 | 124 | |
Exxon Mobil Corp. 1.571%, 4/15/23 | 334 | 342 | |
Marathon Petroleum Corp. 4.500%, 5/1/23 | 193 | 208 | |
Valero Energy Corp. 2.700%, 4/15/23 | 185 | 192 | |
866 | |||
Financials—8.6% | |||
Citigroup, Inc. 2.650%, 10/26/20 | 76 | 77 | |
Credit Suisse AG 2.800%, 4/8/22 | 250 | 260 | |
Nordea Bank Abp 144A 1.000%, 6/9/23(1) | 200 | 202 | |
PACCAR Financial Corp. 2.800%, 3/1/21 | 86 | 87 | |
Royal Bank of Canada 1.600%, 4/17/23 | 154 | 158 |
Table of Contents
Par Value | Value | ||
Financials—continued | |||
State Street Corp. 144A 2.825%, 3/30/23(1) | $ 187 | $ 194 | |
Truist Bank 2.800%, 5/17/22 | 41 | 43 | |
UBS AG 144A 1.750%, 4/21/22(1) | 206 | 210 | |
USAA Capital Corp. 144A 1.500%, 5/1/23(1) | 270 | 277 | |
Wells Fargo & Co. 1.654%, 6/2/24 | 207 | 210 | |
1,718 | |||
Health Care—1.0% | |||
AbbVie, Inc. 144A 2.300%, 11/21/22(1) | 79 | 82 | |
Bristol-Myers Squibb Co. 144A 2.600%, 5/16/22(1) | 104 | 108 | |
190 | |||
Industrials—5.4% | |||
Boeing Co. (The) 4.508%, 5/1/23 | 457 | 483 | |
Carrier Global Corp. 144A 1.923%, 2/15/23(1) | 98 | 100 | |
Eaton Corp. 2.750%, 11/2/22 | 160 | 168 | |
National Securities Clearing Corp. 144A 1.200%, 4/23/23(1) | 313 | 318 | |
1,069 | |||
Information Technology—0.8% | |||
Intuit, Inc. 0.650%, 7/15/23 | 161 | 161 | |
Utilities—2.3% | |||
Dominion Energy, Inc. 2.579%, 7/1/20 | 140 | 140 | |
Pacific Gas and Electric Co. 1.750%, 6/16/22 | 123 | 123 | |
Southern Co. (The) 2.950%, 7/1/23 | 176 | 186 | |
449 | |||
Total Corporate Bonds and Notes (Identified Cost $5,039) | 5,189 | ||
Total Long-Term Investments—97.5% (Identified Cost $19,121) | 19,470 | ||
Shares | Value | ||
Short-Term Investment—0.5% | |||
Money Market Mutual Fund—0.5% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(3) | 99,895 | $ 100 | |
Total Short-Term Investment (Identified Cost $100) | 100 | ||
TOTAL INVESTMENTS—98.0% (Identified Cost $19,221) | $19,570 | ||
Other assets and liabilities, net—2.0% | 396 | ||
NET ASSETS—100.0% | $19,966 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
REMIC | Real Estate Mortgage Investment Conduit |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2020, these securities amounted to a value of $2,179 or 10.9% of net assets. |
(2) | Variable rate security. Rate disclosed is as of June 30, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Table of Contents
Total Value at June 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Asset-Backed Securities | $ 764 | $ — | $ 764 | ||
Corporate Bonds and Notes | 5,189 | — | 5,189 | ||
Mortgage-Backed Securities | 2,590 | — | 2,590 | ||
U.S. Government Securities | 10,927 | — | 10,927 | ||
Money Market Mutual Fund | 100 | 100 | — | ||
Total Investments | $19,570 | $100 | $19,470 |
Table of Contents
Par Value | Value | ||
Municipal Bonds(1)—84.6% | |||
California—4.9% | |||
California County Tobacco Securitization Agency Revenue 5.000%, 6/1/26 | $100 | $ 122 | |
Southern California Public Power Authority Revenue 5.000%, 4/1/24 | 500 | 581 | |
703 | |||
Colorado—3.9% | |||
E-470 Public Highway Authority 5.000%, 9/1/26 | 450 | 559 | |
Connecticut—3.0% | |||
Connecticut, State of, Special Tax Revenue 5.000%, 5/1/22 | 400 | 431 | |
Florida—4.2% | |||
Greater Orlando Aviation Authority Revenue 5.000%, 10/1/25 | 500 | 597 | |
Georgia—4.1% | |||
Atlanta, City of, Department of Aviation Revenue 5.000%, 1/1/28 | 250 | 283 | |
Forsyth County School District General Obligation 5.000%, 2/1/26 | 250 | 311 | |
594 | |||
Maryland—3.5% | |||
Maryland Health & Higher Educational Facilities Authority 0.120%, 4/1/35(2) | 500 | 500 | |
New York—6.7% | |||
New York City Transitional Finance Authority Future Tax Secured Revenue 5.000%, 8/1/22 | 665 | 728 | |
New York City Water & Sewer System Revenue 5.000%, 6/15/25 | 200 | 231 | |
959 | |||
North Carolina—9.1% | |||
Charlotte, City of, Water & Sewer System Revenue 0.100%, 7/1/36(2) | 700 | 700 | |
Wake County, General Obligation 5.000%, 4/1/25 | 500 | 607 | |
1,307 | |||
Oregon—3.8% | |||
Multnomah County School District No. 1 General Obligation (SCH BD GTY Insured) 5.000%, 6/15/25 | 450 | 549 | |
Texas—20.2% | |||
El Paso Independent School District General Obligation (PSF-GTD Insured) 5.000%, 8/15/23 | 660 | 755 |
Par Value | Value | ||
Texas—continued | |||
North Texas Tollway Authority, | |||
Toll Highway Revenue 5.000%, 1/1/25 | $625 | $ 691 | |
Toll Highway Revenue 5.000%, 1/1/26 | 500 | 552 | |
Texas Water Development Board Revenue 5.000%, 4/15/26 | 250 | 311 | |
Ysleta Independent School District General Obligation (PSF-GTD Insured) 5.000%, 8/15/27 | 500 | 595 | |
2,904 | |||
Utah—2.2% | |||
University of Utah Revenue 5.000%, 8/1/26 | 250 | 315 | |
Virginia—4.3% | |||
Virginia Public Building Authority Revenue 5.000%, 8/1/25 | 500 | 612 | |
Washington—14.7% | |||
Energy Northwest, Project 3 Electric Revenue 5.000%, 7/1/24 | 500 | 590 | |
University of Washington 5.000%, 4/1/27 | 300 | 375 | |
Washington, State of, | |||
General Obligation 5.000%, 7/1/22 | 500 | 547 | |
General Obligation (Pre-Refunded 8/1/20 @ 100) 5.000%, 8/1/33 | 600 | 602 | |
2,114 | |||
Total Municipal Bonds (Identified Cost $11,870) | 12,144 | ||
Total Long-Term Investments—84.6% (Identified Cost $11,870) | 12,144 | ||
Shares | ||
Short-Term Investment—12.4% | ||
Money Market Mutual Fund—12.4% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(3) | 1,778,012 | 1,778 |
Total Short-Term Investment (Identified Cost $1,778) | 1,778 | |
TOTAL INVESTMENTS—97.0% (Identified Cost $13,648) | $13,922 | |
Other assets and liabilities, net—3.0% | 433 | |
NET ASSETS—100.0% | $14,355 |
Abbreviations: | |
PSF-GTD | Permanent School Fund Guarantee Program |
SCH BD GTY | School Bond Guaranty |
Table of Contents
Footnote Legend: | |
(1) | At June 30, 2020, 13.6% 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 June 30, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at June 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Municipal Bonds | $12,144 | $ — | $12,144 | ||
Money Market Mutual Fund | 1,778 | 1,778 | — | ||
Total Investments | $13,922 | $1,778 | $12,144 |
Table of Contents
Par Value | Value | ||
U.S. Government Securities—29.0% | |||
U.S. Treasury Bill 0.000%, 2/25/21 | $ 39,980 | $ 39,939 | |
U.S. Treasury Bonds 2.000%, 2/15/50 | 23,524 | 26,926 | |
U.S. Treasury Notes | |||
1.250%, 3/31/21 | 8,085 | 8,150 | |
2.750%, 8/15/21 | 5,850 | 6,018 | |
1.750%, 5/31/22 | 14,695 | 15,138 | |
2.375%, 1/31/23 | 8,459 | 8,938 | |
0.625%, 5/15/30 | 1,215 | 1,211 | |
Total U.S. Government Securities (Identified Cost $105,040) | 106,320 | ||
Mortgage-Backed Securities—31.0% | |||
Agency—27.9% | |||
Federal Home Loan Mortgage Corp. | |||
Pool #C04123 4.000%, 7/1/42 | 728 | 798 | |
Pool #G60019 4.500%, 3/1/44 | 783 | 869 | |
Pool #Q31645 4.000%, 2/1/45 | 2,114 | 2,289 | |
Pool #Q35611 4.000%, 9/1/45 | 2,525 | 2,737 | |
Pool #V81992 4.000%, 10/1/45 | 1,738 | 1,877 | |
Pool #G60661 4.000%, 7/1/46 | 2,842 | 3,043 | |
Pool #Q42921 3.500%, 9/1/46 | 2,432 | 2,625 | |
Pool #Q51758 3.500%, 10/1/47 | 479 | 507 | |
Pool #Q52115 3.500%, 11/1/47 | 223 | 237 | |
Pool #ZM5226 3.500%, 12/1/47 | 2,490 | 2,720 | |
Pool #Q53881 4.500%, 1/1/48 | 2,651 | 2,927 | |
Pool #Q54813 3.500%, 3/1/48 | 792 | 837 | |
Pool #Q61680 4.000%, 2/1/49 | 2,545 | 2,712 | |
Pool #QA3079 3.500%, 10/1/49 | 1,116 | 1,199 | |
Pool #QA4766 3.500%, 11/1/49 | 1,972 | 2,133 | |
Pool #SD0164 3.500%, 12/1/49 | 4,426 | 4,699 | |
Pool #SD0176 3.500%, 12/1/49 | 2,019 | 2,122 | |
Pool #QA7571 3.000%, 2/1/50 | 2,891 | 3,046 | |
Pool #QA8967 3.000%, 4/1/50 | 3,249 | 3,423 | |
Federal National Mortgage Association | |||
Pool #FM1039 3.500%, 4/1/39 | 2,158 | 2,292 | |
Pool #BO8589 3.000%, 3/1/40 | 356 | 375 | |
Pool #AL7497 3.500%, 9/1/40 | 1,052 | 1,137 |
Par Value | Value | ||
Agency—continued | |||
Pool #AW8154 3.500%, 1/1/42 | $ 911 | $ 991 | |
Pool #AS9571 3.500%, 5/1/42 | 3,919 | 4,143 | |
Pool #BK0396 3.000%, 11/1/44 | 679 | 721 | |
Pool #BE5050 4.000%, 9/1/45 | 2,868 | 3,148 | |
Pool #AZ9213 4.000%, 10/1/45 | 707 | 792 | |
Pool #AS6515 4.000%, 1/1/46 | 854 | 920 | |
Pool #BE7213 4.000%, 4/1/47 | 19 | 21 | |
Pool #BE3774 4.000%, 7/1/47 | 1,296 | 1,383 | |
Pool #BH4101 3.500%, 10/1/47 | 1,864 | 1,970 | |
Pool #BH7058 3.500%, 12/1/47 | 2,355 | 2,488 | |
Pool #BH9215 3.500%, 1/1/48 | 3,076 | 3,246 | |
Pool #MA3238 3.500%, 1/1/48 | 1,199 | 1,265 | |
Pool #BH9277 3.500%, 2/1/48 | 145 | 153 | |
Pool #BJ0650 3.500%, 3/1/48 | 337 | 358 | |
Pool #MA3305 3.500%, 3/1/48 | 719 | 759 | |
Pool #BM5483 3.500%, 4/1/48 | 500 | 529 | |
Pool #BN8510 3.500%, 5/1/49 | 911 | 958 | |
Pool #BO1345 3.500%, 8/1/49 | 4,025 | 4,283 | |
Pool #BO1351 4.000%, 8/1/49 | 1,686 | 1,804 | |
Pool #BO2843 3.500%, 10/1/49 | 1,308 | 1,382 | |
Pool #BO3024 3.500%, 10/1/49 | 2,412 | 2,621 | |
Pool #BO5325 3.000%, 11/1/49 | 754 | 794 | |
Pool #BO4386 3.500%, 11/1/49 | 4,328 | 4,563 | |
Pool #BO8894 3.000%, 12/1/49 | 551 | 581 | |
Pool #BP5431 3.000%, 6/1/50 | 991 | 1,048 | |
Pool #BP5432 3.000%, 6/1/50 | 1,332 | 1,408 | |
Government National Mortgage Association I Pool #BQ1140 3.000%, 11/15/49 | 3,439 | 3,633 | |
Government National Mortgage Association II | |||
Pool #MA4262 3.500%, 2/20/47 | 529 | 565 | |
Pool #MA4586 3.500%, 7/20/47 | 2,770 | 2,948 | |
Pool #MA5019 3.500%, 2/20/48 | 1,062 | 1,129 |
Table of Contents
Par Value | Value | ||
Agency—continued | |||
Pool #MA5596 4.500%, 11/20/48 | $ 1,025 | $ 1,096 | |
Pool #MA6284 3.500%, 11/20/49 | 1,415 | 1,495 | |
Pool #MA6656 3.000%, 5/20/50 | 4,316 | 4,578 | |
102,377 | |||
Non-Agency—3.1% | |||
BB-UBS Trust 2012-SHOW, B 144A 3.882%, 11/5/36(1) | 1,465 | 1,381 | |
Century Plaza Towers 2019-CPT, B 144A 3.097%, 11/13/39(1)(2) | 1,600 | 1,678 | |
Goldman Sachs Mortgage Securities Corp. II | |||
2005-ROCK, A 144A 5.366%, 5/3/32(1) | 1,445 | 1,642 | |
2012-BWTR, A 144A 2.954%, 11/5/34(1) | 575 | 571 | |
Goldman Sachs Mortgage Securities Corp. Trust 2018-HULA, A (1 month LIBOR + 0.920%) 144A 1.105%, 7/15/25(1)(2) | 533 | 510 | |
MAD Mortgage Trust 2017-330M, A 144A 3.294%, 8/15/34(1)(2) | 635 | 667 | |
Morgan Stanley Capital I Trust 2014-150E, A 144A 3.912%, 9/9/32(1) | 1,175 | 1,266 | |
Wells Fargo Commercial Mortgage Trust 2013-BTC, A 144A 3.544%, 4/16/35(1) | 1,320 | 1,329 | |
WFRBS Commercial Mortgage Trust 2012-C10, AS 3.241%, 12/15/45 | 2,510 | 2,492 | |
11,536 | |||
Total Mortgage-Backed Securities (Identified Cost $110,962) | 113,913 | ||
Asset-Backed Securities—3.9% | |||
Automobiles—1.2% | |||
Ford Credit Auto Owner Trust 2020-1, A 144A 2.040%, 8/15/31(1) | 2,365 | 2,403 | |
Mercedes-Benz Master Owner Trust 2019-BA, A 144A 2.610%, 5/15/24(1) | 635 | 646 | |
Nissan Master Owner Trust Receivables 2019-A, A (1 month LIBOR + 0.560%) 0.745%, 2/15/24(2) | 1,395 | 1,387 | |
4,436 | |||
Credit Card—1.9% | |||
Capital One Multi-Asset Execution Trust 2005-B3, B3 (3 month LIBOR + 0.550%) 1.769%, 5/15/28(2) | 2,584 | 2,518 | |
Citibank Credit Card Issuance Trust 2017-A6, A6 (1 month LIBOR + 0.770%) 0.955%, 5/14/29(2) | 1,915 | 1,919 | |
Discover Card Execution Note Trust 2017-A5, A5 (1 month LIBOR + 0.600%) 0.785%, 12/15/26(2) | 2,365 | 2,379 | |
6,816 | |||
Par Value | Value | ||
Other—0.8% | �� | ||
Five Guys Funding LLC 2017-1A, A2 144A 4.600%, 7/25/47(1) | $ 983 | $ 988 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(1) | 1,975 | 1,944 | |
2,932 | |||
Total Asset-Backed Securities (Identified Cost $14,130) | 14,184 | ||
Corporate Bonds and Notes—31.3% | |||
Communication Services—1.9% | |||
AT&T, Inc. | |||
3.500%, 6/1/41 | 1,721 | 1,807 | |
3.650%, 6/1/51 | 1,806 | 1,884 | |
Comcast Corp. 2.650%, 2/1/30 | 1,660 | 1,805 | |
Verizon Communications, Inc. 3.150%, 3/22/30 | 472 | 534 | |
ViacomCBS, Inc. 4.200%, 5/19/32 | 759 | 842 | |
6,872 | |||
Consumer Discretionary—1.9% | |||
Dollar General Corp. 3.500%, 4/3/30 | 990 | 1,109 | |
Ford Motor Co. | |||
8.500%, 4/21/23 | 488 | 516 | |
9.000%, 4/22/25 | 2,080 | 2,249 | |
9.625%, 4/22/30 | 712 | 843 | |
NIKE, Inc. 3.375%, 3/27/50 | 839 | 962 | |
Ralph Lauren Corp. 2.950%, 6/15/30 | 1,310 | 1,353 | |
7,032 | |||
Consumer Staples—0.7% | |||
Coca-Cola Co. (The) 2.950%, 3/25/25 | 1,320 | 1,455 | |
Kroger Co. (The) 3.950%, 1/15/50 | 905 | 1,035 | |
2,490 | |||
Energy—6.3% | |||
Baker Hughes a GE Co. LLC 4.486%, 5/1/30 | 1,509 | 1,737 | |
Boardwalk Pipelines LP 4.450%, 7/15/27 | 368 | 386 | |
BP Capital Markets America, Inc. 3.633%, 4/6/30 | 2,603 | 2,940 | |
Enterprise Products Operating LLC 5.375%, 2/15/78 | 907 | 812 | |
EOG Resources, Inc. 4.950%, 4/15/50 | 1,693 | 2,202 | |
Exxon Mobil Corp. 4.327%, 3/19/50 | 1,655 | 2,073 | |
Marathon Petroleum Corp. | |||
4.500%, 5/1/23 | 1,377 | 1,484 | |
4.700%, 5/1/25 | 624 | 699 |
Table of Contents
Par Value | Value | ||
Energy—continued | |||
Petroleos Mexicanos 6.875%, 8/4/26 | $ 3,742 | $ 3,539 | |
Phillips 66 3.700%, 4/6/23 | 764 | 817 | |
Plains All American Pipeline LP 3.800%, 9/15/30 | 2,299 | 2,264 | |
Shell International Finance B.V. 2.375%, 4/6/25 | 824 | 875 | |
TechnipFMC plc 3.450%, 10/1/22 | 243 | 247 | |
Valero Energy Corp. 2.850%, 4/15/25 | 719 | 758 | |
Woodside Finance Ltd. 144A 4.600%, 5/10/21(1) | 2,086 | 2,124 | |
22,957 | |||
Financials—8.7% | |||
AerCap Ireland Capital DAC 6.500%, 7/15/25 | 2,642 | 2,768 | |
Arch Capital Group Ltd. 3.635%, 6/30/50 | 1,585 | 1,659 | |
Bank of America Corp. 3.366%, 1/23/26 | 568 | 620 | |
Citigroup, Inc. | |||
3.106%, 4/8/26 | 935 | 1,002 | |
3.980%, 3/20/30 | 1,311 | 1,503 | |
Fidelity National Financial, Inc. 3.400%, 6/15/30 | 792 | 824 | |
Fifth Third Bancorp 2.550%, 5/5/27 | 1,799 | 1,923 | |
General Motors Financial Co., Inc. | |||
2.750%, 6/20/25 | 1,995 | 1,966 | |
3.600%, 6/21/30 | 2,002 | 1,944 | |
Hartford Financial Services Group, Inc. (The) 2.800%, 8/19/29 | 869 | 920 | |
JPMorgan Chase & Co. | |||
3.207%, 4/1/23 | 1,100 | 1,145 | |
2.301%, 10/15/25 | 840 | 880 | |
2.956%, 5/13/31 | 882 | 938 | |
Lazard Group LLC 4.375%, 3/11/29 | 943 | 1,055 | |
Morgan Stanley | |||
3.875%, 4/29/24 | 579 | 640 | |
3.971%, 7/22/38 | 802 | 956 | |
Nationwide Financial Services, Inc. 144A 3.900%, 11/30/49(1) | 1,514 | 1,512 | |
Newcrest Finance Pty Ltd. 144A 4.200%, 5/13/50(1) | 835 | 931 | |
Reinsurance Group of America, Inc. 3.150%, 6/15/30 | 912 | 941 | |
Schlumberger Investment S.A. 2.650%, 6/26/30 | 1,846 | 1,892 | |
Travelers Cos., Inc. (The) | |||
4.050%, 3/7/48 | 1,085 | 1,345 | |
2.550%, 4/27/50 | 821 | 811 | |
Truist Bank 2.250%, 3/11/30 | 500 | 505 | |
United Airlines Pass-Through-Trust 2016-1, A 3.450%, 7/7/28 | 312 | 260 | |
Unum Group 4.500%, 3/15/25 | 1,091 | 1,172 |
Par Value | Value | ||
Financials—continued | |||
US Bank NA 2.050%, 1/21/25 | $ 712 | $ 755 | |
Wells Fargo & Co. 1.654%, 6/2/24 | 1,025 | 1,042 | |
31,909 | |||
Health Care—0.8% | |||
AbbVie, Inc. 144A 4.250%, 11/21/49(1) | 1,599 | 1,917 | |
Bristol-Myers Squibb Co. 144A 4.250%, 10/26/49(1) | 401 | 532 | |
CommonSpirit Health 4.187%, 10/1/49 | 566 | 576 | |
3,025 | |||
Industrials—3.7% | |||
3M Co. 3.700%, 4/15/50 | 472 | 561 | |
Boeing Co. (The) | |||
3.200%, 3/1/29 | 1,236 | 1,222 | |
5.805%, 5/1/50 | 2,678 | 3,160 | |
Carrier Global Corp. 144A 3.577%, 4/5/50(1) | 1,745 | 1,703 | |
General Dynamics Corp. 4.250%, 4/1/50 | 1,273 | 1,653 | |
General Electric Co. 4.350%, 5/1/50 | 1,797 | 1,781 | |
Honeywell International, Inc. 2.800%, 6/1/50 | 717 | 765 | |
United Parcel Service, Inc. 4.450%, 4/1/30 | 783 | 978 | |
Xylem, Inc. 2.250%, 1/30/31 | 1,639 | 1,649 | |
13,472 | |||
Information Technology—2.6% | |||
Dell International LLC 144A 6.200%, 7/15/30(1) | 618 | 720 | |
HP, Inc. | |||
3.000%, 6/17/27 | 884 | 927 | |
3.400%, 6/17/30 | 1,446 | 1,486 | |
Intel Corp. 3.100%, 2/15/60 | 1,651 | 1,814 | |
Intuit, Inc. 0.950%, 7/15/25 | 1,367 | 1,368 | |
NetApp, Inc. | |||
1.875%, 6/22/25 | 750 | 760 | |
2.700%, 6/22/30 | 2,568 | 2,572 | |
9,647 | |||
Materials—1.8% | |||
Barrick PD Australia Finance Pty Ltd. 5.950%, 10/15/39 | 1,556 | 2,088 | |
Bemis Co., Inc. 2.630%, 6/19/30 | 544 | 558 | |
Newmont Corp. | |||
2.250%, 10/1/30 | 1,254 | 1,271 | |
6.250%, 10/1/39 | 1,089 | 1,542 |
Table of Contents
Par Value | Value | ||
Materials—continued | |||
Nucor Corp. 2.000%, 6/1/25 | $ 629 | $ 653 | |
Packaging Corporation of America 4.050%, 12/15/49 | 457 | 545 | |
6,657 | |||
Utilities—2.9% | |||
Cheniere Corpus Christi Holdings LLC 144A 3.700%, 11/15/29(1) | 1,528 | 1,565 | |
Consolidated Edison Co. of New York, Inc. | |||
3.350%, 4/1/30 | 1,264 | 1,439 | |
3.950%, 4/1/50 | 858 | 1,021 | |
Dominion Energy, Inc. 3.375%, 4/1/30 | 1,245 | 1,377 | |
NiSource, Inc. 3.600%, 5/1/30 | 802 | 916 | |
Pacific Gas and Electric Co. 2.500%, 2/1/31 | 948 | 927 | |
Southern Co. (The) 3.700%, 4/30/30 | 2,075 | 2,368 | |
Transcontinental Gas Pipe Line Co. LLC 144A 3.950%, 5/15/50(1) | 915 | 979 | |
10,592 | |||
Total Corporate Bonds and Notes (Identified Cost $106,232) | 114,653 | ||
Total Long-Term Investments—95.2% (Identified Cost $336,364) | 349,070 | ||
TOTAL INVESTMENTS—95.2% (Identified Cost $336,364) | $349,070 | ||
Other assets and liabilities, net—4.8% | 17,769 | ||
NET ASSETS—100.0% | $366,839 |
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 June 30, 2020, these securities amounted to a value of $27,008 or 7.4% of net assets. |
(2) | Variable rate security. Rate disclosed is as of June 30, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
Country Weightings† | |
United States | 94% |
Australia | 2 |
Mexico | 1 |
Ireland | 1 |
Luxembourg | 1 |
Bermuda | 1 |
Total | 100% |
† % of total investments as of June 30, 2020. |
Total Value at June 30, 2020 | Level 2 Significant Observable Inputs | ||
Assets: | |||
Debt Securities: | |||
Asset-Backed Securities | $ 14,184 | $ 14,184 | |
Corporate Bonds and Notes | 114,653 | 114,653 | |
Mortgage-Backed Securities | 113,913 | 113,913 | |
U.S. Government Securities | 106,320 | 106,320 | |
Total Investments | $349,070 | $349,070 |
Table of Contents
Par Value | Value | ||
Mortgage-Backed Securities—92.7% | |||
Agency—92.7% | |||
Federal Home Loan Mortgage Corp. | |||
Pool #848744 (12 month LIBOR + 1.789%) 4.636%, 5/1/34(1) | $ 5,869 | $ 6,174 | |
Pool #848736 (12 month LIBOR + 1.750%) 4.516%, 5/1/35(1) | 9,254 | 9,729 | |
Pool #848747 (12 month LIBOR + 1.864%) 4.604%, 7/1/36(1) | 5,193 | 5,476 | |
Pool #1Q1195 (12 month LIBOR + 1.621%) 4.506%, 5/1/37(1) | 3,672 | 3,854 | |
Pool #848796 (12 month LIBOR + 1.815%) 4.750%, 5/1/37(1) | 9,320 | 9,851 | |
Pool #1Q1420 (12 month LIBOR + 1.842%) 4.566%, 9/1/39(1) | 4,337 | 4,588 | |
Pool #2B3257 (12 month LIBOR + 1.630%) 3.143%, 10/1/44(1) | 3,351 | 3,495 | |
Federal Home Loan Mortgage Corp. Multifamily ML Certificates KSKY, ATE (1 Month LIBOR + 0.360%) 0.544%, 8/25/27(1) | 11,000 | 10,860 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | |||
KF06, A (1 month LIBOR + 0.330%) 0.513%, 11/25/21(1) | 973 | 970 | |
KS05, A (1 month LIBOR + 0.500%) 0.683%, 1/25/23(1) | 5,707 | 5,688 | |
KF15, A (1 month LIBOR + 0.670%) 0.853%, 2/25/23(1) | 2,333 | 2,328 | |
KF22, A (1 month LIBOR + 0.500%) 0.683%, 7/25/23(1) | 2,410 | 2,411 | |
KF29, A (1 month LIBOR + 0.360%) 0.543%, 2/25/24(1) | 14,772 | �� | 14,818 |
KF31, A (1 month LIBOR + 0.370%) 0.553%, 4/25/24(1) | 5,258 | 5,275 | |
KF32, A (1 month LIBOR + 0.370%) 0.553%, 5/25/24(1) | 3,339 | 3,341 | |
KJ27, A1 2.092%, 7/25/24 | 3,828 | 3,955 | |
KF36, A (1 month LIBOR + 0.340%) 0.523%, 8/25/24(1) | 7,170 | 7,168 | |
KF34, A (1 month LIBOR + 0.360%) 0.543%, 8/25/24(1) | 3,966 | 3,973 | |
KF39, A (1 month LIBOR + 0.320%) 0.503%, 11/25/24(1) | 2,075 | 2,075 | |
KL3W, AFLW (1 month LIBOR + 0.450%) 0.633%, 8/25/25(1) | 21,805 | 21,895 | |
KF55, A (1 month LIBOR + 0.510%) 0.693%, 11/25/25(1) | 8,308 | 8,359 | |
KF16, A (1 month LIBOR + 0.630%) 0.813%, 3/25/26(1) | 2,213 | 2,210 | |
KF74, AS (SOFRRATE + 0.530%) 0.549%, 1/25/27(1) | 17,572 | 17,594 | |
KF79, AS (SOFR30A + 0.580%) 0.623%, 5/25/30(1) | 14,450 | 14,459 | |
Federal Home Loan Mortgage Corp. REMIC | |||
3990, UA 2.500%, 1/15/26 | 2,195 | 2,204 | |
4224, KC 3.000%, 5/15/32 | 4,075 | 4,266 | |
2781, FA (1 month LIBOR + 0.350%) 0.535%, 4/15/34(1) | 4,904 | 4,887 | |
2796, F (1 month LIBOR + 0.500%) 0.685%, 5/15/34(1) | 3,058 | 3,071 |
Par Value | Value | ||
Agency—continued | |||
2980, FJ (1 month LIBOR + 0.300%) 0.485%, 11/15/34(1) | $ 7,476 | $ 7,450 | |
3107, FC (1 month LIBOR + 0.300%) 0.485%, 6/15/35(1) | 6,777 | 6,781 | |
4282, AD 2.500%, 2/15/36 | 1,213 | 1,217 | |
3284, BF (1 month LIBOR + 0.300%) 0.485%, 3/15/37(1) | 4,334 | 4,333 | |
4664, CB 3.000%, 4/15/37 | 1,513 | 1,536 | |
3828, EF (1 month LIBOR + 0.400%) 0.585%, 5/15/37(1) | 530 | 530 | |
4057, CF (1 month LIBOR + 0.450%) 0.635%, 4/15/39(1) | 2,851 | 2,855 | |
4387, JA 3.000%, 6/15/40 | 1,718 | 1,735 | |
4048, GF (1 month LIBOR + 0.350%) 0.535%, 10/15/40(1) | 7,525 | 7,521 | |
3820, FA (1 month LIBOR + 0.350%) 0.535%, 3/15/41(1) | 11,414 | 11,432 | |
3990, GF (1 month LIBOR + 0.400%) 0.585%, 3/15/41(1) | 5,101 | 5,097 | |
3954, PF (1 month LIBOR + 0.500%) 0.685%, 7/15/41(1) | 1,194 | 1,197 | |
4547, A 3.000%, 12/15/41 | 2,813 | 2,902 | |
4203, PF (1 month LIBOR + 0.250%) 0.435%, 9/15/42(1) | 10,775 | 10,676 | |
4136, EF (1 month LIBOR + 0.250%) 0.435%, 11/15/42(1) | 5,075 | 5,058 | |
4665, JG 3.500%, 12/15/42 | 888 | 899 | |
4842, DA 4.000%, 2/15/43 | 1,061 | 1,068 | |
4690, QA 3.500%, 5/15/44 | 2,542 | 2,608 | |
4753, UA 3.000%, 8/15/45 | 7,003 | 7,255 | |
4717, LA 3.000%, 11/15/45 | 2,637 | 2,742 | |
Federal National Mortgage Association | |||
2013-M13, APT 2.447%, 9/25/20(1) | 189 | 190 | |
Pool #AE0918 3.723%, 10/1/20(1) | 155 | 156 | |
Pool #AL4705 3.040%, 11/1/20(1) | 471 | 473 | |
Pool #AM1547 2.000%, 12/1/20 | 500 | 500 | |
2016-M3, ASQ2 2.263%, 2/25/23 | 857 | 871 | |
2013-M10, AFL (1 month LIBOR + 0.300%) 0.468%, 6/25/23(1) | 3,830 | 3,791 | |
Pool #109518 (1 month LIBOR + 0.320%) 0.503%, 9/1/23(1) | 17,020 | 17,029 | |
Pool #109523 (1 month LIBOR + 0.320%) 0.503%, 9/1/23(1) | 21,760 | 21,772 | |
Pool #AN1582 (1 month LIBOR + 0.440%) 0.623%, 9/1/23(1) | 14,296 | 14,327 | |
2016-M9, FA (1 month LIBOR + 0.590%) 0.762%, 9/25/23(1) | 6,523 | 6,527 | |
Pool #BL0422 (1 month LIBOR + 0.370%) 0.553%, 11/1/23(1) | 21,000 | 21,024 |
Table of Contents
Par Value | Value | ||
Agency—continued | |||
2016-M13, FA (1 month LIBOR + 0.670%) 1.388%, 11/25/23(1) | $ 3,494 | $ 3,489 | |
Pool #AN4300 (1 month LIBOR + 0.560%) 0.743%, 1/1/24(1) | 13,843 | 13,844 | |
Pool #AN4364 (1 month LIBOR + 0.590%) 0.773%, 1/1/24(1) | 2,914 | 2,929 | |
2017-M2, FA (1 month LIBOR + 0.530%) 1.248%, 2/25/24(1) | 3,913 | 3,905 | |
2017-M11, FA (1 month LIBOR + 0.470%) 1.188%, 9/25/24(1) | 3,074 | 3,071 | |
2017-M13, FA (1 month LIBOR + 0.400%) 1.118%, 10/25/24(1) | 4,618 | 4,606 | |
2015-M14, FA (1 month LIBOR + 0.620%) 0.788%, 10/25/25(1) | 5,983 | 5,975 | |
2015-M6, FA (1 month LIBOR + 0.300%) 0.468%, 1/25/26(1) | 20,189 | 20,127 | |
Pool #BL4613 (1 month LIBOR + 0.660%) 0.843%, 9/1/26(1) | 8,700 | 8,664 | |
Pool #BL5697 (1 month LIBOR + 0.650%) 0.833%, 2/1/30(1) | 6,300 | 6,292 | |
Pool #BL7250 (1 month LIBOR + 0.590%) 0.763%, 6/1/30(1) | 18,960 | 18,906 | |
Pool #AD0064 (6 month LIBOR + 1.547%) 3.293%, 1/1/35(1) | 2,250 | 2,313 | |
Pool #AL2202 (12 month LIBOR + 1.701%) 3.819%, 6/1/36(1) | 2,477 | 2,593 | |
Pool #AL0960 (12 month LIBOR + 1.688%) 3.600%, 7/1/37(1) | 5,090 | 5,338 | |
Pool #AL0270 (12 month LIBOR + 1.685%) 3.794%, 8/1/38(1) | 1,935 | 2,031 | |
Pool #AL6516 (12 month LIBOR + 1.751%) 3.879%, 4/1/40(1) | 3,824 | 3,998 | |
Pool #AE0544 (12 month LIBOR + 1.740%) 3.833%, 11/1/40(1) | 2,825 | 2,944 | |
Pool #AL7812 (12 month LIBOR + 1.730%) 3.901%, 11/1/40(1) | 6,868 | 7,155 | |
Pool #AL7477 (12 month LIBOR + 1.798%) 3.912%, 12/1/40(1) | 3,243 | 3,391 | |
Pool #AL0323 (12 month LIBOR + 1.815%) 3.126%, 6/1/41(1) | 2,915 | 3,052 | |
Pool #AL8796 (12 month LIBOR + 1.819%) 3.881%, 9/1/41(1) | 8,728 | 9,146 | |
Pool #AL1886 (12 month LIBOR + 1.758%) 3.260%, 6/1/42(1) | 1,035 | 1,086 | |
Pool #AL8872 (12 month LIBOR + 1.798%) 3.819%, 7/1/42(1) | 12,784 | 13,387 | |
Pool #BM4557 (12 month LIBOR + 1.763%) 3.592%, 5/1/45(1) | 4,130 | 4,317 | |
Pool #BO7214 (U.S. Treasury Yield Curve CMT 1 year + 1.525%) 2.467%, 7/1/47(1) | 7,368 | 7,711 | |
Pool #BO6296 (U.S. Treasury Yield Curve CMT 1 year + 1.525%) 3.002%, 7/1/47(1) | 1,983 | 2,075 | |
Pool #BM1805 (12 month LIBOR + 1.602%) 2.831%, 9/1/47(1) | 20,532 | 21,437 | |
Pool #CA4499 (12 month LIBOR + 1.600%) 2.794%, 9/1/48(1) | 7,305 | 7,620 | |
Pool #BM4556 (12 month LIBOR + 1.598%) 3.287%, 10/1/48(1) | 10,838 | 11,235 | |
Pool #BO7215 (U.S. Treasury Yield Curve CMT 1 year + 1.650%) 3.137%, 4/1/49(1) | 2,261 | 2,362 |
Par Value | Value | ||
Agency—continued | |||
Pool #BO7216 (U.S. Treasury Yield Curve CMT 1 year + 1.650%) 2.853%, 5/1/49(1) | $ 1,170 | $ 1,229 | |
Pool #BP5563 (12 month LIBOR + 1.600%) 2.615%, 4/1/50(1) | 6,106 | 6,417 | |
Federal National Mortgage Association REMIC | |||
2019-56, GA 3.000%, 8/25/31 | 914 | 924 | |
2011-62, LF (1 month LIBOR + 0.400%) 0.585%, 1/25/32(1) | 9,106 | 9,112 | |
2013-62, FQ (1 month LIBOR + 0.250%) 0.435%, 9/25/32(1) | 6,313 | 6,320 | |
2018-92, AF (1 month LIBOR + 0.400%) 0.585%, 5/25/33(1) | 9,241 | 9,248 | |
2005-17, FA (1 month LIBOR + 0.300%) 0.485%, 3/25/35(1) | 7,179 | 7,144 | |
2005-74, NA (1 month LIBOR + 0.420%) 0.605%, 5/25/35(1) | 12,166 | 12,178 | |
2005-58, KF (1 month LIBOR + 0.500%) 0.685%, 7/25/35(1) | 4,754 | 4,774 | |
2018-96, FC (1 month LIBOR + 0.450%) 0.635%, 10/25/35(1) | 9,864 | 9,871 | |
2006-31, FP (1 month LIBOR + 0.300%) 0.485%, 5/25/36(1) | 4,774 | 4,752 | |
2006-63, FD (1 month LIBOR + 0.450%) 0.635%, 7/25/36(1) | 5,475 | 5,487 | |
2006-113, NF (1 month LIBOR + 0.350%) 0.535%, 9/25/36(1) | 4,603 | 4,600 | |
2017-17, LA 3.000%, 4/25/37 | 3,020 | 3,030 | |
2017-22, BA 3.500%, 10/25/37 | 6,812 | 6,924 | |
2007-106, FN (1 month LIBOR + 0.590%) 0.775%, 11/25/37(1) | 5,232 | 5,295 | |
2011-104, FE (1 month LIBOR + 0.350%) 0.535%, 3/25/39(1) | 2,547 | 2,546 | |
2011-117, PF (1 month LIBOR + 0.350%) 0.535%, 7/25/39(1) | 2,678 | 2,677 | |
2011-144, PF (1 month LIBOR + 0.450%) 0.635%, 10/25/39(1) | 1,562 | 1,563 | |
2011-84, F (1 month LIBOR + 0.350%) 0.535%, 1/25/40(1) | 746 | 745 | |
2010-59, FC (1 month LIBOR + 1.000%) 1.185%, 1/25/40(1) | 4,689 | 4,778 | |
2011-101, FN (1 month LIBOR + 0.550%) 0.735%, 4/25/40(1) | 789 | 791 | |
2012-17, GF (1 month LIBOR + 0.450%) 0.635%, 7/25/40(1) | 2,950 | 2,955 | |
2010-137, WB 4.028%, 7/25/40(1) | 1,948 | 2,021 | |
2012-112, AP 2.000%, 9/25/40 | 13,760 | 13,959 | |
2012-71, FP (1 month LIBOR + 0.350%) 0.535%, 3/25/41(1) | 5,136 | 5,128 | |
2012-17, EF (1 month LIBOR + 0.450%) 0.635%, 3/25/41(1) | 2,690 | 2,692 | |
2012-38, PF (1 month LIBOR + 0.400%) 0.585%, 9/25/41(1) | 1,443 | 1,444 | |
2016-2, LA 3.000%, 12/25/41 | 1,046 | 1,080 | |
2012-133, FC (1 month LIBOR + 0.300%) 0.485%, 6/25/42(1) | 2,644 | 2,620 |
Table of Contents
Par Value | Value | ||
Agency—continued | |||
2012-99, LA 3.500%, 6/25/42 | $ 1,637 | $ 1,670 | |
2013-34, PF (1 month LIBOR + 0.350%) 0.535%, 8/25/42(1) | 7,463 | 7,414 | |
2013-58, FY (1 month LIBOR + 0.250%) 0.435%, 2/25/43(1) | 4,531 | 4,508 | |
2016-36, FB (1 month LIBOR + 0.500%) 0.685%, 3/25/43(1) | 1,469 | 1,472 | |
2017-33, DA 3.500%, 7/25/43 | 5,371 | 5,563 | |
2017-104, PA 3.000%, 2/25/46 | 14,879 | 15,479 | |
2019-37, GB 2.500%, 3/25/47 | 4,549 | 4,707 | |
2019-13, FG (1 month LIBOR + 0.400%) 0.585%, 4/25/49(1) | 15,752 | 15,818 | |
FRESB Mortgage Trust | |||
2016-SB16, A5F 1.830%, 4/25/21(1) | 2,629 | 2,649 | |
2015-SB6, A5 2.270%, 9/25/35(1) | 5,085 | 5,095 | |
2016-SB13, A5H 2.060%, 1/25/36(1) | 17,203 | 17,265 | |
2016-SB18, A5H 2.110%, 5/25/36(1) | 4,319 | 4,328 | |
2016-SB16, A5H 2.130%, 5/25/36(1) | 10,148 | 10,169 | |
2016-SB23, A5H 1.980%, 9/25/36(1) | 1,722 | 1,736 | |
2016-SB22, A7H 2.190%, 9/25/36(1) | 1,142 | 1,175 | |
2016-SB23, A7H 2.200%, 9/25/36(1) | 10,115 | 10,401 | |
2018-SB50, A5H 3.000%, 4/25/38(1) | 1,134 | 1,170 | |
2015-SB3, A5 (1 month LIBOR + 0.700%) 0.883%, 8/25/42(1) | 320 | 320 | |
2016-SB19, A5H 2.180%, 1/25/46(1) | 2,574 | 2,593 | |
Government National Mortgage Association | |||
2003-57, FA (1 month LIBOR + 0.450%) 0.645%, 7/16/33(1) | 4,222 | 4,228 | |
2003-67, FP (1 month LIBOR + 0.900%) 1.090%, 8/20/33(1) | 3,772 | 3,813 | |
2004-38, FA (1 month LIBOR + 0.400%) 0.595%, 5/16/34(1) | 5,818 | 5,818 | |
2004-106, F (1 month LIBOR + 0.250%) 0.445%, 12/16/34(1) | 4,645 | 4,631 | |
2005-41, FC (1 month LIBOR + 0.300%) 0.490%, 5/20/35(1) | 8,478 | 8,387 | |
2005-84, FA (1 month LIBOR + 0.200%) 0.390%, 11/20/35(1) | 5,235 | 5,203 | |
2013-117, FH (1 month LIBOR + 0.350%) 0.540%, 6/20/39(1) | 6,165 | 6,168 | |
2013-124, F (1 month LIBOR + 0.400%) 0.590%, 8/20/39(1) | 27,926 | 27,961 | |
2009-88, FA (1 month LIBOR + 0.750%) 0.945%, 10/16/39(1) | 7,569 | 7,658 | |
2012-36, LF (1 month LIBOR + 0.330%) 0.520%, 3/20/42(1) | 1,978 | 1,977 | |
2019-38, BA 2.500%, 8/20/48 | 17,598 | 17,941 |
Par Value | Value | ||
Agency—continued | |||
2016-H22, FJ (1 month LIBOR + 0.390%) 0.693%, 10/20/66(1) | $ 1,602 | $ 1,601 | |
2017-H13, FJ (1 month LIBOR + 0.200%) 0.503%, 5/20/67(1) | 78 | 78 | |
2017-H24, FJ (1 month LIBOR + 0.250%) 0.553%, 10/20/67(1) | 376 | 376 | |
Government National Mortgage Association I | |||
Pool #778668 3.000%, 12/15/26 | 148 | 156 | |
Pool #778776 3.000%, 1/15/27 | 191 | 201 | |
Pool #AA8329 2.000%, 2/15/28 | 726 | 747 | |
Pool #AF1057 2.000%, 7/15/28 | 349 | 362 | |
Government National Mortgage Association II | |||
Pool #4954 3.000%, 2/20/26 | 273 | 287 | |
Pool #MA0299 2.500%, 8/20/27 | 823 | 854 | |
Pool #MA0908 2.500%, 4/20/28 | 310 | 324 | |
NCUA Guaranteed Notes Trust | |||
2010-R2, 2A (1 month LIBOR + 0.470%) 0.644%, 11/5/20(1) | 1,888 | 1,888 | |
2010-R3, 1A (1 month LIBOR + 0.560%) 0.734%, 12/8/20(1) | 13,355 | 13,330 | |
Small Business Administration | |||
Pool #510076 (PRIME minus 2.650%) 0.600%, 5/25/27(1) | 3,751 | 3,732 | |
Pool #510083 (PRIME minus 2.650%) 0.600%, 9/25/27(1) | 1,242 | 1,235 | |
Pool #510241 (PRIME minus 2.600%) 0.650%, 10/25/27(1) | 3,961 | 3,947 | |
Pool #510254 (PRIME minus 2.600%) 0.650%, 5/25/28(1) | 7,867 | 7,836 | |
Pool #510228 (PRIME minus 2.500%) 0.750%, 7/25/28(1) | 1,220 | 1,217 | |
Pool #510219 (PRIME minus 2.650%) 0.600%, 11/25/28(1) | 3,838 | 3,814 | |
Pool #510273 (PRIME minus 2.500%) 0.750%, 11/25/28(1) | 7,188 | 7,169 | |
Pool #510256 (PRIME minus 2.600%) 0.650%, 12/25/28(1) | 7,867 | 7,838 | |
Pool #510032 (PRIME minus 2.650%) 0.600%, 6/25/34(1) | 3,289 | 3,266 | |
971,404 | |||
Total Mortgage-Backed Securities (Identified Cost $964,723) | 971,404 | ||
Table of Contents
Par Value | Value | ||
Asset-Backed Security—1.8% | |||
Student Loan—1.8% | |||
NCUA Guaranteed Notes Trust 2010-A1, A (1 month LIBOR + 0.350%) 0.530%, 12/7/20(1) | $18,744 | $ 18,721 | |
Total Asset-Backed Security (Identified Cost $18,743) | 18,721 | ||
Total Long-Term Investments—94.5% (Identified Cost $983,466) | 990,125 | ||
Shares | ||
Short-Term Investment—4.3% | ||
Money Market Mutual Fund—4.3% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(2) | 45,421,278 | 45,421 |
Total Short-Term Investment (Identified Cost $45,421) | 45,421 | |
TOTAL INVESTMENTS—98.8% (Identified Cost $1,028,887) | $1,035,546 | |
Other assets and liabilities, net—1.2% | 12,161 | |
NET ASSETS—100.0% | $1,047,707 |
Abbreviations: | |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR30A | Secured Overnight Financing Rate 30 Day Average |
SOFRRATE | Secured Overnight Financing Rate |
Footnote Legend: | |
(1) | Variable rate security. Rate disclosed is as of June 30, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at June 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Asset-Backed Security | $ 18,721 | $ — | $ 18,721 | ||
Mortgage-Backed Securities | 971,404 | — | 971,404 | ||
Money Market Mutual Fund | 45,421 | 45,421 | — | ||
Total Investments | $1,035,546 | $45,421 | $990,125 |
Table of Contents
Par Value | Value | ||
Mortgage-Backed Securities—90.1% | |||
Agency—90.1% | |||
Federal Home Loan Mortgage Corp. | |||
Pool #G07031 4.000%, 5/1/42 | $294 | $ 323 | |
Pool #C04123 4.000%, 7/1/42 | 182 | 200 | |
Pool #Q10929 3.500%, 9/1/42 | 238 | 257 | |
Pool #G60019 4.500%, 3/1/44 | 203 | 225 | |
Pool #Q26366 4.000%, 5/1/44 | 118 | 130 | |
Pool #V81283 4.000%, 7/1/44 | 255 | 279 | |
Pool #G60183 4.000%, 12/1/44 | 96 | 104 | |
Pool #Q31645 4.000%, 2/1/45 | 47 | 50 | |
Pool #V81992 4.000%, 10/1/45 | 189 | 204 | |
Pool #Q38473 4.000%, 1/1/46 | 350 | 379 | |
Pool #Q39440 4.000%, 3/1/46 | 337 | 361 | |
Pool #G08706 3.500%, 5/1/46 | 289 | 308 | |
Pool #Q40815 3.500%, 6/1/46 | 334 | 371 | |
Pool #G60661 4.000%, 7/1/46 | 52 | 56 | |
Pool #G61721 3.500%, 11/1/46 | 73 | 78 | |
Pool #ZA4786 3.000%, 12/1/46 | 196 | 212 | |
Pool #Q46110 3.500%, 2/1/47 | 250 | 274 | |
Pool #ZM4703 3.000%, 11/1/47 | 184 | 195 | |
Pool #Q51962 3.500%, 11/1/47 | 158 | 167 | |
Pool #Q51951 4.000%, 11/1/47 | 68 | 73 | |
Pool #Q53881 4.500%, 1/1/48 | 345 | 381 | |
Pool #Q54449 3.500%, 2/1/48 | 76 | 82 | |
Pool #ZM6076 4.000%, 4/1/48 | 477 | 507 | |
Pool #ZT0509 3.000%, 8/1/48 | 196 | 209 | |
Pool #SD0164 3.500%, 12/1/49 | 407 | 432 | |
Pool #QA7571 3.000%, 2/1/50 | 195 | 206 | |
Pool #QA8967 3.000%, 4/1/50 | 195 | 205 | |
Federal National Mortgage Association | |||
Pool #MA3575 3.500%, 12/1/38 | 136 | 143 | |
Pool #AL7497 3.500%, 9/1/40 | 842 | 909 |
Par Value | Value | ||
Agency—continued | |||
Pool #MA0639 4.000%, 2/1/41 | $334 | $ 367 | |
Pool #AL0215 4.500%, 4/1/41 | 120 | 134 | |
Pool #890381 3.500%, 10/1/41 | 210 | 228 | |
Pool #AW8154 3.500%, 1/1/42 | 413 | 449 | |
Pool #AS9571 3.500%, 5/1/42 | 283 | 299 | |
Pool #AO8632 3.500%, 7/1/42 | 311 | 338 | |
Pool #AX2491 4.000%, 10/1/44 | 362 | 393 | |
Pool #MA2190 4.000%, 2/1/45 | 529 | 575 | |
Pool #MA2341 4.500%, 6/1/45 | 82 | 89 | |
Pool #AY8851 4.000%, 8/1/45 | 135 | 145 | |
Pool #BE5050 4.000%, 9/1/45 | 144 | 158 | |
Pool #AZ9213 4.000%, 10/1/45 | 354 | 397 | |
Pool #AS6515 4.000%, 1/1/46 | 44 | 47 | |
Pool #AS6640 3.500%, 2/1/46 | 242 | 263 | |
Pool #BA4799 4.000%, 2/1/46 | 330 | 364 | |
Pool #BE7155 3.500%, 2/1/47 | 449 | 491 | |
Pool #BE7213 4.000%, 4/1/47 | 240 | 259 | |
Pool #BE9598 4.000%, 5/1/47 | 326 | 349 | |
Pool #BE3695 3.500%, 6/1/47 | 117 | 123 | |
Pool #BM3564 3.000%, 7/1/47 | 346 | 366 | |
Pool #BH9313 3.500%, 9/1/47 | 80 | 87 | |
Pool #MA3182 3.500%, 11/1/47 | 301 | 318 | |
Pool #BH7058 3.500%, 12/1/47 | 345 | 365 | |
Pool #BH9215 3.500%, 1/1/48 | 87 | 92 | |
Pool #FM1222 3.500%, 1/1/48 | 89 | 94 | |
Pool #BH9277 3.500%, 2/1/48 | 860 | 910 | |
Pool #BJ0650 3.500%, 3/1/48 | 128 | 136 | |
Pool #BO2843 3.500%, 10/1/49 | 200 | 211 | |
Pool #BO5325 3.000%, 11/1/49 | 189 | 199 | |
Government National Mortgage Association I | |||
Pool #AE8170 4.000%, 2/15/44 | 64 | 70 | |
Pool #635099 3.000%, 7/15/46 | 74 | 79 |
Table of Contents
Par Value | Value | ||
Agency—continued | |||
Pool #774031 3.000%, 8/15/47 | $111 | $ 118 | |
Pool #AD6354 3.000%, 1/15/48 | 91 | 97 | |
Pool #BQ1140 3.000%, 11/15/49 | 251 | 265 | |
Government National Mortgage Association II | |||
Pool #MA1521 3.500%, 12/20/43 | 63 | 68 | |
Pool #MA2891 3.000%, 6/20/45 | 110 | 117 | |
Pool #MA3173 3.500%, 10/20/45 | 117 | 125 | |
Pool #MA3310 3.500%, 12/20/45 | 225 | 241 | |
Pool #MA3662 3.000%, 5/20/46 | 100 | 106 | |
Pool #MA3802 3.000%, 7/20/46 | 86 | 92 | |
Pool #MA4003 3.000%, 10/20/46 | 359 | 381 | |
Pool #MA4261 3.000%, 2/20/47 | 81 | 86 | |
Pool #MA4586 3.500%, 7/20/47 | 475 | 506 | |
Pool #MA5019 3.500%, 2/20/48 | 45 | 48 | |
Pool #MA6599 3.000%, 4/20/50 | 199 | 211 | |
Pool #MA6656 3.000%, 5/20/50 | 239 | 254 | |
18,430 | |||
Total Mortgage-Backed Securities (Identified Cost $17,662) | 18,430 | ||
Total Long-Term Investments—90.1% (Identified Cost $17,662) | 18,430 | ||
Shares | Value | ||
Short-Term Investment—6.0% | |||
Money Market Mutual Fund—6.0% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(1) | 1,227,921 | $ 1,228 | |
Total Short-Term Investment (Identified Cost $1,228) | 1,228 | ||
TOTAL INVESTMENTS—96.1% (Identified Cost $18,890) | $19,658 | ||
Other assets and liabilities, net—3.9% | 795 | ||
NET ASSETS—100.0% | $20,453 |
Footnote Legend: | |
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at June 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Mortgage-Backed Securities | $18,430 | $ — | $18,430 | ||
Money Market Mutual Fund | 1,228 | 1,228 | — | ||
Total Investments | $19,658 | $1,228 | $18,430 |
Table of Contents
Par Value | Value | ||
Mortgage-Backed Securities—28.3% | |||
Agency—14.6% | |||
Federal National Mortgage Association | |||
Pool #465721 4.040%, 10/1/20 | $ 150 | $ 150 | |
Pool #AN0777 2.750%, 11/1/21 | 465 | 473 | |
Pool #AM8254 2.710%, 6/1/22 | 548 | 564 | |
Pool #AN4300 (1 month LIBOR + 0.560%) 0.743%, 1/1/24(1) | 470 | 470 | |
FRESB Mortgage Trust | |||
2016-SB16, A5F 1.830%, 4/25/21(1) | 561 | 566 | |
2016-SB21, A5F 1.810%, 9/25/21(1) | 517 | 524 | |
2015-SB7, A5 2.370%, 9/25/35(1) | 389 | 390 | |
2016-SB16, A5H 2.130%, 5/25/36(1) | 665 | 666 | |
2016-SB23, A7H 2.200%, 9/25/36(1) | 827 | 850 | |
2018-SB50, A5H 3.000%, 4/25/38(1) | 454 | 468 | |
Small Business Administration Pool #510273 (PRIME minus 2.500%) 0.750%, 11/25/28(1) | 1,438 | 1,434 | |
6,555 | |||
Non-Agency—13.7% | |||
BBCMS Mortgage Trust 2018-TALL, A (1 month LIBOR + 0.722%) 144A 0.907%, 3/15/37(1)(2) | 1,000 | 951 | |
CFCRE Commercial Mortgage Trust 2011-C1, A4 144A 4.961%, 4/15/44(1)(2) | 804 | 818 | |
Hawaii Hotel Trust 2019-MAUI, A (1 month LIBOR + 1.150%) 144A 1.335%, 5/15/38(1)(2) | 1,180 | 1,137 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2012-C6, ASB 3.144%, 5/15/45 | 388 | 394 | |
VNDO Mortgage Trust 2013-PENN, B 144A 4.079%, 12/13/29(1)(2) | 1,330 | 1,327 | |
WFRBS Commercial Mortgage Trust 2012-C8, AFL (1 month LIBOR + 1.000%) 144A 1.194%, 8/15/45(1)(2) | 1,539 | 1,535 | |
6,162 | |||
Total Mortgage-Backed Securities (Identified Cost $12,747) | 12,717 | ||
Asset-Backed Securities—17.8% | |||
Automobiles—3.5% | |||
Ford Credit Auto Owner Trust 2015-2, A 144A 2.440%, 1/15/27(2) | 1,000 | 1,001 | |
Ford Credit Floorplan Master Owner Trust 2017-2, A2 (1 month LIBOR + 0.350%) 0.535%, 9/15/22(1) | 100 | 100 |
Par Value | Value | ||
Automobiles—continued | |||
Hyundai Auto Receivables Trust 2016-A, C 2.680%, 5/16/22 | $ 491 | $ 492 | |
1,593 | |||
Credit Card—9.4% | |||
American Express Credit Account Master Trust 2017-5, B (1 month LIBOR + 0.580%) 0.765%, 2/18/25(1) | 1,570 | 1,570 | |
Barclays Dryrock Issuance Trust 2017-2, A (1 month LIBOR + 0.300%) 0.485%, 5/15/23(1) | 500 | 500 | |
Capital One Multi-Asset Execution Trust 2005-B3, B3 (3 month LIBOR + 0.550%) 1.769%, 5/15/28(1) | 1,253 | 1,222 | |
World Financial Network Credit Card Master Trust 2016-A, M 2.330%, 4/15/25 | 945 | 945 | |
4,237 | |||
Other—3.6% | |||
Domino’s Pizza Master Issuer LLC 2017-1A, A2I (3 month LIBOR + 1.250%) 144A 2.241%, 7/25/47(1)(2) | 975 | 966 | |
Verizon Owner Trust 2019-B, A1A 2.330%, 12/20/23 | 626 | 643 | |
1,609 | |||
Student Loan—1.3% | |||
Collegiate Funding Services Education Loan Trust 2005-A, A3 (3 month LIBOR + 0.130%) 1.505%, 3/29/27(1) | 569 | 568 | |
Total Asset-Backed Securities (Identified Cost $7,980) | 8,007 | ||
Corporate Bonds and Notes—48.9% | |||
Consumer Discretionary—5.8% | |||
American Honda Finance Corp. (3 month LIBOR + 0.270%) 1.405%, 7/20/20(1) | 765 | 765 | |
BMW US Capital LLC (3 month LIBOR + 0.500%) 144A 0.934%, 8/13/21(1)(2) | 900 | 895 | |
Daimler Finance North America LLC (3 month LIBOR + 0.450%) 144A 0.808%, 2/22/21(1)(2) | 730 | 727 | |
Ralph Lauren Corp. 1.700%, 6/15/22 | 228 | 232 | |
2,619 | |||
Consumer Staples—1.0% | |||
Estee Lauder Cos., Inc. (The) 1.700%, 5/10/21 | 455 | 460 | |
Energy—8.3% | |||
BP Capital Markets America, Inc. 2.937%, 4/6/23 | 279 | 295 | |
Chevron Corp. 2.419%, 11/17/20 | 650 | 654 |
Table of Contents
Par Value | Value | ||
Energy—continued | |||
EOG Resources, Inc. 4.100%, 2/1/21 | $ 450 | $ 460 | |
Marathon Petroleum Corp. 3.400%, 12/15/20 | 650 | 656 | |
Phillips 66 (3 month LIBOR + 0.600%) 0.960%, 2/26/21(1) | 665 | 664 | |
Valero Energy Corp. 2.700%, 4/15/23 | 412 | 427 | |
Woodside Finance Ltd. 144A 4.600%, 5/10/21(2) | 550 | 560 | |
3,716 | |||
Financials—20.4% | |||
American Express Co. (3 month LIBOR + 0.525%) 0.911%, 5/17/21(1) | 890 | 892 | |
Bank of America Corp. (3 month LIBOR + 0.650%) 0.947%, 6/25/22(1) | 635 | 636 | |
Bank of Montreal (3 month LIBOR + 0.460%) 1.771%, 4/13/21(1) | 740 | 742 | |
Citigroup, Inc. (3 month LIBOR + 1.700%) 1.388%, 12/8/21(1) | 450 | 454 | |
Cooperatieve Rabobank UA (3 month LIBOR + 0.430%) 1.421%, 4/26/21(1) | 440 | 441 | |
Credit Suisse AG (SOFRRATE + 0.450%) 0.518%, 2/4/22(1) | 535 | 533 | |
John Deere Capital Corp. (3 month LIBOR + 0.400%) 0.718%, 6/7/21(1) | 840 | 842 | |
JPMorgan Chase & Co. (3 month LIBOR + 1.205%) 2.046%, 10/29/20(1) | 400 | 401 | |
Metropolitan Life Global Funding I (SOFRRATE + 0.570%) 144A 0.650%, 9/7/20(1)(2) | 570 | 570 | |
New York Life Global Funding (3 month LIBOR + 0.320%) 144A 0.821%, 8/6/21(1)(2) | 440 | 441 | |
PNC Bank NA (3 month LIBOR + 0.430%) 0.743%, 12/9/22(1) | 750 | 751 | |
Regions Bank 2.750%, 4/1/21 | 500 | 506 | |
Toyota Motor Credit Corp. (3 month LIBOR + 0.280%) 1.591%, 4/13/21(1) | 623 | 623 | |
US Bank NA (3 month LIBOR + 0.320%) 1.311%, 4/26/21(1) | 830 | 832 | |
Wells Fargo & Co. 1.654%, 6/2/24 | 457 | 464 | |
9,128 | |||
Health Care—6.4% | |||
AbbVie, Inc. (3 month LIBOR + 0.460%) 144A 0.841%, 11/19/21(1)(2) | 800 | 800 | |
CVS Health Corp. 3.350%, 3/9/21 | 600 | 612 | |
GlaxoSmithKline Capital plc (3 month LIBOR + 0.350%) 0.774%, 5/14/21(1) | 1,070 | 1,072 | |
UnitedHealth Group, Inc. (3 month LIBOR + 0.260%) 0.573%, 6/15/21(1) | 383 | 383 | |
2,867 | |||
Par Value | Value | ||
Industrials—3.7% | |||
Boeing Co. (The) 4.508%, 5/1/23 | $1,070 | $ 1,130 | |
Eaton Corp. 2.750%, 11/2/22 | 494 | 520 | |
1,650 | |||
Information Technology—0.8% | |||
Intuit, Inc. 0.650%, 7/15/23 | 371 | 372 | |
Utilities—2.5% | |||
Duke Energy Corp. (3 month LIBOR + 0.500%) 144A 0.924%, 5/14/21(1)(2) | 850 | 852 | |
Pacific Gas and Electric Co. 1.750%, 6/16/22 | 282 | 282 | |
1,134 | |||
Total Corporate Bonds and Notes (Identified Cost $21,784) | 21,946 | ||
Total Long-Term Investments—95.0% (Identified Cost $42,511) | 42,670 | ||
Shares | ||
Short-Term Investment—0.8% | ||
Money Market Mutual Fund—0.8% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(3) | 352,145 | 352 |
Total Short-Term Investment (Identified Cost $352) | 352 | |
TOTAL INVESTMENTS—95.8% (Identified Cost $42,863) | $43,022 | |
Other assets and liabilities, net—4.2% | 1,866 | |
NET ASSETS—100.0% | $44,888 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
SOFRRATE | Secured Overnight Financing Rate |
Table of Contents
Footnote Legend: | |
(1) | Variable rate security. Rate disclosed is as of June 30, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(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 June 30, 2020, these securities amounted to a value of $12,580 or 28.0% of net assets. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 92% |
United Kingdom | 3 |
Canada | 2 |
Australia | 1 |
Switzerland | 1 |
Netherlands | 1 |
Total | 100% |
† % of total investments as of June 30, 2020. |
Total Value at June 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Asset-Backed Securities | $ 8,007 | $ — | $ 8,007 | ||
Corporate Bonds and Notes | 21,946 | — | 21,946 | ||
Mortgage-Backed Securities | 12,717 | — | 12,717 | ||
Money Market Mutual Fund | 352 | 352 | — | ||
Total Investments | $43,022 | $352 | $42,670 |
Table of Contents
Seix Core Bond Fund | Seix Corporate Bond Fund | Seix Floating Rate High Income Fund | |||
Assets | |||||
Investment in securities at value(1) | $ 157,520 | $ 81,399 | $ 1,899,230 | ||
Cash | 5,861 | 318 | 40,707 | ||
Receivables | |||||
Investment securities sold | — | 4,993 | 119,881 | ||
Fund shares sold | 5,974 | 480 | 1,903 | ||
Dividends and interest | 643 | 477 | 4,627 | ||
Prepaid Trustees’ retainer | 2 | 1 | 40 | ||
Prepaid expenses | 30 | 27 | 81 | ||
Other assets | 13 | 5 | 178 | ||
Total assets | 170,043 | 87,700 | 2,066,647 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 69 | 22 | 4,929 | ||
Investment securities purchased | 3,258 | 13,047 | 78,130 | ||
Dividend distributions | 2 | 7 | 807 | ||
Investment advisory fees | 17 | 15 | 501 | ||
Distribution and service fees | 2 | 2 | 31 | ||
Administration and accounting fees | 14 | 6 | 166 | ||
Transfer agent and sub-transfer agent fees and expenses | 43 | 11 | 478 | ||
Professional fees | 16 | 16 | 3 | ||
Trustee deferred compensation plan | 13 | 5 | 178 | ||
Interest expense and/or commitment fees | — (a) | — (a) | — | ||
Other accrued expenses | 9 | 3 | 276 | ||
Total liabilities | 3,443 | 13,134 | 85,499 | ||
Net Assets | $ 166,600 | $ 74,566 | $ 1,981,148 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $ 158,572 | $ 68,256 | $ 2,822,771 | ||
Accumulated earnings (loss) | 8,028 | 6,310 | (841,623) | ||
Net Assets | $ 166,600 | $ 74,566 | $ 1,981,148 | ||
Net Assets: | |||||
Class A | $ 10,490 | $ 5,762 | $ 35,627 | ||
Class C | $ — | $ 664 | $ 27,273 | ||
Class I | $ 154,023 | $ 68,140 | $ 1,715,154 | ||
Class R6 | $ 2,087 | $ — | $ 203,094 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 903,004 | 595,373 | 4,590,886 | ||
Class C | — | 68,919 | 3,512,786 | ||
Class I | 13,253,964 | 7,076,218 | 220,987,989 | ||
Class R6 | 179,504 | — | 26,149,493 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $ 11.62 | $ 9.68 | $ 7.76 | ||
Class C | $ — | $ 9.64 | $ 7.76 | ||
Class I | $ 11.62 | $ 9.63 | $ 7.76 | ||
Class R6 | $ 11.63 | $ — | $ 7.77 | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $ 12.07 | $ 10.06 | $ 7.98 | ||
Maximum Sales Charge - Class A | 3.75% | 3.75% | 2.75% | ||
(1) Investment in securities at cost | $ 153,579 | $ 78,111 | $ 2,127,529 |
(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) | $ 72,638 | $ 193,849 | $ 295,243 | ||
Cash | 2,271 | 2,899 | 838 | ||
Receivables | |||||
Investment securities sold | 1,024 | 5,033 | 7,548 | ||
Fund shares sold | 60 | 61 | 1,312 | ||
Dividends and interest | 668 | 2,676 | 4,195 | ||
Prepaid Trustees’ retainer | 2 | 4 | 7 | ||
Prepaid expenses | 20 | 28 | 53 | ||
Other assets | 6 | 18 | 28 | ||
Total assets | 76,689 | 204,568 | 309,224 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 126 | 327 | 1,763 | ||
Investment securities purchased | 5,853 | 5,638 | 5,526 | ||
Dividend distributions | 52 | 33 | 187 | ||
Investment advisory fees | 14 | 51 | 89 | ||
Distribution and service fees | 1 | 4 | 1 | ||
Administration and accounting fees | 7 | 17 | 29 | ||
Transfer agent and sub-transfer agent fees and expenses | 9 | 59 | 77 | ||
Professional fees | 16 | 16 | 10 | ||
Trustee deferred compensation plan | 6 | 18 | 28 | ||
Interest expense and/or commitment fees | — (a) | 1 | 1 | ||
Other accrued expenses | 3 | 20 | 16 | ||
Total liabilities | 6,087 | 6,184 | 7,727 | ||
Net Assets | $ 70,602 | $ 198,384 | $ 301,497 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $ 66,647 | $ 309,433 | $ 367,404 | ||
Accumulated earnings (loss) | 3,955 | (111,049) | (65,907) | ||
Net Assets | $ 70,602 | $ 198,384 | $ 301,497 | ||
Net Assets: | |||||
Class A | $ 7,093 | $ 19,840 | $ 6,504 | ||
Class I | $ 63,509 | $ 170,627 | $ 285,535 | ||
Class R6 | $ — | $ 7,917 | $ 9,458 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 571,197 | 3,362,176 | 820,563 | ||
Class I | 5,115,513 | 28,957,981 | 35,122,469 | ||
Class R6 | — | 1,344,364 | 1,162,844 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $ 12.42 | $ 5.90 | $ 7.93 | ||
Class I | $ 12.42 | $ 5.89 | $ 8.13 | ||
Class R6 | $ — | $ 5.89 | $ 8.13 | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $ 12.77 | $ 6.13 | $ 8.24 | ||
Maximum Sales Charge - Class A | 2.75% | 3.75% | 3.75% | ||
(1) Investment in securities at cost | $ 69,789 | $ 200,144 | $ 296,117 |
(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) | $ 298,624 | $ 19,570 | $ 13,922 | ||
Cash | 11,589 | 276 | 690 | ||
Receivables | |||||
Fund shares sold | 630 | 49 | — (a) | ||
Receivable from adviser | — | — | 2 | ||
Dividends and interest | 3,162 | 73 | 130 | ||
Prepaid Trustees’ retainer | 6 | — (a) | — (a) | ||
Prepaid expenses | 35 | 27 | 28 | ||
Other assets | 25 | 2 | 1 | ||
Total assets | 314,071 | 19,997 | 14,773 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 1,066 | 5 | 29 | ||
Investment securities purchased | 20,017 | — | 366 | ||
Dividend distributions | 307 | — (a) | 1 | ||
Investment advisory fees | 63 | 1 | — | ||
Distribution and service fees | 2 | 3 | — (a) | ||
Administration and accounting fees | 25 | 2 | 2 | ||
Transfer agent and sub-transfer agent fees and expenses | 65 | 2 | 3 | ||
Professional fees | 15 | 16 | 16 | ||
Trustee deferred compensation plan | 25 | 2 | 1 | ||
Interest expense and/or commitment fees | 1 | — (a) | — (a) | ||
Other accrued expenses | 18 | — (a) | — (a) | ||
Total liabilities | 21,604 | 31 | 418 | ||
Net Assets | $ 292,467 | $ 19,966 | $ 14,355 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $ 277,773 | $ 19,771 | $ 13,987 | ||
Accumulated earnings (loss) | 14,694 | 195 | 368 | ||
Net Assets | $ 292,467 | $ 19,966 | $ 14,355 | ||
Net Assets: | |||||
Class A | $ 8,579 | $ 6,910 | $ 1,550 | ||
Class C | $ — | $ 1,784 | $ — | ||
Class I | $ 283,888 | $ 11,272 | $ 12,805 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 712,587 | 675,522 | 152,291 | ||
Class C | — | 174,540 | — | ||
Class I | 23,610,767 | 1,105,326 | 1,257,506 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $ 12.04 | $ 10.23 | $ 10.18 | ||
Class C | $ — | $ 10.22 | $ — | ||
Class I | $ 12.02 | $ 10.20 | $ 10.18 | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $ 12.38 | $ 10.47 | $ 10.41 | ||
Maximum Sales Charge - Class A | 2.75% | 2.25% | 2.25% | ||
(1) Investment in securities at cost | $ 287,004 | $ 19,221 | $ 13,648 |
(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) | $ 349,070 | $ 1,035,546 | $ 19,658 | ||
Cash | 20,956 | 9,009 | 745 | ||
Receivables | |||||
Investment securities sold | — | 1,145 | — | ||
Fund shares sold | 2,472 | 5,697 | 2 | ||
Receivable from adviser | — | — | 2 | ||
Dividends and interest | 1,546 | 1,132 | 52 | ||
Prepaid Trustees’ retainer | 7 | 19 | — (a) | ||
Prepaid expenses | 56 | 69 | 26 | ||
Other assets | 32 | 89 | 2 | ||
Total assets | 374,139 | 1,052,706 | 20,487 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 239 | 779 | 2 | ||
Investment securities purchased | 6,806 | 3,484 | — | ||
Dividend distributions | 10 | 72 | 1 | ||
Investment advisory fees | 44 | 111 | — | ||
Distribution and service fees | 4 | 4 | 2 | ||
Administration and accounting fees | 32 | 86 | 2 | ||
Transfer agent and sub-transfer agent fees and expenses | 90 | 288 | 9 | ||
Professional fees | 18 | 16 | 16 | ||
Trustee deferred compensation plan | 32 | 89 | 2 | ||
Interest expense and/or commitment fees | 1 | 3 | — (a) | ||
Other accrued expenses | 24 | 67 | — (a) | ||
Total liabilities | 7,300 | 4,999 | 34 | ||
Net Assets | $ 366,839 | $ 1,047,707 | $ 20,453 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $ 349,806 | $ 1,046,591 | $ 19,610 | ||
Accumulated earnings (loss) | 17,033 | 1,116 | 843 | ||
Net Assets | $ 366,839 | $ 1,047,707 | $ 20,453 | ||
Net Assets: | |||||
Class A | $ 19,136 | $ 20,237 | $ 6,976 | ||
Class C | $ — | $ — | $ 564 | ||
Class I | $ 289,018 | $ 1,015,601 | $ 12,913 | ||
Class R6 | $ 58,685 | $ 11,869 | $ — | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 1,607,755 | 2,017,646 | 603,961 | ||
Class C | — | — | 48,786 | ||
Class I | 25,098,313 | 101,260,481 | 1,116,189 | ||
Class R6 | 5,097,712 | 1,181,640 | — | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $ 11.90 | $ 10.03 | $ 11.55 | ||
Class C | $ — | $ — | $ 11.57 | ||
Class I | $ 11.52 | $ 10.03 | $ 11.57 | ||
Class R6 | $ 11.51 | $ 10.04 | $ — | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $ 12.36 | $ — | $ 11.82 | ||
Maximum Sales Charge - Class A | 3.75% | —% | 2.25% | ||
(1) Investment in securities at cost | $ 336,364 | $ 1,028,887 | $ 18,890 |
(a) | Amount is less than $500. |
Table of Contents
Seix Ultra-Short Bond Fund | |
Assets | |
Investment in securities at value(1) | $ 43,022 |
Cash | 2,099 |
Receivables | |
Investment securities sold | 14 |
Fund shares sold | 5 |
Dividends and interest | 99 |
Prepaid Trustees’ retainer | 1 |
Prepaid expenses | 20 |
Other assets | 4 |
Total assets | 45,264 |
Liabilities | |
Payables | |
Fund shares repurchased | 329 |
Dividend distributions | 5 |
Investment advisory fees | — (a) |
Distribution and service fees | 1 |
Administration and accounting fees | 5 |
Transfer agent and sub-transfer agent fees and expenses | 11 |
Professional fees | 16 |
Trustee deferred compensation plan | 4 |
Interest expense and/or commitment fees | — (a) |
Other accrued expenses | 5 |
Total liabilities | 376 |
Net Assets | $ 44,888 |
Net Assets Consist of: | |
Capital paid in on shares of beneficial interest | $ 45,419 |
Accumulated earnings (loss) | (531) |
Net Assets | $ 44,888 |
Net Assets: | |
Class A | $ 2,944 |
Class I | $ 41,944 |
Shares Outstanding (unlimited number of shares authorized, no par value): | |
Class A | 296,275 |
Class I | 4,224,317 |
Net Asset Value and Redemption Price Per Share: | |
Class A | $ 9.94 |
Class I | $ 9.93 |
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |
Class A | $ — |
Maximum Sales Charge - Class A | —% |
(1) Investment in securities at cost | $ 42,863 |
(a) | Amount is less than $500. |
Table of Contents
Seix Core Bond Fund | Seix Corporate Bond Fund | Seix Floating Rate High Income Fund | |||
Investment Income | |||||
Dividends | $ 10 | $ 5 | $ 638 | ||
Interest | 1,075 | 755 | 63,496 | ||
Security lending, net of fees | 5 | — | — | ||
Total investment income | 1,090 | 760 | 64,134 | ||
Expenses | |||||
Investment advisory fees | 140 | 94 | 5,389 | ||
Distribution and service fees, Class A | 12 | 7 | 52 | ||
Distribution and service fees, Class C | — | 3 | 154 | ||
Administration and accounting fees | 63 | 29 | 1,343 | ||
Transfer agent fees and expenses | 25 | 11 | 583 | ||
Sub-transfer agent fees and expenses, Class A | 8 | 3 | 18 | ||
Sub-transfer agent fees and expenses, Class C | — | — | 8 | ||
Sub-transfer agent fees and expenses, Class I | 72 | 26 | 1,250 | ||
Custodian fees | — (1) | — (1) | 2 | ||
Printing fees and expenses | 3 | 1 | 97 | ||
Professional fees | 14 | 14 | 45 | ||
Interest expense and/or commitment fees | — (1) | — (1) | 229 | ||
Registration fees | 21 | 14 | 75 | ||
Trustees’ fees and expenses | 5 | 2 | 150 | ||
Miscellaneous expenses | 10 | 4 | 258 | ||
Total expenses | 373 | 208 | 9,653 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (88) | (33) | (1,430) | ||
Net expenses | 285 | 175 | 8,223 | ||
Net investment income (loss) | 805 | 585 | 55,911 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 4,183 | 2,575 | (177,944) | ||
Swaps | — | 316 | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 2,453 | 1,193 | (107,624) | ||
Swaps | — | 193 | — | ||
Net realized and unrealized gain (loss) on investments | 6,636 | 4,277 | (285,568) | ||
Net increase (decrease) in net assets resulting from operations | $7,441 | $4,862 | $(229,657) |
(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 | $ 25 | $ 67 | $ 48 | ||
Interest | 585 | 7,025 | 8,091 | ||
Security lending, net of fees | — | 15 | 1 | ||
Total investment income | 610 | 7,107 | 8,140 | ||
Expenses | |||||
Investment advisory fees | 161 | 632 | 663 | ||
Distribution and service fees, Class A | 5 | 26 | 5 | ||
Administration and accounting fees | 37 | 124 | 158 | ||
Transfer agent fees and expenses | 14 | 51 | 64 | ||
Sub-transfer agent fees and expenses, Class A | 1 | 12 | 2 | ||
Sub-transfer agent fees and expenses, Class I | 26 | 140 | 152 | ||
Custodian fees | — (1) | 1 | 1 | ||
Printing fees and expenses | 2 | 9 | 9 | ||
Professional fees | 14 | 16 | 17 | ||
Interest expense and/or commitment fees | — (1) | 1 | 1 | ||
Registration fees | 11 | 25 | 33 | ||
Trustees’ fees and expenses | 3 | 13 | 13 | ||
Miscellaneous expenses | 3 | 20 | 18 | ||
Total expenses | 277 | 1,070 | 1,136 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (79) | (270) | (191) | ||
Net expenses | 198 | 800 | 945 | ||
Net investment income (loss) | 412 | 6,307 | 7,195 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 1,108 | (13,160) | (4,354) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 1,030 | (9,379) | (5,651) | ||
Net realized and unrealized gain (loss) on investments | 2,138 | (22,539) | (10,005) | ||
Net increase (decrease) in net assets resulting from operations | $2,550 | $(16,232) | $ (2,810) |
(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 | $ 132 | $ 1 | $ 4 | ||
Interest | 2,407 | 124 | 80 | ||
Total investment income | 2,539 | 125 | 84 | ||
Expenses | |||||
Investment advisory fees | 739 | 30 | 22 | ||
Distribution and service fees, Class A | 11 | 7 | 1 | ||
Distribution and service fees, Class C | — | 7 | — | ||
Administration and accounting fees | 158 | 12 | 10 | ||
Transfer agent fees and expenses | 64 | 3 | 3 | ||
Sub-transfer agent fees and expenses, Class A | 2 | 2 | 1 | ||
Sub-transfer agent fees and expenses, Class I | 172 | 3 | 6 | ||
Custodian fees | — (1) | — (1) | — (1) | ||
Printing fees and expenses | 10 | 1 | — (1) | ||
Professional fees | 16 | 13 | 14 | ||
Interest expense and/or commitment fees | 1 | — (1) | — (1) | ||
Registration fees | 16 | 15 | 11 | ||
Trustees’ fees and expenses | 14 | — (1) | 1 | ||
Miscellaneous expenses | 11 | 2 | 1 | ||
Total expenses | 1,214 | 95 | 70 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (348) | (37) | (39) | ||
Net expenses | 866 | 58 | 31 | ||
Net investment income (loss) | 1,673 | 67 | 53 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 3,078 | 104 | 95 | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 4,884 | 265 | 127 | ||
Net realized and unrealized gain (loss) on investments | 7,962 | 369 | 222 | ||
Net increase (decrease) in net assets resulting from operations | $9,635 | $436 | $275 |
(1) | Amount is less than $500. |
(2) | See Note 4D in the Notes to Financial Statements. |
Table of Contents
Seix Total Return Bond Fund | Seix U.S. Government Securities Ultra-Short Bond Fund | Seix U.S. Mortgage Fund | |||
Investment Income | |||||
Dividends | $ 26 | $ 90 | $ 2 | ||
Interest | 3,403 | 7,587 | 182 | ||
Security lending, net of fees | 16 | — (1) | — (1) | ||
Total investment income | 3,445 | 7,677 | 184 | ||
Expenses | |||||
Investment advisory fees | 402 | 885 | 39 | ||
Distribution and service fees, Class A | 29 | 20 | 7 | ||
Distribution and service fees, Class C | — | — | 2 | ||
Administration and accounting fees | 172 | 477 | 14 | ||
Transfer agent fees and expenses | 70 | 198 | 4 | ||
Sub-transfer agent fees and expenses, Class A | 16 | 2 | 21 | ||
Sub-transfer agent fees and expenses, Class I | 151 | 478 | 11 | ||
Custodian fees | 1 | 2 | — (1) | ||
Printing fees and expenses | 11 | 32 | 1 | ||
Professional fees | 18 | 22 | 14 | ||
Interest expense and/or commitment fees | 1 | 3 | — (1) | ||
Registration fees | 19 | 34 | 15 | ||
Trustees’ fees and expenses | 14 | 40 | 1 | ||
Miscellaneous expenses | 21 | 46 | 2 | ||
Total expenses | 925 | 2,239 | 131 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (201) | (372) | (54) | ||
Net expenses | 724 | 1,867 | 77 | ||
Net investment income (loss) | 2,721 | 5,810 | 107 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 13,178 | (227) | 194 | ||
Forward foreign currency transactions | (1,454) | — | — | ||
Swaps | 2,099 | — | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 8,175 | 3,315 | 265 | ||
Swaps | 1,360 | — | — | ||
Net realized and unrealized gain (loss) on investments | 23,358 | 3,088 | 459 | ||
Net increase (decrease) in net assets resulting from operations | $26,079 | $8,898 | $566 |
(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 | $ 7 |
Interest | 473 |
Security lending, net of fees | — (1) |
Total investment income | 480 |
Expenses | |
Investment advisory fees | 52 |
Distribution and service fees, Class A | 4 |
Administration and accounting fees | 29 |
Transfer agent fees and expenses | 10 |
Sub-transfer agent fees and expenses, Class A | 1 |
Sub-transfer agent fees and expenses, Class I | 19 |
Custodian fees | 1 |
Printing fees and expenses | 2 |
Professional fees | 14 |
Interest expense and/or commitment fees | — (1) |
Registration fees | 14 |
Trustees’ fees and expenses | 2 |
Miscellaneous expenses | 3 |
Total expenses | 151 |
Less net expenses reimbursed and/or waived by investment adviser(2) | (52) |
Net expenses | 99 |
Net investment income (loss) | 381 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | (562) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | 70 |
Net realized and unrealized gain (loss) on investments | (492) |
Net increase (decrease) in net assets resulting from operations | $(111) |
(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 | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 805 | $ 2,915 | $ 585 | $ 1,246 | |||
Net realized gain (loss) | 4,183 | 6,797 | 2,891 | 1,629 | |||
Net change in unrealized appreciation (depreciation) | 2,453 | 188 | 1,386 | 2,178 | |||
Increase (decrease) in net assets resulting from operations | 7,441 | 9,900 | 4,862 | 5,053 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (66) | (128) | (101) | (122) | |||
Class C | — | — | (9) | (13) | |||
Class I | (726) | (2,730) | (1,024) | (992) | |||
Class R | — | (50) | — | — | |||
Class R6 | (17) | (7) | — | — | |||
Total Dividends and Distributions to Shareholders | (809) | (2,915) | (1,134) | (1,127) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | 690 | 2,890 | (254) | 4,781 | |||
Class C | — | — | (51) | (4,852) | |||
Class I | 54,563 | (49,184) | 31,977 | (5,737) | |||
Class R | — | (3,262) | — | — | |||
Class R6 | (69) | 1,906 | — | — | |||
Increase (decrease) in net assets from capital transactions | 55,184 | (47,650) | 31,672 | (5,808) | |||
Net increase (decrease) in net assets | 61,816 | (40,665) | 35,400 | (1,882) | |||
Net Assets | |||||||
Beginning of period | 104,784 | 145,449 | 39,166 | 41,048 | |||
End of Period | $ 166,600 | $ 104,784 | $ 74,566 | $ 39,166 |
Table of Contents
Seix Floating Rate High Income Fund | Seix High Grade Municipal Bond Fund | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 55,911 | $ 221,192 | $ 412 | $ 1,004 | |||
Net realized gain (loss) | (177,944) | (126,937) | 1,108 | 1,906 | |||
Net change in unrealized appreciation (depreciation) | (107,624) | 212,166 | 1,030 | 1,000 | |||
Increase (decrease) in net assets resulting from operations | (229,657) | 306,421 | 2,550 | 3,910 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (842) | (2,650) | (66) | (261) | |||
Class C | (528) | (1,849) | — | — | |||
Class I | (45,418) | (187,268) | (611) | (1,931) | |||
Class R6 | (9,116) | (34,576) | — | — | |||
Total Dividends and Distributions to Shareholders | (55,904) | (226,343) | (677) | (2,192) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (8,430) | (21,243) | (9) | (135) | |||
Class C | (7,521) | (8,593) | — | — | |||
Class I | (749,821) | (1,745,945) | 8,539 | 10,080 | |||
Class R6 | (306,596) | (264,859) | — | — | |||
Increase (decrease) in net assets from capital transactions | (1,072,368) | (2,040,640) | 8,530 | 9,945 | |||
Net increase (decrease) in net assets | (1,357,929) | (1,960,562) | 10,403 | 11,663 | |||
Net Assets | |||||||
Beginning of period | 3,339,077 | 5,299,639 | 60,199 | 48,536 | |||
End of Period | $ 1,981,148 | $ 3,339,077 | $ 70,602 | $ 60,199 |
Table of Contents
Seix High Income Fund | Seix High Yield Fund | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 6,307 | $ 16,753 | $ 7,195 | $ 14,944 | |||
Net realized gain (loss) | (13,160) | (12,562) | (4,354) | (3,240) | |||
Net change in unrealized appreciation (depreciation) | (9,379) | 30,983 | (5,651) | 24,890 | |||
Increase (decrease) in net assets resulting from operations | (16,232) | 35,174 | (2,810) | 36,594 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (550) | (871) | (84) | (164) | |||
Class I | (5,242) | (13,691) | (6,903) | (14,596) | |||
Class R | — | (486) | — | (2) | |||
Class R6 | (532) | (1,637) | (157) | (72) | |||
Total Dividends and Distributions to Shareholders | (6,324) | (16,685) | (7,144) | (14,834) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (3,866) | 9,888 | 1,956 | 1,464 | |||
Class I | (46,741) | (46,460) | 3,053 | (16,055) | |||
Class R | — | (11,661) | — | (56) | |||
Class R6 | (24,804) | 31,240 | 3,890 | 4,537 | |||
Increase (decrease) in net assets from capital transactions | (75,411) | (16,993) | 8,899 | (10,110) | |||
Net increase (decrease) in net assets | (97,967) | 1,496 | (1,055) | 11,650 | |||
Net Assets | |||||||
Beginning of period | 296,351 | 294,855 | 302,552 | 290,902 | |||
End of Period | $ 198,384 | $ 296,351 | $ 301,497 | $ 302,552 |
Table of Contents
Seix Investment Grade Tax-Exempt Bond Fund | Seix Short-Term Bond Fund | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 1,673 | $ 5,770 | $ 67 | $ 147 | |||
Net realized gain (loss) | 3,078 | 10,942 | 104 | 26 | |||
Net change in unrealized appreciation (depreciation) | 4,884 | 4,279 | 265 | 85 | |||
Increase (decrease) in net assets resulting from operations | 9,635 | 20,991 | 436 | 258 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (70) | (385) | (29) | (41) | |||
Class C | — | — | (1) | (8) | |||
Class I | (2,494) | (12,595) | (36) | (98) | |||
Total Dividends and Distributions to Shareholders | (2,564) | (12,980) | (66) | (147) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (906) | (930) | 4,427 | 240 | |||
Class C | — | — | 1,014 | (739) | |||
Class I | (18,307) | (19,472) | 5,967 | (632) | |||
Increase (decrease) in net assets from capital transactions | (19,213) | (20,402) | 11,408 | (1,131) | |||
Net increase (decrease) in net assets | (12,142) | (12,391) | 11,778 | (1,020) | |||
Net Assets | |||||||
Beginning of period | 304,609 | 317,000 | 8,188 | 9,208 | |||
End of Period | $ 292,467 | $ 304,609 | $ 19,966 | $ 8,188 |
Table of Contents
Seix Short-Term Municipal Bond Fund | Seix Total Return Bond Fund | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 53 | $ 203 | $ 2,721 | $ 8,868 | |||
Net realized gain (loss) | 95 | 221 | 13,823 | 19,672 | |||
Net change in unrealized appreciation (depreciation) | 127 | 166 | 9,535 | (678) | |||
Increase (decrease) in net assets resulting from operations | 275 | 590 | 26,079 | 27,862 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (7) | (37) | (154) | (123) | |||
Class I | (58) | (317) | (1,887) | (4,117) | |||
Class R | — | — | — | (229) | |||
Class R6 | — | — | (507) | (1,061) | |||
Return of Capital: | |||||||
Class A | — | — | — | (61) | |||
Class I | — | — | — | (1,635) | |||
Class R | — | — | — | (149) | |||
Class R6 | — | — | — | (375) | |||
Total Dividends and Distributions to Shareholders | (65) | (354) | (2,548) | (7,750) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (7) | 106 | (7,487) | 13,692 | |||
Class I | 1,784 | (8,428) | 51,623 | (130,692) | |||
Class R | — | — | — | (28,882) | |||
Class R6 | — | — | (7,038) | (12,799) | |||
Increase (decrease) in net assets from capital transactions | 1,777 | (8,322) | 37,098 | (158,681) | |||
Net increase (decrease) in net assets | 1,987 | (8,086) | 60,629 | (138,569) | |||
Net Assets | |||||||
Beginning of period | 12,368 | 20,454 | 306,210 | 444,779 | |||
End of Period | $ 14,355 | $ 12,368 | $ 366,839 | $ 306,210 |
Table of Contents
Seix U.S. Government Securities Ultra-Short Bond Fund | Seix U.S. Mortgage Fund | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 5,810 | $ 28,891 | $ 107 | $ 472 | |||
Net realized gain (loss) | (227) | 234 | 194 | 334 | |||
Net change in unrealized appreciation (depreciation) | 3,315 | 927 | 265 | 516 | |||
Increase (decrease) in net assets resulting from operations | 8,898 | 30,052 | 566 | 1,322 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (82) | (174) | (42) | (125) | |||
Class C | — | — | (1) | (9) | |||
Class I | (5,624) | (28,008) | (84) | (339) | |||
Class R6 | (129) | (716) | — | — | |||
Return of Capital: | |||||||
Class A | — | — | — | (5) | |||
Class C | — | — | — | — (1) | |||
Class I | — | — | — | (12) | |||
Total Dividends and Distributions to Shareholders | (5,835) | (28,898) | (127) | (490) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | 6,437 | 8,243 | 154 | 2,692 | |||
Class C | — | — | 171 | (2,813) | |||
Class I | 148,114 | (369,064) | (1,827) | (3,711) | |||
Class R6 | (13,717) | (7,433) | — | — | |||
Increase (decrease) in net assets from capital transactions | 140,834 | (368,254) | (1,502) | (3,832) | |||
Net increase (decrease) in net assets | 143,897 | (367,100) | (1,063) | (3,000) | |||
Net Assets | |||||||
Beginning of period | 903,810 | 1,270,910 | 21,516 | 24,516 | |||
End of Period | $ 1,047,707 | $ 903,810 | $ 20,453 | $ 21,516 |
(1) | Amount is less than $500. |
Table of Contents
Seix Ultra-Short Bond Fund | |||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $ 381 | $ 1,464 | |
Net realized gain (loss) | (562) | (6) | |
Net change in unrealized appreciation (depreciation) | 70 | 250 | |
Increase (decrease) in net assets resulting from operations | (111) | 1,708 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (22) | (42) | |
Class I | (357) | (1,420) | |
Total Dividends and Distributions to Shareholders | (379) | (1,462) | |
Change in Net Assets from Capital Transactions (See Note 6): | |||
Class A | (143) | 1,408 | |
Class I | (5,773) | (12,099) | |
Increase (decrease) in net assets from capital transactions | (5,916) | (10,691) | |
Net increase (decrease) in net assets | (6,406) | (10,445) | |
Net Assets | |||
Beginning of period | 51,294 | 61,739 | |
End of Period | $ 44,888 | $ 51,294 |
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(3) | ||
Seix Core Bond Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/20 to 6/30/20(6) | $10.91 | 0.08 | 0.71 | 0.79 | (0.08) | — | — | (0.08) | 0.71 | 11.62 | 7.23 % | $ 10,490 | 0.64 % | 0.93 % | 1.35 % | 155 % | |
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(7) | 10.56 | 0.14 | 0.08 | 0.22 | (0.12) | (0.03) | — | (0.15) | 0.07 | 10.63 | 2.12 | 8,433 | 0.65 (8) | 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 | |||||||||||||||||
1/1/20 to 6/30/20(6) | $10.91 | 0.08 | 0.71 | 0.79 | (0.08) | — | — | (0.08) | 0.71 | 11.62 | 7.30 % | $ 154,023 | 0.50 % | 0.65 % | 1.44 % | 155 % | |
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(7) | 10.57 | 0.15 | 0.07 | 0.22 | (0.13) | (0.03) | — | (0.16) | 0.06 | 10.63 | 2.13 | 186,029 | 0.51 (8) | 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* | |||||||||||||||||
1/1/20 to 6/30/20(6) | $10.91 | 0.09 | 0.72 | 0.81 | (0.09) | — | — | (0.09) | 0.72 | 11.63 | 7.47 % | $ 2,087 | 0.36 % | 0.51 % | 1.64 % | 155 % | |
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(7) | 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(9) | 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 | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 8.95 | 0.10 | 0.81 | 0.91 | (0.10) | — | (0.08) | (0.18) | 0.73 | 9.68 | 10.14 % | $ 5,762 | 0.95 % | 1.07 % | 2.28 % | 130 % | |
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(7) | 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 | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 8.91 | 0.07 | 0.81 | 0.88 | (0.07) | — | (0.08) | (0.15) | 0.73 | 9.64 | 9.81 % | $ 664 | 1.65 % | 1.82 % | 1.58 % | 130 % | |
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(7) | 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 |
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(3) | ||
Seix Corporate Bond Fund (Continued) | |||||||||||||||||
Class I | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 8.90 | 0.11 | 0.81 | 0.92 | (0.11) | — | (0.08) | (0.19) | 0.73 | 9.63 | 10.33 % | $ 68,140 | 0.70 % | 0.84 % | 2.52 % | 130 % | |
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(7) | 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 | |
Seix Floating Rate High Income Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 8.40 | 0.16 | (0.64) | (0.48) | (0.16) | — | — | (0.16) | (0.64) | 7.76 | (5.76) % | $ 35,627 | 0.96 % (10) | 0.97 % | 4.01 % | 31 % | |
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 (10)(11) | 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(7) | 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 | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 8.40 | 0.13 | (0.64) | (0.51) | (0.13) | — | — | (0.13) | (0.64) | 7.76 | (6.04) % | $ 27,273 | 1.54 % (10) | 1.68 % | 3.44 % | 31 % | |
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(7) | 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 | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 8.40 | 0.17 | (0.64) | (0.47) | (0.17) | — | — | (0.17) | (0.64) | 7.76 | (5.62) % | $1,715,154 | 0.64 % (10) | 0.75 % | 4.33 % | 31 % | |
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(7) | 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 |
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(3) | ||
Seix Floating Rate High Income Fund (Continued) | |||||||||||||||||
Class R6* | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 8.40 | 0.17 | (0.63) | (0.46) | (0.17) | — | — | (0.17) | (0.63) | 7.77 | (5.57) % | $ 203,094 | 0.54 % (10) | 0.63 % | 4.46 % | 31 % | |
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(7) | 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(12) | 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 | |||||||||||||||||
1/1/20 to 6/30/20(6) | $12.05 | 0.07 | 0.42 | 0.49 | (0.07) | — | (0.05) | (0.12) | 0.37 | 12.42 | 4.04 % | $ 7,093 | 0.75 % | 0.95 % | 1.15 % | 162 % | |
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 (8) | 0.95 | 2.63 | 130 | |
4/1/17 to 12/31/17(7) | 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 | |
Class I | |||||||||||||||||
1/1/20 to 6/30/20(6) | $12.05 | 0.08 | 0.42 | 0.50 | (0.08) | — | (0.05) | (0.13) | 0.37 | 12.42 | 4.12 % | $ 63,509 | 0.60 % | 0.85 % | 1.29 % | 162 % | |
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 (8) | 0.85 | 2.77 | 130 | |
4/1/17 to 12/31/17(7) | 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 | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 6.33 | 0.16 | (0.43) | (0.27) | (0.16) | — | — | (0.16) | (0.43) | 5.90 | (4.44) % | $ 19,840 | 0.93 % | 1.15 % | 5.28 % | 114 % | |
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 (8) | 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(7) | 6.46 | 0.28 | 0.07 | 0.35 | (0.28) | — (13) | — | (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 |
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(3) | ||
Seix High Income Fund (Continued) | |||||||||||||||||
Class I | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 6.33 | 0.16 | (0.44) | (0.28) | (0.16) | — | — | (0.16) | (0.44) | 5.89 | (4.34) % | $ 170,627 | 0.68 % | 0.92 % | 5.51 % | 114 % | |
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 (8) | 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(7) | 6.46 | 0.29 | 0.06 | 0.35 | (0.29) | — (13) | — | (0.29) | 0.06 | 6.52 | 5.53 | 390,665 | 0.81 (8) | 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* | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 6.32 | 0.16 | (0.42) | (0.26) | (0.17) | — | — | (0.17) | (0.43) | 5.89 | (4.14) % | $ 7,917 | 0.59 % | 0.77 % | 5.40 % | 114 % | |
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 (8) | 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(7) | 6.45 | 0.30 | 0.07 | 0.37 | (0.30) | — (13) | — | (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(14) | 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 | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 8.19 | 0.18 | (0.26) | (0.08) | (0.18) | — | — | (0.18) | (0.26) | 7.93 | (0.91) % | $ 6,504 | 0.82 % | 1.03 % | 4.63 % | 121 % | |
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(7) | 8.16 | 0.34 | 0.03 | 0.37 | (0.30) | (0.02) | — | (0.32) | 0.05 | 8.21 | 4.63 | 4,810 | 0.83 (8) | 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 | |
Class I | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 8.41 | 0.20 | (0.29) | (0.09) | (0.19) | — | — | (0.19) | (0.28) | 8.13 | (0.97) % | $ 285,535 | 0.64 % | 0.77 % | 4.88 % | 121 % | |
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(7) | 8.37 | 0.34 | 0.04 | 0.38 | (0.32) | (0.02) | — | (0.34) | 0.04 | 8.41 | 4.64 | 403,198 | 0.65 (8) | 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* | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 8.41 | 0.20 | (0.28) | (0.08) | (0.20) | — | — | (0.20) | (0.28) | 8.13 | (0.92) % | $ 9,458 | 0.53 % | 0.66 % | 5.01 % | 121 % | |
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(7) | 8.37 | 0.35 | 0.05 | 0.40 | (0.33) | (0.02) | — | (0.35) | 0.05 | 8.42 | 4.85 | 45,035 | 0.54 (8) | 0.62 | 5.50 | 41 | |
8/1/16 to 3/31/17(15) | 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 |
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(3) | ||
Seix Investment Grade Tax-Exempt Bond Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/20 to 6/30/20(6) | $11.72 | 0.06 | 0.36 | 0.42 | (0.06) | — | (0.04) | (0.10) | 0.32 | 12.04 | 3.54 % | $ 8,579 | 0.73 % | 1.01 % | 0.99 % | 115 % | |
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 (8) | 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 (8) | 1.00 | 2.47 | 105 | |
4/1/17 to 12/31/17(7) | 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 | |||||||||||||||||
1/1/20 to 6/30/20(6) | $11.70 | 0.07 | 0.36 | 0.43 | (0.07) | — | (0.04) | (0.11) | 0.32 | 12.02 | 3.62 % | $ 283,888 | 0.58 % | 0.81 % | 1.14 % | 115 % | |
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 (8) | 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 (8) | 0.80 | 2.61 | 105 | |
4/1/17 to 12/31/17(7) | 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 | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 9.96 | 0.04 | 0.28 | 0.32 | (0.05) | — | — | (0.05) | 0.27 | 10.23 | 3.22 % | $ 6,910 | 0.80 % | 1.26 % | 0.80 % | 75 % | |
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(7) | 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 | |
Class C | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 9.96 | 0.01 | 0.26 | 0.27 | (0.01) | — | — | (0.01) | 0.26 | 10.22 | 2.76 % | $ 1,784 | 1.50 % | 2.06 % | 0.16 % | 75 % | |
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(7) | 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 | — (13) | (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 | — | — (13) | — | — | — (13) | — | 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 | — (13) | — | — | — (13) | 0.03 | 10.00 | 0.31 | 1,730 | 1.22 | 1.58 | (0.06) | 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(3) | ||
Seix Short-Term Bond Fund (Continued) | |||||||||||||||||
Class I | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 9.93 | 0.06 | 0.27 | 0.33 | (0.06) | — | — | (0.06) | 0.27 | 10.20 | 3.33 % | $ 11,272 | 0.60 % | 1.10 % | 1.13 % | 75 % | |
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(7) | 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 | |||||||||||||||||
1/1/20 to 6/30/20(6) | $10.03 | 0.03 | 0.16 | 0.19 | (0.03) | — | (0.01) | (0.04) | 0.15 | 10.18 | 1.93 % | $ 1,550 | 0.65 % | 1.22 % | 0.69 % | 93 % | |
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) | — | — (13) | (0.10) | 0.01 | 9.92 | 1.10 | 1,411 | 0.65 | 1.05 | 0.96 | 50 | |
4/1/17 to 12/31/17(7) | 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 | — (13) | 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 | |||||||||||||||||
1/1/20 to 6/30/20(6) | $10.04 | 0.04 | 0.15 | 0.19 | (0.04) | — | (0.01) | (0.05) | 0.14 | 10.18 | 1.92 % | $ 12,805 | 0.48 % | 1.10 % | 0.84 % | 93 % | |
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) | — | — (13) | (0.11) | 0.02 | 9.93 | 1.37 | 19,043 | 0.48 | 0.89 | 1.12 | 50 | |
4/1/17 to 12/31/17(7) | 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 | — (13) | 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 | |||||||||||||||||
1/1/20 to 6/30/20(6) | $11.03 | 0.08 | 0.87 | 0.95 | (0.08) | — | — | (0.08) | 0.87 | 11.90 | 8.60 % | $ 19,136 | 0.70 % | 0.85 % | 1.47 % | 127 % | |
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(7) | 10.77 | 0.15 | — | 0.15 | (0.09) | (0.06) | — | (0.15) | — | 10.77 | 1.37 | 13,227 | 0.71 (8) | 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(3) | ||
Seix Total Return Bond Fund (Continued) | |||||||||||||||||
Class I | |||||||||||||||||
1/1/20 to 6/30/20(6) | $10.68 | 0.09 | 0.84 | 0.93 | (0.09) | — | — | (0.09) | 0.84 | 11.52 | 8.70 % | $ 289,018 | 0.46 % | 0.58 % | 1.68 % | 127 % | |
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(7) | 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* | |||||||||||||||||
1/1/20 to 6/30/20(6) | $10.67 | 0.10 | 0.84 | 0.94 | (0.10) | — | — | (0.10) | 0.84 | 11.51 | 8.79 % | $ 58,685 | 0.31 % | 0.46 % | 1.85 % | 127 % | |
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(7) | 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(14) | 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 | |||||||||||||||||
1/1/20 to 6/30/20(6) | $10.00 | 0.05 | 0.03 | 0.08 | (0.05) | — | — | (0.05) | 0.03 | 10.03 | 0.83 % | $ 20,237 | 0.66 % | 0.66 % | 1.01 % | 29 % | |
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 (16) | 0.65 | 1.91 �� | 63 | |
7/24/18 to 12/31/18(17) | 10.00 | 0.09 | (0.01) | 0.08 | (0.08) | (0.01) | — | (0.09) | (0.01) | 9.99 | 0.79 | 5,497 | 0.63 (16) | 0.63 | 2.10 | 28 (18) | |
Class I | |||||||||||||||||
1/1/20 to 6/30/20(6) | $10.00 | 0.06 | 0.04 | 0.10 | (0.07) | — | — | (0.07) | 0.03 | 10.03 | 0.95 % | $1,015,601 | 0.41 % | 0.49 % | 1.28 % | 29 % | |
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(7) | 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* | |||||||||||||||||
1/1/20 to 6/30/20(6) | $10.01 | 0.08 | 0.02 | 0.10 | (0.07) | — | — | (0.07) | 0.03 | 10.04 | 1.03 % | $ 11,869 | 0.26 % | 0.38 % | 1.58 % | 29 % | |
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(7) | 10.04 | 0.10 | — (13) | 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(15) | 10.04 | 0.08 | — | 0.08 | (0.08) | — | — | (0.08) | — | 10.04 | 0.77 | 32,657 | 0.26 | 0.26 | 1.12 | 77 |
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(3) | ||
Seix U.S. Mortgage Fund | |||||||||||||||||
Class A | |||||||||||||||||
1/1/20 to 6/30/20(6) | $11.28 | 0.06 | 0.28 | 0.34 | (0.07) | — | — | (0.07) | 0.27 | 11.55 | 3.01 % | $ 6,976 | 0.90 % | 1.74 % | 1.01 % | 34 % | |
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(7) | 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 | |
Class C | |||||||||||||||||
1/1/20 to 6/30/20(6) | $11.30 | 0.01 | 0.29 | 0.30 | (0.03) | — | — | (0.03) | 0.27 | 11.57 | 2.62 % | $ 564 | 1.65 % | 1.96 % | 0.18 % | 34 % | |
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(7) | 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 | — (13) | 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 | |||||||||||||||||
1/1/20 to 6/30/20(6) | $11.30 | 0.07 | 0.28 | 0.35 | (0.08) | — | — | (0.08) | 0.27 | 11.57 | 3.10 % | $ 12,913 | 0.70 % | 1.10 % | 1.17 % | 34 % | |
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(7) | 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 | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 9.96 | 0.07 | (0.02) | 0.05 | (0.07) | — | — | (0.07) | (0.02) | 9.94 | 0.47 % | $ 2,944 | 0.65 % | 0.85 % | 1.37 % | 62 % | |
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(17) | 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 (18) | |
Class I | |||||||||||||||||
1/1/20 to 6/30/20(6) | $ 9.95 | 0.08 | (0.02) | 0.06 | (0.08) | — | — | (0.08) | (0.02) | 9.93 | 0.59 % | $ 41,944 | 0.40 % | 0.62 % | 1.62 % | 62 % | |
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(7) | 9.96 | 0.11 | 0.01 | 0.12 | (0.11) | — | — | (0.11) | 0.01 | 9.97 | 1.21 | 59,548 | 0.42 (8) | 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 | — (13) | 0.06 | (0.07) | — | — | (0.07) | (0.01) | 9.97 | 0.55 | 142,680 | 0.37 | 0.37 | 0.57 | 54 |
Table of Contents
Footnote Legend: | |
* | On September 18, 2017, Class IS shares were renamed Class R6 shares. |
(1) | Calculated using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | Not annualized for periods less than one year. |
(4) | Annualized for periods less than one year. |
(5) | The Funds will also indirectly bear their prorated share of expenses of any underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | The Fund changed its fiscal year end to December 31 during the period. |
(8) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(9) | Class R6 (formerly IS) commenced operations on August 3, 2015 for the predecessor fund (see Note 1). |
(10) | Ratios of total expenses excluding interest expense on borrowings for the six months ended June 30, 2020 and the year ended December 31, 2019 were 0.94% (Class A), 1.52% (Class C), 0.62% (Class I) and 0.52% (Class R6). |
(11) | See Note 4D in the Notes to Financial Statements for information on recapture of expenses previously reimbursed. |
(12) | Class R6 (formerly IS) commenced operations on February 2, 2015 for the predecessor fund (see Note 1). |
(13) | Amount is less than $0.005 per share. |
(14) | Class R6 (formerly IS) commenced operations on August 1, 2014 for the predecessor fund (see Note 1). |
(15) | Class R6 (formerly IS) commenced operations on August 1, 2016 for the predecessor fund (see Note 1). |
(16) | The share class is currently under its expense limitation. |
(17) | Class A commenced operations on July 24, 2018. |
(18) | Portfolio turnover is representative of the Fund for the entire period. |
Table of Contents
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 |
Fund | Investment objective(s) | |
Seix Core Bond Fund | Seeking to maximize long term total return through a combination of current income and capital appreciation, consistent with capital preservation. | |
Seix Corporate Bond Fund | Seeking to maximize long term total return through a combination of current income and capital appreciation, consistent with capital preservation. | |
Seix Floating Rate High Income Fund | Attempting to provide a high level of current income. | |
Seix High Grade Municipal Bond Fund | Seeking to maximize total return through (i) current income that is exempt from federal income taxes and (ii) capital appreciation consistent with capital preservation. | |
Seix High Income Fund | Seeking high current income and, secondarily, total return (comprised of capital appreciation and income). | |
Seix High Yield Fund | Seeking high income and, secondarily, capital appreciation. | |
Seix Investment Grade Tax-Exempt Bond Fund | 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. | |
Seix Short-Term Bond Fund | Seeking to maximize long term total return through a combination of current income and capital appreciation, consistent with capital preservation. | |
Seix Short-Term Municipal Bond Fund | Seeking to maximize total return through (i) current income that is exempt from federal income taxes and (ii) capital appreciation consistent with capital preservation. | |
Seix Total Return Bond Fund | Seeking to maximize long term total return through a combination of current income and capital appreciation, consistent with capital preservation. | |
Seix U.S. Government Securities Ultra-Short Bond Fund | Seeking to maximize current income consistent with capital preservation. | |
Seix U.S. Mortgage Fund | Seeking to maximize long term total return through a combination of current income and capital appreciation, consistent with capital preservation. | |
Seix Ultra-Short Bond Fund | Seeking to maximize current income consistent with capital preservation. |
Table of Contents
A. | Security Valuation |
Each Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Funds’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
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B. | Security Transactions and Investment Income |
C. | Income Taxes |
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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. | |
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. |
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Unfunded Loan Commitment | ||
Borrower | Seix Floating Rate High Income Fund | |
Intelsat Jackson Holdings S.A. | $1,235 | |
Pathway Vet Alliance LLC | 58 | |
U.S. Silica Co. | 1,127 |
J. | Securities Lending |
The Funds may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities a Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by each Fund under Master Securities Lending Agreements (“MSLA”) which permit the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
Effective March 13, 2020, the securities lending program was put on hold and all securities on loan were recalled. |
A. | 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. |
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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. | |
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 June 30, 2020: |
The Effect of Derivative Financial Instruments in the Statements of Operations for the Six Months Ended June 30, 2020 | |||||
Net Realized Gain (Loss) From | |||||
Seix Corporate Bond Fund | Seix Total Return Bond Fund | ||||
Foreign currency exchange contracts: | |||||
Forward foreign currency transactions(1) | $ — | $(1,454) | |||
Credit contracts: | |||||
Swaps (2) | 316 | 2,099 | |||
Total | $316 | $ 645 |
(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. |
The Effect of Derivative Financial Instruments in the Statements of Operations for the Six Months Ended June 30, 2020 | |||||
Net Change in Unrealized Appreciation/(Depreciation) on | |||||
Seix Corporate Bond Fund | Seix Total Return Bond Fund | ||||
Credit contracts: | |||||
Swaps (1) | $193 | $1,360 | |||
Total | $193 | $1,360 |
(1) Included in net change in unrealized appreciation (depreciation) from swaps within the Statement of Operations. |
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Seix Corporate Bond Fund | Seix Total Return Bond Fund | ||
Forward Foreign Currency Exchange Purchase Contracts(1) | $ — | $ 5,143 | |
Forward Foreign Currency Exchange Sale Contracts(2) | — | (5,146) | |
Credit Default Swap Agreements - Buy Protection(3) | 2,956 | 22,097 |
(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. | |
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. |
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. |
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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 Limitations |
The Adviser has contractually agreed to limit each Fund’s annual total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily net assets through April 30, 2021. 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 | ||||
Seix High Income Fund | 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 | 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 |
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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 | 2023 | Total | |||||
Seix Core Bond Fund | ||||||||||
Class A | $ 10 | $ 19 | $ 17 | $ 14 | $ 60 | |||||
Class I | 112 | 190 | 174 | 72 | 548 | |||||
Class R6 | 2 | 3 | 1 | 2 | 8 | |||||
Seix Corporate Bond Fund | ||||||||||
Class A | 1 | 1 | 8 | 3 | 13 | |||||
Class C | 16 | 28 | 2 | 1 | 47 | |||||
Class I | 31 | 53 | 61 | 29 | 174 | |||||
Seix Floating Rate High Income Fund | ||||||||||
Class A | — | — | — (1) | 3 | 3 | |||||
Class C | 15 | 49 | 51 | 22 | 137 | |||||
Class I | 2,267 | 3,727 | 3,400 | 1,207 | 10,601 | |||||
Class R6 | 709 | 733 | 514 | 198 | 2,154 | |||||
Seix High Grade Municipal Bond Fund | ||||||||||
Class A | 7 | 11 | 16 | 6 | 40 | |||||
Class I | 78 | 135 | 132 | 73 | 418 | |||||
Seix High Income Fund | ||||||||||
Class A | 14 | 17 | 26 | 23 | 80 | |||||
Class I | 179 | 282 | 413 | 229 | 1,103 | |||||
Class R6 | 3 | 6 | 46 | 18 | 73 | |||||
Seix High Yield Fund | ||||||||||
Class A | 4 | 8 | 8 | 4 | 24 | |||||
Class I | 263 | 422 | 391 | 183 | 1,259 | |||||
Class R6 | 25 | 13 | 2 | 4 | 44 | |||||
Seix Investment Grade Tax-Exempt Bond Fund | ||||||||||
Class A | 12 | 22 | 25 | 12 | 71 | |||||
Class I | 338 | 616 | 672 | 336 | 1,962 | |||||
Seix Short-Term Bond Fund | ||||||||||
Class A | 7 | 17 | 24 | 17 | 65 | |||||
Class C | 2 | 8 | 9 | 4 | 23 | |||||
Class I | 56 | 57 | 51 | 16 | 180 | |||||
Seix Short-Term Municipal Bond Fund | ||||||||||
Class A | 3 | 6 | 8 | 4 | 21 | |||||
Class I | 61 | 95 | 78 | 35 | 269 | |||||
Seix Total Return Bond Fund | ||||||||||
Class A | 17 | 19 | 26 | 17 | 79 | |||||
Class I | 334 | 485 | 362 | 142 | 1,323 | |||||
Class R6 | 77 | 162 | 92 | 42 | 373 | |||||
Seix U.S. Government Securities Ultra-Short Bond Fund | ||||||||||
Class A | — | — | — | — (1) | — (1) | |||||
Class I | 560 | 1,107 | 1,095 | 362 | 3,124 | |||||
Class R6 | 28 | 42 | 34 | 10 | 114 | |||||
Seix U.S. Mortgage Fund | ||||||||||
Class A | 13 | 35 | 53 | 29 | 130 | |||||
Class C | 5 | 12 | 2 | 1 | 20 | |||||
Class I | 41 | 69 | 63 | 24 | 197 | |||||
Seix Ultra-Short Bond Fund | ||||||||||
Class A | — | 1 | 4 | 3 | 8 | |||||
Class I | 68 | 120 | 125 | 49 | 362 |
(1) | Amount is less than $500. |
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Fund | Class A | |
Seix Floating Rate High Income Fund | $ — (1) | |
Seix U.S. Government Securities Ultra-Short Bond Fund | — (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 June 30, 2020, it retained net commissions of $15 for Class A shares and CDSC of $1 and $2 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 June 30, 2020, the Funds incurred administration fees totaling $2,365 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 June 30, 2020, the Funds incurred transfer agent fees totaling $1,061 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 June 30, 2020. |
Purchases | Sales | ||
Seix Core Bond Fund | $ 44,895 | $ 17,524 | |
Seix Corporate Bond Fund | 86,513 | 56,138 | |
Seix Floating Rate High Income Fund | 780,255 | 1,800,550 | |
Seix High Grade Municipal Bond Fund | 114,320 | 98,712 | |
Seix High Income Fund | 255,659 | 331,974 | |
Seix High Yield Fund | 360,778 | 341,501 | |
Seix Investment Grade Tax-Exempt Bond Fund | 333,526 | 325,697 | |
Seix Short-Term Bond Fund | 5,308 | 738 | |
Seix Short-Term Municipal Bond Fund | 11,694 | 10,084 | |
Seix Total Return Bond Fund | 112,781 | 51,427 | |
Seix U.S. Government Securities Ultra-Short Bond Fund | 10,851 | — | |
Seix Ultra-Short Bond Fund | 24,811 | 20,351 |
Purchases | Sales | ||
Seix Core Bond Fund | $139,722 | $148,717 | |
Seix Corporate Bond Fund | 7,222 | 7,215 |
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Purchases | Sales | ||
Seix Short-Term Bond Fund | $ 16,311 | $ 9,875 | |
Seix Total Return Bond Fund | 279,086 | 355,890 | |
Seix U.S. Government Securities Ultra-Short Bond Fund | 405,669 | 243,532 | |
Seix U.S. Mortgage Fund | 6,299 | 9,106 | |
Seix Ultra-Short Bond Fund | 940 | 12,779 |
Seix Core Bond Fund | Seix Corporate Bond Fund | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 200 | $ 2,273 | 351 | $ 3,828 | 116 | $ 1,083 | 716 | $ 5,945 | |||||||
Reinvestment of distributions | 5 | 53 | 9 | 99 | 10 | 99 | 14 | 122 | |||||||
Shares repurchased and cross class conversions | (144) | (1,636) | (97) | (1,037) | (157) | (1,436) | (147) | (1,286) | |||||||
Net Increase / (Decrease) | 61 | $ 690 | 263 | $ 2,890 | (31) | $ (254) | 583 | $ 4,781 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | — | $ — | — | $ — | 20 | $ 189 | 19 | $ 169 | |||||||
Reinvestment of distributions | — | — | — | — | 1 | 9 | 1 | 12 | |||||||
Shares repurchased and cross class conversions | — | — | — | — | (27) | (249) | (618) | (5,033) | |||||||
Net Increase / (Decrease) | — | $ — | — | $ — | (6) | $ (51) | (598) | $ (4,852) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 8,234 | $ 94,572 | 1,130 | $ 12,114 | 3,532 | $ 33,362 | 1,514 | $ 13,159 | |||||||
Reinvestment of distributions | 60 | 690 | 236 | 2,528 | 107 | 1,010 | 113 | 977 | |||||||
Shares repurchased and cross class conversions | (3,617) | (40,699) | (5,940) | (63,826) | (258) | (2,395) | (2,278) | (19,873) | |||||||
Net Increase / (Decrease) | 4,677 | $ 54,563 | (4,574) | $ (49,184) | 3,381 | $ 31,977 | (651) | $ (5,737) | |||||||
Class R | |||||||||||||||
Shares sold and cross class conversions | — | $ — | 15 | $ 159 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | — | — | 4 | 45 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | — | — | (317) | (3,466) | — | — | — | — | |||||||
Net Increase / (Decrease) | — | $ — | (298) | $ (3,262) | — | $ — | — | $ — | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 14 | $ 166 | 179 | $ 1,952 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | 1 | 17 | 1 | 7 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (21) | (252) | (5) | (53) | — | — | — | — | |||||||
Net Increase / (Decrease) | (6) | $ (69) | 175 | $ 1,906 | — | $ — | — | $ — |
Table of Contents
Seix Floating Rate High Income Fund | Seix High Grade Municipal Bond Fund | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 566 | $ 4,509 | 1,755 | $ 14,862 | 39 | $ 476 | 69 | $ 830 | |||||||
Reinvestment of distributions | 90 | 701 | 264 | 2,236 | 5 | 64 | 21 | 258 | |||||||
Shares repurchased and cross class conversions | (1,772) | (13,640) | (4,530) | (38,341) | (45) | (549) | (101) | (1,223) | |||||||
Net Increase / (Decrease) | (1,116) | $ (8,430) | (2,511) | $ (21,243) | (1) | $ (9) | (11) | $ (135) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 79 | $ 627 | 573 | $ 4,850 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | 60 | 468 | 192 | 1,628 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (1,099) | (8,616) | (1,783) | (15,071) | — | — | — | — | |||||||
Net Increase / (Decrease) | (960) | $ (7,521) | (1,018) | $ (8,593) | — | $ — | — | $ — | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 55,136 | $ 432,178 | 88,463 | $ 749,789 | 1,290 | $ 15,759 | 1,646 | $ 19,860 | |||||||
Reinvestment of distributions | 5,018 | 39,102 | 18,983 | 160,882 | 40 | 496 | 125 | 1,502 | |||||||
Shares repurchased and cross class conversions | (160,741) | (1,221,101) | (313,658) | (2,656,616) | (639) | (7,716) | (941) | (11,282) | |||||||
Net Increase / (Decrease) | (100,587) | $ (749,821) | (206,212) | $ (1,745,945) | 691 | $ 8,539 | 830 | $ 10,080 | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 1,560 | $ 12,742 | 37,802 | $ 320,528 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | 881 | 6,852 | 2,676 | 22,663 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (42,020) | (326,190) | (71,688) | (608,050) | — | — | — | — | |||||||
Net Increase / (Decrease) | (39,579) | $ (306,596) | (31,210) | $ (264,859) | — | $ — | — | $ — |
Seix High Income Fund | Seix High Yield Fund | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 215 | $ 1,290 | 2,702 | $ 16,827 | 509 | $ 4,013 | 611 | $ 4,900 | |||||||
Reinvestment of distributions | 89 | 521 | 130 | 816 | 10 | 75 | 19 | 153 | |||||||
Shares repurchased and cross class conversions | (942) | (5,677) | (1,236) | (7,755) | (262) | (2,132) | (447) | (3,589) | |||||||
Net Increase / (Decrease) | (638) | $ (3,866) | 1,596 | $ 9,888 | 257 | $ 1,956 | 183 | $ 1,464 | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 4,038 | $ 23,256 | 7,914 | $ 49,385 | 10,820 | $ 85,096 | 7,527 | $ 62,140 | |||||||
Reinvestment of distributions | 888 | 5,178 | 2,175 | 13,628 | 735 | 5,891 | 1,570 | 12,975 | |||||||
Shares repurchased and cross class conversions | (12,980) | (75,175) | (17,508) | (109,473) | (11,206) | (87,934) | (11,029) | (91,170) | |||||||
Net Increase / (Decrease) | (8,054) | $ (46,741) | (7,419) | $ (46,460) | 349 | $ 3,053 | (1,932) | $ (16,055) |
Table of Contents
Seix High Income Fund | Seix High Yield Fund | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class R | |||||||||||||||
Shares sold and cross class conversions | — | $ — | 299 | $ 1,870 | — | $ — | 2 | $ 17 | |||||||
Reinvestment of distributions | — | — | 74 | 462 | — | — | — (1) | 2 | |||||||
Shares repurchased and cross class conversions | — | — | (2,248) | (13,993) | — | — | (9) | (75) | |||||||
Net Increase / (Decrease) | — | $ — | (1,875) | $ (11,661) | — | $ — | (7) | $ (56) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 754 | $ 4,587 | 5,927 | $ 36,986 | 526 | $ 4,160 | 558 | $ 4,670 | |||||||
Reinvestment of distributions | 13 | 79 | 29 | 185 | 7 | 59 | 6 | 47 | |||||||
Shares repurchased and cross class conversions | (5,260) | (29,470) | (948) | (5,931) | (41) | (329) | (22) | (180) | |||||||
Net Increase / (Decrease) | (4,493) | $ (24,804) | 5,008 | $ 31,240 | 492 | $ 3,890 | 542 | $ 4,537 |
Seix Investment Grade Tax-Exempt Bond Fund | Seix Short-Term Bond Fund | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 12 | $ 135 | 44 | $ 512 | 1,051 | $ 10,608 | 83 | $ 816 | |||||||
Reinvestment of distributions | 5 | 62 | 27 | 314 | 3 | 28 | 4 | 40 | |||||||
Shares repurchased and cross class conversions | (100) | (1,103) | (148) | (1,756) | (609) | (6,209) | (62) | (616) | |||||||
Net Increase / (Decrease) | (83) | $ (906) | (77) | $ (930) | 445 | $ 4,427 | 25 | $ 240 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | — | $ — | — | $ — | 177 | $ 1,791 | 27 | $ 266 | |||||||
Reinvestment of distributions | — | — | — | — | — (1) | 1 | 1 | 8 | |||||||
Shares repurchased and cross class conversions | — | — | — | — | (76) | (778) | (103) | (1,013) | |||||||
Net Increase / (Decrease) | — | $ — | — | $ — | 101 | $ 1,014 | (75) | $ (739) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 4,914 | $ 58,118 | 6,119 | $ 71,920 | 709 | $ 7,203 | 32 | $ 321 | |||||||
Reinvestment of distributions | 146 | 1,747 | 781 | 9,159 | 3 | 34 | 9 | 92 | |||||||
Shares repurchased and cross class conversions | (6,676) | (78,172) | (8,526) | (100,551) | (126) | (1,270) | (106) | (1,045) | |||||||
Net Increase / (Decrease) | (1,616) | $ (18,307) | (1,626) | $ (19,472) | 586 | $ 5,967 | (65) | $ (632) |
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Seix Short-Term Municipal Bond Fund | Seix Total Return Bond Fund | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 9 | $ 89 | 51 | $ 512 | 715 | $ 8,350 | 2,054 | $ 22,739 | |||||||
Reinvestment of distributions | — (1) | 5 | 3 | 30 | 13 | 149 | 14 | 152 | |||||||
Shares repurchased and cross class conversions | (10) | (101) | (43) | (436) | (1,373) | (15,986) | (834) | (9,199) | |||||||
Net Increase / (Decrease) | (1) | $ (7) | 11 | $ 106 | (645) | $ (7,487) | 1,234 | $ 13,692 | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 386 | $ 3,870 | 91 | $ 924 | 10,136 | $ 115,134 | 3,913 | $ 40,873 | |||||||
Reinvestment of distributions | 5 | 57 | 31 | 309 | 166 | 1,870 | 540 | 5,680 | |||||||
Shares repurchased and cross class conversions | (213) | (2,143) | (961) | (9,661) | (5,815) | (65,381) | (16,875) | (177,245) | |||||||
Net Increase / (Decrease) | 178 | $ 1,784 | (839) | $ (8,428) | 4,487 | $ 51,623 | (12,422) | $ (130,692) | |||||||
Class R | |||||||||||||||
Shares sold and cross class conversions | — | $ — | — | $ — | — | $ — | 552 | $ 5,847 | |||||||
Reinvestment of distributions | — | — | — | — | — | — | 36 | 375 | |||||||
Shares repurchased and cross class conversions | — | — | — | — | — | — | (3,284) | (35,104) | |||||||
Net Increase / (Decrease) | — | $ — | — | $ — | — | $ — | (2,696) | $ (28,882) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | — | $ — | — | $ — | 248 | $ 2,808 | 3,554 | $ 36,876 | |||||||
Reinvestment of distributions | — | — | — | — | 39 | 443 | 117 | 1,226 | |||||||
Shares repurchased and cross class conversions | — | — | — | — | (934) | (10,289) | (4,869) | (50,901) | |||||||
Net Increase / (Decrease) | — | $ — | — | $ — | (647) | $ (7,038) | (1,198) | $ (12,799) |
Seix U.S. Government Securities Ultra-Short Bond Fund | Seix U.S. Mortgage Fund | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 1,125 | $ 11,258 | 1,940 | $ 19,389 | 79 | $ 900 | 303 | $ 3,320 | |||||||
Reinvestment of distributions | 8 | 80 | 17 | 167 | 3 | 37 | 11 | 119 | |||||||
Shares repurchased and cross class conversions | (490) | (4,901) | (1,132) | (11,313) | (68) | (783) | (67) | (747) | |||||||
Net Increase / (Decrease) | 643 | $ 6,437 | 825 | $ 8,243 | 14 | $ 154 | 247 | $ 2,692 |
Table of Contents
Seix U.S. Government Securities Ultra-Short Bond Fund | Seix U.S. Mortgage Fund | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | — | $ — | — | $ — | 22 | $ 253 | 3 | $ 31 | |||||||
Reinvestment of distributions | — | — | — | — | — (1) | 1 | 1 | 9 | |||||||
Shares repurchased and cross class conversions | — | — | — | — | (7) | (83) | (261) | (2,853) | |||||||
Net Increase / (Decrease) | — | $ — | — | $ — | 15 | $ 171 | (257) | $ (2,813) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 48,376 | $ 483,462 | 52,199 | $ 521,658 | 500 | $ 5,780 | 320 | $ 3,551 | |||||||
Reinvestment of distributions | 451 | 4,516 | 2,452 | 24,506 | 7 | 82 | 31 | 349 | |||||||
Shares repurchased and cross class conversions | (34,059) | (339,864) | (91,541) | (915,228) | (672) | (7,689) | (688) | (7,611) | |||||||
Net Increase / (Decrease) | 14,768 | $ 148,114 | (36,890) | $ (369,064) | (165) | $ (1,827) | (337) | $ (3,711) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 450 | $ 4,500 | 1,697 | $ 16,974 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | 9 | 89 | 49 | 493 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (1,827) | (18,306) | (2,489) | (24,900) | — | — | — | — | |||||||
Net Increase / (Decrease) | (1,368) | $ (13,717) | (743) | $ (7,433) | — | $ — | — | $ — |
Seix Ultra-Short Bond Fund | |||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Shares sold and cross class conversions | 128 | $ 1,273 | 279 | $ 2,780 | |||
Reinvestment of distributions | 2 | 22 | 4 | 40 | |||
Shares repurchased and cross class conversions | (146) | (1,438) | (142) | (1,412) | |||
Net Increase / (Decrease) | (16) | $ (143) | 141 | $ 1,408 | |||
Class I | |||||||
Shares sold and cross class conversions | 2,077 | $ 20,572 | 2,702 | $ 26,849 | |||
Reinvestment of distributions | 32 | 320 | 130 | 1,294 | |||
Shares repurchased and cross class conversions | (2,727) | (26,665) | (4,046) | (40,242) | |||
Net Increase / (Decrease) | (618) | $ (5,773) | (1,214) | $ (12,099) |
(1) | Amount is less than 500 shares. |
Table of Contents
% of Shares Outstanding | Number of Accounts* | ||
Seix Core Bond Fund | 57% | 3 | |
Seix Corporate Bond Fund | 80 | 3 | |
Seix Floating Rate High Income Fund | 38 | 2 | |
Seix High Grade Municipal Bond Fund | 56 | 2 | |
Seix High Income Fund | 50 | 1 | |
Seix High Yield Fund | 70 | 4 | |
Seix Investment Grade Tax-Exempt Bond Fund | 58 | 3 | |
Seix Short-Term Bond Fund | 49 | 3 | |
Seix Short-Term Municipal Bond Fund | 75 | 4 | |
Seix Total Return Bond Fund | 36 | 1 | |
Seix U.S. Government Securities Ultra-Short Bond Fund | 45 | 1 | |
Seix U.S. Mortgage Fund | 67 | 4 | |
Seix Ultra-Short Bond Fund | 54 | 2 |
* | None of the accounts are affiliated. |
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Fund | Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | ||||
Seix Floating Rate High Income Fund | $81 | $61,363 | 1.99% | 24 |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Seix Core Bond Fund | $ 153,790 | $ 3,939 | $ (209) | $ 3,730 | ||||
Seix Corporate Bond Fund | 77,947 | 3,462 | (10) | 3,452 | ||||
Seix Floating Rate High Income Fund | 2,128,505 | 3,810 | (233,085) | (229,275) | ||||
Seix High Grade Municipal Bond Fund | 69,787 | 2,861 | (10) | 2,851 | ||||
Seix High Income Fund | 201,286 | 5,376 | (12,813) | (7,437) | ||||
Seix High Yield Fund | 296,152 | 8,579 | (9,488) | (909) | ||||
Seix Investment Grade Tax-Exempt Bond Fund | 286,999 | 11,651 | (26) | 11,625 | ||||
Seix Short-Term Bond Fund | 19,224 | 348 | (2) | 346 | ||||
Seix Short-Term Municipal Bond Fund | 13,648 | 274 | — (1) | 274 | ||||
Seix Total Return Bond Fund | 335,329 | 14,694 | (953) | 13,741 | ||||
Seix U.S. Government Securities Ultra-Short Bond Fund | 1,028,887 | 7,469 | (810) | 6,659 | ||||
Seix U.S. Mortgage Fund | 18,890 | 769 | (1) | 768 | ||||
Seix Ultra-Short Bond Fund | 42,865 | 291 | (134) | 157 |
(1) | Amount is less than $500. |
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 | |||
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 |
Table of Contents
Late Year Ordinary Losses Deferred | Capital Loss Deferred | ||
Seix Core Bond Fund | $ — | $ 33 | |
Seix Floating Rate High Income Fund | — | 35,120 | |
Seix High Income Fund | — | 4,640 | |
Seix High Yield Fund | — | 206 | |
Seix Short-Term Municipal Bond Fund | — | 1 | |
Seix Total Return Bond Fund | 484 | 394 | |
Seix Ultra-Short Bond Fund | — | 1 |
Table of Contents
Table of Contents
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.
Table of Contents
please contact us at 1-800-243-1574, or Virtus.com.
8624 | 08-20 |
Table of Contents
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 |
Table of Contents
1 | ||
2 | ||
4 | ||
5 | ||
Fund | Schedule of Investments | |
6 | ||
7 | ||
9 | ||
10 | ||
11 | ||
12 | ||
14 | ||
15 | ||
18 | ||
20 | ||
24 | ||
30 | ||
41 |
Table of Contents
President, Virtus Funds
Table of Contents
Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Ceredex Large-Cap Value Equity Fund | ||||||||
Class A | $ 1,000.00 | $ 827.50 | 1.24 % | $ 5.63 | ||||
Class C | 1,000.00 | 825.50 | 1.72 | 7.81 | ||||
Class I | 1,000.00 | 828.30 | 0.97 | 4.41 | ||||
Class R6 | 1,000.00 | 829.30 | 0.72 | 3.27 | ||||
Ceredex Mid-Cap Value Equity Fund | ||||||||
Class A | 1,000.00 | 790.60 | 1.30 | 5.79 | ||||
Class C | 1,000.00 | 789.10 | 1.79 | 7.96 | ||||
Class I | 1,000.00 | 791.60 | 1.04 | 4.63 | ||||
Class R6 | 1,000.00 | 792.80 | 0.79 | 3.52 | ||||
Ceredex Small-Cap Value Equity Fund | ||||||||
Class A | 1,000.00 | 774.60 | 1.49 | 6.57 | ||||
Class C | 1,000.00 | 773.60 | 1.90 | 8.38 | ||||
Class I | 1,000.00 | 775.80 | 1.21 | 5.34 | ||||
Class R6 | 1,000.00 | 777.00 | 0.88 | 3.89 | ||||
SGA International Growth Fund | ||||||||
Class A | 1,000.00 | 1,001.40 | 1.39 | 6.92 | ||||
Class I | 1,000.00 | 1,003.20 | 1.14 | 5.68 | ||||
Class R6 | 1,000.00 | 1,003.20 | 1.04 | 5.18 | ||||
Silvant Large-Cap Growth Stock Fund | ||||||||
Class A | 1,000.00 | 1,100.80 | 1.23 | 6.42 | ||||
Class I | 1,000.00 | 1,103.70 | 0.97 | 5.07 | ||||
Class R6 | 1,000.00 | 1,103.80 | 0.90 | 4.71 | ||||
Silvant Small-Cap Growth Stock Fund | ||||||||
Class A | 1,000.00 | 1,013.90 | 1.27 | 6.36 | ||||
Class I | 1,000.00 | 1,013.60 | 1.15 | 5.76 | ||||
Zevenbergen Innovative Growth Stock Fund | ||||||||
Class A | 1,000.00 | 1,486.70 | 1.26 | 7.79 | ||||
Class I | 1,000.00 | 1,488.60 | 1.01 | 6.25 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
Table of Contents
Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Ceredex Large-Cap Value Equity Fund | ||||||||
Class A | $ 1,000.00 | $ 1,018.70 | 1.24 % | $ 6.22 | ||||
Class C | 1,000.00 | 1,016.31 | 1.72 | 8.62 | ||||
Class I | 1,000.00 | 1,020.04 | 0.97 | 4.87 | ||||
Class R6 | 1,000.00 | 1,021.28 | 0.72 | 3.62 | ||||
Ceredex Mid-Cap Value Equity Fund | ||||||||
Class A | 1,000.00 | 1,018.40 | 1.30 | 6.52 | ||||
Class C | 1,000.00 | 1,015.96 | 1.79 | 8.97 | ||||
Class I | 1,000.00 | 1,019.69 | 1.04 | 5.22 | ||||
Class R6 | 1,000.00 | 1,020.93 | 0.79 | 3.97 | ||||
Ceredex Small-Cap Value Equity Fund | ||||||||
Class A | 1,000.00 | 1,017.45 | 1.49 | 7.47 | ||||
Class C | 1,000.00 | 1,015.42 | 1.90 | 9.52 | ||||
Class I | 1,000.00 | 1,018.85 | 1.21 | 6.07 | ||||
Class R6 | 1,000.00 | 1,020.49 | 0.88 | 4.42 | ||||
SGA International Growth Fund | ||||||||
Class A | 1,000.00 | 1,017.95 | 1.39 | 6.97 | ||||
Class I | 1,000.00 | 1,019.19 | 1.14 | 5.72 | ||||
Class R6 | 1,000.00 | 1,019.69 | 1.04 | 5.22 | ||||
Silvant Large-Cap Growth Stock Fund | ||||||||
Class A | 1,000.00 | 1,018.75 | 1.23 | 6.17 | ||||
Class I | 1,000.00 | 1,020.04 | 0.97 | 4.87 | ||||
Class R6 | 1,000.00 | 1,020.39 | 0.90 | 4.52 | ||||
Silvant Small-Cap Growth Stock Fund | ||||||||
Class A | 1,000.00 | 1,018.55 | 1.27 | 6.37 | ||||
Class I | 1,000.00 | 1,019.14 | 1.15 | 5.77 | ||||
Zevenbergen Innovative Growth Stock Fund | ||||||||
Class A | 1,000.00 | 1,018.60 | 1.26 | 6.32 | ||||
Class I | 1,000.00 | 1,019.84 | 1.01 | 5.07 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
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Table of Contents
Health Care | 20% |
Industrials | 17 |
Information Technology | 14 |
Financials | 12 |
Materials | 8 |
Utilities | 7 |
Real Estate | 7 |
Other (includes short-term investment) | 15 |
Total | 100% |
Information Technology | 22% |
Industrials | 15 |
Utilities | 13 |
Financials | 13 |
Health Care | 12 |
Real Estate | 8 |
Consumer Discretionary | 7 |
Other (includes short-term investment) | 10 |
Total | 100% |
Financials | 26% |
Information Technology | 19 |
Industrials | 17 |
Real Estate | 14 |
Health Care | 9 |
Materials | 9 |
Consumer Staples | 4 |
Other | 2 |
Total | 100% |
Consumer Staples | 20% |
Health Care | 17 |
Financials | 16 |
Information Technology | 15 |
Consumer Discretionary | 15 |
Materials | 7 |
Industrials | 5 |
Other (includes short-term investment) | 5 |
Total | 100% |
Information Technology | 42% |
Consumer Discretionary | 16 |
Communication Services | 15 |
Health Care | 13 |
Industrials | 7 |
Consumer Staples | 4 |
Materials | 1 |
Other | 2 |
Total | 100% |
Health Care | 32% |
Information Technology | 20 |
Industrials | 19 |
Consumer Discretionary | 13 |
Financials | 6 |
Materials | 4 |
Communication Services | 3 |
Other | 3 |
Total | 100% |
Information Technology | 41% |
Consumer Discretionary | 23 |
Health Care | 16 |
Communication Services | 11 |
Industrials | 5 |
Financials | 2 |
Consumer Staples | 1 |
Short-Term Investment | 1 |
Total | 100% |
Table of Contents
Shares | Value | ||
Common Stocks—96.1% | |||
Communication Services—4.0% | |||
Interpublic Group of Cos., Inc. (The) | 889,337 | $ 15,261 | |
Verizon Communications, Inc. | 442,107 | 24,373 | |
39,634 | |||
Consumer Discretionary—4.3% | |||
Advance Auto Parts, Inc. | 67,064 | 9,553 | |
BorgWarner, Inc. | 928,112 | 32,763 | |
42,316 | |||
Consumer Staples—2.4% | |||
Kellogg Co. | 355,440 | 23,480 | |
Energy—3.7% | |||
Chevron Corp. | 272,563 | 24,321 | |
Marathon Petroleum Corp. | 330,182 | 12,342 | |
36,663 | |||
Financials—11.1% | |||
American International Group, Inc. | 429,250 | 13,384 | |
Bank of America Corp. | 1,788,830 | 42,485 | |
Capital One Financial Corp. | 365,792 | 22,895 | |
Willis Towers Watson plc | 157,637 | 31,046 | |
109,810 | |||
Health Care—19.1% | |||
Abbott Laboratories | 489,491 | 44,754 | |
Agilent Technologies, Inc. | 203,042 | 17,943 | |
Becton Dickinson and Co. | 196,094 | 46,920 | |
Humana, Inc. | 48,528 | 18,817 | |
Merck & Co., Inc. | 579,599 | 44,820 |
Shares | Value | ||
Health Care—continued | |||
Zimmer Biomet Holdings, Inc. | 125,990 | $ 15,038 | |
188,292 | |||
Industrials—16.8% | |||
AMETEK, Inc. | 334,981 | 29,937 | |
Honeywell International, Inc. | 283,390 | 40,975 | |
Illinois Tool Works, Inc. | 95,352 | 16,672 | |
L3Harris Technologies, Inc. | 187,202 | 31,763 | |
Rockwell Automation, Inc. | 123,028 | 26,205 | |
Stanley Black & Decker, Inc. | 143,886 | 20,055 | |
165,607 | |||
Information Technology—13.3% | |||
Microsoft Corp. | 74,392 | 15,139 | |
Motorola Solutions, Inc. | 218,850 | 30,667 | |
QUALCOMM, Inc. | 468,860 | 42,765 | |
Xilinx, Inc. | 430,974 | 42,404 | |
130,975 | |||
Materials—8.1% | |||
Air Products and Chemicals, Inc. | 137,747 | 33,260 | |
Avery Dennison Corp. | 283,973 | 32,399 | |
Ecolab, Inc. | 70,048 | 13,936 | |
79,595 | |||
Real Estate—6.4% | |||
Alexandria Real Estate Equities, Inc. | 59,544 | 9,661 | |
Crown Castle International Corp. | 210,202 | 35,177 | |
Medical Properties Trust, Inc. | 988,243 | 18,579 | |
63,417 | |||
Shares | Value | ||
Utilities—6.9% | |||
American Electric Power Co., Inc. | 337,244 | $ 26,858 | |
NextEra Energy, Inc. | 171,809 | 41,264 | |
68,122 | |||
Total Common Stocks (Identified Cost $830,195) | 947,911 | ||
Total Long-Term Investments—96.1% (Identified Cost $830,195) | 947,911 | ||
Short-Term Investment—0.1% | |||
Money Market Mutual Fund—0.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(1) | 1,352,987 | 1,353 | |
Total Short-Term Investment (Identified Cost $1,353) | 1,353 | ||
TOTAL INVESTMENTS—96.2% (Identified Cost $831,548) | $949,264 | ||
Other assets and liabilities, net—3.8% | 37,205 | ||
NET ASSETS—100.0% | $986,469 |
Footnote Legend: | |
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at June 30, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $947,911 | $947,911 | |
Money Market Mutual Fund | 1,353 | 1,353 | |
Total Investments | $949,264 | $949,264 |
Table of Contents
Shares | Value | ||
Common Stocks—98.0% | |||
Consumer Discretionary—6.3% | |||
Advance Auto Parts, Inc. | 285,000 | $ 40,598 | |
Best Buy Co., Inc. | 350,000 | 30,545 | |
BorgWarner, Inc. | 2,075,000 | 73,247 | |
Garmin Ltd. | 400,000 | 39,000 | |
183,390 | |||
Consumer Staples—5.3% | |||
Energizer Holdings, Inc. | 2,000,000 | 94,980 | |
Kroger Co. (The) | 1,700,000 | 57,545 | |
152,525 | |||
Financials—13.1% | |||
Capital One Financial Corp. | 1,000,000 | 62,590 | |
Hartford Financial Services Group, Inc. (The) | 1,650,000 | 63,608 | |
Pinnacle Financial Partners, Inc. | 1,300,000 | 54,587 | |
Progressive Corp. (The) | 965,000 | 77,306 | |
Willis Towers Watson plc | 330,000 | 64,993 | |
Zions Bancorp NA | 1,600,000 | 54,400 | |
377,484 | |||
Health Care—11.5% | |||
Agilent Technologies, Inc. | 875,000 | 77,324 | |
Cooper Cos., Inc. (The) | 92,800 | 26,322 | |
Humana, Inc. | 90,000 | 34,898 | |
PerkinElmer, Inc. | 450,000 | 44,140 | |
Quest Diagnostics, Inc. | 475,000 | 54,131 | |
Teleflex, Inc. | 100,000 | 36,398 | |
Zimmer Biomet Holdings, Inc. | 500,000 | 59,680 | |
332,893 | |||
Industrials—14.4% | |||
AMETEK, Inc. | 535,000 | 47,813 | |
IDEX Corp. | 300,000 | 47,412 | |
Jacobs Engineering Group, Inc. | 575,000 | 48,760 | |
Knight-Swift Transportation Holdings, Inc. | 700,000 | 29,197 | |
L3Harris Technologies, Inc. | 375,000 | 63,626 |
Shares | Value | ||
Industrials—continued | |||
Lennox International, Inc. | 145,000 | $ 33,783 | |
Otis Worldwide Corp. | 600,000 | 34,116 | |
Republic Services, Inc. | 475,000 | 38,974 | |
Stanley Black & Decker, Inc. | 315,000 | 43,905 | |
Textron, Inc. | 900,000 | 29,619 | |
417,205 | |||
Information Technology—21.8% | |||
Analog Devices, Inc. | 465,000 | 57,028 | |
Broadridge Financial Solutions, Inc. | 410,000 | 51,738 | |
Dolby Laboratories, Inc. Class A | 850,000 | 55,989 | |
FLIR Systems, Inc. | 900,000 | 36,513 | |
Global Payments, Inc. | 300,000 | 50,886 | |
KLA Corp. | 400,000 | 77,792 | |
Marvell Technology Group Ltd. | 1,450,000 | 50,837 | |
Motorola Solutions, Inc. | 865,000 | 121,212 | |
Xilinx, Inc. | 1,300,000 | 127,907 | |
629,902 | |||
Materials—4.6% | |||
Air Products and Chemicals, Inc. | 145,000 | 35,012 | |
Avery Dennison Corp. | 425,000 | 48,488 | |
PPG Industries, Inc. | 465,000 | 49,318 | |
132,818 | |||
Real Estate—7.9% | |||
Alexandria Real Estate Equities, Inc. | 265,000 | 42,996 | |
American Homes 4 Rent Class A | 2,200,000 | 59,180 | |
Medical Properties Trust, Inc. | 3,600,000 | 67,680 | |
SBA Communications, Corp. | 200,000 | 59,584 | |
229,440 | |||
Utilities—13.1% | |||
Ameren Corp. | 780,000 | 54,881 | |
American Electric Power Co., Inc. | 685,000 | 54,553 | |
CMS Energy Corp. | 1,000,000 | 58,420 | |
Evergy, Inc. | 735,000 | 43,578 |
Shares | Value | ||
Utilities—continued | |||
FirstEnergy Corp. | 2,200,000 | $ 85,316 | |
Public Service Enterprise Group, Inc. | 580,000 | 28,513 | |
Sempra Energy | 450,000 | 52,754 | |
378,015 | |||
Total Common Stocks (Identified Cost $2,585,113) | 2,833,672 | ||
Total Long-Term Investments—98.0% (Identified Cost $2,585,113) | 2,833,672 | ||
Short-Term Investment—0.0% | |||
Money Market Mutual Fund—0.0% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(1) | 21,885 | 22 | |
Total Short- Term Investment (Identified Cost $22) | 22 | ||
TOTAL INVESTMENTS—98.0% (Identified Cost $2,585,135) | $2,833,694 | ||
Other assets and liabilities, net—2.0% | 59,170 | ||
NET ASSETS—100.0% | $2,892,864 |
Footnote Legend: | |
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 95% |
Ireland | 2 |
Bermuda | 2 |
Switzerland | 1 |
Total | 100% |
† % of total investments as of June 30, 2020. |
Table of Contents
Total Value at June 30, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $2,833,672 | $2,833,672 | |
Money Market Mutual Fund | 22 | 22 | |
Total Investments | $2,833,694 | $2,833,694 |
Table of Contents
Shares | Value | ||
Common Stocks—98.5% | |||
Communication Services—1.0% | |||
Interpublic Group of Cos., Inc. (The) | 234,100 | $ 4,017 | |
Consumer Discretionary—0.9% | |||
Cooper Tire & Rubber Co. | 39,300 | 1,085 | |
Gentex Corp. | 97,700 | 2,518 | |
3,603 | |||
Consumer Staples—3.7% | |||
Calavo Growers, Inc. | 100,100 | 6,297 | |
Energizer Holdings, Inc. | 76,244 | 3,621 | |
Reynolds Consumer Products, Inc. | 155,500 | 5,402 | |
15,320 | |||
Financials—25.3% | |||
AMERISAFE, Inc. | 52,261 | 3,196 | |
Artisan Partners Asset Management, Inc. Class A | 62,846 | 2,042 | |
Bank of Hawaii Corp. | 116,630 | 7,162 | |
Cathay General Bancorp | 161,353 | 4,244 | |
Evercore, Inc. Class A | 170,462 | 10,044 | |
First American Financial Corp. | 352,488 | 16,926 | |
First Hawaiian, Inc. | 549,300 | 9,470 | |
First Interstate BancSystem, Inc. Class A | 177,649 | 5,500 | |
Hanover Insurance Group, Inc. (The) | 79,147 | 8,020 | |
Horace Mann Educators Corp. | 145,392 | 5,340 | |
Kemper Corp. | 282,197 | 20,465 | |
SLM Corp. | 1,773,337 | 12,467 | |
104,876 | |||
Shares | Value | ||
Health Care—9.2% | |||
Bruker Corp. | 157,300 | $ 6,399 | |
CONMED Corp. | 115,100 | 8,286 | |
Hill-Rom Holdings, Inc. | 183,396 | 20,134 | |
PerkinElmer, Inc. | 35,500 | 3,482 | |
38,301 | |||
Industrials—17.1% | |||
Apogee Enterprises, Inc. | 114,876 | 2,647 | |
EnerSys | 150,216 | 9,671 | |
EnPro Industries, Inc. | 58,524 | 2,885 | |
Pentair plc | 402,500 | 15,291 | |
Quanta Services, Inc. | 479,000 | 18,791 | |
Ritchie Bros. Auctioneers, Inc. | 130,610 | 5,335 | |
Stantec, Inc. | 183,500 | 5,661 | |
Tennant Co. | 31,411 | 2,042 | |
Tetra Tech, Inc. | 59,500 | 4,708 | |
Wabash National Corp. | 351,163 | 3,729 | |
70,760 | |||
Information Technology—18.4% | |||
Brooks Automation, Inc. | 45,700 | 2,022 | |
Dolby Laboratories, Inc. Class A | 82,469 | 5,432 | |
Entegris, Inc. | 81,300 | 4,801 | |
FLIR Systems, Inc. | 237,100 | 9,619 | |
Littelfuse, Inc. | 45,347 | 7,738 | |
MKS Instruments, Inc. | 78,784 | 8,921 | |
Monolithic Power Systems, Inc. | 50,497 | 11,968 | |
National Instruments Corp. | 139,000 | 5,381 | |
Power Integrations, Inc. | 172,160 | 20,337 | |
76,219 | |||
Materials—9.1% | |||
AptarGroup, Inc. | 160,651 | 17,990 | |
Ashland Global Holdings, Inc. | 121,900 | 8,423 |
Shares | Value | ||
Materials—continued | |||
Sensient Technologies Corp. | 16,300 | $ 850 | |
W.R. Grace & Co. | 205,642 | 10,449 | |
37,712 | |||
Real Estate—13.8% | |||
American Campus Communities, Inc. | 196,864 | 6,882 | |
CubeSmart | 147,400 | 3,978 | |
Healthcare Realty Trust, Inc. | 298,700 | 8,749 | |
Healthcare Trust of America, Inc. Class A | 684,000 | 18,140 | |
Physicians Realty Trust | 1,116,378 | 19,559 | |
57,308 | |||
Total Common Stocks (Identified Cost $368,067) | 408,116 | ||
Total Long-Term Investments—98.5% (Identified Cost $368,067) | 408,116 | ||
TOTAL INVESTMENTS—98.5% (Identified Cost $368,067) | $408,116 | ||
Other assets and liabilities, net—1.5% | 6,036 | ||
NET ASSETS—100.0% | $414,152 |
Country Weightings† | |
United States | 94% |
Ireland | 4 |
Canada | 2 |
Total | 100% |
† % of total investments as of June 30, 2020. |
Total Value at June 30, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $408,116 | $408,116 | |
Total Investments | $408,116 | $408,116 |
Table of Contents
Shares | Value | ||
Common Stocks—98.3% | |||
China—14.3% | |||
Alibaba Group Holding Ltd. Sponsored ADR(1) | 8,718 | $ 1,881 | |
New Oriental Education & Technology Group, Inc. Sponsored ADR(1) | 5,842 | 761 | |
Shandong Weigao Group Medical Polymer Co. Ltd. Class H | 724,748 | 1,618 | |
Tencent Holdings Ltd. | 21,168 | 1,356 | |
5,616 | |||
Denmark—3.5% | |||
Novo Nordisk A/S Sponsored ADR | 21,027 | 1,377 | |
France—6.8% | |||
Dassault Systemes SE | 7,048 | 1,216 | |
L’Oreal SA(1) | 4,585 | 1,472 | |
2,688 | |||
Germany—7.0% | |||
adidas AG(1) | 4,754 | 1,248 | |
SAP SE Sponsored ADR | 10,597 | 1,483 | |
2,731 | |||
Hong Kong—5.0% | |||
AIA Group Ltd. | 207,973 | 1,946 | |
India—8.9% | |||
Asian Paints Ltd. | 37,242 | 833 | |
HDFC Bank Ltd. ADR | 38,245 | 1,738 | |
Infosys Ltd. Sponsored ADR | 95,721 | 925 | |
3,496 | |||
Japan—4.9% | |||
Fast Retailing Co. Ltd. | 1,660 | 954 | |
Sysmex Corp. | 12,898 | 990 | |
1,944 | |||
Shares | Value | ||
Mexico—5.9% | |||
Fomento Economico Mexicano SAB de C.V. Sponsored ADR | 16,595 | $ 1,029 | |
Wal-Mart de Mexico SAB de C.V. | 538,462 | 1,288 | |
2,317 | |||
Netherlands—8.3% | |||
Adyen NV(1) | 1,022 | 1,488 | |
Heineken NV | 19,170 | 1,767 | |
3,255 | |||
South Africa—1.9% | |||
Sanlam Ltd. | 218,473 | 742 | |
Switzerland—8.6% | |||
Alcon, Inc.(1) | 22,896 | 1,312 | |
Nestle S.A. Registered Shares | 10,635 | 1,176 | |
Temenos AG Registered Shares | 5,647 | 877 | |
3,365 | |||
United Kingdom—16.6% | |||
Aon plc Class A | 9,696 | 1,867 | |
Diageo plc | 30,954 | 1,029 | |
IHS Markit Ltd. | 24,928 | 1,882 | |
Linde plc | 8,219 | 1,743 | |
6,521 | |||
United States—6.6% | |||
MercadoLibre, Inc.(1) | 1,118 | 1,102 | |
STERIS plc | 9,583 | 1,471 | |
2,573 | |||
Total Common Stocks (Identified Cost $32,723) | 38,571 | ||
Total Long-Term Investments—98.3% (Identified Cost $32,723) | 38,571 | ||
Shares | Value | ||
Short-Term Investment—1.6% | |||
Money Market Mutual Fund—1.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(2) | 612,800 | $ 613 | |
Total Short-Term Investment (Identified Cost $613) | 613 | ||
TOTAL INVESTMENTS—99.9% (Identified Cost $33,336) | $39,184 | ||
Other assets and liabilities, net—0.1% | 57 | ||
NET ASSETS—100.0% | $39,241 |
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† | |
United Kingdom | 18% |
China | 14 |
United States | 9 |
India | 8 |
Switzerland | 8 |
Netherlands | 8 |
Germany | 7 |
Other | 28 |
Total | 100% |
† % of total investments as of June 30, 2020. |
Total Value at June 30, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $38,571 | $30,873 | $7,698 | ||
Money Market Mutual Fund | 613 | 613 | — | ||
Total Investments | $39,184 | $31,486 | $7,698 |
Table of Contents
Shares | Value | ||
Common Stocks—99.4% | |||
Communication Services—14.5% | |||
Alphabet, Inc. Class A(1) | 2,473 | $ 3,507 | |
Alphabet, Inc. Class C(1) | 2,555 | 3,612 | |
Comcast Corp. Class A | 36,972 | 1,441 | |
Facebook, Inc. Class A(1) | 19,754 | 4,486 | |
Netflix, Inc.(1) | 5,035 | 2,291 | |
Walt Disney Co. (The) | 4,648 | 518 | |
15,855 | |||
Consumer Discretionary—15.5% | |||
Amazon.com, Inc.(1) | 3,605 | 9,946 | |
Chipotle Mexican Grill, Inc.(1) | 750 | 789 | |
Home Depot, Inc. (The) | 7,493 | 1,877 | |
Las Vegas Sands Corp. | 10,256 | 467 | |
O’Reilly Automotive, Inc.(1) | 4,231 | 1,784 | |
Royal Caribbean Cruises Ltd. | 9,643 | 485 | |
TJX Cos., Inc. (The) | 32,047 | 1,620 | |
16,968 | |||
Consumer Staples—4.1% | |||
Colgate-Palmolive Co. | 11,238 | 823 | |
Costco Wholesale Corp. | 7,335 | 2,224 | |
Estee Lauder Cos., Inc. (The) Class A | 7,724 | 1,458 | |
4,505 | |||
Financials—1.2% | |||
American Express Co. | 8,844 | 842 | |
Goldman Sachs Group, Inc. (The) | 2,308 | 456 | |
1,298 | |||
Health Care—12.7% | |||
Alexion Pharmaceuticals, Inc.(1) | 6,675 | 749 |
Shares | Value | ||
Health Care—continued | |||
Becton Dickinson and Co. | 1,848 | $ 442 | |
Bristol-Myers Squibb Co. | 19,157 | 1,126 | |
DexCom, Inc.(1) | 3,573 | 1,448 | |
Edwards Lifesciences Corp.(1) | 23,522 | 1,626 | |
Exact Sciences Corp.(1) | 9,737 | 847 | |
Insulet Corp.(1) | 2,162 | 420 | |
Intuitive Surgical, Inc.(1) | 1,762 | 1,004 | |
Mettler-Toledo International, Inc.(1) | 1,281 | 1,032 | |
Teladoc Health, Inc.(1) | 3,540 | 676 | |
Thermo Fisher Scientific, Inc. | 1,843 | 668 | |
UnitedHealth Group, Inc. | 8,247 | 2,432 | |
Vertex Pharmaceuticals, Inc.(1) | 4,942 | 1,435 | |
13,905 | |||
Industrials—7.2% | |||
Boeing Co. (The) | 10,554 | 1,935 | |
Deere & Co. | 5,431 | 853 | |
Emerson Electric Co. | 8,632 | 535 | |
Fair Isaac Corp.(1) | 1,451 | 607 | |
Honeywell International, Inc. | 3,786 | 547 | |
IHS Markit Ltd. | 11,813 | 892 | |
Knight-Swift Transportation Holdings, Inc. | 28,685 | 1,196 | |
Roper Technologies, Inc. | 1,553 | 603 | |
Waste Management, Inc. | 6,966 | 738 | |
7,906 | |||
Information Technology—41.8% | |||
Analog Devices, Inc. | 6,190 | 759 | |
Apple, Inc. | 24,638 | 8,988 | |
Applied Materials, Inc. | 22,048 | 1,333 | |
Autodesk, Inc.(1) | 10,663 | 2,550 | |
Avalara, Inc.(1) | 6,402 | 852 | |
Five9, Inc.(1) | 4,960 | 549 |
Shares | Value | ||
Information Technology—continued | |||
Mastercard, Inc. Class A | 8,875 | $ 2,624 | |
Microsoft Corp. | 61,208 | 12,456 | |
NVIDIA Corp. | 6,795 | 2,582 | |
Paycom Software, Inc.(1) | 2,472 | 766 | |
QUALCOMM, Inc. | 20,502 | 1,870 | |
salesforce.com, Inc.(1) | 10,264 | 1,923 | |
Splunk, Inc.(1) | 4,749 | 944 | |
Twilio Inc. Class A(1) | 2,235 | 490 | |
Universal Display Corp. | 5,589 | 836 | |
Visa, Inc. Class A | 25,389 | 4,904 | |
Workday, Inc. Class A(1) | 7,465 | 1,399 | |
45,825 | |||
Materials—1.3% | |||
Air Products and Chemicals, Inc. | 2,395 | 578 | |
Vulcan Materials Co. | 7,334 | 850 | |
1,428 | |||
Real Estate—1.1% | |||
Equinix, Inc. | 1,774 | 1,246 | |
Total Common Stocks (Identified Cost $48,372) | 108,936 | ||
Total Long-Term Investments—99.4% (Identified Cost $48,372) | 108,936 | ||
TOTAL INVESTMENTS—99.4% (Identified Cost $48,372) | $108,936 | ||
Other assets and liabilities, net—0.6% | 627 | ||
NET ASSETS—100.0% | $109,563 |
Footnote Legend: | |
(1) | Non-income producing. |
Total Value at June 30, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $108,936 | $108,936 | |
Total Investments | $108,936 | $108,936 |
Table of Contents
Shares | Value | ||
Common Stocks—98.5% | |||
Communication Services—2.7% | |||
Cable One, Inc. | 183 | $ 325 | |
Cardlytics, Inc.(1) | 6,196 | 433 | |
758 | |||
Consumer Discretionary—13.1% | |||
Boot Barn Holdings, Inc.(1) | 4,758 | 103 | |
Cavco Industries, Inc.(1) | 948 | 183 | |
Churchill Downs, Inc. | 2,700 | 360 | |
Five Below, Inc.(1) | 2,702 | 289 | |
KB Home | 9,236 | 283 | |
LGI Homes, Inc.(1) | 1,616 | 142 | |
Lithia Motors, Inc. Class A | 1,193 | 181 | |
Murphy USA, Inc.(1) | 802 | 90 | |
Ollie’s Bargain Outlet Holdings, Inc.(1) | 3,814 | 373 | |
Papa John’s International, Inc. | 2,020 | 160 | |
Planet Fitness, Inc. Class A(1) | 4,492 | 272 | |
RH (1) | 660 | 164 | |
Shake Shack, Inc. Class A(1) | 1,601 | 85 | |
Texas Roadhouse, Inc. | 9,290 | 488 | |
Wingstop, Inc. | 3,735 | 519 | |
3,692 | |||
Consumer Staples—2.3% | |||
Boston Beer Co., Inc. (The) Class A(1) | 530 | 284 | |
WD-40 Co. | 1,859 | 369 | |
653 | |||
Financials—6.3% | |||
Ares Management Corp. Class A | 7,623 | 302 | |
Essent Group Ltd. | 5,699 | 207 | |
First Financial Bankshares, Inc. | 9,977 | 288 | |
FirstCash, Inc. | 2,633 | 178 | |
Goosehead Insurance, Inc. Class A(1) | 3,777 | 284 | |
NMI Holdings, Inc. Class A(1) | 12,092 | 194 | |
RLI Corp. | 3,834 | 315 | |
1,768 | |||
Health Care—31.3% | |||
Addus HomeCare Corp.(1) | 1,297 | 120 | |
Aimmune Therapeutics, Inc.(1) | 10,288 | 172 | |
Akero Therapeutics, Inc.(1) | 2,798 | 70 | |
Allakos, Inc.(1) | 2,242 | 161 | |
Amedisys, Inc.(1) | 866 | 172 | |
Amicus Therapeutics, Inc.(1) | 10,726 | 162 |
Shares | Value | ||
Health Care—continued | |||
Chemed Corp. | 1,589 | $ 717 | |
Encompass Health Corp. | 8,195 | 508 | |
Fate Therapeutics, Inc.(1) | 2,794 | 96 | |
GW Pharmaceuticals plc ADR(1) | 2,095 | 257 | |
HealthEquity, Inc.(1) | 6,644 | 390 | |
Insmed, Inc.(1) | 7,813 | 215 | |
Inspire Medical Systems, Inc.(1) | 4,324 | 376 | |
Insulet Corp.(1) | 2,870 | 558 | |
Karyopharm Therapeutics, Inc.(1) | 3,565 | 68 | |
LHC Group, Inc.(1) | 3,409 | 594 | |
Madrigal Pharmaceuticals, Inc.(1) | 1,291 | 146 | |
Natera, Inc.(1) | 9,493 | 473 | |
Novocure Ltd.(1) | 5,536 | 328 | |
Penumbra, Inc.(1) | 2,758 | 493 | |
Phreesia, Inc.(1) | 10,231 | 289 | |
Reata Pharmaceuticals, Inc. Class A(1) | 3,483 | 543 | |
REGENXBIO, Inc.(1) | 3,971 | 146 | |
Sarepta Therapeutics, Inc.(1) | 4,393 | 704 | |
Tandem Diabetes Care, Inc.(1) | 7,307 | 723 | |
Ultragenyx Pharmaceutical, Inc.(1) | 4,570 | 358 | |
8,839 | |||
Industrials—18.5% | |||
ASGN, Inc.(1) | 4,676 | 312 | |
Brink’s Co. (The) | 5,465 | 249 | |
BWX Technologies, Inc. | 3,626 | 205 | |
Casella Waste Systems, Inc. Class A(1) | 11,066 | 577 | |
Chart Industries, Inc.(1) | 5,212 | 253 | |
ESCO Technologies, Inc. | 2,104 | 178 | |
Herc Holdings, Inc.(1) | 3,226 | 99 | |
IAA, Inc.(1) | 2,525 | 97 | |
Kratos Defense & Security Solutions, Inc.(1) | 14,832 | 232 | |
Mercury Systems, Inc.(1) | 7,788 | 613 | |
MSA Safety, Inc. | 2,366 | 271 | |
Parsons Corp.(1) | 2,539 | 92 | |
Proto Labs, Inc.(1) | 2,883 | 324 | |
Saia, Inc.(1) | 4,501 | 500 | |
Simpson Manufacturing Co., Inc. | 4,538 | 383 | |
Teledyne Technologies, Inc.(1) | 2,687 | 835 | |
5,220 | |||
Shares | Value | ||
Information Technology—19.6% | |||
Agilysys, Inc.(1) | 9,012 | $ 162 | |
Brooks Automation, Inc. | 7,400 | 327 | |
Cabot Microelectronics Corp. | 2,756 | 385 | |
Coupa Software, Inc.(1) | 2,353 | 652 | |
Everbridge, Inc.(1) | 3,140 | 434 | |
Five9, Inc.(1) | 9,094 | 1,006 | |
FormFactor, Inc.(1) | 3,814 | 112 | |
Mimecast Ltd.(1) | 5,348 | 223 | |
PROS Holdings, Inc.(1) | 4,837 | 215 | |
Q2 Holdings, Inc.(1) | 13,572 | 1,164 | |
Qualys, Inc.(1) | 894 | 93 | |
Tenable Holdings, Inc.(1) | 5,154 | 154 | |
Tower Semiconductor Ltd.(1) | 10,401 | 199 | |
Varonis Systems, Inc.(1) | 1,772 | 157 | |
ViaSat, Inc.(1) | 6,891 | 264 | |
5,547 | |||
Materials—3.7% | |||
Balchem Corp. | 5,551 | 527 | |
Quaker Chemical Corp. | 1,647 | 306 | |
W.R. Grace & Co. | 4,143 | 210 | |
1,043 | |||
Real Estate—1.0% | |||
Essential Properties Realty Trust, Inc. | 11,969 | 178 | |
Sunstone Hotel Investors, Inc. | 13,924 | 113 | |
291 | |||
Total Common Stocks (Identified Cost $20,063) | 27,811 | ||
Total Long-Term Investments—98.5% (Identified Cost $20,063) | 27,811 | ||
TOTAL INVESTMENTS—98.5% (Identified Cost $20,063) | $27,811 | ||
Other assets and liabilities, net—1.5% | 411 | ||
NET ASSETS—100.0% | $28,222 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
Table of Contents
Total Value at June 30, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $27,811 | $27,811 | |
Total Investments | $27,811 | $27,811 |
Table of Contents
Shares | Value | ||
Common Stocks—98.1% | |||
Communication Services—11.0% | |||
EverQuote, Inc. Class A(1) | 106,325 | $ 6,184 | |
Facebook, Inc. Class A(1) | 77,650 | 17,632 | |
Netflix, Inc.(1) | 53,000 | 24,117 | |
Zillow Group, Inc. Class C(1) | 388,885 | 22,404 | |
70,337 | |||
Consumer Discretionary—23.2% | |||
Amazon.com, Inc.(1) | 13,550 | 37,382 | |
Chegg, Inc.(1) | 190,800 | 12,833 | |
Chewy, Inc. Class A(1) | 217,650 | 9,727 | |
Lululemon Athletica, Inc.(1) | 42,055 | 13,122 | |
MercadoLibre, Inc.(1) | 28,525 | 28,119 | |
Peloton Interactive, Inc. Class A(1) | 161,350 | 9,321 | |
Shake Shack, Inc. Class A(1) | 92,750 | 4,914 | |
Tesla, Inc.(1) | 30,500 | 32,934 | |
148,352 | |||
Consumer Staples—1.2% | |||
Beyond Meat, Inc.(1) | 57,075 | 7,647 | |
Financials—1.4% | |||
Goosehead Insurance, Inc. Class A(1) | 120,600 | 9,064 | |
Health Care—15.8% | |||
Adaptive Biotechnologies Corp.(1) | 162,875 | 7,880 | |
BioMarin Pharmaceutical, Inc.(1) | 120,125 | 14,816 | |
Exact Sciences Corp.(1) | 354,850 | 30,851 | |
Seattle Genetics, Inc.(1) | 45,500 | 7,731 | |
Teladoc Health, Inc.(1) | 149,085 | 28,451 |
Shares | Value | ||
Health Care—continued | |||
Veeva Systems, Inc. Class A(1) | 48,300 | $ 11,323 | |
101,052 | |||
Industrials—4.9% | |||
CoStar Group, Inc.(1) | 24,550 | 17,447 | |
Uber Technologies, Inc.(1) | 434,000 | 13,489 | |
30,936 | |||
Information Technology—40.6% | |||
Adobe, Inc.(1) | 21,500 | 9,359 | |
Alteryx, Inc. Class A(1) | 41,875 | 6,879 | |
Coupa Software, Inc.(1) | 37,500 | 10,389 | |
NVIDIA Corp. | 66,410 | 25,230 | |
Okta, Inc.(1) | 126,500 | 25,329 | |
Paylocity Holding Corp.(1) | 59,125 | 8,626 | |
PayPal Holdings, Inc.(1) | 113,475 | 19,771 | |
QUALCOMM, Inc. | 103,500 | 9,440 | |
RingCentral, Inc. Class A(1) | 101,150 | 28,829 | |
ServiceNow, Inc.(1) | 53,775 | 21,782 | |
Shopify, Inc. Class A(1) | 42,428 | 40,273 | |
Square, Inc. Class A(1) | 128,925 | 13,529 | |
Trade Desk, Inc. (The) Class A(1) | 73,775 | 29,989 | |
Zoom Video Communications, Inc. Class A(1) | 37,520 | 9,513 | |
258,938 | |||
Total Common Stocks (Identified Cost $428,295) | 626,326 | ||
Total Long-Term Investments—98.1% (Identified Cost $428,295) | 626,326 | ||
Shares | Value | ||
Short-Term Investment—1.2% | |||
Money Market Mutual Fund—1.2% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.085%)(2) | 7,701,923 | $ 7,702 | |
Total Short-Term Investment (Identified Cost $7,702) | 7,702 | ||
TOTAL INVESTMENTS—99.3% (Identified Cost $435,997) | $634,028 | ||
Other assets and liabilities, net—0.7% | 4,240 | ||
NET ASSETS—100.0% | $638,268 |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 88% |
Canada | 8 |
Argentina | 4 |
Total | 100% |
† % of total investments as of June 30, 2020. |
Total Value at June 30, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $626,326 | $626,326 | |
Money Market Mutual Fund | 7,702 | 7,702 | |
Total Investments | $634,028 | $634,028 |
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 | ||||
Assets | |||||||
Investment in securities at value(1) | $ 949,264 | $ 2,833,694 | $ 408,116 | $ 39,184 | |||
Foreign currency at value(2) | — | — | — | — (a) | |||
Cash | 32,351 | 68,395 | 6,985 | 21 | |||
Receivables | |||||||
Investment securities sold | 8,977 | 29,643 | — | — | |||
Fund shares sold | 1,546 | 7,325 | 2,503 | 36 | |||
Dividends | 1,441 | 4,384 | 179 | 10 | |||
Tax reclaims | — | — | — | 123 | |||
Prepaid Trustees’ retainer | 21 | 64 | 8 | 1 | |||
Prepaid expenses | 57 | 107 | 42 | 26 | |||
Other assets | 87 | 255 | 36 | 3 | |||
Total assets | 993,744 | 2,943,867 | 417,869 | 39,404 | |||
Liabilities | |||||||
Payables | |||||||
Fund shares repurchased | 2,585 | 7,718 | 3,157 | 84 | |||
Investment securities purchased | 3,543 | 40,174 | — | — | |||
Foreign capital gains tax | — | — | — | 22 | |||
Investment advisory fees | 479 | 1,618 | 286 | 22 | |||
Distribution and service fees | 38 | 87 | 13 | 1 | |||
Administration and accounting fees | 86 | 251 | 36 | 4 | |||
Transfer agent and sub-transfer agent fees and expenses | 386 | 769 | 154 | 9 | |||
Professional fees | 13 | 14 | 15 | 5 | |||
Trustee deferred compensation plan | 87 | 255 | 36 | 3 | |||
Interest expense and/or commitment fees | 3 | 5 | 1 | — (a) | |||
Other accrued expenses | 55 | 112 | 19 | 13 | |||
Total liabilities | 7,275 | 51,003 | 3,717 | 163 | |||
Net Assets | $ 986,469 | $ 2,892,864 | $ 414,152 | $ 39,241 | |||
Net Assets Consist of: | |||||||
Capital paid in on shares of beneficial interest | $ 942,875 | $ 3,253,324 | $ 452,365 | $ 32,916 | |||
Accumulated earnings (loss) | 43,594 | (360,460) | (38,213) | 6,325 | |||
Net Assets | $ 986,469 | $ 2,892,864 | $ 414,152 | $ 39,241 | |||
Net Assets: | |||||||
Class A | $ 157,144 | $ 287,182 | $ 47,615 | $ 6,257 | |||
Class C | $ 5,064 | $ 31,900 | $ 3,025 | $ — | |||
Class I | $ 514,606 | $ 1,887,731 | $ 332,353 | $ 32,402 | |||
Class R6 | $ 309,655 | $ 686,051 | $ 31,159 | $ 582 | |||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||||
Class A | 14,563,868 | 29,240,004 | 6,623,207 | 715,032 | |||
Class C | 487,019 | 3,343,060 | 483,299 | — | |||
Class I | 46,989,392 | 188,845,416 | 44,027,782 | 3,607,203 | |||
Class R6 | 28,062,352 | 68,373,355 | 4,115,499 | 64,487 | |||
Net Asset Value and Redemption Price Per Share: | |||||||
Class A | $ 10.79 | $ 9.82 | $ 7.19 | $ 8.75 | |||
Class C | $ 10.40 | $ 9.54 | $ 6.26 | $ — | |||
Class I | $ 10.95 | $ 10.00 | $ 7.55 | $ 8.98 | |||
Class R6 | $ 11.03 | $ 10.03 | $ 7.57 | $ 9.02 |
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 | $ 11.45 | $ 10.42 | $ 7.63 | $ 9.28 | |||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | 5.75% | |||
(1) Investment in securities at cost | $ 831,548 | $ 2,585,135 | $ 368,067 | $ 33,336 | |||
(2) Foreign currency at cost | $ — | $ — | $ — | $ —(a) |
(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) | $ 108,936 | $ 27,811 | $ 634,028 | ||
Cash | 608 | 368 | 350 | ||
Receivables | |||||
Investment securities sold | 1,762 | 461 | 240 | ||
Fund shares sold | 2 | 3 | 7,725 | ||
Dividends | 18 | 8 | 1 | ||
Prepaid Trustees’ retainer | 3 | 1 | 10 | ||
Prepaid expenses | 26 | 15 | 69 | ||
Other assets | 9 | 2 | 48 | ||
Total assets | 111,364 | 28,669 | 642,471 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 82 | 4 | 447 | ||
Investment securities purchased | 1,583 | 398 | 3,163 | ||
Investment advisory fees | 57 | 13 | 329 | ||
Distribution and service fees | 19 | 2 | 28 | ||
Administration and accounting fees | 10 | 3 | 50 | ||
Transfer agent and sub-transfer agent fees and expenses | 19 | 9 | 114 | ||
Professional fees | 14 | 14 | 14 | ||
Trustee deferred compensation plan | 9 | 2 | 48 | ||
Interest expense and/or commitment fees | — (a) | — (a) | — (a) | ||
Other accrued expenses | 8 | 2 | 10 | ||
Total liabilities | 1,801 | 447 | 4,203 | ||
Net Assets | $ 109,563 | $ 28,222 | $ 638,268 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $ 42,442 | $ 19,768 | $ 465,600 | ||
Accumulated earnings (loss) | 67,121 | 8,454 | 172,668 | ||
Net Assets | $ 109,563 | $ 28,222 | $ 638,268 | ||
Net Assets: | |||||
Class A | $ 95,619 | $ 11,153 | $ 157,592 | ||
Class I | $ 13,732 | $ 17,069 | $ 480,676 | ||
Class R6 | $ 212 | $ — | $ — | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 16,702,902 | 1,623,916 | 3,722,292 | ||
Class I | 1,565,050 | 1,838,540 | 10,639,969 | ||
Class R6 | 23,916 | — | — | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $ 5.72 | $ 6.87 | $ 42.34 | ||
Class I | $ 8.77 | $ 9.28 | $ 45.18 | ||
Class R6 | $ 8.87 | $ — | $ — | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $ 6.07 | $ 7.29 | $ 44.92 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1) Investment in securities at cost | $ 48,372 | $ 20,063 | $ 435,997 |
(a) | Amount is less than $500. |
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 | ||||
Investment Income | |||||||
Dividends | $ 15,174 | $ 39,756 | $ 3,715 | $ 256 | |||
Security lending, net of fees | — | 39 | — | — (1) | |||
Foreign taxes withheld | — | — | (14) | (29) | |||
Total investment income | 15,174 | 39,795 | 3,701 | 227 | |||
Expenses | |||||||
Investment advisory fees | 3,564 | 10,538 | 1,876 | 169 | |||
Distribution and service fees, Class A | 210 | 373 | 68 | 7 | |||
Distribution and service fees, Class C | 26 | 178 | 19 | — | |||
Administration and accounting fees | 551 | 1,587 | 234 | 24 | |||
Transfer agent fees and expenses | 229 | 662 | 96 | 9 | |||
Sub-transfer agent fees and expenses, Class A | 150 | 261 | 53 | 4 | |||
Sub-transfer agent fees and expenses, Class C | 2 | 18 | 3 | — | |||
Sub-transfer agent fees and expenses, Class I | 497 | 1,614 | 298 | 20 | |||
Custodian fees | 1 | 3 | 1 | 2 | |||
Printing fees and expenses | 30 | 117 | 19 | 2 | |||
Professional fees | 20 | 38 | 16 | 14 | |||
Interest expense and/or commitment fees | 4 | 10 | 2 | — (1) | |||
Registration fees | 34 | 66 | 30 | 20 | |||
Trustees’ fees and expenses | 55 | 154 | 24 | 2 | |||
Miscellaneous expenses | 50 | 117 | 21 | — (1) | |||
Total expenses | 5,423 | 15,736 | 2,760 | 273 | |||
Less net expenses reimbursed and/or waived by investment adviser(2) | (493) | (327) | (21) | (39) | |||
Less low balance account fees | — (1) | — (1) | — (1) | — | |||
Net expenses | 4,930 | 15,409 | 2,739 | 234 | |||
Net investment income (loss) | 10,244 | 24,386 | 962 | (7) | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Investments | (80,325) | (616,174) | (76,269) | 590 | |||
Foreign currency transactions | — | — | — | (11) | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | (143,612) | (181,374) | (44,945) | (1,827) | |||
Foreign currency transactions | — | — | — | 3 | |||
Net realized and unrealized gain (loss) on investments | (223,937) | (797,548) | (121,214) | (1,245) | |||
Net increase (decrease) in net assets resulting from operations | $(213,693) | $(773,162) | $(120,252) | $(1,252) |
(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 | $ 415 | $ 53 | $ 36 | ||
Security lending, net of fees | — (1) | — (1) | — | ||
Total investment income | 415 | 53 | 36 | ||
Expenses | |||||
Investment advisory fees | 359 | 116 | 1,144 | ||
Distribution and service fees, Class A | 111 | 13 | 96 | ||
Administration and accounting fees | 58 | 18 | 155 | ||
Transfer agent fees and expenses | 25 | 7 | 63 | ||
Sub-transfer agent fees and expenses, Class A | 32 | 4 | 44 | ||
Sub-transfer agent fees and expenses, Class I | 11 | 16 | 124 | ||
Custodian fees | — (1) | — (1) | — (1) | ||
Printing fees and expenses | 4 | 1 | 6 | ||
Professional fees | 12 | 12 | 13 | ||
Interest expense and/or commitment fees | — (1) | — (1) | 8 | ||
Registration fees | 21 | 15 | 29 | ||
Trustees’ fees and expenses | 5 | 1 | 6 | ||
Miscellaneous expenses | 8 | 4 | 10 | ||
Total expenses | 646 | 207 | 1,698 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (34) | (44) | (162) | ||
Less low balance account fees | — | — (1) | — (1) | ||
Net expenses | 612 | 163 | 1,536 | ||
Net investment income (loss) | (197) | (110) | (1,500) | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 6,898 | 851 | (5,209) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 3,306 | (537) | 147,923 | ||
Net realized and unrealized gain (loss) on investments | 10,204 | 314 | 142,714 | ||
Net increase (decrease) in net assets resulting from operations | $10,007 | $ 204 | $141,214 |
(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 | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 10,244 | $ 16,919 | $ 24,386 | $ 32,518 | |||
Net realized gain (loss) | (80,325) | 125,177 | (616,174) | 283,559 | |||
Net change in unrealized appreciation (depreciation) | (143,612) | 205,088 | (181,374) | 542,330 | |||
Increase (decrease) in net assets resulting from operations | (213,693) | 347,184 | (773,162) | 858,407 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (7,701) | (13,518) | (6,229) | (19,585) | |||
Class C | (255) | (339) | (705) | (2,225) | |||
Class I | (24,627) | (45,230) | (39,864) | (136,674) | |||
Class R6 | (14,727) | (25,235) | (14,281) | (46,058) | |||
Total Dividends and Distributions to Shareholders | (47,310) | (84,322) | (61,079) | (204,542) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (6,827) | (60,021) | 6,198 | 19,274 | |||
Class C | 1,031 | (10,334) | (3,677) | (17,758) | |||
Class I | (19,568) | (286,380) | (25,513) | 242,187 | |||
Class R6 | (12,374) | 68,747 | 51,955 | 287,970 | |||
Increase (decrease) in net assets from capital transactions | (37,738) | (287,988) | 28,963 | 531,673 | |||
Net increase (decrease) in net assets | (298,741) | (25,126) | (805,278) | 1,185,538 | |||
Net Assets | |||||||
Beginning of period | 1,285,210 | 1,310,336 | 3,698,142 | 2,512,604 | |||
End of Period | $ 986,469 | $ 1,285,210 | $ 2,892,864 | $ 3,698,142 |
Table of Contents
Ceredex Small-Cap Value Equity Fund | SGA International Growth Fund | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 962 | $ 7,121 | $ (7) | $ (17) | |||
Net realized gain (loss) | (76,269) | 27,892 | 579 | 23,904 | |||
Net change in unrealized appreciation (depreciation) | (44,945) | 58,549 | (1,824) | (2,778) | |||
Increase (decrease) in net assets resulting from operations | (120,252) | 93,562 | (1,252) | 21,109 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (503) | (3,931) | (1,049) | (3,190) | |||
Class C | (36) | (300) | — | — | |||
Class I | (3,335) | (25,070) | (5,446) | (17,106) | |||
Class R6 | (273) | (736) | (97) | (15) | |||
Total Dividends and Distributions to Shareholders | (4,147) | (30,037) | (6,592) | (20,311) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (7,287) | (6,402) | 946 | (16,772) | |||
Class C | (1,298) | (10,278) | — | — | |||
Class I | (24,559) | (68,963) | 3,446 | (31,786) | |||
Class R6 | 18,309 | 17,217 | 628 | 1 | |||
Increase (decrease) in net assets from capital transactions | (14,835) | (68,426) | 5,020 | (48,557) | |||
Net increase (decrease) in net assets | (139,234) | (4,901) | (2,824) | (47,759) | |||
Net Assets | |||||||
Beginning of period | 553,386 | 558,287 | 42,065 | 89,824 | |||
End of Period | $ 414,152 | $ 553,386 | $ 39,241 | $ 42,065 |
Table of Contents
Silvant Large-Cap Growth Stock Fund | Silvant Small-Cap Growth Stock Fund | ||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ (197) | $ (271) | $ (110) | $ (207) | |||
Net realized gain (loss) | 6,898 | 12,609 | 851 | 2,992 | |||
Net change in unrealized appreciation (depreciation) | 3,306 | 18,668 | (537) | 5,654 | |||
Increase (decrease) in net assets resulting from operations | 10,007 | 31,006 | 204 | 8,439 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (3,115) | (11,652) | (187) | (1,287) | |||
Class C | — | (1,787) | — | (38) | |||
Class I | (297) | (1,579) | (213) | (1,508) | |||
Class R6 | (5) | (14) | — | — | |||
Total Dividends and Distributions to Shareholders | (3,417) | (15,032) | (400) | (2,833) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (2,406) | 36,853 | (401) | 4,461 | |||
Class C | — | (33,736) | — | (4,040) | |||
Class I | (3,093) | (7,584) | (1,094) | 83 | |||
Class R6 | 31 | 29 | — | — | |||
Increase (decrease) in net assets from capital transactions | (5,468) | (4,438) | (1,495) | 504 | |||
Net increase (decrease) in net assets | 1,122 | 11,536 | (1,691) | 6,110 | |||
Net Assets | |||||||
Beginning of period | 108,441 | 96,905 | 29,913 | 23,803 | |||
End of Period | $ 109,563 | $ 108,441 | $ 28,222 | $ 29,913 |
Table of Contents
Zevenbergen Innovative Growth Stock Fund | |||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $ (1,500) | $ (1,811) | |
Net realized gain (loss) | (5,209) | (9,063) | |
Net change in unrealized appreciation (depreciation) | 147,923 | 43,895 | |
Increase (decrease) in net assets resulting from operations | 141,214 | 33,021 | |
Change in Net Assets from Capital Transactions (See Note 5): | |||
Class A | 73,854 | 13,124 | |
Class I | 286,409 | (6,660) | |
Increase (decrease) in net assets from capital transactions | 360,263 | 6,464 | |
Net increase (decrease) in net assets | 501,477 | 39,485 | |
Net Assets | |||
Beginning of period | 136,791 | 97,306 | |
End of Period | $ 638,268 | $ 136,791 |
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 | ||||||||||||||||
1/1/20 to 6/30/20(6) | $13.70 | 0.10 | (2.46) | (2.36) | — (7) | (0.55) | (0.55) | (2.91) | 10.79 | (17.25) % | $ 157,144 | 1.24 % | 1.29 % | 1.66 % | 111 % | |
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(8) | 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 | ||||||||||||||||
1/1/20 to 6/30/20(6) | $13.26 | 0.07 | (2.38) | (2.31) | — (7) | (0.55) | (0.55) | (2.86) | 10.40 | (17.45) % | $ 5,064 | 1.72 % | 1.95 % | 1.19 % | 111 % | |
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(8) | 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 | ||||||||||||||||
1/1/20 to 6/30/20(6) | $13.88 | 0.11 | (2.49) | (2.38) | — (7) | (0.55) | (0.55) | (2.93) | 10.95 | (17.17) % | $ 514,606 | 0.97 % | 1.05 % | 1.92 % | 111 % | |
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(8) | 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* | ||||||||||||||||
1/1/20 to 6/30/20(6) | $13.96 | 0.13 | (2.51) | (2.38) | — (7) | (0.55) | (0.55) | (2.93) | 11.03 | (17.07) % | $ 309,655 | 0.72 % | 0.86 % | 2.16 % | 111 % | |
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(8) | 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 (9) 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 | ||||||||||||||||
1/1/20 to 6/30/20(6) | $12.69 | 0.07 | (2.73) | (2.66) | — (7) | (0.21) | (0.21) | (2.87) | 9.82 | (20.94) % | $ 287,182 | 1.30 % (10) | 1.30 % | 1.32 % | 101 % | |
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 (10)(11) | 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 (11) | 1.31 | 0.55 | 109 | |
4/1/17 to 12/31/17(8) | 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 (12) | 0.75 (12) | 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 | ||||||||||||||||
1/1/20 to 6/30/20(6) | $12.36 | 0.04 | (2.65) | (2.61) | — (7) | (0.21) | (0.21) | (2.82) | 9.54 | (21.09) % | $ 31,900 | 1.79 % | 1.98 % | 0.83 % | 101 % | |
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(8) | 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 | ||||||||||||||||
1/1/20 to 6/30/20(6) | $12.89 | 0.08 | (2.76) | (2.68) | — (7) | (0.21) | (0.21) | (2.89) | 10.00 | (20.84) % | $1,887,731 | 1.04 % (10) | 1.04 % | 1.58 % | 101 % | |
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 (10) | 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 (10) | 1.01 | 0.92 | 109 | |
4/1/17 to 12/31/17(8) | 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* | ||||||||||||||||
1/1/20 to 6/30/20(6) | $12.92 | 0.10 | (2.78) | (2.68) | — (7) | (0.21) | (0.21) | (2.89) | 10.03 | (20.72) % | $ 686,051 | 0.79 % | 0.87 % | 1.82 % | 101 % | |
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(8) | 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 (9) 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 | ||||||||||||||||
1/1/20 to 6/30/20(6) | $ 9.38 | 0.01 | (2.12) | (2.11) | — | (0.08) | (0.08) | (2.19) | 7.19 | (22.54) % | $ 47,615 | 1.49 % (10) | 1.49 % | 0.17 % | 44 % | |
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 (10) | 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 (10) | 1.46 | 0.68 | 44 | |
4/1/17 to 12/31/17(8) | 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 |
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 C | ||||||||||||||||
1/1/20 to 6/30/20(6) | $ 8.19 | (0.01) | (1.84) | (1.85) | — | (0.08) | (0.08) | (1.93) | 6.26 | (22.64) % | $ 3,025 | 1.90 % | 2.19 % | (0.22) % | 44 % | |
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(8) | 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 | |
Class I | ||||||||||||||||
1/1/20 to 6/30/20(6) | $ 9.83 | 0.02 | (2.22) | (2.20) | — | (0.08) | (0.08) | (2.28) | 7.55 | (22.42) % | $ 332,353 | 1.21 % (10) | 1.21 % | 0.46 % | 44 % | |
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 (10) | 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 (10) | 1.18 | 0.99 | 44 | |
4/1/17 to 12/31/17(8) | 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 | ||||||||||||||||
1/1/20 to 6/30/20(6) | $ 9.84 | 0.03 | (2.22) | (2.19) | — | (0.08) | (0.08) | (2.27) | 7.57 | (22.30) % | $ 31,159 | 0.88 % | 1.05 % | 0.87 % | 44 % | |
2/26/19 (13) 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 (14) | |
SGA International Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
1/1/20 to 6/30/20(6) | $10.50 | (0.01) | 0.03 | 0.02 | — | (1.77) | (1.77) | (1.75) | 8.75 | 0.14 % | $ 6,257 | 1.39 % | 1.60 % | (0.21) % | 32 % | |
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 (15)(16)(17) | 1.52 | (0.20) | 147 (18) | |
1/1/18 to 12/31/18 | 11.90 | — (7) | (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(8) | 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 (19) | 1.43 (19) | 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 | ||||||||||||||||
1/1/20 to 6/30/20(6) | $10.71 | — (7) | 0.04 | 0.04 | — | (1.77) | (1.77) | (1.73) | 8.98 | 0.32 % | $ 32,402 | 1.14 % | 1.34 % | (0.01) % | 32 % | |
1/1/19 to 12/31/19 | 11.13 | — (7) | 2.97 | 2.97 | (0.04) | (3.35) | (3.39) | (0.42) | 10.71 | 28.49 | 35,641 | 1.25 (15)(16)(17) | 1.30 | 0.01 | 147 (18) | |
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 (11) | 1.19 | 0.28 | 37 | |
4/1/17 to 12/31/17(8) | 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 (19) | 1.24 (19) | 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 |
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) | ||
SGA International Growth Fund (Continued) | ||||||||||||||||
Class R6* | ||||||||||||||||
1/1/20 to 6/30/20(6) | $10.74 | 0.02 | 0.03 | 0.05 | — | (1.77) | (1.77) | (1.72) | 9.02 | 0.32 % | $ 582 | 1.04 % | 1.23 % | 0.37 % | 32 % | |
1/1/19 to 12/31/19 | 11.15 | — (7) | 2.99 | 2.99 | (0.05) | (3.35) | (3.40) | (0.41) | 10.74 | 28.59 | 48 | 1.16 (15)(16)(17) | 1.25 | (0.02) | 147 (18) | |
1/1/18 to 12/31/18(20) | 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(8) | 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 (19) | 1.14 (19) | 0.49 | 37 | |
9/1/15 (9) to 3/31/16 | 9.85 | — (7) | 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 | ||||||||||||||||
1/1/20 to 6/30/20(6) | $ 5.37 | (0.01) | 0.55 | 0.54 | — | (0.19) | (0.19) | 0.35 | 5.72 | 10.08 % | $ 95,619 | 1.23 % | 1.28 % | (0.42) % | 6 % | |
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(8) | 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 | |
Class I | ||||||||||||||||
1/1/20 to 6/30/20(6) | $ 8.12 | (0.01) | 0.85 | 0.84 | — | (0.19) | (0.19) | 0.65 | 8.77 | 10.37 % | $ 13,732 | 0.97 % | 1.11 % | (0.17) % | 6 % | |
1/1/19 to 12/31/19 | 6.63 | — (7) | 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 | — (7) | — (7) | — | — | (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(8) | 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 | — (7) | 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* | ||||||||||||||||
1/1/20 to 6/30/20(6) | $ 8.21 | — (7) | 0.85 | 0.85 | — | (0.19) | (0.19) | 0.66 | 8.87 | 10.38 % | $ 212 | 0.90 % | 0.97 % | (0.09) % | 6 % | |
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 | — (7) | — (7) | — | — | (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(8) | 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 (9) 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 |
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 Small-Cap Growth Stock Fund | ||||||||||||||||
Class A | ||||||||||||||||
1/1/20 to 6/30/20(6) | $ 6.89 | (0.03) | 0.13 | 0.10 | — | (0.12) | (0.12) | (0.02) | 6.87 | 1.39 % | $ 11,153 | 1.27 % | 1.62 % | (0.88) % | 18 % | |
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 (15) | 1.68 | (0.88) | 36 | |
4/1/17 to 12/31/17(8) | 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 | ||||||||||||||||
1/1/20 to 6/30/20(6) | $ 9.27 | (0.03) | 0.16 | 0.13 | — | (0.12) | (0.12) | 0.01 | 9.28 | 1.36 % | $ 17,069 | 1.15 % | 1.46 % | (0.76) % | 18 % | |
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 (15) | 1.53 | (0.76) | 36 | |
4/1/17 to 12/31/17(8) | 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 | ||||||||||||||||
1/1/20 to 6/30/20(6) | $28.48 | (0.21) | 14.07 | 13.86 | — | — | — | 13.86 | 42.34 | 48.67 % | $ 157,592 | 1.26 % (21) | 1.37 % | (1.23) % | 24 % | |
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 (21) | 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 (11)(15) | 1.47 | (1.35) | 103 | |
4/1/17 to 12/31/17(8) | 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 | |
Class I | ||||||||||||||||
1/1/20 to 6/30/20(6) | $30.35 | (0.18) | 15.01 | 14.83 | — | — | — | 14.83 | 45.18 | 48.86 % | $ 480,676 | 1.01 % (21) | 1.12 % | (0.98) % | 24 % | |
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 (21) | 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 (11)(15) | 1.23 | (1.15) | 103 | |
4/1/17 to 12/31/17(8) | 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 |
Table of Contents
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) | Unaudited. |
(7) | Amount is less than $0.005 per share. |
(8) | The Fund changed its fiscal year end to December 31 during the period. |
(9) | Class R6 (formerly IS) commenced operations for the predecessor fund (see Note 1). |
(10) | The share class is currently under its expense limitation. |
(11) | See Note 3D in the Notes to Financial Statements for information on recapture of expenses previously reimbursed. |
(12) | 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. |
(13) | Inception date. |
(14) | Portfolio turnover is representative of the Fund for the entire year ended December 31, 2019. |
(15) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(16) | Net expense ratio includes extraordinary proxy expenses. |
(17) | 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). |
(18) | 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. |
(19) | 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. |
(20) | 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. |
(21) | Ratios of total expenses excluding interest expense on borrowings for the six months ended June 30, 2020 and the year ended December 31, 2019 were 1.25% (Class A) and 1.00% (Class I). |
Table of Contents
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 |
Fund | Investment objective(s) | |
Ceredex Large-Cap Value Equity Fund | Seeking to provide a high level of capital appreciation. As a secondary goal, the Fund also seeks to provide current income. | |
Ceredex Mid-Cap Value Equity Fund | Seeking to provide capital appreciation. As a secondary goal, the Fund also seeks to provide current income. | |
Ceredex Small-Cap Value Equity Fund | Seeking to provide capital appreciation. As a secondary goal, the Fund also seeks to provide current income. | |
SGA International Growth Fund | Seeking to provide long-term capital appreciation. | |
Silvant Large-Cap Growth Stock Fund | Seeking to provide capital appreciation. | |
Silvant Small-Cap Growth Stock Fund | Seeking to provide long-term capital appreciation. | |
Zevenbergen Innovative Growth Stock Fund | Seeking to provide long-term capital appreciation. |
Table of Contents
A. | Security Valuation |
Each Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Funds’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
Table of Contents
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Fund is notified. Interest income is recorded on the accrual basis. Each Fund amortizes premiums and accretes discounts using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from REITs is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
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 June 30, 2020, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 forward (with limited exceptions). | |
D. | Distributions to Shareholders |
Distributions are recorded by each Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each Fund or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that a Fund bears directly, the shareholders of a Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | Securities Lending |
The Funds may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities a Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by each Fund under Master Securities Lending Agreements (“MSLA”) which permit the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
Effective March 13, 2020, the securities lending program was put on hold and all securities on loan were recalled. |
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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 |
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 Limitations |
The Adviser has contractually agreed to limit each Fund’s annual total operating expenses, subject to the exclusions 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, 2021. 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. |
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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 | 1.55 ‡ | 1.90 | 1.24 ‡ | 0.88 | ||||
SGA International Growth Fund | 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. |
D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending: |
Expiration | ||||||||||
Fund | 2020 | 2021 | 2022 | 2023 | Total | |||||
Ceredex Large-Cap Value Equity Fund | ||||||||||
Class A | $ 73 | $ 85 | $ 103 | $ 45 | $ 306 | |||||
Class C | 4 | 33 | 11 | 6 | 54 | |||||
Class I | 564 | 499 | 503 | 205 | 1,771 | |||||
Class R6 | 184 | 366 | 441 | 237 | 1,228 | |||||
Ceredex Mid-Cap Value Equity Fund | ||||||||||
Class C | 35 | 114 | 68 | 33 | 250 | |||||
Class R6 | 124 | 335 | 485 | 294 | 1,238 | |||||
Ceredex Small-Cap Value Equity Fund | ||||||||||
Class C | 21 | 36 | 17 | 6 | 80 | |||||
Class R6 | — | — | 6 | 15 | 21 | |||||
SGA International Growth Fund | ||||||||||
Class A | 11 | 5 | 7 | 6 | 29 | |||||
Class I | 27 | 3 | 37 | 33 | 100 | |||||
Class R6 | 5 | 1 | — (1) | — (1) | 6 | |||||
Silvant Large-Cap Growth Stock Fund | ||||||||||
Class A | 34 | 236 | 77 | 24 | 371 | |||||
Class I | 26 | 32 | 27 | 10 | 95 | |||||
Class R6 | 2 | — (1) | — (1) | — (1) | 2 | |||||
Silvant Small-Cap Growth Stock Fund | ||||||||||
Class A | 6 | 19 | 40 | 19 | 84 | |||||
Class I | 21 | 43 | 58 | 25 | 147 | |||||
Zevenbergen Innovative Growth Stock Fund | ||||||||||
Class A | 1 | 6 | 72 | 44 | 123 | |||||
Class I | 21 | 22 | 180 | 118 | 341 |
Fund | Class A | |
Ceredex Mid-Cap Value Equity Fund | $ — (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 six months (the “period”) ended June 30, 2020, it retained net commissions of $72 for Class A shares and CDSC of $—(1) and $1 for Class A shares and Class C shares, respectively. |
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In addition, each Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the annual rates of 0.25% for Class A shares and 1.00% for Class C shares. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. | |
(1) Amount is less than $500. | |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Funds. | |
For the period ended June 30, 2020, the Funds incurred administration fees totaling $2,385 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 June 30, 2020, the Funds incurred transfer agent fees totaling $1,069 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 June 30, 2020. |
Purchases | Sales | ||
Ceredex Large-Cap Value Equity Fund | $1,137,879 | $1,226,205 | |
Ceredex Mid-Cap Value Equity Fund | 3,121,462 | 3,023,826 | |
Ceredex Small-Cap Value Equity Fund | 193,780 | 216,174 | |
SGA International Growth Fund | 12,424 | 13,298 | |
Silvant Large-Cap Growth Stock Fund | 6,425 | 15,674 | |
Silvant Small-Cap Growth Stock Fund | 4,862 | 6,518 | |
Zevenbergen Innovative Growth Stock Fund | 420,654 | 73,113 |
Ceredex Large-Cap Value Equity Fund | Ceredex Mid-Cap Value Equity Fund | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 3,052 | $ 33,954 | 3,072 | $ 38,300 | 6,255 | $ 62,734 | 9,555 | $ 112,353 | |||||||
Reinvestment of distributions | 649 | 7,031 | 924 | 12,649 | 597 | 5,882 | 1,459 | 18,481 | |||||||
Shares repurchased and cross class conversions | (4,214) | (47,812) | (8,895) | (110,970) | (6,172) | (62,418) | (9,329) | (111,560) | |||||||
Net Increase / (Decrease) | (513) | $ (6,827) | (4,899) | $ (60,021) | 680 | $ 6,198 | 1,685 | $ 19,274 |
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Ceredex Large-Cap Value Equity Fund | Ceredex Mid-Cap Value Equity Fund | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 138 | $ 1,770 | 128 | $ 1,615 | 191 | $ 1,881 | 799 | $ 9,255 | |||||||
Reinvestment of distributions | 15 | 156 | 19 | 252 | 65 | 625 | 160 | 1,988 | |||||||
Shares repurchased and cross class conversions | (83) | (895) | (1,076) | (12,201) | (623) | (6,183) | (2,677) | (29,001) | |||||||
Net Increase / (Decrease) | 70 | $ 1,031 | (929) | $ (10,334) | (367) | $ (3,677) | (1,718) | $ (17,758) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 5,395 | $ 60,829 | 7,032 | $ 91,024 | 32,801 | $ 331,838 | 62,142 | $ 749,099 | |||||||
Reinvestment of distributions | 2,226 | 24,488 | 3,239 | 44,928 | 3,804 | 38,152 | 10,010 | 128,823 | |||||||
Shares repurchased and cross class conversions | (8,836) | (104,885) | (32,573) | (422,332) | (39,367) | (395,503) | (53,728) | (635,735) | |||||||
Net Increase / (Decrease) | (1,215) | $ (19,568) | (22,302) | $ (286,380) | (2,762) | $ (25,513) | 18,424 | $ 242,187 | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 3,446 | $ 40,968 | 8,603 | $ 114,089 | 15,222 | $ 158,827 | 28,378 | $ 347,267 | |||||||
Reinvestment of distributions | 1,203 | 13,327 | 1,732 | 24,166 | 1,348 | 13,572 | 3,455 | 44,568 | |||||||
Shares repurchased and cross class conversions | (5,552) | (66,669) | (5,295) | (69,508) | (11,668) | (120,444) | (8,484) | (103,865) | |||||||
Net Increase / (Decrease) | (903) | $ (12,374) | 5,040 | $ 68,747 | 4,902 | $ 51,955 | 23,349 | $ 287,970 |
Ceredex Small-Cap Value Equity Fund | SGA International Growth Fund | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 585 | $ 3,697 | 1,431 | $ 13,127 | 76 | $ 743 | 216 | �� | $ 2,232 | ||||||
Reinvestment of distributions | 70 | 502 | 412 | 3,889 | 118 | 1,033 | 317 | 3,138 | |||||||
Shares repurchased and cross class conversions | (1,588) | (11,486) | (2,480) | (23,418) | (87) | (830) | (1,956) | (22,142) | |||||||
Net Increase / (Decrease) | (933) | $ (7,287) | (637) | $ (6,402) | 107 | $ 946 | (1,423) | $ (16,772) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 6 | $ 39 | 27 | $ 227 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | 6 | 36 | 34 | 280 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (195) | (1,373) | (1,347) | (10,785) | — | — | — | — | |||||||
Net Increase / (Decrease) | (183) | $ (1,298) | (1,286) | $ (10,278) | — | $ — | — | $ — | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 5,486 | $ 42,191 | 6,622 | $ 65,246 | 1,128 | $ 11,913 | 2,293 | $ 25,984 | |||||||
Reinvestment of distributions | 438 | 3,302 | 2,506 | 24,798 | 600 | 5,385 | 1,677 | 16,935 | |||||||
Shares repurchased and cross class conversions | (8,740) | (70,052) | (16,019) | (159,007) | (1,448) | (13,852) | (6,711) | (74,705) | |||||||
Net Increase / (Decrease) | (2,816) | $ (24,559) | (6,891) | $ (68,963) | 280 | $ 3,446 | (2,741) | $ (31,786) |
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Ceredex Small-Cap Value Equity Fund | SGA International Growth Fund | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 2,630 | $ 19,997 | 1,691 | $ 17,061 | 51 | $ 543 | — (1) | $ 1 | |||||||
Reinvestment of distributions | 35 | 262 | 74 | 736 | 10 | 89 | — (1) | — (2) | |||||||
Shares repurchased and cross class conversions | (257) | (1,950) | (58) | (580) | (—) (1) | (4) | (—) (1) | (—) (2) | |||||||
Net Increase / (Decrease) | 2,408 | $ 18,309 | 1,707 | $ 17,217 | 61 | $ 628 | — | $ 1 |
Silvant Large-Cap Growth Stock Fund | Silvant Small-Cap Growth Stock Fund | ||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 115 | $ 610 | 7,178 | $ 36,377 | 44 | $ 283 | 803 | $ 5,317 | |||||||
Reinvestment of distributions | 533 | 3,064 | 2,134 | 11,472 | 27 | 185 | 183 | 1,273 | |||||||
Shares repurchased and cross class conversions | (1,187) | (6,080) | (2,031) | (10,996) | (144) | (869) | (297) | (2,129) | |||||||
Net Increase / (Decrease) | (539) | $ (2,406) | 7,281 | $ 36,853 | (73) | $ (401) | 689 | $ 4,461 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | — | $ — | 325 | $ 546 | — | $ — | 69 | $ 137 | |||||||
Reinvestment of distributions | — | — | 1,096 | 1,776 | — | — | 18 | 37 | |||||||
Shares repurchased and cross class conversions | — | — | (22,114) | (36,058) | — | — | (2,301) | (4,214) | |||||||
Net Increase / (Decrease) | — | $ — | (20,693) | $ (33,736) | — | $ — | (2,214) | $ (4,040) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 42 | $ 338 | 162 | $ 1,242 | 240 | $ 2,181 | 282 | $ 2,596 | |||||||
Reinvestment of distributions | 30 | 265 | 170 | 1,366 | 22 | 209 | 158 | 1,477 | |||||||
Shares repurchased and cross class conversions | (442) | (3,696) | (1,296) | (10,192) | (389) | (3,484) | (430) | (3,990) | |||||||
Net Increase / (Decrease) | (370) | $ (3,093) | (964) | $ (7,584) | (127) | $ (1,094) | 10 | $ 83 | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 4 | $ 29 | 2 | $ 18 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | 1 | 5 | 2 | 14 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (1) | (3) | (—) (1) | (3) | — | — | — | — | |||||||
Net Increase / (Decrease) | 4 | $ 31 | 4 | $ 29 | — | $ — | — | $ — |
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Zevenbergen Innovative Growth Stock Fund | |||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Shares sold and cross class conversions | 3,038 | $ 104,526 | 1,974 | $ 53,101 | |||
Shares repurchased and cross class conversions | (953) | (30,672) | (1,532) | (39,977) | |||
Net Increase / (Decrease) | 2,085 | $ 73,854 | 442 | $ 13,124 | |||
Class I | |||||||
Shares sold and cross class conversions | 10,497 | $ 382,885 | 5,739 | $ 160,109 | |||
Shares repurchased and cross class conversions | (2,827) | (96,476) | (6,038) | (166,769) | |||
Net Increase / (Decrease) | 7,670 | $ 286,409 | (299) | $ (6,660) |
(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 | 30% | 2 | |
Ceredex Mid-Cap Value Equity Fund | 36 | 2 | |
Ceredex Small-Cap Value Equity Fund | 50 | 3 | |
SGA International Growth Fund | 17 | 1 | |
Silvant Large-Cap Growth Stock Fund | 54 | 1 | |
Silvant Small-Cap Growth Stock Fund | 53 | 2 | |
Zevenbergen Innovative Growth Stock Fund | 44 | 3 |
* | None of the accounts are affiliated. |
Fund | Sector | Percentage of Total Investments | ||
Ceredex Small-Cap Value Equity Fund | Financials | 26% | ||
Silvant Large-Cap Growth Stock Fund | Information Technology | 42 | ||
Silvant Small-Cap Growth Stock Fund | Health Care | 32 | ||
Zevenbergen Innovative Growth Stock Fund | Information Technology | 41 |
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Fund | Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | ||||
Ceredex Small-Cap Value Equity Fund | $— (1) | $1,600 | 1.92% | 1 | ||||
SGA International Growth Fund | — (1) | 519 | 2.06 | 12 | ||||
Zevenbergen Innovative Growth Stock Fund | 7 | 8,092 | 2.67 | 12 |
(1) | Amount is less than $500. |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Ceredex Large-Cap Value Equity Fund | $ 846,053 | $ 123,705 | $ (20,494) | $ 103,211 | ||||
Ceredex Mid-Cap Value Equity Fund | 2,619,155 | 272,210 | (57,671) | 214,539 | ||||
Ceredex Small-Cap Value Equity Fund | 369,093 | 67,017 | (27,994) | 39,023 | ||||
SGA International Growth Fund | 33,530 | 7,570 | (1,916) | 5,654 | ||||
Silvant Large-Cap Growth Stock Fund | 48,513 | 61,771 | (1,348) | 60,423 | ||||
Silvant Small-Cap Growth Stock Fund | 20,069 | 9,611 | (1,869) | 7,742 | ||||
Zevenbergen Innovative Growth Stock Fund | 440,781 | 194,561 | (1,314) | 193,247 |
No Expiration | Total | ||||||
Short-Term | Long-Term | Short-Term | Long-Term | ||||
Zevenbergen Innovative Growth Stock Fund | $12,753 | $— | $12,753 | $— |
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Capital Loss Deferred | |
Zevenbergen Innovative Growth Stock Fund | $ 339 |
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and Statutory Prospectuses dated April 28, 2020
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Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
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please contact us at 1-800-243-1574, or Virtus.com.
8623 | 08-20 |
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Item 2. Code of Ethics.
Response not required for semi-annual report.
Item 3. Audit Committee Financial Expert.
Response not required for semi-annual report.
Item 4. Principal Accountant Fees and Services.
Response not required for semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Response not required for semi-annual report.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) Not applicable.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
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Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) |
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(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) |
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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 9/4/2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President | ||
(principal executive officer) | ||
Date 9/4/2020 | ||
By (Signature and Title)* | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, Chief Financial Officer and Treasurer | ||
(principal financial officer) | ||
Date 9/4/2020 |
* Print the name and title of each signing officer under his or her signature.