Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-04642
Virtus Variable Insurance Trust
(Exact name of registrant as specified in charter)
One Financial Plaza
Hartford, CT 06103-4506
(Address of principal executive offices) (Zip code)
Jennifer S. Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT 06103-4506
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800)367-5877
Date of fiscal year end: December 31
Date of reporting period: December 31, 2019
FormN-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Table of Contents
Item 1. | Reports to Stockholders. |
The Report to Shareholders is attached herewith.
Table of Contents
Virtus Duff & Phelps Real Estate Securities Series* |
Virtus KAR Capital Growth Series* |
Virtus KAR Small-Cap Growth Series* |
Virtus KAR Small-Cap Value Series |
Virtus Newfleet Multi-Sector Intermediate Bond Series |
Virtus Rampart Enhanced Core Equity Series |
Virtus SGA International Growth Series* |
Virtus Strategic Allocation Series |
Table of Contents
1 | ||
2 | ||
4 | ||
Series | Series Summary | Schedule of Investments |
7 | 30 | |
9 | 32 | |
12 | 34 | |
15 | 35 | |
18 | 36 | |
21 | 48 | |
24 | 55 | |
26 | 57 | |
67 | ||
69 | ||
71 | ||
75 | ||
79 | ||
92 | ||
93 | ||
94 | ||
95 | ||
99 |
Table of Contents
President, Virtus Variable Insurance Trust
Table of Contents
Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class A | $ 1,000.00 | $ 1,080.00 | 1.16 % | $ 6.08 | ||||
Class I | 1,000.00 | 1,081.40 | 0.91 | 4.77 | ||||
KAR Capital Growth Series | ||||||||
Class A | 1,000.00 | 1,074.20 | 1.03 | 5.38 | ||||
KAR Small-Cap Growth Series | ||||||||
Class A | 1,000.00 | 1,055.20 | 1.19 | 6.16 | ||||
Class I | 1,000.00 | 1,056.30 | 0.94 | 4.87 | ||||
KAR Small-Cap Value Series | ||||||||
Class A | 1,000.00 | 1,089.90 | 1.10 | 5.79 | ||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class A | 1,000.00 | 1,028.10 | 0.94 | 4.81 | ||||
Class I | 1,000.00 | 1,030.70 | 0.69 | 3.53 | ||||
Rampart Enhanced Core Equity Series | ||||||||
Class A | 1,000.00 | 1,111.30 | 0.98 | 5.22 | ||||
SGA International Growth Series | ||||||||
Class A | 1,000.00 | 1,040.00 | 1.21 | 6.22 | ||||
Class I | 1,000.00 | 1,040.90 | 0.96 | 4.94 | ||||
Strategic Allocation Series | ||||||||
Class A | 1,000.00 | 1,064.10 | 0.98 | 5.10 |
* | Expenses are equal to the relevant Series’ annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (184) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Table of Contents
Beginning Account Value July 1, 2019 | Ending Account Value December 31, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class A | $ 1,000.00 | $ 1,019.36 | 1.16 % | $ 5.90 | ||||
Class I | 1,000.00 | 1,020.62 | 0.91 | 4.63 | ||||
KAR Capital Growth Series | ||||||||
Class A | 1,000.00 | 1,020.01 | 1.03 | 5.24 | ||||
KAR Small-Cap Growth Series | ||||||||
Class A | 1,000.00 | 1,019.21 | 1.19 | 6.06 | ||||
Class I | 1,000.00 | 1,020.47 | 0.94 | 4.79 | ||||
KAR Small-Cap Value Series | ||||||||
Class A | 1,000.00 | 1,019.66 | 1.10 | 5.60 | ||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class A | 1,000.00 | 1,020.47 | 0.94 | 4.79 | ||||
Class I | 1,000.00 | 1,021.73 | 0.69 | 3.52 | ||||
Rampart Enhanced Core Equity Series | ||||||||
Class A | 1,000.00 | 1,020.27 | 0.98 | 4.99 | ||||
SGA International Growth Series | ||||||||
Class A | 1,000.00 | 1,019.11 | 1.21 | 6.16 | ||||
Class I | 1,000.00 | 1,020.37 | 0.96 | 4.89 | ||||
Strategic Allocation Series | ||||||||
Class A | 1,000.00 | 1,020.27 | 0.98 | 4.99 |
* | Expenses are equal to the relevant Series’ annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (184) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Table of Contents
Table of Contents
Table of Contents
Table of Contents
Duff & Phelps Investment Management Co.
■ | The Series is diversified and has investment objectives of capital appreciation and income with approximately equal emphasis.There is no guarantee that the Series will meet its objectives. |
■ | For the fiscal year ended December 31, 2019, the Series’ Class A shares at NAV returned 27.42% and Class I shares at NAV returned 27.78%. For the same period, the FTSE Nareit Equity REITs Index, which serves as the Series’ broad-based and style-specific benchmark appropriate for comparison, returned 26.00%. |
Residential | 26% |
Industrial/Office | 24 |
Retail | 16 |
Health Care | 10 |
Data Centers | 8 |
Specialty | 7 |
Lodging/Resorts | 4 |
Other (includes short-term investment) | 5 |
Total | 100% |
Table of Contents
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 27.42 % | 6.66 % | 11.67 % | — % | — | |||||||
Class I shares at NAV2 | 27.78 | 6.92 | — | 7.80 | 4/30/13 | |||||||
FTSE Nareit Equity REITs Index | 26.00 | 7.21 | 11.94 | 7.663 | — | |||||||
Series Expense Ratios4: Class A shares: Gross 1.19%, Net 1.14%; Class I shares: Gross 0.94%, Net 0.89%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The since inception index return is from the inception date of Class I shares. |
4 | The expense ratios of the Series are set forth according to the prospectus for the Series effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2021. Gross Expense: Does not reflect the effect of the contractual expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Table of Contents
Kayne Anderson Rudnick Investment Management, LLC
■ | The Series is diversified and has an investment objective of long-term growth of capital.There is no guarantee that the Series will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Series’ Class A shares at NAV returned 39.87%. For the same period, the Russell 1000® Growth Index, which serves as the Series’ broad- based and style-specific benchmark appropriate for comparison, returned 36.39%. |
Table of Contents
Information Technology | 27% |
Consumer Discretionary | 26 |
Communication Services | 14 |
Industrials | 10 |
Financials | 8 |
Health Care | 7 |
Consumer Staples | 6 |
Other | 2 |
Total | 100% |
Table of Contents
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 39.87% | 13.84% | 13.18% | |||||
Russell 1000® Growth Index | 36.39 | 14.63 | 15.22 | |||||
Series Expense Ratios3: Class A shares: Gross 1.11%, Net 1.03%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. | |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The expense ratios of the Series are set forth according to the prospectus for the Series effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the contractual expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Table of Contents
Kayne Anderson Rudnick Investment Management, LLC
■ | The Series is diversified and has an investment objective of long-term capital growth.There is no guarantee that the Series will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Series’ Class A shares at NAV returned 37.31% and Class I shares at NAV returned 37.66%. For the same period, the Russell 2000® Growth Index, which serves as the Series’ broad-based and style-specific benchmark appropriate for comparison, returned 28.48%. |
Table of Contents
Information Technology | 25% |
Communication Services | 18 |
Financials | 15 |
Industrials | 14 |
Consumer Discretionary | 10 |
Consumer Staples | 7 |
Health Care | 7 |
Other (includes short-term investment and securities lending collateral) | 4 |
Total | 100% |
Table of Contents
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 37.31 % | 22.33 % | 19.62 % | — % | — | |||||||
Class I shares at NAV2 | 37.66 | 22.64 | — | 21.69 | 4/30/13 | |||||||
Russell 2000® Growth Index | 28.48 | 9.34 | 13.01 | 11.783 | — | |||||||
Series Expense Ratios4: Class A shares: Gross 1.27%, Net 1.16%; Class I shares: Gross 1.03%, Net 0.91%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The since inception index return is from the inception date of Class I shares. |
4 | The expense ratios of the Series are set forth according to the prospectus for the Series effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2021. Gross Expense: Does not reflect the effect of the contractual expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Table of Contents
Kayne Anderson Rudnick Investment Management, LLC
■ | The Series is diversified and has an investment objective of long-term capital appreciation.There is no guarantee that the Series will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Series’ Class A shares at NAV returned 24.63%. For the same period, the Russell 2000® Value Index, which serves as the Series’ broad-based and style-specific benchmark appropriate for comparison, returned 22.39%. |
Table of Contents
Industrials | 27% |
Financials | 19 |
Information Technology | 18 |
Consumer Discretionary | 9 |
Real Estate | 7 |
Consumer Staples | 7 |
Materials | 6 |
Other | 7 |
Total | 100% |
Table of Contents
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 24.63% | 9.47% | 11.58% | |||||
Russell 2000® Value Index | 22.39 | 6.99 | 10.56 | |||||
Series Expense Ratios3: Class A shares: Gross 1.33%, Net 1.10%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. | |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The expense ratios of the Series are set forth according to the prospectus for the Series effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the contractual expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Table of Contents
Newfleet Asset Management, LLC
■ | The Series is diversified and has an investment objective of long-term total return.There is no guarantee that the Series will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Series’ Class A shares at NAV returned 10.47% and Class I shares at NAV returned 10.89%. For the same period, the Bloomberg Barclays U.S. Aggregate Bond Index, which serves as the broad-based and style-specific benchmark index appropriate for comparison, returned 8.72%. |
Table of Contents
Corporate Bonds and Notes | 46% | |
Financials | 11% | |
Energy | 8 | |
Materials | 5 | |
All other Corporate Bonds and Notes | 22 | |
Mortgage-Backed Securities | 22 | |
Asset-Backed Securities | 10 | |
Foreign Government Securities | 8 | |
Leveraged Loans | 8 | |
Municipal Bonds | 2 | |
Preferred Stocks | 2 | |
Other (includes securitites lending collateral) | 2 | |
Total | 100% |
Table of Contents
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 10.47 % | 4.37 % | 5.71 % | — % | — | |||||||
Class I shares at NAV2 | 10.89 | 4.65 | — | 3.65 | 4/30/13 | |||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 3.75 | 2.713 | — | |||||||
Series Expense Ratios4: Class A shares: Gross 0.93%, Net 0.94%; Class I shares: Gross 0.68%, Net 0.69%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The since inception index return is from the inception date of Class I shares. |
4 | The expense ratios of the Series are set forth according to the prospectus for the Series effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the contractual expense limitation. Gross Expenses were below the contractual expense limitation before recapture of expenses previously reimbursed and/or fees waived, which is why the net expense ratio is higher than the gross expense ratio. See Note 4D for additional information on Expense Recapture. Expense ratios include fees and expenses associated with any underlying funds. |
Table of Contents
Rampart Investment Management Company, LLC (“Rampart”)
■ | The Series is diversified and has investment objectives of capital appreciation and current income.There is no guarantee that the Series will meet its objectives. |
■ | For the fiscal year ended December 31, 2019, the Series’ Class A shares at NAV returned 28.67%. For the same period, the S&P 500® Index, which serves as the broad-based and style-specific benchmark appropriate for comparison, returned 31.49%. |
Table of Contents
Information Technology | 23% |
Health Care | 14 |
Financials | 13 |
Communication Services | 10 |
Industrials | 9 |
Consumer Discretionary | 9 |
Consumer Staples | 7 |
Other | 15 |
Total | 100% |
Table of Contents
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 28.67% | 6.56% | 9.72% | |||||
S&P 500® Index | 31.49 | 11.70 | 13.56 | |||||
Series Expense Ratios3: Class A shares: Gross 1.14%, Net 0.98%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. | |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The expense ratios of the Series are set forth according to the prospectus for the Series effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the contractual expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Table of Contents
Sustainable Growth Advisers, LP
■ | The Series is diversified and has an investment objective of high total return consistent with reasonable risk.There is no guarantee that the Series will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Series’ Class A shares at NAV returned 18.54% and Class I shares at NAV returned 18.77%. For the same period, the MSCI All Country World ex USA Index (net), which serves as the Series’ broad-based and style-specific benchmark appropriate for comparison, returned 21.51%. |
Consumer Staples | 25% |
Financials | 19 |
Consumer Discretionary | 16 |
Health Care | 12 |
Information Technology | 11 |
Materials | 6 |
Industrials | 6 |
Other (includes short-term investment) | 5 |
Total | 100% |
Table of Contents
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 18.54 % | 0.18 % | 2.80 % | — % | — | |||||||
Class I shares at NAV2 | 18.77 | 0.42 | — | -0.08 | 4/30/13 | |||||||
MSCI All Country World ex USA Index (net) | 21.51 | 5.51 | 4.97 | 4.653 | — | |||||||
MSCI EAFE® Index (net)* | 22.01 | 5.67 | 5.50 | 5.073 | — | |||||||
Series Expense Ratios4: Class A shares: Gross 1.17%, Net 1.16%; Class I shares: Gross 0.92%, Net 0.91%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The since inception index return is from the inception date of Class I shares. |
4 | The expense ratios of the Series are set forth according to the prospectus for the Series effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2021. Gross Expense: Does not reflect the effect of the contractual expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Table of Contents
Kayne Anderson Rudnick Investment Management, LLC (Domestic and International Equity Portfolio) and Newfleet Asset Management, LLC (Fixed Income Portfolio)
■ | The Series is diversified and has an investment objective of high total return over an extended period of time consistent with prudent investment risk.There is no guarantee that the Series will meet its objective. |
■ | For the fiscal year ended December 31, 2019, the Series’ Class A shares at NAV returned 26.05%. For the same period, the Bloomberg Barclays U.S. Aggregate Bond Index, a broad-based fixed income index, returned 8.72%; the MSCI ACWI ex USA SMID Cap Index (net), a broad-based international index, returned 22.36%; and Russell 1000® Growth Index, a broad-based U.S. equity index, returned 36.39%. The Strategic Allocation Series Linked Benchmark, the Series’ style-specific benchmark, returned 23.10%. |
Table of Contents
Table of Contents
Common Stocks | 63% | |
Information Technology | 16% | |
Consumer Discretionary | 14 | |
Communication Services | 10 | |
All other Common Stocks | 23 | |
Corporate Bonds and Notes | 13 | |
Financials | 6 | |
All Other Corporate Bonds and Notes | 7 | |
Mortgage-Backed Securities | 11 | |
U.S. Government Securities | 5 | |
Asset-Backed Securities | 4 | |
Municipal Bonds | 2 | |
Leveraged Loans | 1 | |
Other (includes securities lending collateral) | 1 | |
Total | 100% |
Table of Contents
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 26.05% | 6.13% | 8.37% | |||||
Bloomberg Barclay U.S. Aggregate Bond Index | 8.72 | 3.05 | 3.75 | |||||
MSCI ACWI ex USA SMID Cap Index (net) | 22.36 | 6.59 | 6.40 | |||||
MSCI EAFE® Index (net)* | 22.01 | 5.67 | 5.50 | |||||
Russell 1000® Growth Index | 36.39 | 14.63 | 15.22 | |||||
Strategic Allocation Series Linked Benchmark | 23.10 | 8.83 | 10.00 | |||||
Series Expense Ratios3: Class A shares: Gross 1.02%, Net 0.98%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. | |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The expense ratios of the Series are set forth according to the prospectus for the Series effective April 30, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2020. Gross Expense: Does not reflect the effect of the contractual expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Table of Contents
Shares | Value | ||
Common Stocks—96.2% | |||
Real Estate Investment Trusts—96.2% | |||
Data Centers—8.2% | |||
CyrusOne, Inc. | 22,067 | $1,444 | |
Equinix, Inc. | 8,677 | 5,065 | |
6,509 | |||
Diversified—0.4% | |||
Vornado Realty Trust | 4,900 | 326 | |
Health Care—9.8% | |||
Healthcare Trust of America, Inc. Class A | 84,500 | 2,559 | |
Healthpeak Properties, Inc. | 114,450 | 3,945 | |
Welltower, Inc. | 14,900 | 1,218 | |
7,722 | |||
Industrial/Office—23.1% | |||
Industrial—11.9% | |||
Americold Realty Trust | 50,317 | 1,764 | |
Duke Realty Corp. | 93,346 | 3,236 | |
Prologis, Inc. | 49,052 | 4,373 | |
9,373 | |||
Office—11.2% | |||
Alexandria Real Estate Equities, Inc. | 22,617 | 3,654 | |
Cousins Properties, Inc. | 69,512 | 2,864 | |
Douglas Emmett, Inc. | 35,890 | 1,576 | |
Paramount Group, Inc. | 57,560 | 801 | |
8,895 | |||
Total Industrial/Office | 18,268 | ||
Lodging/Resorts—3.8% | |||
Host Hotels & Resorts, Inc. | 28,064 | 520 | |
RLJ Lodging Trust | 46,535 | 825 | |
Ryman Hospitality Properties, Inc. | 17,447 | 1,512 | |
Summit Hotel Properties, Inc. | 14,343 | 177 | |
3,034 | |||
Residential—25.1% | |||
Apartments—16.2% | |||
Apartment Investment & Management Co. Class A | 51,755 | 2,673 | |
AvalonBay Communities, Inc. | 19,679 | 4,127 | |
Equity Residential | 45,520 | 3,684 | |
Essex Property Trust, Inc. | 3,205 | 964 | |
Mid-America Apartment Communities, Inc. | 10,400 | 1,371 | |
12,819 | |||
Manufactured Homes—4.1% | |||
Sun Communities, Inc. | 21,451 | 3,220 | |
Single Family Homes—4.8% | |||
American Homes 4 Rent Class A | 101,300 | 2,655 | |
Invitation Homes, Inc. | 39,950 | 1,197 | |
3,852 | |||
Total Residential | 19,891 | ||
Shares | Value | ||
Retail—15.9% | |||
Free Standing—5.3% | |||
Spirit Realty Capital, Inc. | 38,354 | $1,886 | |
STORE Capital Corp. | 61,500 | 2,291 | |
4,177 | |||
Regional Malls—5.2% | |||
Simon Property Group, Inc. | 22,401 | 3,337 | |
Taubman Centers, Inc. | 26,910 | 836 | |
4,173 | |||
Shopping Centers—5.4% | |||
Brixmor Property Group, Inc. | 94,802 | 2,049 | |
Regency Centers Corp. | 35,250 | 2,224 | |
4,273 | |||
Total Retail | 12,623 | ||
Self Storage—3.4% | |||
CubeSmart | 43,300 | 1,363 | |
Extra Space Storage, Inc. | 12,366 | 1,306 | |
2,669 | |||
Specialty—6.5% | |||
Crown Castle International Corp. | 14,150 | 2,011 | |
VICI Properties, Inc. | 123,000 | 3,143 | |
5,154 | |||
Total Common Stocks (Identified Cost $54,967) | 76,196 | ||
Total Long-Term Investments—96.2% (Identified Cost $54,967) | 76,196 | ||
Short-Term Investment—1.9% | |||
Money Market Mutual Fund—1.9% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(1) | 1,546,696 | 1,547 | |
Total Short-Term Investment (Identified Cost $1,547) | 1,547 | ||
TOTAL INVESTMENTS—98.1% (Identified Cost $56,514) | $77,743 | ||
Other assets and liabilities, net—1.9% | 1,474 | ||
NET ASSETS—100.0% | $79,217 |
Footnote Legend: | |
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Table of Contents
Total Value at December 31, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $76,196 | $76,196 | |
Money Market Mutual Fund | 1,547 | 1,547 | |
Total Investments | $77,743 | $77,743 |
Table of Contents
Shares | Value | ||
Common Stocks—99.3% | |||
Communication Services—13.6% | |||
Activision Blizzard, Inc. | 49,350 | $2,932 | |
Facebook, Inc. Class A(1) | 66,382 | 13,625 | |
Netflix, Inc.(1) | 25,440 | 8,232 | |
Tencent Holdings Ltd. ADR | 141,670 | 6,801 | |
31,590 | |||
Consumer Discretionary—25.9% | |||
Alibaba Group Holding Ltd. Sponsored ADR(1) | 64,278 | 13,633 | |
Amazon.com, Inc.(1) | 9,220 | 17,037 | |
Home Depot, Inc. (The) | 15,738 | 3,437 | |
Las Vegas Sands Corp. | 80,072 | 5,528 | |
McDonald’s Corp. | 16,040 | 3,170 | |
MercadoLibre, Inc.(1) | 5,990 | 3,426 | |
NIKE, Inc. Class B | 67,935 | 6,883 | |
Ross Stores, Inc. | 43,927 | 5,114 | |
Trip.com Group Ltd. ADR(1) | 64,310 | 2,157 | |
60,385 | |||
Consumer Staples—6.0% | |||
McCormick & Co., Inc. | 17,520 | 2,974 | |
Monster Beverage Corp.(1) | 34,435 | 2,188 | |
Philip Morris International, Inc. | 50,681 | 4,312 | |
Procter & Gamble Co. (The) | 36,540 | 4,564 | |
14,038 | |||
Financials—7.5% | |||
Bank of America Corp. | 216,970 | 7,642 | |
Charles Schwab Corp. (The) | 74,467 | 3,541 | |
MarketAxess Holdings, Inc. | 11,970 | 4,538 | |
Progressive Corp. (The) | 23,250 | 1,683 | |
17,404 | |||
Health Care—7.1% | |||
Danaher Corp. | 29,527 | 4,532 | |
HealthEquity, Inc.(1) | 33,650 | 2,492 | |
Illumina, Inc.(1) | 7,240 | 2,402 | |
Zoetis, Inc. | 53,984 | 7,145 | |
16,571 | |||
Industrials—9.8% | |||
CoStar Group, Inc.(1) | 8,500 | 5,085 | |
Equifax, Inc. | 15,820 | 2,217 | |
Fair Isaac Corp.(1) | 8,930 | 3,346 |
Shares | Value | ||
Industrials—continued | |||
Kansas City Southern | 25,750 | $3,944 | |
Roper Technologies, Inc. | 13,852 | 4,907 | |
Uber Technologies, Inc.(1) | 108,420 | 3,224 | |
22,723 | |||
Information Technology—27.1% | |||
Accenture plc Class A | 20,011 | 4,214 | |
Amphenol Corp. Class A | 61,894 | 6,699 | |
Avalara, Inc.(1) | 71,480 | 5,236 | |
Bill.com Holdings, Inc.(1)(2) | 145,467 | 5,535 | |
NVIDIA Corp. | 32,330 | 7,607 | |
Paycom Software, Inc.(1) | 38,962 | 10,315 | |
Trade Desk, Inc. (The) Class A(1) | 22,600 | 5,871 | |
Visa, Inc. Class A | 62,638 | 11,770 | |
Workday, Inc. Class A(1) | 35,480 | 5,835 | |
63,082 | |||
Materials—2.3% | |||
Ecolab, Inc. | 27,494 | 5,306 | |
Total Common Stocks (Identified Cost $98,529) | 231,099 | ||
Total Long-Term Investments—99.3% (Identified Cost $98,529) | 231,099 | ||
TOTAL INVESTMENTS—99.3% (Identified Cost $98,529) | $231,099 | ||
Other assets and liabilities, net—0.7% | 1,735 | ||
NET ASSETS—100.0% | $232,834 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Restricted security. |
Country Weightings (Unaudited)† | |
United States | 90% |
China | 10 |
Total | 100% |
† % of total investments as of December 31, 2019. |
Table of Contents
Total Value at December 31, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $231,099 | $231,099 | |
Total Investments | $231,099 | $231,099 |
Table of Contents
Shares | Value | ||
Common Stocks—94.7% | |||
Communication Services—18.2% | |||
Auto Trader Group plc | 800,000 | $6,301 | |
Autohome, Inc. ADR(1) | 83,670 | 6,694 | |
Rightmove plc | 699,000 | 5,867 | |
18,862 | |||
Consumer Discretionary—10.1% | |||
Fox Factory Holding Corp.(1) | 90,355 | 6,286 | |
Ollie’s Bargain Outlet Holdings, Inc.(1) | 64,710 | 4,226 | |
10,512 | |||
Consumer Staples—6.6% | |||
Chefs’ Warehouse, Inc. (The)(1) | 85,290 | 3,251 | |
Grocery Outlet Holding Corp.(1) | 71,780 | 2,329 | |
PriceSmart, Inc. | 18,500 | 1,314 | |
6,894 | |||
Financials—14.7% | |||
FactSet Research Systems, Inc. | 9,600 | 2,576 | |
Goosehead Insurance, Inc. Class A | 23,760 | 1,007 | |
Interactive Brokers Group, Inc. Class A | 77,630 | 3,619 | |
MarketAxess Holdings, Inc. | 8,150 | 3,090 | |
Morningstar, Inc. | 24,140 | 3,653 | |
Oportun Financial Corp.(1)(2) | 53,880 | 1,282 | |
15,227 | |||
Health Care—6.6% | |||
Mesa Laboratories, Inc. | 5,435 | 1,355 | |
National Research Corp. | 46,960 | 3,097 | |
U.S. Physical Therapy, Inc. | 20,900 | 2,390 | |
6,842 | |||
Industrials—14.0% | |||
AAON, Inc. | 81,000 | 4,002 | |
HEICO Corp. Class A | 35,938 | 3,217 | |
Old Dominion Freight Line, Inc. | 27,000 | 5,124 | |
Omega Flex, Inc. | 19,859 | 2,131 | |
14,474 | |||
Information Technology—24.5% | |||
ANSYS, Inc.(1) | 12,070 | 3,107 | |
Aspen Technology, Inc.(1) | 36,980 | 4,472 | |
Avalara, Inc.(1) | 36,540 | 2,677 | |
Blackline, Inc.(1) | 61,190 | 3,155 | |
DocuSign, Inc.(1) | 63,075 | 4,674 | |
NVE Corp. | 8,850 | 632 | |
Paycom Software, Inc.(1) | 25,050 | 6,632 | |
25,349 | |||
Total Common Stocks (Identified Cost $44,337) | 98,160 | ||
Total Long-Term Investments—94.7% (Identified Cost $44,337) | 98,160 | ||
Shares | Value | ||
Short-Term Investment—2.6% | |||
Money Market Mutual Fund—2.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(3) | 2,679,224 | $2,679 | |
Total Short-Term Investment (Identified Cost $2,679) | 2,679 | ||
Securities Lending Collateral—1.2% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(3)(4) | 1,225,049 | 1,225 | |
Total Securities Lending Collateral (Identified Cost $1,225) | 1,225 | ||
TOTAL INVESTMENTS—98.5% (Identified Cost $48,241) | $102,064 | ||
Other assets and liabilities, net—1.5% | 1,551 | ||
NET ASSETS—100.0% | $103,615 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | All or a portion of security is on loan. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(4) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
United States | 81% |
United Kingdom | 12 |
China | 7 |
Total | 100% |
† % of total investments as of December 31, 2019. |
Total Value at December 31, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $98,160 | $98,160 | |
Securities Lending Collateral | 1,225 | 1,225 | |
Money Market Mutual Fund | 2,679 | 2,679 | |
Total Investments | $102,064 | $102,064 |
Table of Contents
Shares | Value | ||
Common Stocks—98.9% | |||
Communication Services—3.0% | |||
Cinemark Holdings, Inc. | 69,000 | $2,336 | |
Consumer Discretionary—8.8% | |||
Cheesecake Factory, Inc. (The) | 72,650 | 2,823 | |
Thor Industries, Inc. | 53,280 | 3,958 | |
6,781 | |||
Consumer Staples—6.6% | |||
National Beverage Corp. | 53,490 | 2,729 | |
WD-40 Co. | 12,400 | 2,407 | |
5,136 | |||
Energy—1.5% | |||
Core Laboratories N.V. | 30,000 | 1,130 | |
Financials—19.2% | |||
Bank of Hawaii Corp. | 33,970 | 3,232 | |
First Financial Bankshares, Inc. | 74,840 | 2,627 | |
Houlihan Lokey, Inc. | 63,490 | 3,103 | |
Primerica, Inc. | 25,628 | 3,346 | |
RLI Corp. | 28,150 | 2,534 | |
14,842 | |||
Health Care—2.5% | |||
Anika Therapeutics, Inc.(1) | 37,150 | 1,926 | |
Industrials—26.6% | |||
Graco, Inc. | 53,210 | 2,767 | |
Landstar System, Inc. | 22,530 | 2,566 | |
Lincoln Electric Holdings, Inc. | 18,560 | 1,795 | |
RBC Bearings, Inc.(1) | 25,300 | 4,006 | |
SiteOne Landscape Supply, Inc.(1) | 54,554 | 4,945 | |
UniFirst Corp. | 6,040 | 1,220 | |
Watsco, Inc. | 18,050 | 3,252 | |
20,551 | |||
Information Technology—17.7% | |||
American Software, Inc. Class A | 83,100 | 1,236 | |
Badger Meter, Inc. | 29,856 | 1,939 | |
Brooks Automation, Inc. | 90,420 | 3,794 | |
Cass Information Systems, Inc. | 39,864 | 2,302 | |
CoreLogic, Inc.(1) | 64,050 | 2,800 | |
Jack Henry & Associates, Inc. | 11,090 | 1,615 | |
13,686 | |||
Shares | Value | ||
Materials—6.4% | |||
Scotts Miracle-Gro Co. (The) | 46,242 | $4,910 | |
Real Estate—6.6% | |||
Jones Lang LaSalle, Inc. | 6,396 | 1,114 | |
MGM Growth Properties LLC Class A | 130,040 | 4,027 | |
5,141 | |||
Total Common Stocks (Identified Cost $49,040) | 76,439 | ||
Total Long-Term Investments—98.9% (Identified Cost $49,040) | 76,439 | ||
TOTAL INVESTMENTS—98.9% (Identified Cost $49,040) | $76,439 | ||
Other assets and liabilities, net—1.1% | 832 | ||
NET ASSETS—100.0% | $77,271 |
Abbreviation: | |
LLC | Limited Liability Company |
Footnote Legend: | |
(1) | Non-income producing. |
Total Value at December 31, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $76,439 | $76,439 | |
Total Investments | $76,439 | $76,439 |
Table of Contents
Par Value | Value | ||
U.S. Government Securities—0.7% | |||
U.S. Treasury Note | |||
1.250%, 8/31/24 | $360 | $353 | |
2.625%, 2/15/29 | 420 | 445 | |
Total U.S. Government Securities (Identified Cost $810) | 798 | ||
Municipal Bonds—1.7% | |||
California—1.0% | |||
State of California, Build America Bonds Taxable 7.600%, 11/1/40 | 725 | 1,196 | |
Michigan—0.2% | |||
Tobacco Settlement Finance Authority Revenue Taxable Series A 7.309%, 6/1/34 | 170 | 176 | |
Virginia—0.5% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 630 | 607 | |
Total Municipal Bonds (Identified Cost $2,001) | 1,979 | ||
Foreign Government Securities—8.2% | |||
Bolivarian Republic of Venezuela | |||
9.375%, 1/13/34(1) | 295 | 34 | |
RegS 7.650%, 4/21/25(1)(2) | 825 | 95 | |
Dominican Republic 144A 6.000%, 7/19/28(3) | 250 | 278 | |
Federal Republic of Nigeria 144A 7.875%, 2/16/32(3) | 495 | 513 | |
Kingdom of Abu Dhabi 144A 3.125%, 9/30/49(3) | 200 | 195 | |
Kingdom of Jordan 144A 5.750%, 1/31/27(3) | 200 | 211 | |
Kingdom of Morocco 144A 5.500%, 12/11/42(3) | 300 | 367 | |
Kingdom of Saudi Arabia | |||
144A 3.625%, 3/4/28(3) | 470 | 496 | |
144A 4.500%, 10/26/46(3) | 300 | 332 | |
Republic of Angola | |||
144A 8.250%, 5/9/28(3) | 200 | 216 | |
144A 8.000%, 11/26/29(3) | 200 | 213 | |
Republic of Costa Rica 144A 6.125%, 2/19/31(3) | 235 | 250 | |
Republic of Ecuador 144A 8.875%, 10/23/27(3) | 285 | 261 | |
Republic of Egypt | |||
144A 7.600%, 3/1/29(3) | 200 | 219 | |
144A 8.500%, 1/31/47(3) | 200 | 222 | |
Republic of Ghana | |||
144A 7.625%, 5/16/29(3) | 200 | 204 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
144A 8.125%, 3/26/32(3) | $200 | $203 | |
Republic of Indonesia 144A 4.350%, 1/8/27(3) | 440 | 480 | |
Republic of Kenya 144A 8.000%, 5/22/32(3) | 315 | 343 | |
Republic of Mongolia 144A 8.750%, 3/9/24(3) | 200 | 227 | |
Republic of Panama 4.300%, 4/29/53 | 355 | 413 | |
Republic of South Africa 5.650%, 9/27/47 | 390 | 379 | |
Republic of Turkey | |||
4.875%, 10/9/26 | 275 | 262 | |
6.000%, 3/25/27 | 505 | 512 | |
7.625%, 4/26/29 | 400 | 442 | |
Russian Federation 144A 5.625%, 4/4/42(3) | 600 | 784 | |
Ukraine 144A 7.375%, 9/25/32(3) | 555 | 592 | |
United Mexican States | |||
4.150%, 3/28/27 | 275 | 295 | |
4.500%, 4/22/29 | 260 | 285 | |
Series M 6.500%, 6/9/22 | 6,713MXN | 353 | |
Total Foreign Government Securities (Identified Cost $10,100) | 9,676 | ||
Mortgage-Backed Securities—22.4% | |||
Agency—1.7% | |||
Federal National Mortgage Association | |||
Pool #AT2016 3.000%, 4/1/43 | 329 | 339 | |
Pool #AS4992 3.500%, 5/1/45 | 195 | 204 | |
Pool #AS5696 3.500%, 8/1/45 | 410 | 428 | |
Pool #AS9393 4.000%, 4/1/47 | 98 | 104 | |
Pool #MA3058 4.000%, 7/1/47 | 77 | 81 | |
Pool #MA3088 4.000%, 8/1/47 | 618 | 649 | |
Pool #MA3121 4.000%, 9/1/47 | 229 | 240 | |
2,045 | |||
Non-Agency—20.7% | |||
Agate Bay Mortgage Trust 2016-3, A5 144A 3.500%, 8/25/46(3)(4) | 186 | 190 | |
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(3) | 435 | 461 | |
2015-SFR1, A 144A 3.467%, 4/17/52(3) | 311 | 320 | |
2015-SFR2, C 144A 4.691%, 10/17/52(3) | 340 | 363 | |
Angel Oak Mortgage Trust I LLC 2019-1, A1 144A 3.920%, 11/25/48(3)(4) | 320 | 325 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
Angel Oak Mortgage Trust LLC 2019-3, A1 144A 2.930%, 5/25/59(3)(4) | $293 | $294 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(3)(4) | 89 | 90 | |
2019-1, A1 144A 3.805%, 1/25/49(3)(4) | 144 | 147 | |
2019-2, A1 144A 3.347%, 4/25/49(3)(4) | 182 | 184 | |
Banc of America Funding Trust 2005-1, 1A1 5.500%, 2/25/35 | 74 | 76 | |
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust 2004-22CB, 1A1 6.000%, 10/25/34 | 113 | 115 | |
Bayview Opportunity Master Fund IVa Trust 2016-SPL1, B1 144A 4.250%, 4/28/55(3) | 275 | 285 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(3)(4) | 130 | 135 | |
BSPRT Issuer Ltd. 2019-FL5, A (1 month LIBOR + 1.150%) 144A 2.915%, 5/15/29(3)(4) | 235 | 235 | |
Bunker Hill Loan Depositary Trust 2019-1, A1 144A 3.613%, 10/26/48(3)(4) | 602 | 608 | |
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(3) | 295 | 300 | |
Chase Home Lending Mortgage Trust 2019-ATR1, A4 144A 4.000%, 4/25/49(3)(4) | 171 | 172 | |
CHC Commercial Mortgage Trust 2019-CHC, A (1 month LIBOR + 1.120%) 144A 2.860%, 6/15/34(3)(4) | 205 | 205 | |
CIT Home Equity Loan Trust 2003-1, A5 5.480%, 7/20/34(4) | 70 | 70 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2019-IMC1, A1 144A 2.720%, 7/25/49(3)(4) | 260 | 260 | |
2015-A, A1 144A 3.500%, 6/25/58(3)(4) | 76 | 77 | |
2019-RP1, A1 144A 3.500%, 1/25/66(3)(4) | 262 | 267 | |
COLT Mortgage Loan Trust Funding LLC | |||
2018-1, A1 144A 2.930%, 2/25/48(3)(4) | 64 | 64 | |
2019-1, A1 144A 3.705%, 3/25/49(3)(4) | 93 | 94 | |
2019-3, A1 144A 2.764%, 8/25/49(3)(4) | 412 | 411 | |
Credit Suisse Mortgage Capital Trust 2014-IVR2, A2 144A 3.750%, 4/25/44(3)(4) | 89 | 90 | |
Deephaven Residential Mortgage Trust 2017-1A, A2 144A 2.928%, 12/26/46(3)(4) | 15 | 15 | |
Ellington Financial Mortgage Trust | |||
2018-1, A1FX 144A 4.140%, 10/25/58(3)(4) | 118 | 120 | |
2019-1, A1 144A 2.934%, 6/25/59(3)(4) | 199 | 200 | |
2019-2, A3 144A 3.046%, 11/25/59(3)(4) | 117 | 117 |
Par Value | Value | ||
Non-Agency—continued | |||
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(3)(4) | $103 | $104 | |
2018-1, A23 144A 3.500%, 11/25/57(3)(4) | 185 | 185 | |
2018-2, A41 144A 4.500%, 10/25/58(3)(4) | 257 | 262 | |
2019-H1,A1 144A 2.657%, 10/25/59(3)(4) | 118 | 118 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(3)(4) | 110 | 111 | |
GSAA Home Equity Trust 2005-12, AF3W 4.999%, 9/25/35(4) | 84 | 87 | |
Homeward Opportunities Fund I Trust 2019-1, A1 144A 3.454%, 1/25/59(3)(4) | 221 | 222 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C31, AS 4.106%, 8/15/48 | 295 | 314 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(3)(4) | 97 | 98 | |
2014-1, 2A12 144A 3.500%, 1/25/44(3)(4) | 153 | 156 | |
2016-SH1, M2 144A 3.750%, 4/25/45(3)(4) | 227 | 232 | |
2016-SH2, M2 144A 3.750%, 12/25/45(3)(4) | 288 | 294 | |
2017-5, A1 144A 3.155%, 10/26/48(3)(4) | 325 | 329 | |
2017-4, A3 144A 3.500%, 11/25/48(3)(4) | 212 | 216 | |
2018-8, A3 144A 4.000%, 1/25/49(3)(4) | 322 | 327 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(3)(4) | 355 | 358 | |
MASTR Alternative Loan Trust 2005-5, 2A3 5.500%, 7/25/25 | 82 | 82 | |
MASTR Specialized Loan Trust 2005-3, A2 144A 5.704%, 11/25/35(3)(4) | 76 | 76 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 2.992%, 6/25/52(3)(4)(5) | 175 | 175 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.621%, 4/25/55(3)(4) | 150 | 154 | |
2019-1A, A1A 144A 3.750%, 4/25/58(3)(4) | 313 | 322 | |
Mill City Mortgage Loan Trust | |||
2017-1, A1 144A 2.750%, 11/25/58(3)(4) | 84 | 84 | |
2018-4, A1B 144A 3.500%, 4/25/66(3)(4) | 770 | 786 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2013-C13, AS 4.266%, 11/15/46 | 125 | 132 | |
New Residential Mortgage Loan Trust | |||
2018-4A, A1S (1 month LIBOR + 0.750%) 144A 2.542%, 1/25/48(3)(4) | 263 | 263 | |
2014-1A, A 144A 3.750%, 1/25/54(3)(4) | 184 | 190 | |
2015-2A, A1 144A 3.750%, 8/25/55(3)(4) | 155 | 160 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
2016-1A, A1 144A 3.750%, 3/25/56(3)(4) | $133 | $137 | |
2016-4A, B1A 144A 4.500%, 11/25/56(3)(4) | 274 | 292 | |
2017-2A, A3 144A 4.000%, 3/25/57(3)(4) | 122 | 128 | |
2018-1A, A1A 144A 4.000%, 12/25/57(3)(4) | 244 | 253 | |
2019-NQM4, A1 144A 2.492%, 9/25/59(3)(4) | 363 | 361 | |
OBX Trust | |||
2018-EXP2, 1A1 144A 4.000%, 11/25/48(3)(4) | 343 | 345 | |
2019-INV1, A3 144A 4.500%, 11/25/48(3)(4) | 220 | 226 | |
One Market Plaza Trust 2017-1MKT, A 144A 3.614%, 2/10/32(3) | 260 | 266 | |
Pretium Mortgage Credit Partners I LLC | |||
2019-NPL3, A1 144A 3.105%, 7/27/59(3)(4) | 391 | 391 | |
2019-NPL1, A1 144A 4.213%, 7/25/60(3)(4) | 208 | 208 | |
Progress Residential Trust | |||
2018-SFR1, B 144A 3.484%, 3/17/35(3) | 270 | 271 | |
2018-SFR2, B 144A 3.841%, 8/17/35(3) | 545 | 551 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(3)(4) | 589 | 592 | |
PRPM LLC | |||
2019-1A, A1 144A 4.500%, 1/25/24(3)(4) | 328 | 329 | |
2019-2A, A1 144A 3.967%, 4/25/24(3)(4) | 421 | 422 | |
2019-GS1, A1 144A 3.500%, 10/25/24(3)(4) | 228 | 228 | |
RCO V Mortgage LLC | |||
2019-1, A1 144A 3.721%, 5/24/24(3)(4) | 379 | 380 | |
2019-2, A1 144A 3.475%, 11/25/24(3)(4) | 230 | 230 | |
Residential Asset Mortgage Products Trust 2004-SL1, A8 6.500%, 11/25/31 | 16 | 17 | |
Residential Asset Securitization Trust 2005-A1, A3 5.500%, 4/25/35 | 182 | 186 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(3)(4) | 365 | 366 | |
RMF Proprietary Issuance Trust 2019-1, A 144A 2.750%, 10/25/63(3)(4) | 292 | 289 | |
Sequoia Mortgage Trust | |||
2013-8, B1 3.523%, 6/25/43(4) | 170 | 172 | |
2018-CH2, A12 144A 4.000%, 6/25/48(3)(4) | 105 | 105 | |
Starwood Mortgage Residential Trust 2019-IMC1, A1 144A 3.468%, 2/25/49(3)(4) | 358 | 360 | |
Structured Adjustable Rate Mortgage Loan Trust 2004-4, 3A1 4.373%, 4/25/34(4) | 88 | 91 |
Par Value | Value | ||
Non-Agency—continued | |||
Sutherland Commercial Mortgage Loans 2017-SBC6, A 144A 3.192%, 5/25/37(3)(4) | $29 | $29 | |
Towd Point Mortgage Trust | |||
2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 2.692%, 4/25/48(3)(4) | 127 | 127 | |
2015-1, A2 144A 3.250%, 10/25/53(3)(4) | 255 | 255 | |
2016-1, M1 144A 3.500%, 2/25/55(3)(4) | 135 | 139 | |
2015-6, M1 144A 3.750%, 4/25/55(3)(4) | 130 | 137 | |
2015-5, A2 144A 3.500%, 5/25/55(3)(4) | 315 | 320 | |
2017-1, M1 144A 3.750%, 10/25/56(3)(4) | 135 | 140 | |
2018-6, A2 144A 3.750%, 3/25/58(3)(4) | 125 | 130 | |
2019-1, A1 144A 3.750%, 3/25/58(3)(4) | 153 | 159 | |
2018-4, A1 144A 3.000%, 6/25/58(3)(4) | 168 | 170 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(3)(4) | 106 | 107 | |
2015-2, 1M1 144A 3.250%, 11/25/60(3)(4) | 315 | 319 | |
Tricon American Homes Trust 2019-SFR1, C 144A 3.149%, 3/17/38(3) | 235 | 233 | |
VCAT LLC 2019-NPL2, A1 144A 3.573%, 11/25/49(3)(4) | 119 | 119 | |
Vericrest Opportunity Loan Trust 2019-NPL2, A1 144A 3.967%, 2/25/49(3)(4) | 214 | 215 | |
Vericrest Opportunity Loan Trust LXIV LLC 2017-NP11, A1 144A 3.375%, 10/25/47(3)(4) | 134 | 134 | |
Vericrest Opportunity Loan Trust LXXV LLC 2019-NPL1, A1A 144A 4.336%, 1/25/49(3)(4) | 276 | 277 | |
Verus Securitization Trust | |||
2018-1, A1 144A 2.929%, 2/25/48(3)(4) | 98 | 98 | |
2018-2, B1 144A 4.426%, 6/1/58(3)(4) | 415 | 419 | |
2018-3, A1 144A 4.108%, 10/25/58(3)(4) | 186 | 188 | |
2019-1, A1 144A 3.836%, 2/25/59(3)(4) | 287 | 290 | |
2019-INV1, A1 144A 3.402%, 12/25/59(3)(4) | 253 | 254 | |
Wells Fargo Commercial Mortgage Trust | |||
2014-C24, AS 3.931%, 11/15/47 | 295 | 310 | |
2015-LC20, A5 3.184%, 4/15/50 | 295 | 306 | |
2015-LC20, B 3.719%, 4/15/50 | 150 | 155 | |
24,353 | |||
Total Mortgage-Backed Securities (Identified Cost $26,080) | 26,398 | ||
Table of Contents
Par Value | Value | ||
Asset-Backed Securities—10.2% | |||
Automobiles—6.7% | |||
ACC Trust 2018-1, B 144A 4.820%, 5/20/21(3) | $295 | $296 | |
American Credit Acceptance Receivables Trust | |||
2018-1, C 144A 3.550%, 4/10/24(3) | 322 | 324 | |
2018-4, C 144A 3.970%, 1/13/25(3) | 355 | 360 | |
AmeriCredit Automobile Receivables Trust 2018-1, D 3.820%, 3/18/24 | 295 | 305 | |
Avid Automobile Receivables Trust 2019-1, C 144A 3.140%, 7/15/26(3) | 355 | 354 | |
Capital Auto Receivables Asset Trust 2017-1, D 144A 3.150%, 2/20/25(3) | 340 | 344 | |
CPS Auto Receivables Trust 2018-C, D 144A 4.400%, 6/17/24(3) | 310 | 319 | |
DT Auto Owner Trust 2018-1A, C 144A 3.470%, 12/15/23(3) | 334 | 335 | |
Exeter Automobile Receivables Trust | |||
2018-1A, C 144A 3.030%, 1/17/23(3) | 410 | 411 | |
2018-4A, D 144A 4.350%, 9/16/24(3) | 365 | 376 | |
2019-1A, D 144A 4.130%, 12/16/24(3) | 355 | 366 | |
2019-3A, C 144A 2.790%, 5/15/24(3) | 295 | 297 | |
Flagship Credit Auto Trust | |||
2016-3, D 144A 3.890%, 11/15/22(3) | 400 | 407 | |
2019-1, C 144A 3.600%, 2/18/25(3) | 235 | 241 | |
Foursight Capital Automobile Receivables Trust 2017-1, B 144A 3.050%, 12/15/22(3) | 320 | 321 | |
GLS Auto Receivables Trust | |||
2018-1A, B 144A 3.520%, 8/15/23(3) | 410 | 412 | |
2018-3A, C 144A 4.180%, 7/15/24(3) | 455 | 468 | |
Hertz Vehicle Financing II LP 2016-4A, A 144A 2.650%, 7/25/22(3) | 405 | 407 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(3) | 295 | 297 | |
Tesla Auto Lease Trust 2018-A, D 144A 3.300%, 5/20/20(3) | 340 | 340 | |
Tricolor Auto Securitization Trust 2018-2A, B 144A 4.760%, 2/15/22(3) | 289 | 293 | |
United Auto Credit Securitization Trust 2019-1, E 144A 4.290%, 8/12/24(3) | 295 | 298 | |
Veros Automobile Receivables Trust 2018-1, B 144A 4.050%, 2/15/24(3) | 300 | 303 | |
7,874 | |||
Consumer Loans—0.3% | |||
Marlette Funding Trust 2019-4A, A 144A 2.390%, 12/17/29(3) | 331 | 331 | |
Other—3.1% | |||
Amur Equipment Finance Receivables V LLC 2018-1A, A2 144A 3.240%, 12/20/23(3) | 194 | 196 |
Par Value | Value | ||
Other—continued | |||
Aqua Finance Trust 2019-A, C 144A 4.010%, 7/16/40(3) | $355 | $354 | |
Arby’s Funding LLC 2015-1A, A2 144A 4.969%, 10/30/45(3) | 355 | 364 | |
Business Jet Securities LLC 2019-1, A 144A 4.212%, 7/15/34(3) | 329 | 337 | |
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(3) | 216 | 219 | |
Diamond Resorts Owner Trust 2017-1A, A 144A 3.270%, 10/22/29(3) | 113 | 114 | |
Drug Royalty II LP 2 2014-1, A2 144A 3.484%, 7/15/23(3) | 16 | 16 | |
ExteNet LLC 2019-1A, A2 144A 3.204%, 7/26/49(3) | 175 | 176 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(3) | 295 | 295 | |
Lendmark Funding Trust 2018-2A, A 144A 4.230%, 4/20/27(3) | 360 | 370 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(3) | 335 | 340 | |
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(3) | 335 | 338 | |
Prosper Marketplace Issuance Trust 2018-2A, B 144A 3.960%, 10/15/24(3) | 305 | 307 | |
Regional Management Issuance Trust 2018-2, A 144A 4.560%, 1/18/28(3) | 295 | 300 | |
3,726 | |||
Student Loan—0.1% | |||
SoFi Professional Loan Program LLC 2016-A, A2 144A 2.760%, 12/26/36(3) | 78 | 78 | |
Total Asset-Backed Securities (Identified Cost $11,864) | 12,009 | ||
Corporate Bonds and Notes—45.4% | |||
Communication Services—4.0% | |||
America Movil SAB de C.V. 6.450%, 12/5/22 | 20MXN | 103 | |
AT&T, Inc. 4.250%, 3/1/27 | 265 | 291 | |
Cable Onda S.A. 144A 4.500%, 1/30/30(3) | 240 | 253 | |
CCO Holdings LLC 144A 4.750%, 3/1/30(3) | 115 | 117 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(3) | 245 | 257 | |
Clear Channel Worldwide Holdings, Inc. | |||
144A 9.250%, 2/15/24(3) | 62 | 69 | |
144A 5.125%, 8/15/27(3) | 80 | 83 | |
Consolidated Communications, Inc. 6.500%, 10/1/22(6) | 250 | 226 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(3) | 105 | 106 | |
144A 6.625%, 8/15/27(3)(6) | 180 | 175 | |
DISH DBS Corp. | |||
5.875%, 7/15/22 | 125 | 133 | |
7.750%, 7/1/26 | 60 | 64 | |
Frontier Communications Corp. | |||
8.500%, 4/15/20(6) | 110 | 65 | |
11.000%, 9/15/25 | 175 | 85 |
Table of Contents
Par Value | Value | ||
Communication Services—continued | |||
144A 8.500%, 4/1/26(3) | $110 | $111 | |
iHeartCommunications, Inc. | |||
8.375%, 5/1/27 | 106 | 117 | |
Escrow 144A(3)(5) | 55 | — | |
IHS Netherlands Holdco B.V. 144A 8.000%, 9/18/27(3) | 260 | 276 | |
LCPR Senior Secured Financing DAC 144A 6.750%, 10/15/27(3) | 260 | 276 | |
Live Nation Entertainment, Inc. 144A 4.750%, 10/15/27(3) | 60 | 62 | |
McGraw-Hill Global Education Holdings LLC Senior Unsecured Notes 144A 7.875%, 5/15/24(3)(6) | 170 | 146 | |
Meredith Corp. 6.875%, 2/1/26 | 145 | 151 | |
Sirius XM Radio, Inc. 144A 5.500%, 7/1/29(3) | 105 | 114 | |
Sprint Corp. 7.875%, 9/15/23 | 160 | 177 | |
Sprint Spectrum Co. LLC | |||
144A 3.360%, 9/20/21(3) | 87 | 88 | |
144A 5.152%, 3/20/28(3) | 200 | 218 | |
Telesat Canada | |||
144A 4.875%, 6/1/27(3) | 80 | 81 | |
144A 6.500%, 10/15/27(3) | 220 | 229 | |
Tencent Holdings Ltd. 144A 3.975%, 4/11/29(3) | 400 | 431 | |
Twitter, Inc. 144A 3.875%, 12/15/27(3) | 175 | 175 | |
4,679 | |||
Consumer Discretionary—3.3% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 180 | 187 | |
Boyd Gaming Corp. 6.000%, 8/15/26 | 65 | 70 | |
Brookfield Residential Properties, Inc. 144A 6.250%, 9/15/27(3) | 355 | 375 | |
Bunge Ltd. Finance Corp. 4.350%, 3/15/24 | 70 | 73 | |
Caesars Resort Collection LLC 144A 5.250%, 10/15/25(3) | 120 | 124 | |
Dana, Inc. 5.375%, 11/15/27 | 110 | 113 | |
Downstream Development Authority of the Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23(3) | 130 | 136 | |
Eldorado Resorts, Inc. 6.000%, 9/15/26 | 75 | 83 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(3) | 285 | 291 | |
GLP Capital LP | |||
5.250%, 6/1/25 | 185 | 203 | |
5.750%, 6/1/28 | 64 | 73 | |
Golden Nugget, Inc. 144A 8.750%, 10/1/25(3) | 130 | 139 | |
Lear Corp. 3.800%, 9/15/27 | 290 | 293 | |
Lithia Motors, Inc. 144A 4.625%, 12/15/27(3) | 125 | 128 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
MGM Growth Properties Operating Partnership LP 144A 5.750%, 2/1/27(3) | $135 | $151 | |
Michaels Stores, Inc. 144A 8.000%, 7/15/27(3)(6) | 120 | 115 | |
Panther BF Aggregator 2 LP 144A 8.500%, 5/15/27(3) | 200 | 212 | |
PulteGroup, Inc. 7.875%, 6/15/32 | 180 | 231 | |
Scientific Games International, Inc. | |||
144A 8.250%, 3/15/26(3) | 80 | 88 | |
144A 7.000%, 5/15/28(3) | 40 | 43 | |
Tenneco, Inc. 5.000%, 7/15/26 | 125 | 115 | |
Under Armour, Inc. 3.250%, 6/15/26 | 170 | 165 | |
Vista Outdoor, Inc. 5.875%, 10/1/23 | 235 | 225 | |
Weekley Homes LLC 6.625%, 8/15/25 | 215 | 223 | |
3,856 | |||
Consumer Staples—1.5% | |||
Albertsons Cos., Inc. 144A 4.625%, 1/15/27(3) | 235 | 235 | |
Altria Group, Inc. 4.800%, 2/14/29 | 450 | 501 | |
Bacardi Ltd. 144A 4.700%, 5/15/28(3) | 320 | 348 | |
Chobani LLC 144A 7.500%, 4/15/25(3) | 180 | 181 | |
Kronos Acquisition Holdings, Inc. 144A 9.000%, 8/15/23(3) | 140 | 134 | |
Sigma Finance Netherlands BV 144A 4.875%, 3/27/28(3) | 295 | 318 | |
1,717 | |||
Energy—8.0% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(3) | 225 | 205 | |
Blue Racer Midstream LLC 144A 6.625%, 7/15/26(3) | 260 | 235 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 101 | 102 | |
Cheniere Energy Partners LP | |||
5.625%, 10/1/26 | 125 | 132 | |
144A 4.500%, 10/1/29(3) | 105 | 108 | |
CITGO Holding, Inc. 144A 9.250%, 8/1/24(3) | 110 | 118 | |
CrownRock LP 144A 5.625%, 10/15/25(3) | 240 | 245 | |
Denbury Resources, Inc. | |||
144A 9.250%, 3/31/22(3) | 94 | 89 | |
144A 7.750%, 2/15/24(3) | 125 | 111 | |
Encana Corp. 8.125%, 9/15/30 | 155 | 200 | |
Energy Transfer Partners LP 5.000%, 10/1/22 | 314 | 333 | |
Geopark Ltd. 144A 6.500%, 9/21/24(3) | 270 | 281 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 360 | 405 |
Table of Contents
Par Value | Value | ||
Energy—continued | |||
KazMunayGas National Co. JSC | |||
144A 4.750%, 4/19/27(3) | $595 | $653 | |
144A 5.750%, 4/19/47(3) | 320 | 382 | |
Kinder Morgan, Inc. 7.750%, 1/15/32 | 320 | 440 | |
MPLX LP 4.000%, 3/15/28 | 283 | 293 | |
Nabors Industries, Inc. 5.500%, 1/15/23 | 110 | 106 | |
Odebrecht Offshore Drilling Finance Ltd. PIK Interest Capitalization, 144A 7.720%, 12/1/26(3)(7) | 427 | 105 | |
Odebrecht Oil & Gas Finance Ltd. 144A 0.000%(3)(8) | 60 | —(9) | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 180 | 184 | |
Pertamina Persero PT 144A 6.450%, 5/30/44(3) | 760 | 976 | |
Petrobras Global Finance B.V. | |||
7.375%, 1/17/27 | 270 | 329 | |
5.999%, 1/27/28 | 180 | 205 | |
5.750%, 2/1/29 | 210 | 237 | |
6.900%, 3/19/49 | 265 | 311 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(3) | 650 | 50 | |
Petroleos Mexicanos | |||
6.500%, 3/13/27 | 230 | 244 | |
5.350%, 2/12/28 | 260 | 259 | |
6.500%, 6/2/41 | 220 | 218 | |
6.375%, 1/23/45 | 185 | 178 | |
144A 6.840%, 1/23/30(3) | 355 | 378 | |
Sabine Pass Liquefaction LLC 4.200%, 3/15/28 | 280 | 296 | |
Sanchez Energy Corp. 144A 7.250%, 2/15/23(1)(3)(6) | 120 | 78 | |
State Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(2) | 320 | 393 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 170 | 181 | |
Transocean, Inc. 144A 9.000%, 7/15/23(3) | 85 | 90 | |
USA Compression Partners LP | |||
6.875%, 4/1/26 | 215 | 226 | |
6.875%, 9/1/27 | 30 | 31 | |
Vine Oil & Gas LP 144A 8.750%, 4/15/23(3) | 165 | 81 | |
9,488 | |||
Financials—10.9% | |||
Acrisure LLC | |||
144A 8.125%, 2/15/24(3) | 80 | 87 | |
144A 7.000%, 11/15/25(3) | 270 | 261 | |
AerCap Ireland Capital DAC 3.650%, 7/21/27 | 310 | 319 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53(10) | 365 | 392 | |
Athene Holding Ltd. 4.125%, 1/12/28 | 325 | 336 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(3) | 335 | 357 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(3) | 355 | 357 |
Par Value | Value | ||
Financials—continued | |||
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 5.125%, 1/18/33(3) | $275 | $277 | |
Banco de Credito e Inversiones 144A 3.500%, 10/12/27(3) | 215 | 220 | |
Bank of America Corp. 4.200%, 8/26/24 | 223 | 239 | |
Bank of China Ltd. 144A 5.000%, 11/13/24(3) | 390 | 425 | |
Bank of Montreal 3.803%, 12/15/32 | 326 | 340 | |
Brighthouse Financial, Inc. 3.700%, 6/22/27 | 350 | 349 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 270 | 281 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 405 | 426 | |
Citadel LP 144A 4.875%, 1/15/27(3) | 235 | 247 | |
Development Bank of Kazakhstan JSC 144A 8.950%, 5/4/23(3) | 85,000KZT | 208 | |
Discover Bank 4.682%, 8/9/28 | 340 | 355 | |
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(3) | 440 | 447 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 365 | 397 | |
Fairstone Financial, Inc. 144A 7.875%, 7/15/24(3) | 35 | 38 | |
Goldman Sachs Group, Inc. (The) 3.850%, 1/26/27 | 385 | 409 | |
Grupo de Inversiones Suramericana S.A. 144A 5.500%, 4/29/26(3) | 335 | 374 | |
ICAHN Enterprises LP 6.250%, 5/15/26 | 255 | 272 | |
Intercorp Peru Ltd. 144A 3.875%, 8/15/29(3)(6) | 235 | 233 | |
Jefferies Financial Group, Inc. 5.500%, 10/18/23 | 100 | 109 | |
Jefferies Group LLC 4.850%, 1/15/27 | 60 | 66 | |
JPMorgan Chase & Co. 2.950%, 10/1/26 | 475 | 489 | |
Liberty Mutual Insurance Co. 144A 8.500%, 5/15/25(3) | 25 | 31 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 4.006%, 4/20/67(4)(10) | 365 | 308 | |
Lloyds Bank plc 144A 6.500%, 9/14/20(3) | 600 | 617 | |
MSCI, Inc. 144A 4.000%, 11/15/29(3) | 175 | 177 | |
Navient Corp. 6.750%, 6/25/25 | 290 | 320 | |
Prudential Financial, Inc. (3 month LIBOR + 4.175%) 5.875%, 9/15/42 | 280 | 301 | |
Santander Holdings USA, Inc. | |||
3.500%, 6/7/24 | 175 | 180 | |
4.400%, 7/13/27 | 200 | 216 | |
Springleaf Finance Corp. | |||
7.125%, 3/15/26 | 110 | 127 | |
5.375%, 11/15/29 | 20 | 21 | |
Synchrony Financial 3.950%, 12/1/27 | 410 | 430 |
Table of Contents
Par Value | Value | ||
Financials—continued | |||
Synovus Financial Corp. 5.900%, 2/7/29 | $164 | $174 | |
Teachers Insurance & Annuity Association of America (3 month LIBOR + 2.661%) 144A 4.375%, 9/15/54(3) | 360 | 375 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | 380 | 397 | |
Voya Financial, Inc. (3 month LIBOR + 3.580%) 5.650%, 5/15/53 | 240 | 255 | |
Wells Fargo & Co. Series S 5.900%(10) | 300 | 327 | |
Zions Bancorp NA 3.250%, 10/29/29 | 350 | 343 | |
12,909 | |||
Health Care—2.9% | |||
Advanz Pharma Corp. 8.000%, 9/6/24 | 41 | 39 | |
Avantor, Inc. | |||
144A 6.000%, 10/1/24(3) | 100 | 107 | |
144A 9.000%, 10/1/25(3) | 145 | 162 | |
Bausch Health Americas, Inc. | |||
144A 9.250%, 4/1/26(3) | 90 | 103 | |
144A 8.500%, 1/31/27(3) | 100 | 114 | |
Bausch Health Cos., Inc. 144A 7.000%, 1/15/28(3) | 140 | 154 | |
Catalent Pharma Solutions, Inc. 144A 5.000%, 7/15/27(3) | 50 | 52 | |
Centene Corp. | |||
144A 5.375%, 6/1/26(3) | 75 | 80 | |
144A 4.625%, 12/15/29(3) | 100 | 105 | |
Charles River Laboratories International, Inc. 144A 4.250%, 5/1/28(3) | 60 | 61 | |
Eagle Holding Co. II LLC | |||
PIK Interest Capitalization, 144A 7.625%, 5/15/22(3)(11) | 125 | 127 | |
PIK Interest Capitalization, 144A 7.750%, 5/15/22(3)(11) | 120 | 122 | |
Endo Dac 144A 6.000%, 7/15/23(3) | 100 | 72 | |
HCA, Inc. | |||
5.625%, 9/1/28 | 185 | 211 | |
5.875%, 2/1/29 | 25 | 29 | |
4.125%, 6/15/29 | 305 | 323 | |
Mylan NV 3.950%, 6/15/26 | 325 | 338 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(3) | 75 | 75 | |
Perrigo Finance Unlimited Co. 4.375%, 3/15/26 | 300 | 309 | |
Select Medical Corp. 144A 6.250%, 8/15/26(3) | 190 | 206 | |
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(3) | 35 | 35 | |
144A 10.000%, 4/15/27(3) | 100 | 110 | |
Tenet Healthcare Corp. | |||
8.125%, 4/1/22 | 60 | 66 | |
4.625%, 7/15/24 | 70 | 72 | |
144A 5.125%, 11/1/27(3) | 80 | 84 | |
Teva Pharmaceutical Finance Netherlands III BV 3.150%, 10/1/26 | 210 | 175 |
Par Value | Value | ||
Health Care—continued | |||
West Street Merger Sub, Inc. 144A 6.375%, 9/1/25(3) | $140 | $140 | |
3,471 | |||
Industrials—3.8% | |||
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(3) | 235 | 253 | |
ASGN, Inc. 144A 4.625%, 5/15/28(3) | 122 | 125 | |
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(3) | 360 | 373 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(3) | 358 | 378 | |
Bombardier, Inc. | |||
144A 5.750%, 3/15/22(3) | 115 | 119 | |
144A 7.500%, 3/15/25(3) | 120 | 124 | |
DP World plc 144A 6.850%, 7/2/37(3) | 300 | 394 | |
GFL Environmental, Inc. 144A 8.500%, 5/1/27(3) | 120 | 132 | |
Granite Holdings US Acquisition Co. 144A 11.000%, 10/1/27(3) | 180 | 182 | |
Hillenbrand, Inc. 4.500%, 9/15/26 | 305 | 319 | |
Hillman Group, Inc. (The) 144A 6.375%, 7/15/22(3) | 120 | 112 | |
Norwegian Air Shuttle ASA Pass-Through-Trust 2016-1, A 144A 4.875%, 5/10/28(3) | 287 | 281 | |
Oshkosh Corp. 4.600%, 5/15/28 | 424 | 452 | |
Owens Corning | |||
3.400%, 8/15/26 | 330 | 335 | |
3.950%, 8/15/29 | 211 | 219 | |
Patrick Industries, Inc. 144A 7.500%, 10/15/27(3) | 165 | 176 | |
Pentair Finance S.a.r.l 4.500%, 7/1/29 | 345 | 363 | |
Vertiv Intermediate Holding Corp. PIK Interest Capitalization, 144A 12.000%, 2/15/22(3)(11) | 175 | 182 | |
4,519 | |||
Information Technology—2.3% | |||
Alibaba Group Holding Ltd. 3.400%, 12/6/27 | 235 | 245 | |
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(3) | 35 | 35 | |
Broadcom Corp. 3.625%, 1/15/24 | 192 | 199 | |
Broadcom, Inc. 144A 3.625%, 10/15/24(3) | 200 | 208 | |
Citrix Systems, Inc. 4.500%, 12/1/27 | 285 | 308 | |
Dell International LLC 144A 8.100%, 7/15/36(3) | 140 | 184 | |
Everi Payments, Inc. 144A 7.500%, 12/15/25(3) | 50 | 54 | |
Exela Intermediate LLC 144A 10.000%, 7/15/23(3) | 90 | 36 | |
Juniper Networks, Inc. 3.750%, 8/15/29 | 260 | 270 |
Table of Contents
Par Value | Value | ||
Information Technology—continued | |||
Motorola Solutions, Inc. | |||
4.600%, 2/23/28 | $228 | $247 | |
4.600%, 5/23/29 | 120 | 131 | |
Radiate Holdco LLC 144A 6.625%, 2/15/25(3) | 235 | 237 | |
ViaSat, Inc. 144A 5.625%, 9/15/25(3) | 305 | 314 | |
VMware, Inc. 3.900%, 8/21/27 | 230 | 240 | |
2,708 | |||
Materials—4.6% | |||
Alpek SAB de C.V. 144A 5.375%, 8/8/23(3) | 425 | 459 | |
ARD Finance S.A. PIK Interest Capitalization, 144A 6.500%, 6/30/27(3)(12) | 235 | 243 | |
BHP Billiton Finance USA Ltd. 144A 6.750%, 10/19/75(3)(10) | 225 | 264 | |
CPG Merger Sub LLC 144A 8.000%, 10/1/21(3) | 115 | 115 | |
Equate Petrochemical BV 144A 4.250%, 11/3/26(3) | 340 | 363 | |
Glencore Funding LLC 144A 4.000%, 3/27/27(3) | 390 | 405 | |
Greif, Inc. 144A 6.500%, 3/1/27(3) | 155 | 167 | |
GUSAP III LP 144A 4.250%, 1/21/30(3) | 245 | 249 | |
Inversiones CMPC S.A. 144A 4.375%, 5/15/23(3) | 300 | 310 | |
Kaiser Aluminum Corp. 144A 4.625%, 3/1/28(3) | 120 | 123 | |
Kraton Polymers LLC 144A 7.000%, 4/15/25(3) | 250 | 258 | |
LSB Industries, Inc. 144A 9.625%, 5/1/23(3) | 110 | 113 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(3) | 115 | 114 | |
Olin Corp. 5.625%, 8/1/29 | 230 | 243 | |
SABIC Capital II BV 144A 4.500%, 10/10/28(3) | 305 | 340 | |
Schweitzer-Mauduit International, Inc. 144A 6.875%, 10/1/26(3) | 175 | 189 | |
Scotts Miracle-Gro Co. (The) 144A 4.500%, 10/15/29(3) | 120 | 123 | |
Severstal OAO Via Steel Capital S.A. 144A 5.900%, 10/17/22(3)(13) | 260 | 281 | |
Syngenta Finance N.V. 144A 4.441%, 4/24/23(3) | 400 | 418 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 260 | 305 | |
TPC Group, Inc. 144A 10.500%, 8/1/24(3) | 55 | 55 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(3) | 115 | 116 | |
144A 6.625%, 11/1/25(3) | 130 | 117 | |
5,370 | |||
Real Estate—2.0% | |||
EPR Properties | |||
4.750%, 12/15/26 | 130 | 142 |
Par Value | Value | ||
Real Estate—continued | |||
4.500%, 6/1/27 | $205 | $220 | |
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(3) | 175 | 177 | |
Healthcare Trust of America Holdings LP 3.750%, 7/1/27 | 180 | 190 | |
Iron Mountain, Inc. 144A 4.875%, 9/15/29(3) | 245 | 249 | |
iStar, Inc. 4.250%, 8/1/25 | 115 | 116 | |
Life Storage LP | |||
3.875%, 12/15/27 | 135 | 142 | |
4.000%, 6/15/29 | 200 | 214 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 125 | 133 | |
4.625%, 8/1/29 | 45 | 47 | |
Office Properties Income Trust 4.500%, 2/1/25 | 385 | 402 | |
Service Properties Trust | |||
4.950%, 2/15/27 | 195 | 202 | |
4.375%, 2/15/30 | 135 | 132 | |
2,366 | |||
Utilities—2.1% | |||
CenterPoint Energy, Inc. 4.250%, 11/1/28 | 295 | 320 | |
DPL, Inc. 144A 4.350%, 4/15/29(3) | 294 | 283 | |
Exelon Corp. 3.497%, 6/1/22 | 255 | 262 | |
Ferrellgas Partners LP 8.625%, 6/15/20(14) | 50 | 30 | |
Perusahaan Listrik Negara PT 144A 4.125%, 5/15/27(3) | 390 | 411 | |
Talen Energy Supply LLC | |||
144A 7.250%, 5/15/27(3) | 55 | 58 | |
144A 6.625%, 1/15/28(3) | 205 | 209 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(3) | 190 | 201 | |
Texas Competitive Electric Escrow(5) | 396 | — | |
Texas Competitive Electric Holdings Co. 144A 0.000%, 10/1/20(3)(5) | 465 | 1 | |
Transportadora de Gas Internacional SA ESP 144A 5.550%, 11/1/28(3) | 305 | 349 | |
Vistra Operations Co. LLC 144A 4.300%, 7/15/29(3) | 300 | 306 | |
2,430 | |||
Total Corporate Bonds and Notes (Identified Cost $51,759) | 53,513 | ||
Leveraged Loans(4)—8.2% | |||
Aerospace—0.4% | |||
Atlantic Aviation FBO, Inc. (1 month LIBOR + 3.750%) 5.550%, 12/6/25 | 55 | 55 | |
Dynasty Acquisition Co., Inc. | |||
Tranche B-1 (3 month LIBOR + 4.000%) 5.945%, 4/6/26 | 71 | 72 | |
Tranche B-2 (3 month LIBOR + 4.000%) 5.945%, 4/6/26 | 38 | 39 |
Table of Contents
Par Value | Value | ||
Aerospace—continued | |||
DynCorp International, Inc. Tranche B, First Lien (1 month LIBOR + 6.000%) 7.740%, 8/15/25 | $133 | $132 | |
TransDigm, Inc. | |||
2018, Tranche E (1 month LIBOR + 2.500%) 4.299%, 5/30/25 | 54 | 54 | |
2018, Tranche F (1 month LIBOR + 2.500%) 4.299%, 6/9/23 | 46 | 45 | |
Tranche G (1 month LIBOR + 2.500%) 4.299%, 8/22/24 | 29 | 29 | |
426 | |||
Consumer Durables—0.1% | |||
Global Appliance, Inc. Tranche B (1 month LIBOR + 4.000%) 5.800%, 9/29/24 | 96 | 95 | |
Consumer Non-Durables—0.5% | |||
American Greetings Corp. (1 month LIBOR + 4.500%) 6.299%, 4/6/24 | 239 | 235 | |
Kronos Acquisition Holdings, Inc. Tranche B-3 (3 month LIBOR + 4.000%) 5.792%, 5/15/23 | 136 | 133 | |
Parfums Holding Co., Inc. First Lien (3 month LIBOR + 4.250%) 6.159%, 6/30/24 | 141 | 139 | |
Rodan & Fields LLC (1 month LIBOR + 4.000%) 5.740%, 6/16/25 | 153 | 89 | |
596 | |||
Energy—0.4% | |||
California Resources Corp. 2016 (1 month LIBOR + 10.375%) 12.180%, 12/31/21 | 190 | 141 | |
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 5.000%) 6.945%, 3/27/24 | 154 | 154 | |
Fieldwood Energy LLC First Lien (3 month LIBOR + 5.250%) 7.177%, 4/11/22 | 270 | 225 | |
Paragon Offshore Finance Co. (1 month PRIME + 0.000%) 5.250%, 7/16/21(1)(5) | 1 | — | |
520 | |||
Financial—0.5% | |||
Asurion LLC Tranche B-2, Second Lien (1 month LIBOR + 6.500%) 8.299%, 8/4/25 | 110 | 111 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 4.799%, 6/16/25 | 222 | 222 | |
FinCo I LLC 2018 (1 month LIBOR + 2.000%) 3.799%, 12/27/22 | 58 | 58 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 5.068%, 6/28/23 | 166 | 168 | |
559 | |||
Food / Tobacco—0.5% | |||
Chobani LLC Tranche B (3 month LIBOR + 3.500%) 0.000%, 10/10/23(15) | 120 | 120 |
Par Value | Value | ||
Food / Tobacco—continued | |||
Dole Food Co., Inc. Tranche B (1 month LIBOR + 2.750%) 4.526%, 4/6/24 | $119 | $119 | |
H-Food Holdings LLC (1 month LIBOR + 3.688%) 5.487%, 5/23/25 | 124 | 123 | |
Milk Specialties Co. (1 month LIBOR + 4.000%) 5.799%, 8/16/23 | 107 | 101 | |
Shearer’s Foods LLC Second Lien (1 month LIBOR + 6.750%) 8.549%, 6/30/22 | 150 | 148 | |
611 | |||
Food and Drug—0.0% | |||
Albertsons LLC 2019-1, Tranche B-7 (1 month LIBOR + 2.750%) 4.549%, 11/17/25 | 23 | 23 | |
Forest Prod / Containers—0.1% | |||
Spectrum Holdings III Corp. First Lien (1 month LIBOR + 3.250%) 5.049%, 1/31/25 | 80 | 74 | |
Gaming / Leisure—0.7% | |||
Affinity Gaming LLC (1 month LIBOR + 3.250%) 5.049%, 7/3/23 | 350 | 335 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 4.550%, 4/29/24 | 111 | 110 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 4.471%, 8/14/24 | 128 | 128 | |
Stars Group Holdings B.V. (3 month LIBOR + 3.500%) 5.446%, 7/10/25 | 155 | 157 | |
UFC Holdings LLC Tranche B (1 month LIBOR + 3.250%) 5.050%, 4/29/26 | 97 | 97 | |
827 | |||
Healthcare—1.1% | |||
21st Century Oncology, Inc. Tranche B (3 month LIBOR + 6.125%) 8.135%, 1/16/23 | 41 | 41 | |
Accelerated Health Systems LLC (1 month LIBOR + 3.500%) 5.236%, 10/31/25 | 124 | 124 | |
Agiliti Health, Inc. (1 month LIBOR + 3.000%) 4.750%, 1/4/26 | 25 | 25 | |
AHP Health Partners, Inc. (1 month LIBOR + 4.500%) 6.299%, 6/30/25 | 187 | 188 | |
Bausch Health Cos., Inc. (1 month LIBOR + 2.750%) 4.490%, 11/27/25 | 55 | 55 | |
CHG Healthcare Services, Inc. (1 month LIBOR + 3.000%) 4.799%, 6/7/23 | 54 | 55 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 5.549%, 10/10/25 | 105 | 90 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 4.500%) 6.304%, 11/16/25 | 189 | 190 | |
Navicure, Inc. (1 month LIBOR + 4.000%) 5.799%, 10/22/26 | 85 | 85 | |
One Call Corp. First Lien (3 month LIBOR + 5.250%) 7.160%, 11/27/22 | 140 | 128 |
Table of Contents
Par Value | Value | ||
Healthcare—continued | |||
Ortho-Clinical Diagnostics, Inc. (3 month LIBOR + 3.250%) 5.306%, 6/30/25 | $129 | $128 | |
Phoenix Guarantor, Inc. First Lien (1 month LIBOR + 4.500%) 6.210%, 3/5/26 | 45 | 45 | |
Sotera Health Holdings LLC First Lien (3 month LIBOR + 4.500%) 6.289%, 12/11/26 | 120 | 120 | |
Viant Medical Holdings, Inc. First Lien (3 month LIBOR + 3.750%) 0.000%, 7/2/25(15) | 60 | 59 | |
1,333 | |||
Housing—0.4% | |||
Capital Automotive LP Tranche B, Second Lien (1 month LIBOR + 6.000%) 7.800%, 3/24/25 | 46 | 47 | |
CPG International LLC (3 month LIBOR + 3.750%) 5.933%, 5/6/24 | 190 | 189 | |
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 3.799%, 11/21/24 | 257 | 258 | |
494 | |||
Information Technology—0.8% | |||
Applied Systems, Inc. Second Lien (3 month LIBOR + 7.000%) 8.945%, 9/19/25 | 112 | 114 | |
Aston Finco S.a.r.l. First Lien (3 month LIBOR + 4.250%) 6.262%, 10/9/26 | 85 | 84 | |
Boxer Parent Co., Inc. (1 month LIBOR + 4.250%) 6.049%, 10/2/25 | 49 | 48 | |
Dell International LLC Tranche B-1 (1 month LIBOR + 2.000%) 3.800%, 9/19/25 | 95 | 96 | |
Kronos, Inc. | |||
2018 (3 month LIBOR + 3.000%) 4.909%, 11/1/23 | 314 | 316 | |
Second Lien (3 month LIBOR + 8.250%) 10.159%, 11/1/24 | 99 | 101 | |
SS&C Technologies, Inc. | |||
Tranche B-3 (1 month LIBOR + 2.250%) 4.049%, 4/16/25 | 65 | 65 | |
Tranche B-4 (1 month LIBOR + 2.250%) 4.049%, 4/16/25 | 45 | 45 | |
Vertafore, Inc. First Lien (1 month LIBOR + 3.250%) 5.049%, 7/2/25 | 123 | 121 | |
990 | |||
Manufacturing—0.3% | |||
CPI Acquisition, Inc. First Lien (3 month LIBOR + 4.500%) 6.710%, 8/17/22 | 233 | 186 | |
Filtration Group Corp. (1 month LIBOR + 3.000%) 4.799%, 3/29/25 | 113 | 113 | |
Hillman Group, Inc. (The) (1 month LIBOR + 4.000%) 5.799%, 5/31/25 | 98 | 97 | |
396 | |||
Par Value | Value | ||
Media / Telecom - Broadcasting—0.2% | |||
Diamond Sports Group LLC (1 month LIBOR + 3.250%) 5.030%, 8/24/26 | $90 | $90 | |
Nexstar Broadcasting, Inc. Tranche B-4 (3 month LIBOR + 2.750%) 4.452%, 9/18/26 | 95 | 95 | |
185 | |||
Media / Telecom - Cable/Wireless Video—0.1% | |||
CSC Holdings LLC 2018 (1 month LIBOR + 2.250%) 3.990%, 1/15/26 | 99 | 99 | |
Media / Telecom - Telecommunications—0.2% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.750%) 4.549%, 1/31/25 | 190 | 191 | |
Securus Technologies Holdings, Inc. | |||
First Lien (3 month LIBOR + 4.500%) 6.299%, 11/1/24 | 36 | 27 | |
Second Lien (1 month LIBOR + 8.250%) 10.049%, 11/1/25 | 150 | 68 | |
286 | |||
Media / Telecom - Wireless Communications—0.1% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 5.049%, 4/4/26 | 100 | 100 | |
Iridium Satellite LLC (1 month LIBOR + 3.750%) 5.549%, 11/4/26 | 25 | 26 | |
126 | |||
Retail—0.1% | |||
Neiman Marcus Group Ltd. LLC (1 month LIBOR + 6.000%) 7.713%, 10/25/23 | 130 | 107 | |
Service—1.1% | |||
Carlisle Food Service Products, Inc. First Lien (3 month LIBOR + 3.000%) 4.799%, 3/20/25 | 45 | 44 | |
Dun & Bradstreet Corp. (The) (1 month LIBOR + 5.000%) 6.792%, 2/6/26 | 120 | 121 | |
GFL Environmental, Inc. 2018 (1 month LIBOR + 3.000%) 4.799%, 5/30/25 | 188 | 188 | |
Hoya Midco LLC First Lien (1 month LIBOR + 3.500%) 5.299%, 6/30/24 | 69 | 69 | |
Pearl Intermediate Parent LLC First Lien (1 month LIBOR + 2.750%) 4.549%, 2/14/25 | 182 | 179 | |
Pi US Mergerco, Inc. Tranche B-1 (1 month LIBOR + 3.250%) 5.049%, 1/3/25 | 225 | 226 | |
Sedgwick Claims Management Services, Inc. 2019 (1 month LIBOR + 4.000%) 5.799%, 9/3/26 | 189 | 190 | |
Terra Bidco BC Ltd. First Lien (3 month LIBOR + 5.000%) 0.000%, 11/25/26(15) | 115 | 115 |
Table of Contents
Par Value | Value | ||
Service—continued | |||
TKC Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 5.550%, 2/1/23 | $108 | $100 | |
1,232 | |||
Utility—0.6% | |||
APLP Holdings LP (1 month LIBOR + 2.750%) 4.549%, 4/13/23 | 182 | 182 | |
Brookfield WEC Holdings, Inc. First Lien (1 month LIBOR + 3.500%) 5.299%, 8/1/25 | 228 | 229 | |
Calpine Corp. 2019 (3 month LIBOR + 2.250%) 4.200%, 4/1/26 | 119 | 120 | |
Pacific Gas and Electric Co. | |||
(1 month LIBOR + 2.250%) 3.970%, 12/31/20 | 105 | 105 | |
(4 month LIBOR + 2.250%) 2.250%, 12/31/20(16) | 35 | 35 | |
671 | |||
Total Leveraged Loans (Identified Cost $9,924) | 9,650 | ||
Shares | ||
Preferred Stocks—1.6% | ||
Financials—1.3% | ||
Bank of New York Mellon Corp. (The) Series E, 4.950% | 290(17) | 293 |
Huntington Bancshares, Inc. Series E, 5.700% | 96(17) | 100 |
KeyCorp Series D, 5.000%(18) | 300(17) | 319 |
M&T Bank Corp. Series F, 5.125%(18) | 229(17) | 248 |
MetLife, Inc. Series D, 5.875%(8) | 173(17) | 192 |
PNC Financial Services Group, Inc. (The) Series S, 5.000% | 405(17) | 433 |
1,585 | ||
Industrials—0.3% | ||
General Electric Co. Series D, 5.000% | 332(17) | 325 |
Total Preferred Stocks (Identified Cost $1,788) | 1,910 | |
Common Stocks—0.0% | ||
Communication Services—0.0% | ||
Clear Channel Outdoor Holdings, Inc.(19) | 1,381 | 4 |
Consumer Discretionary—0.0% | ||
Mark IV Industries(5) | 828 | 2 |
Energy—0.0% | ||
Contra CB Downey(5) | 130,000 | — |
Frontera Energy Corp. | 2,618 | 20 |
20 | ||
Total Common Stocks (Identified Cost $59) | 26 | |
Shares | Value | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(19) | 7,753 | $8 | |
Total Rights (Identified Cost $7) | 8 | ||
Warrant—0.0% | |||
Communication Services—0.0% | |||
iHeartMedia, Inc.(5)(19) | 587 | 9 | |
Total Warrant (Identified Cost $10) | 9 | ||
Total Long-Term Investments—98.4% (Identified Cost $114,402) | 115,976 | ||
Securities Lending Collateral—0.9% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(20)(21) | 1,068,347 | 1,068 | |
Total Securities Lending Collateral (Identified Cost $1,068) | 1,068 | ||
TOTAL INVESTMENTS—99.3% (Identified Cost $115,470) | $117,044 | ||
Other assets and liabilities, net—0.7% | 811 | ||
NET ASSETS—100.0% | $117,855 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
Foreign Currencies: | |
KZT | Kazakhstani Tenge |
MXN | Mexican Peso |
Footnote Legend: | |
(1) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(2) | Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, these securities amounted to a value of $68,625 or 58.2% of net assets. |
(4) | Variable rate security. Rate disclosed is as of December 31, 2019. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
Table of Contents
(5) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(6) | All or a portion of security is on loan. |
(7) | 14% of the income received was in cash and 86% was in PIK. |
(8) | No contractual maturity date. |
(9) | Amount is less than $500. |
(10) | Interest payments may be deferred. |
(11) | 100% of the income received was in cash. |
(12) | No pay date announced. |
(13) | This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(14) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(15) | This loan will settle after December 31, 2019, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(16) | Represents unfunded portion of security and commitment fee earned on this portion. |
(17) | Value shown as par value. |
(18) | Interest may be forfeited. |
(19) | Non-income producing. |
(20) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(21) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
United States | 74% |
Canada | 3 |
Netherlands | 3 |
Mexico | 3 |
Indonesia | 2 |
Cayman Islands | 1 |
Kazakhstan | 1 |
Other | 13 |
Total | 100% |
† % of total investments as of December 31, 2019. |
Total Value at December 31, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $12,009 | $— | $12,009 | $— | |||
Corporate Bonds and Notes | 53,513 | — | 53,512 | 1(1) | |||
Foreign Government Securities | 9,676 | — | 9,676 | — | |||
Leveraged Loans | 9,650 | — | 9,650 | —(1) | |||
Mortgage-Backed Securities | 26,398 | — | 26,223 | 175 | |||
Municipal Bonds | 1,979 | — | 1,979 | — | |||
U.S. Government Securities | 798 | — | 798 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 1,910 | — | 1,910 | — | |||
Common Stocks | 26 | 24 | — | 2(1) | |||
Rights | 8 | — | 8 | — | |||
Warrant | 9 | — | — | 9 | |||
Securities Lending Collateral | 1,068 | 1,068 | — | — | |||
Total Investments | $117,044 | $1,092 | $115,765 | $187 |
(1) | Security held by the Series with an end of period value of $0 was categorized as Level 3 in this table. |
Table of Contents
Shares | Value | ||
Common Stocks—96.3% | |||
Communication Services—9.4% | |||
Activision Blizzard, Inc. | 2,523 | $150 | |
Alphabet, Inc. Class A(1)(2) | 985 | 1,319 | |
Alphabet, Inc. Class C(1)(2) | 994 | 1,329 | |
AT&T, Inc.(2) | 24,001 | 938 | |
CenturyLink, Inc. | 3,226 | 43 | |
Charter Communications, Inc. Class A(1) | 534 | 259 | |
Comcast Corp. Class A(2) | 14,831 | 667 | |
Discovery, Inc. Class A(1) | 520 | 17 | |
Discovery, Inc. Class C(1) | 1,143 | 35 | |
DISH Network Corp. Class A(1) | 797 | 28 | |
Electronic Arts, Inc.(1) | 963 | 104 | |
Facebook, Inc. Class A(1)(2) | 7,849 | 1,611 | |
Fox Corp. Class A(2) | 1,161 | 43 | |
Fox Corp. Class B(2) | 531 | 19 | |
Interpublic Group of Cos., Inc. (The) | 1,278 | 29 | |
Netflix, Inc.(1) | 1,441 | 466 | |
News Corp. Class A | 1,262 | 18 | |
News Corp. Class B | 399 | 6 | |
Omnicom Group, Inc. | 718 | 58 | |
Take-Two Interactive Software, Inc.(1) | 372 | 46 | |
T-Mobile US, Inc.(1) | 1,036 | 81 | |
TripAdvisor, Inc. | 341 | 10 | |
Twitter, Inc.(1) | 2,548 | 82 | |
Verizon Communications, Inc.(2) | 13,631 | 837 | |
ViacomCBS, Inc. Class B | 1,761 | 74 | |
Walt Disney Co. (The)(2) | 5,906 | 854 | |
9,123 | |||
Consumer Discretionary—8.9% | |||
Advance Auto Parts, Inc. | 232 | 37 | |
Amazon.com, Inc.(1)(2) | 1,372 | 2,535 | |
Aptiv plc | 838 | 80 | |
AutoZone, Inc.(1) | 81 | 97 | |
Best Buy Co., Inc. | 754 | 66 | |
Booking Holdings, Inc.(1)(2) | 139 | 286 | |
BorgWarner, Inc. | 674 | 29 | |
Capri Holdings Ltd.(1) | 494 | 19 | |
CarMax, Inc.(1) | 541 | 47 | |
Carnival Corp. | 1,310 | 67 | |
Chipotle Mexican Grill, Inc.(1) | 84 | 70 | |
Darden Restaurants, Inc. | 406 | 44 | |
Dollar General Corp. | 853 | 133 | |
Dollar Tree, Inc.(1) | 780 | 73 | |
eBay, Inc. | 2,570 | 93 | |
Expedia Group, Inc. | 459 | 50 | |
Ford Motor Co.(2) | 12,859 | 120 | |
Gap, Inc. (The) | 698 | 12 | |
Garmin Ltd. | 475 | 46 | |
General Motors Co.(2) | 4,141 | 152 | |
Genuine Parts Co. | 480 | 51 | |
H&R Block, Inc. | 661 | 16 | |
Hanesbrands, Inc. | 1,163 | 17 | |
Harley-Davidson, Inc. | 515 | 19 | |
Hasbro, Inc. | 413 | 44 | |
Hilton Worldwide Holdings, Inc. | 941 | 104 | |
Home Depot, Inc. (The)(2) | 3,603 | 787 | |
Horton (D.R.), Inc. | 1,118 | 59 | |
Kohl’s Corp. | 521 | 27 | |
L Brands, Inc. | 749 | 14 | |
Las Vegas Sands Corp. | 1,122 | 78 | |
Leggett & Platt, Inc. | 433 | 22 |
Shares | Value | ||
Consumer Discretionary—continued | |||
Lennar Corp. Class A | 941 | $53 | |
LKQ Corp.(1) | 1,018 | 36 | |
Lowe’s Cos., Inc.(2) | 2,518 | 302 | |
Macy’s, Inc. | 1,004 | 17 | |
Marriott International, Inc. Class A | 893 | 135 | |
McDonald’s Corp.(2) | 2,514 | 497 | |
MGM Resorts International | 1,713 | 57 | |
Mohawk Industries, Inc.(1) | 197 | 27 | |
Newell Brands, Inc. | 1,261 | 24 | |
NIKE, Inc. Class B(2) | 4,100 | 415 | |
Nordstrom, Inc. | 352 | 14 | |
Norwegian Cruise Line Holdings Ltd.(1) | 709 | 41 | |
NVR, Inc.(1) | 11 | 42 | |
O’Reilly Automotive, Inc.(1) | 252 | 110 | |
PulteGroup, Inc. | 857 | 33 | |
PVH Corp. | 243 | 26 | |
Ralph Lauren Corp. | 170 | 20 | |
Ross Stores, Inc. | 1,200 | 140 | |
Royal Caribbean Cruises Ltd. | 561 | 75 | |
Starbucks Corp.(2) | 3,952 | 347 | |
Tapestry, Inc. | 938 | 25 | |
Target Corp.(2) | 1,683 | 216 | |
Tiffany & Co. | 359 | 48 | |
TJX Cos., Inc. (The) | 3,983 | 243 | |
Tractor Supply Co. | 392 | 37 | |
Ulta Beauty, Inc.(1) | 195 | 49 | |
Under Armour, Inc. Class A(1) | 614 | 13 | |
Under Armour, Inc. Class C(1) | 636 | 12 | |
VF Corp. | 1,074 | 107 | |
Whirlpool Corp. | 212 | 31 | |
Wynn Resorts Ltd. | 316 | 44 | |
Yum! Brands, Inc. | 1,005 | 101 | |
8,631 | |||
Consumer Staples—6.5% | |||
Altria Group, Inc.(2) | 6,118 | 305 | |
Archer-Daniels-Midland Co. | 1,829 | 85 | |
Brown-Forman Corp. Class B | 599 | 40 | |
Campbell Soup Co. | 558 | 28 | |
Church & Dwight Co., Inc. | 817 | 57 | |
Clorox Co. (The) | 414 | 64 | |
Coca-Cola Co. (The)(2) | 12,657 | 701 | |
Colgate-Palmolive Co.(2) | 2,832 | 195 | |
Conagra Brands, Inc. | 1,600 | 55 | |
Constellation Brands, Inc. Class A | 558 | 106 | |
Costco Wholesale Corp.(2) | 1,446 | 425 | |
Coty, Inc. Class A | 975 | 11 | |
Estee Lauder Cos., Inc. (The) Class A | 728 | 150 | |
General Mills, Inc. | 1,976 | 106 | |
Hershey Co. (The) | 492 | 72 | |
Hormel Foods Corp. | 917 | 41 | |
J.M. Smucker Co. (The) | 374 | 39 | |
Kellogg Co. | 821 | 57 | |
Kimberly-Clark Corp. | 1,134 | 156 | |
Kraft Heinz Co.(The)(2) | 2,037 | 65 | |
Kroger Co. (The) | 2,642 | 77 | |
Lamb Weston Holdings, Inc. | 481 | 41 | |
McCormick & Co., Inc. | 407 | 69 | |
Molson Coors Brewing Co. Class B | 616 | 33 | |
Mondelez International, Inc. Class A(2) | 4,745 | 261 | |
Monster Beverage Corp.(1) | 1,275 | 81 | |
PepsiCo, Inc.(2) | 4,629 | 633 |
Table of Contents
Shares | Value | ||
Consumer Staples—continued | |||
Philip Morris International, Inc.(2) | 5,085 | $433 | |
Procter & Gamble Co. (The)(2) | 8,230 | 1,028 | |
Sysco Corp. | 1,690 | 145 | |
Tyson Foods, Inc. Class A | 963 | 88 | |
Walgreens Boots Alliance, Inc.(2) | 2,484 | 146 | |
Walmart, Inc.(2) | 4,668 | 555 | |
6,348 | |||
Energy—3.9% | |||
Apache Corp. | 1,207 | 31 | |
Baker Hughes Co. | 2,062 | 53 | |
Cabot Oil & Gas Corp. | 1,362 | 24 | |
Chevron Corp.(2) | 6,222 | 750 | |
Cimarex Energy Co. | 325 | 17 | |
Concho Resources, Inc. | 656 | 57 | |
ConocoPhillips(2) | 3,625 | 236 | |
Devon Energy Corp. | 1,295 | 34 | |
Diamondback Energy, Inc. | 532 | 49 | |
EOG Resources, Inc. | 1,889 | 158 | |
Exxon Mobil Corp.(2) | 13,858 | 967 | |
Halliburton Co.(2) | 2,840 | 69 | |
Helmerich & Payne, Inc. | 348 | 16 | |
Hess Corp. | 844 | 56 | |
HollyFrontier Corp. | 500 | 25 | |
Kinder Morgan, Inc.(2) | 6,390 | 135 | |
Marathon Oil Corp. | 2,597 | 35 | |
Marathon Petroleum Corp. | 2,151 | 130 | |
National Oilwell Varco, Inc. | 1,260 | 32 | |
Noble Energy, Inc. | 1,560 | 39 | |
Occidental Petroleum Corp.(2) | 2,867 | 118 | |
ONEOK, Inc. | 1,357 | 103 | |
Phillips 66 | 1,481 | 165 | |
Pioneer Natural Resources Co. | 545 | 83 | |
Schlumberger Ltd.(2) | 4,467 | 180 | |
TechnipFMC plc | 1,363 | 29 | |
Valero Energy Corp. | 1,369 | 128 | |
Williams Cos., Inc. (The) | 3,965 | 94 | |
3,813 | |||
Financials—13.1% | |||
Affiliated Managers Group, Inc. | 179 | 15 | |
Aflac, Inc. | 2,715 | 144 | |
Allstate Corp. (The)(2) | 1,206 | 136 | |
American Express Co.(2) | 2,468 | 307 | |
American International Group, Inc.(2) | 3,171 | 163 | |
Ameriprise Financial, Inc. | 474 | 79 | |
Aon plc | 868 | 181 | |
Assurant, Inc. | 224 | 29 | |
Bank of America Corp.(2) | 30,231 | 1,065 | |
Bank of New York Mellon Corp. (The)(2) | 3,115 | 157 | |
Berkshire Hathaway, Inc. Class B(1)(2) | 7,153 | 1,620 | |
BlackRock, Inc.(2) | 426 | 214 | |
Capital One Financial Corp.(2) | 1,703 | 175 | |
Cboe Global Markets, Inc. | 407 | 49 | |
Charles Schwab Corp. (The) | 4,219 | 201 | |
Chubb Ltd. | 1,663 | 259 | |
Cincinnati Financial Corp. | 557 | 59 | |
Citigroup, Inc.(2) | 8,190 | 654 | |
Citizens Financial Group, Inc. | 1,618 | 66 | |
CME Group, Inc. | 1,305 | 262 | |
Comerica, Inc. | 541 | 39 | |
Discover Financial Services | 1,159 | 98 |
Shares | Value | ||
Financials—continued | |||
E*TRADE Financial Corp. | 821 | $37 | |
Everest Re Group Ltd. | 149 | 41 | |
Fifth Third Bancorp | 2,651 | 81 | |
First Republic Bank | 611 | 72 | |
Franklin Resources, Inc. | 1,015 | 26 | |
Gallagher (Arthur J.) & Co. | 682 | 65 | |
Globe Life, Inc. | 365 | 38 | |
Goldman Sachs Group, Inc. (The)(2) | 1,162 | 267 | |
Hartford Financial Services Group, Inc. (The) | 1,323 | 80 | |
Huntington Bancshares, Inc. | 3,764 | 57 | |
Intercontinental Exchange, Inc. | 2,052 | 190 | |
Invesco Ltd. | 1,387 | 25 | |
JPMorgan Chase & Co.(2) | 11,590 | 1,616 | |
KeyCorp | 3,646 | 74 | |
Lincoln National Corp. | 725 | 43 | |
Loews Corp. | 948 | 50 | |
M&T Bank Corp. | 484 | 82 | |
MarketAxess Holdings, Inc. | 138 | 52 | |
Marsh & McLennan Cos., Inc. | 1,853 | 206 | |
MetLife, Inc.(2) | 2,897 | 148 | |
Moody’s Corp. | 589 | 140 | |
Morgan Stanley(2) | 4,532 | 232 | |
MSCI, Inc. | 306 | 79 | |
Nasdaq, Inc. | 416 | 45 | |
Northern Trust Corp. | 774 | 82 | |
People’s United Financial, Inc. | 1,608 | 27 | |
PNC Financial Services Group, Inc. (The) | 1,612 | 257 | |
Principal Financial Group, Inc. | 942 | 52 | |
Progressive Corp. (The) | 2,152 | 156 | |
Prudential Financial, Inc. | 1,460 | 137 | |
Raymond James Financial, Inc. | 449 | 40 | |
Regions Financial Corp. | 3,610 | 62 | |
S&P Global, Inc. | 898 | 245 | |
State Street Corp. | 1,347 | 107 | |
SVB Financial Group(1) | 186 | 47 | |
Synchrony Financial | 2,218 | 80 | |
T. Rowe Price Group, Inc. | 857 | 104 | |
Travelers Cos., Inc. (The) | 952 | 130 | |
Truist Financial Corp. | 4,886 | 275 | |
U.S. Bancorp(2) | 5,217 | 309 | |
Unum Group | 756 | 22 | |
Wells Fargo & Co.(2) | 14,523 | 781 | |
Willis Towers Watson plc | 473 | 96 | |
Zions Bancorp NA | 641 | 33 | |
12,760 | |||
Health Care—14.2% | |||
Abbott Laboratories(2) | 6,443 | 560 | |
AbbVie, Inc.(2) | 5,306 | 470 | |
ABIOMED, Inc.(1) | 165 | 28 | |
Agilent Technologies, Inc. | 1,127 | 96 | |
Alexion Pharmaceuticals, Inc.(1) | 812 | 88 | |
Align Technology, Inc.(1) | 263 | 73 | |
Allergan plc(2) | 1,192 | 228 | |
AmerisourceBergen Corp. | 555 | 47 | |
Amgen, Inc.(2) | 2,153 | 519 | |
Anthem, Inc. | 930 | 281 | |
Baxter International, Inc. | 1,868 | 156 | |
Becton, Dickinson & Co. | 990 | 269 | |
Biogen, Inc.(1)(2) | 667 | 198 | |
Boston Scientific Corp.(1) | 5,068 | 229 | |
Bristol-Myers Squibb Co.(2) | 8,606 | 552 |
Table of Contents
Shares | Value | ||
Health Care—continued | |||
Cardinal Health, Inc. | 1,084 | $55 | |
Centene Corp.(1) | 1,512 | 95 | |
Cerner Corp. | 1,163 | 85 | |
Cigna Corp. | 1,374 | 281 | |
Cooper Cos., Inc. (The) | 180 | 58 | |
CVS Health Corp.(2) | 4,736 | 352 | |
Danaher Corp.(2) | 2,257 | 346 | |
DaVita, Inc.(1) | 333 | 25 | |
DENTSPLY SIRONA, Inc. | 811 | 46 | |
Edwards Lifesciences Corp.(1) | 758 | 177 | |
Eli Lilly & Co.(2) | 3,079 | 405 | |
Gilead Sciences, Inc.(2) | 4,573 | 297 | |
HCA Healthcare, Inc. | 973 | 144 | |
Henry Schein, Inc.(1) | 542 | 36 | |
Hologic, Inc.(1) | 975 | 51 | |
Humana, Inc. | 494 | 181 | |
IDEXX Laboratories, Inc.(1) | 314 | 82 | |
Illumina, Inc.(1) | 534 | 177 | |
Incyte Corp.(1) | 648 | 57 | |
Intuitive Surgical, Inc.(1) | 418 | 247 | |
IQVIA Holdings, Inc.(1) | 665 | 103 | |
Johnson & Johnson(2) | 9,629 | 1,405 | |
Laboratory Corporation of America Holdings(1) | 357 | 60 | |
McKesson Corp. | 678 | 94 | |
Medtronic plc(2) | 4,879 | 553 | |
Merck & Co., Inc.(2) | 9,356 | 851 | |
Mettler-Toledo International, Inc.(1) | 89 | 71 | |
Mylan NV(1) | 1,872 | 38 | |
PerkinElmer, Inc. | 404 | 39 | |
Perrigo Co. plc | 495 | 26 | |
Pfizer, Inc.(2) | 19,951 | 782 | |
Quest Diagnostics, Inc. | 491 | 52 | |
Regeneron Pharmaceuticals, Inc.(1) | 288 | 108 | |
ResMed, Inc. | 524 | 81 | |
Stryker Corp. | 1,170 | 246 | |
Teleflex, Inc. | 169 | 64 | |
Thermo Fisher Scientific, Inc. | 1,453 | 472 | |
UnitedHealth Group, Inc.(2) | 3,429 | 1,008 | |
Universal Health Services, Inc. Class B | 298 | 43 | |
Varian Medical Systems, Inc.(1) | 333 | 47 | |
Vertex Pharmaceuticals, Inc.(1) | 937 | 205 | |
Waters Corp.(1) | 243 | 57 | |
WellCare Health Plans, Inc.(1) | 184 | 61 | |
Zimmer Biomet Holdings, Inc. | 750 | 112 | |
Zoetis, Inc. | 1,748 | 231 | |
13,800 | |||
Industrials—9.1% | |||
3M Co.(2) | 2,108 | 372 | |
A.O. Smith Corp. | 503 | 24 | |
Alaska Air Group, Inc. | 444 | 30 | |
Allegion plc | 339 | 42 | |
American Airlines Group, Inc. | 1,430 | 41 | |
AMETEK, Inc. | 830 | 83 | |
Arconic, Inc. | 1,415 | 44 | |
Boeing Co. (The)(2) | 1,940 | 632 | |
Caterpillar, Inc.(2) | 2,040 | 301 | |
Cintas Corp. | 301 | 81 | |
Copart, Inc.(1) | 729 | 66 | |
CSX Corp. | 2,902 | 210 | |
Cummins, Inc. | 576 | 103 | |
Deere & Co. | 1,147 | 199 |
Shares | Value | ||
Industrials—continued | |||
Delta Air Lines, Inc. | 2,094 | $122 | |
Dover Corp. | 528 | 61 | |
Eaton Corp. plc | 1,528 | 145 | |
Emerson Electric Co.(2) | 2,233 | 170 | |
Equifax, Inc. | 441 | 62 | |
Expeditors International of Washington, Inc. | 622 | 49 | |
Fastenal Co. | 2,090 | 77 | |
FedEx Corp.(2) | 871 | 132 | |
Flowserve Corp. | 476 | 24 | |
Fortive Corp. | 1,070 | 82 | |
Fortune Brands Home & Security, Inc. | 507 | 33 | |
General Dynamics Corp.(2) | 856 | 151 | |
General Electric Co.(2) | 31,858 | 356 | |
Honeywell International, Inc.(2) | 2,625 | 465 | |
Hunt (JB) Transport Services, Inc. | 312 | 36 | |
Huntington Ingalls Industries, Inc. | 151 | 38 | |
IDEX Corp. | 276 | 47 | |
IHS Markit Ltd.(1) | 1,461 | 110 | |
Illinois Tool Works, Inc. | 1,075 | 193 | |
Ingersoll-Rand plc | 885 | 118 | |
Jacobs Engineering Group, Inc. | 497 | 45 | |
Johnson Controls International plc | 2,901 | 118 | |
Kansas City Southern | 365 | 56 | |
L3Harris Technologies, Inc. | 814 | 161 | |
Lockheed Martin Corp.(2) | 910 | 354 | |
Masco Corp. | 1,044 | 50 | |
Nielsen Holdings plc | 1,295 | 26 | |
Norfolk Southern Corp. | 949 | 184 | |
Northrop Grumman Corp. | 575 | 198 | |
PACCAR, Inc. | 1,254 | 99 | |
Parker-Hannifin Corp. | 465 | 96 | |
Pentair plc | 612 | 28 | |
Quanta Services, Inc. | 516 | 21 | |
Raytheon Co.(2) | 1,014 | 223 | |
Republic Services, Inc. | 777 | 70 | |
Robert Half International, Inc. | 429 | 27 | |
Robinson (C.H.) Worldwide, Inc. | 494 | 39 | |
Rockwell Automation, Inc. | 426 | 86 | |
Rollins, Inc. | 510 | 17 | |
Roper Technologies, Inc. | 378 | 134 | |
Snap-on, Inc. | 202 | 34 | |
Southwest Airlines Co. | 1,758 | 95 | |
Stanley Black & Decker, Inc. | 551 | 91 | |
Textron, Inc. | 831 | 37 | |
TransDigm Group, Inc. | 181 | 101 | |
Union Pacific Corp.(2) | 2,545 | 460 | |
United Airlines Holdings, Inc.(1) | 802 | 71 | |
United Parcel Service, Inc. Class B(2) | 2,541 | 297 | |
United Rentals, Inc.(1) | 279 | 47 | |
United Technologies Corp.(2) | 2,964 | 444 | |
Verisk Analytics, Inc. | 596 | 89 | |
W.W. Grainger, Inc. | 161 | 54 | |
Waste Management, Inc. | 1,434 | 163 | |
Westinghouse Air Brake Technologies Corp.(2) | 660 | 51 | |
Xylem, Inc. | 651 | 51 | |
8,816 | |||
Information Technology—23.1% | |||
Accenture plc Class A(2) | 2,323 | 489 | |
Adobe, Inc.(1) | 1,749 | 577 | |
Advanced Micro Devices, Inc.(1) | 3,890 | 178 | |
Akamai Technologies, Inc.(1) | 600 | 52 |
Table of Contents
Shares | Value | ||
Information Technology—continued | |||
Alliance Data Systems Corp. | 149 | $17 | |
Amphenol Corp. Class A | 1,081 | 117 | |
Analog Devices, Inc. | 1,339 | 159 | |
ANSYS, Inc.(1) | 304 | 78 | |
Apple, Inc.(2) | 15,421 | 4,528 | |
Applied Materials, Inc. | 3,162 | 193 | |
Arista Networks, Inc.(1) | 196 | 40 | |
Autodesk, Inc.(1) | 798 | 146 | |
Automatic Data Processing, Inc. | 1,585 | 270 | |
Broadcom, Inc. | 1,446 | 457 | |
Broadridge Financial Solutions, Inc. | 415 | 51 | |
Cadence Design Systems, Inc.(1) | 1,004 | 70 | |
CDW Corp. | 523 | 75 | |
Cisco Systems, Inc.(2) | 15,297 | 734 | |
Citrix Systems, Inc. | 448 | 50 | |
Cognizant Technology Solutions Corp. Class A | 1,997 | 124 | |
Corning, Inc. | 2,846 | 83 | |
DXC Technology Co. | 933 | 35 | |
F5 Networks, Inc.(1) | 219 | 30 | |
Fidelity National Information Services, Inc. | 2,237 | 311 | |
Fiserv, Inc.(1) | 2,077 | 240 | |
FleetCor Technologies, Inc.(1) | 312 | 90 | |
FLIR Systems, Inc. | 495 | 26 | |
Fortinet, Inc.(1) | 514 | 55 | |
Gartner, Inc.(1) | 329 | 51 | |
Global Payments, Inc. | 1,092 | 199 | |
Hewlett Packard Enterprise Co. | 4,729 | 75 | |
HP, Inc. | 5,405 | 111 | |
Intel Corp.(2) | 16,051 | 961 | |
International Business Machines Corp.(2) | 3,229 | 433 | |
Intuit, Inc. | 939 | 246 | |
IPG Photonics Corp.(1) | 128 | 18 | |
Jack Henry & Associates, Inc. | 279 | 41 | |
Juniper Networks, Inc. | 1,256 | 31 | |
Keysight Technologies, Inc.(1) | 685 | 70 | |
KLA Corp. | 574 | 102 | |
Lam Research Corp. | 519 | 152 | |
Leidos Holdings, Inc. | 496 | 48 | |
Mastercard, Inc. Class A(2) | 3,240 | 967 | |
Maxim Integrated Products, Inc. | 978 | 60 | |
Microchip Technology, Inc. | 852 | 89 | |
Micron Technology, Inc.(1) | 3,917 | 211 | |
Microsoft Corp.(2) | 27,812 | 4,386 | |
Motorola Solutions, Inc. | 602 | 97 | |
NetApp, Inc. | 864 | 54 | |
NortonLifeLock, Inc. | 2,079 | 53 | |
NVIDIA Corp. | 2,213 | 521 | |
Oracle Corp.(2) | 8,018 | 425 | |
Paychex, Inc. | 1,165 | 99 | |
PayPal Holdings, Inc.(1)(2) | 4,272 | 462 | |
Qorvo, Inc.(1) | 423 | 49 | |
QUALCOMM, Inc.(2) | 4,116 | 363 | |
salesforce.com, Inc.(1) | 3,198 | 520 | |
Seagate Technology plc | 861 | 51 | |
Skyworks Solutions, Inc. | 618 | 75 | |
Synopsys, Inc.(1) | 545 | 76 | |
TE Connectivity Ltd. | 1,217 | 117 | |
Texas Instruments, Inc.(2) | 3,382 | 434 | |
VeriSign, Inc.(1) | 378 | 73 | |
Visa, Inc. Class A(2) | 6,278 | 1,180 | |
Western Digital Corp. | 1,044 | 66 | |
Western Union Co. (The) | 1,553 | 42 | |
Xerox Holdings Corp. | 693 | 25 |
Shares | Value | ||
Information Technology—continued | |||
Xilinx, Inc. | 910 | $89 | |
22,397 | |||
Materials—2.4% | |||
Air Products & Chemicals, Inc. | 722 | 170 | |
Albemarle Corp. | 344 | 25 | |
Amcor plc | 5,288 | 57 | |
Avery Dennison Corp. | 276 | 36 | |
Ball Corp. | 1,090 | 70 | |
Celanese Corp. | 405 | 50 | |
CF Industries Holdings, Inc. | 711 | 34 | |
Corteva, Inc.(2) | 2,422 | 72 | |
Dow, Inc.(2) | 2,420 | 132 | |
DuPont de Nemours, Inc.(2) | 2,438 | 156 | |
Eastman Chemical Co. | 448 | 35 | |
Ecolab, Inc. | 822 | 159 | |
FMC Corp. | 427 | 43 | |
Freeport-McMoRan, Inc. | 4,694 | 62 | |
International Flavors & Fragrances, Inc. | 351 | 45 | |
International Paper Co. | 1,287 | 59 | |
Linde plc | 1,774 | 378 | |
LyondellBasell Industries NV Class A | 842 | 79 | |
Martin Marietta Materials, Inc. | 206 | 58 | |
Mosaic Co. (The) | 1,152 | 25 | |
Newmont Goldcorp Corp. | 2,713 | 118 | |
Nucor Corp. | 991 | 56 | |
Packaging Corporation of America | 310 | 35 | |
PPG Industries, Inc. | 775 | 103 | |
Sealed Air Corp. | 507 | 20 | |
Sherwin-Williams Co. (The) | 270 | 158 | |
Vulcan Materials Co. | 435 | 63 | |
Westrock Co. | 842 | 36 | |
2,334 | |||
Real Estate—2.7% | |||
Alexandria Real Estate Equities, Inc. | 375 | 61 | |
American Tower Corp. | 1,458 | 335 | |
Apartment Investment & Management Co. Class A | 493 | 26 | |
AvalonBay Communities, Inc. | 462 | 97 | |
Boston Properties, Inc. | 474 | 65 | |
CBRE Group, Inc. Class A(1) | 1,106 | 68 | |
Crown Castle International Corp. | 1,367 | 194 | |
Digital Realty Trust, Inc. | 688 | 82 | |
Duke Realty Corp. | 1,196 | 42 | |
Equinix, Inc. | 280 | 163 | |
Equity Residential | 1,154 | 93 | |
Essex Property Trust, Inc. | 217 | 65 | |
Extra Space Storage, Inc. | 426 | 45 | |
Federal Realty Investment Trust | 230 | 30 | |
Healthpeak Properties, Inc. | 1,626 | 56 | |
Host Hotels & Resorts, Inc. | 2,400 | 45 | |
Iron Mountain, Inc. | 946 | 30 | |
Kimco Realty Corp. | 1,397 | 29 | |
Macerich Co. (The) | 358 | 10 | |
Mid-America Apartment Communities, Inc. | 377 | 50 | |
Prologis, Inc. | 2,085 | 186 | |
Public Storage | 498 | 106 | |
Realty Income Corp. | 1,050 | 77 | |
Regency Centers Corp. | 555 | 35 | |
SBA Communications, Corp. | 373 | 90 | |
Simon Property Group, Inc.(2) | 1,016 | 151 | |
SL Green Realty Corp. | 272 | 25 |
Table of Contents
Shares | Value | ||
Real Estate—continued | |||
UDR, Inc. | 970 | $45 | |
Ventas, Inc. | 1,234 | 71 | |
Vornado Realty Trust | 523 | 35 | |
Welltower, Inc. | 1,344 | 110 | |
Weyerhaeuser Co. | 2,465 | 74 | |
2,591 | |||
Utilities—3.0% | |||
AES Corp. | 2,181 | 43 | |
Alliant Energy Corp. | 784 | 43 | |
Ameren Corp. | 812 | 62 | |
American Electric Power Co., Inc. | 1,633 | 154 | |
American Water Works Co., Inc. | 595 | 73 | |
Atmos Energy Corp. | 390 | 44 | |
CenterPoint Energy, Inc. | 1,647 | 45 | |
CMS Energy Corp. | 936 | 59 | |
Consolidated Edison, Inc. | 1,093 | 99 | |
Dominion Energy, Inc. | 2,711 | 225 | |
DTE Energy Co. | 600 | 78 | |
Duke Energy Corp.(2) | 2,401 | 219 | |
Edison International | 1,181 | 89 | |
Entergy Corp. | 659 | 79 | |
Evergy, Inc. | 777 | 51 | |
Eversource Energy | 1,068 | 91 | |
Exelon Corp.(2) | 3,197 | 146 | |
FirstEnergy Corp. | 1,779 | 86 | |
NextEra Energy, Inc.(2) | 1,616 | 391 | |
NiSource, Inc. | 1,229 | 34 | |
NRG Energy, Inc. | 835 | 33 | |
Pinnacle West Capital Corp. | 371 | 33 | |
PPL Corp. | 2,388 | 86 | |
Public Service Enterprise Group, Inc. | 1,664 | 98 | |
Sempra Energy | 904 | 137 | |
Southern Co. (The)(2) | 3,434 | 219 | |
WEC Energy Group, Inc. | 1,042 | 96 | |
Xcel Energy, Inc. | 1,730 | 110 | |
2,923 | |||
Total Common Stocks (Identified Cost $66,902) | 93,536 | ||
Exchange-Traded Fund—2.5% | |||
Invesco S&P 500 High Beta ETF(3) | 52,651 | 2,456 | |
Total Exchange-Traded Fund (Identified Cost $2,320) | 2,456 | ||
Shares | Value | ||
Rights—0.0% | |||
Health Care—0.0% | |||
Bristol-Myers Squibb Co.(1)(2) | 2,606 | $8 | |
Total Rights (Identified Cost $6) | 8 | ||
Total Long-Term Investments—98.8% (Identified Cost $69,228) | 96,000 | ||
Short-Term Investments—0.1% | |||
Purchased Options—0.1% | |||
(See open purchased options schedule) | |||
Total Purchased Options (Premiums paid $59) | 43 | ||
Total Short-Term Investments (Identified Cost $59) | 43 | ||
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—98.9% (Identified Cost $69,287) | 96,043 | ||
Written Options—(0.1)% | |||
(See open written options schedule) | |||
Total Written Options (Premiums received $99) | (69) | ||
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—98.8% (Identified Cost $69,188) | $95,974 | ||
Other assets and liabilities, net—1.2% | 1,211 | ||
NET ASSETS—100.0% | $97,185 |
Abbreviation: | |
ETF | Exchange-Traded Fund |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | All or a portion of the security is segregated as collateral for written options. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Table of Contents
Open Purchased Options Contracts as of December 31, 2019 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options | |||||
S&P 500® Index | 32 | $10,736 | $3,355.00 | 01/03/20 | $—(2) |
S&P 500® Index | 32 | 10,720 | 3,350.00 | 01/06/20 | —(2) |
S&P 500® Index | 32 | 10,752 | 3,360.00 | 01/08/20 | —(2) |
S&P 500® Index | 32 | 10,832 | 3,385.00 | 01/10/20 | —(2) |
S&P 500® Index | 29 | 9,816 | 3,385.00 | 01/13/20 | —(2) |
S&P 500® Index | 32 | 10,832 | 3,385.00 | 01/15/20 | 1 |
1 | |||||
Put Options | |||||
S&P 500® Index | 32 | 9,840 | 3,075.00 | 01/03/20 | 3 |
S&P 500® Index | 32 | 9,840 | 3,075.00 | 01/06/20 | 4 |
S&P 500® Index | 32 | 9,792 | 3,060.00 | 01/08/20 | 5 |
S&P 500® Index | 32 | 9,808 | 3,065.00 | 01/10/20 | 12 |
S&P 500® Index | 29 | 8,802 | 3,035.00 | 01/13/20 | 7 |
S&P 500® Index | 32 | 9,600 | 3,000.00 | 01/15/20 | 11 |
42 | |||||
Total Purchased Options | $43 |
Open Written Options Contracts as of December 31, 2019 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options | |||||
S&P 500® Index | 32 | $10,576 | $3,305.00 | 01/03/20 | $—(2) |
S&P 500® Index | 32 | 10,560 | 3,300.00 | 01/06/20 | (1) |
S&P 500® Index | 32 | 10,592 | 3,310.00 | 01/08/20 | (1) |
S&P 500® Index | 32 | 10,672 | 3,335.00 | 01/10/20 | (1) |
S&P 500® Index | 29 | 9,657 | 3,330.00 | 01/13/20 | (1) |
S&P 500® Index | 32 | 10,672 | 3,335.00 | 01/15/20 | (2) |
(6) | |||||
Put Options | |||||
S&P 500® Index | 32 | 10,000 | 3,125.00 | 01/03/20 | (3) |
S&P 500® Index | 32 | 10,000 | 3,125.00 | 01/06/20 | (5) |
S&P 500® Index | 32 | 9,952 | 3,110.00 | 01/08/20 | (9) |
S&P 500® Index | 32 | 9,968 | 3,115.00 | 01/10/20 | (15) |
S&P 500® Index | 29 | 8,961 | 3,090.00 | 01/13/20 | (14) |
S&P 500® Index | 32 | 9,760 | 3,050.00 | 01/15/20 | (17) |
(63) | |||||
Total Written Options | $(69) |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
(2) | Amount is less than $500. |
Table of Contents
Total Value at December 31, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $93,536 | $93,536 | $— | ||
Exchange-Traded Fund | 2,456 | 2,456 | — | ||
Rights | 8 | 8 | — | ||
Other Financial Instruments: | |||||
Purchased Options | 43 | 36 | 7 | ||
Total Assets | 96,043 | 96,036 | 7 | ||
Liabilities: | |||||
Other Financial Instruments: | |||||
Written Options | (69) | (68) | (1) | ||
Total Investments | $95,974 | $95,968 | $6 |
Table of Contents
Shares | Value | ||
Common Stocks—98.0% | |||
Communication Services—3.4% | |||
Tencent Holdings Ltd. (China) | 102,962 | $4,963 | |
Consumer Discretionary—16.3% | |||
adidas AG (Germany) | 19,133 | 6,220 | |
Alibaba Group Holding Ltd. Sponsored ADR (China)(1) | 31,108 | 6,598 | |
Fast Retailing Co. Ltd. (Japan) | 5,862 | 3,507 | |
MercadoLibre, Inc. (Argentina)(1) | 6,442 | 3,684 | |
TAL Education Group ADR (China)(1) | 84,612 | 4,078 | |
24,087 | |||
Consumer Staples—25.0% | |||
Diageo plc (United Kingdom) | 139,207 | 5,901 | |
Fomento Economico Mexicano SAB de C.V. Sponsored ADR (Mexico) | 44,400 | 4,196 | |
Heineken NV (Netherlands) | 68,474 | 7,291 | |
L’Oreal SA (France) | 25,394 | 7,520 | |
Nestle S.A. Registered Shares (Switzerland) | 64,754 | 7,011 | |
Wal-Mart de Mexico SAB de C.V. (Mexico) | 1,781,083 | 5,113 | |
37,032 | |||
Financials—18.5% | |||
AIA Group Ltd. (Hong Kong) | 802,951 | 8,429 | |
Aon plc (United Kingdom) | 34,693 | 7,226 | |
HDFC Bank Ltd. ADR (India) | 126,738 | 8,032 | |
Sanlam Ltd. (South Africa) | 668,951 | 3,778 | |
27,465 | |||
Health Care—12.4% | |||
Alcon, Inc. (Switzerland)(1) | 74,527 | 4,216 | |
Novo Nordisk A/S Sponsored ADR (Denmark) | 109,272 | 6,325 | |
Shandong Weigao Group Medical Polymer Co. Ltd. Class H (China) | 3,664,646 | 4,392 | |
Sysmex Corp. (Japan) | 49,376 | 3,385 | |
18,318 | |||
Industrials—5.4% | |||
IHS Markit Ltd. (United Kingdom)(1) | 106,285 | 8,009 | |
Information Technology—11.3% | |||
Adyen NV (Netherlands)(1) | 4,906 | 4,023 | |
Dassault Systemes SE (France) | 23,233 | 3,819 | |
SAP SE Sponsored ADR (Germany) | 44,413 | 5,951 | |
Temenos AG Registered Shares (Switzerland)(1) | 19,013 | 3,009 | |
16,802 | |||
Shares | Value | ||
Materials—5.7% | |||
Chr. Hansen Holding A/S (Denmark) | 49,406 | $3,926 | |
Linde plc (United Kingdom) | 21,052 | 4,482 | |
8,408 | |||
Total Common Stocks (Identified Cost $134,286) | 145,084 | ||
Total Long-Term Investments—98.0% (Identified Cost $134,286) | 145,084 | ||
Short-Term Investment—2.4% | |||
Money Market Mutual Fund—2.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(2) | 3,596,847 | 3,597 | |
Total Short-Term Investment (Identified Cost $3,597) | 3,597 | ||
TOTAL INVESTMENTS—100.4% (Identified Cost $137,883) | $148,681 | ||
Other assets and liabilities, net—(0.4)% | (581) | ||
NET ASSETS—100.0% | $148,100 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
United Kingdom | 17% |
China | 13 |
Switzerland | 10 |
Germany | 8 |
France | 8 |
Netherlands | 8 |
Denmark | 7 |
Other | 29 |
Total | 100% |
† % of total investments as of December 31, 2019. |
Table of Contents
Total Value at December 31, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $145,084 | $145,084 | |
Money Market Mutual Fund | 3,597 | 3,597 | |
Total Investments | $148,681 | $148,681 |
Table of Contents
Par Value | Value | ||
U.S. Government Securities—4.7% | |||
U.S. Treasury Bonds | |||
2.500%, 2/15/46 | $2,179 | $2,222 | |
3.000%, 8/15/48 | 560 | 630 | |
U.S. Treasury Note 1.625%, 2/15/26 | 80 | 79 | |
U.S. Treasury Notes 2.875%, 8/15/28 | 1,145 | 1,233 | |
Total U.S. Government Securities (Identified Cost $3,883) | 4,164 | ||
Municipal Bonds—1.7% | |||
California—0.9% | |||
San Diego County Regional Airport Authority Rental Car Center Project Series B - Taxable 5.594%, 7/1/43 | 275 | 311 | |
State of California, Build America Bonds Taxable 7.600%, 11/1/40 | 265 | 438 | |
University of California, Series B-A, Taxable 4.428%, 5/15/48 | 75 | 81 | |
830 | |||
Idaho—0.1% | |||
Idaho Health Facilities Authority Saint Luke’s Health System Revenue Taxable 5.020%, 3/1/48 | 90 | 109 | |
Texas—0.3% | |||
State of Texas 3.011%, 10/1/26 | 200 | 210 | |
State of Texas, General Obligation Taxable 3.211%, 4/1/44 | 25 | 25 | |
235 | |||
Virginia—0.4% | |||
City of Bristol, General Obligation Taxable 4.210%, 1/1/42 | 135 | 140 | |
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 200 | 193 | |
333 | |||
Total Municipal Bonds (Identified Cost $1,415) | 1,507 | ||
Foreign Government Securities—0.1% | |||
Bolivarian Republic of Venezuela 9.375%, 1/13/34(1) | 65 | 7 | |
United Mexican States | |||
4.750%, 3/8/44 | 54 | 60 | |
Series M 6.500%, 6/9/22 | 925MXN | 49 | |
Total Foreign Government Securities (Identified Cost $160) | 116 | ||
Par Value | Value | ||
Mortgage-Backed Securities—10.5% | |||
Agency—0.7% | |||
Federal National Mortgage Association | |||
Pool #813881 4.000%, 6/1/20 | $1 | $1 | |
Pool #825985 4.500%, 7/1/20 | —(2) | —(2) | |
Pool #254007 6.500%, 10/1/31 | 2 | 2 | |
Pool #656288 6.000%, 9/1/32 | 6 | 6 | |
Pool #835144 5.000%, 10/1/35 | 19 | 21 | |
Pool #882224 6.000%, 9/1/36 | 1 | 1 | |
Pool #914724 5.500%, 4/1/37 | 4 | 5 | |
Pool #940524 5.500%, 7/1/37 | 14 | 15 | |
Pool #949301 6.000%, 10/1/37 | 4 | 4 | |
Pool #975097 5.000%, 6/1/38 | 14 | 16 | |
Pool #929637 5.500%, 6/1/38 | 2 | 3 | |
Pool #986012 5.500%, 6/1/38 | 2 | 2 | |
Pool #994383 5.500%, 11/1/38 | 10 | 12 | |
Pool #991124 5.000%, 1/1/39 | 4 | 4 | |
Pool #994322 6.000%, 1/1/39 | 3 | 4 | |
Pool #AA4418 4.500%, 3/1/39 | 8 | 8 | |
Pool #AA4434 5.000%, 3/1/39 | 7 | 7 | |
Pool #AA4436 6.000%, 3/1/39 | 4 | 5 | |
Pool #CA4128 3.000%, 9/1/49 | 113 | 114 | |
Pool#MA3803 3.500%, 10/1/49 | 310 | 319 | |
Government National Mortgage Association | |||
Pool #368053 6.500%, 11/15/23 | 8 | 9 | |
Pool #351336 6.500%, 12/15/23 | 1 | 1 | |
Pool #385198 6.500%, 2/15/24 | 10 | 11 | |
Pool #563381 6.500%, 11/15/31 | 15 | 17 | |
Pool #581072 6.500%, 2/15/32 | 4 | 4 | |
591 | |||
Non-Agency—9.8% | |||
Access Point Funding I LLC 2017-A, A 144A 3.060%, 4/15/29(3) | 4 | 4 | |
Agate Bay Mortgage Trust 2016-3, A5 144A 3.500%, 8/25/46(3)(4) | 53 | 54 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
Ajax Mortgage Loan Trust 2019-D, A1 144A 2.956%, 9/25/65(3)(4) | $93 | $92 | |
American Homes 4 Rent Trust | |||
2015-SFR1, A 144A 3.467%, 4/17/52(3) | 101 | 104 | |
2015-SFR2, C 144A 4.691%, 10/17/52(3) | 110 | 117 | |
Angel Oak Mortgage Trust I LLC | |||
2018-1, A1 144A 3.258%, 4/27/48(3)(4) | 66 | 66 | |
2018-2, A1 144A 3.674%, 7/27/48(3)(4) | 96 | 97 | |
2019-1, A1 144A 3.920%, 11/25/48(3)(4) | 90 | 92 | |
Angel Oak Mortgage Trust LLC 2019-3, A1 144A 2.930%, 5/25/59(3)(4) | 84 | 84 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(3)(4) | 66 | 67 | |
2019-1, A1 144A 3.805%, 1/25/49(3)(4) | 82 | 84 | |
Aventura Mall Trust 2013-AVM, C 144A 3.743%, 12/5/32(3)(4) | 300 | 302 | |
Bayview Opportunity Master Fund IVa Trust 2016-SPL1, B1 144A 4.250%, 4/28/55(3) | 100 | 104 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(3)(4) | 100 | 104 | |
Bunker Hill Loan Depositary Trust 2019-1, A1 144A 3.613%, 10/26/48(3)(4) | 158 | 160 | |
BX Trust | |||
2018-GW, B (1 month LIBOR + 1.020%) 144A 2.760%, 5/15/35(3)(4) | 125 | 125 | |
2019-OC11, D 144A 4.075%, 12/9/41(3) | 80 | 81 | |
CIT Home Equity Loan Trust 2003-1, A5 5.480%, 7/20/34(4) | 58 | 59 | |
Citigroup Commercial Mortgage Trust | |||
2013-375P, B 144A 3.518%, 5/10/35(3)(4) | 100 | 103 | |
2019-SST2, A (1 month LIBOR + 0.920%) 144A 2.660%, 12/15/36(3)(4) | 100 | 100 | |
2015-GC27, A4 2.878%, 2/10/48 | 80 | 82 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2004-NCM2, 2CB2 6.750%, 8/25/34 | 47 | 51 | |
2014-A, A 144A 4.000%, 1/25/35(3)(4) | 26 | 27 | |
2019-IMC1, A1 144A 2.720%, 7/25/49(3)(4) | 88 | 88 | |
2015-A, A1 144A 3.500%, 6/25/58(3)(4) | 26 | 27 | |
2019-RP1, A1 144A 3.500%, 1/25/66(3)(4) | 102 | 104 | |
COLT Mortgage Loan Trust Funding LLC | |||
2018-1, A1 144A 2.930%, 2/25/48(3)(4) | 23 | 23 | |
2018-2, A1 144A 3.470%, 7/27/48(3)(4) | 35 | 35 | |
2019-1, A1 144A 3.705%, 3/25/49(3)(4) | 67 | 67 |
Par Value | Value | ||
Non-Agency—continued | |||
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 2.720%, 5/15/36(3)(4) | $100 | $100 | |
Credit Suisse Mortgage Capital Trust 2013-HYB1, A16 144A 3.041%, 4/25/43(3)(4) | 15 | 15 | |
Ellington Financial Mortgage Trust 2018-1, A1FX 144A 4.140%, 10/25/58(3)(4) | 66 | 67 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(3)(4) | 39 | 39 | |
2018-2, A41 144A 4.500%, 10/25/58(3)(4) | 55 | 56 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(3)(4) | 85 | 85 | |
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(3) | 100 | 102 | |
GSAA Home Equity Trust 2005-12, AF3W 4.999%, 9/25/35(4) | 23 | 24 | |
Homeward Opportunities Fund I Trust 2019-1, A1 144A 3.454%, 1/25/59(3)(4) | 75 | 75 | |
IMC Home Equity Loan Trust 1997-5, A9 7.310%, 11/20/28 | 49 | 49 | |
JP Morgan Chase Mortgage Trust 2005-A5, 1A2 4.107%, 8/25/35(4) | 34 | 35 | |
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust | |||
2003-AR6, A1 4.699%, 6/25/33(4) | 26 | 27 | |
2003-AR4, 2A1 4.074%, 8/25/33(4) | 28 | 28 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
2011-C4, A4 144A 4.388%, 7/15/46(3) | 203 | 207 | |
2014-C22, A4 3.801%, 9/15/47 | 150 | 159 | |
2015-C31, AS 4.106%, 8/15/48 | 85 | 91 | |
2015-C28, B 3.986%, 10/15/48 | 90 | 94 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(3)(4) | 63 | 64 | |
2016-SH1, M2 144A 3.750%, 4/25/45(3)(4) | 55 | 57 | |
2016-SH2, M2 144A 3.750%, 12/25/45(3)(4) | 62 | 63 | |
2017-5, A1 144A 3.155%, 10/26/48(3)(4) | 185 | 187 | |
2018-8, A3 144A 4.000%, 1/25/49(3)(4) | 33 | 33 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%) 144A 2.540%, 5/15/36(3)(4) | 100 | 100 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(3)(4) | 100 | 101 | |
MASTR Alternative Loan Trust 2003-8, 2A1 5.750%, 11/25/33 | 69 | 71 | |
MASTR Specialized Loan Trust 2005-3, A2 144A 5.704%, 11/25/35(3)(4) | 24 | 24 |
Table of Contents
Par Value | Value | ||
Non-Agency—continued | |||
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 2.992%, 6/25/52(3)(4)(5) | $50 | $50 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.621%, 4/25/55(3)(4) | 100 | 103 | |
2019-1A, A1A 144A 3.750%, 4/25/58(3)(4) | 88 | 91 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2015-C22, AS 3.561%, 4/15/48 | 225 | 232 | |
Morgan Stanley Capital I Trust 2017-CLS, A (1 month LIBOR + 0.700%) 144A 2.440%, 11/15/34(3)(4) | 108 | 108 | |
Motel 6 Trust 2017-MTL6, A (1 month LIBOR + 0.920%) 144A 2.660%, 8/15/34(3)(4) | 89 | 89 | |
New Residential Mortgage Loan Trust | |||
2016-2A, A1 144A 3.750%, 11/26/35(3)(4) | 115 | 118 | |
2014-1A, A 144A 3.750%, 1/25/54(3)(4) | 48 | 50 | |
2015-2A, A1 144A 3.750%, 8/25/55(3)(4) | 93 | 96 | |
2016-1A, A1 144A 3.750%, 3/25/56(3)(4) | 40 | 41 | |
2016-3A, A1 144A 3.750%, 9/25/56(3)(4) | 49 | 51 | |
2016-4A, A1 144A 3.750%, 11/25/56(3)(4) | 131 | 135 | |
2016-4A, B1A 144A 4.500%, 11/25/56(3)(4) | 88 | 94 | |
2018-1A, A1A 144A 4.000%, 12/25/57(3)(4) | 112 | 116 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%) 3.517%, 3/25/35(4) | 56 | 56 | |
OBX Trust | |||
2018-EXP2, 1A1 144A 4.000%, 11/25/48(3)(4) | 134 | 135 | |
2019-INV1, A3 144A 4.500%, 11/25/48(3)(4) | 75 | 77 | |
One Market Plaza Trust 2017-1MKT, A 144A 3.614%, 2/10/32(3) | 100 | 102 | |
Progress Residential Trust 2018-SFR1, B 144A 3.484%, 3/17/35(3) | 110 | 110 | |
PRPM LLC | |||
2019-1A, A1 144A 4.500%, 1/25/24(3)(4) | 82 | 82 | |
2019-2A, A1 144A 3.967%, 4/25/24(3)(4) | 102 | 102 | |
RCO V Mortgage LLC 2019-1, A1 144A 3.721%, 5/24/24(3)(4) | 93 | 93 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(3)(4) | 84 | 84 | |
Sequoia Mortgage Trust 2018-CH2, A12 144A 4.000%, 6/25/48(3)(4) | 67 | 68 | |
Starwood Mortgage Residential Trust 2019-IMC1, A1 144A 3.468%, 2/25/49(3)(4) | 79 | 79 | |
Structured Adjustable Rate Mortgage Loan Trust 2004-1, 6A 4.256%, 2/25/34(4) | 64 | 65 |
Par Value | Value | ||
Non-Agency—continued | |||
Towd Point Mortgage Trust | |||
2015-1, A2 144A 3.250%, 10/25/53(3)(4) | $100 | $100 | |
2015-6, M1 144A 3.750%, 4/25/55(3)(4) | 100 | 105 | |
2015-5, A1B 144A 2.750%, 5/25/55(3)(4) | 42 | 42 | |
2015-5, A2 144A 3.500%, 5/25/55(3)(4) | 100 | 101 | |
2016-4, A1 144A 2.250%, 7/25/56(3)(4) | 44 | 43 | |
2018-6, A2 144A 3.750%, 3/25/58(3)(4) | 110 | 114 | |
2018-4, A1 144A 3.000%, 6/25/58(3)(4) | 90 | 92 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(3)(4) | 56 | 56 | |
Tricon American Homes Trust | |||
2017-SFR1, A 144A 2.716%, 9/17/34(3) | 99 | 99 | |
2019-SFR1, C 144A 3.149%, 3/17/38(3) | 100 | 99 | |
Vericrest Opportunity Loan Trust 2019-NPL2, A1 144A 3.967%, 2/25/49(3)(4) | 84 | 84 | |
Vericrest Opportunity Loan Trust LXIV LLC 2017-NP11, A1 144A 3.375%, 10/25/47(3)(4) | 49 | 49 | |
Vericrest Opportunity Loan Trust LXXV LLC 2019-NPL1, A1A 144A 4.336%, 1/25/49(3)(4) | 89 | 90 | |
Verus Securitization Trust | |||
2018-1, A1 144A 2.929%, 2/25/48(3)(4) | 65 | 65 | |
2018-2, B1 144A 4.426%, 6/1/58(3)(4) | 100 | 101 | |
2018-3, A1 144A 4.108%, 10/25/58(3)(4) | 62 | 63 | |
2019-1, A1 144A 3.836%, 2/25/59(3)(4) | 72 | 72 | |
2019-INV1, A1 144A 3.402%, 12/25/59(3)(4) | 86 | 86 | |
Wells Fargo Commercial Mortgage Trust | |||
2014-C24, AS 3.931%, 11/15/47 | 85 | 89 | |
2015-LC20, A5 3.184%, 4/15/50 | 85 | 88 | |
2015-LC20, B 3.719%, 4/15/50 | 140 | 145 | |
8,666 | |||
Total Mortgage-Backed Securities (Identified Cost $9,144) | 9,257 | ||
Asset-Backed Securities—3.8% | |||
Automobiles—2.3% | |||
ACC Trust 2019-1, A 144A 3.750%, 5/20/22(3) | 70 | 70 | |
American Credit Acceptance Receivables Trust | |||
2018-3, C 144A 3.750%, 10/15/24(3) | 105 | 106 |
Table of Contents
Par Value | Value | ||
Automobiles—continued | |||
2018-4, C 144A 3.970%, 1/13/25(3) | $100 | $101 | |
2019-2, C 144A 3.170%, 6/12/25(3) | 85 | 86 | |
Capital Auto Receivables Asset Trust 2017-1, C 144A 2.700%, 9/20/22(3) | 90 | 91 | |
Centre Point Funding LLC 2012-2A, 1 144A 2.610%, 8/20/21(3) | 10 | 10 | |
Drive Auto Receivables Trust | |||
2018-4, D 4.090%, 1/15/26 | 105 | 108 | |
2019-4, C 2.510%, 11/17/25 | 85 | 85 | |
DT Auto Owner Trust 2018-3A, C 144A 3.790%, 7/15/24(3) | 75 | 76 | |
Exeter Automobile Receivables Trust | |||
2018-3A, C 144A 3.710%, 6/15/23(3) | 105 | 106 | |
2018-4A, D 144A 4.350%, 9/16/24(3) | 100 | 103 | |
2019-2A, C 144A 3.300%, 3/15/24(3) | 85 | 86 | |
2019-3A, C 144A 2.790%, 5/15/24(3) | 85 | 85 | |
Flagship Credit Auto Trust 2019-1, C 144A 3.600%, 2/18/25(3) | 55 | 56 | |
GLS Auto Receivables Issuer Trust 2019-2A, B 144A 3.320%, 3/15/24(3) | 100 | 102 | |
GLS Auto Receivables Trust 2018-3A, C 144A 4.180%, 7/15/24(3) | 130 | 134 | |
Hertz Vehicle Financing II LP 2015-1A, A 144A 2.730%, 3/25/21(3) | 110 | 110 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(3) | 85 | 85 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(3) | 100 | 100 | |
Tesla Auto Lease Trust 2018-B, B 144A 4.120%, 10/20/21(3) | 85 | 87 | |
Tricolor Auto Securitization Trust 2018-2A, B 144A 4.760%, 2/15/22(3) | 96 | 98 | |
Veros Automobile Receivables Trust 2018-1, B 144A 4.050%, 2/15/24(3) | 85 | 86 | |
1,971 | |||
Other—1.4% | |||
Amur Equipment Finance Receivables VI LLC 2018-2A, A2 144A 3.890%, 7/20/22(3) | 88 | 89 | |
Arby’s Funding LLC 2015-1A, A2 144A 4.969%, 10/30/45(3) | 67 | 69 | |
BXG Receivables Note Trust 2012-A, A 144A 2.660%, 12/2/27(3) | 12 | 12 | |
Diamond Resorts Owner Trust 2017-1A, A 144A 3.270%, 10/22/29(3) | 33 | 34 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(3) | 80 | 80 | |
Lendmark Funding Trust 2019-1A, A 144A 3.000%, 12/20/27(3) | 100 | 100 | |
Mariner Finance Issuance Trust 2019-AA, A 144A 2.960%, 7/20/32(3) | 100 | 100 | |
MVW LLC 2019-2A, A 144A 2.220%, 10/20/38(3) | 96 | 95 |
Par Value | Value | ||
Other—continued | |||
MVW Owner Trust 2017-1A, A 144A 2.420%, 12/20/34(3) | $49 | $49 | |
Orange Lake Timeshare Trust 2019-A, B 144A 3.360%, 4/9/38(3) | 81 | 82 | |
Primose Funding LLC 2019-1A, A2 144A 4.475%, 7/30/49(3) | 85 | 86 | |
Prosper Marketplace Issuance Trust | |||
2018-2A, B 144A 3.960%, 10/15/24(3) | 100 | 101 | |
2019-3A, A 144A 3.190%, 7/15/25(3) | 68 | 69 | |
SoFi Consumer Loan Program LLC | |||
2016-3, A 144A 3.050%, 12/26/25(3) | 23 | 23 | |
2017-1, A 144A 3.280%, 1/26/26(3) | 17 | 17 | |
SoFi Consumer Loan Program Trust 2019-3, A 144A 2.900%, 5/25/28(3) | 73 | 73 | |
Stack Infrastructure Issuer LLC 2019-1A, A2 144A 4.540%, 2/25/44(3) | 94 | 99 | |
Taco Bell Funding LLC 2016-1A, A23 144A 4.970%, 5/25/46(3) | 78 | 83 | |
1,261 | |||
Student Loan—0.1% | |||
Earnest Student Loan Program LLC 2017-A, A2 144A 2.650%, 1/25/41(3) | 36 | 36 | |
SoFi Professional Loan Program LLC 2016-A, A2 144A 2.760%, 12/26/36(3) | 29 | 29 | |
65 | |||
Total Asset-Backed Securities (Identified Cost $3,263) | 3,297 | ||
Corporate Bonds and Notes—13.5% | |||
Communication Services—0.7% | |||
AT&T, Inc. | |||
4.250%, 3/1/27 | 20 | 22 | |
4.100%, 2/15/28 | 55 | 60 | |
Diamond Sports Group LLC 144A 5.375%, 8/15/26(3) | 40 | 40 | |
Discovery Communications LLC 3.950%, 3/20/28 | 100 | 107 | |
Meredith Corp. 6.875%, 2/1/26 | 40 | 42 | |
Sprint Spectrum Co. LLC 144A 4.738%, 3/20/25(3) | 200 | 212 | |
Telesat Canada 144A 4.875%, 6/1/27(3) | 30 | 30 | |
Verizon Communications, Inc. | |||
4.125%, 3/16/27 | 60 | 66 | |
(3 month LIBOR + 1.100%) 3.010%, 5/15/25(4) | 35 | 36 | |
615 | |||
Consumer Discretionary—0.8% | |||
Aptiv Corp. 4.150%, 3/15/24 | 90 | 95 | |
Brookfield Residential Properties, Inc. 144A 6.250%, 9/15/27(3) | 65 | 69 |
Table of Contents
Par Value | Value | ||
Consumer Discretionary—continued | |||
Bunge Ltd. Finance Corp. 4.350%, 3/15/24 | $70 | $73 | |
Dollar Tree, Inc. 4.000%, 5/15/25 | 90 | 96 | |
General Motors Financial Co., Inc. | |||
4.200%, 3/1/21 | 45 | 46 | |
3.550%, 4/9/21 | 17 | 17 | |
GLP Capital LP 5.750%, 6/1/28 | 100 | 114 | |
Lear Corp. 3.800%, 9/15/27 | 120 | 121 | |
MGM Growth Properties Operating Partnership LP 144A 5.750%, 2/1/27(3) | 35 | 39 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 55 | 60 | |
730 | |||
Consumer Staples—0.1% | |||
Conagra Brands, Inc. 4.300%, 5/1/24 | 85 | 92 | |
Energy—1.3% | |||
Boardwalk Pipelines LP 4.950%, 12/15/24 | 65 | 70 | |
Cheniere Energy Partners LP | |||
5.625%, 10/1/26 | 35 | 37 | |
144A 4.500%, 10/1/29(3) | 30 | 31 | |
CNOOC Finance 2013 Ltd. 3.000%, 5/9/23 | 200 | 203 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 100 | 113 | |
Kinder Morgan, Inc. | |||
4.300%, 6/1/25 | 165 | 179 | |
7.750%, 1/15/32 | 65 | 89 | |
MPLX LP 4.875%, 12/1/24 | 120 | 130 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 50 | 51 | |
Sabine Pass Liquefaction LLC 4.200%, 3/15/28 | 60 | 64 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 60 | 64 | |
Valero Energy Partners LP 4.500%, 3/15/28 | 90 | 99 | |
1,130 | |||
Financials—5.6% | |||
Allstate Corp. (The) Series B 5.750%, 8/15/53(6) | 145 | 156 | |
Apollo Management Holdings LP 144A 4.000%, 5/30/24(3) | 75 | 79 | |
Ares Finance Co. LLC 144A 4.000%, 10/8/24(3) | 140 | 140 | |
Athene Holding Ltd. 4.125%, 1/12/28 | 110 | 114 | |
Aviation Capital Group LLC | |||
144A 3.875%, 5/1/23(3) | 108 | 112 | |
144A 3.500%, 11/1/27(3) | 100 | 101 | |
Bank of America Corp. | |||
4.200%, 8/26/24 | 235 | 252 |
Par Value | Value | ||
Financials—continued | |||
(3 month LIBOR + 0.790%) 3.004%, 12/20/23 | $90 | $92 | |
Bank of Montreal 3.803%, 12/15/32 | 156 | 163 | |
Brighthouse Financial, Inc. 3.700%, 6/22/27 | 100 | 100 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 65 | 68 | |
Brookfield Finance, Inc. 4.000%, 4/1/24 | 92 | 99 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 130 | 137 | |
Citadel LP 144A 4.875%, 1/15/27(3) | 65 | 68 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 171 | 177 | |
(3 month LIBOR + 1.250%) 3.159%, 7/1/26(4) | 160 | 164 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 105 | 114 | |
Goldman Sachs Group, Inc. (The) 4.250%, 10/21/25 | 195 | 212 | |
Guanay Finance Ltd. 144A 6.000%, 12/15/20(3) | 56 | 57 | |
Huntington Bancshares, Inc. 7.000%, 12/15/20 | 95 | 99 | |
ICAHN Enterprises LP 6.250%, 5/15/26 | 85 | 91 | |
JPMorgan Chase & Co. 3.875%, 9/10/24 | 50 | 53 | |
Liberty Mutual Group, Inc. | |||
144A 4.250%, 6/15/23(3) | 34 | 36 | |
144A 4.569%, 2/1/29(3) | 116 | 129 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 4.006%, 4/20/67(4)(6) | 55 | 46 | |
Lloyds Bank plc 144A 6.500%, 9/14/20(3) | 150 | 154 | |
Morgan Stanley | |||
3.125%, 7/27/26 | 125 | 129 | |
6.375%, 7/24/42 | 100 | 147 | |
MSCI, Inc. 144A 4.000%, 11/15/29(3) | 46 | 47 | |
Navient Corp. 6.750%, 6/25/25(7) | 60 | 66 | |
Nuveen Finance LLC 144A 4.125%, 11/1/24(3) | 135 | 147 | |
Prudential Financial, Inc. | |||
5.625%, 6/15/43(6) | 65 | 70 | |
(3 month LIBOR + 4.175%) 5.875%, 9/15/42 | 100 | 107 | |
Santander Holdings USA, Inc. | |||
3.700%, 3/28/22 | 93 | 96 | |
3.500%, 6/7/24 | 65 | 67 | |
SBA Tower Trust 144A 2.877%, 7/9/21(3) | 100 | 100 | |
Springleaf Finance Corp. 7.125%, 3/15/26 | 40 | 46 | |
Synchrony Financial 3.950%, 12/1/27 | 90 | 94 | |
Teachers Insurance & Annuity Association of America (3 month LIBOR + 2.661%) 144A 4.375%, 9/15/54(3) | 120 | 125 |
Table of Contents
Par Value | Value | ||
Financials—continued | |||
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | $155 | $162 | |
Trinity Acquisition plc 4.400%, 3/15/26 | 90 | 98 | |
Voya Financial, Inc. (3 month LIBOR + 3.580%) 5.650%, 5/15/53 | 65 | 69 | |
Wells Fargo & Co. | |||
Series M 3.450%, 2/13/23 | 125 | 129 | |
Series S 5.900%(6) | 75 | 82 | |
Willis Towers Watson plc 5.750%, 3/15/21 | 135 | 141 | |
4,935 | |||
Health Care—0.5% | |||
AbbVie, Inc. 3.200%, 5/14/26 | 40 | 41 | |
Anthem, Inc. 2.875%, 9/15/29 | 65 | 65 | |
Centene Corp. 144A 4.625%, 12/15/29(3) | 25 | 26 | |
Charles River Laboratories International, Inc. 144A 4.250%, 5/1/28(3) | 15 | 15 | |
CVS Health Corp. 2.875%, 6/1/26 | 120 | 122 | |
HCA, Inc. | |||
5.625%, 9/1/28 | 35 | 40 | |
5.125%, 6/15/39 | 35 | 39 | |
5.250%, 6/15/49 | 50 | 56 | |
404 | |||
Industrials—0.8% | |||
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(3) | 85 | 90 | |
DP World plc 144A 6.850%, 7/2/37(3) | 100 | 131 | |
Hillenbrand, Inc. 4.500%, 9/15/26 | 85 | 89 | |
Oshkosh Corp. 4.600%, 5/15/28 | 117 | 125 | |
Owens Corning 3.950%, 8/15/29 | 109 | 113 | |
Penske Truck Leasing Co., LP 144A 4.125%, 8/1/23(3) | 90 | 95 | |
SRS Distribution, Inc. 144A 8.250%, 7/1/26(3) | 45 | 46 | |
TransDigm, Inc. 144A 6.250%, 3/15/26(3) | 35 | 38 | |
727 | |||
Information Technology—0.8% | |||
Apple, Inc. 3.350%, 2/9/27 | 90 | 96 | |
Broadcom Corp. 3.000%, 1/15/22 | 45 | 46 | |
Citrix Systems, Inc. 4.500%, 12/1/27 | 75 | 81 | |
Dell International LLC 144A 6.020%, 6/15/26(3) | 100 | 115 | |
Hewlett Packard Enterprise Co. 4.900%, 10/15/25 | 65 | 72 |
Par Value | Value | ||
Information Technology—continued | |||
Motorola Solutions, Inc. 4.600%, 5/23/29 | $100 | $109 | |
Verisk Analytics, Inc. 4.000%, 6/15/25 | 135 | 145 | |
664 | |||
Materials—0.5% | |||
DuPont de Nemours, Inc. 4.493%, 11/15/25 | 97 | 107 | |
Glencore Funding LLC 144A 4.125%, 5/30/23(3) | 105 | 109 | |
Kaiser Aluminum Corp. 144A 4.625%, 3/1/28(3) | 30 | 31 | |
Olin Corp. 5.625%, 8/1/29 | 80 | 84 | |
Vulcan Materials Co. 3.900%, 4/1/27 | 105 | 111 | |
442 | |||
Real Estate—1.2% | |||
Corporate Office Properties LP 3.600%, 5/15/23 | 165 | 170 | |
EPR Properties 4.750%, 12/15/26 | 120 | 131 | |
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(3) | 55 | 56 | |
Healthcare Realty Trust, Inc. 3.875%, 5/1/25 | 90 | 95 | |
Healthcare Trust of America Holdings LP 3.750%, 7/1/27 | 110 | 116 | |
Hospitality Properties Trust 4.500%, 3/15/25 | 105 | 108 | |
iStar, Inc. 4.250%, 8/1/25 | 65 | 66 | |
Life Storage LP 3.500%, 7/1/26 | 55 | 56 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 35 | 37 | |
4.625%, 8/1/29 | 15 | 15 | |
Office Properties Income Trust 4.500%, 2/1/25 | 135 | 141 | |
Retail Opportunity Investments Partnership LP 4.000%, 12/15/24 | 105 | 107 | |
1,098 | |||
Utilities—1.2% | |||
CenterPoint Energy, Inc. 4.250%, 11/1/28 | 85 | 92 | |
DPL, Inc. 144A 4.350%, 4/15/29(3) | 102 | 98 | |
Energy Metro, Inc. 3.150%, 3/15/23 | 120 | 124 | |
Exelon Corp. 3.497%, 6/1/22 | 100 | 103 | |
Pennsylvania Electric Co. 144A 3.600%, 6/1/29(3) | 90 | 95 | |
PNM Resources, Inc. 3.250%, 3/9/21 | 85 | 86 | |
PSEG Power LLC 3.850%, 6/1/23 | 65 | 68 | |
Southern Power Co. 4.150%, 12/1/25 | 160 | 173 |
Table of Contents
Par Value | Value | ||
Utilities—continued | |||
Talen Energy Supply LLC 144A 6.625%, 1/15/28(3) | $40 | $41 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(3) | 55 | 58 | |
Texas Competitive Electric Holdings Co. 144A 0.000%, 10/1/20(3)(5) | 65 | —(2) | |
Vistra Operations Co. LLC 144A 4.300%, 7/15/29(3) | 85 | 87 | |
1,025 | |||
Total Corporate Bonds and Notes (Identified Cost $11,236) | 11,862 | ||
Leveraged Loans(4)—1.0% | |||
Aerospace—0.1% | |||
American Airlines, Inc. 2018 (3 month LIBOR + 1.750%) 0.000%, 6/27/25(8) | 65 | 65 | |
TransDigm, Inc. 2018, Tranche E (1 month LIBOR + 2.500%) 4.299%, 5/30/25 | 34 | 34 | |
99 | |||
Energy—0.0% | |||
Paragon Offshore Finance Co. (1 month PRIME + 0.000%) 5.250%, 7/16/21(1)(5) | —(2) | — | |
Financial—0.1% | |||
Delos Finance S.a.r.l. 2018 (3 month LIBOR + 1.750%) 3.695%, 10/6/23 | 56 | 56 | |
Food / Tobacco—0.0% | |||
Aramark Services, Inc. Tranche B-4 (3 month LIBOR + 1.750%) 0.000%, 1/27/27(8) | 15 | 15 | |
Forest Prod / Containers—0.0% | |||
Berry Global, Inc. Tranche U (3 month LIBOR + 2.500%) 4.215%, 7/1/26 | 35 | 35 | |
Gaming / Leisure—0.1% | |||
Seminole Tribe of Florida (1 month LIBOR + 1.750%) 3.549%, 7/8/24 | 62 | 63 | |
Healthcare—0.2% | |||
Bausch Health Cos., Inc. (1 month LIBOR + 3.000%) 4.740%, 6/2/25 | 4 | 4 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 3.695%, 6/11/25 | 69 | 69 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 4.500%) 6.304%, 11/16/25 | 70 | 70 | |
Select Medical Corp. Tranche B (6 month LIBOR + 2.500%) 0.000%, 3/6/25(8) | 10 | 10 | |
153 | |||
Housing—0.1% | |||
American Builders & Contractors Supply Co., Inc. (1 month LIBOR + 2.000%) 3.799%, 1/15/27 | 65 | 65 |
Par Value | Value | ||
Housing—continued | |||
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 3.799%, 11/21/24 | $69 | $70 | |
135 | |||
Media / Telecom - Broadcasting—0.1% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (3 month LIBOR + 2.750%) 4.452%, 9/18/26 | 50 | 50 | |
Media / Telecom - Cable/Wireless Video—0.1% | |||
CSC Holdings LLC 2018 (1 month LIBOR + 2.250%) 3.990%, 1/15/26 | 65 | 64 | |
Media / Telecom - Telecommunications—0.1% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.750%) 4.549%, 1/31/25 | 73 | 74 | |
Media / Telecom - Wireless Communications—0.1% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 5.049%, 4/4/26 | 25 | 25 | |
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 3.550%, 4/11/25 | 39 | 40 | |
65 | |||
Utility—0.0% | |||
Pacific Gas and Electric Co. | |||
(1 month LIBOR + 2.250%) 3.970%, 12/31/20 | 30 | 30 | |
(4 month LIBOR + 2.250%) 2.250%, 12/31/20(9) | 10 | 10 | |
40 | |||
Total Leveraged Loans (Identified Cost $843) | 849 | ||
Shares | ||
Preferred Stocks—0.4% | ||
Financials—0.3% | ||
M&T Bank Corp. Series F, 5.125%(10) | 58(11) | 63 |
MetLife, Inc. Series D, 5.875% | 40(11) | 44 |
PNC Financial Services Group, Inc. (The) Series S, 5.000% | 110(11) | 118 |
225 | ||
Industrials—0.1% | ||
General Electric Co. Series D, 5.000% | 90(11) | 88 |
Total Preferred Stocks (Identified Cost $300) | 313 | |
Common Stocks—62.8% | ||
Communication Services—10.4% | ||
58.com, Inc. ADR(12) | 5,800 | 376 |
Activision Blizzard, Inc. | 9,240 | 549 |
Adevinta ASA(12) | 15,049 | 178 |
Ascential plc | 69,011 | 358 |
Auto Trader Group plc | 60,982 | 480 |
carsales.com Ltd. | 23,485 | 274 |
Table of Contents
Shares | Value | ||
Communication Services—continued | |||
CTS Eventim AG & Co. KGaA | 3,815 | $240 | |
Facebook, Inc. Class A(12) | 12,600 | 2,586 | |
Karnov Group AB(12) | 57,784 | 327 | |
Netflix, Inc.(12) | 4,770 | 1,543 | |
Rightmove plc | 77,751 | 653 | |
Scout24 AG | 4,401 | 291 | |
Tencent Holdings Ltd. ADR | 27,070 | 1,300 | |
9,155 | |||
Consumer Discretionary—13.5% | |||
Alibaba Group Holding Ltd. Sponsored ADR(12) | 12,140 | 2,575 | |
Amazon.com, Inc.(12) | 1,760 | 3,252 | |
Home Depot, Inc. (The) | 2,980 | 651 | |
Las Vegas Sands Corp. | 15,250 | 1,053 | |
McDonald’s Corp. | 3,020 | 597 | |
MercadoLibre, Inc.(12) | 1,140 | 652 | |
NIKE, Inc. Class B | 12,880 | 1,305 | |
Ross Stores, Inc. | 8,360 | 973 | |
Trip.com Group Ltd. ADR(12) | 21,425 | 719 | |
Union Auction PCL | 453,500 | 107 | |
11,884 | |||
Consumer Staples—3.1% | |||
Compania Cervecerias Unidas SA Sponsored ADR | 4,000 | 76 | |
McCormick & Co., Inc. | 3,350 | 569 | |
Monster Beverage Corp.(12) | 6,580 | 418 | |
Philip Morris International, Inc. | 9,720 | 827 | |
Procter & Gamble Co. (The) | 6,910 | 863 | |
2,753 | |||
Energy—0.4% | |||
Computer Modelling Group Ltd. | 36,581 | 232 | |
Frontera Energy Corp. | 1,088 | 8 | |
Pason Systems, Inc. | 7,600 | 77 | |
317 | |||
Financials—5.4% | |||
Bank of America Corp. | 41,120 | 1,448 | |
Charles Schwab Corp. (The) | 14,130 | 672 | |
Gruppo Mutuionline SpA | 16,024 | 360 | |
MarketAxess Holdings, Inc. | 2,310 | 876 | |
Mortgage Advice Bureau Holdings Ltd. | 37,261 | 382 | |
Progressive Corp. (The) | 4,400 | 319 | |
Sabre Insurance Group plc | 98,842 | 403 | |
Vostok New Ventures Ltd. SDR(12) | 50,368 | 338 | |
4,798 | |||
Health Care—3.8% | |||
Danaher Corp. | 5,570 | 855 | |
Haw Par Corp., Ltd. | 21,300 | 203 | |
HealthEquity, Inc.(12) | 6,360 | 471 | |
Illumina, Inc.(12) | 1,390 | 461 | |
Zoetis, Inc. | 10,120 | 1,339 | |
3,329 | |||
Industrials—9.0% | |||
51job, Inc. ADR(12) | 3,100 | 263 | |
Asiakastieto Group Oyj | 3,386 | 120 | |
CoStar Group, Inc.(12) | 1,590 | 951 | |
DSV PANALPINA A/S | 3,750 | 432 | |
en-japan, Inc. | 9,700 | 426 |
Shares | Value | ||
Industrials—continued | |||
Equifax, Inc. | 2,990 | $419 | |
Fair Isaac Corp.(12) | 1,690 | 633 | |
Haitian International Holdings Ltd. | 151,000 | 366 | |
HeadHunter Group plc ADR | 32,400 | 695 | |
JOST Werke AG | 5,145 | 215 | |
Kansas City Southern | 4,860 | 744 | |
Knorr-Bremse AG | 3,027 | 308 | |
Marel HF | 23,715 | 121 | |
Roper Technologies, Inc. | 2,630 | 932 | |
Rotork plc | 42,500 | 189 | |
Uber Technologies, Inc.(12) | 20,495 | 610 | |
VAT Group AG(12) | 1,119 | 189 | |
Voltronic Power Technology Corp. | 11,600 | 277 | |
7,890 | |||
Information Technology—15.6% | |||
Accenture plc Class A | 3,810 | 802 | |
Admicom Oyj | 2,087 | 151 | |
Alten SA | 3,440 | 434 | |
Amphenol Corp. Class A | 11,790 | 1,276 | |
Avalara, Inc.(12) | 13,610 | 997 | |
Bill.com Holdings, Inc.(12)(13) | 27,685 | 1,053 | |
Bouvet ASA | 3,124 | 138 | |
Douzone Bizon Co., Ltd. | 2,582 | 181 | |
FDM Group Holdings plc | 10,187 | 139 | |
Fortnox AB | 5,607 | 101 | |
Freee KK(12) | 10,300 | 306 | |
NVIDIA Corp. | 6,130 | 1,442 | |
Paycom Software, Inc.(12) | 7,430 | 1,967 | |
SimCorp A/S | 1,240 | 141 | |
Trade Desk, Inc. (The) Class A(12) | 4,290 | 1,114 | |
Visa, Inc. Class A | 11,850 | 2,227 | |
Webstep AS | 43,373 | 120 | |
Workday, Inc. Class A(12) | 6,750 | 1,110 | |
13,699 | |||
Materials—1.6% | |||
Chr. Hansen Holding A/S | 2,185 | 174 | |
Corp. Moctezuma SAB de C.V. | 68,907 | 201 | |
Ecolab, Inc. | 5,350 | 1,032 | |
1,407 | |||
Total Common Stocks (Identified Cost $34,159) | 55,232 | ||
Exchange-Traded Fund—0.1% | |||
Invesco Senior Loan ETF(14) | 2,861 | 65 | |
Total Exchange-Traded Fund (Identified Cost $65) | 65 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(12) | 1,084 | 1 | |
Total Rights (Identified Cost $1) | 1 | ||
Table of Contents
Shares | Value | ||
Total Long-Term Investments—98.6% (Identified Cost $64,469) | $86,663 | ||
Short-Term Investment—0.6% | |||
Money Market Mutual Fund—0.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(14) | 532,549 | 533 | |
Total Short-Term Investment (Identified Cost $533) | 533 | ||
Securities Lending Collateral—0.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.512%)(14)(15) | 66,444 | 66 | |
Total Securities Lending Collateral (Identified Cost $66) | 66 | ||
TOTAL INVESTMENTS—99.3% (Identified Cost $65,068) | $87,262 | ||
Other assets and liabilities, net—0.7% | 640 | ||
NET ASSETS—100.0% | $87,902 |
Abbreviations: | |
ADR | American Depositary Receipt |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
Foreign Currencies: | |
MXN | Mexican Peso |
Footnote Legend: | |
(1) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(2) | Amount is less than $500. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, these securities amounted to a value of $13,172 or 15.0% of net assets. |
(4) | Variable rate security. Rate disclosed is as of December 31, 2019. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(6) | Interest payments may be deferred. |
(7) | All or a portion of security is on loan. |
(8) | This loan will settle after December 31, 2019, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected. |
(9) | Represents unfunded portion of security and commitment fee earned on this portion. |
(10) | Interest may be forfeited. |
(11) | Value shown as par value. |
(12) | Non-income producing. |
(13) | Restricted security. |
(14) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(15) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
United States | 81% |
China | 6 |
United Kingdom | 3 |
Germany | 1 |
Canada | 1 |
Sweden | 1 |
Denmark | 1 |
Other | 6 |
Total | 100% |
† % of total investments as of December 31, 2019. |
Table of Contents
Total Value at December 31, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $3,297 | $— | $3,297 | $— | |||
Corporate Bonds and Notes | 11,862 | — | 11,862 | —(1) | |||
Foreign Government Securities | 116 | — | 116 | — | |||
Leveraged Loans | 849 | — | 849 | —(2) | |||
Mortgage-Backed Securities | 9,257 | — | 9,207 | 50 | |||
Municipal Bonds | 1,507 | — | 1,507 | — | |||
U.S. Government Securities | 4,164 | — | 4,164 | — | |||
Equity Securities: | |||||||
Common Stocks | 55,232 | 55,232 | — | — | |||
Preferred Stocks | 313 | — | 313 | — | |||
Exchange-Traded Fund | 65 | 65 | — | — | |||
Rights | 1 | — | 1 | — | |||
Securities Lending Collateral | 66 | 66 | — | — | |||
Money Market Mutual Fund | 533 | 533 | — | — | |||
Total Investments | $87,262 | $55,896 | $31,316 | $50 |
(1) | Amount is less than $500. |
(2) | Includes internally fair valued securities currently priced at $0. |
Table of Contents
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | KAR Small-Cap Growth Series | KAR Small-Cap Value Series | ||||
Assets | |||||||
Investment in securities at value(1)(2) | $77,743 | $231,099 | $102,064 | $76,439 | |||
Foreign currency at value(3) | — | — | —(a) | — | |||
Cash | 287 | 1,905 | 2,995 | 830 | |||
Receivables | |||||||
Investment securities sold | 31 | — | — | — | |||
Series shares sold | 1,370 | — | — | 3 | |||
Dividends | 313 | 131 | 20 | 102 | |||
Securities lending income | — | 4 | —(a) | — | |||
Receivable from affiliate(b) | — | 36 | — | — | |||
Other assets | 229 | 680 | 305 | 230 | |||
Total assets | 79,973 | 233,855 | 105,384 | 77,604 | |||
Liabilities | |||||||
Payables | |||||||
Series shares repurchased | 6 | 97 | 110 | 5 | |||
Investment securities purchased | 419 | — | — | — | |||
Collateral on securities loaned | — | — | 1,225 | — | |||
Investment advisory fees | 44 | 124 | 65 | 43 | |||
Distribution and service fees | 16 | 49 | 20 | 16 | |||
Administration and accounting fees | 7 | 21 | 10 | 8 | |||
Transfer agent fees and expenses | —(a) | —(a) | —(a) | —(a) | |||
Professional fees | 22 | 19 | 20 | 19 | |||
Trustee deferred compensation plan | 229 | 680 | 305 | 230 | |||
Interest expense and/or commitment fees | —(a) | —(a) | —(a) | —(a) | |||
Other accrued expenses | 13 | 31 | 14 | 12 | |||
Total liabilities | 756 | 1,021 | 1,769 | 333 | |||
Net Assets | $79,217 | $232,834 | $103,615 | $77,271 | |||
Net Assets Consist of: | |||||||
Capital paid in on shares of beneficial interest | $57,768 | $99,147 | $49,830 | $49,070 | |||
Accumulated earnings (loss) | 21,449 | 133,687 | 53,785 | 28,201 | |||
Net Assets | $79,217 | $232,834 | $103,615 | $77,271 | |||
Net Assets: | |||||||
Class A | $77,044 | $232,834 | $96,996 | $77,271 | |||
Class I | $2,173 | $— | $6,619 | $— | |||
Shares of Beneficial Interest Outstanding $1 par value, unlimited authorization: | |||||||
Class A | 4,156,398 | 6,760,554 | 3,081,271 | 4,896,459 | |||
Class I | 117,435 | — | 204,747 | — | |||
Net Asset Value Per Share: | |||||||
Class A | $18.54 | $34.44 | $31.48 | $15.78 | |||
Class I | $18.51 | $— | $32.33 | $— | |||
(1)Investment in securities at cost | $56,514 | $98,529 | $48,241 | $49,040 | |||
(2) Market value of securities on loan | $— | $— | $1,190 | $— | |||
(3) Foreign currency at cost | $— | $— | $—(a) | $— | |||
(a) | Amount is less than $500. |
(b) | See Note 4G in the Notes to Financial Statements. |
Table of Contents
Newfleet Multi-Sector Intermediate Bond Series | Rampart Enhanced Core Equity Series | SGA International Growth Series | Strategic Allocation Series | ||||
Assets | |||||||
Investment in securities at value(1)(2) | $117,044 | $96,043 | $148,681 | $87,262 | |||
Foreign currency at value(3) | — | — | —(a) | — | |||
Cash | 1,053 | 1,290 | — | 979 | |||
Receivables | |||||||
Investment securities sold | 354 | 19 | — | 2 | |||
Series shares sold | 59 | — | 31 | 13 | |||
Dividends and interest | 1,037 | 94 | 4 | 233 | |||
Tax reclaims | — | — | 119 | 5 | |||
Securities lending income | 2 | — | — | 1 | |||
Receivable from affiliate(b) | — | — | — | 5 | |||
Other assets | 350 | 285 | 434 | 258 | |||
Total assets | 119,899 | 97,731 | 149,269 | 88,758 | |||
Liabilities | |||||||
Due to custodian | — | — | — | —(a) | |||
Written options at value(4) | — | 69 | — | — | |||
Payables | |||||||
Series shares repurchased | —(a) | 70 | —(a) | 17 | |||
Investment securities purchased | 494 | 12 | 579 | 414 | |||
Collateral on securities loaned | 1,068 | — | — | 66 | |||
Investment advisory fees | 52 | 45 | 87 | 40 | |||
Distribution and service fees | 25 | 21 | 31 | 19 | |||
Administration and accounting fees | 11 | 9 | 14 | 8 | |||
Transfer agent fees and expenses | —(a) | —(a) | —(a) | —(a) | |||
Professional fees | 24 | 19 | 22 | 24 | |||
Trustee deferred compensation plan | 350 | 285 | 434 | 258 | |||
Interest expense and/or commitment fees | —(a) | —(a) | —(a) | 1 | |||
Other accrued expenses | 20 | 16 | 2 | 9 | |||
Total liabilities | 2,044 | 546 | 1,169 | 856 | |||
Net Assets | $117,855 | $97,185 | $148,100 | $87,902 | |||
Net Assets Consist of: | |||||||
Capital paid in on shares of beneficial interest | $121,437 | $77,794 | $141,006 | $65,563 | |||
Accumulated earnings (loss) | (3,582) | 19,391 | 7,094 | 22,339 | |||
Net Assets | $117,855 | $97,185 | $148,100 | $87,902 | |||
Net Assets: | |||||||
Class A | $116,901 | $97,185 | $148,000 | $87,902 | |||
Class I | $954 | $— | $100 | $— | |||
Shares of Beneficial Interest Outstanding $1 par value, unlimited authorization: | |||||||
Class A | 12,592,527 | 7,392,212 | 12,481,737 | 6,379,744 | |||
Class I | 102,977 | — | 8,410 | — | |||
Net Asset Value Per Share: | |||||||
Class A | $9.28 | $13.15 | $11.86 | $13.78 | |||
Class I | $9.27 | $— | $11.83 | $— | |||
(1)Investment in securities at cost | $115,470 | $69,287 | $137,883 | $65,068 | |||
(2) Market value of securities on loan | $1,017 | $— | $— | $65 | |||
(3) Foreign currency at cost | $— | $— | $—(a) | $— | |||
(4) Written options premiums received | $— | $99 | $— | $— | |||
(a) | Amount is less than $500. |
(b) | See Note 4G in the Notes to Financial Statements. |
Table of Contents
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | KAR Small-Cap Growth Series | KAR Small-Cap Value Series | ||||
Investment Income | |||||||
Dividends | $2,024 | $1,721 | $696 | $1,399 | |||
Security lending, net of fees | — | 25 | 1 | — | |||
Foreign taxes withheld | — | — | — | (10) | |||
Total investment income | 2,024 | 1,746 | 697 | 1,389 | |||
Expenses | |||||||
Investment advisory fees | 556 | 1,552 | 852 | 682 | |||
Distribution and service fees, Class A | 183 | 554 | 237 | 190 | |||
Administration and accounting fees | 85 | 239 | 112 | 86 | |||
Transfer agent fees and expenses | —(1) | —(1) | —(1) | —(1) | |||
Custodian fees | —(1) | —(1) | —(1) | —(1) | |||
Printing fees and expenses | 22 | 53 | 26 | 22 | |||
Professional fees | 26 | 32 | 25 | 24 | |||
Interest expense and/or commitment fees | —(1) | 1 | —(1) | —(1) | |||
Trustees’ fees and expenses | 6 | 17 | 8 | 6 | |||
Miscellaneous expenses | 7 | 18 | 8 | 5 | |||
Total expenses | 885 | 2,466 | 1,268 | 1,015 | |||
Less net expenses reimbursed and/or waived by investment adviser(2) | (29) | (183) | (91) | (181) | |||
Net expenses | 856 | 2,283 | 1,177 | 834 | |||
Net investment income (loss) | 1,168 | (537) | (480) | 555 | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
investments | 8,025 | 8,697 | 13,425 | 2,648 | |||
Foreign currency transactions | — | — | 1 | — | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
investments | 8,132 | 63,554 | 17,540 | 13,275 | |||
Net realized and unrealized gain (loss) on investments | 16,157 | 72,251 | 30,966 | 15,923 | |||
Net increase (decrease) in net assets resulting from operations | $17,325 | $71,714 | $30,486 | $16,478 |
(1) | Amount is less than $500. |
(2) | See Note 4D in the Notes to Financial Statements. |
Table of Contents
Newfleet Multi-Sector Intermediate Bond Series | Rampart Enhanced Core Equity Series | SGA International Growth Series | Strategic Allocation Series | ||||
Investment Income | |||||||
Dividends | $20 | $1,845 | $3,610 | $652 | |||
Dividends from affiliated fund | 31 | — | — | 4 | |||
Interest | 5,721 | — | — | 1,246 | |||
Security lending, net of fees | 18 | — | 10 | 22 | |||
Foreign taxes withheld | (3) | —(1) | (297) | (27) | |||
Total investment income | 5,787 | 1,845 | 3,323 | 1,897 | |||
Expenses | |||||||
Investment advisory fees | 589 | 652 | 1,095 | 474 | |||
Distribution and service fees, Class A | 292 | 233 | 365 | 215 | |||
Administration and accounting fees | 130 | 105 | 160 | 97 | |||
Transfer agent fees and expenses | —(1) | —(1) | —(1) | —(1) | |||
Custodian fees | 2 | 1 | 3 | 1 | |||
Printing fees and expenses | 30 | 24 | 38 | 23 | |||
Professional fees | 31 | 26 | 61 | 33 | |||
Interest expense and/or commitment fees | —(1) | —(1) | —(1) | 1 | |||
Trustees’ fees and expenses | 10 | 7 | 12 | 7 | |||
Miscellaneous expenses | 12 | 6 | 29 | 19 | |||
Total expenses | 1,096 | 1,054 | 1,763 | 870 | |||
Less net expenses reimbursed and/or waived by investment adviser(2) | — | (141) | (18) | (25) | |||
Plus net expenses recaptured(2) | 6 | — | — | — | |||
Net expenses | 1,102 | 913 | 1,745 | 845 | |||
Net investment income (loss) | 4,685 | 932 | 1,578 | 1,052 | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Unaffiliated investments | (454) | 137 | 6,933 | 1,779 | |||
Affiliated fund | (120) | — | — | (16) | |||
Foreign currency transactions | (357) | — | 92 | (5) | |||
Written options | — | 289 | — | — | |||
Net increase from payment by affiliate(3) | 2 | — | — | — | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Unaffiliated investments | 7,844 | 21,939 | 16,046 | 16,816 | |||
Affiliated fund | 186 | — | — | 25 | |||
Foreign currency transactions | 2 | — | (2) | —(1) | |||
Written options | — | (80) | — | — | |||
Net realized and unrealized gain (loss) on investments | 7,103 | 22,285 | 23,069 | 18,599 | |||
Net increase (decrease) in net assets resulting from operations | $11,788 | $23,217 | $24,647 | $19,651 |
(1) | Amount is less than $500. |
(2) | See Note 4D in the Notes to Financial Statements. |
(3) | See Note 4G in the Notes to Financial Statements. |
Table of Contents
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | ||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $1,168 | $1,114 | $(537) | $(631) | |||
Net realized gain (loss) | 8,025 | 4,587 | 8,697 | 23,183 | |||
Net change in unrealized appreciation (depreciation) | 8,132 | (10,433) | 63,554 | (35,528) | |||
Increase (decrease) in net assets resulting from operations | 17,325 | (4,732) | 71,714 | (12,976) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (8,680) | (6,458) | (8,813) | (24,960) | |||
Class I | (224) | (21) | — | — | |||
Total Dividends and Distributions to Shareholders | (8,904) | (6,479) | (8,813) | (24,960) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | 3,175 | (1,031) | (17,227) | 843 | |||
Class I | 2,049 | 43 | — | — | |||
Increase (decrease) in net assets from capital transactions | 5,224 | (988) | (17,227) | 843 | |||
Net increase (decrease) in net assets | 13,645 | (12,199) | 45,674 | (37,093) | |||
Net Assets | |||||||
Beginning of period | 65,572 | 77,771 | 187,160 | 224,253 | |||
End of Period | $79,217 | $65,572 | $232,834 | $187,160 |
Table of Contents
KAR Small-Cap Growth Series | KAR Small-Cap Value Series | ||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $(480) | $(86) | $555 | $638 | |||
Net realized gain (loss) | 13,426 | 14,308 | 2,648 | 5,575 | |||
Net change in unrealized appreciation (depreciation) | 17,540 | (4,378) | 13,275 | (19,533) | |||
Increase (decrease) in net assets resulting from operations | 30,486 | 9,844 | 16,478 | (13,320) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (13,810) | (14,632) | (1,794) | (8,965) | |||
Class I | (892) | (617) | — | — | |||
Total Dividends and Distributions to Shareholders | (14,702) | (15,249) | (1,794) | (8,965) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | 1,572 | 5,710 | (7,274) | (2,492) | |||
Class I | 2,285 | 2,214 | — | — | |||
Increase (decrease) in net assets from capital transactions | 3,857 | 7,924 | (7,274) | (2,492) | |||
Net increase (decrease) in net assets | 19,641 | 2,519 | 7,410 | (24,777) | |||
Net Assets | |||||||
Beginning of period | 83,974 | 81,455 | 69,861 | 94,638 | |||
End of Period | $103,615 | $83,974 | $77,271 | $69,861 |
Table of Contents
Newfleet Multi-Sector Intermediate Bond Series | Rampart Enhanced Core Equity Series | ||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $4,685 | $5,361 | $932 | $984 | |||
Net realized gain (loss) | (931) | (2,166) | 426 | (7,069) | |||
Net increase from payment by affiliate(1) | 2 | — | — | — | |||
Net change in unrealized appreciation (depreciation) | 8,032 | (6,587) | 21,859 | (6,832) | |||
Increase (decrease) in net assets resulting from operations | 11,788 | (3,392) | 23,217 | (12,917) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (4,273) | (4,818) | (1,109) | (1,020) | |||
Class I | (37) | (31) | — | — | |||
Total Dividends and Distributions to Shareholders | (4,310) | (4,849) | (1,109) | (1,020) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (5,909) | (9,868) | (10,768) | (11,604) | |||
Class I | 201 | (614) | — | — | |||
Increase (decrease) in net assets from capital transactions | (5,708) | (10,482) | (10,768) | (11,604) | |||
Net increase (decrease) in net assets | 1,770 | (18,723) | 11,340 | (25,541) | |||
Net Assets | |||||||
Beginning of period | 116,085 | 134,808 | 85,845 | 111,386 | |||
End of Period | $117,855 | $116,085 | $97,185 | $85,845 |
(1) | See Note 4G in the Notes to Financial Statements. |
Table of Contents
SGA International Growth Series | Strategic Allocation Series | ||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $1,578 | $3,376 | $1,052 | $1,227 | |||
Net realized gain (loss) | 7,025 | 1,497 | 1,758 | 2,695 | |||
Net change in unrealized appreciation (depreciation) | 16,044 | (32,337) | 16,841 | (8,544) | |||
Increase (decrease) in net assets resulting from operations | 24,647 | (27,464) | 19,651 | (4,622) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (1,216) | (4,849) | (2,202) | (4,685) | |||
Class I | (1) | (3) | — | — | |||
Total Dividends and Distributions to Shareholders | (1,217) | (4,852) | (2,202) | (4,685) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (12,977) | (13,544) | (9,083) | (8,185) | |||
Class I | 1 | 3 | — | — | |||
Increase (decrease) in net assets from capital transactions | (12,976) | (13,541) | (9,083) | (8,185) | |||
Net increase (decrease) in net assets | 10,454 | (45,857) | 8,366 | (17,492) | |||
Net Assets | |||||||
Beginning of period | 137,646 | 183,503 | 79,536 | 97,028 | |||
End of Period | $148,100 | $137,646 | $87,902 | $79,536 |
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) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3) | Ratio of Gross Expenses to Average Net Assets(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | ||
Duff & Phelps Real Estate Securities Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/19 to 12/31/19 | $16.40 | 0.30 | 4.20 | 4.50 | (0.34) | (2.02) | (2.36) | 2.14 | $18.54 | 27.42 % | $77,044 | 1.16 % (4) | 1.20 % | 1.57 % | 44 % | |
1/1/18 to 12/31/18 | 19.23 | 0.28 | (1.41) | (1.13) | (0.30) | (1.40) | (1.70) | (2.83) | 16.40 | (6.53) | 65,357 | 1.16 | 1.19 | 1.54 | 20 | |
1/1/17 to 12/31/17 | 20.31 | 0.25 | 0.92 | 1.17 | (0.29) | (1.96) | (2.25) | (1.08) | 19.23 | 5.97 | 77,564 | 1.16 | 1.21 | 1.24 | 24 | |
1/1/16 to 12/31/16 | 22.85 | 0.34 | 1.17 | 1.51 | (0.43) | (3.62) | (4.05) | (2.54) | 20.31 | 6.82 (5) | 81,243 | 1.17 (5)(6) | 1.25 | 1.42 (5) | 35 | |
1/1/15 to 12/31/15 | 27.05 | 0.44 | 0.17 | 0.61 | (0.37) | (4.44) | (4.81) | (4.20) | 22.85 | 2.38 | 87,899 | 1.18 (6) | 1.29 | 1.64 | 18 | |
Class I | ||||||||||||||||
1/1/19 to 12/31/19 | $16.35 | 0.40 | 4.14 | 4.54 | (0.36) | (2.02) | (2.38) | 2.16 | $18.51 | 27.78 % | $2,173 | 0.91 % (4) | 0.95 % | 2.04 % | 44 % | |
1/1/18 to 12/31/18 | 19.19 | 0.34 | (1.43) | (1.09) | (0.35) | (1.40) | (1.75) | (2.84) | 16.35 | (6.36) | 215 | 0.91 | 0.94 | 1.85 | 20 | |
1/1/17 to 12/31/17 | 20.27 | 0.30 | 0.93 | 1.23 | (0.35) | (1.96) | (2.31) | (1.08) | 19.19 | 6.25 | 207 | 0.91 | 0.96 | 1.49 | 24 | |
1/1/16 to 12/31/16 | 22.81 | 0.35 | 1.22 | 1.57 | (0.49) | (3.62) | (4.11) | (2.54) | 20.27 | 7.10 (5) | 199 | 0.92 (5)(6) | 1.00 | 1.46 (5) | 35 | |
1/1/15 to 12/31/15 | 27.02 | 0.48 | 0.19 | 0.67 | (0.44) | (4.44) | (4.88) | (4.21) | 22.81 | 2.62 | 158 | 0.94 (6) | 1.05 | 1.79 | 18 | |
KAR Capital Growth Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/19 to 12/31/19 | $25.62 | (0.08) | 10.22 | 10.14 | — | (1.32) | (1.32) | 8.82 | $34.44 | 39.87 % | $232,834 | 1.03 % | 1.11 % | (0.24) % | 9 % | |
1/1/18 to 12/31/18 | 31.40 | (0.09) | (1.92) | (2.01) | — | (3.77) | (3.77) | (5.78) | 25.62 | (7.25) | 187,160 | 1.03 | 1.11 | (0.28) | 15 | |
1/1/17 to 12/31/17 | 24.09 | (0.05) | 8.75 | 8.70 | — | (1.39) | (1.39) | 7.31 | 31.40 | 36.07 | 224,253 | 1.03 | 1.13 | (0.16) | 21 | |
1/1/16 to 12/31/16 | 24.91 | — (7) | (0.22) | (0.22) | (0.60) | — | (0.60) | (0.82) | 24.09 | (0.86) (5) | 185,519 | 1.04 (5)(6) | 1.18 | (0.10) (5) | 23 | |
1/1/15 to 12/31/15 | 22.79 | (0.01) | 2.13 | 2.12 | — | — | — | 2.12 | 24.91 | 9.26 | 210,094 | 1.04 (6) | 1.21 | (0.04) | 19 | |
KAR Small-Cap Growth Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/19 to 12/31/19 | $26.70 | (0.16) | 10.00 | 9.84 | — | (5.06) | (5.06) | 4.78 | $31.48 | 37.31 % | $96,996 | 1.19 % (4) | 1.28 % | (0.49) % | 11 % | |
1/1/18 to 12/31/18 | 28.66 | (0.03) | 3.66 | 3.63 | — | (5.59) | (5.59) | (1.96) | 26.70 | 11.66 | 80,309 | 1.19 | 1.27 | (0.10) | 20 | |
1/1/17 to 12/31/17 | 21.61 | (0.12) | 8.93 | 8.81 | — | (1.76) | (1.76) | 7.05 | 28.66 | 40.85 | 79,597 | 1.19 | 1.30 | (0.49) | 18 | |
1/1/16 to 12/31/16 | 18.75 | (0.06) | 4.85 | 4.79 | — | (1.93) | (1.93) | 2.86 | 21.61 | 25.92 (5) | 63,008 | 1.20 (5)(6) | 1.37 | (0.37) (5) | 18 | |
1/1/15 to 12/31/15 | 20.73 | (0.04) | 0.23 | 0.19 | — | (2.17) | (2.17) | (1.98) | 18.75 | 0.73 | 55,872 | 1.20 (6) | 1.41 | (0.17) | 18 | |
Class I | ||||||||||||||||
1/1/19 to 12/31/19 | $27.25 | (0.08) | 10.22 | 10.14 | — | (5.06) | (5.06) | 5.08 | $32.33 | 37.66 % | $6,619 | 0.94 % (4) | 1.03 % | (0.25) % | 11 % | |
1/1/18 to 12/31/18 | 29.08 | 0.04 | 3.72 | 3.76 | — | (5.59) | (5.59) | (1.83) | 27.25 | 11.95 | 3,665 | 0.94 | 1.03 | 0.12 | 20 | |
1/1/17 to 12/31/17 | 21.86 | (0.06) | 9.04 | 8.98 | — | (1.76) | (1.76) | 7.22 | 29.08 | 41.16 | 1,858 | 0.94 | 1.05 | (0.24) | 18 | |
1/1/16 to 12/31/16 | 18.90 | 0.01 | 4.88 | 4.89 | — | (1.93) | (1.93) | 2.96 | 21.86 | 26.25 (5) | 353 | 0.95 (5)(6) | 1.12 | (0.10) (5) | 18 | |
1/1/15 to 12/31/15 | 20.82 | — (7) | 0.25 | 0.25 | — | (2.17) | (2.17) | (1.92) | 18.90 | 1.01 | 179 | 0.96 (6) | 1.17 | (0.02) | 18 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3) | Ratio of Gross Expenses to Average Net Assets(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | ||
KAR Small-Cap Value Series | ||||||||||||||||||
Class A | ||||||||||||||||||
1/1/19 to 12/31/19 | $12.96 | 0.11 | 3.08 | 3.19 | (0.15) | — | (0.22) | (0.37) | — | 2.82 | $15.78 | 24.63 % | $77,271 | 1.10 % | 1.34 % | 0.73 % | 8 % | |
1/1/18 to 12/31/18 | 17.36 | 0.12 | (2.72) | (2.60) | (0.15) | — | (1.65) | (1.80) | — | (4.40) | 12.96 | (15.88) | 69,861 | 1.19 (4) | 1.33 | 0.74 | 11 | |
1/1/17 to 12/31/17 | 16.69 | 0.05 | 3.23 | 3.28 | (0.12) | — | (2.49) | (2.61) | — | 0.67 | 17.36 | 20.16 | 94,638 | 1.20 | 1.34 | 0.26 | 20 | |
1/1/16 to 12/31/16 | 15.17 | 0.32 | 3.66 | 3.98 | (0.34) | — | (2.12) | (2.46) | — | 1.52 | 16.69 | 26.54 (5) | 94,966 | 1.21 (5)(6) | 1.40 | 1.85 (5) | 22 | |
1/1/15 to 12/31/15 | 17.03 | 0.09 | (0.29) | (0.20) | (0.09) | — | (1.57) | (1.66) | — | (1.86) | 15.17 | (1.37) | 92,834 | 1.22 (6) | 1.43 | 0.56 | 16 | |
Newfleet Multi-Sector Intermediate Bond Series | ||||||||||||||||||
Class A | ||||||||||||||||||
1/1/19 to 12/31/19 | $8.72 | 0.37 | 0.54 | 0.91 | (0.35) | — | — | (0.35) | — (7) | 0.56 | $9.28 | 10.47 % (8) | $116,901 | 0.94 % (9)(10) | 0.93 % | 3.98 % | 66 % | |
1/1/18 to 12/31/18 | 9.34 | 0.39 | (0.64) | (0.25) | (0.37) | — | — | (0.37) | — | (0.62) | 8.72 | (2.66) | 115,379 | 0.93 | 0.93 | 4.23 | 64 | |
1/1/17 to 12/31/17 | 9.14 | 0.41 | 0.20 | 0.61 | (0.41) | — | — | (0.41) | — | 0.20 | 9.34 | 6.72 | 133,430 | 0.93 | 0.96 | 4.35 | 62 | |
1/1/16 to 12/31/16 | 8.75 | 0.44 | 0.37 | 0.81 | (0.42) | — | — | (0.42) | — | 0.39 | 9.14 | 9.29 (5) | 128,969 | 0.94 (5)(6) | 1.00 | 4.82 (5) | 68 | |
1/1/15 to 12/31/15 | 9.25 | 0.45 | (0.56) | (0.11) | (0.39) | — | — | (0.39) | — (7) | (0.50) | 8.75 | (1.26) (8) | 134,558 | 0.95 (6) | 1.03 | 4.89 | 55 | |
Class I | ||||||||||||||||||
1/1/19 to 12/31/19 | $8.70 | 0.39 | 0.55 | 0.94 | (0.37) | — | — | (0.37) | — (7) | 0.57 | $9.27 | 10.89 % (8) | $954 | 0.69 % (9)(10) | 0.68 % | 4.22 % | 66 % | |
1/1/18 to 12/31/18 | 9.32 | 0.41 | (0.63) | (0.22) | (0.40) | — | — | (0.40) | — | (0.62) | 8.70 | (2.41) | 706 | 0.68 | 0.68 | 4.46 | 64 | |
1/1/17 to 12/31/17 | 9.12 | 0.43 | 0.20 | 0.63 | (0.43) | — | — | (0.43) | — | 0.20 | 9.32 | 7.00 | 1,378 | 0.68 | 0.70 | 4.54 | 62 | |
1/1/16 to 12/31/16 | 8.74 | 0.47 | 0.35 | 0.82 | (0.44) | — | — | (0.44) | — | 0.38 | 9.12 | 9.46 (5) | 242 | 0.69 (5)(6) | 0.75 | 5.08 (5) | 68 | |
1/1/15 to 12/31/15 | 9.24 | 0.47 | (0.56) | (0.09) | (0.41) | — | — | (0.41) | — (7) | (0.50) | 8.74 | (1.00) (8) | 213 | 0.70 (6) | 0.78 | 5.11 | 55 | |
Rampart Enhanced Core Equity Series | ||||||||||||||||||
Class A | ||||||||||||||||||
1/1/19 to 12/31/19 | $10.34 | 0.12 | 2.84 | 2.96 | (0.15) | — | — | (0.15) | — | 2.81 | $13.15 | 28.67 % | $97,185 | 0.98 % | 1.13 % | 1.00 % | 27 % | |
1/1/18 to 12/31/18 | 12.00 | 0.11 | (1.65) | (1.54) | (0.12) | — | — | (0.12) | — | (1.66) | 10.34 | (12.86) | 85,845 | 0.98 | 1.14 | 0.97 | 26 | |
1/1/17 to 12/31/17 | 11.97 | 0.12 | 2.58 | 2.70 | (0.21) | (0.07) | (2.39) | (2.67) | — | 0.03 | 12.00 | 22.96 | 111,386 | 0.98 | 1.16 | 0.96 | 241 | |
1/1/16 to 12/31/16 | 13.67 | 0.25 | 1.01 | 1.26 | (0.18) | — | (2.78) | (2.96) | — | (1.70) | 11.97 | 9.41 (5) | 104,587 | 0.99 (5)(6) | 1.20 | 1.41 (5) | 241 (11) | |
1/1/15 to 12/31/15 | 16.91 | 0.13 | (1.55) | (1.42) | (0.14) | — | (1.68) | (1.82) | — | (3.24) | 13.67 | (8.91) | 109,913�� | 0.99 (6) | 1.23 | 0.83 | 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) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3) | Ratio of Gross Expenses to Average Net Assets(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | ||
SGA International Growth Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/19 to 12/31/19 | $10.09 | 0.12 | 1.75 | 1.87 | (0.10) | — | (0.10) | 1.77 | $11.86 | 18.54 % | $148,000 | 1.20 % (4)(6) | 1.21 % | 1.08 % | 140 % (11) | |
1/1/18 to 12/31/18 | 12.50 | 0.24 | (2.29) | (2.05) | (0.36) | — | (0.36) | (2.41) | 10.09 | (16.67) | 137,562 | 1.18 (10) | 1.17 | 1.97 | 40 | |
1/1/17 to 12/31/17 | 10.95 | 0.15 | 1.59 | 1.74 | (0.19) | — | (0.19) | 1.55 | 12.50 | 15.95 | 183,403 | 1.18 | 1.21 | 1.24 | 81 | |
1/1/16 to 12/31/16 | 14.01 | 0.08 | (0.44) | (0.36) | (0.09) | (2.61) | (2.70) | (3.06) | 10.95 | (1.61) (5) | 177,868 | 1.18 (5)(6) | 1.26 | 0.62 (5) | 83 | |
1/1/15 to 12/31/15 | 16.67 | 0.35 | (2.04) | (1.69) | (0.37) | (0.60) | (0.97) | (2.66) | 14.01 | (10.48) | 209,990 | 1.19 (6) | 1.30 | 2.16 | 104 | |
Class I | ||||||||||||||||
1/1/19 to 12/31/19 | $10.07 | 0.15 | 1.74 | 1.89 | (0.13) | — | (0.13) | 1.76 | $11.83 | 18.77 % | $100 | 0.95 % (4)(6) | 0.96 % | 1.30 % | 140 % (11) | |
1/1/18 to 12/31/18 | 12.48 | 0.27 | (2.29) | (2.02) | (0.39) | — | (0.39) | (2.41) | 10.07 | (16.44) | 84 | 0.93 (10) | 0.92 | 2.23 | 40 | |
1/1/17 to 12/31/17 | 10.94 | 0.17 | 1.59 | 1.76 | (0.22) | — | (0.22) | 1.54 | 12.48 | 16.17 | 100 | 0.93 | 0.96 | 1.48 | 81 | |
1/1/16 to 12/31/16 | 13.99 | 0.11 | (0.42) | (0.31) | (0.13) | (2.61) | (2.74) | (3.05) | 10.94 | (1.28) (5) | 86 | 0.93 (5)(6) | 1.01 | 0.88 (5) | 83 | |
1/1/15 to 12/31/15 | 16.65 | 0.38 | (2.03) | (1.65) | (0.41) | (0.60) | (1.01) | (2.66) | 13.99 | (10.26) | 87 | 0.94 (6) | 1.05 | 2.39 | 104 | |
Strategic Allocation Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/19 to 12/31/19 | $11.22 | 0.16 | 2.75 | 2.91 | (0.17) | (0.18) | (0.35) | 2.56 | $13.78 | 26.05 % | $87,902 | 0.98 % | 1.01 % | 1.22 % | 40 % | |
1/1/18 to 12/31/18 | 12.62 | 0.17 | (0.89) | (0.72) | (0.18) | (0.50) | (0.68) | (1.40) | 11.22 | (5.89) | 79,536 | 0.98 | 1.02 | 1.32 | 33 | |
1/1/17 to 12/31/17 | 10.88 | 0.16 | 1.89 | 2.05 | (0.23) | (0.08) | (0.31) | 1.74 | 12.62 | 18.97 | 97,028 | 0.98 | 1.06 | 1.31 | 38 | |
1/1/16 to 12/31/16 | 12.34 | 0.24 | (0.14) | 0.10 | (0.21) | (1.35) | (1.56) | (1.46) | 10.88 | 0.82 (5) | 93,276 | 0.99 (5)(6) | 1.09 | 1.96 (5) | 114 | |
1/1/15 to 12/31/15 | 14.30 | 0.25 | (0.98) | (0.73) | (0.24) | (0.99) | (1.23) | (1.96) | 12.34 | (5.38) | 106,825 | 0.99 (6) | 1.13 | 1.79 | 75 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | The total return does not include the expenses associated with the annuity or life insurance policy through which you invest. |
(3) | The Series will also indirectly bear their prorated shares of expenses of any underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(4) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
Table of Contents
(5) | State Street Bank & Trust, custodian for some of the Series through January 29, 2010, reimbursed the Series for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses to Average Net Assets and increase the Ratio of Net Investment Income (Loss) to Average Net Assets as follows: Duff & Phelps Real Estate Securities Series 0.02% (Class A) and 0.03% (Class I), KAR Capital Growth Series 0.10%, KAR Small-Cap Growth Series 0.09% (Class A) and 0.14% (Class I), KAR Small-Cap Value Series 0.08%, Newfleet Multi-Sector Intermediate Bond Series 0.04% (Class A) and 0.05% (Class I), Rampart Enhanced Core Equity Series 0.46%, SGA International Growth Series 0.04%, Strategic Allocation Series 0.03%. Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return as follows: Duff & Phelps Real Estate Securities Series 0.03%, KAR Capital Growth Series 0.10%, KAR Small-Cap Growth Series 0.08%, KAR Small-Cap Value Series 0.08%, Newfleet Multi-Sector Intermediate Bond Series 0.04%, Rampart Enhanced Core Equity Series 0.44%, SGA International Growth Series 0.04%, Strategic Allocation Series 0.03%. |
(6) | Net expense ratio includes extraordinary proxy expenses. |
(7) | Amount is less than $0.005 per share. |
(8) | Payment from affiliate had no impact on total return. |
(9) | The share class is currently below its expense cap. |
(10) | See Note 4D in the Notes to Financial Statements for information on recapture of expenses previously reimbursed. |
(11) | The Series’ portfolio turnover rate increased substantially during the year ended December 31, 2019 due to a change in the Series’ subadviser and associated repositioning. |
Table of Contents
A. | Security Valuation |
Each Series utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Series’ 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 Series is notified. Interest income is recorded on the accrual basis. Each Series amortizes premiums and accretes discounts using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from REITs is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed its cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
Each Series is treated as a separate taxable entity. It is the intention of each Series 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 Series may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Series 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 Series has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of December 31, 2019, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 forward (with limited exceptions). | |
D. | Distributions to Shareholders |
Distributions are recorded by each Series on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by a Series and other affiliated mutual funds are allocated in proportion to the net assets of each such Series, except where allocation of direct expense to each Series or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that a Series bears directly, the contract owners, as investors in the Series, indirectly bear the Series’ pro-rata expenses of any underlying mutual funds in which the Series 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 Series do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | When-issued Purchases and Forward Commitments (Delayed Delivery) |
Certain Series 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 Series to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable the Series 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 Series records when-issued and forward commitment securities on the trade date. Each Series maintains collateral for the securities purchased. Securities purchased on a when-issued or forward commitment basis begin earning interest on the settlement date. |
Table of Contents
H. | Interest-Only and Principal-Only Securities |
Certain Series may invest in stripped mortgage-backed securities. Stripped mortgage-backed securities represent a participation in, or are secured by, or payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. Stripped mortgage-backed securities include interest-only securities (IOs) which receive all of the interest, and principal-only securities (POs) which receive all of the principal. The market value of these securities is highly sensitive to changes in interest rates and a rapid (slow) rate of principal payments may have an adverse (positive) effect on yield to maturity. Payments received for IOs are included in interest income. Because principal will not be received at the maturity of an IO, adjustments are made to the book value of the security on a daily basis until maturity and these adjustments are also included in interest income. Payments received for POs are treated as reductions to the cost and par value of the securities. Any paydown gains or losses associated with the payments received are included in interest income. If the underlying mortgage assets are greater than anticipated payments of principal, a Series may fail to recoup some or all of its initial investment in these securities. | |
I. | Leveraged Loans |
Certain Series 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 Series 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 Series’ 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 Series 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 Series generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, a Series may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When a Series purchases assignments from lenders it acquires direct rights against the borrower on the loan. | |
A Series 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 Series may pay an assignment fee. On an ongoing basis, a Series may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid. | |
As of December 31, 2019, the following Series had unfunded loan commitments as follows: |
Unfunded Loan Commitment | ||||
Newfleet Multi-Sector | Strategic | |||
Intermediate | Allocation | |||
Borrower | Bond Series | Series | ||
Pacific Gas and Electric Co. | $35 | $10 |
J. | Securities Lending |
The Series 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 Series 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 Series 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 Series under Master Securities Lending Agreements (“MSLA”) which permit the Series, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Series to the same counterparty against amounts to be received and create one single net payment due to or from the Series. | |
At December 31, 2019, the securities loaned were subject to a MSLA on a net payment basis as follows: |
Series | Counterparty | Value of Securities on Loan | Cash Collateral Received(1) | Net Amount(2) | ||||
KAR Small-Cap Growth Series | BNYM | $1,190 | $1,190 | $— | ||||
Newfleet Multi-Sector Intermediate Bond Series | BNYM | 1,017 | 1,017 | — | ||||
Strategic Allocation Series | BNYM | 65 | 65 | — |
in connection with securities lending transactions has been used for the purchase of securities as disclosed in the Series’ Schedule of
Investments.
Table of Contents
A. | Options Contracts |
An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed-upon price. Certain Series may purchase or write both put and call options on portfolio securities for hedging purposes or to facilitate the rapid implementation of investment strategies if the Series anticipates a significant market or sector advance. A Series doing so is subject to equity price risk in the normal course of pursuing its investment objective(s). | |
When a Series purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Series writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Series designated to cover outstanding written options are noted in the Schedule of Investments. Purchased options are reported as an asset within “Investment in securities at value” in the Statements of Assets and Liabilities. Written options are reported as a liability within “Written options at value.” Changes in value of the purchased option are included in “Net change in unrealized appreciation (depreciation) on unaffiliated investments” in the Statements of Operations. Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) on written options” in the Statements of Operations. | |
If an option expires unexercised, the Series realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain (loss) from unaffiliated investments” in the Statements of Operations. Gain or loss on written options is presented separately as “Net realized gain (loss) from written options” in the Statements of Operations. | |
The risk in writing call options is that the Series gives up the opportunity for profit if the market price of the referenced security increases and the option is exercised. The risk in writing put options is that the Series may incur a loss if the market price of the referenced security decreases and the option is exercised. The risk in buying options is that the Series pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value. | |
The Rampart Enhanced Core Equity Series invests in written covered call options contracts in an attempt to manage equity price risk and with the purpose of generating realized gains. | |
The following is a summary of the Rampart Enhanced Core Equity Series’ derivative instrument holdings categorized by primary risk exposure (equity contracts) in the financial statements as of December 31, 2019: |
Statements of Assets and Liabilities | |
Rampart Enhanced Core Equity Series | |
Assets: Purchased options at value | $43(1) |
Liabilities: Written Options at value | (69) |
Net asset (liability) balance | $(26) |
Statement of Operations | |
Rampart Enhanced Core Equity Series | |
Net realized gain (loss) from purchased options | $(1,137) (2) |
Net realized gain (loss) from written options | 289 |
Net change in unrealized appreciation (depreciation) on purchased options | 59(3) |
Net change in unrealized appreciation (depreciation) on written options | (80) |
Total net realized and unrealized gain (loss) on purchased and written options | $(869) |
(2) Amount included in Net realized gain (loss) from unaffiliated investments.
(3) Amount included in Net change in unrealized appreciation (depreciation) on unaffiliated investments.
Table of Contents
A. | Investment Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Series. The Adviser manages the Series’ investment programs and general operations of the Series, including oversight of the Series’ subadviser(s). | |
As compensation for its services to the Series, 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 Series: |
Series | First $250 Million | Next $250 Million | Over $500 Million | |||
KAR Capital Growth Series | 0.70% | 0.65% | 0.60% | |||
Newfleet Multi-Sector Intermediate Bond Series | 0.50 | 0.45 | 0.40 | |||
Rampart Enhanced Core Equity Series | 0.70 | 0.65 | 0.60 | |||
SGA International Growth Series | 0.75 | 0.70 | 0.65 | |||
Strategic Allocation Series | 0.55 | 0.50 | 0.45 | |||
First $1 Billion | Next $1 Billion | Over $2 Billion | ||||
Duff & Phelps Real Estate Securities Series | 0.75% | 0.70% | 0.65% | |||
First $1 Billion | $1+ Billion | |||||
KAR Small-Cap Growth Series | 0.85% | 0.80% | ||||
First $400 Million | $400 Million to $1 Billion | Over $1 Billion | ||||
KAR Small-Cap Value Series | 0.90% | 0.85% | 0.80% |
B. | Subadvisers |
The subadvisers manage the investments of each Series for which they are paid a fee by the Adviser. A list of the subadvisers and the Series they serve is as follows: |
Series | Subadviser | |
Duff & Phelps Real Estate Securities Series | DPIM(1) | |
KAR Capital Growth Series | KAR(2) | |
KAR Small-Cap Growth Series | KAR(2) | |
KAR Small-Cap Value Series | KAR(2) | |
Newfleet Multi-Sector Intermediate Bond Series | Newfleet(3) | |
Rampart Enhanced Core Equity Series | Rampart(4) | |
Series | Subadviser | |
SGA International Growth Series | SGA(5) | |
Strategic Allocation Series | ||
(Equity Portfolio) | KAR(2)(6) | |
(Fixed Income Portfolio) | Newfleet(3) | |
(1) | Duff & Phelps Investment Management Co. (“DPIM”), an indirect, wholly-owned subsidiary of Virtus. |
(2) | Kayne Anderson Rudnick Investment Management, LLC (“KAR”), an indirect, wholly-owned subsidiary of Virtus. |
(3) | Newfleet Asset Management, LLC (“Newfleet”), an indirect, wholly-owned subsidiary of Virtus. |
(4) | Rampart Investment Management Company, LLC (“Rampart”), an indirect, wholly-owned subsidiary of Virtus. |
(5) | Sustainable Growth Advisers LP (“SGA”), an indirect, majority-owned subsidiary of Virtus. Prior to June 4, 2019, the subadviser was DPIM. |
(6) | Prior to June 4, 2019, the subadviser was DPIM for the international equity portfolio. |
Table of Contents
C. | Expense Limits |
The Adviser has contractually agreed to limit each Series’ total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, the following percentages of average net assets, through April 30, 2020 (except as noted). Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. The waivers and reimbursements are accrued daily and received monthly. |
Series | Class A | Class I | ||
Duff & Phelps Real Estate Securities Series(1) | 1.14 % | 0.89 % | ||
KAR Capital Growth Series | 1.03 | N/A | ||
KAR Small-Cap Growth Series(2) | 1.16 | 0.91 | ||
KAR Small-Cap Value Series | 1.10 | N/A | ||
Newfleet Multi-Sector Intermediate Bond Series | 0.94 ‡ | 0.69 ‡ | ||
Rampart Enhanced Core Equity Series | 0.98 | N/A | ||
SGA International Growth Series(3) | 1.16 | 0.91 | ||
Strategic Allocation Series | 0.98 | N/A |
(1) | Effective December 1, 2019 through April 30, 2021. For the period January 1, 2019 through November 30, 2019, the expense cap for Class A and Class I were as follows: 1.16% and 0.91%, respectively. |
(2) | Effective December 1, 2019 through April 30, 2021. For the period January 1, 2019 through November 30, 2019, the expense cap for Class A and Class I were as follows: 1.19% and 0.94%, respectively. |
(3) | Effective December 1, 2019 through April 30, 2021. For the period January 1, 2019 through November 30, 2019, the expense cap for Class A and Class I were as follows: 1.18% and 0.93%, respectively. |
‡ | 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 Series 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 | ||||||||
Series | 2020 | 2021 | 2022 | Total | ||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class A | $ 40 | $ 24 | $29 | $93 | ||||
Class I | —(1) | —(1) | —(1) | —(1) | ||||
KAR Capital Growth Series | ||||||||
Class A | 212 | 172 | 183 | 567 | ||||
KAR Small-Cap Growth Series | ||||||||
Class A | 80 | 75 | 86 | 241 | ||||
Class I | 2 | 3 | 5 | 10 | ||||
KAR Small-Cap Value Series | ||||||||
Class A | 134 | 117 | 181 | 432 | ||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class A | 26 | 3 | — | 29 | ||||
Class I | —(1) | —(1) | — | —(1) | ||||
Rampart Enhanced Core Equity Series | ||||||||
Class A | 196 | 163 | 141 | 500 | ||||
SGA International Growth Series | ||||||||
Class A | 63 | 1 | 22 | 86 | ||||
Class I | —(1) | —(1) | —(1) | —(1) | ||||
Strategic Allocation Series | ||||||||
Class A | 75 | 42 | 25 | 142 | ||||
Table of Contents
Series | Class A | Class I | Total | |||||
Newfleet Multi-Sector Intermediate Bond Series | $9 | —(1) | $9 | |||||
SGA International Growth Series | 4 | —(1) | 4 | |||||
(1) | Amount is less than $500. |
E. | Administrator and Distributor |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator to the Series. | |
For the period ended December 31, 2019 (the “period”), the Series incurred administration fees totaling $873 which are included in the Statements of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of each Series’ shares. Each Series pays VP Distributors distribution and/or service fees under a Board-approved Rule 12b-1 plan, at the annual rate of 0.25% of the average daily net assets of such Series’ Class A shares. Class I shares are not subject to a Rule 12b-1 plan. For the period ended December 31, 2019, the Series incurred distribution fees totaling $2,268 which are included in the Statements of Operations within the line item “Distribution and service fees.” A portion of these fees was paid to certain insurance companies for marketing and/or shareholder services provided to contract owners. The fees are calculated daily and paid monthly. | |
F. | Investments in Affiliates |
A summary of the total long-term and short-term purchases and sales of an affiliated fund, Virtus Newfleet Credit Opportunities Fund, during the period ended December 31, 2019, is as follows: |
Value, beginning of period | Purchases | Sales Proceeds | Net realized gain (loss) on affiliated fund | Net change in unrealized appreciation (depreciation) on affiliated fund | Value, end of period | Shares | Dividend Income | Distributions of Realized Gains | |||||||||
Newfleet Multi-Sector Intermediate Bond Series | |||||||||||||||||
Affiliated Mutual Fund—0.0% | |||||||||||||||||
Virtus Newfleet Credit Opportunities Fund Class R6* | $1,647 | $— | $1,713 | $(120) | $186 | $— | — | $31 | $— |
Value, beginning of period | Purchases | Sales Proceeds | Net realized gain (loss) on affiliated fund | Net change in unrealized appreciation (depreciation) on affiliated fund | Value, end of period | Shares | Dividend Income | Distributions of Realized Gains | |||||||||
Strategic Allocation Series | |||||||||||||||||
Affiliated Mutual Fund—0.0% | |||||||||||||||||
Virtus Newfleet Credit Opportunities Fund Class R6* | $219 | $— | $228 | $(16) | $25 | $— | — | $4 | $— |
G. | Payment from Affiliate |
During the period December 31, 2019, the Adviser reimbursed Newfleet Multi-Sector Intermediate Bond for losses. These amounts are included in “Net increase from payment by affiliates” in the Statements of Operations. There was no impact on the total return. | |
The KAR Capital Growth Series and the Strategic Allocation Series will be reimbursed by the Subadviser for costs incurred due to an error in the processing of a corporate action of an investment during the period ended December 31, 2019. The reimbursement amount for each affected Series is disclosed in the Series’ “Statements of Assets and Liabilities” as a “Receivable from affiliate”. |
Table of Contents
H. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statements of Assets and Liabilities at December 31, 2019. | |
I. | Cross Trades |
Cross trades for the period ended December 31, 2019, were executed by certain Series pursuant to procedures adopted by the Board designed to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds of investment companies, or between a fund of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment adviser (or affiliated investment advisers), common directors/ trustees and/or common officers. At regularly scheduled meetings, the Series’ CCO provides written representation that certain transactions effected pursuant to Rule 17a-7 complied with procedures adopted by the Board. Pursuant to these procedures, for the period ended December 31, 2019, the KAR Small-Cap Growth Series engaged in Rule 17a-7 securities sales of $206, which resulted in a net realized loss of $(91). |
Purchases | Sales | ||
Duff & Phelps Real Estate Securities Series | $31,880 | $36,099 | |
KAR Capital Growth Series | 18,603 | 43,808 | |
KAR Small-Cap Growth Series | 10,521 | 25,455 | |
KAR Small-Cap Value Series | 6,003 | 13,513 | |
Newfleet Multi-Sector Intermediate Bond Series | 72,092 | 69,805 | |
Rampart Enhanced Core Equity Series | 24,430 | 36,194 | |
SGA International Growth Series | 198,200 | 210,617 | |
Strategic Allocation Series | 30,640 | 41,306 |
Purchases | Sales | ||
Newfleet Multi-Sector Intermediate Bond Series | $5,159 | $12,084 | |
Strategic Allocation Series | 2,905 | 2,504 |
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 473 | $9,341 | 178 | $3,243 | 61 | $1,930 | 73 | $2,380 | |||||||
Reinvestment of distributions | 464 | 8,680 | 358 | 6,458 | 269 | 8,813 | 889 | 24,960 | |||||||
Shares repurchased | (767) | (14,846) | (582) | (10,732) | (875) | (27,970) | (797) | (26,497) | |||||||
Net Increase / (Decrease) | 170 | $3,175 | (46) | $(1,031) | (545) | $(17,227) | 165 | $843 | |||||||
Class I | |||||||||||||||
Shares sold | 128 | $2,538 | 3 | $50 | — | $— | — | $— | |||||||
Reinvestment of distributions | 12 | 224 | 1 | 21 | — | — | — | — | |||||||
Shares repurchased | (35) | (713) | (2) | (28) | — | — | — | — | |||||||
Net Increase / (Decrease) | 105 | $2,049 | 2 | $43 | — | $— | — | $— |
Table of Contents
KAR Small-Cap Growth Series | KAR Small-Cap Value Series | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 61 | $1,905 | 119 | $4,029 | 41 | $607 | 79 | $1,272 | |||||||
Reinvestment of distributions | 443 | 13,810 | 508 | 14,632 | 114 | 1,794 | 618 | 8,965 | |||||||
Shares repurchased | (430) | (14,143) | (396) | (12,951) | (648) | (9,675) | (757) | (12,729) | |||||||
Net Increase / (Decrease) | 74 | $1,572 | 231 | $5,710 | (493) | $(7,274) | (60) | $(2,492) | |||||||
Class I | |||||||||||||||
Shares sold | 84 | $2,760 | 79 | $2,529 | — | $— | — | $— | |||||||
Reinvestment of distributions | 28 | 892 | 21 | 617 | — | — | — | — | |||||||
Shares repurchased | (42) | (1,367) | (29) | (932) | — | — | — | — | |||||||
Net Increase / (Decrease) | 70 | $2,285 | 71 | $2,214 | — | $— | — | $— |
Newfleet Multi-Sector Intermediate Bond Series | Rampart Enhanced Core Equity Series | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 809 | $7,540 | 832 | $7,717 | 76 | $903 | 110 | $1,268 | |||||||
Reinvestment of distributions | 464 | 4,273 | 549 | 4,818 | 87 | 1,109 | 93 | 1,020 | |||||||
Shares repurchased | (1,917) | (17,722) | (2,440) | (22,403) | (1,069) | (12,780) | (1,188) | (13,892) | |||||||
Net Increase / (Decrease) | (644) | $(5,909) | (1,059) | $(9,868) | (906) | $(10,768) | (985) | $(11,604) | |||||||
Class I | |||||||||||||||
Shares sold | 24 | $221 | 5 | $45 | — | $— | — | $— | |||||||
Reinvestment of distributions | 4 | 37 | 4 | 31 | — | — | — | — | |||||||
Shares repurchased | (6) | (57) | (75) | (690) | — | — | — | — | |||||||
Net Increase / (Decrease) | 22 | $201 | (66) | $(614) | — | $— | — | $— |
SGA International Growth Series | Strategic Allocation Series | ||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 233 | $2,616 | 335 | $4,004 | 28 | $355 | 44 | $575 | |||||||
Reinvestment of distributions | 105 | 1,216 | 435 | 4,848 | 164 | 2,202 | 398 | 4,684 | |||||||
Shares repurchased | (1,493) | (16,809) | (1,806) | (22,396) | (900) | (11,640) | (1,040) | (13,444) | |||||||
Net Increase / (Decrease) | (1,155) | $(12,977) | (1,036) | $(13,544) | (708) | $(9,083) | (598) | $(8,185) | |||||||
Class I | |||||||||||||||
Reinvestment of distributions | —(1) | $1 | —(1) | $3 | — | $— | — | $— | |||||||
Net Increase / (Decrease) | —(1) | $1 | —(1) | $3 | — | $— | — | $— |
(1) | Amount is less than 500 shares. |
Table of Contents
% of Shares Outstanding | Number of Accounts* | ||
Duff & Phelps Real Estate Securities Series | 76% | 2 | |
KAR Capital Growth Series | 100 | 2 | |
KAR Small-Cap Growth Series | 92 | 2 | |
KAR Small-Cap Value Series | 100 | 2 | |
Newfleet Multi-Sector Intermediate Bond Series | 88 | 3 | |
Rampart Enhanced Core Equity Series | 99 | 2 | |
SGA International Growth Series | 98 | 2 | |
Strategic Allocation Series | 100 | 2 |
* | None of the accounts are affiliated. |
Series | Sector | Percentage of Total Investments | ||
Duff & Phelps Real Estate Securities Series | Residential | 26% | ||
KAR Capital Growth Series | Information Technology | 27 | ||
KAR Capital Growth Series | Consumer Discretionary | 26 | ||
KAR Small-Cap Growth Series | Information Technology | 25 | ||
KAR Small-Cap Value Series | Industrials | 27 | ||
SGA International Growth Series | Consumer Staples | 25 |
Series | Investment | Date of Acquisition | Cost | Value | Percentage of Net Assets | |||||
KAR Capital Growth Series | Bill.com Holdings, Inc. | 12/21/18 | $2,417 | $5,535 | 2.4% | |||||
Strategic Allocation Series | Bill.com Holdings, Inc. | 12/21/18 | 460 | 1,053 | 1.2 |
Table of Contents
Series | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Duff & Phelps Real Estate Securities Series | $56,972 | $21,669 | $(898) | $20,771 | ||||
KAR Capital Growth Series | 98,780 | 134,067 | (1,748) | 132,319 | ||||
KAR Small-Cap Growth Series | 48,240 | 54,187 | (363) | 53,824 | ||||
KAR Small-Cap Value Series | 49,071 | 29,531 | (2,163) | 27,368 | ||||
Newfleet Multi-Sector Intermediate Bond Series | 115,535 | 3,857 | (2,348) | 1,509 | ||||
Rampart Enhanced Core Equity Series (Including Purchased Options) | 70,091 | 27,779 | (1,827) | 25,952 | ||||
Rampart Enhanced Core Equity Series (Written Options) | (69) | — | — | — | ||||
SGA International Growth Series | 137,883 | 13,350 | (2,552) | 10,798 | ||||
Strategic Allocation Series | 65,168 | 22,852 | (758) | 22,094 |
No Expiration | Total | |||||||
Series | Short-Term | Long-Term | Short-Term | Long-Term | ||||
Newfleet Multi-Sector Intermediate Bond Series | $525 | $4,203 | $525 | $4,203 | ||||
Rampart Enhanced Core Equity Series | 2,402 | 3,869 | 2,402 | 3,869 | ||||
SGA International Growth Series | 3,079 | — | 3,079 | — |
Series | |
Rampart Enhanced Core Equity Series | $ 156 |
SGA International Growth Series | 3,406 |
Table of Contents
Series | Late Year Ordinary Losses Deferred | Late Year Ordinary Losses Recognized | Capital Loss Deferred | Capital Loss Recognized | ||||
Duff & Phelps Real Estate Securities Series | $ — | $ — | $ 48 | $ — | ||||
KAR Capital Growth Series | — | — | — | (53) | ||||
KAR Small-Cap Value Series | — | — | — | (359) | ||||
Newfleet Multi-Sector Intermediate Bond Series | — | (40) | — | (265) | ||||
Rampart Enhanced Core Equity Series | — | — | — | (561) | ||||
SGA International Growth Series | 2 | (471) | — | (3,287) | ||||
Strategic Allocation Series | — | (18) | — | (119) |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | ||
Duff & Phelps Real Estate Securities Series | $39 | $899 | |
KAR Capital Growth Series | — | 1,870 | |
KAR Small-Cap Growth Series | 79 | 49 | |
KAR Small-Cap Value Series | 8 | 1,078 | |
Newfleet Multi-Sector Intermediate Bond Series | 23 | — | |
Rampart Enhanced Core Equity Series | 29 | — | |
Strategic Allocation Series | 152 | 385 |
Ordinary Income | Long-Term Capital Gains | Total | |||
Duff & Phelps Real Estate Securities Series | |||||
12/31/19 | $ 1,576 | $ 7,328 | $8,904 | ||
12/31/18 | 1,320 | 5,159 | 6,479 | ||
KAR Capital Growth Series | |||||
12/31/19 | — | 8,813 | 8,813 | ||
12/31/18 | — | 24,960 | 24,960 | ||
KAR Small-Cap Growth Series | |||||
12/31/19 | 407 | 14,295 | 14,702 | ||
12/31/18 | 93 | 15,156 | 15,249 | ||
KAR Small-Cap Value Series | |||||
12/31/19 | 716 | 1,078 | 1,794 | ||
12/31/18 | 797 | 8,168 | 8,965 | ||
Newfleet Multi-Sector Intermediate Bond Series | |||||
12/31/19 | 4,310 | — | 4,310 | ||
12/31/18 | 4,849 | — | 4,849 | ||
Rampart Enhanced Core Equity Series | |||||
12/31/19 | 1,109 | — | 1,109 | ||
12/31/18 | 1,020 | — | 1,020 | ||
SGA International Growth Series | |||||
12/31/19 | 1,217 | — | 1,217 | ||
12/31/18 | 4,852 | — | 4,852 | ||
Strategic Allocation Series | |||||
12/31/19 | 1,065 | 1,137 | 2,202 | ||
12/31/18 | 1,424 | 3,261 | 4,685 |
Table of Contents
Capital Paid in on Shares of Beneficial Interest | Total Distributable Earnings (Accumulated Losses) | ||
KAR Capital Growth Series | $ (445) | $ 445 | |
KAR Small-Cap Growth Series | (183) | 183 | |
KAR Small-Cap Value Series | (82) | 82 | |
Rampart Enhanced Core Equity Series | (83) | 83 |
Table of Contents
Philadelphia, Pennsylvania
Table of Contents
DRD | LTCG | ||
Duff & Phelps Real Estate Securities Series | —% | $ 7,786 | |
KAR Capital Growth Series | — | 8,581 | |
KAR Small-Cap Growth Series | 100.00 | 12,684 | |
KAR Small-Cap Value Series | 100.00 | 2,173 | |
Rampart Enhanced Core Equity Series | 100.00 | — | |
SGA International Growth Series | 4.99 | — | |
Strategic Allocation Series | 29.13 | 1,522 |
Table of Contents
Proposal 1. | |||
Number of Eligible Votes: | FOR | AGAINST | ABSTAIN | |||
To approve a Subadvisory Agreement by and among the Virtus Variable Insurance Trust, Virtus Investment Advisers, Inc. and Sustainable Growth Advisers, LP | 126,069,392.27 | 4,363,662.01 | 15,652,780.74 |
Table of Contents
Table of Contents
Table of Contents
Table of Contents
Table of Contents
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Brown, Thomas J. YOB: 1945 Served Since: 2011 70 Portfolios | Retired. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (56 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). |
Burke, Donald C. YOB: 1960 Served Since: 2016 74 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; and Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (56 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014) closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 70 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; and Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (56 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Trustee (1999 to 2019) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Mallin, John R. YOB: 1950 Served Since: 1999 70 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm), Real Property Practice Group; and Member (since 2014), Counselors of Real Estate. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (56 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). |
McClellan, Hassell H. YOB: 1945 Served Since: 2008 70 Portfolios | Retired (since 2013); and Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Mutual Fund Family (56 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 70 Portfolios | Retired (since 2013); and Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013); Vice President Global Finance Transformation (2007 to 2009); and Vice President and Controller (1999 to 2007), The Coca-Cola Company. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Director (since 2019), Global Payments Inc.; Trustee (since 2017), Virtus Mutual Fund Family (56 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Director (2014 to 2019), Total System Services, Inc.; and Trustee (2005 to 2017), RidgeWorth Funds. |
Table of Contents
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
McLoughlin, Philip YOB: 1946 Served Since: 2003 74 Portfolios | Retired. | Director and Chairman (since 2016), Virtus Total Return Fund Inc.; Director and Chairman (2016 to 2019), the former Virtus Total Return Fund Inc.; Director and Chairman (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (1991 to 2019) and Chairman (2010 to 2019), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (56 portfolios). |
McNamara, Geraldine M. YOB: 1951 Served Since: 2015 74 Portfolios | Retired. | Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (56 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2016 70 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). | Director (since 2016), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (56 portfolios). |
Segerson, Richard E. YOB: 1946 Served Since:2016 70 Portfolios | Retired; and Managing Director (1998 to 2013), Northway Management Company. | Honorary Board Member (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (56 portfolios). |
Walton, R. Keith YOB: 1964 Served Since: 2020 70 Portfolios | Senior Adviser (2018 to 2019), Vatic Labs, LLC; Venture Partner (since 2019) and Senior Advisor (2018 to 2019), Plexo, LLC; Executive Vice President, Strategy (2017 to 2019), Zero Mass Water, LLC; Vice President, Strategy (2013 to 2017), Arizona State University; Partner (since 2006), Global Infrastructure Partners. | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (56 portfolios); Director (since 2017), certain funds advised by Bessemer Investment Management LLC; Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (2006 to 2019), Systematica Investments Limited Funds; Director (2006 to 2017), BlueCrest Capital Management Limited Funds; Trustee (2014 to 2017), AZ Service; Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2004), Virtus Total Return Fund Inc.; Director (since 2004), Virtus Total Return Fund Inc.; Director (2004 to 2019), the former Virtus Total Return Fund Inc.; and Director (since 2006), Blue Crest Capital Management Funds. |
Zino, Brian T. YOB: 1952 Served Since: 2020 70 Portfolios | Retired; and various roles (1982 to 2008), J. & W. Seligman & Co. Incorporated, including President (1994 to 2008). | Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (56 portfolios); Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2014), Virtus Total Return Fund Inc.; Director (2014 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2011), Bentley University; Director (1986 to 2008) and President (1994 to 2008), J&W Seligman Co. Inc.; Director (1998 to 2009), Chairman (2002 to 2004) and Vice Chairman (2000 to 2002), ICI Mutual Insurance Company; Member, Board of Governors of ICI (1998 to 2008). |
Table of Contents
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Aylward, George R.* Director and President YOB: 1964 Served Since: 2012 72 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions with Virtus affiliates (since 2005). | Chairman and Trustee (since 2015), Virtus ETF Trust II (2 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (4 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (56 portfolios); Director, President and Chief Executive Officer (since 2006), Virtus Total Return Fund Inc.; and Director, President and Chief Executive Officer (2006 to 2019), the former Virtus Total Return Fund Inc. |
Name, Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustees During Past 5 Years |
Moyer, William R. YOB: 1944 Served Since: 2020 70 Portfolios | Private investor (since 2004); Financial and Operations Principal (2006 to 2017), Newcastle Distributors LLC (broker dealer). | Advisory Board Member (since 2020), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (56 portfolios); Advisory Board Member (since 2020) and Director (2016 to 2019), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Advisory Board Member (since 2020) and Director (2014 to 2019), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Advisory Board Member (2020) and Trustee (2011 to 2019), Virtus Global Multi-Sector Income Fund; Trustee (2013 to 2016), Virtus Alternative Solutions Trust (4 portfolios). |
Name and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter YOB: 1970 | Senior Vice President (since 2017), Vice President (2008 to 2016). | Senior Vice President, Product Development (since 2017), Vice President, Product Development (2008 to 2016), and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2013 to 2016), Virtus Alternative Solutions Trust; and Senior Vice President (since 2017) and Vice President (2016 to 2017), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund. |
Table of Contents
Name and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2011 to 2013); Chief Financial Officer and Treasurer (since 2006). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), and various officer positons (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Utility and Infrastructure Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. |
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), and various officer positions (since 2005), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), and Assistant Secretary (2013 to 2014 and since 2017), Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President (2013 to 2014), Vice President (2011 to 2013), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. |
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017); Vice President (2011 to 2017); and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), and various officer positions (since 2003), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Fromm, Jennifer S. YOB: 1973 | Vice President, Chief Legal Officer, Counsel and Secretary (since 2013). | Vice President, Chief Legal Officer, Counsel and Secretary (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Vice President (since 2016) and Senior Counsel (since 2007), and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Vice President (since 2017) and Assistant Secretary (since 2008), Virtus Mutual Fund Family; Vice President, Chief Legal Officer, and Secretary (since 2013), Virtus Variable Insurance Trust; and Vice President, Chief Legal Officer, and Secretary (since 2013), Virtus Alternative Solutions Trust. |
Table of Contents
Name and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President (since 2018), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Senior Vice President (2018 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013); Senior Vice President (2008 to 2013). | Executive Vice President, Product Development (since 2009), and various senior officer positions (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust; and Executive Vice President (since 2017), Virtus Total Return Fund Inc. |
Table of Contents
Annual Series Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) | Class A | Class I | |
Management Fees | 0.75% | 0.75% | |
Distribution and Shareholder Servicing (12b-1) Fees | 0.25% | None | |
Other Expenses | 0.19% | 0.19% | |
Total Annual Series Operating Expenses | 1.19% | 0.94% | |
Less: Expense Reimbursement(a) | (0.05%) | (0.05%) | |
Total Annual Series Operating Expenses After Expense Reimbursement(a) | 1.14% | 0.89% |
1 Year | 3 Years | 5 Years | 10 Years | |
Class A | $116 | $373 | $650 | $1,439 |
Table of Contents
Table of Contents
Annual Series Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) | Class A | Class I | |
Management Fees | 0.85% | 0.85% | |
Distribution and Shareholder Servicing (12b-1) Fees | 0.25% | None | |
Other Expenses | 0.17% | 0.18% | |
Total Annual Series Operating Expenses | 1.27% | 1.03% | |
Less: Expense Reimbursement(a) | (0.11%) | (0.12%) | |
Total Annual Series Operating Expenses After Expense Reimbursement(a) | 1.16% | 0.91% |
1 Year | 3 Years | 5 Years | 10 Years | |
Class A | $118 | $392 | $686 | $1,524 |
Class I | $93 | $316 | $557 | $1,249 |
Table of Contents
a series of Virtus Variable Insurance Trust (Unaudited)
and Statutory Prospectus, each dated April 30, 2019, as supplemented
Annual Series Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) | Class A | Class I | |
Management Fees | 0.75% | 0.75% | |
Distribution and Shareholder Servicing (12b-1) Fees | 0.25% | None | |
Other Expenses | 0.17% | 0.17% | |
Total Annual Series Operating Expenses | 1.17% | 0.92% | |
Less: Expense Reimbursement(a) | (0.01%) | (0.01%) | |
Total Annual Series Operating Expenses After Expense Reimbursement(a) | 1.16% | 0.91% |
1 Year | 3 Years | 5 Years | 10 Years | |
Class A | $118 | $371 | $643 | $1,419 |
Class I | $93 | $292 | $508 | $1,130 |
Table of Contents
Table of Contents
Accounting Firm
Mutual Fund Services | 1-800-367-5877 |
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 1-800-367-5877.
Table of Contents
please contact us at1-800-367-5877, orVirtus.com.
8510 | 02-20 |
Table of Contents
Item 2. | Code of Ethics. |
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | Other than certainnon-substantive changes, there have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics described in Item 2(b) of the instructions for completion of FormN-CSR. |
(d) | The registrant has not granted any waivers, during the period covered by this report, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of the instructions for completion of this Item. |
Item 3. | Audit Committee Financial Expert. |
(a)(1) | The Registrant’s Board of Trustees has determined that the Registrant has an “audit committee financial expert” serving on its Audit Committee. |
(a)(2) | As of the end of the period covered by the report, the Registrant’s Board of Trustees has determined that each of Thomas J. Brown, Donald C. Burke and Richard E. Segerson possesses the technical attributes identified in Instruction 2(b) of Item 3 to FormN-CSR to qualify as an “audit committee financial expert.” On January 14, 2020, the members of the audit committed changed and as a result the Registrant’s Board of Trustees reviewed the new membership to determine whether the members possess the technical attributes identified in Instruction 2(b) of Item 3 to FormN-CSR to qualify as an “audit committee financial expert” and determined that each of Thomas J. Brown, Donald C. Burke, Connie D. McDaniel and Brian T. Zino possesses such attributes. Each of Messrs. Brown, Burke, Segerson and Zino, and Ms. McDaniel, is an “independent” trustee pursuant to paragraph (a)(2) of Item 3 to FormN-CSR. |
(a)(3) | Not applicable. |
Table of Contents
Item 4. | Principal Accountant Fees and Services. |
• | Registrant may incorporate the following information by reference, if this information has been disclosed in the registrant’s definitive proxy statement or definitive information statement. The proxy statement or information statementmust be filed no later than 120 days after the end of the fiscal year covered by the Annual Report. |
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $138,632 for 2019 and $141,920 for 2018. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $10,717 for 2019 and $22,377 for 2018. Such audit-related fees include out of pocket expenses and system conversion fees. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $27,375 for 2019 and $61,941 for 2018. |
“Tax Fees” are those primarily associated with review of the Trust’s tax provision and qualification as a regulated investment company (RIC) in connection with audits of the Trust’s financial statement, review ofyear-end distributions by the Fund to avoid excise tax for the Trust, periodic discussion with management on tax issues affecting the Trust, and reviewing and signing the Fund’s federal income tax returns. |
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2019 and $0 for 2018. |
(e)(1) | Disclose the audit committee’spre-approval policies and procedures described in paragraph (c)(7) of Rule2-01 of RegulationS-X. |
The Virtus Variable Insurance Trust (the “Fund”) Board has adopted policies and procedures with regard to thepre-approval of services provided by PwC. Audit, audit-related and tax compliance services provided to the Fund on an annual basis require specificpre-approval by the Audit Committee. The Audit Committee must also approve othernon-audit services provided to the Fund and thosenon-audit services provided to the Fund’s Affiliated Service Providers that relate directly to the operations and financial
Table of Contents
reporting of the Fund. Certain of thesenon-audit services that the Audit Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent auditors may be approved by the Audit Committee without consideration on a specificcase-by-case basis (“generalpre-approval”).
The Audit Committee has determined that Mr. Thomas J. Brown, Chair of the Audit Committee, may providepre-approval for such services that meet the above requirements in the event such approval is sought between regularly scheduled meetings. In any event, the Audit Committee is informed of each service approved subject to generalpre-approval at the next regularly scheduledin-person Audit Committee meeting.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X are as follows: |
(b) | 0% |
(c) | 0% |
(d) | N/A |
(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent. |
(g) | The aggregatenon-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $38,092 for 2019 and $84,318 for 2018. |
(h) | The registrant’s audit committee of the board of directors has considered whether the provision ofnon-audit services that were rendered to the registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining the principal accountant’s independence. |
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Table of Contents
Item 6. | Investments. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR240.14a-101)), or this Item.
Item 11. | Controls and Procedures. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule30a-3(b) under the 1940 Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.13a-15(b) or240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Table of Contents
Item 12. | Disclosure of Securities Lending Activities forClosed-End Management Investment Companies. |
Not applicable.
Item 13. | Exhibits. |
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
Table of Contents
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 Variable Insurance Trust |
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President (principal executive officer) |
Date | 3/5/2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President (principal executive officer) |
Date | 3/5/2020 |
By (Signature and Title)* | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, Chief Financial Officer and Treasurer (principal financial officer) |
Date | 3/5/2020 |
* | Print the name and title of each signing officer under his or her signature. |