UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04642
Virtus Variable Insurance Trust
(Exact name of registrant as specified in charter)
One Financial Plaza
Hartford, CT 06103-2608
(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 06103-2608
(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: June 30, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
(b) | Not applicable. |
Virtus Duff & Phelps Real Estate Securities Series |
Virtus KAR Capital Growth Series |
Virtus KAR Equity Income Series |
Virtus KAR Small-Cap Growth Series |
Virtus KAR Small-Cap Value Series |
Virtus Newfleet Multi-Sector Intermediate Bond Series |
Virtus SGA International Growth Series |
Virtus Strategic Allocation Series |
1 | ||
2 | ||
4 | ||
6 | ||
Series | Schedule of Investments | |
7 | ||
9 | ||
10 | ||
12 | ||
13 | ||
14 | ||
29 | ||
31 | ||
41 | ||
43 | ||
45 | ||
49 | ||
53 | ||
64 |
President, Virtus Variable Insurance Trust
Beginning Account Value January 1, 2021 | Ending Account Value June 30, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class A | $ 1,000.00 | $ 1,218.90 | 1.10 % | $ 6.05 | ||||
Class I | 1,000.00 | 1,220.70 | 0.85 | 4.68 | ||||
KAR Capital Growth Series | ||||||||
Class A | 1,000.00 | 1,064.80 | 1.03 | 5.27 | ||||
KAR Equity Income Series | ||||||||
Class A | 1,000.00 | 1,110.00 | 0.98 | 5.13 | ||||
KAR Small-Cap Growth Series | ||||||||
Class A | 1,000.00 | 1,021.30 | 1.16 | 5.81 | ||||
Class I | 1,000.00 | 1,022.30 | 0.91 | 4.56 | ||||
KAR Small-Cap Value Series | ||||||||
Class A | 1,000.00 | 1,157.60 | 1.10 | 5.88 | ||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class A | 1,000.00 | 1,010.70 | 0.92 | 4.59 | ||||
Class I | 1,000.00 | 1,010.70 | 0.67 | 3.34 | ||||
SGA International Growth Series | ||||||||
Class A | 1,000.00 | 1,078.50 | 1.14 | 5.88 | ||||
Class I | 1,000.00 | 1,079.90 | 0.89 | 4.59 | ||||
Strategic Allocation Series | ||||||||
Class A | 1,000.00 | 1,049.90 | 0.98 | 4.98 |
* | 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 (181) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Beginning Account Value January 1, 2021 | Ending Account Value June 30, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class A | $ 1,000.00 | $ 1,019.34 | 1.10 % | $ 5.51 | ||||
Class I | 1,000.00 | 1,020.58 | 0.85 | 4.26 | ||||
KAR Capital Growth Series | ||||||||
Class A | 1,000.00 | 1,019.69 | 1.03 | 5.16 | ||||
KAR Equity Income Series | ||||||||
Class A | 1,000.00 | 1,019.93 | 0.98 | 4.91 | ||||
KAR Small-Cap Growth Series | ||||||||
Class A | 1,000.00 | 1,019.04 | 1.16 | 5.81 | ||||
Class I | 1,000.00 | 1,020.28 | 0.91 | 4.56 | ||||
KAR Small-Cap Value Series | ||||||||
Class A | 1,000.00 | 1,019.34 | 1.10 | 5.51 | ||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class A | 1,000.00 | 1,020.23 | 0.92 | 4.61 | ||||
Class I | 1,000.00 | 1,021.47 | 0.67 | 3.36 | ||||
SGA International Growth Series | ||||||||
Class A | 1,000.00 | 1,019.14 | 1.14 | 5.71 | ||||
Class I | 1,000.00 | 1,020.38 | 0.89 | 4.46 | ||||
Strategic Allocation Series | ||||||||
Class A | 1,000.00 | 1,019.93 | 0.98 | 4.91 |
* | 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 (181) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Residential | 24% |
Industrial/Office | 23 |
Retail | 14 |
Data Centers | 12 |
Health Care | 10 |
Self Storage | 7 |
Lodging/Resorts | 4 |
Other (includes short-term investment) | 6 |
Total | 100% |
Information Technology | 37% |
Consumer Discretionary | 24 |
Communication Services | 13 |
Industrials | 9 |
Health Care | 6 |
Financials | 5 |
Consumer Staples | 5 |
Other | 1 |
Total | 100% |
Financials | 16% |
Industrials | 15 |
Consumer Staples | 13 |
Information Technology | 13 |
Health Care | 11 |
Communication Services | 9 |
Utilities | 9 |
Other | 14 |
Total | 100% |
Information Technology | 32% |
Communication Services | 16 |
Consumer Discretionary | 16 |
Financials | 15 |
Industrials | 8 |
Health Care | 5 |
Consumer Staples | 4 |
Short-Term Investment | 4 |
Total | 100% |
Industrials | 28% |
Consumer Discretionary | 23 |
Financials | 17 |
Information Technology | 13 |
Materials | 6 |
Consumer Staples | 6 |
Real Estate | 4 |
Other (includes short-term investment) | 3 |
Total | 100% |
Corporate Bonds and Notes | 43% | |
Financials | 11% | |
Energy | 8 | |
Communication Services | 4 | |
All other Corporate Bonds and Notes | 20 | |
Leveraged Loans | 16 | |
Mortgage-Backed Securities | 15 | |
Asset-Backed Securities | 12 | |
Foreign Government Securities | 6 | |
U.S. Government Securities | 3 | |
Other (includes short-term investment and securities lending collateral) | 5 | |
Total | 100% |
Consumer Staples | 22% |
Health Care | 21 |
Information Technology | 16 |
Financials | 14 |
Consumer Discretionary | 11 |
Materials | 6 |
Industrials | 6 |
Other (includes short-term investment) | 4 |
Total | 100% |
Common Stocks | 75% | |
Information Technology | 24% | |
Consumer Discretionary | 16 | |
Communication Services | 12 | |
All other Common Stocks | 23 | |
Corporate Bonds and Notes | 8 | |
Financials | 4 | |
Real Estate | 1 | |
Information Technology | 1 | |
All other Corporate Bonds and Notes | 2 | |
Mortgage-Backed Securities | 6 | |
U.S. Government Securities | 4 | |
Asset-Backed Securities | 3 | |
Leveraged Loans | 2 | |
Short-Term Investment | 1 | |
Other (includes securities lending collateral) | 1 | |
Total | 100% |
Shares | Value | ||
Common Stocks—98.1% | |||
Real Estate Investment Trusts—98.1% | |||
Data Centers—11.6% | |||
CyrusOne, Inc. | 38,287 | $ 2,738 | |
Equinix, Inc. | 10,067 | 8,080 | |
10,818 | |||
Diversified—1.4% | |||
VEREIT, Inc. | 28,470 | 1,308 | |
Health Care—10.3% | |||
Healthcare Trust of America, Inc. Class A | 80,650 | 2,154 | |
Healthpeak Properties, Inc. | 99,250 | 3,304 | |
Welltower, Inc. | 50,290 | 4,179 | |
9,637 | |||
Industrial/Office—23.1% | |||
Industrial—14.1% | |||
Duke Realty Corp. | 88,446 | 4,188 | |
Prologis, Inc. | 65,552 | 7,835 | |
Rexford Industrial Realty, Inc. | 21,725 | 1,237 | |
13,260 | |||
Office—9.0% | |||
Alexandria Real Estate Equities, Inc. | 15,043 | 2,737 | |
Boston Properties, Inc. | 12,740 | 1,460 | |
Cousins Properties, Inc. | 72,062 | 2,651 | |
Douglas Emmett, Inc. | 46,740 | 1,571 | |
8,419 | |||
Total Industrial/Office | 21,679 | ||
Lodging/Resorts—4.5% | |||
Host Hotels & Resorts, Inc.(1) | 115,064 | 1,966 | |
RLJ Lodging Trust | 70,685 | 1,077 | |
Ryman Hospitality Properties, Inc.(1) | 14,852 | 1,173 | |
4,216 | |||
Residential—23.7% | |||
Apartments—13.6% | |||
Apartment Income REIT Corp. | 56,253 | 2,668 | |
AvalonBay Communities, Inc. | 19,479 | 4,065 | |
Equity Residential | 32,420 | 2,496 | |
Mid-America Apartment Communities, Inc. | 20,900 | 3,520 | |
12,749 | |||
Manufactured Homes—4.6% | |||
Sun Communities, Inc. | 25,151 | 4,311 | |
Single Family Homes—5.5% | |||
American Homes 4 Rent Class A | 86,900 | 3,376 | |
Invitation Homes, Inc. | 47,350 | 1,766 | |
5,142 | |||
Total Residential | 22,202 | ||
Shares | Value | ||
Retail—13.6% | |||
Free Standing—3.7% | |||
Spirit Realty Capital, Inc. | 54,104 | $ 2,588 | |
STORE Capital Corp. | 24,120 | 833 | |
3,421 | |||
Regional Malls—3.8% | |||
Simon Property Group, Inc. | 27,601 | 3,601 | |
Shopping Centers—6.1% | |||
Brixmor Property Group, Inc. | 109,092 | 2,497 | |
Regency Centers Corp. | 32,950 | 2,111 | |
Weingarten Realty Investors | 33,750 | 1,083 | |
5,691 | |||
Total Retail | 12,713 | ||
Self Storage—7.4% | |||
CubeSmart | 75,100 | 3,478 | |
Extra Space Storage, Inc. | 21,266 | 3,484 | |
6,962 | |||
Specialty—2.5% | |||
SBA Communications, Corp. Class A | 3,650 | 1,163 | |
VICI Properties, Inc. | 38,237 | 1,186 | |
2,349 | |||
Total Common Stocks (Identified Cost $58,919) | 91,884 | ||
Total Long-Term Investments—98.1% (Identified Cost $58,919) | 91,884 | ||
Short-Term Investment—1.8% | |||
Money Market Mutual Fund—1.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(2) | 1,650,372 | 1,650 | |
Total Short-Term Investment (Identified Cost $1,650) | 1,650 | ||
TOTAL INVESTMENTS—99.9% (Identified Cost $60,569) | $93,534 | ||
Other assets and liabilities, net—0.1% | 140 | ||
NET ASSETS—100.0% | $93,674 |
Abbreviation: | |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at June 30, 2021 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $91,884 | $91,884 | |
Money Market Mutual Fund | 1,650 | 1,650 | |
Total Investments | $93,534 | $93,534 |
Shares | Value | ||
Common Stocks—99.9% | |||
Communication Services—13.4% | |||
Activision Blizzard, Inc. | 42,110 | $ 4,019 | |
Facebook, Inc. Class A(1) | 56,642 | 19,695 | |
Netflix, Inc.(1) | 18,750 | 9,904 | |
Tencent Holdings Ltd. ADR | 120,880 | 9,102 | |
42,720 | |||
Consumer Discretionary—24.1% | |||
Airbnb, Inc. Class A(1) | 15,179 | 2,325 | |
Alibaba Group Holding Ltd. Sponsored ADR(1) | 54,838 | 12,436 | |
Amazon.com, Inc.(1) | 7,870 | 27,074 | |
Home Depot, Inc. (The) | 13,388 | 4,269 | |
Las Vegas Sands Corp.(1) | 68,342 | 3,601 | |
Marriott International, Inc. Class A(1) | 25,610 | 3,496 | |
MercadoLibre, Inc.(1) | 5,090 | 7,929 | |
NIKE, Inc. Class B | 57,965 | 8,955 | |
Ross Stores, Inc. | 37,497 | 4,650 | |
Trip.com Group Ltd. ADR(1) | 54,870 | 1,946 | |
76,681 | |||
Consumer Staples—4.7% | |||
Estee Lauder Cos., Inc. (The) Class A | 11,988 | 3,813 | |
McCormick & Co., Inc. | 29,900 | 2,641 | |
Monster Beverage Corp.(1) | 45,725 | 4,177 | |
Procter & Gamble Co. (The) | 31,190 | 4,208 | |
14,839 | |||
Financials—5.0% | |||
Bank of America Corp. | 154,318 | 6,362 | |
CME Group, Inc. Class A | 13,270 | 2,822 | |
MarketAxess Holdings, Inc. | 10,200 | 4,729 | |
Progressive Corp. (The) | 19,810 | 1,946 | |
15,859 | |||
Health Care—5.5% | |||
Danaher Corp. | 25,207 | 6,764 | |
HealthEquity, Inc.(1) | 28,710 | 2,311 | |
Zoetis, Inc. Class A | 46,054 | 8,583 | |
17,658 | |||
Industrials—8.8% | |||
CoStar Group, Inc.(1) | 72,400 | 5,996 | |
Equifax, Inc. | 13,460 | 3,224 | |
Fair Isaac Corp.(1) | 7,620 | 3,830 | |
Kansas City Southern | 11,250 | 3,188 |
Shares | Value | ||
Industrials—continued | |||
Roper Technologies, Inc. | 11,802 | $ 5,549 | |
Uber Technologies, Inc.(1) | 123,460 | 6,188 | |
27,975 | |||
Information Technology—37.3% | |||
Accenture plc Class A | 17,071 | 5,032 | |
Amphenol Corp. Class A | 105,608 | 7,225 | |
Avalara, Inc.(1) | 61,000 | 9,870 | |
Bill.com Holdings, Inc.(1) | 130,687 | 23,939 | |
DocuSign, Inc.(1) | 12,090 | 3,380 | |
Duck Creek Technologies, Inc.(1) | 153,506 | 6,679 | |
NVIDIA Corp. | 25,143 | 20,117 | |
Paycom Software, Inc.(1) | 29,442 | 10,701 | |
Snowflake, Inc. Class A(1) | 9,576 | 2,316 | |
Trade Desk, Inc. (The) Class A(1) | 97,800 | 7,566 | |
Visa, Inc. Class A | 61,628 | 14,410 | |
Workday, Inc. Class A(1) | 30,290 | 7,231 | |
118,466 | |||
Materials—1.1% | |||
Ecolab, Inc. | 17,474 | 3,599 | |
Total Common Stocks (Identified Cost $92,068) | 317,797 | ||
Total Long-Term Investments—99.9% (Identified Cost $92,068) | 317,797 | ||
TOTAL INVESTMENTS—99.9% (Identified Cost $92,068) | $317,797 | ||
Other assets and liabilities, net—0.1% | 168 | ||
NET ASSETS—100.0% | $317,965 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
Country Weightings† | |
United States | 90% |
China | 7 |
Brazil | 3 |
Total | 100% |
† % of total investments as of June 30, 2021. |
Total Value at June 30, 2021 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $317,797 | $317,797 | |
Total Investments | $317,797 | $317,797 |
Shares | Value | ||
Common Stocks—99.7% | |||
Communication Services—8.7% | |||
Omnicom Group, Inc. | 54,276 | $ 4,342 | |
Verizon Communications, Inc. | 83,390 | 4,672 | |
9,014 | |||
Consumer Discretionary—5.1% | |||
Home Depot, Inc. (The) | 3,357 | 1,070 | |
Leggett & Platt, Inc. | 60,610 | 3,140 | |
McDonald’s Corp. | 4,666 | 1,078 | |
5,288 | |||
Consumer Staples—13.1% | |||
Clorox Co. (The) | 4,040 | 727 | |
Coca-Cola Co. (The) | 50,680 | 2,742 | |
Kellogg Co. | 48,650 | 3,130 | |
Kimberly-Clark Corp. | 24,256 | 3,245 | |
PepsiCo, Inc. | 17,930 | 2,657 | |
Procter & Gamble Co. (The) | 7,771 | 1,048 | |
13,549 | |||
Financials—16.1% | |||
Bank of Hawaii Corp. | 50,441 | 4,248 | |
PNC Financial Services Group, Inc. (The) | 29,902 | 5,704 | |
U.S. Bancorp | 46,230 | 2,634 | |
Zurich Insurance Group AG ADR | 101,728 | 4,095 | |
16,681 | |||
Health Care—10.8% | |||
Johnson & Johnson | 6,182 | 1,018 | |
Merck & Co., Inc. | 30,250 | 2,353 | |
Patterson Cos., Inc. | 134,690 | 4,093 | |
Pfizer, Inc. | 95,040 | 3,722 | |
11,186 | |||
Industrials—15.2% | |||
3M Co. | 22,000 | 4,370 | |
Fastenal Co. | 28,808 | 1,498 | |
MSC Industrial Direct Co., Inc. Class A | 27,400 | 2,458 | |
Snap-on, Inc. | 12,190 | 2,724 | |
Watsco, Inc. | 16,082 | 4,610 | |
15,660 | |||
Information Technology—12.7% | |||
Analog Devices, Inc. | 6,685 | 1,151 | |
Cisco Systems, Inc. | 73,950 | 3,919 | |
International Business Machines Corp. | 32,770 | 4,804 |
Shares | Value | ||
Information Technology—continued | |||
Paychex, Inc. | 29,900 | $ 3,208 | |
13,082 | |||
Materials—7.6% | |||
Eastman Chemical Co. | 38,180 | 4,458 | |
Sonoco Products Co. | 50,150 | 3,355 | |
7,813 | |||
Real Estate—1.8% | |||
Crown Castle International Corp. | 9,320 | 1,818 | |
Utilities—8.6% | |||
Fortis, Inc. | 59,370 | 2,626 | |
NextEra Energy, Inc. | 24,930 | 1,827 | |
Southern Co. (The) | 50,160 | 3,035 | |
WEC Energy Group, Inc. | 16,010 | 1,424 | |
8,912 | |||
Total Common Stocks (Identified Cost $86,339) | 103,003 | ||
Total Long-Term Investments—99.7% (Identified Cost $86,339) | 103,003 | ||
TOTAL INVESTMENTS—99.7% (Identified Cost $86,339) | $103,003 | ||
Other assets and liabilities, net—0.3% | 277 | ||
NET ASSETS—100.0% | $103,280 |
Abbreviation: | |
ADR | American Depositary Receipt |
Country Weightings† | |
United States | 93% |
Switzerland | 4 |
Canada | 3 |
Total | 100% |
† % of total investments as of June 30, 2021. |
Total Value at June 30, 2021 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $103,003 | $103,003 | |
Total Investments | $103,003 | $103,003 |
Shares | Value | ||
Common Stocks—94.3% | |||
Communication Services—16.3% | |||
Auto Trader Group plc(1) | 807,000 | $ 7,071 | |
Autohome, Inc. ADR | 69,050 | 4,417 | |
MediaAlpha, Inc. Class A(1) | 87,679 | 3,691 | |
Rightmove plc | 710,930 | 6,386 | |
21,565 | |||
Consumer Discretionary—15.8% | |||
Fox Factory Holding Corp.(1) | 77,055 | 11,994 | |
Ollie’s Bargain Outlet Holdings, Inc.(1) | 90,139 | 7,583 | |
Olo, Inc. Class A(1) | 36,954 | 1,382 | |
20,959 | |||
Consumer Staples—3.9% | |||
Chefs’ Warehouse, Inc. (The)(1) | 55,660 | 1,772 | |
Grocery Outlet Holding Corp.(1) | 63,365 | 2,196 | |
PriceSmart, Inc. | 13,500 | 1,229 | |
5,197 | |||
Financials—14.5% | |||
FactSet Research Systems, Inc. | 8,029 | 2,694 | |
Goosehead Insurance, Inc. Class A | 17,760 | 2,261 | |
Interactive Brokers Group, Inc. Class A | 61,973 | 4,073 | |
MarketAxess Holdings, Inc. | 6,863 | 3,182 | |
Morningstar, Inc. | 19,010 | 4,888 | |
Oportun Financial Corp.(1) | 45,880 | 919 | |
ServisFirst Bancshares, Inc. | 17,744 | 1,206 | |
19,223 | |||
Health Care—4.7% | |||
Mesa Laboratories, Inc. | 4,735 | 1,284 | |
National Research Corp. | 44,660 | 2,050 | |
U.S. Physical Therapy, Inc. | 24,900 | 2,885 | |
6,219 | |||
Industrials—7.6% | |||
AAON, Inc. | 67,700 | 4,237 | |
HEICO Corp. Class A | 28,270 | 3,511 | |
Omega Flex, Inc. | 15,995 | 2,347 | |
10,095 | |||
Information Technology—31.5% | |||
Aspen Technology, Inc.(1) | 31,614 | 4,348 | |
Avalara, Inc.(1) | 28,340 | 4,585 |
Shares | Value | ||
Information Technology—continued | |||
Bill.com Holdings, Inc.(1) | 60,735 | $ 11,126 | |
Blackline, Inc.(1) | 50,190 | 5,585 | |
Duck Creek Technologies, Inc.(1) | 164,864 | 7,173 | |
nCino, Inc.(1) | 51,956 | 3,113 | |
NVE Corp. | 8,850 | 655 | |
Paycom Software, Inc.(1) | 8,011 | 2,912 | |
SPS Commerce, Inc.(1) | 23,122 | 2,309 | |
41,806 | |||
Total Common Stocks (Identified Cost $50,078) | 125,064 | ||
Total Long-Term Investments—94.3% (Identified Cost $50,078) | 125,064 | ||
Short-Term Investment—4.3% | |||
Money Market Mutual Fund—4.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(2) | 5,663,986 | 5,664 | |
Total Short-Term Investment (Identified Cost $5,664) | 5,664 | ||
TOTAL INVESTMENTS—98.6% (Identified Cost $55,742) | $130,728 | ||
Other assets and liabilities, net—1.4% | 1,817 | ||
NET ASSETS—100.0% | $132,545 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 86% |
United Kingdom | 10 |
China | 4 |
Total | 100% |
† % of total investments as of June 30, 2021. |
Total Value at June 30, 2021 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $125,064 | $125,064 | |
Money Market Mutual Fund | 5,664 | 5,664 | |
Total Investments | $130,728 | $130,728 |
Shares | Value | ||
Common Stocks—96.8% | |||
Consumer Discretionary—22.8% | |||
Cheesecake Factory, Inc. (The)(1) | 76,330 | $ 4,136 | |
Latham Group, Inc.(1) | 80,008 | 2,557 | |
Leslie’s, Inc.(1) | 121,556 | 3,342 | |
SiteOne Landscape Supply, Inc.(1) | 24,372 | 4,125 | |
Terminix Global Holdings, Inc.(1) | 69,298 | 3,306 | |
Thor Industries, Inc. | 35,733 | 4,038 | |
21,504 | |||
Consumer Staples—5.5% | |||
National Beverage Corp. | 57,788 | 2,730 | |
WD-40 Co. | 9,650 | 2,473 | |
5,203 | |||
Financials—16.7% | |||
Bank of Hawaii Corp. | 37,242 | 3,137 | |
First Financial Bankshares, Inc. | 30,962 | 1,521 | |
Houlihan Lokey, Inc. Class A | 50,690 | 4,146 | |
Primerica, Inc. | 15,740 | 2,410 | |
RLI Corp. | 23,700 | 2,479 | |
Stock Yards Bancorp, Inc. | 40,036 | 2,037 | |
15,730 | |||
Health Care—1.6% | |||
Anika Therapeutics, Inc.(1) | 34,150 | 1,478 | |
Industrials—27.3% | |||
Albany International Corp. Class A | 34,289 | 3,061 | |
Armstrong World Industries, Inc. | 29,947 | 3,212 | |
Construction Partners, Inc. Class A(1) | 53,000 | 1,664 | |
Graco, Inc. | 41,910 | 3,172 | |
John Bean Technologies Corp. | 16,623 | 2,371 | |
Landstar System, Inc. | 17,790 | 2,811 | |
RBC Bearings, Inc.(1) | 17,220 | 3,434 | |
UniFirst Corp. | 8,263 | 1,939 | |
Watsco, Inc. | 14,450 | 4,142 | |
25,806 | |||
Information Technology—13.0% | |||
American Software, Inc. Class A | 66,000 | 1,449 | |
Badger Meter, Inc. | 14,052 | 1,379 | |
Brooks Automation, Inc. | 54,009 | 5,146 |
Shares | Value | ||
Information Technology—continued | |||
EVERTEC, Inc. | 64,499 | $ 2,815 | |
Jack Henry & Associates, Inc. | 9,240 | 1,511 | |
12,300 | |||
Materials—5.9% | |||
Scotts Miracle-Gro Co. (The) | 29,007 | 5,567 | |
Real Estate—4.0% | |||
MGM Growth Properties LLC Class A | 102,340 | 3,748 | |
Total Common Stocks (Identified Cost $44,922) | 91,336 | ||
Total Long-Term Investments—96.8% (Identified Cost $44,922) | 91,336 | ||
Short-Term Investment—1.4% | |||
Money Market Mutual Fund—1.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(2) | 1,320,775 | 1,321 | |
Total Short-Term Investment (Identified Cost $1,321) | 1,321 | ||
TOTAL INVESTMENTS—98.2% (Identified Cost $46,243) | $92,657 | ||
Other assets and liabilities, net—1.8% | 1,671 | ||
NET ASSETS—100.0% | $94,328 |
Abbreviation: | |
LLC | Limited Liability Company |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at June 30, 2021 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $91,336 | $91,336 | |
Money Market Mutual Fund | 1,321 | 1,321 | |
Total Investments | $92,657 | $92,657 |
Par Value | Value | ||
U.S. Government Securities—3.0% | |||
U.S. Treasury Bonds 2.875%, 5/15/49 | $ 200 | $ 234 | |
U.S. Treasury Notes | |||
0.125%, 5/31/22 | 870 | 870 | |
0.250%, 5/31/25 | 725 | 713 | |
0.375%, 9/30/27 | 1,160 | 1,108 | |
1.500%, 2/15/30 | 555 | 561 | |
Total U.S. Government Securities (Identified Cost $3,551) | 3,486 | ||
Municipal Bonds—0.6% | |||
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 40 | 43 | |
Virginia—0.6% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 610 | 641 | |
Total Municipal Bonds (Identified Cost $647) | 684 | ||
Foreign Government Securities—6.0% | |||
Bolivarian Republic of Venezuela | |||
9.375%, 1/13/34(1) | 295 | 30 | |
RegS 7.650%, 4/21/25(1)(2) | 825 | 82 | |
Dominican Republic | |||
144A 6.875%, 1/29/26(3) | 130 | 151 | |
144A 5.950%, 1/25/27(3) | 100 | 112 | |
144A 4.500%, 1/30/30(3) | 165 | 169 | |
Emirate of Dubai Government International Bonds RegS 5.250%, 1/30/43(2) | 400 | 450 | |
Federative Republic of Brazil 3.875%, 6/12/30 | 200 | 202 | |
Kingdom of Saudi Arabia | |||
144A 3.625%, 3/4/28(3) | 210 | 232 | |
144A 4.500%, 10/26/46(3) | 305 | 357 | |
Oman Government International Bond 144A 7.375%, 10/28/32(3) | 410 | 468 | |
Republic of Argentina | |||
0.125%, 7/9/35(4) | 300 | 95 | |
0.125%, 7/9/41(4) | 260 | 93 | |
Republic of Colombia | |||
3.125%, 4/15/31 | 250 | 245 | |
4.125%, 5/15/51 | 220 | 208 | |
Republic of Ecuador 144A 0.500%, 7/31/35(3)(4) | 85 | 58 | |
Republic of Egypt 144A 7.600%, 3/1/29(3) | 200 | 220 | |
Republic of Ghana 144A 8.125%, 3/26/32(3) | 200 | 203 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Republic of Indonesia | |||
2.850%, 2/14/30 | $450 | $ 467 | |
144A 4.350%, 1/8/27(3) | 240 | 272 | |
Republic of Kenya 144A 8.000%, 5/22/32(3) | 200 | 225 | |
Republic of Pakistan 144A 8.250%, 9/30/25(3) | 200 | 221 | |
Republic of Panama 4.300%, 4/29/53 | 355 | 393 | |
Republic of Philippines 3.700%, 3/1/41 | 200 | 216 | |
Republic of Turkey | |||
7.375%, 2/5/25 | 140 | 151 | |
4.875%, 10/9/26 | 200 | 196 | |
5.875%, 6/26/31 | 205 | 199 | |
State of Israel 2.750%, 7/3/30 | 345 | 368 | |
State of Qatar 144A 4.400%, 4/16/50(3) | 200 | 243 | |
Ukraine Government 144A 7.253%, 3/15/33(3) | 200 | 208 | |
United Mexican States 4.500%, 1/31/50 | 340 | 361 | |
Total Foreign Government Securities (Identified Cost $7,619) | 6,895 | ||
Mortgage-Backed Securities—15.2% | |||
Agency—0.4% | |||
Federal National Mortgage Association | |||
Pool #AT2016 3.000%, 4/1/43 | 191 | 202 | |
Pool #AS4992 3.500%, 5/1/45 | 103 | 111 | |
Pool #AS9393 4.000%, 4/1/47 | 43 | 46 | |
Pool #MA3121 4.000%, 9/1/47 | 92 | 99 | |
458 | |||
Non-Agency—14.8% | |||
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(3) | 435 | 467 | |
2015-SFR1, A 144A 3.467%, 4/17/52(3) | 301 | 320 | |
2015-SFR2, C 144A 4.691%, 10/17/52(3) | 340 | 369 | |
Angel Oak SB Commercial Mortgage Trust 2020-SBC1, A1 144A 2.068%, 5/25/50(3)(4) | 297 | 298 | |
Arroyo Mortgage Trust | |||
2019-1, A1 144A 3.805%, 1/25/49(3)(4) | 83 | 84 | |
2019-2, A1 144A 3.347%, 4/25/49(3)(4) | 101 | 103 | |
Banc of America Funding Trust 2005-1, 1A1 5.500%, 2/25/35 | 48 | 50 |
Par Value | Value | ||
Non-Agency—continued | |||
Bayview Opportunity Master Fund IVa Trust 2016-SPL1, B1 144A 4.250%, 4/28/55(3) | $275 | $289 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(3)(4) | 130 | 136 | |
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(3)(4) | 295 | 316 | |
Cascade MH Asset Trust 2021-MH1, A1 144A 1.753%, 2/25/46(3) | 328 | 329 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(3) | 215 | 218 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2019-IMC1, A1 144A 2.720%, 7/25/49(3)(4) | 117 | 119 | |
2015-A, A1 144A 3.500%, 6/25/58(3)(4) | 17 | 17 | |
COLT Trust 2020-RPL1, A1 144A 1.390%, 1/25/65(3)(4) | 200 | 201 | |
CoreVest American Finance Trust 2020-4, A 144A 1.174%, 12/15/52(3) | 231 | 229 | |
Credit Suisse Mortgage Capital Trust | |||
2014-IVR2, A2 144A 3.813%, 4/25/44(3)(4) | 39 | 40 | |
2020-RPL4, A1 144A 2.000%, 1/25/60(3)(4) | 319 | 327 | |
Ellington Financial Mortgage Trust | |||
2019-2, A3 144A 3.046%, 11/25/59(3)(4) | 65 | 66 | |
2021-2, A3 144A 1.291%, 6/25/66(3)(4) | 325 | 324 | |
FirstKey Homes Trust | |||
2020-SFR1, B 144A 1.740%, 9/17/25(3) | 200 | 200 | |
2020-SFR2, B 144A 1.567%, 10/19/37(3) | 335 | 333 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(3)(4) | 39 | 40 | |
2018-1, A23 144A 3.500%, 11/25/57(3)(4) | 77 | 78 | |
2018-2, A41 144A 4.500%, 10/25/58(3)(4) | 25 | 25 | |
2019-H1, A1 144A 2.657%, 10/25/59(3)(4) | 26 | 26 | |
2020-H1, A1 144A 2.310%, 1/25/60(3)(4) | 118 | 120 | |
Home Partners of America Trust 2020-2, A 144A 1.532%, 1/17/41(3) | 214 | 213 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(3)(4) | 57 | 58 | |
2014-1, 2A12 144A 3.500%, 1/25/44(3)(4) | 63 | 64 | |
2016-SH1, M2 144A 3.750%, 4/25/45(3)(4) | 146 | 149 | |
2016-SH2, M2 144A 3.708%, 12/25/45(3)(4) | 174 | 179 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(3)(4) | 26 | 26 | |
Mello Warehouse Securitization Trust 2021-2, C (1 month LIBOR + 1.100%, Cap N/A, Floor 1.100%) 144A 1.192%, 4/25/55(3)(4) | 160 | 160 |
Par Value | Value | ||
Non-Agency—continued | |||
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.497%, 4/25/55(3)(4) | $150 | $157 | |
2019-1A, A1A 144A 3.750%, 4/25/58(3)(4) | 188 | 194 | |
Mill City Mortgage Loan Trust | |||
2017-1, M2 144A 3.250%, 11/25/58(3)(4) | 100 | 105 | |
2019-1, M2 144A 3.500%, 10/25/69(3)(4) | 165 | 178 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2013-C13, AS 4.266%, 11/15/46 | 125 | 133 | |
New Residential Mortgage Loan Trust | |||
2016-3A, B1 144A 4.000%, 9/25/56(3)(4) | 295 | 319 | |
2016-4A, B1A 144A 4.500%, 11/25/56(3)(4) | 256 | 282 | |
2017-2A, A3 144A 4.000%, 3/25/57(3)(4) | 82 | 88 | |
2021-NQ2R, A1 144A 0.941%, 9/25/58(3)(4) | 161 | 161 | |
2014-1A, A 144A 3.750%, 1/25/54(3)(4) | 121 | 128 | |
2015-2A, A1 144A 3.750%, 8/25/55(3)(4) | 99 | 104 | |
2016-1A, A1 144A 3.750%, 3/25/56(3)(4) | 86 | 90 | |
2018-1A, A1A 144A 4.000%, 12/25/57(3)(4) | 175 | 187 | |
NewRez Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.050%, Cap N/A, Floor 1.050%) 144A 1.142%, 5/25/55(3)(4) | 160 | 160 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(3)(4) | 80 | 82 | |
2018-EXP2, 1A1 144A 4.000%, 7/25/58(3)(4) | 69 | 69 | |
Preston Ridge Partners Mortgage LLC | |||
2020-1A, A1 144A 2.981%, 2/25/25(3)(4) | 285 | 286 | |
2020-2, A1 144A 3.671%, 8/25/25(3)(4) | 282 | 284 | |
2020-3, A1 144A 2.857%, 9/25/25(3)(4) | 368 | 370 | |
2020-6, A1 144A 2.363%, 11/25/25(3)(4) | 383 | 384 | |
2021-2, A1 144A 2.115%, 3/25/26(3)(4) | 109 | 109 | |
2021-3, A1 144A 1.867%, 4/25/26(3)(4) | 223 | 224 | |
Pretium Mortgage Credit Partners I LLC 2020-NPL3, A1 144A 3.105%, 6/27/60(3)(4) | 285 | 288 | |
Progress Residential Trust | |||
2021-SFR3, D 144A 2.288%, 5/17/26(3) | 115 | 116 | |
2021-SFR6, C 144A 1.855%, 7/17/38(3) | 175 | 175 | |
2018-SFR2, B 144A 3.841%, 8/17/35(3) | 545 | 545 | |
2019-SFR2, A 144A 3.147%, 5/17/36(3) | 248 | 253 |
Par Value | Value | ||
Non-Agency—continued | |||
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(3)(4) | $162 | $163 | |
RCO V Mortgage LLC 2019-2, A1 144A 3.475%, 11/25/24(3)(4) | 178 | 178 | |
Residential Asset Mortgage Products Trust 2004-SL1, A8 6.500%, 11/25/31 | 12 | 12 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(3)(4) | 148 | 150 | |
Sequoia Mortgage Trust 2013-8, B1 3.506%, 6/25/43(4) | 82 | 84 | |
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(3)(4) | 248 | 249 | |
Starvest Emerging Markets CBO I 2021-3, A3 144A 1.518%, 6/25/56(3)(4) | 100 | 100 | |
Starwood Mortgage Residential Trust 2020-2, A1 144A 2.718%, 4/25/60(3)(4) | 112 | 113 | |
Sutherland Commercial Mortgage Loans 2017-SBC6, A 144A 3.192%, 5/25/37(3)(4) | 12 | 12 | |
Towd Point Mortgage Trust | |||
2016-4, B1 144A 3.860%, 7/25/56(3)(4) | 300 | 327 | |
2019-4, A2 144A 3.250%, 10/25/59(3)(4) | 215 | 230 | |
2016-1, M1 144A 3.500%, 2/25/55(3)(4) | 135 | 139 | |
2017-1, M1 144A 3.750%, 10/25/56(3)(4) | 135 | 143 | |
2017-4, A2 144A 3.000%, 6/25/57(3)(4) | 300 | 315 | |
2018-6, A2 144A 3.750%, 3/25/58(3)(4) | 710 | 754 | |
2019-2, A2 144A 3.750%, 12/25/58(3)(4) | 290 | 310 | |
2015-2, 1M1 144A 3.250%, 11/25/60(3)(4) | 315 | 324 | |
Tricon American Homes Trust | |||
2019-SFR1, C 144A 3.149%, 3/17/38(3) | 235 | 244 | |
2020-SFR2, D 144A 2.281%, 11/17/39(3) | 225 | 224 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(3) | 240 | 242 | |
VCAT LLC | |||
2020-NPL1, A1 144A 3.671%, 8/25/50(3)(4) | 102 | 102 | |
2021-NPL1, A2 144A 4.826%, 12/26/50(3)(4) | 165 | 165 | |
2021-NPL3, A1 144A 1.743%, 5/25/51(3)(4) | 228 | 228 | |
Vericrest Opportunity Loan Trust C LLC 2021-NPL9, A1 144A 1.992%, 5/25/51(3)(4) | 135 | 135 | |
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(3)(4) | 252 | 252 | |
Verus Securitization Trust 2019-4, M1 144A 3.207%, 11/25/59(3)(4) | 110 | 112 | |
Visio Trust 2020-1R, A2 144A 1.567%, 11/25/55(3) | 134 | 134 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 140 | 148 |
Par Value | Value | ||
Non-Agency—continued | |||
Wells Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(3)(4) | $ 97 | $ 99 | |
17,132 | |||
Total Mortgage-Backed Securities (Identified Cost $17,338) | 17,590 | ||
Asset-Backed Securities—12.1% | |||
Automobiles—6.7% | |||
American Credit Acceptance Receivables Trust | |||
2018-4, C 144A 3.970%, 1/13/25(3) | 57 | 57 | |
2020-4, D 144A 1.770%, 12/14/26(3) | 285 | 289 | |
AmeriCredit Automobile Receivables Trust | |||
2018-1, D 3.820%, 3/18/24 | 295 | 307 | |
2020-3, C 1.060%, 8/18/26 | 230 | 232 | |
Avid Automobile Receivables Trust | |||
2019-1, C 144A 3.140%, 7/15/26(3) | 355 | 365 | |
2019-1, D 144A 4.030%, 7/15/26(3) | 285 | 291 | |
Avis Budget Rental Car Funding LLC (AESOP) 2020-2A, A 144A 2.020%, 2/20/27(3) | 285 | 293 | |
Capital Auto Receivables Asset Trust 2017-1, D 144A 3.150%, 2/20/25(3) | 340 | 340 | |
CPS Auto Receivables Trust 2018-C, D 144A 4.400%, 6/17/24(3) | 310 | 317 | |
Exeter Automobile Receivables Trust | |||
2018-4A, D 144A 4.350%, 9/16/24(3) | 365 | 377 | |
2019-1A, D 144A 4.130%, 12/16/24(3) | 355 | 367 | |
2019-2A, E 144A 4.680%, 5/15/26(3) | 325 | 344 | |
2019-3A, C 144A 2.790%, 5/15/24(3) | 295 | 299 | |
Flagship Credit Auto Trust 2020-3, C 144A 1.730%, 9/15/26(3) | 285 | 290 | |
Foursight Capital Automobile Receivables Trust 2019-1, E 144A 4.300%, 9/15/25(3) | 285 | 298 | |
GLS Auto Receivables Issuer Trust | |||
2019-4A, B 144A 2.780%, 9/16/24(3) | 425 | 434 | |
2020-3A, D 144A 2.270%, 5/15/26(3) | 285 | 292 | |
GLS Auto Receivables Trust | |||
2018-1A, B 144A 3.520%, 8/15/23(3) | 227 | 229 | |
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) | 28 | 28 | |
2018-1A, A 144A 3.290%, 2/25/24(3) | 15 | 15 |
Par Value | Value | ||
Automobiles—continued | |||
Hertz Vehicle Financing III LP 2021-2A, A 144A 1.680%, 12/27/27(3) | $ 290 | $ 291 | |
Hertz Vehicle Financing LLC 2021-1A, A 144A 1.210%, 12/26/25(3) | 290 | 291 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(3) | 295 | 302 | |
United Auto Credit Securitization Trust 2019-1, E 144A 4.290%, 8/12/24(3) | 295 | 299 | |
USASF Receivables LLC 2020-1A, B 144A 3.220%, 5/15/24(3) | 345 | 351 | |
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(3) | 290 | 292 | |
7,758 | |||
Consumer Loans—0.3% | |||
Marlette Funding Trust 2019-4A, A 144A 2.390%, 12/17/29(3) | 75 | 76 | |
Republic Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(3) | 225 | 229 | |
305 | |||
Credit Card—0.2% | |||
Mercury Financial Credit Card Master Trust 2021-1A, A 144A 1.540%, 3/20/26(3) | 285 | 286 | |
Equipment—0.1% | |||
NMEF Funding LLC 2019-A, A 144A 2.730%, 8/17/26(3) | 58 | 58 | |
Other—4.8% | |||
Amur Equipment Finance Receivables IX LLC 2021-1A, C 144A 1.750%, 6/21/27(3) | 345 | 345 | |
Amur Equipment Finance Receivables V LLC 2018-1A, A2 144A 3.240%, 12/20/23(3) | — (5) | — (5) | |
Aqua Finance Trust 2019-A, C 144A 4.010%, 7/16/40(3) | 355 | 374 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(3) | 278 | 290 | |
Business Jet Securities LLC | |||
2019-1, A 144A 4.212%, 7/15/34(3) | 111 | 114 | |
2020-1A, A 144A 2.981%, 11/15/35(3) | 164 | 167 | |
BXG Receivables Note Trust 2020-A, B 144A 2.490%, 2/28/36(3) | 227 | 228 | |
Conn’s Receivables Funding LLC 2020-A, B 144A 4.270%, 6/16/25(3) | 178 | 180 | |
Diamond Resorts Owner Trust | |||
2017-1A, A 144A 3.270%, 10/22/29(3) | 69 | 70 | |
2021-1A, B 144A 2.050%, 11/21/33(3) | 215 | 217 | |
FAT Brands Royalty LLC 2021-1A, A2 144A 4.750%, 4/25/51(3) | 290 | 291 | |
Foundation Finance Trust 2021-1A, A 144A 1.270%, 5/15/41(3) | 266 | 266 | |
Hardee’s Funding LLC 2020-1A, A2 144A 3.981%, 12/20/50(3) | 284 | 300 |
Par Value | Value | ||
Other—continued | |||
HIN Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(3) | $261 | $ 272 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(3) | 295 | 316 | |
Lendmark Funding Trust | |||
2018-2A, A 144A 4.230%, 4/20/27(3) | 360 | 364 | |
2021-1A, A 144A 1.900%, 11/20/31(3) | 290 | 293 | |
Mariner Finance Issuance Trust 2020-AA, A 144A 2.190%, 8/21/34(3) | 285 | 290 | |
NMEF Funding LLC 2019-A, C 144A 3.300%, 8/17/26(3) | 240 | 245 | |
Octane Receivables Trust 2020-1A, B 144A 1.980%, 6/20/25(3) | 335 | 339 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(3) | 238 | 239 | |
Purchasing Power Funding LLC 2021-A, B 144A 1.920%, 10/15/25(3) | 345 | 345 | |
Small Business Lending Trust 2020-A, A 144A 2.620%, 12/15/26(3) | 40 | 40 | |
5,585 | |||
Student Loan—0.0% | |||
SoFi Professional Loan Program LLC 2016-A, A2 144A 2.760%, 12/26/36(3) | 34 | 34 | |
Total Asset-Backed Securities (Identified Cost $13,765) | 14,026 | ||
Corporate Bonds and Notes—43.1% | |||
Communication Services—3.9% | |||
Altice France Holding S.A. 144A 6.000%, 2/15/28(3) | 250 | 249 | |
Baidu, Inc. 3.425%, 4/7/30 | 290 | 314 | |
Cable Onda S.A. 144A 4.500%, 1/30/30(3) | 240 | 253 | |
Cars.com, Inc. 144A 6.375%, 11/1/28(3) | 120 | 128 | |
CCO Holdings LLC 144A 4.750%, 3/1/30(3) | 175 | 185 | |
Cinemark USA, Inc. 144A 5.875%, 3/15/26(3) | 125 | 131 | |
Clear Channel Outdoor Holdings, Inc. 144A 7.750%, 4/15/28(3) | 5 | 5 | |
Clear Channel Worldwide Holdings, Inc. 144A 5.125%, 8/15/27(3) | 80 | 82 | |
CSC Holdings LLC 144A 4.625%, 12/1/30(3) | 200 | 196 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(3) | 105 | 68 | |
144A 6.625%, 8/15/27(3)(6) | 180 | 88 | |
DISH DBS Corp. 7.750%, 7/1/26 | 110 | 125 | |
Frontier Communications Holdings LLC 144A 6.750%, 5/1/29(3) | 160 | 170 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 106 | 114 | |
Level 3 Financing, Inc. | |||
144A 4.250%, 7/1/28(3) | 145 | 147 |
Par Value | Value | ||
Communication Services—continued | |||
144A 3.625%, 1/15/29(3) | $ 55 | $ 53 | |
Live Nation Entertainment, Inc. | |||
144A 5.625%, 3/15/26(3) | 55 | 57 | |
144A 4.750%, 10/15/27(3) | 175 | 181 | |
McGraw-Hill Global Education Holdings LLC Senior Unsecured Notes 144A 7.875%, 5/15/24(3) | 170 | 173 | |
Nexstar Broadcasting, Inc. 144A 4.750%, 11/1/28(3) | 115 | 118 | |
Northwest Fiber LLC | |||
144A 6.000%, 2/15/28(3) | 10 | 10 | |
144A 10.750%, 6/1/28(3) | 105 | 118 | |
Radiate Holdco LLC | |||
144A 4.500%, 9/15/26(3) | 40 | 41 | |
144A 6.500%, 9/15/28(3) | 110 | 116 | |
Sprint Spectrum Co. LLC | |||
144A 3.360%, 9/20/21(3) | 13 | 13 | |
144A 5.152%, 3/20/28(3) | 200 | 230 | |
Telesat Canada | |||
144A 5.625%, 12/6/26(3) | 10 | 10 | |
144A 6.500%, 10/15/27(3) | 300 | 286 | |
T-Mobile USA, Inc. 3.875%, 4/15/30 | 285 | 319 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(3) | 105 | 113 | |
Twitter, Inc. 144A 3.875%, 12/15/27(3) | 260 | 276 | |
Univision Communications, Inc. 144A 5.125%, 2/15/25(3) | 175 | 179 | |
4,548 | |||
Consumer Discretionary—3.3% | |||
Adtalem Global Education, Inc. 144A 5.500%, 3/1/28(3) | 155 | 157 | |
Ambience Merger Sub, Inc. | |||
144A 4.875%, 7/15/28(3) | 30 | 30 | |
144A 7.125%, 7/15/29(3) | 185 | 187 | |
Caesars Entertainment, Inc. | |||
144A 6.250%, 7/1/25(3) | 55 | 58 | |
144A 8.125%, 7/1/27(3) | 40 | 44 | |
Carriage Services, Inc. 144A 4.250%, 5/15/29(3) | 110 | 110 | |
Carvana Co. | |||
144A 5.625%, 10/1/25(3) | 90 | 93 | |
144A 5.875%, 10/1/28(3) | 90 | 95 | |
Clarios Global LP 144A 8.500%, 5/15/27(3) | 90 | 98 | |
Cooper-Standard Automotive, Inc. 144A 13.000%, 6/1/24(3) | 110 | 124 | |
Downstream Development Authority of the Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23(3) | 185 | 193 | |
Ford Motor Co. 9.000%, 4/22/25 | 162 | 200 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(3) | 285 | 285 | |
Golden Nugget, Inc. 144A 8.750%, 10/1/25(3)(6) | 130 | 137 | |
Goodyear Tire & Rubber Co. (The) | |||
144A 5.000%, 7/15/29(3) | 25 | 26 | |
144A 5.250%, 7/15/31(3) | 40 | 42 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Hilton Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(3) | $115 | $ 118 | |
LCM Investments Holdings II LLC 144A 4.875%, 5/1/29(3) | 5 | 5 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 160 | 167 | |
Magic Mergeco, Inc. 144A 7.875%, 5/1/29(3) | 40 | 41 | |
Metis Merger Sub LLC 144A 6.500%, 5/15/29(3) | 75 | 74 | |
MGM Growth Properties Operating Partnership LP | |||
5.750%, 2/1/27 | 85 | 95 | |
144A 4.625%, 6/15/25(3) | 25 | 27 | |
Mohegan Gaming & Entertainment 144A 8.000%, 2/1/26(3) | 115 | 120 | |
NCL Corp., Ltd. 144A 5.875%, 3/15/26(3) | 80 | 84 | |
NCL Finance Ltd. 144A 6.125%, 3/15/28(3) | 45 | 47 | |
NMG Holding Co., Inc. 144A 7.125%, 4/1/26(3) | 110 | 117 | |
Peninsula Pacific Entertainment LLC 144A 8.500%, 11/15/27(3) | 20 | 21 | |
PulteGroup, Inc. 7.875%, 6/15/32 | 135 | 194 | |
Raptor Acquisition Corp. 144A 4.875%, 11/1/26(3) | 10 | 10 | |
Royal Caribbean Cruises Ltd. | |||
144A 9.125%, 6/15/23(3) | 100 | 110 | |
144A 4.250%, 7/1/26(3) | 5 | 5 | |
144A 5.500%, 4/1/28(3) | 15 | 16 | |
Scientific Games International, Inc. | |||
144A 8.250%, 3/15/26(3) | 80 | 86 | |
144A 7.000%, 5/15/28(3) | 40 | 44 | |
Station Casinos LLC 144A 4.500%, 2/15/28(3) | 135 | 137 | |
Tenneco, Inc. 144A 5.125%, 4/15/29(3) | 150 | 154 | |
Under Armour, Inc. 3.250%, 6/15/26 | 170 | 176 | |
Weekley Homes LLC 144A 4.875%, 9/15/28(3) | 105 | 109 | |
3,836 | |||
Consumer Staples—1.4% | |||
Anheuser-Busch InBev Worldwide, Inc. 4.750%, 1/23/29 | 265 | 316 | |
BAT Capital Corp. 4.906%, 4/2/30 | 300 | 345 | |
Chobani LLC 144A 7.500%, 4/15/25(3) | 180 | 187 | |
Herbalife Nutrition Ltd. 144A 7.875%, 9/1/25(3) | 215 | 234 | |
Kraft Heinz Foods Co. 3.875%, 5/15/27 | 105 | 115 | |
Post Holdings, Inc. 144A 4.500%, 9/15/31(3) | 145 | 145 | |
Triton Water Holdings, Inc. 144A 6.250%, 4/1/29(3) | 45 | 45 | |
Turning Point Brands, Inc. 144A 5.625%, 2/15/26(3) | 115 | 119 |
Par Value | Value | ||
Consumer Staples—continued | |||
Vector Group Ltd. 144A 5.750%, 2/1/29(3) | $110 | $ 112 | |
1,618 | |||
Energy—7.6% | |||
Aker BP ASA 144A 2.875%, 1/15/26(3) | 150 | 158 | |
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(3) | 225 | 220 | |
Antero Midstream Partners LP | |||
144A 7.875%, 5/15/26(3) | 80 | 89 | |
144A 5.750%, 1/15/28(3) | 105 | 110 | |
Antero Resources Corp. | |||
144A 8.375%, 7/15/26(3) | 60 | 68 | |
144A 7.625%, 2/1/29(3) | 40 | 44 | |
144A 5.375%, 3/1/30(3) | 35 | 36 | |
Ascent Resources Utica Holdings LLC 144A 8.250%, 12/31/28(3) | 155 | 170 | |
BP Capital Markets plc 4.875% (7) | 275 | 302 | |
Callon Petroleum Co. | |||
6.125%, 10/1/24(6) | 101 | 99 | |
144A 8.000%, 8/1/28(3) | 5 | 5 | |
Cheniere Energy, Inc. 144A 4.625%, 10/15/28(3) | 65 | 69 | |
Chesapeake Energy Corp. | |||
144A 5.500%, 2/1/26(3) | 115 | 121 | |
144A 5.875%, 2/1/29(3) | 25 | 27 | |
Cimarex Energy Co. 4.375%, 3/15/29 | 265 | 301 | |
Citgo Holding, Inc. 144A 9.250%, 8/1/24(3) | 55 | 56 | |
CITGO Petroleum Corp. 144A 7.000%, 6/15/25(3) | 110 | 115 | |
Colgate Energy Partners III LLC 144A 5.875%, 7/1/29(3) | 20 | 21 | |
Coronado Finance Pty Ltd. 144A 10.750%, 5/15/26(3) | 115 | 122 | |
CrownRock LP | |||
144A 5.625%, 10/15/25(3) | 135 | 140 | |
144A 5.000%, 5/1/29(3) | 90 | 95 | |
CSI Compressco LP 144A 7.500%, 4/1/25(3) | 130 | 132 | |
Energy Transfer LP | |||
4.200%, 4/15/27 | 345 | 381 | |
Series H 6.500%(7) | 115 | 117 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(3) | 45 | 49 | |
144A 6.500%, 7/1/27(3) | 50 | 56 | |
144A 4.500%, 1/15/29(3) | 30 | 31 | |
144A 4.750%, 1/15/31(3) | 30 | 31 | |
Hilcorp Energy I LP | |||
144A 5.750%, 2/1/29(3) | 100 | 104 | |
144A 6.000%, 2/1/31(3) | 100 | 106 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 360 | 416 | |
Indigo Natural Resources LLC 144A 5.375%, 2/1/29(3) | 120 | 125 | |
KazMunayGas National Co., JSC 144A 4.750%, 4/19/27(3) | 395 | 450 |
Par Value | Value | ||
Energy—continued | |||
Kinder Morgan, Inc. 7.750%, 1/15/32 | $225 | $ 323 | |
Kosmos Energy Ltd. 144A 7.500%, 3/1/28(3)(6) | 200 | 197 | |
Magnolia Oil & Gas Operating LLC 144A 6.000%, 8/1/26(3) | 115 | 119 | |
Mesquite Energy, Inc. 144A 7.250%, 2/15/23(3)(8) | 120 | 2 | |
Northriver Midstream Finance LP 144A 5.625%, 2/15/26(3) | 120 | 124 | |
Oasis Petroleum, Inc. 144A 6.375%, 6/1/26(3) | 10 | 10 | |
Occidental Petroleum Corp. | |||
5.500%, 12/1/25 | 5 | 6 | |
3.500%, 8/15/29 | 55 | 55 | |
6.625%, 9/1/30 | 115 | 138 | |
6.125%, 1/1/31 | 80 | 94 | |
Odebrecht Oil & Gas Finance Ltd. 144A 0.000% (3)(7) | 60 | 1 | |
Parsley Energy LLC 144A 4.125%, 2/15/28(3) | 110 | 116 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 180 | 188 | |
Pertamina Persero PT 144A 6.450%, 5/30/44(3) | 320 | 417 | |
Petrobras Global Finance B.V. | |||
7.375%, 1/17/27 | 120 | 148 | |
5.999%, 1/27/28 | 50 | 57 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(3) | 650 | 28 | |
Petroleos Mexicanos | |||
6.500%, 3/13/27 | 515 | 544 | |
5.950%, 1/28/31 | 305 | 296 | |
6.375%, 1/23/45 | 185 | 159 | |
6.350%, 2/12/48 | 300 | 256 | |
Petronas Capital Ltd. 144A 3.500%, 4/21/30(3) | 220 | 241 | |
Plains All American Pipeline LP 3.800%, 9/15/30 | 270 | 289 | |
Sabine Pass Liquefaction LLC 4.200%, 3/15/28 | 175 | 198 | |
Saudi Arabian Oil Co. 144A 2.250%, 11/24/30(3) | 235 | 231 | |
Targa Resources Partners LP | |||
5.875%, 4/15/26 | 75 | 79 | |
144A 4.875%, 2/1/31(3) | 45 | 49 | |
Transocean, Inc. 144A 11.500%, 1/30/27(3) | 59 | 63 | |
USA Compression Partners LP 6.875%, 4/1/26 | 55 | 58 | |
8,852 | |||
Financials—11.2% | |||
Acrisure LLC 144A 7.000%, 11/15/25(3) | 165 | 168 | |
AerCap Ireland Capital DAC 3.650%, 7/21/27 | 150 | 160 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53 | 280 | 305 | |
Ally Financial, Inc. Series B 4.700% (7) | 251 | 260 |
Par Value | Value | ||
Financials—continued | |||
Ascot Group Ltd. 144A 4.250%, 12/15/30(3) | $285 | $300 | |
Athene Global Funding 144A 2.450%, 8/20/27(3) | 395 | 408 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(3) | 335 | 378 | |
Banco de Credito e Inversiones S.A. 144A 3.500%, 10/12/27(3) | 215 | 231 | |
Banco Internacional del Peru SAA Interbank 144A 4.000%, 7/8/30(3) | 265 | 263 | |
Bank of America Corp. 1.734%, 7/22/27 | 290 | 292 | |
BBVA Bancomer S.A. 144A 5.125%, 1/18/33(3) | 275 | 287 | |
Blue Owl Finance LLC 144A 3.125%, 6/10/31(3) | 345 | 342 | |
Brighthouse Financial, Inc. | |||
3.700%, 6/22/27(6) | 60 | 65 | |
5.625%, 5/15/30 | 210 | 255 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 270 | 290 | |
BroadStreet Partners, Inc. 144A 5.875%, 4/15/29(3) | 115 | 117 | |
Charles Schwab Corp. (The) Series H 4.000% (7) | 285 | 292 | |
Citadel LP 144A 4.875%, 1/15/27(3) | 235 | 254 | |
Citigroup, Inc. 3.980%, 3/20/30 | 495 | 561 | |
Corporate Office Properties LP 2.750%, 4/15/31 | 303 | 305 | |
Discover Bank 4.682%, 8/9/28 | 340 | 361 | |
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(3) | 345 | 357 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 365 | 420 | |
Goldman Sachs Group, Inc. (The) | |||
3.850%, 1/26/27 | 280 | 309 | |
1.992%, 1/27/32 | 115 | 112 | |
Icahn Enterprises LP | |||
6.250%, 5/15/26 | 155 | 164 | |
Series KK 144A 5.250%, 5/15/27(3) | 20 | 21 | |
Intercorp Peru Ltd. 144A 3.875%, 8/15/29(3) | 235 | 227 | |
Itau Unibanco Holding SA 144A 3.875%, 4/15/31(3) | 200 | 198 | |
Jefferies Financial Group, Inc. 5.500%, 10/18/23 | 100 | 108 | |
JPMorgan Chase & Co. | |||
2.956%, 5/13/31 | 485 | 509 | |
1.953%, 2/4/32 | 570 | 554 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(3) | 130 | 130 | |
Liberty Mutual Insurance Co. 144A 8.500%, 5/15/25(3) | 25 | 31 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 2.228%, 4/20/67(4) | 365 | 311 | |
MetLife, Inc. Series G 3.850% (7) | 245 | 258 | |
Midcap Financial Issuer Trust 144A 6.500%, 5/1/28(3) | 200 | 209 |
Par Value | Value | ||
Financials—continued | |||
Morgan Stanley 3.950%, 4/23/27 | $345 | $ 385 | |
Navient Corp. 6.750%, 6/25/25 | 120 | 133 | |
OneMain Finance Corp. 7.125%, 3/15/26 | 110 | 128 | |
Prospect Capital Corp. 3.706%, 1/22/26 | 225 | 231 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 280 | 296 | |
5.625%, 6/15/43 | 115 | 123 | |
Santander Holdings USA, Inc. 4.400%, 7/13/27 | 200 | 225 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 109 | 118 | |
Texas Capital Bancshares, Inc. 4.000%, 5/6/31 | 345 | 358 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | 295 | 327 | |
Wells Fargo & Co. Series BB 3.900% (7) | 440 | 456 | |
Zions Bancorp NA 3.250%, 10/29/29 | 350 | 367 | |
12,959 | |||
Health Care—2.5% | |||
Akumin, Inc. 144A 7.000%, 11/1/25(3) | 125 | 130 | |
Bausch Health Americas, Inc. 144A 9.250%, 4/1/26(3) | 90 | 98 | |
Bausch Health Cos., Inc. 144A 7.000%, 1/15/28(3) | 140 | 144 | |
Centene Corp. 4.625%, 12/15/29 | 100 | 110 | |
Cheplapharm Arzneimittel GmbH 144A 5.500%, 1/15/28(3) | 200 | 205 | |
Community Health Systems, Inc. | |||
144A 6.625%, 2/15/25(3) | 110 | 116 | |
144A 6.875%, 4/15/29(3) | 15 | 16 | |
144A 6.125%, 4/1/30(3) | 25 | 25 | |
144A 4.750%, 2/15/31(3) | 115 | 115 | |
DaVita, Inc. 144A 4.625%, 6/1/30(3) | 120 | 123 | |
Encompass Health Corp. 4.500%, 2/1/28 | 110 | 114 | |
Endo Dac 144A 6.000%, 7/15/23(3) | 100 | 84 | |
Endo Luxembourg Finance Co. I S.a.r.l. 144A 6.125%, 4/1/29(3) | 65 | 64 | |
HCA, Inc. 5.625%, 9/1/28 | 90 | 107 | |
Illumina, Inc. 2.550%, 3/23/31 | 140 | 142 | |
Jaguar Holding Co. II 144A 5.000%, 6/15/28(3) | 90 | 98 | |
Lannett Co., Inc. 144A 7.750%, 4/15/26(3) | 50 | 50 | |
Legacy LifePoint Health LLC | |||
144A 6.750%, 4/15/25(3) | 50 | 53 | |
144A 4.375%, 2/15/27(3) | 85 | 86 | |
Ortho-Clinical Diagnostics, Inc. 144A 7.375%, 6/1/25(3) | 31 | 33 |
Par Value | Value | ||
Health Care—continued | |||
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(3) | $ 75 | $ 77 | |
Prime Healthcare Services, Inc. 144A 7.250%, 11/1/25(3) | 20 | 22 | |
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(3) | 35 | 36 | |
144A 10.000%, 4/15/27(3) | 100 | 110 | |
Team Health Holdings, Inc. 144A 6.375%, 2/1/25(3) | 140 | 133 | |
Tenet Healthcare Corp. | |||
4.625%, 7/15/24 | 70 | 71 | |
144A 7.500%, 4/1/25(3) | 15 | 16 | |
Teva Pharmaceutical Finance Netherlands III B.V. 3.150%, 10/1/26 | 215 | 204 | |
Viatris, Inc. 144A 2.700%, 6/22/30(3) | 285 | 288 | |
2,870 | |||
Industrials—3.2% | |||
Allied Universal Holdco LLC | |||
144A 6.625%, 7/15/26(3) | 195 | 207 | |
144A 6.000%, 6/1/29(3) | 200 | 203 | |
American Airlines Group, Inc. 144A 5.000%, 6/1/22(3) | 70 | 70 | |
American Airlines, Inc. | |||
144A 11.750%, 7/15/25(3) | 235 | 295 | |
144A 5.500%, 4/20/26(3) | 30 | 32 | |
144A 5.750%, 4/20/29(3) | 10 | 11 | |
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(3) | 360 | 377 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(3) | 355 | 373 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(3) | 188 | 204 | |
BCPE Ulysses Intermediate, Inc. PIK 144A 7.750%, 4/1/27(3)(9) | 115 | 118 | |
Boeing Co. (The) | |||
5.150%, 5/1/30 | 175 | 207 | |
3.750%, 2/1/50 | 85 | 88 | |
5.930%, 5/1/60 | 69 | 95 | |
Cleaver-Brooks, Inc. 144A 7.875%, 3/1/23(3) | 115 | 114 | |
CoStar Group, Inc. 144A 2.800%, 7/15/30(3) | 285 | 289 | |
CP Atlas Buyer, Inc. 144A 7.000%, 12/1/28(3) | 135 | 140 | |
Delta Air Lines, Inc. 3.750%, 10/28/29 | 120 | 120 | |
Deluxe Corp. 144A 8.000%, 6/1/29(3) | 60 | 65 | |
LBM Acquisition LLC 144A 6.250%, 1/15/29(3) | 100 | 101 | |
Spirit AeroSystems, Inc. 144A 5.500%, 1/15/25(3) | 110 | 117 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60 | 266 | 283 | |
Titan Acquisition Ltd. 144A 7.750%, 4/15/26(3) | 120 | 124 | |
United Airlines, Inc. | |||
144A 4.375%, 4/15/26(3) | 20 | 21 |
Par Value | Value | ||
Industrials—continued | |||
144A 4.625%, 4/15/29(3) | $ 20 | $ 21 | |
3,675 | |||
Information Technology—3.5% | |||
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(3) | 80 | 84 | |
Broadcom, Inc. | |||
4.150%, 11/15/30 | 280 | 314 | |
144A 2.450%, 2/15/31(3) | 220 | 216 | |
Citrix Systems, Inc. 3.300%, 3/1/30 | 420 | 442 | |
Dell International LLC 8.100%, 7/15/36 | 255 | 389 | |
Elastic N.V. 144A 4.125%, 7/15/29(3) | 15 | 15 | |
HP, Inc. 3.400%, 6/17/30 | 345 | 370 | |
J2 Global, Inc. 144A 4.625%, 10/15/30(3) | 125 | 129 | |
MicroStrategy, Inc. 144A 6.125%, 6/15/28(3)(6) | 10 | 10 | |
Motorola Solutions, Inc. | |||
4.600%, 2/23/28 | 165 | 192 | |
4.600%, 5/23/29 | 120 | 140 | |
NCR Corp. 144A 5.125%, 4/15/29(3) | 135 | 139 | |
Plantronics, Inc. 144A 4.750%, 3/1/29(3) | 115 | 114 | |
Rocket Software, Inc. 144A 6.500%, 2/15/29(3) | 115 | 114 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(3) | 220 | 231 | |
SK Hynix, Inc. 144A 2.375%, 1/19/31(3) | 350 | 341 | |
Veritas US, Inc. 144A 7.500%, 9/1/25(3) | 165 | 172 | |
Viasat, Inc. 144A 5.625%, 9/15/25(3) | 175 | 178 | |
Vontier Corp. 144A 2.950%, 4/1/31(3) | 304 | 305 | |
Xerox Holdings Corp. 144A 5.500%, 8/15/28(3) | 135 | 140 | |
4,035 | |||
Materials—2.9% | |||
ARD Finance S.A. PIK 144A 6.500%, 6/30/27(3)(10) | 235 | 247 | |
Chemours Co. (The) 144A 5.750%, 11/15/28(3) | 110 | 118 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(3) | 170 | 183 | |
CVR Partners LP 144A 6.125%, 6/15/28(3) | 5 | 5 | |
Freeport-McMoRan, Inc. 5.450%, 3/15/43 | 135 | 165 | |
Hecla Mining Co. 7.250%, 2/15/28 | 200 | 219 | |
INEOS Quattro Finance 2 plc 144A 3.375%, 1/15/26(3) | 230 | 233 | |
International Flavors & Fragrances, Inc. 144A 2.300%, 11/1/30(3) | 230 | 229 |
Par Value | Value | ||
Materials—continued | |||
Inversiones CMPC S.A. 144A 3.850%, 1/13/30(3) | $350 | $ 373 | |
Louisiana-Pacific Corp. 144A 3.625%, 3/15/29(3) | 125 | 126 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(3) | 185 | 181 | |
Syngenta Finance N.V. 144A 4.441%, 4/24/23(3) | 400 | 422 | |
Taseko Mines Ltd. 144A 7.000%, 2/15/26(3) | 165 | 172 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 260 | 335 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(3) | 115 | 120 | |
144A 6.625%, 11/1/25(3) | 130 | 133 | |
United States Steel Corp. 6.875%, 3/1/29 | 85 | 91 | |
3,352 | |||
Real Estate—1.7% | |||
American Assets Trust LP 3.375%, 2/1/31 | 395 | 406 | |
EPR Properties 4.750%, 12/15/26 | 130 | 141 | |
GLP Capital LP | |||
5.250%, 6/1/25 | 185 | 208 | |
5.750%, 6/1/28 | 64 | 76 | |
5.300%, 1/15/29 | 95 | 111 | |
iStar, Inc. 4.250%, 8/1/25 | 65 | 67 | |
MPT Operating Partnership LP 4.625%, 8/1/29 | 45 | 48 | |
Office Properties Income Trust 4.500%, 2/1/25 | 385 | 418 | |
Retail Properties of America, Inc. 4.750%, 9/15/30 | 295 | 327 | |
Service Properties Trust 4.950%, 2/15/27 | 195 | 194 | |
1,996 | |||
Utilities—1.9% | |||
CMS Energy Corp. 4.750%, 6/1/50 | 445 | 496 | |
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(3) | 220 | 232 | |
Exelon Corp. 3.497%, 6/1/22 | 255 | 261 | |
Ferrellgas LP | |||
144A 5.375%, 4/1/26(3) | 40 | 40 | |
144A 5.875%, 4/1/29(3) | 40 | 40 | |
National Fuel Gas Co. 2.950%, 3/1/31 | 135 | 136 | |
Perusahaan Listrik Negara 144A 4.125%, 5/15/27(3) | 390 | 423 | |
PG&E Corp. 5.250%, 7/1/30 | 90 | 91 | |
Southern Co. (The) Series A 3.750%, 9/15/51 | 307 | 309 | |
Talen Energy Supply LLC | |||
144A 7.250%, 5/15/27(3) | 55 | 51 |
Par Value | Value | ||
Utilities—continued | |||
144A 6.625%, 1/15/28(3) | $150 | $ 137 | |
2,216 | |||
Total Corporate Bonds and Notes (Identified Cost $48,211) | 49,957 | ||
Leveraged Loans—15.7% | |||
Aerospace—0.6% | |||
Amentum Government Services Holdings LLC Tranche 2, First Lien (3 month LIBOR + 4.750%) 5.500%, 1/29/27(4) | 95 | 95 | |
American Airlines, Inc. (3 month LIBOR + 4.750%) 5.500%, 4/20/28(4) | 25 | 26 | |
Brown Group Holding LLC (3 month LIBOR + 2.750%) 3.250%, 6/7/28(4) | 160 | 159 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27(4) | 165 | 176 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 2.354%, 5/30/25(4) | 98 | 97 | |
Tranche F (1 month LIBOR + 2.250%) 2.354%, 12/9/25(4) | 59 | 59 | |
Tranche G (1 month LIBOR + 2.250%) 2.354%, 8/22/24(4) | 29 | 28 | |
United AirLines, Inc. Tranche B (3 month LIBOR + 3.750%) 4.500%, 4/21/28(4) | 70 | 71 | |
711 | |||
Chemicals—0.7% | |||
Aruba Investments Holdings LLC First Lien (3 month LIBOR + 4.000%) 4.750%, 11/24/27(4) | 95 | 95 | |
CPC Acquisition Corp. First Lien (3 month LIBOR + 3.750%) 4.500%, 12/29/27(4) | 115 | 115 | |
Herens Holdco S.a.r.l. Tranche B (3 month LIBOR + 4.000%) 0.000%, 5/14/28(4)(11) | 160 | 160 | |
Ineos U.S. Finance LLC 2024 (3 month LIBOR + 2.000%) 0.000%, 4/1/24(4)(11) | 174 | 173 | |
Innophos Holdings, Inc. (1 month LIBOR + 3.500%) 3.604%, 2/5/27(4) | 108 | 108 | |
Starfruit Finco B.V. (1 month LIBOR + 1.750%) 2.843%-5.000%, 10/1/25(4) | 159 | 157 | |
808 | |||
Consumer Durables—0.2% | |||
Gloves Buyer, Inc. First Lien (1 month LIBOR + 4.000%) 4.750%, 12/29/27(4) | 115 | 115 | |
Resideo Funding, Inc. Tranche B (1 month LIBOR + 2.250%) 2.750%, 2/11/28(4) | 115 | 114 | |
229 | |||
Consumer Non-Durables—0.8% | |||
American Greetings Corp. (3 month LIBOR + 4.500%) 5.500%, 4/6/24(4) | 65 | 66 | |
Diamond (BC) B.V. (3 month LIBOR + 3.000%) 3.186%, 9/6/24(4) | 232 | 230 |
Par Value | Value | ||
Consumer Non-Durables—continued | |||
Parfums Holding Co., Inc. First Lien (1 month LIBOR + 4.000%) 4.104%, 6/30/24(4) | $233 | $231 | |
Rodan & Fields LLC (1 month LIBOR + 4.000%) 4.073%, 6/16/25(4) | 150 | 119 | |
SRAM LLC (1 month LIBOR + 2.750%) 3.250%, 5/18/28(4) | 59 | 59 | |
ZEP, Inc. First Lien (3 month LIBOR + 4.000%) 5.000%, 8/12/24(4) | 194 | 191 | |
896 | |||
Energy—0.6% | |||
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 6.250%) 7.250%, 3/28/24(4) | 93 | 94 | |
DT Midstream, Inc. (3 month LIBOR + 2.000%) 0.000%, 6/12/28(4)(11) | 60 | 60 | |
Fieldwood Energy LLC First Lien (3 month LIBOR + 4.250%) 7.500%, 4/11/22(4)(12) | 270 | 140 | |
Hamilton Projects Acquiror LLC (3 month LIBOR + 4.750%) 5.750%, 6/17/27(4) | 114 | 113 | |
Medallion Midland Acquisition LLC (1 month LIBOR + 3.250%) 4.250%, 10/30/24(4) | 115 | 114 | |
Paragon Offshore Finance Co. (3 month PRIME + 0.000%) 3.250%, 7/16/21(1)(8) | 1 | — | |
Traverse Midstream Partners LLC (1 month LIBOR + 5.500%) 6.500%, 9/27/24(4) | 130 | 130 | |
651 | |||
Financial—0.6% | |||
Asurion LLC | |||
Tranche B3, Second Lien (1 month LIBOR + 5.250%) 5.354%, 1/31/28(4) | 65 | 66 | |
Tranche B-9 (1 month LIBOR + 3.250%) 3.354%, 7/31/27(4) | 65 | 64 | |
Avolon TLB Borrower 1 US LLC Tranche B-5 (1 month LIBOR + 2.500%) 3.250%, 12/1/27(4) | 95 | 95 | |
Citadel Securities LP 2021 (1 month LIBOR + 2.500%) 2.604%, 2/2/28(4) | 269 | 266 | |
Deerfield Dakota Holding LLC First Lien (1 month LIBOR + 3.750%) 4.750%, 4/9/27(4) | 158 | 159 | |
Zebra Buyer LLC (3 month LIBOR + 3.500%) 0.000%, 4/21/28(4)(11) | 20 | 20 | |
670 | |||
Food / Tobacco—0.5% | |||
Arterra Wines Canada, Inc. Tranche B-1 (3 month LIBOR + 3.500%) 4.250%, 11/24/27(4) | 10 | 10 | |
Chobani LLC (1 month LIBOR + 3.500%) 4.500%, 10/25/27(4) | 60 | 60 | |
Dole Food Co., Inc. Tranche B (1 month LIBOR + 2.750%) 3.750%, 4/6/24(4) | 114 | 114 | |
Froneri US, Inc. Tranche B-2 (1 month LIBOR + 2.250%) 2.354%, 1/29/27 | 59 | 58 |
Par Value | Value | ||
Food / Tobacco—continued | |||
H-Food Holdings LLC (1 month LIBOR + 3.688%) 3.792%, 5/23/25(4) | $ 138 | $137 | |
Shearer’s Foods LLC First Lien (3 month LIBOR + 3.500%) 4.250%, 9/23/27(4) | 125 | 125 | |
Triton Water Holdings, Inc. First Lien (3 month LIBOR + 3.500%) 4.000%, 3/31/28(4) | 125 | 125 | |
629 | |||
Forest Prod / Containers—0.4% | |||
Anchor Glass Container Corp. 2017 (3 month LIBOR + 2.750%) 0.000%, 12/7/23(4)(11) | 50 | 46 | |
BWay Holding Co. (1 month LIBOR + 3.250%) 0.000%, 4/3/24(4)(11) | 45 | 44 | |
Klockner Pentaplast of America, Inc. Tranche B (3 month LIBOR + 4.750%) 5.250%, 2/12/26(4) | 150 | 150 | |
Spectrum Holdings III Corp. First Lien (3 month LIBOR + 3.250%) 4.250%, 1/31/25(4) | 79 | 76 | |
Technimark Holdings LLC First Lien (3 month LIBOR + 3.750%) 0.000%, 6/30/28(4)(11) | 80 | 80 | |
TricorBraun, Inc. | |||
(3 month LIBOR + 3.250%) 3.250%-3.750%, 3/3/28(4) | — (5) | — (5) | |
(6 month LIBOR + 3.250%) 3.750%, 3/3/28(4) | 78 | 78 | |
474 | |||
Gaming / Leisure—1.1% | |||
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 0.000%, 12/23/24(4)(11) | 174 | 173 | |
Carnival Corp. Tranche B (3 month LIBOR + 3.000%) 3.750%, 6/30/25(4) | 40 | 40 | |
CCM Merger, Inc. Tranche B (3 month LIBOR + 3.750%) 4.500%, 11/4/25(4) | 61 | 61 | |
ECL Entertainment LLC Tranche B (1 month LIBOR + 7.500%) 8.250%, 3/31/28(4) | 30 | 31 | |
Everi Payments, Inc. | |||
(3 month LIBOR + 10.500%) 11.500%, 5/9/24(4) | 10 | 10 | |
Tranche B (3 month LIBOR + 2.750%) 3.500%, 5/9/24(4) | 60 | 60 | |
Hilton Grand Vacations Borrower LLC First Lien (3 month LIBOR + 3.250%) 0.000%, 5/19/28(4)(11) | 30 | 30 | |
J&J Ventures Gaming LLC (1 month LIBOR + 4.000%) 4.750%, 4/26/28(4) | 100 | 100 | |
Landry’s Finance Acquisition Co. 2020 (3 month LIBOR + 12.000%) 13.000%, 10/6/23(4) | 10 | 11 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24(4) | 281 | 270 | |
Pug LLC Tranche B (1 month LIBOR + 3.500%) 3.604%, 2/12/27(4) | 187 | 183 | |
Raptor Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 0.000%, 11/1/26(4)(11) | 35 | 35 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 2.854%, 8/14/24(4) | $ 62 | $ 61 | |
Stars Group Holdings B.V. (3 month LIBOR + 3.500%) 3.647%, 7/10/25(4) | 73 | 73 | |
UFC Holdings LLC Tranche B-3 (3 month LIBOR + 3.000%) 3.750%, 4/29/26(4) | 107 | 107 | |
1,245 | |||
Healthcare—3.1% | |||
Accelerated Health Systems LLC (1 month LIBOR + 3.500%) 3.591%, 10/31/25(4) | 172 | 171 | |
AHP Health Partners, Inc. Tranche B-1 (1 month LIBOR + 3.750%) 4.750%, 6/30/25(4) | 184 | 184 | |
Ani Pharmaceuticals, Inc. Tranche B (3 month LIBOR + 6.000%) 0.000%, 5/24/27(4)(11) | 115 | 113 | |
ASP Navigate Acquisition Corp. (3 month LIBOR + 4.500%) 5.500%, 10/6/27(4) | 70 | 70 | |
AthenaHealth, Inc. Tranche B-1 (3 month LIBOR + 4.250%) 4.410%, 2/11/26(4) | 50 | 50 | |
Azalea TopCo, Inc. 2021 (3 month LIBOR + 3.750%) 4.500%, 7/24/26(4) | 240 | 240 | |
CHG Healthcare Services, Inc. (3 month LIBOR + 3.000%) 4.000%, 6/7/23(4) | 52 | 52 | |
CPI Holdco, LLC Tranche B-1, First Lien (1 month LIBOR + 3.750%) 3.854%, 11/4/26(4) | 10 | 10 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 3.854%, 10/10/25(4) | 104 | 88 | |
eResearch Technology, Inc. First Lien (1 month LIBOR + 4.500%) 5.500%, 2/4/27(4) | 15 | 15 | |
Gainwell Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 4.750%, 10/1/27(4) | 169 | 169 | |
Heartland Dental LLC 2021 (1 month LIBOR + 4.000%) 4.073%, 4/30/25(4) | 160 | 160 | |
Insulet Corp. Tranche B (1 month LIBOR + 3.250%) 3.750%, 4/28/28(4) | 40 | 40 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 3.854%, 11/17/25(4) | 170 | 170 | |
National Mentor Holdings, Inc. | |||
First Lien (3 month LIBOR + 3.750%) 4.500%, 3/2/28(4) | 88 | 88 | |
Tranche C, First Lien (3 month LIBOR + 3.750%) 4.500%, 3/2/28(4) | 3 | 3 | |
One Call Corp. Tranche B, First Lien (3 month LIBOR + 5.500%) 6.250%, 4/22/27(4) | 200 | 202 | |
Packaging Coordinators Midco, Inc. Tranche B, First Lien (3 month LIBOR + 3.500%) 4.250%, 11/30/27(4) | 120 | 120 | |
Parexel International Corp. (3 month LIBOR + 2.750%) 0.000%, 9/27/24(4)(11) | 175 | 174 |
Par Value | Value | ||
Healthcare—continued | |||
Pearl Intermediate Parent LLC First Lien (1 month LIBOR + 2.750%) 2.854%, 2/14/25(4) | $179 | $ 177 | |
PetVet Care Centers LLC 2021, First Lien (1 month LIBOR + 3.500%) 4.250%, 2/14/25(4) | 69 | 70 | |
Phoenix Guarantor, Inc. | |||
Tranche B-1 (1 month LIBOR + 3.250%) 3.341%, 3/5/26(4) | 187 | 186 | |
Tranche B3 (1 month LIBOR + 3.500%) 3.573%, 3/5/26(4) | 65 | 64 | |
Pluto Acquisition I, Inc. 2021, First Lien (3 month LIBOR + 4.500%) 0.000%, 6/20/26(4)(11) | 95 | 95 | |
Precision Medicine Group LLC (3 month LIBOR + 3.000%) 3.750%, 11/18/27(4) | 158 | 157 | |
Southern Veterinary Partners LLC First Lien (3 month LIBOR + 4.000%) 5.000%, 10/5/27(4) | 139 | 139 | |
Sterigenics-Nordion Holdings LLC (3 month LIBOR + 2.750%) 3.250%, 12/11/26(4) | 65 | 65 | |
Sunshine Luxembourg VII S.a.r.l. Tranche B3 (3 month LIBOR + 3.750%) 4.500%, 10/1/26(4) | 60 | 60 | |
Surgery Center Holdings, Inc. 2021 (1 month LIBOR + 3.750%) 4.500%, 8/31/26(4) | 110 | 110 | |
Viant Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 3.854%, 7/2/25(4) | 262 | 254 | |
Waystar Technologies, Inc. 2021 (1 month LIBOR + 4.000%) 4.104%, 10/22/26(4) | 123 | 124 | |
3,620 | |||
Housing—0.2% | |||
84 Lumber Co. Tranche B-1 (1 month LIBOR + 3.000%) 3.750%, 11/13/26(4) | 115 | 114 | |
Quikrete Holdings, Inc. Tranche B1 (3 month LIBOR + 3.000%) 0.000%, 6/11/28(4)(11) | 165 | 164 | |
278 | |||
Information Technology—2.1% | |||
Acuris Finance US, Inc. (3 month LIBOR + 4.000%) 4.500%, 2/16/28(4) | 20 | 20 | |
Applied Systems, Inc. Second Lien (3 month LIBOR + 5.500%) 6.250%, 9/19/25(4) | 129 | 130 | |
Aston Finco S.a.r.l. First Lien (1 month LIBOR + 4.250%) 4.343%, 10/9/26(4) | 114 | 113 | |
Barracuda Networks, Inc. First Lien (3 month LIBOR + 3.750%) 3.896%, 2/12/25(4) | 119 | 119 | |
Boxer Parent Co., Inc. 2021 (1 month LIBOR + 3.750%) 3.854%, 10/2/25(4) | 162 | 161 | |
Epicor Software Corp. Tranche C (1 month LIBOR + 3.250%) 4.000%, 7/30/27(4) | 229 | 228 |
Par Value | Value | ||
Information Technology—continued | |||
Greeneden US Holdings II LLC Tranche B-4 (1 month LIBOR + 4.000%) 4.750%, 12/1/27(4) | $105 | $ 105 | |
Hyland Software, Inc. 2018 (1 month LIBOR + 3.500%) 4.250%, 7/1/24(4) | 179 | 179 | |
Infinite Bidco LLC | |||
First Lien (1 month LIBOR + 3.750%) 4.250%, 3/2/28(4) | 125 | 125 | |
Second Lien (1 month LIBOR + 7.000%) 7.500%, 2/24/29(4) | 65 | 65 | |
Ion Trading Finance Ltd. (3 month LIBOR + 4.750%) 4.917%, 4/1/28(4) | 25 | 25 | |
Masergy Holdings, Inc. 2017, First Lien (3 month LIBOR + 3.250%) 4.250%, 12/15/23(4) | 164 | 164 | |
Project Ruby Ultimate Parent Corp. First Lien (1 month LIBOR + 3.250%) 4.000%, 3/10/28(4) | 150 | 149 | |
Proofpoint, Inc. (3 month LIBOR + 3.250%) 0.000%, 6/9/28(4)(11) | 65 | 65 | |
RealPage, Inc. First Lien (3 month LIBOR + 3.250%) 3.750%, 4/24/28(4) | 100 | 100 | |
Rocket Software, Inc. 2021 (3 month LIBOR + 4.250%) 0.000%, 11/28/25(4)(11) | 75 | 74 | |
Sophia LP (3 month LIBOR + 3.750%) 3.897%, 10/7/27(4) | 139 | 139 | |
Turing Midco LLC (1 month LIBOR + 3.250%) 3.750%, 3/24/28(4) | 115 | 115 | |
UKG, Inc. 2021 (3 month LIBOR + 3.250%) 4.000%, 5/4/26(4) | 203 | 204 | |
Ultimate Software Group, Inc. (The) Second Lien (3 month LIBOR + 6.750%) 7.500%, 5/3/27(4) | 5 | 5 | |
Ultra Clean Holdings, Inc. Tranche B (1 month LIBOR + 3.750%) 3.843%, 8/27/25(4) | 52 | 52 | |
Vertiv Group Corp. Tranche B (1 month LIBOR + 2.750%) 2.836%, 3/2/27 | 104 | 103 | |
Virtusa Corp. (1 month LIBOR + 4.250%) 5.000%, 2/11/28(4) | 20 | 20 | |
2,460 | |||
Manufacturing—1.0% | |||
Alliance Laundry Systems LLC Tranche B (3 month LIBOR + 3.500%) 4.250%, 10/8/27(4) | 168 | 168 | |
Arcline FM Holdings LLC | |||
First Lien (3 month LIBOR + 4.750%) 5.500%, 6/23/28(4) | 70 | 70 | |
Second Lien (3 month LIBOR + 8.250%) 9.000%, 6/15/29(4) | 45 | 45 | |
Backyard Acquireco, Inc. (3 month LIBOR + 3.750%) 4.500%, 11/2/27(4) | 154 | 155 | |
Circor international, Inc. (1 month LIBOR + 3.250%) 4.250%, 12/11/24(4) | 115 | 114 | |
Filtration Group Corp. | |||
(1 month LIBOR + 3.000%) 3.104%, 3/31/25(4) | 161 | 159 | |
Tranche A (1 month LIBOR + 3.750%) 4.500%, 3/29/25(4) | 74 | 74 | |
Gates Global LLC Tranche B-3 (1 month LIBOR + 2.750%) 3.500%, 3/31/27(4) | 134 | 134 |
Par Value | Value | ||
Manufacturing—continued | |||
Star US Bidco LLC (1 month LIBOR + 4.250%) 5.250%, 3/17/27(4) | $144 | $ 143 | |
Truck Hero, Inc. (1 month LIBOR + 3.750%) 4.500%, 1/29/28(4) | 55 | 55 | |
US Farathane LLC Tranche B5 (3 month LIBOR + 4.250%) 5.250%, 12/23/24(4) | 73 | 73 | |
1,190 | |||
Media / Telecom - Broadcasting—0.1% | |||
Diamond Sports Group LLC (1 month LIBOR + 3.250%) 3.360%, 8/24/26(4) | 88 | 53 | |
Media / Telecom - Cable/Wireless Video—0.1% | |||
Intelsat Jackson Holdings S.A. Tranche B-5 8.625%, 1/2/24(12) | 79 | 80 | |
Radiate Holdco LLC Tranche B (1 month LIBOR + 3.500%) 4.250%, 9/25/26(4) | 22 | 22 | |
102 | |||
Media / Telecom - Diversified Media—0.2% | |||
UPC Financing Partnership Tranche AX (1 month LIBOR + 3.000%) 3.073%, 1/31/29(4) | 140 | 139 | |
William Morris Endeavor Entertainment LLC Tranche B-1 (1 month LIBOR + 2.750%) 2.860%, 5/18/25(4) | 115 | 112 | |
251 | |||
Media / Telecom - Telecommunications—0.1% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.354%, 3/15/27(4) | 79 | 78 | |
Consolidated Communications, Inc. Tranche B-1 (1 month LIBOR + 3.500%) 4.250%, 10/2/27(4) | 53 | 53 | |
131 | |||
Retail—0.7% | |||
CNT Holdings I Corp. First Lien (3 month LIBOR + 3.750%) 4.500%, 11/8/27(4) | 130 | 130 | |
Great Outdoors Group LLC Tranche B-1 (6 month LIBOR + 4.250%) 5.000%, 3/6/28(4) | 114 | 115 | |
Harbor Freight Tools USA, Inc. 2020 (1 month LIBOR + 3.000%) 3.750%, 10/19/27(4) | 169 | 169 | |
Michaels Cos., Inc. (The) Tranche B (3 month LIBOR + 4.250%) 5.000%, 4/15/28(4) | 115 | 115 | |
Petco Health and Wellness Co., Inc. First Lien (3 month LIBOR + 3.250%) 4.000%, 3/3/28(4) | 90 | 90 | |
PetsMart LLC (3 month LIBOR + 3.750%) 4.500%, 2/11/28(4) | 125 | 125 | |
Rising Tide Holdings, Inc. First Lien (3 month LIBOR + 4.750%) 0.000%, 6/1/28(4)(11) | 60 | 60 | |
804 | |||
Par Value | Value | ||
Service—2.1% | |||
AIT Worldwide Logistics, Inc. First Lien (3 month LIBOR + 4.750%) 5.500%, 3/31/28(4) | $ 60 | $ 60 | |
Allied Universal Holdco LLC (3 month LIBOR + 3.750%) 4.250%, 5/12/28(4) | 30 | 30 | |
Carlisle Foodservice Products, Inc. First Lien (6 month LIBOR + 3.000%) 4.000%, 3/20/25(4) | 120 | 117 | |
DG Investment Intermediate Holdings 2, Inc. | |||
First Lien (1 month LIBOR + 3.750%) 4.500%, 3/31/28(4) | 70 | 71 | |
First Lien (1 month LIBOR + 3.750%) 3.750%-4.5000%, 3/31/28(4) | 11 | 11 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 3.250%) 3.345%, 2/6/26(4) | 202 | 201 | |
DXP Enterprises, Inc. (1 month LIBOR + 4.750%) 5.750%, 12/23/27(4) | 100 | 100 | |
Ensemble RCM LLC (3 month LIBOR + 3.750%) 3.936%, 8/3/26(4) | 30 | 30 | |
Grab Holdings, Inc. (3 month LIBOR + 4.500%) 5.500%, 1/29/26(4) | 204 | 207 | |
Hertz Corp. (The) | |||
Tranche B (3 month LIBOR + 3.500%) 0.000%, 6/30/28(4)(11) | 49 | 49 | |
Tranche C (3 month LIBOR + 3.500%) 0.000%, 6/30/28(4)(11) | 9 | 9 | |
Hoya Midco LLC First Lien (1 month LIBOR + 3.500%) 4.500%, 6/30/24(4) | 128 | 127 | |
NAB Holdings LLC 2018 (3 month LIBOR + 3.000%) 4.000%, 7/1/24(4) | 114 | 114 | |
Paysafe Holdings US Corp. Tranche B1 (3 month LIBOR + 2.750%) 0.000%, 6/28/28(4)(11) | 140 | 139 | |
Peraton Corp. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.500%, 2/1/28(4) | 137 | 137 | |
Pike Corp. 2028 (1 month LIBOR + 3.000%) 3.110%, 1/21/28(4) | 224 | 224 | |
PODS LLC (3 month LIBOR + 3.000%) 3.750%, 3/31/28(4) | 195 | 194 | |
Sedgwick Claims Management Services, Inc. 2019 (1 month LIBOR + 3.750%) 3.854%, 9/3/26(4) | 206 | 206 | |
St. George’s University Scholastic Services LLC Tranche B (3 month LIBOR + 3.250%) 0.000%, 6/29/28(4)(11) | 144 | 143 | |
TTF Holdings LLC (3 month LIBOR + 4.250%) 5.000%, 3/31/28(4) | 55 | 55 | |
Weld North Education LLC 2020 (1 month LIBOR + 4.000%) 4.750%, 12/15/27(4) | 159 | 159 | |
2,383 | |||
Transportation - Automotive—0.3% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23(4) | 226 | 221 | |
Mavis Tire Express Services Topco Corp. First Lien (3 month LIBOR + 4.000%) 4.750%, 5/4/28(4) | 85 | 85 |
Par Value | Value | ||
Transportation - Automotive—continued | |||
PAI Holdco, Inc. Tranche B (3 month LIBOR + 3.750%) 4.500%, 10/28/27(4) | $ 40 | $ 40 | |
346 | |||
Utility—0.2% | |||
Brookfield WEC Holdings, Inc. (1 month LIBOR + 2.750%) 3.250%, 8/1/25(4) | 224 | 222 | |
PG&E Corp. Tranche B (3 month LIBOR + 3.000%) 3.500%, 6/23/25(4) | 45 | 44 | |
266 | |||
Total Leveraged Loans (Identified Cost $18,264) | 18,197 | ||
Shares | ||
Preferred Stocks—1.7% | ||
Financials—1.4% | ||
Bank of New York Mellon Corp. (The) Series E, 3.554% | 290 (13) | 292 |
Capital Farm Credit ACA Series 1 144A, 5.000%(3) | 250 (13) | 259 |
Discover Financial Services Series D, 6.125% | 110 (13) | 124 |
JPMorgan Chase & Co. Series HH, 4.600% | 103 (13) | 107 |
KeyCorp Series D, 5.000% | 300 (13) | 334 |
MetLife, Inc. Series D, 5.875% | 173 (13) | 200 |
Truist Financial Corp. Series Q, 5.100% | 270 (13) | 303 |
1,619 | ||
Industrials—0.3% | ||
General Electric Co. Series D, 3.449%(4)(6) | 332 (13) | 325 |
Total Preferred Stocks (Identified Cost $1,794) | 1,944 | |
Common Stocks—0.0% | ||
Consumer Discretionary—0.0% | ||
Mark IV Industries(8)(14) | 828 | 3 |
Energy—0.0% | ||
Frontera Energy Corp.(14) | 2,618 | 16 |
Financials—0.0% | ||
Neiman Marcus Group, Inc.(14) | 271 | 33 |
Total Common Stocks (Identified Cost $68) | 52 | |
Exchange-Traded Funds—1.6% | ||
Invesco Senior Loan ETF(15) | 39,087 | 866 |
VanEck Vectors High Yield Muni ETF(15) | 14,700 | 935 |
Total Exchange-Traded Funds (Identified Cost $1,786) | 1,801 | |
Shares | Value | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(8)(14) | 7,753 | $ 9 | |
Total Rights (Identified Cost $6) | 9 | ||
Total Long-Term Investments—99.0% (Identified Cost $113,049) | 114,641 | ||
Short-Term Investment—0.9% | |||
Money Market Mutual Fund—0.9% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(15) | 1,031,372 | 1,031 | |
Total Short-Term Investment (Identified Cost $1,031) | 1,031 | ||
Securities Lending Collateral—0.5% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(15)(16) | 650,018 | 650 | |
Total Securities Lending Collateral (Identified Cost $650) | 650 | ||
TOTAL INVESTMENTS—100.4% (Identified Cost $114,730) | $116,322 | ||
Other assets and liabilities, net—(0.4)% | (502) | ||
NET ASSETS—100.0% | $115,820 |
Abbreviations: | |
ACA | American Capital Access Financial Guarantee Corp. |
BAM | Build America Municipal Insured |
CBO | Collateralized Bond Obligation |
ETF | Exchange-Traded Fund |
JSC | Joint Stock Company |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
NA | National Association |
PIK | Payment-in-Kind Security |
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 June 30, 2021, these securities amounted to a value of $60,038 or 51.8% of net assets. |
(4) | Variable rate security. Rate disclosed is as of June 30, 2021. 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) | Amount is less than $500. |
(6) | All or a portion of security is on loan. |
(7) | No contractual maturity date. |
(8) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(9) | First pay date will be in October 2021. |
(10) | 100% of the income received was in cash. |
(11) | This loan will settle after June 30, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(12) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(13) | Value shown as par value. |
(14) | Non-income producing. |
(15) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(16) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | |
United States | 77% |
Canada | 4 |
Indonesia | 3 |
Mexico | 2 |
Netherlands | 2 |
Kazakhstan | 1 |
Cayman Islands | 1 |
Other | 10 |
Total | 100% |
† % of total investments as of June 30, 2021. |
Borrower | Par Value | Commitment | Value | Unrealized Appreciation (Depreciation) | ||||
DG Investment Intermediate Holdings 2, Inc., First Lien (1 month LIBOR + 3.750%) 4.320%, 3/31/28 | $ 4 | $ 4 | $ 4 | $ —(1) | ||||
National Mentor Holdings, Inc., (3 month LIBOR + 3.750%) 3.750%, 3/02/28 | 4 | 4 | 4 | — (1) | ||||
Precision Medicine Group LLC, (3 month LIBOR + 3.750%) 3.750%, 11/18/27 | 16 | 16 | 16 | — (1) | ||||
Southern Veterinary Partners LLC, (3 month LIBOR + 2.000%) 2.000%, 10/01/27 | 19 | 19 | 19 | — (1) | ||||
TricorBraun, Inc., (3 month LIBOR + 3.250%) 3.250%, 3/03/28 | 17 | 17 | 17 | — (1) | ||||
Total | $60 | $60 | $60 | $— (1) |
(1) | Amount is less than $500. |
Total Value at June 30, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $ 14,026 | $ — | $ 14,026 | $— | |||
Corporate Bonds and Notes | 49,957 | — | 49,955 | 2 | |||
Foreign Government Securities | 6,895 | — | 6,895 | — | |||
Leveraged Loans | 18,197 | — | 18,197 | — (1) | |||
Mortgage-Backed Securities | 17,590 | — | 17,590 | — | |||
Municipal Bonds | 684 | — | 684 | — | |||
U.S. Government Securities | 3,486 | — | 3,486 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 1,944 | — | 1,944 | — | |||
Common Stocks | 52 | 16 | 33 | 3 | |||
Rights | 9 | — | — | 9 | |||
Securities Lending Collateral | 650 | 650 | — | — | |||
Exchange-Traded Funds | 1,801 | 1,801 | — | — | |||
Money Market Mutual Fund | 1,031 | 1,031 | — | — | |||
Total Investments | $116,322 | $3,498 | $112,810 | $14 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Shares | Value | ||
Common Stocks—99.5% | |||
Communication Services—3.4% | |||
Tencent Holdings Ltd. (China) | 75,244 | $ 5,660 | |
Consumer Discretionary—11.1% | |||
adidas AG (Germany) | 15,962 | 5,941 | |
Alibaba Group Holding Ltd. Sponsored ADR (China)(1) | 24,314 | 5,514 | |
MercadoLibre, Inc. (Argentina)(1) | 2,501 | 3,896 | |
New Oriental Education & Technology Group, Inc. Sponsored ADR (China)(1) | 394,202 | 3,229 | |
18,580 | |||
Consumer Staples—21.6% | |||
CP ALL PCL (Thailand) | 2,135,091 | 3,997 | |
Diageo plc (United Kingdom) | 103,127 | 4,937 | |
Fomento Economico Mexicano SAB de C.V. Sponsored ADR (Mexico) | 63,436 | 5,361 | |
Heineken NV (Netherlands) | 57,455 | 6,963 | |
L’Oreal SA (France) | 13,020 | 5,802 | |
Nestle S.A Registered Shares (Switzerland) | 32,942 | 4,102 | |
Wal-Mart de Mexico SAB de C.V. (Mexico) | 1,565,197 | 5,112 | |
36,274 | |||
Financials—14.5% | |||
AIA Group Ltd. (Hong Kong) | 698,601 | 8,683 | |
Aon plc Class A (United Kingdom) | 31,916 | 7,620 | |
HDFC Bank Ltd. ADR (India)(1) | 109,052 | 7,974 | |
24,277 | |||
Health Care—21.1% | |||
Alcon, Inc. (Switzerland) | 77,814 | 5,467 | |
Medtronic plc (Ireland) | 34,128 | 4,236 | |
Novo Nordisk A/S Sponsored ADR (Denmark) | 72,649 | 6,086 | |
Sartorius AG (Germany) | 5,971 | 3,108 | |
Shandong Weigao Group Medical Polymer Co. Ltd. Class H (China) | 2,559,581 | 5,973 | |
STERIS plc (United States) | 34,948 | 7,210 | |
Sysmex Corp. (Japan) | 28,275 | 3,360 | |
35,440 | |||
Industrials—5.8% | |||
IHS Markit Ltd. (United Kingdom) | 41,071 | 4,627 | |
Recruit Holdings Co., Ltd. (Japan) | 104,563 | 5,148 | |
9,775 | |||
Information Technology—16.0% | |||
Adyen NV (Netherlands) | 1,611 | 3,936 | |
Dassault Systemes SE (France) | 25,873 | 6,274 | |
Infosys Ltd. Sponsored ADR (India) | 278,198 | 5,895 | |
SAP SE Sponsored ADR (Germany) | 36,324 | 5,102 |
Shares | Value | ||
Information Technology—continued | |||
Temenos AG Registered Shares (Switzerland) | 35,129 | $ 5,642 | |
26,849 | |||
Materials—6.0% | |||
Asian Paints Ltd. (India) | 82,862 | 3,336 | |
Linde plc (United Kingdom) | 23,113 | 6,682 | |
10,018 | |||
Total Common Stocks (Identified Cost $126,322) | 166,873 | ||
Total Long-Term Investments—99.5% (Identified Cost $126,322) | 166,873 | ||
Short-Term Investment—0.6% | |||
Money Market Mutual Fund—0.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(2) | 964,824 | 965 | |
Total Short-Term Investment (Identified Cost $965) | 965 | ||
TOTAL INVESTMENTS—100.1% (Identified Cost $127,287) | $167,838 | ||
Other assets and liabilities, net—(0.1)% | (206) | ||
NET ASSETS—100.0% | $167,632 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United Kingdom | 14% |
China | 12 |
India | 11 |
Germany | 9 |
Switzerland | 9 |
France | 8 |
Mexico | 6 |
Other | 31 |
Total | 100% |
† % of total investments as of June 30, 2021. |
Total Value at June 30, 2021 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $166,873 | $166,873 | |
Money Market Mutual Fund | 965 | 965 | |
Total Investments | $167,838 | $167,838 |
Par Value | Value | ||
U.S. Government Securities—3.9% | |||
U.S. Treasury Bonds | |||
2.500%, 2/15/46 | $1,484 | $ 1,608 | |
3.000%, 8/15/48 | 560 | 669 | |
1.250%, 5/15/50 | 145 | 118 | |
1.375%, 8/15/50 | 595 | 502 | |
1.875%, 2/15/51 | 520 | 496 | |
U.S. Treasury Notes | |||
0.125%, 5/31/22 | 110 | 110 | |
2.875%, 8/15/28 | 80 | 89 | |
0.625%, 5/15/30 | 320 | 299 | |
1.125%, 2/15/31(1) | 260 | 252 | |
Total U.S. Government Securities (Identified Cost $3,818) | 4,143 | ||
Municipal Bonds—1.1% | |||
California—0.5% | |||
San Diego County Regional Airport Authority Rental Car Center Project Series B - Taxable 5.594%, 7/1/43 | 275 | 307 | |
Santa Clara Valley Water District Series B, Taxable 2.967%, 6/1/50 | 65 | 66 | |
University of California, Series B-A, Taxable 4.428%, 5/15/48 | 75 | 83 | |
456 | |||
Idaho—0.1% | |||
Idaho Health Facilities Authority Saint Luke’s Health System Revenue Taxable 5.020%, 3/1/48 | 90 | 114 | |
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 10 | 11 | |
Texas—0.2% | |||
City of San Antonio, General Obligation Taxable 1.963%, 2/1/33 | 70 | 70 | |
State of Texas, General Obligation Taxable 3.211%, 4/1/44 | 25 | 26 | |
Texas Public Finance Authority Revenue Taxable 2.140%, 2/1/35 | 55 | 54 | |
Texas Transportation Commission State Highway Fund Revenue Taxable 4.000%, 10/1/33 | 25 | 31 | |
181 | |||
Virginia—0.3% | |||
City of Bristol, General Obligation Taxable (State AID Withholding Insured) 4.210%, 1/1/42 | 135 | 144 | |
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 190 | 200 | |
344 | |||
Total Municipal Bonds (Identified Cost $1,020) | 1,106 | ||
Par Value | Value | ||
Foreign Government Securities—0.1% | |||
Bolivarian Republic of Venezuela 9.375%, 1/13/34(2) | $ 65 | $ 6 | |
United Mexican States 4.750%, 3/8/44 | 54 | 60 | |
Total Foreign Government Securities (Identified Cost $105) | 66 | ||
Mortgage-Backed Securities—6.4% | |||
Agency—0.5% | |||
Federal National Mortgage Association | |||
Pool #254007 6.500%, 10/1/31 | 1 | 1 | |
Pool #656288 6.000%, 9/1/32 | 2 | 2 | |
Pool #835144 5.000%, 10/1/35 | 12 | 14 | |
Pool #882224 6.000%, 9/1/36 | 1 | 1 | |
Pool #914724 5.500%, 4/1/37 | 2 | 3 | |
Pool #940524 5.500%, 7/1/37 | 10 | 11 | |
Pool #949301 6.000%, 10/1/37 | 2 | 2 | |
Pool #975097 5.000%, 6/1/38 | 10 | 11 | |
Pool #929637 5.500%, 6/1/38 | 2 | 2 | |
Pool #986012 5.500%, 6/1/38 | 2 | 2 | |
Pool #994383 5.500%, 11/1/38 | 5 | 6 | |
Pool #991124 5.000%, 1/1/39 | 2 | 3 | |
Pool #994322 6.000%, 1/1/39 | 3 | 4 | |
Pool #AA4418 4.500%, 3/1/39 | 5 | 5 | |
Pool #AA4434 5.000%, 3/1/39 | 4 | 5 | |
Pool #AA4436 6.000%, 3/1/39 | 4 | 4 | |
Pool #CA4128 3.000%, 9/1/49 | 53 | 55 | |
Pool #MA3803 3.500%, 10/1/49 | 108 | 114 | |
Pool #CA4978 3.000%, 1/1/50 | 127 | 133 | |
Pool #MA3905 3.000%, 1/1/50 | 110 | 115 | |
Government National Mortgage Association | |||
Pool #368053 6.500%, 11/15/23 | 3 | 3 | |
Pool #351336 6.500%, 12/15/23 | — (3) | — (3) | |
Pool #385198 6.500%, 2/15/24 | 5 | 6 |
Par Value | Value | ||
Agency—continued | |||
Pool #563381 6.500%, 11/15/31 | $ 10 | $ 11 | |
513 | |||
Non-Agency—5.9% | |||
ACRES Commercial Realty Corp. 2020-RSO8, A (1 month LIBOR + 1.150%, Cap N/A, Floor 1.15%) 144A 1.274%, 3/15/35(4)(5) | 18 | 18 | |
Ajax Mortgage Loan Trust 2019-D, A1 144A 2.956%, 9/25/65(4)(5) | 67 | 67 | |
American Homes 4 Rent Trust | |||
2015-SFR1, A 144A 3.467%, 4/17/52(4) | 97 | 103 | |
2015-SFR2, C 144A 4.691%, 10/17/52(4) | 110 | 119 | |
AMSR Trust | |||
2020-SFR1, B 144A 2.120%, 4/17/37(4) | 100 | 101 | |
2020-SFR2, D 144A 3.282%, 7/17/37(4) | 100 | 103 | |
Arroyo Mortgage Trust | |||
2019-1, A1 144A 3.805%, 1/25/49(4)(5) | 47 | 48 | |
2019-2, A1 144A 3.347%, 4/25/49(4)(5) | 48 | 49 | |
Bayview Opportunity Master Fund IVa Trust 2016-SPL1, B1 144A 4.250%, 4/28/55(4) | 100 | 105 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(4)(5) | 100 | 105 | |
BX Trust | |||
2018-GW, B (1 month LIBOR + 1.020%, Cap N/A, Floor 1.020%) 144A 1.093%, 5/15/35(4)(5) | 125 | 125 | |
2019-OC11, D 144A 4.075%, 12/9/41(4)(5) | 80 | 86 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(4) | 95 | 97 | |
Citigroup Commercial Mortgage Trust 2015-GC27, A4 2.878%, 2/10/48 | 79 | 82 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2004-NCM2, 2CB2 6.750%, 8/25/34 | 35 | 38 | |
2014-A, A 144A 4.000%, 1/25/35(4)(5) | 15 | 16 | |
2019-IMC1, A1 144A 2.720%, 7/25/49(4)(5) | 40 | 40 | |
2015-A, A1 144A 3.500%, 6/25/58(4)(5) | 6 | 6 | |
COLT Trust 2020-RPL1, A1 144A 1.390%, 1/25/65(4)(5) | 89 | 89 | |
COMM Mortgage Trust 2020-CBM, B 144A 3.099%, 2/10/37(4) | 70 | 70 | |
CoreVest American Finance Trust 2020-1, A1 144A 1.832%, 3/15/50(4) | 86 | 88 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%, Cap N/A, Floor 0.98%) 144A 1.053%, 5/15/36(4)(5) | 100 | 100 | |
Credit Suisse Mortgage Capital Trust | |||
2013-HYB1, A16 144A 2.924%, 4/25/43(4)(5) | 2 | 3 |
Par Value | Value | ||
Non-Agency—continued | |||
2020-RPL4, A1 144A 2.000%, 1/25/60(4)(5) | $ 80 | $ 82 | |
2021-NQM1, A1 144A 0.809%, 5/25/65(4)(5) | 87 | 87 | |
FirstKey Homes Trust | |||
2021-SFR1, D 144A 2.189%, 8/17/28(4) | 75 | 75 | |
2020-SFR2, B 144A 1.567%, 10/19/37(4) | 115 | 114 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(4)(5) | 15 | 15 | |
2018-2, A41 144A 4.500%, 10/25/58(4)(5) | 5 | 5 | |
2020-H1, A1 144A 2.310%, 1/25/60(4)(5) | 36 | 36 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(4)(5) | 42 | 42 | |
GCAT Trust 2020-NQM1, A1 144A 2.247%, 1/25/60(4)(5) | 52 | 53 | |
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(4) | 100 | 101 | |
GS Mortgage Securities Trust 2020-GC45, AS 3.173%, 2/13/53(5) | 80 | 86 | |
GS Mortgage-Backed Securities Trust 2020-NQM1, A3 144A 2.352%, 9/27/60(4)(5) | 56 | 57 | |
Home Partners of America Trust 2020-2, A 144A 1.532%, 1/17/41(4) | 95 | 95 | |
JP Morgan Chase Mortgage Trust 2005-A5, 1A2 3.223%, 8/25/35(5) | 13 | 14 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(4)(5) | 37 | 38 | |
2016-SH1, M2 144A 3.750%, 4/25/45(4)(5) | 36 | 36 | |
2016-SH2, M2 144A 3.708%, 12/25/45(4)(5) | 37 | 39 | |
2017-5, A1 144A 3.090%, 10/26/48(4)(5) | 89 | 91 | |
JPMorgan Chase WaMu Mortgage Pass-Through Certificates Trust 2003-AR6, A1 2.554%, 6/25/33(5) | 17 | 17 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(4)(5) | 20 | 20 | |
Mello Warehouse Securitization Trust 2021-2, C (1 month LIBOR + 1.100%, Cap N/A, Floor 1.100%) 144A 1.192%, 4/25/55(4)(5) | 25 | 25 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.497%, 4/25/55(4)(5) | 100 | 105 | |
2019-1A, A1A 144A 3.750%, 4/25/58(4)(5) | 53 | 55 | |
Mill City Mortgage Loan Trust 2019-1, M2 144A 3.500%, 10/25/69(4)(5) | 100 | 108 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2015-C22, AS 3.561%, 4/15/48 | 225 | 237 | |
New Residential Mortgage Loan Trust | |||
2016-3A, B1 144A 4.000%, 9/25/56(4)(5) | 96 | 104 |
Par Value | Value | ||
Non-Agency—continued | |||
2016-4A, B1A 144A 4.500%, 11/25/56(4)(5) | $ 83 | $ 91 | |
2021-NQ2R, A1 144A 0.941%, 9/25/58(4)(5) | 92 | 92 | |
2014-1A, A 144A 3.750%, 1/25/54(4)(5) | 32 | 34 | |
2015-2A, A1 144A 3.750%, 8/25/55(4)(5) | 59 | 63 | |
2016-1A, A1 144A 3.750%, 3/25/56(4)(5) | 25 | 27 | |
2016-2A, A1 144A 3.750%, 11/26/35(4)(5) | 75 | 79 | |
2016-3A, A1 144A 3.750%, 9/25/56(4)(5) | 33 | 35 | |
2016-4A, A1 144A 3.750%, 11/25/56(4)(5) | 91 | 97 | |
2020-1A, A1B 144A 3.500%, 10/25/59(4)(5) | 70 | 73 | |
NewRez Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.050%, Cap N/A, Floor 1.050%) 144A 1.142%, 5/25/55(4)(5) | 35 | 35 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%, Cap 11.00%, Floor 1.725%) 1.817%, 3/25/35(5) | 11 | 11 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(4)(5) | 27 | 28 | |
2018-EXP2, 1A1 144A 4.000%, 7/25/58(4)(5) | 27 | 27 | |
Preston Ridge Partners Mortgage LLC | |||
2020-1A, A1 144A 2.981%, 2/25/25(4)(5) | 75 | 75 | |
2020-3, A1 144A 2.857%, 9/25/25(4)(5) | 85 | 85 | |
2020-6, A1 144A 2.363%, 11/25/25(4)(5) | 82 | 83 | |
2021-2, A1 144A 2.115%, 3/25/26(4)(5) | 95 | 95 | |
2021-3, A1 144A 1.867%, 4/25/26(4)(5) | 97 | 97 | |
Progress Residential Trust 2021-SFR3, D 144A 2.288%, 5/17/26(4) | 100 | 100 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(4)(5) | 33 | 33 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(4)(5) | 47 | 48 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(4)(5) | 34 | 35 | |
SG Residential Mortgage Trust | |||
2019-3, A1 144A 2.703%, 9/25/59(4)(5) | 79 | 79 | |
2021-1, A3 144A 1.560%, 7/25/61(4)(5)(6) | 50 | 50 | |
Towd Point Mortgage Trust | |||
2019-4, A2 144A 3.250%, 10/25/59(4)(5) | 100 | 107 | |
2016-3, M1 144A 3.500%, 4/25/56(4)(5) | 145 | 150 | |
2017-4, A2 144A 3.000%, 6/25/57(4)(5) | 100 | 105 | |
2018-6, A2 144A 3.750%, 3/25/58(4)(5) | 110 | 117 |
Par Value | Value | ||
Non-Agency—continued | |||
2020-MH1, A2 144A 2.500%, 2/25/60(4)(5) | $ 100 | $ 102 | |
Towd Point Trust 2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 0.992%, 4/25/48(4)(5) | 68 | 68 | |
Tricon American Homes Trust | |||
2017-SFR1, A 144A 2.716%, 9/17/34(4) | 98 | 98 | |
2019-SFR1, C 144A 3.149%, 3/17/38(4) | 100 | 104 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(4) | 100 | 101 | |
VCAT LLC | |||
2021-NPL2, A1 144A 2.115%, 3/27/51(4)(5) | 91 | 91 | |
2021-NPL3, A1 144A 1.743%, 5/25/51(4)(5) | 99 | 99 | |
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(4)(5) | 87 | 87 | |
Visio Trust 2020-1R, A2 144A 1.567%, 11/25/55(4) | 79 | 79 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 40 | 42 | |
Wells Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(4)(5) | 53 | 54 | |
6,271 | |||
Total Mortgage-Backed Securities (Identified Cost $6,663) | 6,784 | ||
Asset-Backed Securities—2.6% | |||
Automobiles—1.4% | |||
American Credit Acceptance Receivables Trust | |||
2018-4, C 144A 3.970%, 1/13/25(4) | 16 | 16 | |
2019-2, C 144A 3.170%, 6/12/25(4) | 64 | 65 | |
AmeriCredit Automobile Receivables Trust 2020-3, C 1.060%, 8/18/26 | 85 | 86 | |
Capital Auto Receivables Asset Trust 2017-1, C 144A 2.700%, 9/20/22(4) | 61 | 61 | |
Carvana Auto Receivables Trust 2021-N2, C 1.070%, 3/10/28 | 65 | 65 | |
Drive Auto Receivables Trust | |||
2018-4, D 4.090%, 1/15/26 | 105 | 108 | |
2019-4, C 2.510%, 11/17/25 | 85 | 86 | |
Exeter Automobile Receivables Trust | |||
2018-4A, D 144A 4.350%, 9/16/24(4) | 100 | 103 | |
2019-2A, C 144A 3.300%, 3/15/24(4) | 73 | 74 | |
2019-3A, C 144A 2.790%, 5/15/24(4) | 85 | 86 | |
Flagship Credit Auto Trust | |||
2020-3, C 144A 1.730%, 9/15/26(4) | 75 | 76 |
Par Value | Value | ||
Automobiles—continued | |||
2021-1, C 144A 0.910%, 3/15/27(4) | $ 85 | $ 84 | |
GLS Auto Receivables Issuer Trust | |||
2019-2A, B 144A 3.320%, 3/15/24(4) | 100 | 102 | |
2020-1A, B 144A 2.430%, 11/15/24(4) | 115 | 117 | |
GLS Auto Receivables Trust 2018-3A, C 144A 4.180%, 7/15/24(4) | 130 | 134 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(4) | 85 | 87 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(4) | 100 | 102 | |
United Auto Credit Securitization Trust 2021-1, C 144A 0.840%, 6/10/26(4) | 80 | 80 | |
1,532 | |||
Consumer Loans—0.1% | |||
Affirm Asset Securitization Trust 2021-A, A 144A 0.880%, 8/15/25(4) | 100 | 100 | |
Credit Card—0.2% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(4) | 100 | 101 | |
Genesis Private Label Amortizing Trust 2020-1, B 144A 2.830%, 7/20/30(4) | 100 | 100 | |
201 | |||
Other—0.9% | |||
Amur Equipment Finance Receivables VI LLC 2018-2A, A2 144A 3.890%, 7/20/22(4) | 29 | 29 | |
Aqua Finance Trust 2019-A, C 144A 4.010%, 7/16/40(4) | 100 | 105 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(4) | 74 | 78 | |
Bankers Healthcare Group Securitization Trust 2020-A, A 144A 2.560%, 9/17/31(4) | 67 | 68 | |
BXG Receivables Note Trust 2017-A, A 144A 2.950%, 10/4/32(4) | 57 | 58 | |
Dext ABS LLC | |||
2020-1, A 144A 1.460%, 2/16/27(4) | 70 | 70 | |
2020-1, B 144A 1.920%, 11/15/27(4) | 65 | 65 | |
Diamond Resorts Owner Trust 2017-1A, A 144A 3.270%, 10/22/29(4) | 20 | 21 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(4) | 80 | 86 | |
Lendmark Funding Trust 2019-1A, A 144A 3.000%, 12/20/27(4) | 100 | 102 | |
Mariner Finance Issuance Trust 2019-AA, A 144A 2.960%, 7/20/32(4) | 100 | 102 | |
Octane Receivables Trust 2020-1A, A 144A 1.710%, 2/20/25(4) | 64 | 65 | |
Orange Lake Timeshare Trust 2019-A, B 144A 3.360%, 4/9/38(4) | 51 | 53 | |
902 | |||
Par Value | Value | ||
Student Loan—0.0% | |||
Earnest Student Loan Program LLC 2017-A, A2 144A 2.650%, 1/25/41(4) | $ 12 | $ 12 | |
SoFi Professional Loan Program LLC 2016-A, A2 144A 2.760%, 12/26/36(4) | 13 | 13 | |
25 | |||
Total Asset-Backed Securities (Identified Cost $2,713) | 2,760 | ||
Corporate Bonds and Notes—7.8% | |||
Communication Services—0.5% | |||
Diamond Sports Group LLC 144A 5.375%, 8/15/26(4) | 40 | 26 | |
Level 3 Financing, Inc. 144A 4.250%, 7/1/28(4) | 65 | 66 | |
Sprint Spectrum Co. LLC 144A 5.152%, 3/20/28(4) | 200 | 230 | |
Telesat Canada 144A 5.625%, 12/6/26(4) | 30 | 30 | |
T-Mobile USA, Inc. 3.875%, 4/15/30 | 90 | 100 | |
Verizon Communications, Inc. 2.550%, 3/21/31 | 36 | 37 | |
489 | |||
Consumer Discretionary—0.4% | |||
American Builders & Contractors Supply Co., Inc. 144A 4.000%, 1/15/28(4) | 60 | 62 | |
Aramark Services, Inc. 144A 6.375%, 5/1/25(4) | 30 | 32 | |
Ford Motor Co. 9.000%, 4/22/25 | 57 | 70 | |
General Motors Financial Co., Inc. 1.250%, 1/8/26 | 70 | 70 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(4) | 55 | 58 | |
Hilton Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(4) | 15 | 15 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 65 | 68 | |
Marriott International, Inc. Series HH 2.850%, 4/15/31 | 7 | 7 | |
Marriott Ownership Resorts, Inc. 4.750%, 1/15/28 | 45 | 46 | |
428 | |||
Consumer Staples—0.1% | |||
Albertsons Cos., Inc. 144A 3.500%, 3/15/29(4) | 5 | 5 | |
Anheuser-Busch InBev Worldwide, Inc. 4.000%, 4/13/28 | 85 | 97 | |
BAT Capital Corp. 4.906%, 4/2/30 | 55 | 63 | |
165 | |||
Energy—0.6% | |||
Boardwalk Pipelines LP 4.950%, 12/15/24 | 65 | 73 | |
Cheniere Energy, Inc. 144A 4.625%, 10/15/28(4) | 20 | 21 |
Par Value | Value | ||
Energy—continued | |||
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(4) | $ 10 | $ 11 | |
144A 6.500%, 7/1/27(4) | 10 | 11 | |
144A 4.750%, 1/15/31(4) | 10 | 10 | |
Flex Intermediate Holdco LLC 144A 3.363%, 6/30/31(4) | 65 | 66 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 100 | 116 | |
Kinder Morgan, Inc. | |||
4.300%, 6/1/25 | 45 | 50 | |
7.750%, 1/15/32 | 65 | 93 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 50 | 52 | |
Petroleos Mexicanos 6.500%, 3/13/27 | 40 | 42 | |
Sabine Pass Liquefaction LLC 4.200%, 3/15/28 | 60 | 68 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 40 | 42 | |
655 | |||
Financials—3.6% | |||
Allstate Corp. (The) Series B 5.750%, 8/15/53 | 145 | 158 | |
Ally Financial, Inc. Series B 4.700% (7) | 52 | 54 | |
Ares Finance Co. LLC 144A 4.000%, 10/8/24(4) | 140 | 150 | |
Ascot Group Ltd. 144A 4.250%, 12/15/30(4) | 65 | 68 | |
Athene Global Funding 144A 2.450%, 8/20/27(4) | 70 | 72 | |
Bank of America Corp. 2.687%, 4/22/32 | 200 | 206 | |
Bank of New York Mellon Corp. (The) Series G 4.700% (7) | 65 | 71 | |
Blue Owl Finance LLC 144A 3.125%, 6/10/31(4) | 65 | 65 | |
Brighthouse Financial, Inc. | |||
3.700%, 6/22/27(1) | 22 | 24 | |
5.625%, 5/15/30 | 47 | 57 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 65 | 70 | |
Brookfield Finance, Inc. 3.900%, 1/25/28 | 115 | 128 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 130 | 143 | |
Charles Schwab Corp. (The) Series H 4.000% (7) | 70 | 72 | |
Citadel LP 144A 4.875%, 1/15/27(4) | 65 | 70 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 171 | 185 | |
3.980%, 3/20/30 | 165 | 187 | |
Corporate Office Properties LP 2.750%, 4/15/31 | 61 | 61 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 105 | 121 | |
Goldman Sachs Group, Inc. (The) 4.250%, 10/21/25 | 195 | 218 | |
Icahn Enterprises LP 6.250%, 5/15/26 | 85 | 90 |
Par Value | Value | ||
Financials—continued | |||
JPMorgan Chase & Co. 1.953%, 2/4/32 | $ 150 | $ 146 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(4) | 35 | 35 | |
Liberty Mutual Group, Inc. 144A 4.569%, 2/1/29(4) | 116 | 136 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 2.228%, 4/20/67(5) | 85 | 72 | |
MetLife, Inc. Series G 3.850% (7) | 75 | 79 | |
Morgan Stanley | |||
3.125%, 7/27/26 | 125 | 135 | |
6.375%, 7/24/42 | 100 | 153 | |
OneMain Finance Corp. 7.125%, 3/15/26 | 40 | 47 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 100 | 106 | |
5.625%, 6/15/43 | 65 | 70 | |
Santander Holdings USA, Inc. 4.400%, 7/13/27 | 100 | 112 | |
Texas Capital Bancshares, Inc. 4.000%, 5/6/31 | 75 | 78 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | 95 | 105 | |
Wells Fargo & Co. | |||
2.393%, 6/2/28 | 135 | 140 | |
Series BB 3.900%(7) | 105 | 109 | |
3,793 | |||
Health Care—0.3% | |||
Anthem, Inc. 2.875%, 9/15/29 | 65 | 69 | |
Centene Corp. 4.625%, 12/15/29 | 25 | 28 | |
HCA, Inc. 5.250%, 6/15/49 | 50 | 64 | |
Illumina, Inc. 2.550%, 3/23/31 | 32 | 32 | |
Tenet Healthcare Corp. 144A 7.500%, 4/1/25(4) | 5 | 5 | |
Viatris, Inc. 144A 2.700%, 6/22/30(4) | 80 | 81 | |
279 | |||
Industrials—0.3% | |||
Aviation Capital Group LLC 144A 3.875%, 5/1/23(4) | 73 | 77 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(4) | 55 | 60 | |
Boeing Co. (The) | |||
5.150%, 5/1/30 | 40 | 47 | |
5.930%, 5/1/60 | 18 | 25 | |
GFL Environmental, Inc. 144A 3.750%, 8/1/25(4) | 45 | 46 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60 | 54 | 57 | |
TransDigm, Inc. 144A 6.250%, 3/15/26(4) | 35 | 37 | |
349 | |||
Par Value | Value | ||
Information Technology—0.7% | |||
Broadcom, Inc. 144A 2.450%, 2/15/31(4) | $ 98 | $ 96 | |
Citrix Systems, Inc. 3.300%, 3/1/30 | 110 | 116 | |
Elastic N.V. 144A 4.125%, 7/15/29(4) | 10 | 10 | |
Flex Ltd. 3.750%, 2/1/26 | 56 | 61 | |
HP, Inc. 3.400%, 6/17/30 | 90 | 97 | |
Leidos, Inc. 2.300%, 2/15/31 | 80 | 78 | |
Motorola Solutions, Inc. 4.600%, 5/23/29 | 100 | 117 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(4) | 55 | 58 | |
Square, Inc. 144A 3.500%, 6/1/31(4) | 40 | 40 | |
Vontier Corp. 144A 2.950%, 4/1/31(4) | 56 | 56 | |
729 | |||
Materials—0.3% | |||
Celanese US Holdings LLC 3.500%, 5/8/24 | 70 | 75 | |
Freeport-McMoRan, Inc. 5.450%, 3/15/43 | 45 | 55 | |
Glencore Funding LLC 144A 2.850%, 4/27/31(4) | 75 | 76 | |
International Flavors & Fragrances, Inc. 144A 2.300%, 11/1/30(4) | 60 | 60 | |
Louisiana-Pacific Corp. 144A 3.625%, 3/15/29(4) | 30 | 30 | |
296 | |||
Real Estate—0.8% | |||
American Assets Trust LP 3.375%, 2/1/31 | 80 | 82 | |
EPR Properties 4.750%, 12/15/26 | 120 | 130 | |
GLP Capital LP 5.750%, 6/1/28 | 100 | 119 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 35 | 37 | |
4.625%, 8/1/29 | 15 | 16 | |
3.500%, 3/15/31 | 45 | 45 | |
Office Properties Income Trust 4.500%, 2/1/25 | 135 | 147 | |
Retail Opportunity Investments Partnership LP 4.000%, 12/15/24 | 105 | 113 | |
Retail Properties of America, Inc. 4.750%, 9/15/30 | 70 | 78 | |
Service Properties Trust 4.500%, 3/15/25 | 105 | 105 | |
872 | |||
Utilities—0.2% | |||
Exelon Corp. 3.497%, 6/1/22 | 24 | 25 | |
National Fuel Gas Co. 2.950%, 3/1/31 | 20 | 20 |
Par Value | Value | ||
Utilities—continued | |||
Puget Energy, Inc. 144A 2.379%, 6/15/28(4) | $ 39 | $ 39 | |
Southern Co. (The) Series A 3.750%, 9/15/51 | 69 | 69 | |
Talen Energy Supply LLC 144A 6.625%, 1/15/28(4) | 40 | 37 | |
190 | |||
Total Corporate Bonds and Notes (Identified Cost $7,786) | 8,245 | ||
Leveraged Loans—1.5% | |||
Aerospace—0.1% | |||
Brown Group Holding LLC (3 month LIBOR + 2.750%) 0.000%, 6/7/28(5)(8) | 40 | 40 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27(5) | 60 | 64 | |
TransDigm, Inc. Tranche E (1 month LIBOR + 2.250%) 2.354%, 5/30/25(5) | 34 | 33 | |
137 | |||
Chemicals—0.1% | |||
Gemini HDPE LLC 2027 (3 month LIBOR + 3.000%) 3.500%, 12/31/27(5) | 15 | 15 | |
Ineos U.S. Finance LLC 2024 (3 month LIBOR + 2.000%) 2.104%, 4/1/24(5) | 54 | 54 | |
Ineos U.S. Petrochem LLC 2026, Tranche B (1 month LIBOR + 2.750%) 3.250%, 1/29/26(5) | 40 | 40 | |
Trinseo Materials Operating SCA 2021 (1 month LIBOR + 2.500%) 2.604%, 5/3/28(5) | 40 | 39 | |
148 | |||
Consumer Durables—0.0% | |||
Resideo Funding, Inc. Tranche B (1 month LIBOR + 2.250%) 2.750%, 2/11/28(5) | 30 | 30 | |
Energy—0.0% | |||
DT Midstream, Inc. (3 month LIBOR + 2.000%) 0.000%, 6/12/28(5)(8) | 15 | 15 | |
Paragon Offshore Finance Co. (3 month PRIME + 0.000%) 3.250%, 7/16/21(2)(6) | — (3) | — | |
15 | |||
Financial—0.1% | |||
Avolon TLB Borrower 1 US LLC Tranche B-5 (1 month LIBOR + 2.500%) 3.250%, 12/1/27(5) | 30 | 30 | |
Citadel Securities LP 2021 (1 month LIBOR + 2.500%) 2.604%, 2/2/28(5) | 55 | 54 | |
Delos Finance S.a.r.l. 2018 (3 month LIBOR + 1.750%) 1.897%, 10/6/23(5) | 56 | 56 | |
140 | |||
Food / Tobacco—0.1% | |||
Aramark Services, Inc. Tranche B-4 (1 month LIBOR + 1.750%) 1.854%, 1/15/27(5) | 15 | 15 |
Par Value | Value | ||
Food / Tobacco—continued | |||
Hostess Brands LLC 2019, Tranche B (1 month LIBOR + 2.250%) 3.000%, 8/3/25(5) | $ 50 | $ 49 | |
JBS USA Lux S.A. (1 month LIBOR + 2.000%) 2.104%, 5/1/26(5) | 54 | 55 | |
119 | |||
Forest Prod / Containers—0.1% | |||
Berry Global, Inc. Tranche Z (1 month LIBOR + 1.750%) 1.827%, 7/1/26(5) | 49 | 48 | |
Reynolds Group Holdings, Inc. (1 month LIBOR + 2.750%) 2.854%, 2/6/23(5) | 25 | 25 | |
73 | |||
Gaming / Leisure—0.2% | |||
Aristocrat Technologies, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/19/24(5) | 20 | 20 | |
CityCenter Holdings LLC (1 month LIBOR + 2.250%) 3.000%, 4/18/24(5) | 55 | 54 | |
Hilton Grand Vacations Borrower LLC First Lien (3 month LIBOR + 3.250%) 0.000%, 5/19/28(5)(8) | 5 | 5 | |
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 1.842%, 6/22/26(5) | 55 | 55 | |
Playtika Holding Corp. Tranche B-1 (1 month LIBOR + 2.750%) 2.854%, 3/13/28(5) | 40 | 40 | |
Seminole Tribe of Florida (1 month LIBOR + 1.750%) 1.854%, 7/8/24(5) | 52 | 52 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.500%, 2/8/27(5) | 20 | 19 | |
245 | |||
Healthcare—0.2% | |||
Bausch Health Cos., Inc. (1 month LIBOR + 3.000%) 3.104%, 6/2/25(5) | 4 | 4 | |
Elanco Animal Health, Inc. (1 month LIBOR + 1.750%) 1.842%, 8/1/27(5) | 50 | 49 | |
HCA, Inc. (3 month LIBOR + 1.750%) 0.000%, 6/23/28(5)(8) | 5 | 5 | |
ICON Luxembourg S.a.r.l. | |||
Tranche B (3 month LIBOR + 2.500%) 0.000%, 6/16/28(5)(8) | 4 | 4 | |
Tranche B-1 (3 month LIBOR + 2.500%) 0.000%, 6/16/28(5)(8) | 1 | 1 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 1.897%, 6/11/25(5) | 68 | 67 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 3.854%, 11/17/25(5) | 44 | 44 | |
PPD, Inc. (1 month LIBOR + 2.250%) 2.750%, 1/13/28(5) | 5 | 5 | |
179 | |||
Housing—0.1% | |||
Quikrete Holdings, Inc. Tranche B1 (3 month LIBOR + 3.000%) 0.000%, 6/11/28(5)(8) | 35 | 35 |
Par Value | Value | ||
Housing—continued | |||
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 2.093%, 11/21/24(5) | $ 68 | $ 68 | |
103 | |||
Information Technology—0.0% | |||
Tenable Holdings, Inc. Tranche B (3 month LIBOR + 2.750%) 0.000%, 6/28/28(5)(8) | 15 | 15 | |
Manufacturing—0.1% | |||
Ingersoll-Rand Services Co. 2020, Tranche B-1 (1 month LIBOR + 1.750%) 1.854%, 3/1/27(5) | 5 | 5 | |
NCR Corp. (3 month LIBOR + 2.500%) 2.690%, 8/28/26(5) | 44 | 44 | |
49 | |||
Media / Telecom - Broadcasting—0.1% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 2.592%, 9/18/26(5) | 43 | 43 | |
Media / Telecom - Cable/Wireless Video—0.1% | |||
CSC Holdings LLC 2018 (1 month LIBOR + 2.250%) 2.323%, 1/15/26(5) | 63 | 63 | |
Virgin Media Bristol LLC Tranche Q (3 month LIBOR + 3.250%) 3.353%, 1/31/29(5) | 10 | 10 | |
73 | |||
Media / Telecom - Telecommunications—0.0% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.354%, 3/15/27(5) | 20 | 19 | |
Media / Telecom - Wireless Communications—0.0% | |||
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 1.860%, 4/11/25(5) | 39 | 38 | |
Metals / Minerals—0.0% | |||
Atkore International, Inc. (3 month LIBOR + 2.000%) 2.500%, 5/18/28(5) | 10 | 10 | |
Retail—0.0% | |||
PetsMart LLC (3 month LIBOR + 3.750%) 4.500%, 2/11/28(5) | 25 | 25 | |
Service—0.1% | |||
WEX, Inc. Tranche B (1 month LIBOR + 2.250%) 2.354%, 3/31/28(5) | 50 | 50 | |
Transportation - Land Transportation—0.0% | |||
Genesee & Wyoming, Inc. (3 month LIBOR + 2.000%) 2.147%, 12/30/26(5) | 40 | 39 | |
Utility—0.1% | |||
Calpine Corp. 2020 (1 month LIBOR + 2.500%) 2.610%, 12/16/27(5) | 44 | 44 | |
Total Leveraged Loans (Identified Cost $1,594) | 1,594 | ||
Shares | Value | ||
Preferred Stocks—0.2% | |||
Financials—0.1% | |||
MetLife, Inc. Series D, 5.875% | 40 (9) | $ 46 | |
Truist Financial Corp. Series Q, 5.100% | 70 (9) | 79 | |
125 | |||
Industrials—0.1% | |||
General Electric Co. Series D, 3.449%(5) | 90 (9) | 88 | |
Total Preferred Stocks (Identified Cost $200) | 213 | ||
Common Stocks—74.9% | |||
Communication Services—12.3% | |||
Activision Blizzard, Inc. | 8,080 | 771 | |
Adevinta ASA Class B(10) | 30,873 | 592 | |
Ascential plc(10) | 78,297 | 451 | |
Auto Trader Group plc(10) | 73,031 | 640 | |
Autohome, Inc. ADR | 2,985 | 191 | |
CTS Eventim AG & Co. KGaA(10) | 2,551 | 159 | |
Facebook, Inc. Class A(10) | 11,033 | 3,836 | |
Infrastrutture Wireless Italiane SpA | 21,408 | 241 | |
Kanzhun Ltd. ADR(10) | 11,600 | 460 | |
Karnov Group AB Class B | 61,869 | 380 | |
MarkLines Co., Ltd. | 5,900 | 156 | |
Netflix, Inc.(10) | 3,652 | 1,929 | |
New Work SE | 1,423 | 447 | |
Rightmove plc | 74,365 | 668 | |
Tencent Holdings Ltd. ADR | 23,715 | 1,786 | |
Yandex N.V. Class A(10) | 3,948 | 279 | |
12,986 | |||
Consumer Discretionary—15.9% | |||
Airbnb, Inc. Class A(10) | 2,955 | 453 | |
Alibaba Group Holding Ltd. Sponsored ADR(10) | 10,632 | 2,411 | |
Allegro.eu SA(10) | 12,709 | 219 | |
Amazon.com, Inc.(10) | 1,534 | 5,277 | |
Home Depot, Inc. (The) | 2,600 | 829 | |
Las Vegas Sands Corp.(10) | 13,364 | 704 | |
Marriott International, Inc. Class A(10) | 4,991 | 681 | |
Max Stock Ltd. | 61,367 | 232 | |
MercadoLibre, Inc.(10) | 991 | 1,544 | |
Mercari, Inc.(10) | 7,000 | 372 | |
NIKE, Inc. Class B | 11,287 | 1,744 | |
Redbubble Ltd.(10) | 74,541 | 202 | |
Ross Stores, Inc. | 7,332 | 909 | |
Sonans Holding AS(10) | 87,984 | 562 | |
Trip.com Group Ltd. ADR(10) | 10,737 | 381 | |
Union Auction PCL | 384,000 | 120 | |
Vasta Platform Ltd. Class A(10) | 20,501 | 166 | |
16,806 | |||
Consumer Staples—2.9% | |||
Estee Lauder Cos., Inc. (The) Class A | 2,338 | 744 | |
Heineken Malaysia Bhd | 28,800 | 164 | |
McCormick & Co., Inc. | 5,900 | 521 | |
Monster Beverage Corp.(10) | 8,929 | 816 | |
Procter & Gamble Co. (The) | 6,051 | 816 | |
3,061 | |||
Shares | Value | ||
Energy—0.4% | |||
Frontera Energy Corp.(10) | 1,088 | $ 7 | |
Pason Systems, Inc. | 52,809 | 380 | |
387 | |||
Financials—4.9% | |||
Bank of America Corp. | 30,014 | 1,237 | |
Cerved Group SpA(10) | 13,196 | 153 | |
CME Group, Inc. Class A | 2,590 | 551 | |
Gruppo Mutuionline SpA | 8,094 | 386 | |
Kaspi.KZ JSC GDR, 144A(4) | 4,552 | 483 | |
MarketAxess Holdings, Inc. | 2,022 | 937 | |
Mortgage Advice Bureau Holdings Ltd. | 19,798 | 323 | |
Nordnet AB publ | 11,371 | 192 | |
Progressive Corp. (The) | 3,853 | 378 | |
Sabre Insurance Group plc | 61,675 | 218 | |
VNV Global AB(10) | 28,371 | 316 | |
5,174 | |||
Health Care—3.8% | |||
Danaher Corp. | 4,871 | 1,307 | |
Haw Par Corp., Ltd. | 40,900 | 417 | |
HealthEquity, Inc.(10) | 5,565 | 448 | |
Nakanishi, Inc. | 8,500 | 186 | |
Zoetis, Inc. Class A | 8,865 | 1,652 | |
4,010 | |||
Industrials—10.4% | |||
Boa Vista Servicos SA | 101,179 | 227 | |
BTS Group AB Class B | 10,981 | 418 | |
CAE, Inc.(10) | 16,433 | 506 | |
CoStar Group, Inc.(10) | 14,040 | 1,163 | |
CTT Systems AB | 10,553 | 267 | |
Enento Group Oyj | 9,285 | 373 | |
Equifax, Inc. | 2,609 | 625 | |
Fair Isaac Corp.(10) | 1,476 | 742 | |
Fintel plc | 147,018 | 474 | |
Haitian International Holdings Ltd. | 44,000 | 148 | |
HeadHunter Group plc ADR | 18,669 | 791 | |
Kansas City Southern | 2,193 | 621 | |
Knorr-Bremse AG | 1,192 | 137 | |
Marel HF | 53,180 | 370 | |
Meitec Corp. | 4,900 | 265 | |
MTU Aero Engines AG | 821 | 203 | |
Roper Technologies, Inc. | 2,319 | 1,090 | |
Rotork plc | 32,864 | 155 | |
S-1 Corp. | 5,334 | 388 | |
Tegma Gestao Logistica SA | 71,154 | 347 | |
Uber Technologies, Inc.(10) | 24,059 | 1,206 | |
Voltronic Power Technology Corp. | 3,330 | 161 | |
Wolters Kluwer NV | 3,636 | 365 | |
11,042 | |||
Information Technology—23.5% | |||
Accenture plc Class A | 3,337 | 984 | |
Admicom Oyj | 1,213 | 124 | |
Alten SA | 2,855 | 378 | |
Amphenol Corp. Class A | 20,648 | 1,412 | |
Avalara, Inc.(10) | 11,923 | 1,929 | |
Bill.com Holdings, Inc.(10) | 25,470 | 4,666 | |
Bouvet ASA | 42,834 | 305 | |
Brockhaus Capital Management AG(10) | 5,054 | 137 |
Shares | Value | ||
Information Technology—continued | |||
DocuSign, Inc.(10) | 2,357 | $ 659 | |
Duck Creek Technologies, Inc.(10) | 29,135 | 1,268 | |
FDM Group Holdings plc | 14,736 | 208 | |
Fineos Corp., Ltd. CDI(10) | 24,069 | 70 | |
Mintra Holding AS(10) | 269,142 | 187 | |
NVIDIA Corp. | 4,898 | 3,919 | |
Paycom Software, Inc.(10) | 5,731 | 2,083 | |
SimCorp A/S | 1,289 | 162 | |
Snowflake, Inc. Class A(10) | 1,864 | 451 | |
Trade Desk, Inc. (The) Class A(10) | 19,040 | 1,473 | |
Visa, Inc. Class A | 11,986 | 2,803 | |
Webcash Corp. | 3,971 | 126 | |
Webstep AS | 25,854 | 83 | |
Workday, Inc. Class A(10) | 5,901 | 1,409 | |
24,836 | |||
Materials—0.8% | |||
Corp. Moctezuma SAB de C.V. | 63,313 | 192 | |
Ecolab, Inc. | 3,402 | 701 | |
893 | |||
Total Common Stocks (Identified Cost $35,260) | 79,195 | ||
Exchange-Traded Fund—0.1% | |||
VanEck Vectors High Yield Muni ETF(1)(11) | 2,100 | 134 | |
Total Exchange-Traded Fund (Identified Cost $132) | 134 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(6)(10) | 1,084 | 1 | |
Total Rights (Identified Cost $1) | 1 | ||
Warrant—0.0% | |||
Financials—0.0% | |||
VNV Global AB(10) | 12,500 | 23 | |
Total Warrant (Identified Cost $—) | 23 | ||
Total Long-Term Investments—98.6% (Identified Cost $59,292) | 104,264 | ||
Short-Term Investment—1.1% | |||
Money Market Mutual Fund—1.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(11) | 1,123,593 | 1,124 | |
Total Short-Term Investment (Identified Cost $1,124) | 1,124 | ||
Shares | Value | ||
Securities Lending Collateral—0.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(11)(12) | 410,076 | $ 410 | |
Total Securities Lending Collateral (Identified Cost $410) | 410 | ||
TOTAL INVESTMENTS—100.1% (Identified Cost $60,826) | $105,798 | ||
Other assets and liabilities, net—(0.1)% | (121) | ||
NET ASSETS—100.0% | $105,677 |
Abbreviations: | |
ABS | Asset-Backed Securities |
ADR | American Depositary Receipt |
BAM | Build America Municipal Insured |
CDI | CREST Depositary Interest |
ETF | Exchange-Traded Fund |
GDR | Global Depositary Receipt |
GS | Goldman Sachs & Co. |
JSC | Joint Stock Company |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
REIT | Real Estate Investment Trust |
WaMu | Washington Mutual |
Footnote Legend: | |
(1) | All or a portion of security is on loan. |
(2) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(3) | Amount is less than $500. |
(4) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, these securities amounted to a value of $10,689 or 10.1% of net assets. |
(5) | Variable rate security. Rate disclosed is as of June 30, 2021. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(6) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(7) | No contractual maturity date. |
(8) | This loan will settle after June 30, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(9) | Value shown as par value. |
(10) | Non-income producing. |
(11) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(12) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | |
United States | 84% |
China | 4 |
United Kingdom | 3 |
Brazil | 2 |
Norway | 2 |
Italy | 1 |
Canada | 1 |
Other | 3 |
Total | 100% |
† % of total investments as of June 30, 2021. |
Total Value at June 30, 2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $ 2,760 | $ — | $ 2,760 | $— | |||
Corporate Bonds and Notes | 8,245 | — | 8,245 | — | |||
Foreign Government Securities | 66 | — | 66 | — | |||
Leveraged Loans | 1,594 | — | 1,594 | — (1) | |||
Mortgage-Backed Securities | 6,784 | — | 6,734 | 50 | |||
Municipal Bonds | 1,106 | — | 1,106 | — | |||
U.S. Government Securities | 4,143 | — | 4,143 | — | |||
Equity Securities: | |||||||
Common Stocks | 79,195 | 79,195 | — | — | |||
Preferred Stocks | 213 | — | 213 | — | |||
Rights | 1 | — | — | 1 | |||
Warrant | 23 | 23 | — | — | |||
Securities Lending Collateral | 410 | 410 | — | — | |||
Exchange-Traded Fund | 134 | 134 | — | — | |||
Money Market Mutual Fund | 1,124 | 1,124 | — | — | |||
Total Investments | $105,798 | $80,886 | $24,861 | $51 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | KAR Equity Income Series | KAR Small-Cap Growth Series | ||||
Assets | |||||||
Investment in securities at value(1) | $ 93,534 | $ 317,797 | $ 103,003 | $ 130,728 | |||
Foreign currency at value(2) | — | — | — | — (a) | |||
Cash | 143 | 448 | 207 | 2,004 | |||
Receivables | |||||||
Investment securities sold | 546 | — | — | 3 | |||
Series shares sold | 63 | — | — (a) | 16 | |||
Dividends | 278 | 61 | 178 | 30 | |||
Tax reclaims | — | — | 47 | — | |||
Securities lending income | — | — | — | — (a) | |||
Prepaid Trustees’ retainer | 1 | 3 | 1 | 1 | |||
Prepaid expenses | — (a) | 2 | — (a) | 1 | |||
Other assets | 231 | 745 | 255 | 315 | |||
Total assets | 94,796 | 319,056 | 103,691 | 133,098 | |||
Liabilities | |||||||
Payables | |||||||
Series shares repurchased | 397 | 39 | 48 | 86 | |||
Investment securities purchased | 384 | — | — | — | |||
Investment advisory fees | 53 | 158 | 49 | 80 | |||
Distribution and service fees | 18 | 63 | 22 | 25 | |||
Administration and accounting fees | 8 | 26 | 9 | 11 | |||
Transfer agent fees and expenses | — (a) | — (a) | — (a) | — (a) | |||
Professional fees | 16 | 15 | 12 | 15 | |||
Trustee deferred compensation plan | 231 | 745 | 255 | 315 | |||
Interest expense and/or commitment fees | — (a) | — (a) | — (a) | — (a) | |||
Other accrued expenses | 15 | 45 | 16 | 21 | |||
Total liabilities | 1,122 | 1,091 | 411 | 553 | |||
Net Assets | $ 93,674 | $ 317,965 | $ 103,280 | $ 132,545 | |||
Net Assets Consist of: | |||||||
Capital paid in on shares of beneficial interest | $ 59,986 | $ 79,273 | $ 85,497 | $ 51,676 | |||
Accumulated earnings (loss) | 33,688 | 238,692 | 17,783 | 80,869 | |||
Net Assets | $ 93,674 | $ 317,965 | $ 103,280 | $ 132,545 | |||
Net Assets: | |||||||
Class A | $ 88,419 | $ 317,965 | $ 103,280 | $ 122,305 | |||
Class I | $ 5,255 | $ — | $ — | $ 10,240 | |||
Shares of Beneficial Interest Outstanding $1 par value, unlimited authorization: | |||||||
Class A | 4,117,465 | 6,281,746 | 8,193,008 | 3,088,553 | |||
Class I | 244,460 | — | — | 249,598 | |||
Net Asset Value Per Share:(b) | |||||||
Class A | $ 21.47 | $ 50.62 | $ 12.61 | $ 39.60 | |||
Class I | $ 21.50 | $ — | $ — | $ 41.02 | |||
(1) Investment in securities at cost | $ 60,569 | $ 92,068 | $ 86,339 | $ 55,742 | |||
(2) Foreign currency at cost | $ — | $ — | $ — | $ —(a) | |||
(a) | Amount is less than $500. |
(b) | Net Asset Value Per Share is calculated using unrounded net assets. |
KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | SGA International Growth Series | Strategic Allocation Series | ||||
Assets | |||||||
Investment in securities at value(1)(2) | $ 92,657 | $ 116,322 | $ 167,838 | $ 105,798 | |||
Cash | 1,755 | 1,182 | 51 | 483 | |||
Receivables | |||||||
Investment securities sold | — | 504 | — | 29 | |||
Series shares sold | — | 276 | 27 | — | |||
Dividends and interest | 76 | 883 | 79 | 178 | |||
Tax reclaims | — | — | 184 | 11 | |||
Securities lending income | — | 1 | — | — (a) | |||
Prepaid Trustees’ retainer | 1 | 1 | 1 | 1 | |||
Prepaid expenses | — (a) | — (a) | 1 | — (a) | |||
Other assets | 230 | 281 | 405 | 250 | |||
Total assets | 94,719 | 119,450 | 168,586 | 106,750 | |||
Liabilities | |||||||
Due to custodian | — | — | — | — (a) | |||
Payables | |||||||
Series shares repurchased | 51 | 1 | 182 | 99 | |||
Investment securities purchased | — | 2,579 | — | 201 | |||
Foreign capital gains tax | — | — | 170 | — | |||
Collateral on securities loaned | — | 650 | — | 410 | |||
Investment advisory fees | 53 | 48 | 102 | 48 | |||
Distribution and service fees | 20 | 24 | 34 | 21 | |||
Administration and accounting fees | 8 | 10 | 14 | 8 | |||
Transfer agent fees and expenses | — (a) | — (a) | — (a) | — (a) | |||
Professional fees | 15 | 18 | 23 | 19 | |||
Trustee deferred compensation plan | 230 | 281 | 405 | 250 | |||
Interest expense and/or commitment fees | — (a) | — (a) | — (a) | — (a) | |||
Other accrued expenses | 14 | 19 | 24 | 17 | |||
Unrealized depreciation on unfunded loan commitments(c) | — | — (a) | — | — | |||
Total liabilities | 391 | 3,630 | 954 | 1,073 | |||
Net Assets | $ 94,328 | $ 115,820 | $ 167,632 | $ 105,677 | |||
Net Assets Consist of: | |||||||
Capital paid in on shares of beneficial interest | $ 40,487 | $ 115,324 | $ 120,582 | $ 57,006 | |||
Accumulated earnings (loss) | 53,841 | 496 | 47,050 | 48,671 | |||
Net Assets | $ 94,328 | $ 115,820 | $ 167,632 | $ 105,677 | |||
Net Assets: | |||||||
Class A | $ 94,328 | $ 114,354 | $ 167,499 | $ 105,677 | |||
Class I | $ — | $ 1,466 | $ 133 | $ — | |||
Shares of Beneficial Interest Outstanding $1 par value, unlimited authorization: | |||||||
Class A | 4,405,954 | 11,837,664 | 10,905,697 | 5,812,999 | |||
Class I | — | 151,738 | 8,659 | — | |||
Net Asset Value Per Share:(b) | |||||||
Class A | $ 21.41 | $ 9.66 | $ 15.36 | $ 18.18 | |||
Class I | $ — | $ 9.66 | $ 15.38 | $ — | |||
(1) Investment in securities at cost | $ 46,243 | $ 114,730 | $ 127,287 | $ 60,826 | |||
(2) Market value of securities on loan | $ — | $ 624 | $ — | $ 402 | |||
(a) | Amount is less than $500. |
(b) | Net Asset Value Per Share is calculated using unrounded net assets. |
(c) | See Note 2l in Notes to Financial Statements. |
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | KAR Equity Income Series | KAR Small-Cap Growth Series | ||||
Investment Income | |||||||
Dividends | $ 1,175 | $ 622 | $ 1,846 | $ 235 | |||
Securities lending, net of fees | — | 1 | 1 | — (1) | |||
Foreign taxes withheld | — | — | (43) | — | |||
Total investment income | 1,175 | 623 | 1,804 | 235 | |||
Expenses | |||||||
Investment advisory fees | 312 | 1,059 | 356 | 577 | |||
Distribution and service fees, Class A | 98 | 383 | 127 | 156 | |||
Administration and accounting fees | 45 | 155 | 54 | 71 | |||
Transfer agent fees and expenses | — (1) | — (1) | — (1) | — (1) | |||
Custodian fees | — (1) | 1 | 2 | — (1) | |||
Printing fees and expenses | 9 | 31 | 10 | 15 | |||
Professional fees | 13 | 12 | 12 | 12 | |||
Interest expense and/or commitment fees | — (1) | 1 | — | — (1) | |||
Trustees’ fees and expenses | 2 | 10 | 3 | 5 | |||
Miscellaneous expenses | 4 | 11 | 6 | 5 | |||
Total expenses | 483 | 1,663 | 570 | 841 | |||
Less net expenses reimbursed and/or waived by investment adviser(2) | (31) | (83) | (69) | (66) | |||
Net expenses | 452 | 1,580 | 501 | 775 | |||
Net investment income (loss) | 723 | (957) | 1,303 | (540) | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Investments | 717 | 14,733 | 301 | 6,615 | |||
Foreign currency transactions | — | — | — | 1 | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | 15,190 | 5,876 | 9,029 | (3,093) | |||
Net realized and unrealized gain (loss) on investments | 15,907 | 20,609 | 9,330 | 3,523 | |||
Net increase (decrease) in net assets resulting from operations | $16,630 | $19,652 | $10,633 | $ 2,983 |
(1) | Amount is less than $500. |
(2) | See Note 3D in Notes to Financial Statements. |
KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | SGA International Growth Series | Strategic Allocation Series | ||||
Investment Income | |||||||
Dividends | $ 495 | $ 17 | $ 1,109 | $ 310 | |||
Interest | — | 2,292 | — | 380 | |||
Securities lending, net of fees | — | 6 | 5 | 1 | |||
Foreign taxes withheld | — | (1) | (112) | (22) | |||
Total investment income | 495 | 2,314 | 1,002 | 669 | |||
Expenses | |||||||
Investment advisory fees | 427 | 286 | 614 | 284 | |||
Distribution and service fees, Class A | 119 | 142 | 204 | 129 | |||
Administration and accounting fees | 51 | 61 | 85 | 55 | |||
Transfer agent fees and expenses | — (1) | — (1) | — (1) | — (1) | |||
Custodian fees | — (1) | 1 | 1 | 2 | |||
Printing fees and expenses | 10 | 12 | 17 | 11 | |||
Professional fees | 11 | 14 | 14 | 15 | |||
Interest expense and/or commitment fees | — (1) | — (1) | — (1) | — (1) | |||
Trustees’ fees and expenses | 3 | 3 | 5 | 3 | |||
Miscellaneous expenses | 3 | 5 | 8 | 4 | |||
Total expenses | 624 | 524 | 948 | 503 | |||
Less net expenses reimbursed and/or waived by investment adviser(2) | (101) | — | (15) | — | |||
Plus net expenses recaptured(2) | — | 1 | — | 3 | |||
Net expenses | 523 | 525 | 933 | 506 | |||
Net investment income (loss) | (28) | 1,789 | 69 | 163 | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Investments | 7,717 | 1,244 | 7,270 | 4,246 | |||
Foreign currency transactions | — | (46) | (9) | (12) | |||
Foreign capital gains tax | — | — | (16) | — | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | 6,046 | (1,851) | 5,180 | 645 | |||
Foreign currency transactions | — | — (1) | (6) | — (1) | |||
Foreign capital gains tax | — | — | 43 | — | |||
Net realized and unrealized gain (loss) on investments | 13,763 | (653) | 12,462 | 4,879 | |||
Net increase (decrease) in net assets resulting from operations | $13,735 | $ 1,136 | $12,531 | $5,042 |
(1) | Amount is less than $500. |
(2) | See Note 3D in Notes to Financial Statements. |
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $ 723 | $ 931 | $ (957) | $ (1,421) | |||
Net realized gain (loss) | 717 | 803 | 14,733 | 23,665 | |||
Net change in unrealized appreciation (depreciation) | 15,190 | (3,454) | 5,876 | 87,283 | |||
Increase (decrease) in net assets resulting from operations | 16,630 | (1,720) | 19,652 | 109,527 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (444) | (2,077) | (8,537) | (16,871) | |||
Class I | (26) | (124) | — | — | |||
Total dividends and distributions to shareholders | (470) | (2,201) | (8,537) | (16,871) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | 1,372 | (1,337) | (7,976) | (10,664) | |||
Class I | 249 | 1,934 | — | — | |||
Increase (decrease) in net assets from capital transactions | 1,621 | 597 | (7,976) | (10,664) | |||
Net increase (decrease) in net assets | 17,781 | (3,324) | 3,139 | 81,992 | |||
Net Assets | |||||||
Beginning of period | 75,893 | 79,217 | 314,826 | 232,834 | |||
End of Period | $ 93,674 | $ 75,893 | $ 317,965 | $ 314,826 |
KAR Equity Income Series | KAR Small-Cap Growth Series | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $ 1,303 | $ 1,327 | $ (540) | $ (1,088) | |||
Net realized gain (loss) | 301 | 30,546 | 6,616 | 20,200 | |||
Net change in unrealized appreciation (depreciation) | 9,029 | (19,151) | (3,093) | 24,256 | |||
Increase (decrease) in net assets resulting from operations | 10,633 | 12,722 | 2,983 | 43,368 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (1,658) | (23,513) | (4,011) | (14,459) | |||
Class I | — | — | (335) | (1,158) | |||
Total dividends and distributions to shareholders | (1,658) | (23,513) | (4,346) | (15,617) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (4,431) | 12,342 | (2,832) | 3,730 | |||
Class I | — | — | (287) | 1,931 | |||
Increase (decrease) in net assets from capital transactions | (4,431) | 12,342 | (3,119) | 5,661 | |||
Net increase (decrease) in net assets | 4,544 | 1,551 | (4,482) | 33,412 | |||
Net Assets | |||||||
Beginning of period | 98,736 | 97,185 | 137,027 | 103,615 | |||
End of Period | $ 103,280 | $ 98,736 | $ 132,545 | $ 137,027 |
KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $ (28) | $ 767 | $ 1,789 | $ 4,005 | |||
Net realized gain (loss) | 7,717 | 6,840 | 1,198 | 983 | |||
Net change in unrealized appreciation (depreciation) | 6,046 | 12,969 | (1,851) | 1,879 | |||
Increase (decrease) in net assets resulting from operations | 13,735 | 20,576 | 1,136 | 6,867 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (2,364) | (6,307) | (150) | (3,755) | |||
Class I | — | — | (2) | (18) | |||
Total dividends and distributions to shareholders | (2,364) | (6,307) | (152) | (3,773) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (5,488) | (3,095) | (4,979) | (1,635) | |||
Class I | — | — | 900 | (399) | |||
Increase (decrease) in net assets from capital transactions | (5,488) | (3,095) | (4,079) | (2,034) | |||
Net increase (decrease) in net assets | 5,883 | 11,174 | (3,095) | 1,060 | |||
Net Assets | |||||||
Beginning of period | 88,445 | 77,271 | 118,915 | 117,855 | |||
End of Period | $ 94,328 | $ 88,445 | $ 115,820 | $ 118,915 |
SGA International Growth Series | Strategic Allocation Series | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $ 69 | $ (170) | $ 163 | $ 468 | |||
Net realized gain (loss) | 7,245 | 7,949 | 4,234 | 5,155 | |||
Net change in unrealized appreciation (depreciation) | 5,217 | 24,373 | 645 | 22,133 | |||
Increase (decrease) in net assets resulting from operations | 12,531 | 32,152 | 5,042 | 27,756 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (2,625) | (2,098) | (2,829) | (3,637) | |||
Class I | (2) | (2) | — | — | |||
Total dividends and distributions to shareholders | (2,627) | (2,100) | (2,829) | (3,637) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (6,865) | (13,563) | (3,220) | (5,337) | |||
Class I | 2 | 2 | — | — | |||
Increase (decrease) in net assets from capital transactions | (6,863) | (13,561) | (3,220) | (5,337) | |||
Net increase (decrease) in net assets | 3,041 | 16,491 | (1,007) | 18,782 | |||
Net Assets | |||||||
Beginning of period | 164,591 | 148,100 | 106,684 | 87,902 | |||
End of Period | $ 167,632 | $ 164,591 | $ 105,677 | $ 106,684 |
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Duff & Phelps Real Estate Securities Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/21 to 6/30/21(6) | $17.71 | 0.17 | 3.70 | 3.87 | (0.03) | — | (0.08) | (0.11) | 3.76 | $21.47 | 21.89 % | $ 88,419 | 1.10 % | 1.18 % | 1.73 % | 8 % | |
1/1/20 to 12/31/20 | 18.54 | 0.22 | (0.52) | (0.30) | (0.20) | — | (0.33) | (0.53) | (0.83) | 17.71 | (1.55) | 71,741 | 1.14 (7) | 1.20 | 1.30 | 26 | |
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 (7) | 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 (8) | 81,243 | 1.17 (8)(9) | 1.25 | 1.42 (8) | 35 | |
Class I | |||||||||||||||||
1/1/21 to 6/30/21(6) | $17.70 | 0.19 | 3.72 | 3.91 | (0.03) | — | (0.08) | (0.11) | 3.80 | $21.50 | 22.07 % | $ 5,255 | 0.85 % | 0.93 % | 1.97 % | 8 % | |
1/1/20 to 12/31/20 | 18.51 | 0.34 | (0.60) | (0.26) | (0.22) | — | (0.33) | (0.55) | (0.81) | 17.70 | (1.33) | 4,152 | 0.89 (7) | 0.95 | 2.08 | 26 | |
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 (7) | 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 (8) | 199 | 0.92 (8)(9) | 1.00 | 1.46 (8) | 35 | |
KAR Capital Growth Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/21 to 6/30/21(6) | $48.92 | (0.15) | 3.23 | 3.08 | — | — | (1.38) | (1.38) | 1.70 | $50.62 | 6.48 % | $317,965 | 1.03 % | 1.08 % | (0.62) % | 2 % | |
1/1/20 to 12/31/20 | 34.44 | (0.22) | 17.42 | 17.20 | — | — | (2.72) | (2.72) | 14.48 | 48.92 | 50.23 | 314,826 | 1.03 | 1.10 | (0.55) | 7 | |
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 | — (10) | (0.22) | (0.22) | (0.60) | — | — | (0.60) | (0.82) | 24.09 | (0.86) (8) | 185,519 | 1.04 (8)(9) | 1.18 | (0.10) (8) | 23 | |
KAR Equity Income Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/21 to 6/30/21(6) | $11.54 | 0.16 | 1.12 | 1.28 | (0.01) | — | (0.20) | (0.21) | 1.07 | $12.61 | 11.00 % | $103,280 | 0.98 % | 1.12 % | 2.56 % | 11 % | |
1/1/20 to 12/31/20 | 13.15 | 0.19 | 1.78 | 1.97 | (0.23) | — | (3.35) | (3.58) | (1.61) | 11.54 | 14.91 | 98,736 | 0.98 | 1.15 | 1.47 | 116 (11) | |
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 (8) | 104,587 | 0.99 (8)(9) | 1.20 | 1.41 (8) | 241 (11) |
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 | Payment from Affiliate | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
KAR Small-Cap Growth Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/21 to 6/30/21(6) | $40.14 | (0.17) | 0.97 | 0.80 | — | (1.34) | (1.34) | — | (0.54) | $39.60 | 2.13 % | $122,305 | 1.16 % | 1.26 % | (0.81) % | 3 % | |
1/1/20 to 12/31/20 | 31.48 | (0.35) | 14.19 | 13.84 | — | (5.18) | (5.18) | — | 8.66 | 40.14 | 44.64 | 126,411 | 1.16 | 1.28 | (1.00) | 17 | |
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 (7) | 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 (8) | 63,008 | 1.20 (8)(9) | 1.37 | (0.37) (8) | 18 | |
Class I | |||||||||||||||||
1/1/21 to 6/30/21(6) | $41.49 | (0.12) | 0.99 | 0.87 | — | (1.34) | (1.34) | — | (0.47) | $41.02 | 2.23 % | $ 10,240 | 0.91 % | 1.01 % | (0.57) % | 3 % | |
1/1/20 to 12/31/20 | 32.33 | (0.27) | 14.61 | 14.34 | — | (5.18) | (5.18) | — | 9.16 | 41.49 | 45.02 | 10,616 | 0.91 | 1.03 | (0.74) | 17 | |
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 (7) | 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 (8) | 353 | 0.95 (8)(9) | 1.12 | (0.10) (8) | 18 | |
KAR Small-Cap Value Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/21 to 6/30/21(6) | $18.96 | (0.01) | 3.01 | 3.00 | — (10) | (0.55) | (0.55) | — | 2.45 | $21.41 | 15.76 % | $ 94,328 | 1.10 % | 1.31 % | (0.06) % | 6 % | |
1/1/20 to 12/31/20 | 15.78 | 0.16 | 4.43 | 4.59 | (0.18) | (1.23) | (1.41) | — | 3.18 | 18.96 | 29.65 | 88,445 | 1.10 | 1.34 | 1.04 | 22 | |
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 (7) | 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 (8) | 94,966 | 1.21 (8)(9) | 1.40 | 1.85 (8) | 22 | |
Newfleet Multi-Sector Intermediate Bond Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/21 to 6/30/21(6) | $ 9.58 | 0.15 | (0.06) | 0.09 | (0.01) | — | (0.01) | — | 0.08 | $ 9.66 | 1.07 % | $114,354 | 0.92 % (12)(13) | 0.92 % | 3.13 % | 39 % | |
1/1/20 to 12/31/20 | 9.28 | 0.33 | 0.28 | 0.61 | (0.31) | — | (0.31) | — | 0.30 | 9.58 | 6.64 | 118,363 | 0.94 (12)(13) | 0.93 | 3.54 | 92 | |
1/1/19 to 12/31/19 | 8.72 | 0.37 | 0.54 | 0.91 | (0.35) | — | (0.35) | — (10) | 0.56 | 9.28 | 10.47 (14) | 116,901 | 0.94 (12)(13) | 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 (8) | 128,969 | 0.94 (8)(9) | 1.00 | 4.82 (8) | 68 | |
Class I | |||||||||||||||||
1/1/21 to 6/30/21(6) | $ 9.57 | 0.16 | (0.06) | 0.10 | (0.01) | — | (0.01) | — | 0.09 | $ 9.66 | 1.07 % | $ 1,466 | 0.67 % (12)(13) | 0.67 % | 3.35 % | 39 % | |
1/1/20 to 12/31/20 | 9.27 | 0.35 | 0.28 | 0.63 | (0.33) | — | (0.33) | — | 0.30 | 9.57 | 6.78 | 552 | 0.69 (12)(13) | 0.69 | 3.84 | 92 | |
1/1/19 to 12/31/19 | 8.70 | 0.39 | 0.55 | 0.94 | (0.37) | — | (0.37) | — (10) | 0.57 | 9.27 | 10.89 (14) | 954 | 0.69 (12)(13) | 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 (8) | 242 | 0.69 (8)(9) | 0.75 | 5.08 (8) | 68 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
SGA International Growth Series | ||||||||||||||||
Class A | �� | |||||||||||||||
1/1/21 to 6/30/21(6) | $14.47 | 0.01 | 1.12 | 1.13 | — | (0.24) | (0.24) | 0.89 | $15.36 | 7.85 % | $167,499 | 1.14 % | 1.16 % | 0.08 % | 11 % | |
1/1/20 to 12/31/20 | 11.86 | (0.01) | 2.81 | 2.80 | — | (0.19) | (0.19) | 2.61 | 14.47 | 23.64 | 164,468 | 1.18 (7)(9) | 1.21 | (0.12) | 34 | |
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 (7)(9) | 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 (13) | 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) (8) | 177,868 | 1.18 (8)(9) | 1.26 | 0.62 (8) | 83 | |
Class I | ||||||||||||||||
1/1/21 to 6/30/21(6) | $14.47 | 0.03 | 1.12 | 1.15 | — | (0.24) | (0.24) | 0.91 | $15.38 | 7.99 % | $ 133 | 0.89 % | 0.92 % | 0.35 % | 11 % | |
1/1/20 to 12/31/20 | 11.83 | 0.02 | 2.81 | 2.83 | — | (0.19) | (0.19) | 2.64 | 14.47 | 23.95 | 123 | 0.93 (7)(9) | 0.97 | 0.13 | 34 | |
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 (7)(9) | 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 (13) | 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) (8) | 86 | 0.93 (8)(9) | 1.01 | 0.88 (8) | 83 | |
Strategic Allocation Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/21 to 6/30/21(6) | $17.81 | 0.03 | 0.83 | 0.86 | (0.05) | (0.44) | (0.49) | 0.37 | $18.18 | 4.99 % | $105,677 | 0.98 % (12)(13) | 0.97 % | 0.32 % | 12 % | |
1/1/20 to 12/31/20 | 13.78 | 0.08 | 4.57 | 4.65 | (0.11) | (0.51) | (0.62) | 4.03 | 17.81 | 33.96 | 106,684 | 0.98 | 1.00 | 0.51 | 28 | |
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 (8) | 93,276 | 0.99 (8)(9) | 1.09 | 1.96 (8) | 114 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | The total return does not include the expenses associated with the annuity or life insurance policy through which you invest. |
(4) | Annualized for periods less than one year. |
(5) | The Series will also indirectly bear their prorated share of expenses of any underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(8) | State Street Bank & Trust, custodian for some of the 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 Equity Income Series 0.46%, 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), 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 Equity Income Series 0.44%, KAR Small-Cap Growth Series 0.08%, KAR Small-Cap Value Series 0.08%, Newfleet Multi-Sector Intermediate Bond Series 0.04%, SGA International Growth Series 0.04%, Strategic Allocation Series 0.03%. |
(9) | Net expense ratio includes extraordinary proxy expenses. |
(10) | Amount is less than $0.005 per share. |
(11) | The Series’ portfolio turnover rate increased substantially during the years due to a change in the Series’ subadviser and associated repositioning. |
(12) | The share class is currently below its expense cap. |
(13) | See Note 3D in Notes to Financial Statements for information on recapture of expenses previously reimbursed. |
(14) | Payment from affiliate had no impact on total return. |
Series | Investment objective(s) | |
Duff & Phelps Real Estate Securities Series | Capital appreciation and income with approximately equal emphasis. | |
KAR Capital Growth Series | Long-term growth of capital. | |
KAR Equity Income Series | Capital appreciation and current income. | |
KAR Small-Cap Growth Series | Long-term capital growth. | |
KAR Small-Cap Value Series | Long-term capital appreciation. | |
Newfleet Multi-Sector Intermediate Bond Series | Long-term total return. | |
SGA International Growth Series | High total return consistent with reasonable risk. | |
Strategic Allocation Series | High total return over an extended period of time consistent with prudent investment risk. |
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). |
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 their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
Each 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 of 1986, as amended (the “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. Each Series’ U.S. federal income tax return is generally subject to examination by the Internal Revenue Service for a period of three years after it is filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. | |
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 which 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 or fund, except where allocation of direct expenses 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. | |
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. | |
J. | Warrants |
The Series may receive warrants. Warrants are securities that are usually issued together with a debt security or preferred stock and that give the holder the right to buy a proportionate amount of common stock at a specified price. Warrants may be freely transferable and are often traded on major exchanges. Warrants normally have a life that is measured in years and entitle the holder to buy common stock of a company at a price that is usually higher than the market price at the time the warrant is issued. Warrants may entail greater risks than certain other types of investments. Generally, warrants do not carry the right to receive dividends or exercise voting rights with respect to the underlying securities, and they do not represent any rights in the assets of the issuer. In addition, their value does not necessarily change with the value of the underlying securities, and they cease to have value if they are not exercised on or before their expiration date. If the market price of the underlying stock does not exceed the exercise price during the life of the warrant, the warrant will expire worthless. Warrants may increase the potential profit or loss to be realized from the investment as compared with investing the same amount in the underlying securities. Similarly, the percentage increase or decrease in the value of an equity security warrant may be greater than the percentage increase or decrease in the value of the underlying common stock. Warrants may relate to the purchase of equity or debt securities. Debt obligations with warrants attached to purchase equity securities have many characteristics of convertible securities and their prices may, to some degree, reflect the performance of the underlying stock. Debt obligations also may be issued with warrants attached to purchase additional debt securities at the same coupon rate. A decline in interest rates would permit a Fund to sell such warrants at a profit. If interest rates rise, these warrants would generally expire with no value. |
K. | 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 a Master Securities Lending Agreement (“MSLA”) which permits 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 June 30, 2021, 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) | ||||
Newfleet Multi-Sector Intermediate Bond Series | BNYM | $ 624 | $ 624 | $ — | ||||
Strategic Allocation Series | BNYM | 402 | 402 | — |
(1) | Collateral received in excess of the market value of securities on loan is not presented in this table. The cash collateral received in connection with securities lending transactions has been used for the purchase of securities as disclosed in the Series’ Schedule of Investments. |
(2) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
Series | Securities Lending Transactions | Overnight and continuous | Under 30 days | Between 30 & 90 days | Over 90 Days | Total | ||||||
Newfleet Multi-Sector Intermediate Bond Series | Money Market Mutual Fund | $650 | $— | $— | $— | $650 | ||||||
Strategic Allocation Series | Money Market Mutual Fund | 410 | — | — | — | 410 |
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% | |||
KAR Equity Income Series | 0.70 | 0.65 | 0.60 | |||
Newfleet Multi-Sector Intermediate Bond Series | 0.50 | 0.45 | 0.40 | |||
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 as of the end of the period is as follows: |
Series | Subadviser | |
Duff & Phelps Real Estate Securities Series | DPIM (1) | |
KAR Capital Growth Series | KAR (2) | |
KAR Equity Income 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) | |
Series | Subadviser | |
SGA International Growth Series | SGA (4) | |
Strategic Allocation Series | ||
(Equity Portfolio) | KAR (2) | |
(Fixed Income Portfolio) | Newfleet (3) |
C. | Expense Limitations |
The Adviser has contractually agreed to limit each Series’ annual total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily net assets through April 30, 2022. Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. The waivers and reimbursements are accrued daily and received monthly. |
Series | Class A | Class I | ||
Duff & Phelps Real Estate Securities Series | 1.10 % | 0.85 % | ||
KAR Capital Growth Series | 1.03 | N/A | ||
KAR Equity Income Series | 0.98 | N/A | ||
KAR Small-Cap Growth Series | 1.16 | 0.91 | ||
KAR Small-Cap Value Series | 1.10 | N/A | ||
Newfleet Multi-Sector Intermediate Bond Series | 0.94 ‡ | 0.69 ‡ | ||
SGA International Growth Series | 1.14 | 0.89 | ||
Strategic Allocation Series | 0.98 ‡ | N/A |
‡ | Each share class is currently below its expense cap. |
D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A 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 | 2021 | 2022 | 2023 | 2024 | Total | |||||
Duff & Phelps Real Estate Securities Series | ||||||||||
Class A | $ 15 | $ 29 | $ 41 | $ 29 | $ 114 | |||||
Class I | — (1) | — (1) | 2 | 2 | 4 | |||||
KAR Capital Growth Series | ||||||||||
Class A | 84 | 183 | 191 | 83 | 541 | |||||
KAR Equity Income Series | ||||||||||
Class A | 92 | 141 | 149 | 69 | 451 | |||||
KAR Small-Cap Growth Series | ||||||||||
Class A | 41 | 86 | 121 | 61 | 309 | |||||
Class I | 2 | 5 | 10 | 5 | 22 | |||||
KAR Small-Cap Value Series | ||||||||||
Class A | 63 | 181 | 174 | 101 | 519 | |||||
SGA International Growth Series | ||||||||||
Class A | — | 22 | 42 | 15 | 79 | |||||
Class I | — | — (1) | — (1) | — (1) | — (1) | |||||
Strategic Allocation Series | ||||||||||
Class A | 18 | 25 | 18 | — (1) | 61 | |||||
(1) | Amount is less than $500. |
Series | Class A | Class I | Total | |||
Newfleet Multi-Sector Intermediate Bond Series | $1 | $— (1) | $ 1 | |||
Strategic Allocation Series | 3 | — | 3 | |||
(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 six months (the “period”) ended June 30, 2021, the Series incurred administration fees totaling $507, 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 June 30, 2021, the Series incurred distribution fees totaling $1,358 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 with Affiliates |
The Series are permitted to purchase assets from or sell assets to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Series from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 under the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. | |
During the period ended June 30, 2021, the Series did not engage in any transactions pursuant to Rule 17a-7 under the 1940 Act. | |
G. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statements of Assets and Liabilities at June 30, 2021. |
Purchases | Sales | ||
Duff & Phelps Real Estate Securities Series | $ 8,234 | $ 6,785 | |
KAR Capital Growth Series | 6,494 | 22,743 | |
KAR Equity Income Series | 10,589 | 14,053 | |
KAR Small-Cap Growth Series | 3,384 | 11,472 | |
KAR Small-Cap Value Series | 5,865 | 14,457 | |
Newfleet Multi-Sector Intermediate Bond Series | 43,257 | 44,807 | |
SGA International Growth Series | 18,566 | 26,443 | |
Strategic Allocation Series | 11,767 | 16,859 |
Purchases | Sales | ||
Newfleet Multi-Sector Intermediate Bond Series | $1,013 | $2,254 | |
Strategic Allocation Series | 920 | 822 | |
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | ||||||||||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 419 | $ 8,358 | 464 | $ 7,726 | 26 | $ 1,286 | 54 | $ 2,106 | |||||||
Reinvestment of distributions | 20 | 444 | 120 | 2,077 | 180 | 8,537 | 355 | 16,871 | |||||||
Shares repurchased | (373) | (7,430) | (689) | (11,140) | (360) | (17,799) | (734) | (29,641) | |||||||
Net Increase / (Decrease) | 66 | $ 1,372 | (105) | $ (1,337) | (154) | $ (7,976) | (325) | $ (10,664) | |||||||
Class I | |||||||||||||||
Shares sold | 59 | $ 1,163 | 256 | $ 4,078 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | 1 | 26 | 7 | 124 | — | — | — | — | |||||||
Shares repurchased | (50) | (940) | (146) | (2,268) | — | — | — | — | |||||||
Net Increase / (Decrease) | 10 | $ 249 | 117 | $ 1,934 | — | $ — | — | $ — |
KAR Equity Income Series | KAR Small-Cap Growth Series | ||||||||||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 29 | $ 364 | 60 | $ 751 | 34 | $ 1,400 | 72 | $ 2,469 | |||||||
Reinvestment of distributions | 128 | 1,658 | 2,032 | 23,513 | 106 | 4,011 | 375 | 14,459 | |||||||
Shares repurchased | (523) | (6,453) | (926) | (11,922) | (201) | (8,243) | (379) | (13,198) | |||||||
Net Increase / (Decrease) | (366) | $ (4,431) | 1,166 | $ 12,342 | (61) | $ (2,832) | 68 | $ 3,730 |
KAR Equity Income Series | KAR Small-Cap Growth Series | ||||||||||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class I | |||||||||||||||
Shares sold | — | $ — | — | $ — | 59 | $ 2,444 | 105 | $ 3,643 | |||||||
Reinvestment of distributions | — | — | — | — | 9 | 335 | 29 | 1,158 | |||||||
Shares repurchased | — | — | — | — | (74) | (3,066) | (83) | (2,870) | |||||||
Net Increase / (Decrease) | — | $ — | — | $ — | (6) | $ (287) | 51 | $ 1,931 |
KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | ||||||||||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 13 | $ 281 | 58 | $ 866 | 593 | $ 5,670 | 1,501 | $ 14,183 | |||||||
Reinvestment of distributions | 109 | 2,364 | 350 | 6,307 | 16 | 150 | 395 | 3,755 | |||||||
Shares repurchased | (380) | (8,133) | (640) | (10,268) | (1,129) | (10,799) | (2,131) | (19,573) | |||||||
Net Increase / (Decrease) | (258) | $ (5,488) | (232) | $ (3,095) | (520) | $ (4,979) | (235) | $ (1,635) | |||||||
Class I | |||||||||||||||
Shares sold | — | $ — | — | $ — | 95 | $ 910 | 11 | $ 109 | |||||||
Reinvestment of distributions | — | — | — | — | — (1) | 2 | 2 | 18 | |||||||
Shares repurchased | — | — | — | — | (1) | (12) | (58) | (526) | |||||||
Net Increase / (Decrease) | — | $ — | — | $ — | 94 | $ 900 | (45) | $ (399) |
SGA International Growth Series | Strategic Allocation Series | ||||||||||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 78 | $ 1,171 | 183 | $ 2,188 | 15 | $ 267 | 58 | $ 879 | |||||||
Shares Issued-Merger | — | — | (1,446) | — | — | — | — | — | |||||||
Reinvestment of distributions | 173 | 2,625 | 151 | 2,098 | 162 | 2,829 | 213 | 3,637 | |||||||
Shares repurchased | (716) | (10,661) | — | (17,849) | (353) | (6,316) | (662) | (9,853) | |||||||
Net Increase / (Decrease) | (465) | $ (6,865) | (1,112) | $ (13,563) | (176) | $ (3,220) | (391) | $ (5,337) | |||||||
Class I | |||||||||||||||
Reinvestment of distributions | — (1) | $ 2 | — (1) | $ 2 | — | $ — | — | $ — | |||||||
Net Increase / (Decrease) | — (1) | $ 2 | — (1) | $ 2 | — | $ — | — | $ — |
(1) | Amount is less than 500 shares. |
% of Shares Outstanding | Number of Accounts* | ||
Duff & Phelps Real Estate Securities Series | 70% | 2 | |
KAR Capital Growth Series | 100 | 2 | |
KAR Equity Income Series | 99 | 2 | |
KAR Small-Cap Growth Series | 91 | 2 | |
KAR Small-Cap Value Series | 100 | 2 | |
Newfleet Multi-Sector Intermediate Bond Series | 98 | 4 | |
SGA International Growth Series | 98 | 2 | |
Strategic Allocation Series | 100 | 2 |
* | None of the accounts are affiliated. |
Series | Sector | Percentage of Total Investments | ||
KAR Capital Growth Series | Information Technology | 37% | ||
KAR Small-Cap Growth Series | Information Technology | 32 | ||
KAR Small-Cap Value Series | Industrials | 28 |
Series | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Duff & Phelps Real Estate Securities Series | $ 61,057 | $ 32,572 | $ (95) | $ 32,477 | ||||
KAR Capital Growth Series | 92,315 | 226,104 | (622) | 225,482 | ||||
KAR Equity Income Series | 86,406 | 17,424 | (827) | 16,597 | ||||
KAR Small-Cap Growth Series | 55,742 | 75,416 | (430) | 74,986 | ||||
KAR Small-Cap Value Series | 46,274 | 46,492 | (109) | 46,383 | ||||
Newfleet Multi-Sector Intermediate Bond Series | 114,785 | 3,758 | (2,221) | 1,537 | ||||
SGA International Growth Series | 127,287 | 43,133 | (2,582) | 40,551 | ||||
Strategic Allocation Series | 61,213 | 45,319 | (734) | 44,585 |
Series | Short-Term | Long-Term | |||
Newfleet Multi-Sector Intermediate Bond Series | $— | $3,619 |
Series | Late Year Ordinary Losses Deferred | Late Year Ordinary Losses Recognized | Capital Loss Recognized | |||
Duff & Phelps Real Estate Securities Series | $ — | $ — | $ (34) | |||
KAR Capital Growth Series | — (1) | — | — | |||
SGA International Growth Series | — | (2) | — |
(1) | Amount is less than $500. |
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.
please contact us at 1-800-367-5877, or visit Virtus.com.
8508 | 08-21 |
Item 2. | Code of Ethics. |
Response not required for semi-annual report.
Item 3. | Audit Committee Financial Expert. |
Response not required for semi-annual report.
Item 4. | Principal Accountant Fees and Services. |
Response not required for semi-annual report.
Item 5. | Audit Committee of Listed Registrants. |
Response not required for semi-annual report.
Item 6. | Investments. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. | Controls and Procedures. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
Item 13. | Exhibits. |
(a)(1) | Not applicable. | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. | |
(a)(4) | Not applicable. | |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Virtus Variable Insurance Trust |
By (Signature and Title) * | /s/ George R. Aylward | |
George R. Aylward, President | ||
(principal executive officer) |
Date | 9/3/21 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) * | /s/ George R. Aylward | |
George R. Aylward, President | ||
(principal executive officer) |
Date | 9/3/21 |
By (Signature and Title) * | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, | ||
Chief Financial Officer and Treasurer | ||
(principal financial officer) |
Date | 9/3/21 |
* | Print the name and title of each signing officer under his or her signature. |